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Oppenheimer International Bond Fund – ‘N-Q’ for 12/31/14

On:  Friday, 2/27/15, at 2:52pm ET   ·   Effective:  2/27/15   ·   For:  12/31/14   ·   Accession #:  1193125-15-69120   ·   File #:  811-07255

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 2/27/15  Oppenheimer Int’l Bond Fund       N-Q        12/31/14    2:2.1M                                   RR Donnelley/FAOppenheimer International Bond Fund ABCIRY

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
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N-Q   —   Oppenheimer International Bond Fund


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  Oppenheimer International Bond Fund  

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07255

 

 

Oppenheimer International Bond Fund

(Exact name of registrant as specified in charter)

 

 

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

 

 

Arthur S. Gabinet

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: 12/31/2014

 

 

 


Item 1. Schedule of Investments.


STATEMENT OF INVESTMENTS December 31, 2014 Unaudited

 

         Principal Amount     Value

Asset-Backed Securities—0.6%

                

Avoca CLO VIII Ltd., Series VIII-X, Cl. E, 4.432%, 10/15/231

   EUR     6,170,000        $            6,718,318  

Axius Europe CLO SA, Series 2007-1X, Cl. E, 4.678%, 11/15/231

   EUR                 6,972,613                    7,807,204  

Cadogan Square CLO IV BV, Series 4X, Cl. D, 1.855%, 7/24/231

   EUR     4,650,000        5,195,877  

Halcyon Structured Asset Management European CLO BV,

      

Series 2006-IIX, Cl. E, 4.158%, 1/25/231

   EUR     6,470,000        7,251,241  

Harvest CLO IA SA:

      

Series I-X, Cl. C, 1.983%, 3/29/171

   EUR     62,840        76,032  

Series I-X, Cl. D, 3.083%, 3/29/171

   EUR     2,530,000        3,060,077  

Series I-X, Cl. E, 7.683%, 3/29/171

   EUR     2,530,000        3,012,204  

Highlander Euro CDO II Cayman Ltd., Series 2006-2CX, Cl. E,

      

3.679%, 12/14/221

   EUR     6,034,185        6,584,737  

Stichting Halcyon Structured Asset Management European,

      

Series 2007-IX, Cl. E, 4.105%, 7/24/231

   EUR     1,654,222        1,851,386  

Theseus European CLO SA, Series 2006-1X, Cl. E, 4.288%,

      

8/27/221

   EUR     3,505,000        3,956,575  

Total Asset-Backed Securities (Cost $49,499,137)

 

       45,513,651  

Mortgage-Backed Obligations—0.4%

                

Hipocat 11 Fondo de Titulizacion de Activos, Series HIPO-11, Cl.

      

A2, 0.212%, 1/15/501

   EUR     3,559,889        3,903,410  

IM Pastor 4 Fondo de Titulizacion de Activos, Series 4, Cl. A,

      

0.219%, 3/22/441

   EUR     25,514,825          27,561,472  

Total Mortgage-Backed Obligations (Cost $32,618,125)

 

       31,464,882  

U.S. Government Obligation—0.2%

                

United States Treasury Nts., 0.375%, 3/31/162,3 (Cost $19,983,594)

 

       20,000,000        19,996,880  

Foreign Government Obligations—52.4%

                

Angola—0.1%

      

Republic of Angola Via Northern Lights III BV Sr. Unsec. Nts., 7%, 8/16/19

 

       6,040,000        6,030,288  

Australia—3.0%

                

Commonwealth of Australia Bonds:

      

3.75%, 4/21/37

   AUD     20,000,000        17,335,959  

6.25%, 4/15/15

   AUD     109,000,000        89,957,648  

Commonwealth of Australia Sr. Unsec. Bonds:

      

1.25%, 2/21/225

   AUD     25,000,000        22,929,756  

2.00%, 8/21/355

   AUD     11,300,000        11,469,563  

New South Wales Treasury Corp. Sr. Unsec. Nts., 6%, 5/1/23

   AUD     20,000,000        20,205,719  

Queensland Treasury Corp. Sr. Unsec. Nts.:

      

Series 22, 6.00%, 7/21/22

   AUD     7,400,000        7,311,749  

Series 25, 4.75%, 7/21/254

   AUD     25,000,000        23,168,614  

Series 33, 6.50%, 3/14/33

   AUD     20,590,000        23,155,949  

Victoria Treasury Corp. Sr. Unsec. Nts., 5.50%, 11/17/26

   AUD     21,385,000        21,357,890  
       236,892,847  

 

1 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Bahrain—0.1%

                

Kingdom of Bahrain Bonds, 6%, 9/19/444

     $ 5,000,000       

$            4,750,000  

 

Belgium—1.9%

                

Kingdom of Belgium Bonds, Series 58, 3.75%, 9/28/20

   EUR             100,000,000        145,126,861  

Kingdom of Belgium Unsec. Bonds, Series 60, 4.25%, 3/28/414

   EUR     5,055,000        9,238,800  
      

154,365,661  

 

Brazil—2.3%

                

Brazil Minas SPE via State of Minas Gerais Sec. Bonds, 5.333%,

      

2/15/284

         7,610,000        7,552,925  

Federative Republic of Brazil International Bonds:

      

4.25%, 1/7/25

       18,910,000        18,933,637  

5.625%, 1/7/41

         9,775,000        10,581,437  

Federative Republic of Brazil Letra Tesouro Nacional Treasury

      

Bills, 10.91%, 4/1/1510

   BRL     11,410,000        4,172,587  

Federative Republic of Brazil Nota Do Tesouro Nacional Sr. Unsec. Nts.:

      

4.875%, 1/22/21

       14,683,000        15,674,102  

9.762%, 1/1/17

   BRL     199,685,000        71,534,631  

Federative Republic of Brazil Nota Do Tesouro Nacional Unsec. Nts.:

      

9.762%, 1/1/18

   BRL     11,400,000        4,016,146  

9.762%, 1/1/21

   BRL     15,700,000        5,336,102  

10.00%, 1/1/23

   BRL     32,580,000        10,872,256  

10.00%, 1/1/25

   BRL     15,555,000        5,129,994  

13.288%, 8/15/50

   BRL     16,950,000        15,622,562  

13.505%, 5/15/45

   BRL     14,000,000        12,922,158  
      

182,348,537  

 

Canada—0.9%

                

Canada Unsec. Bonds, 3.75%, 6/1/19

   CAD     73,380,000       

69,931,431  

 

China—0.2%

                

Export-Import Bank of China (The) Sr. Unsec. Nts., 3.625%, 7/31/244

       16,315,000       

16,507,338  

 

Colombia—0.7%

                

Republic of Colombia Bonds, 7.375%, 9/18/37

         3,225,000        4,369,875  

Republic of Colombia Sr. Unsec. Nts.:

      

4.00%, 2/26/24

       13,630,000        13,970,750  

4.375%, 7/12/21

       17,070,000        18,094,200  

5.625%, 2/26/44

       9,705,000        10,966,650  

8.125%, 5/21/24

       7,315,000        9,747,237  
      

57,148,712  

 

Croatia—0.4%

                

Republic of Croatia Sr. Unsec. Nts.:

      

5.50%, 4/4/234

       23,420,000        24,380,220  

6.375%, 3/24/214

       4,045,000        4,439,387  

6.75%, 11/5/194

       2,450,000        2,695,000  
      

31,514,607  

 

Denmark—0.5%

                

Kingdom of Denmark Bonds, 4%, 11/15/19

   DKK     217,580,000        42,020,839  

 

2 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Dominican Republic—0.4%

                

Banco de Reservas de la Republica Dominicana Sub. Nts., 7%, 2/1/234

       $ 10,940,000        $            10,903,460  

Dominican Republic Sr. Unsec. Bonds:

      

5.875%, 4/18/244

               3,500,000        3,587,500  

6.60%, 1/28/244

       9,475,000        10,114,563  

7.45%, 4/30/444

       4,145,000        4,552,909  
      

29,158,432  

 

Ecuador—0.1%

                

Republic of Ecuador Sr. Unsec. Bonds, 7.95%, 6/20/244

       4,755,000       

4,089,300  

 

Egypt—0.0%

                

Arab Republic of Egypt Bonds, 6.875%, 4/30/404

      

 

2,365,000  

 

  

 

 

2,441,862  

 

France—1.6%

                

French Republic Bonds, 3.25%, 5/25/45

  

EUR

 

   

 

81,770,000  

 

  

 

 

129,770,566  

 

Gabon—0.1%

                

Gabonese Republic Unsec. Bonds, 6.375%, 12/12/244

      

 

8,765,000  

 

  

 

 

8,370,575  

 

Germany—2.0%

                

Federal Republic of Germany Unsec. Bonds:

      

1.50%, 5/15/24

   EUR     12,500,000        16,492,255  

2.25%, 4/10/15

   EUR     55,000,000        66,967,439  

2.50%, 2/27/15

   EUR     48,800,000        59,281,622  

2.50%, 8/15/46

   EUR     8,080,000        12,546,030  
      

155,287,346  

 

Greece—0.6%

                

Athens Urban Transportation Organisation Sr. Unsec. Nts.,

      

4.851%, 9/19/16

   EUR     2,940,000        3,059,455  

Hellenic Republic Sr. Unsec. Bonds:

      

5.20%, 7/17/34

   EUR     16,700,000        13,531,166  

6.14%, 4/14/28

   EUR     18,940,000        15,791,199  

Hellenic Republic Sr. Unsec. Nts., 3.80%, 8/8/17

   JPY     2,511,000,000        17,234,017  
      

49,615,837  

 

Hungary—1.3%

                

Hungary Sr. Unsec. Bonds, 8%, 2/12/15

   HUF     1,177,000,000        4,526,130  

Hungary Sr. Unsec. Nts.:

      

5.375%, 2/21/23

       13,375,000        14,478,438  

5.375%, 3/25/24

       7,530,000        8,170,050  

7.625%, 3/29/41

         3,135,000        4,183,657  

Hungary Unsec. Bonds:

      

Series 20/A, 7.50%, 11/12/20

   HUF     9,821,000,000        45,948,700  

Series 23/A, 6.00%, 11/24/23

   HUF     5,189,000,000        23,577,374  
      

100,884,349  

 

India—2.5%

                

Indian Railway Finance Corp. Ltd. Sr. Unsec. Nts., 3.417%, 10/10/17

         15,000,000        15,379,980  

Republic of India Sr. Unsec. Bonds:

      

7.28%, 6/3/19

   INR     5,573,000,000        85,397,280  

 

3 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

India (Continued)

                

Republic of India Sr. Unsec. Bonds: (Continued)

                

8.12%, 12/10/20

   INR                 2,450,000,000        $        39,164,951  

8.83%, 11/25/23

   INR     3,647,000,000        60,895,324  
      

200,837,535  

 

Indonesia—2.2%

                

Perusahaan Penerbit SBSN Indonesia III Sr. Unsec. Nts., 4%, 11/21/184

       7,025,000        7,279,656  

Perusahaan Penerbit SBSN Indonesia III Unsec. Nts.:

                

4.35%, 9/10/244

       4,560,000        4,594,200  

6.125%, 3/15/194

       14,480,000        16,072,800  

Republic of Indonesia Sr. Unsec. Bonds:

                

3.375%, 4/15/234

       7,830,000        7,438,500  

4.625%, 4/15/434

       4,035,000        3,757,594  

4.875%, 5/5/214

       18,625,000        19,765,781  

5.375%, 10/17/234

       6,690,000        7,325,550  

5.875%, 1/15/244

       9,340,000        10,577,550  

6.75%, 1/15/444

       2,585,000        3,205,400  

11.625%, 3/4/194

       4,245,000        5,629,931  

Republic of Indonesia Treasury Bonds:

                

Series FR68, 8.375%, 3/15/34

   IDR     340,750,000,000        28,385,067  

Series FR70, 8.375%, 3/15/24

   IDR     364,910,000,000        30,857,332  

Series FR71, 9.00%, 3/15/29

   IDR     372,270,000,000        32,741,695  
      

177,631,056  

 

Israel—0.3%

                

State of Israel Unsec. Bonds, 5%, 1/31/20

   ILS     65,640,000       

19,833,522  

 

Italy—3.9%

                

Republic of Italy Buoni Poliennali del Tesoro Unsec. Bonds:

      

3.50%, 11/1/17

   EUR     21,770,000        28,444,943  

3.50%, 3/1/304

   EUR     33,700,000        45,551,422  

4.50%, 3/1/24

   EUR     15,000,000        22,339,979  

4.75%, 9/1/444

   EUR     48,030,000        75,324,335  

5.00%, 9/1/40

   EUR     40,540,000        64,811,097  

Republic of Italy Certificati di Credito del Tesoro Unsec. Nts., 0.982%, 10/15/171

   EUR     22,685,000        27,668,650  

Republic of Italy International Sr. Unsec. Bonds, 4.50%, 6/8/15

   JPY     5,000,000,000        42,336,617  
      

306,477,043  

 

Ivory Coast—0.6%

                

Republic of Cote d’Ivoire Sr. Unsec. Bonds:

      

5.375%, 7/23/244

       4,000,000        3,840,800  

5.75%, 12/31/321

       41,835,000        40,356,802  
      

44,197,602  

 

Japan—4.2%

                

Japan Bank for International Cooperation Sr. Unsec. Nts., 2.30%, 3/19/18

   CAD     13,205,000        11,553,863  

Japan Sr. Unsec. Bonds:

                

Series 112, 2.10%, 6/20/29

   JPY     5,243,000,000        52,627,368  

Series 134, 1.80%, 3/20/32

   JPY     6,053,000,000        58,168,532  

Series 143, 1.60%, 3/20/33

   JPY     6,414,000,000        59,524,790  

Series 36, 2.00%, 3/20/42

   JPY     12,678,000,000        124,713,289  

 

4 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Japan (Continued)

                

Japan Sr. Unsec. Bonds: (Continued)

                

Series 38, 1.80%, 3/20/43

   JPY                 3,031,000,000        $            28,653,274  
      

335,241,116  

 

Kenya—0.2%

                

Republic of Kenya Sr. Unsec. Bonds:

      

5.875%, 6/24/194

       4,755,000        4,826,325  

6.875%, 6/24/244

       9,805,000        10,319,763  
      

15,146,088  

 

Latvia—0.1%

                

Republic of Latvia Sr. Unsec. Nts., 5.25%, 6/16/214

       8,300,000       

9,327,125  

 

Lebanon—0.2%

                

Lebanese Republic International Bonds:

      

5.45%, 11/28/19

       4,080,000        4,102,440  

6.00%, 1/27/23

       2,435,000        2,453,750  

6.10%, 10/4/22

       5,220,000        5,337,450  

6.60%, 11/27/26

       5,775,000        5,991,562  
      

17,885,202  

 

Lithuania—0.3%

                

Republic of Lithuania Sr. Unsec. Bonds, 6.125%, 3/9/214

       20,300,000       

23,713,039  

 

Malaysia—0.5%

                

1MDB Global Investments Ltd. Sr. Unsec. Nts., 4.40%, 3/9/23

       18,000,000        17,819,100  

Federation of Malaysia Sr. Unsec. Bonds, 4.262%, 9/15/16

   MYR     83,350,000        24,139,128  
      

41,958,228  

 

Mexico—1.9%

                

United Mexican States Bonds, 3.60%, 1/30/25

       12,885,000        12,904,328  

United Mexican States Sr. Unsec. Nts., 5.625%, 3/19/14

   GBP     8,000,000        12,524,909  

United Mexican States Unsec. Bonds:

                

Series M, 6.50%, 6/9/22

   MXN     352,750,000        25,127,970  

Series M, 8.00%, 12/7/23

   MXN     44,000,000        3,433,430  

Series M10, 7.75%, 12/14/17

   MXN     751,940,000        55,788,023  

Series M20, 4.75%, 3/8/44

       3,260,000        3,414,850  

Series M20, 7.50%, 6/3/27

   MXN     141,470,000        10,724,469  

Series M20, 8.50%, 5/31/29

   MXN     203,080,000        16,666,827  

Series M30, 8.50%, 11/18/38

   MXN     96,800,000        8,145,451  

Series M30, 10.00%, 11/20/36

   MXN     45,100,000        4,291,661  
      

153,021,918  

 

Morocco—0.2%

                

Kingdom of Morocco Sr. Unsec. Bonds, 5.50%, 12/11/424

       9,755,000        10,086,963  

Kingdom of Morocco Sr. Unsec. Nts., 4.25%, 12/11/224

         8,890,000        9,045,575  
      

19,132,538  

 

New Zealand—0.1%

                

Commonwealth of New Zealand Bonds, 3%, 9/20/305

   NZD     10,000,000        8,813,121  

 

5 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Panama—0.3%

                

Republic of Panama Sr. Unsec. Bonds:

      

4.00%, 9/22/24

     $             4,550,000        $            4,697,875  

5.20%, 1/30/20

       8,220,000        9,103,650  

6.70%, 1/26/36

       4,710,000        6,111,225  

9.375%, 4/1/29

       4,370,000        6,653,325  
      

26,566,075  

 

Paraguay—0.1%

                

Republic of Paraguay Sr. Unsec. Bonds, 6.10%, 8/11/444

 

      

 

10,180,000  

 

  

 

 

10,892,600  

 

Peru—0.4%

                

Republic of Peru Sr. Unsec. Bonds:

      

5.625%, 11/18/50

       6,520,000        7,709,900  

7.35%, 7/21/25

       7,640,000        10,180,300  

7.84%, 8/12/204

   PEN     8,245,000        3,171,282  

8.20%, 8/12/264

   PEN     17,240,000        6,957,444  
      

28,018,926  

 

Philippines—0.5%

                

Republic of the Philippines Sr. Unsec. Bonds:

      

6.375%, 1/15/32

       14,555,000        19,121,631  

6.375%, 10/23/34

       17,680,000        23,735,400  
      

42,857,031  

 

Poland—0.6%

                

Republic of Poland Sr. Unsec. Bonds:

      

3.00%, 3/17/23

       31,470,000        31,418,200  

5.125%, 4/21/21

       13,210,000        14,891,633  
      

46,309,833  

 

Portugal—1.2%

                

Republic of Portugal Obrigacoes do Tesouro OT Sr. Unsec. Bonds:

      

4.75%, 6/14/19

   EUR     6,620,000        9,141,394  

5.65%, 2/15/244

   EUR     55,000,000        82,556,289  
      

91,697,683  

 

Romania—0.9%

                

Romania Sr. Unsec. Bonds:

      

4.875%, 1/22/244

       6,045,000        6,619,275  

6.125%, 1/22/444

       8,025,000        9,740,344  

6.75%, 2/7/224

         23,770,000        28,699,423  

Romania Unsec. Bonds:

      

5.85%, 4/26/23

   RON     26,670,000        8,384,396  

5.90%, 7/26/17

   RON     64,340,000        18,983,734  
      

72,427,172  

 

Russia—0.3%

                

AHML Via AHML Finance Ltd. Unsec. Nts., 7.75%, 2/13/184

   RUB     132,500,000        1,483,128  

Russian Federation Sr. Unsec. Bonds, 4.875%, 9/16/234

         12,910,000        11,567,360  

Russian Federation Sr. Unsec. Nts., 5%, 4/29/204

         10,620,000        9,927,045  
      

22,977,533  

 

Senegal—0.1%

                

Republic of Senegal Unsec. Bonds, 6.25%, 7/30/244

       6,790,000        6,502,783  

 

6 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Serbia—0.3%

                

Republic of Serbia Sr. Unsec. Bonds, 5.25%, 11/21/174

     $             11,685,000        $            12,058,920  

Republic of Serbia Unsec. Bonds, 5.875%, 12/3/184

         12,495,000        13,088,513  
      

25,147,433  

 

Singapore—0.2%

                

Republic of Singapore Sr. Unsec. Bonds, 2.375%, 4/1/17

   SGD     25,130,000       

19,670,587  

 

South Africa—2.1%

                

Republic of South Africa Sr. Unsec. Bonds:

      

5.375%, 7/24/44

       8,670,000        9,173,944  

5.875%, 9/16/25

       16,150,000        18,237,387  

Series R208, 6.75%, 3/31/21

   ZAR     514,540,000        42,606,639  

Republic of South Africa Unsec. Bonds:

      

Series 2023, 7.75%, 2/28/23

   ZAR     311,100,000        26,783,067  

Series 2030, 8.00%, 1/31/30

   ZAR     105,600,000        8,855,420  

Series 2032, 8.25%, 3/31/32

   ZAR     75,500,000        6,335,597  

Series 2048, 8.75%, 2/28/48

   ZAR     101,300,000        8,786,529  

Series R186, 10.50%, 12/21/26

   ZAR     417,300,000        43,415,397  
      

164,193,980  

 

Spain—1.7%

                

Instituto de Credito Oficial Sr. Unsec. Nts., 5%, 5/15/15

   NOK     85,000,000        11,521,588  

Kingdom of Spain Bonds:

                

3.80%, 4/30/244

   EUR     15,000,000        21,723,471  

5.15%, 10/31/284

   EUR     4,650,000        7,544,497  

5.15%, 10/31/444

   EUR     32,140,000        55,651,708  

Kingdom of Spain Inflation Linked Bonds, 0.55%, 11/30/194,5

   EUR     17,037,570        20,796,292  

Kingdom of Spain Sr. Unsec. Bonds, 2.75%, 10/31/244

   EUR     12,000,000        16,018,487  
      

133,256,043  

 

Sri Lanka—0.4%

                

Democratic Socialist Republic of Sri Lanka Sr. Unsec. Bonds:

      

5.875%, 7/25/224

       8,565,000        8,789,831  

6.00%, 1/14/194

       9,030,000        9,413,775  

6.25%, 10/4/204

       10,195,000        10,717,494  

Democratic Socialist Republic of Sri Lanka Unsec. Bonds,

                

7.40%, 1/22/154

       6,750,000        6,758,437  
      

35,679,537  

 

Sweden—0.2%

                

Kingdom of Sweden Unsec. Bonds, 4.25%, 3/12/19

   SEK     108,600,000       

16,329,237  

 

Tanzania—0.2%

                

United Republic of Tanzania Sr. Unsec. Nts., 6.329%, 3/9/201

       12,160,000       

12,764,680  

 

Turkey—2.0%

                

Republic of Turkey Bonds:

      

4.875%, 4/16/43

       5,325,000        5,330,751  

8.20%, 7/13/16

   TRY     33,900,000        14,627,395  

8.30%, 10/7/15

   TRY     14,215,000        6,095,057  

8.80%, 11/14/18

   TRY     44,165,000        19,602,862  

8.80%, 9/27/23

   TRY     34,465,000        15,646,878  

10.40%, 3/20/24

   TRY     20,180,000        10,094,331  

 

 

7 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Turkey (Continued)

                

Republic of Turkey Bonds: (Continued)

      

10.50%, 1/15/20

   TRY                 12,240,000        $            5,824,752  

Republic of Turkey Sr. Unsec. Bonds:

                

4.35%, 11/12/21

   EUR     7,830,000        10,384,963  

6.25%, 9/26/22

       16,195,000        18,523,031  

6.625%, 2/17/45

       2,635,000        3,246,979  

6.875%, 3/17/36

       6,590,000        8,171,600  

Republic of Turkey Unsec. Bonds:

                

5.828%, 2/11/155

   TRY     20,680,000        12,922,204  

6.30%, 2/14/18

   TRY     28,925,000        11,934,637  

7.10%, 3/8/23

   TRY     25,530,000        10,442,044  

9.00%, 3/8/17

   TRY     6,615,000        2,908,140  

9.00%, 7/24/24

   TRY     14,750,000        6,827,281  
      

162,582,905  

 

Ukraine—0.0%

                

Ukraine International Bonds, 7.80%, 11/28/224

       5,330,000       

3,304,600  

 

United Arab Emirates—0.1%

                

Emirate of Dubai Sr. Unsec. International Bonds, 5.25%, 1/30/43

       4,675,000       

4,310,986  

 

United Kingdom—7.1%

                

United Kingdom Unsec. Treasury Bonds:

      

2.75%, 1/22/15

   GBP     99,000,000        154,511,710  

3.75%, 9/7/21

   GBP     104,275,000        186,746,255  

4.00%, 9/7/16

   GBP     41,200,000        68,062,234  

4.25%, 12/7/55

   GBP     15,155,000        34,489,546  

4.75%, 12/7/38

   GBP     37,875,000        84,177,824  

6.00%, 12/7/28

   GBP     14,500,000        33,619,765  
      

561,607,334  

 

Uruguay—0.1%

                

Oriental Republic of Uruguay Sr. Unsec. Bonds, 5.10%, 6/18/50

       10,810,000       

10,999,175  

 

Venezuela—0.1%

                

Bolivarian Republic of Venezuela Sr. Unsec. Bonds:

      

7.75%, 10/13/19

       4,250,000        1,908,250  

8.25%, 10/13/24

       2,745,000        1,207,800  

13.625%, 8/15/184

       8,695,000        4,417,060  
      

7,533,110  

 

Vietnam—0.1%

                

Socialist Republic of Vietnam Bonds, 4.80%, 11/19/244

       6,725,000        6,943,563  

Total Foreign Government Obligations (Cost $4,306,328,432)

      

4,166,916,466  

 

Corporate Bonds and Notes—28.8%

                

Consumer Discretionary—1.3%

                

Auto Components—0.2%

                

GKN Holdings plc:

                

5.375% Sr. Unsec. Nts., 9/19/22

   GBP     2,485,000        4,465,968  

6.75% Sr. Unsec. Nts., 10/28/19

   GBP     4,585,000        8,513,617  
       12,979,585  

 

8 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value
Automobiles—0.1%                 
Daimler Finance North America LLC, 2.375% Sr. Unsec. Nts., 8/1/184        $             6,035,000        $            6,124,891  
Geely Automobile Holdings Ltd., 5.25% Sr. Unsec. Nts., 10/6/194          720,000        700,200  
Volkswagen International Finance NV, 3.875% Jr. Sub. Perpetual Bonds1,6    EUR     3,390,000        4,368,376  
      

11,193,467  

 

Hotels, Restaurants & Leisure—0.1%                 
GTECH SpA, 8.25% Jr. Sub. Nts., 3/31/661,4    EUR     5,096,000       

6,713,684  

 

Household Durables—0.0%                 
Arcelik AS, 5% Sr. Unsec. Nts., 4/3/234          1,200,000       

1,161,720  

 

Media—0.8%                 
Altice SA, 7.25% Sr. Sec. Nts., 5/15/224    EUR     13,115,000        16,120,215  
Myriad International Holdings BV, 6% Sr. Unsec. Nts., 7/18/204          3,290,000        3,610,775  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4% Sr. Sec. Nts., 1/15/254    EUR     2,000,000        2,477,577  
UPC Holding BV, 6.75% Sr. Unsec. Nts., 3/15/234    EUR     6,840,000        9,072,948  
Virgin Media Finance plc:                 
6.375% Sr. Unsec. Nts., 10/15/244    GBP     3,500,000        5,891,028  
7.00% Sr. Unsec. Nts., 4/15/23    GBP     5,000,000        8,494,035  
7.00% Sr. Unsec. Nts., 4/15/234    GBP     3,315,000        5,631,545  
Virgin Media Secured Finance plc, 6% Sr. Sec. Nts., 4/15/214    GBP     6,845,000        11,281,348  
VTR Finance BV, 6.875% Sr. Sec. Nts., 1/15/244          3,415,000        3,491,837  
      

66,071,308  

 

Multiline Retail—0.1%                 
LS Finance 2017 Ltd., 5.25% Sr. Unsec. Nts., 1/26/17          5,000,000        5,282,205  
SACI Falabella, 4.375% Sr. Unsec. Nts., 1/27/254          2,165,000        2,126,311  
      

7,408,516  

 

Consumer Staples—0.3%                 
Beverages—0.2%                 
Compania Brasileira de Aluminio, 4.75% Sr. Unsec. Nts., 6/17/244          7,940,000        7,751,425  
Pernod Ricard SA:                 
4.45% Sr. Unsec. Nts., 1/15/224        3,065,000        3,286,593  
5.75% Sr. Unsec. Nts., 4/7/214        2,550,000        2,933,036  
      

13,971,054  

 

Food & Staples Retailing—0.0%                 
Walgreens Boots Alliance, Inc., 2.125% Sr. Unsec. Nts., 11/20/26    EUR     4,250,000       

5,247,248  

 

Food Products—0.1%                 
BRF SA, 4.75% Sr. Unsec. Nts., 5/22/244          2,265,000        2,205,544  
Gruma SAB de CV, 4.875% Sr. Unsec. Nts., 12/1/244          1,865,000        1,934,937  
Marfrig Holding Europe BV, 6.875% Sr. Unsec. Nts., 6/24/194          1,660,000        1,547,950  

 

9 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Food Products (Continued)

                

Minerva Luxembourg SA, 7.75% Sr. Unsec. Nts., 1/31/234

       $             1,445,000        $            1,419,713  
      

7,108,144  

 

Energy—3.5%

                

Energy Equipment & Services—0.7%

                

GNL Quintero SA, 4.634% Sr. Unsec. Nts., 7/31/294

         2,205,000        2,237,561  

Pertamina Persero PT, 5.625% Sr. Unsec. Nts., 5/20/434

         17,615,000        16,646,175  

Seadrill Ltd.:

                

6.125% Sr. Unsec. Nts., 9/15/174

       7,115,000        6,332,350  

6.50% Sr. Unsec. Nts., 10/5/15

       1,540,000        1,543,850  

Sinopec Group Overseas Development 2013 Ltd., 4.375% Sr.

                

Unsec. Nts., 10/17/234

       9,990,000        10,495,834  

Sinopec Group Overseas Development 2014 Ltd., 2.75% Sr.

                

Unsec. Nts., 4/10/194

       12,930,000        12,906,493  
      

50,162,263  

 

Oil, Gas & Consumable Fuels—2.8%

                

CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Nts., 10/3/234

         9,930,000        10,459,716  

Cosan Luxembourg SA, 5% Sr. Unsec. Nts., 3/14/234

         1,410,000        1,258,425  

Delek & Avner Tamar Bond Ltd., 5.082% Sr. Sec. Nts., 12/30/234

         1,945,000        1,944,214  

Empresa Nacional del Petroleo:

                

4.375% Sr. Unsec. Nts., 10/30/244

       9,680,000        9,489,575  

4.75% Sr. Unsec. Nts., 12/6/214

       5,325,000        5,418,209  

Gazprom OAO Via Gaz Capital SA:

                

4.30% Sr. Unsec. Nts., 11/12/154

       9,685,000        9,515,057  

4.95% Sr. Unsec. Nts., 7/19/224

       3,330,000        2,713,950  

KazMunayGas National Co. JSC, 5.75% Sr. Unsec. Nts., 4/30/434

         8,505,000        7,186,725  

MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/214

         4,180,000        3,835,150  

Novatek OAO via Novatek Finance Ltd., 4.422% Sr. Unsec. Nts., 12/13/224

         2,830,000        2,122,500  

Oil India Ltd., 5.375% Sr. Unsec. Nts., 4/17/24

         15,000,000        16,183,455  

Origin Energy Finance Ltd.:

                

3.50% Sr. Unsec. Nts., 10/9/184

       11,141,000        11,377,434  

5.45% Sr. Unsec. Nts., 10/14/214

       596,000        652,379  

Pacific Rubiales Energy Corp.:

                

5.125% Sr. Unsec. Nts., 3/28/234

       5,000,000        3,962,500  

5.375% Sr. Unsec. Nts., 1/26/194

       4,000,000        3,456,000  

5.625% Sr. Unsec. Nts., 1/19/254

       10,955,000        8,435,350  

Petroleos de Venezuela SA:

                

5.375% Sr. Unsec. Nts., 4/12/27

       7,000,000        2,486,750  

6.00% Sr. Unsec. Nts., 11/15/264

       18,275,000        6,761,750  

Petroleos Mexicanos:

                

3.50% Sr. Unsec. Nts., 1/30/23

       13,635,000        13,075,965  

5.50% Sr. Unsec. Nts., 6/27/444

       12,930,000        13,253,250  

6.375% Sr. Unsec. Nts., 1/23/45

       12,395,000        14,099,313  

6.625% Sr. Unsec. Nts., 6/15/35

       9,160,000        10,625,600  

8.00% Sr. Unsec. Nts., 5/3/19

       29,755,000        35,334,063  

Petroleum Co. of Trinidad & Tobago Ltd.:

                

6.00% Sr. Unsec. Nts., 5/8/224

       2,346,875        2,393,812  

9.75% Sr. Unsec. Nts., 8/14/194

       3,865,000          4,580,025  

 

10 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Oil, Gas & Consumable Fuels (Continued)

                

Petronas Capital Ltd., 7.875% Sr. Unsec. Nts., 5/22/224

       $             7,585,000        $            9,843,896  

PTT Exploration & Production PCL, 4.875% Sub. Perpetual Bonds1,4,6

         8,550,000        8,443,980  

Seven Energy Ltd., 10.25% Sr. Sec. Nts., 10/11/214

         1,395,000        1,288,631  

Tullow Oil plc, 6% Sr. Unsec. Nts., 11/1/204

         4,056,000        3,407,040  
      

223,604,714  

 

Financials—15.2%

                

Capital Markets—0.7%

                

Deutsche Bank AG, 7.50% Jr. Sub. Perpetual Bonds1,6

         2,190,000        2,107,875  

Deutsche Bank Capital Trust V, 4.901% Jr. Sub. Perpetual Bonds1,6,7

         4,700,000        4,629,500  

Fermaca Enterprises S de RL de CV, 6.375% Sr. Sec. Nts., 3/30/384

         3,230,000        3,302,675  

Is Yatirim Menkul Degerler AS, 9.786% Unsec. Nts., 2/24/1510

   TRY     16,850,000        7,118,789  

Red de Carreteras de Occidente SAPIB de CV, 9% Sr. Sec. Nts., 6/10/284

   MXN     151,500,000        10,052,720  

Seven & Seven Ltd., 1.395% Sr. Unsec. Nts., 9/11/191,7

         5,000,000        5,001,055  

UBS AG (Jersey Branch), 7.25% Sub. Nts., 2/22/221

         24,715,000        26,560,420  
      

58,773,034  

 

Commercial Banks—11.0%

                

Abbey National Treasury Services plc, 2.35% Sr. Unsec. Nts., 9/10/19

         6,000,000        5,986,386  

Akbank TAS, 7.50% Sr. Unsec. Nts., 2/5/184

   TRY     11,095,000        4,373,931  

Banco ABC Brasil SA, 8.50% Sr. Unsec. Nts., 3/28/164

   BRL     8,360,000        3,066,361  

Banco Bilbao Vizcaya Argentaria SA, 9% Jr. Sub. Perpetual Bonds1,6

         10,405,000        11,159,363  

Banco del Estado de Chile, 4.125% Sr. Unsec. Nts., 10/7/204

         15,125,000        15,882,687  

Banco Santander Brasil SA (Cayman Islands), 8% Sr. Unsec.

                

Unsub. Nts., 3/18/164

   BRL     14,290,000        5,190,353  

Banco Santander SA:

      

6.25% Jr. Sub. Perpetual Bonds1,6

   EUR     690,000        809,573  

6.375% Jr. Sub. Perpetual Bonds1,6

       4,160,000        4,074,454  

Bancolombia SA, 5.125% Unsec. Sub. Nts., 9/11/22

         6,700,000        6,674,875  

Bank of Ireland, 10% Sub. Nts., 2/12/20

   EUR     10,000,000        15,134,095  

Bank of Scotland plc:

                

4.875% Sec. Nts., 11/8/16

   GBP     5,170,000        8,651,979  

4.875% Sec. Nts., 12/20/24

   GBP     8,675,000        16,559,423  

Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 3.25% Sr. Unsec. Nts., 9/8/244

         10,000,000        9,943,140  

Barclays plc:

                

4.375% Sub. Nts., 9/11/24

       12,000,000        11,583,252  

6.50% Jr. Sub. Perpetual Bonds1,6

   EUR     15,000,000        17,800,313  

6.625% Jr. Sub. Perpetual Bonds1,6

       1,220,000        1,170,050  

7.00% Jr. Sub. Perpetual Bonds1,6

   GBP     11,433,000        17,126,278  

8.25% Jr. Sub. Perpetual Bonds1,6

       8,000,000        8,215,352  

BNP Paribas SA, 5.945% Jr. Sub. Perpetual Bonds1,6

   GBP     9,965,000        15,822,663  

BPCE SA:

                

4.50% Sub. Nts., 3/15/254

       5,000,000        4,895,500  

 

11 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Commercial Banks (Continued)

                

BPCE SA: (Continued)

                

9.00% Jr. Sub. Perpetual Bonds1,6

   EUR                 17,050,000        $            20,940,492  

Brazil Loan Trust 1, 5.477% Sec. Nts., 7/24/237

         11,015,000        11,175,951  

Commerzbank AG, 8.125% Sub. Nts., 9/19/234

         15,775,000        18,198,040  

Corp. Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/224

         9,995,000        10,419,788  

Corpbanca SA, 3.875% Sr. Unsec. Nts., 9/22/194

         3,270,000        3,285,186  

CorpGroup Banking SA, 6.75% Sr. Unsec. Nts., 3/15/234

         3,530,000        3,496,599  

Credit Agricole SA:

                

6.637% Jr. Sub. Perpetual Bonds1,4,6

       3,486,000        3,656,995  

8.375% Jr. Sub. Perpetual Bonds1,6,7

       41,450,000        47,978,375  

8.375% Jr. Sub. Perpetual Bonds1,6

       1,200,000        1,389,000  

Danske Bank:

                

5.684% Jr. Sub. Perpetual Bonds1,6

   GBP     7,025,000        11,255,741  

5.75% Jr. Sub. Perpetual Bonds1,6

   EUR     410,000        502,652  

DBS Bank Ltd., 3.625% Sub. Nts., 9/21/221,4

         3,935,000        4,062,789  

EUROFIMA, 6.25% Sr. Unsec. Nts., 12/28/18

   AUD     5,270,000        4,846,590  

European Investment Bank, 6% Sr. Unsec. Nts., 8/6/20

   AUD     15,000,000        14,148,562  

Export-Import Bank of India, 4% Sr. Unsec. Nts., 1/14/23

         5,245,000        5,271,854  

Finansbank AS, 6.25% Sr. Unsec. Nts., 4/30/194

         3,025,000        3,146,605  

Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/224

         6,870,000        6,663,900  

Hana Bank, 4.375% Sub. Nts., 9/30/244

         15,000,000        15,653,145  

HBOS Capital Funding LP, 6.461% Jr. Sub. Perpetual Bonds1,6

   GBP     3,385,000        5,540,973  

HSBC Holdings plc, 6.375% Jr. Sub. Perpetual Bonds1,6

         20,635,000        20,867,144  

ICICI Bank Ltd., 6.375% Jr. Sub. Nts., 4/30/221,4

         3,395,000        3,505,338  

ICICI Bank Ltd. (Hong Kong), 5.75% Sr. Unsec. Nts., 11/16/204

         16,020,000        17,822,490  

Industrial & Commercial Bank of China Ltd.:

                

6.00% Jr. Sub. Perpetual Bonds1,4,6

   CNH     50,000,000        8,113,749  

6.00% Jr. Sub. Perpetual Bonds1,4,6

       12,000,000        12,165,000  

Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/244

         8,705,000        8,464,020  

Krung Thai Bank PCL (Cayman Islands), 5.20% Sub. Nts., 12/26/241

         5,000,000        5,107,475  

LBG Capital No. 2 plc, 15% Sr. Unsec. Nts., 12/21/19

   GBP     12,000,000        25,754,306  

Lloyds Bank plc, 2.35% Sr. Unsec. Nts., 9/5/19

         5,000,000        5,001,885  

Lloyds Banking Group plc:

                

4.50% Sub. Nts., 11/4/24

       2,000,000        2,022,264  

7.00% Jr. Sub. Perpetual Bonds1,6

   GBP     13,000,000        20,148,232  

7.625% Jr. Sub. Perpetual Bonds1,6

   GBP     3,265,000        5,095,724  

MFB Magyar Fejlesztesi Bank Zrt, 6.25% Sr. Unsec. Nts., 10/21/204

         13,900,000        15,429,000  

Mitsubishi UFJ Trust & Banking Corp., 1.60% Sr. Unsec. Nts., 10/16/174

         7,000,000        6,953,107  

Mizuho Bank Ltd.:

                

1.70% Sr. Unsec. Nts., 9/25/174

       10,000,000        9,959,460  

2.45% Sr. Unsec. Nts., 4/16/194

       4,890,000        4,863,090  

National Capital Trust II Delaware, 5.486% Jr. Sub. Perpetual Bonds1,4,6

         10,000,000        10,075,000  

NN Group NV:

                

4.625% Sub. Nts., 4/8/441

   EUR     1,490,000        1,904,280  

6.375% Sub. Nts., 5/7/271

   EUR     26,900,000        35,863,937  

Nordea Bank AB:

                

5.50% Jr. Sub. Perpetual Bonds1,4,6

       5,165,000        5,106,894  

 

12 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Commercial Banks (Continued)

                

Nordea Bank AB: (Continued)

                

6.125% Jr. Sub. Perpetual Bonds1,4,6

     $             10,725,000        $            10,650,719  

Oversea-Chinese Banking Corp. Ltd.:

                

3.75% Sub. Nts., 11/15/221

       4,500,000        4,637,520  

4.00% Sub. Nts., 10/15/241,4

       22,000,000        22,549,054  

4.25% Sub. Nts., 6/19/244

       15,000,000        15,379,140  

Rabobank Capital Funding Trust IV, 5.556% Jr. Sub. Perpetual Bonds1,4,6

   GBP     8,355,000        13,677,336  

RBS Capital Trust III, 2.095% Jr. Sub. Perpetual Bonds1,6

         6,328,000        6,324,836  

Royal Bank of Scotland Group plc, 6% Sub. Nts., 12/19/23

         8,720,000        9,454,983  

Royal Bank of Scotland Group plc, 3.625% Sub. Nts., 3/25/241

   EUR     9,000,000        11,008,916  

Royal Bank of Scotland plc (The):

                

2.375% Sub. Nts., 11/2/15

   CHF     3,020,000        3,051,136  

13.125% Sub. Nts., 3/19/221

   AUD     30,052,000        28,771,747  

Santander UK plc, 5% Sub. Nts., 11/7/234

         2,800,000        2,962,641  

Scottish Widows plc, 5.125% Jr. Sub. Perpetual Bonds1,6

   GBP     1,760,000        2,758,338  

Skandinaviska Enskilda Banken AB, 2.375% Sr. Unsec. Nts., 11/20/184

         6,100,000        6,176,122  

Societe Generale SA:

                

5.922% Jr. Sub. Perpetual Bonds1,4,6

       12,480,000        13,002,662  

7.875% Jr. Sub. Perpetual Bonds1,4,6

       10,000,000        9,712,500  

Standard Chartered plc, 5.20% Sub. Nts., 1/26/244

         10,000,000        10,409,370  

State Bank of India (London), 4.875% Sr. Unsec. Nts., 4/17/244

         2,260,000        2,409,377  

TC Ziraat Bankasi AS, 4.25% Sr. Unsec. Nts., 7/3/194

         16,310,000        16,298,583  

Toronto-Dominion Bank (The), 2.625% Sr. Unsec. Nts., 9/10/18

         6,125,000        6,286,094  

Turkiye Halk Bankasi AS, 4.75% Sr. Unsec. Nts., 6/4/194

         2,590,000        2,629,627  

Turkiye Is Bankasi AS:

                

5.00% Sr. Unsec. Nts., 4/30/204

       3,240,000        3,316,950  

8.864% Unsec. Nts., 2/9/15

   TRY     16,300,000        6,918,584  

Turkiye Sise ve Cam Fabrikalari AS, 4.25% Sr. Unsec. Nts., 5/9/204

         2,595,000        2,545,550  

UniCredit SpA, 8% Jr. Sub. Perpetual Bonds1,6

         810,000        790,562  

United Overseas Bank Ltd., 2.875% Sub. Nts., 10/17/221

         18,000,000        18,162,000  

Westpac Banking Corp., 1.50% Sr. Unsec. Nts., 12/1/17

         30,000,000        29,988,690  

Woori Bank, 4.75% Sub. Nts., 4/30/244

         15,000,000        15,536,205  
      

875,384,902  

 

Consumer Finance—0.0%

                

Astana Finance JSC, 9.16% Sr. Unsec. Nts., 3/14/128

         14,000,000       

805,000  

 

Diversified Financial Services—1.9%

                

ABN AMRO Bank NV, 4.31% Jr. Sub. Perpetual Bonds1,6

   EUR     11,455,000        14,103,554  

AyT Cedulas Cajas X Fondo de Titulizacion de Activos, 3.75% Sec. Nts., 6/30/25

   EUR     5,000,000        7,096,701  

Baggot Securities Ltd., 10.24% Sec. Perpetual Bonds4,6

   EUR     14,460,000        18,372,189  

Banco BTG Pactual SA (Cayman Islands), 4% Sr. Unsec. Nts., 1/16/204

         3,965,000        3,548,675  

CDP Financial, Inc., 3.15% Sr. Unsec. Nts., 7/24/244

         20,000,000        20,433,000  

Cedulas TDA 6 Fondo de Titulizacion de Activos, 3.875% Sec. Nts., 5/23/25

   EUR     5,000,000        7,221,639  

Corp. Financiera de Desarrollo SA, 5.25% Sub. Nts., 7/15/291,4

         2,410,000        2,452,657  

 

13 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Diversified Financial Services (Continued)

                

Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/194

       $             24,865,000        $            26,606,793  

FTE Verwaltungs GmbH, 9% Sr. Sec. Nts., 7/15/204

   EUR     4,820,000        5,770,471  

Global Bank Corp., 5.125% Sr. Unsec. Nts., 10/30/194

         3,015,000        3,045,828  

InRetail Consumer, 5.25% Sr. Unsec. Nts., 10/10/214

         1,395,000        1,422,900  

JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/357

   MXN     34,101,099        233,340  

Magyar Export-Import Bank Zrt, 5.50% Sr. Unsec. Nts., 2/12/184

         11,220,000        11,963,392  

National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/184

         11,135,000        12,443,363  

Odebrecht Finance Ltd., 5.25% Sr. Unsec. Nts., 6/27/294

         2,170,000        1,919,365  

SPCM SA, 5.50% Sr. Unsec. Nts., 6/15/204

   EUR     775,000        994,319  

State Grid Overseas Investment 2014 Ltd., 4.125% Sr. Unsec. Nts., 5/7/244

         12,400,000        13,065,682  
      

150,693,868  

 

Insurance—1.0%

                

Assicurazioni Generali SpA:

                

7.75% Sr. Sub. Nts., 12/12/421

   EUR     2,000,000        3,032,191  

10.125% Sr. Sub. Nts., 7/10/421

   EUR     10,000,000        16,785,329  

Aviva plc, 6.125% Jr. Sub. Perpetual Bonds1,6

   GBP     6,890,000        11,442,164  

Dai-ichi Life Insurance Co. Ltd. (The), 5.10% Jr. Sub. Perpetual Bonds1,4,6

         5,000,000        5,231,980  

Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,6,7

         28,005,000        29,405,250  
Swiss Reinsurance Co. via ELM BV:
3.985% Jr. Sub. Perpetual Bonds1,6
   AUD     10,000,000        7,937,016  

6.302% Sub. Perpetual Bonds1,6

   GBP     4,550,000        7,737,004  
      

81,570,934  

 

Real Estate Investment Trusts (REITs)—0.1%

                

Banco Invex SA/Hipotecaria Credito y Casa SA de CV, 6.45% Sec. Nts., 3/13/348

   MXN     27,602,566        —  

TRUST F/1401, 5.25% Sr. Unsec. Nts., 12/15/244

         3,890,000        4,016,814  
      

4,016,814  

 

Real Estate Management & Development—0.5%

                

Country Garden Holdings Co. Ltd., 7.875% Sr. Unsec. Nts., 5/27/194

         2,895,000        2,934,082  

EMG SUKUK Ltd., 4.564% Sr. Unsec. Nts., 6/18/24

         4,365,000      4,473,492  

Fondo MIVIVIENDA SA, 3.50% Sr. Unsec. Nts., 1/31/234

         15,410,000        14,716,550  

Franshion Brilliant Ltd., 5.75% Sr. Unsec. Nts., 3/19/19

         2,190,000        2,249,511  

Jafz Sukuk Ltd., 7% Sr. Unsec. Nts., 6/19/19

         3,135,000        3,573,900  

Logan Property Holdings Co. Ltd., 11.25% Sr. Unsec. Nts., 6/4/19

         5,000,000        4,985,095  

Sukuk Funding No. 3 Ltd., 4.348% Sr. Unsec. Nts., 12/3/18

         3,045,000        3,181,142  

Techem GmbH, 6.125% Sr. Sec. Nts., 10/1/194

   EUR     2,635,000        3,411,593  
      

39,525,365  

 

Industrials—1.7%

                

Air Freight & Couriers—0.0%

                

Kazakhstan Temir Zholy Finance BV, 6.95% Sr. Unsec. Nts., 7/10/424

         1,550,000        1,502,725  

 

14 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value  

Airlines—0.1%

                

Emirates Airline, 4.50% Sr. Unsec. Nts., 2/6/254

       $             9,155,000     

$            9,223,662  

 

Construction & Engineering—0.2%

                

China Overseas Finance Cayman II Ltd., 5.50% Sr. Unsec. Nts., 11/10/20

         5,000,000      5,418,150  

China Overseas Finance Cayman V Ltd., 3.95% Sr. Unsec. Nts., 11/15/22

         5,000,000      4,859,980  

Consolidated Energy Finance SA, 6.75% Sr. Unsec. Nts., 10/15/194

         1,400,000      1,375,500  

Empresas ICA SAB de CV, 8.875% Sr. Unsec. Nts., 5/29/244

         1,395,000      1,279,912  

OAS Financial Ltd., 8% Sr. Unsec. Nts., 7/2/214

         1,380,000      476,100  

Odebrecht Finance Ltd., 8.25% Sr. Unsec. Nts., 4/25/184

   BRL     9,645,000      3,084,136  
      

16,493,778  

 

Electrical Equipment—0.0%

                

ESAL GmbH, 6.25% Sr. Unsec. Nts., 2/5/234

         455,000     

433,387  

 

Industrial Conglomerates—0.7%

                

Alfa SAB de CV, 5.25% Sr. Unsec. Nts., 3/25/244

         2,540,000      2,647,950  

CITIC Ltd.:

                

6.625% Sr. Unsec. Nts., 4/15/21

       5,000,000      5,694,300  

6.80% Sr. Unsec. Nts., 1/17/23

       5,000,000      5,782,750  

CITIC Ltd., 7.875% Sub. Perpetual Bonds1,6

         5,000,000      5,212,500  

General Electric Capital Australia Funding Pty Ltd., 7% Sr. Unsec. Nts., 10/8/15

   AUD     23,660,000      19,894,229  

Hutchison Whampoa Europe Finance 13 Ltd., 3.75% Sub. Perpetual Bonds1,6

   EUR     4,000,000      4,932,948  

Hutchison Whampoa International 12 Ltd., 6% Sub. Perpetual Bonds1,4,6

         5,000,000      5,342,450  

KOC Holding AS, 3.50% Sr. Unsec. Nts., 4/24/204

         3,260,000      3,167,090  
      

52,674,217  

 

Machinery—0.2%

                

KION Finance SA, 6.75% Sr. Sec. Nts., 2/15/204

   EUR     5,145,000      6,735,549  

Servus Luxembourg Holding SCA, 7.75% Sr. Sec. Nts., 6/15/184

   EUR     5,675,360      7,260,975  
      

13,996,524  

 

Road & Rail—0.4%

                

Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/204

         7,175,000      7,103,250  

REFER-Rede Ferroviaria Nacional, 4% Sr. Unsec. Nts., 3/16/15

   EUR     17,945,000      21,888,062  
      

28,991,312  

 

Transportation Infrastructure—0.1%

                

DP World Ltd., 6.85% Sr. Unsec. Nts., 7/2/374

         5,245,000      5,941,431  

Empresa de Transporte de Pasajeros Metro SA, 4.75% Unsec. Nts., 2/4/244

         5,330,000      5,627,276  
      

11,568,707

 

 

15 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Information Technology—0.5%

                

Internet Software & Services—0.4%

                

Alibaba Group Holding Ltd.:

                

2.50% Sr. Unsec. Nts., 11/28/194

     $             4,300,000      $            4,246,874  

3.125% Sr. Unsec. Nts., 11/28/214

       4,300,000      4,254,837  

4.50% Sr. Unsec. Nts., 11/28/344

       7,000,000      7,219,457  

Baidu, Inc., 2.75% Sr. Unsec. Nts., 6/9/19

         5,700,000      5,686,685  

Cerved Group SpA, 6.375% Sr. Sec. Nts., 1/15/204

   EUR     5,325,000      6,862,222  

Tencent Holdings Ltd., 3.375% Sr. Unsec. Nts., 5/2/194

         3,765,000      3,830,718  
      

32,100,793  

 

IT Services—0.0%

                

Rolta Americas LLC, 8.875% Sr. Unsec. Nts., 7/24/194

         2,025,000     

1,754,156  

 

Software—0.1%

                

Sixsigma Networks Mexico SA de CV, 8.25% Sr. Unsec. Nts., 11/7/214

         1,870,000     

1,901,790  

 

Materials—1.6%

                

Chemicals—0.2%

                

Braskem Finance Ltd., 5.375% Sr. Unsec. Nts., 5/2/224

         3,420,000      3,325,950  

Mexichem SAB de CV:

                

4.875% Sr. Unsec. Nts., 9/19/224

       5,030,000      5,206,050  

5.875% Sr. Unsec. Nts., 9/17/444

       7,000,000      6,685,000  
      

15,217,000  

 

Construction Materials—0.6%

                

Calcipar SA, 6.875% Sr. Sec. Nts., 5/1/187

         380,000      383,800  

CEMEX Espana SA, 9.875% Sr. Sec. Nts., 4/30/194

         12,505,000      13,786,763  

Cemex Finance LLC, 9.375% Sr. Sec. Nts., 10/12/224

         3,935,000      4,407,200  

Cemex SAB de CV:

                

4.75% Sr. Sec. Nts., 1/11/224

   EUR     2,440,000      2,904,543  

5.70% Sr. Sec. Nts., 1/11/254

       17,720,000      17,232,700  

CIMPOR Financial Operations BV, 5.75% Sr. Unsec. Nts., 7/17/244

         1,575,000      1,385,843  

Elementia SAB de CV, 5.50% Sr. Unsec. Nts., 1/15/254

         1,400,000      1,347,500  

HeidelbergCement Finance Luxembourg SA:

                

3.25% Sr. Unsec. Nts., 10/21/21

   EUR     1,955,000      2,596,249  

7.50% Sr. Unsec. Nts., 4/3/20

   EUR     1,775,000      2,781,666  

8.00% Sr. Unsec. Nts., 1/31/17

   EUR     2,040,000      2,822,865  

Lafarge SA, 5.375% Sr. Unsec. Nts., 6/26/17

   EUR     1,515,000      2,033,542  

Union Andina de Cementos SAA, 5.875% Sr. Unsec. Nts., 10/30/214

         1,870,000      1,901,790  
      

53,584,461  

 

Containers & Packaging—0.2%

                

Cascades, Inc., 7.875% Sr. Unsec. Nts., 1/15/20

         6,100,000      6,374,500  

Klabin Finance SA, 5.25% Sr. Unsec. Nts., 7/16/244

         4,025,000      3,894,187  

Smurfit Kappa Acquisitions, 4.875% Sr. Sec. Nts., 9/15/184

         3,985,000      4,144,400  
      

14,413,087  

 

Metals & Mining—0.5%

                

ArcelorMittal, 5% Sr. Unsec. Nts., 2/25/17

         4,505,000      4,696,462  

 

16 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value
Metals & Mining (Continued)                 
FMG Resources August 2006 Pty Ltd.:                 
6.875% Sr. Unsec. Nts., 2/1/184      $ 1,815,556        $1,652,156  
8.25% Sr. Unsec. Nts., 11/1/194        3,690,000        3,371,737  
Gestamp Funding Luxembourg SA:                 
5.875% Sr. Sec. Nts., 5/31/204    EUR     4,415,000        5,681,504  
5.875% Sr. Sec. Nts., 5/31/20    EUR     1,640,000        2,110,457  
Glencore Finance Canada Ltd.:                 
2.05% Sr. Unsec. Nts., 10/23/154        6,075,000        6,115,690  
4.95% Sr. Unsec. Nts., 11/15/214        1,750,000        1,848,898  
GTL Trade Finance, Inc., 5.893% Sr. Unsec. Nts., 4/29/244          3,455,000        3,342,713  
Metalloinvest Finance Ltd., 5.625% Unsec. Nts., 4/17/204          1,250,000        954,775  
MMC Norilsk Nickel OJSC via MMC Finance Ltd., 5.55% Sr. Unsec. Nts., 10/28/204          875,000        797,125  
ONGC Videsh Ltd., 2.75% Sr. Unsec. Nts., 7/15/21    EUR     6,500,000        7,948,619  
      

38,520,136  

 

Paper & Forest Products—0.1%                 
Fibria Overseas Finance Ltd., 5.25% Sr. Unsec. Nts., 5/12/24          2,725,000        2,714,100  
Inversiones CMPC SA, 4.75% Sr. Unsec. Nts., 9/15/244          3,055,000        3,075,502  
Suzano Trading Ltd., 5.875% Sr. Unsec. Nts., 1/23/214          1,690,000        1,744,080  
      

7,533,682  

 

Telecommunication Services—1.7%                 
Diversified Telecommunication Services—1.1%                 
Colombia Telecomunicaciones SA ESP, 5.375% Sr. Unsec. Nts., 9/27/224          2,285,000        2,233,587  
Columbus International, Inc., 7.375% Sr. Unsec. Nts., 3/30/214          2,945,000        3,073,844  
Koninklijke KPN NV, 8.375% Sr. Unsec. Nts., 10/1/30          9,370,000        13,206,725  
Koninklijke KPN NV, 6.125% Sr. Sub. Perpetual Bonds1,6    EUR     7,065,000        9,157,778  
Oi SA:                 
5.75% Sr. Unsec. Nts., 2/10/224        3,185,000        2,946,125  
9.75% Sr. Unsec. Nts., 9/15/164    BRL     19,740,000        6,794,861  
Ooredoo International Finance Ltd., 3.25% Sr. Unsec. Nts., 2/21/234          3,035,000        2,932,062  
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38          15,157,000        16,975,840  
Telecom Italia SpA, 5.25% Sr. Unsec. Nts., 2/10/22    EUR     3,805,000        5,254,267  
Telefonica Europe BV, 6.50% Jr. Sub. Perpetual Bonds1,6    EUR     11,780,000        15,633,159  
Turk Telekomunikasyon AS, 3.75% Sr. Unsec. Nts., 6/19/194          10,860,000        10,926,517  
      

89,134,765  

 

Wireless Telecommunication Services—0.6%                 
America Movil SAB de CV, 8.46% Sr. Unsec. Nts., 12/18/36    MXN     140,800,000        9,618,796  
Bharti Airtel International Netherlands BV, 5.35% Sr. Unsec. Nts., 5/20/244          11,520,000        12,530,995  
Digicel Group Ltd., 7.125% Sr. Unsec. Nts., 4/1/224          3,410,000        3,179,825  
ENTEL Chile SA, 4.75% Sr. Unsec. Nts., 8/1/264          3,900,000        3,885,129  
Millicom International Cellular SA, 6.625% Sr. Unsec. Nts., 10/15/214          2,935,000        3,067,075  
Mobile Telesystems OJSC via MTS International Funding Ltd., 5% Sr. Unsec. Nts., 5/30/234          2,010,000        1,597,950  

 

17 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value

Wireless Telecommunication Services (Continued)

                

Telekom Austria AG, 5.625% Jr. Sub. Perpetual Bonds1,6

   EUR                 4,465,000        $            5,807,786  

VimpelCom Holdings BV, 9% Sr. Unsec. Nts., 2/13/184

   RUB     128,400,000        1,479,813  

Vimpel-Communications OJSC, 8.85% Sr. Unsec. Nts., 3/8/221

   RUB     95,300,000        1,545,193  

Wind Acquisition Finance SA, 4% Sr. Sec. Nts., 7/15/204

   EUR     4,355,000        5,187,665  
      

47,900,227  

 

Utilities—3.0%

                

Electric Utilities—2.0%

                

E.CL SA, 4.50% Sr. Unsec. Nts., 1/29/254

         2,160,000        2,172,781  

EDP Finance BV:

                

5.25% Sr. Unsec. Nts., 1/14/214

       4,175,000        4,403,623  

6.00% Sr. Unsec. Nts., 2/2/184

       7,180,000        7,788,577  

Electricite de France SA:

                

5.25% Jr. Sub. Perpetual Bonds1,4,6

       3,973,000        4,082,257  

5.625% Jr. Sub. Perpetual Bonds1,4,6

       2,980,000        3,140,920  

6.00% Jr. Sub. Perpetual Bonds1,6

   GBP     1,275,000        2,117,783  

Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/194

         12,930,000        15,257,400  

EnBW Energie Baden-Wuerttemberg AG, 3.625% Jr. Sub. Nts., 4/2/761

   EUR     855,000        1,048,100  

Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/174

         15,000,000        16,660,605  

Enel SpA, 5% Sub. Nts., 1/15/751

   EUR     7,695,000        9,880,024  

Eskom Holdings Ltd., 6.75% Sr. Unsec. Nts., 8/6/234

         10,235,000        10,669,988  

Iberdrola International BV, 5.75% Sub. Perpetual Bonds1,6

   EUR     6,440,000        8,512,917  

Israel Electric Corp. Ltd., 7.25% Sr. Sec. Nts., 1/15/194

         18,180,000        20,339,784  

National Power Corp., 5.875% Sr. Unsec. Nts., 12/19/16

   PHP     665,100,000        15,644,514  

Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/214

         27,735,000        29,052,413  

Saudi Electricity Global Sukuk Co. 3, 4% Sr. Unsec. Nts., 4/8/244

         3,225,000        3,350,130  
      

154,121,816  

 

Gas Utilities—0.2%

                

Empresa de Energia de Bogota SA, 6.125% Sr. Unsec. Nts., 11/10/214

         5,090,000        5,421,868  

Gas Natural Capital Markets SA, 4.375% Sr. Unsec. Nts., 11/2/16

   EUR     3,930,000        5,104,312  

Gas Natural de Lima y Callao SA, 4.375% Sr. Unsec. Nts., 4/1/234

         2,645,000        2,592,100  

Perusahaan Gas Negara Persero Tbk PT, 5.125% Sr. Unsec. Nts., 5/16/244

         4,850,000        5,022,175  
      

18,140,455  

 

Independent Power and Renewable Electricity Producers—0.6%

                

Colbun SA, 4.50% Sr. Unsec. Nts., 7/10/244

         3,070,000        3,079,511  

Comision Federal de Electricidad, 4.875% Sr. Unsec. Nts., 1/15/244

         12,675,000        13,277,063  

Hero Asia Investment Ltd., 2.875% Sr. Unsec. Nts., 10/3/17

         5,000,000        4,934,280  

Infinis plc, 7% Sr. Sec. Nts., 2/15/197

   GBP     3,810,000        6,279,716  

Power Sector Assets & Liabilities Management Corp., 7.39% Sr. Unsec. Nts., 12/2/244

         13,450,000        17,592,600  
       45,163,170  

 

18 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount     Value
Multi-Utilities—0.2%                 
National Grid North America, Inc., 1.75% Sr. Unsec. Nts., 2/20/18    EUR     4,340,000        $            5,458,110  
NGG Finance plc, 4.25% Sub. Nts., 6/18/761    EUR     8,215,000        10,793,650  
       16,251,760  
Total Corporate Bonds and Notes (Cost $2,361,779,387)        2,287,013,230  
         Shares      
Common Stock—0.0%                 
Astana Finance JSC, ADR7,9 (Cost $0)          117,741        —  
         Principal Amount      
Structured Securities—0.3%                 
Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/118    RUB     220,242,600        —  
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/108    RUB     64,600,000        —  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds:                 
3.01%, 4/30/254,10        3,468,924        2,219,810  
3.138%, 4/30/254,10        3,410,945        2,182,708  
3.191%, 4/30/254,10        4,246,904        2,717,649  
3.242%, 4/30/254,10        4,847,195        3,101,784  
3.269%, 4/30/254,10        3,872,342        2,477,962  
3.346%, 4/30/254,10        3,639,837        2,329,179  
3.797%, 4/30/254,10        4,419,943        2,828,379  
3.894%, 4/30/251,4        3,815,913        2,441,853  
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.:                 
Cl. 2A, 7.208%, 5/22/157    MXN     1,273,571        79,848  
Cl. 2B, 7.208%, 5/22/157    MXN     2,228,143        139,696  
Cl. 2C, 7.208%, 5/22/157    MXN     33,594,990        2,106,269  
Cl. 2D, 7.208%, 5/22/157    MXN     2,448,356        153,502  
Cl. 2E, 7.208%, 5/22/157    MXN     1,778,777        111,522  
Cl. 2F, 7.208%, 5/22/157    MXN     1,136,016        71,224  
Cl. 2G, 7.208%, 5/22/157    MXN     209,207        13,116  
LB Peru Trust II Certificates, Series 1998-A, 3.795%, 2/28/168          11,734        —  
Morgan Stanley, Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34    RUB     189,996,784        1,380,737  
Total Structured Securities (Cost $43,264,048)       

24,355,238  

 

Short-Term Notes—7.7%                 
Canadian Treasury Bills, 0.908%, 5/21/1510    CAD     190,000,000        162,962,859  
Federal Republic of Germany Treasury Bills, -0.101%, 5/20/1510    EUR     75,000,000        90,802,484  
Hungary Treasury Bills, 1.634%, 4/1/1510    HUF     9,520,000,000        36,309,347  
Kingdom of Spain Treasury Bills:                 
0.187%, 3/13/1510    EUR     50,000,000        60,430,985  
0.298%, 6/19/1510    EUR     42,100,000        50,896,695  
0.314%, 8/21/1510    EUR     84,000,000        101,211,601  
Kingdom of Sweden Treasury Bills, 0.04%, 6/17/1510    SEK     68,000,000        8,721,085  
United States Treasury Bills, 0.06%, 5/14/152,10          102,640,000        102,623,988  
Total Short-Term Notes (Cost $633,212,472)        613,959,044  

 

19 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

            Exercise   Expiration              
Counterparty                Price   Date        Contracts   Value  

Over-the-Counter Options Purchased—0.8%

  

BRL Currency Call9

  GOL   BRL   2.580   12/4/15   BRL   391,100,000     $            1,365,721     

BRL Currency Call9

  GSG   JPY   45.500   8/18/16   BRL   175,000,000     935,108     

BRL Currency Call9

  JPM   JPY   44.400   9/6/16   BRL   225,000,000     1,578,381     

BRL Currency Call9

  GSG   JPY   44.000   8/25/16   BRL   132,000,000     1,036,143     

CAD Currency Put9,13

  BOA   CAD   1.140   4/3/15   CAD   228,000,000        1,267,452     

CAD Currency Put9

  GOL   CAD   1.170   3/30/15   CAD   409,500,000     4,717,849     

CAD Currency Put9

  JPM   CAD   1.170   3/30/15   CAD   117,000,000     1,347,957     

CNH Currency Call9

  BOA   CNH   6.152   1/5/16   CNH   769,000,000     199,171     

CNH Currency Put9

  JPM   CNH   6.153   1/12/16   CNH   364,055,000     2,056,183     

CNH Currency Call9

  BOA   CNH   6.000   2/25/15   CNH   900,000,000     —     

CNH Currency Call9

  BOA   CNH   6.000   2/18/15   CNH   600,000,000     —     

COP Currency Put9

  GOL   COP   2570.000   3/12/15   COP   252,965,000,000     758,895     

EUR Currency Call9

  JPM   USD   1.270   5/7/15   EUR   250,000,000     1,505,250     

EUR Currency Call9

  CITI   USD   1.280   1/8/15   EUR   200,000,000     —     

EUR Currency Call9

  MOS-A   USD   1.462   3/18/15   EUR   150,000,000     —     

EUR Currency Put9

  BOA   USD   1.210   9/25/15   EUR   100,000,000     3,522,700     

EUR Currency Put9

  CITI   USD   1.210   9/25/15   EUR   275,000,000     9,687,425     

 

20 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

            Exercise   Expiration              
Counterparty                Price   Date        Contracts   Value  

Over-the-Counter Options Purchased (Continued)

  

EUR Currency Call9

  GOL   USD   1 .270   6/15/15   EUR   200,000,000     $            1,698,400     

EUR Currency Call9

  JPM   USD   1 .280   1/5/15   EUR   100,000,000     —     

EUR Currency Call9

  JPM   USD   1 .270   1/2/15   EUR   100,000,000     —     

EUR Currency Call9

  BAC   USD   1 .270   1/2/15   EUR   200,000,000     —     

EUR Currency Call9

  GSG   USD   1 .270   2/2/15   EUR   200,000,000     111,200     

EUR Currency Call9

  BOA   USD   1 .280   1/8/15   EUR   200,000,000     —     

EUR Currency Call9

  BAC   USD   1 .270   1/2/15   EUR   100,000,000     —     

GBP Currency Put9

  GOL   USD   1 .550   3/27/15   GBP   150,000,000     2,842,050     

GBP Currency Put9

  BOA   USD   1 .550   3/27/15   GBP   150,000,000     2,842,050     

INR Currency Call9

  GOL   INR   63 .500   3/16/15   INR   6,350,000,000     908,050     

INR Currency Call9

  BOA   INR   61 .500   4/13/15   INR   6,150,000,000     196,800     

JPY Currency Call9

  BAC   JPY   111 .000   1/8/15   JPY   11,100,000,000     —     

JPY Currency Call9

  JPM   JPY   116 .000   6/8/15   JPY   17,400,000,000     2,453,400     

JPY Currency Call9

  BOA   JPY   116 .000   12/7/15   JPY   23,200,000,000     6,078,400     

JPY Currency Call9

  BAC   JPY   111 .000   5/8/15   JPY   11,100,000,000     466,200     

JPY Currency Call9

  TDB   JPY   113 .500   2/23/15   JPY   17,025,000,000     374,550     

 

 

21 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

            Exercise   Expiration              
Counterparty                Price   Date        Contracts   Value  

Over-the-Counter Options Purchased (Continued)

  

JPY Currency Call9

  t-NOM   JPY   110.000   1/5/15   JPY   16,500,000,000     $                          —   

JPY Currency Call9

  CITI   JPY   116.000   9/8/15   JPY   17,400,000,000     3,549,600   

JPY Currency Call9

  GOL   JPY   116.000   12/7/15   JPY   34,800,000,000     9,117,600   

NZD Currency Put9

  GOL   USD   0.790   2/18/15   NZD   125,000,000     2,662,000   

TWD Currency Put9

  GOL   TWD   31.300   3/3/15   TWD   7,825,000,000     3,278,675   

ZAR Currency Call9

  GOL   ZAR   11.375   1/8/15   ZAR   700,600,000     75,665   
             

 

 

 

Total Over-the-Counter Options Purchased (Cost $85,648,269)

                    66,632,875   

 

            Pay/Receive                                     
            Floating      Floating      Fixed      Expiration      Notional Amount         
      Counterparty      Rate      Rate      Rate      Date      (000’s)          

Over-the-Counter Interest Rate Swaptions Purchased—0.5%

  

Interest

                    

Rate

                    

Swap

maturing

           Three-               

1/27/26

           Month USD               

Call9

     BOA         Pay         BBA LIBOR         4.211%         1/25/16         USD        200,000         511,044   

Interest

                    

Rate

                    

Swap

maturing

           Three-               

10/13/15

           Month USD               

Call9

     GOL         Pay         BBA LIBOR         2.280         10/9/15         USD        250,000         2,745,530   

Interest

                    

Rate

                    

Swap

maturing

           Three-               

10/5/25

           Month USD               

Call9

     BAC         Pay         BBA LIBOR         3.000         10/1/15         USD        200,000         1,934,754   

Interest

                    

Rate

                    

Swap

maturing

           Three-               

10/6/25

           Month USD               

Call9

     BOA         Pay         BBA LIBOR         2.885         10/2/15         USD        135,000                     1,628,335   

 

22 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

            Pay/Receive                                            
            Floating      Floating      Fixed      Expiration      Notional Amount         
      Counterparty      Rate      Rate      Rate      Date      (000’s)      Value  

Over-the-Counter Interest Rate Swaptions Purchased (Continued)

  

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

11/20/28

           Month KRW                  

Call9

     BOA         Pay         CD KSDA         3.640%         11/19/18         KRW         50,000,000       $                 382,942   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

4/28/45

           EUR                  

Call9

     UBS         Pay         EURIBOR         2.711         4/24/15         EUR         50,000         14,516   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

4/30/24

           Month KRW                  

Call9

     GSG         Pay         CD KSDA         3.530         4/29/19         KRW         100,000,000         558,373   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

5/30/33

           GBP BBA                  

Call9

     BAC         Pay         LIBOR         3.990         5/30/23         GBP         40,415         2,102,715   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

7/13/25

           Month USD                  

Call9

     BAC         Receive         BBA LIBOR         4.250         7/9/15         USD         350,000         208,397   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

7/13/25

           Month USD                  

Call9

     UBS         Receive         BBA LIBOR         3.280         7/9/15         USD         150,000         373,492   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

7/21/25

           EUR                  

Call9

     UBS         Pay         EURIBOR         1.821         7/17/15         EUR         48,850         73,249   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

7/21/25

           EUR                  

Call9

     GSG         Pay         EURIBOR         2.750         7/17/15         EUR         111,370         31,002   

 

 

23 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

            Pay/Receive                                            
            Floating      Floating      Fixed      Expiration      Notional Amount         
      Counterparty      Rate      Rate      Rate      Date      (000’s)      Value  

Over-the-Counter Interest Rate Swaptions Purchased (Continued)

  

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

7/3/25

           EUR                  

Call9

     JPM         Pay         EURIBOR         2.750%         7/1/15         EUR         300,000       $ 59,157   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

7/31/25

           EUR                  

Call9

     JPM         Pay         EURIBOR         2.750         7/29/15         EUR         270,000         93,117   

Interest

                       

Rate

                       

Swap

maturing

           Six-Month                  

8/12/25

           EUR                  

Call9

     JPM         Pay         EURIBOR         2.500         8/10/15         EUR         250,000         198,748   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

9/21/47

           Month USD                  

Call9

     BOA         Pay         BBA LIBOR         4.000         9/19/17         USD         100,000         3,477,684   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

9/25/44

           Month USD                  

Call9

     BOA         Pay         BBA LIBOR         4.000         9/23/19         USD         100,000         5,463,938   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

9/26/39

           Month USD                  

Call9

     GSG         Pay         BBA LIBOR         4.000         9/24/19         USD         175,000         8,472,858   

Interest

                       

Rate

                       

Swap

maturing

           Three-                  

9/27/34

           Month USD                  

Call9

     JPM         Pay         BBA LIBOR         3.751         9/25/24         USD         150,000         7,603,931   

Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $79,726,144)

  

                 35,933,782   

 

 

24 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

      Shares      Value  

Investment Company—7.2%

                 

Oppenheimer Institutional Money Market Fund, Cl. E, 0.10%11,12 (Cost $572,329,998)

 

    

 

572,329,998

 

  

 

   $

 

572,329,998

 

  

 

Total Investments, at Value (Cost $8,184,389,606)

     98.9%         7,864,116,046   

Net Other Assets (Liabilities)

     1.1             90,060,069   
  

 

 

 

Net Assets

                         100.0%       $   7,954,176,115   
  

 

 

 

Footnotes to Statement of Investments

1. Represents the current interest rate for a variable or increasing rate security.

2. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $37,995,072. See Note 5 of the accompanying Notes.

3. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $8,548,666. See Note 5 of the accompanying Notes.

4. 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 $2,023,188,812 or 25.44% of the Fund’s net assets as of December 31, 2014.

5. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.

6. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.

7. Restricted security. The aggregate value of restricted securities as of December 31, 2014 was $107,762,164, which represents 1.35% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:

 

                          Unrealized    
     Acquisition                      Appreciation/    
Security    Dates        Cost      Value      (Depreciation)    

Astana Finance JSC, ADR

     5/8/14       $       $       $ —     

Brazil Loan Trust 1, 5.477%

           

Sec. Nts., 7/24/23

     7/25/13-7/25/14         11,368,326         11,175,951         (192,375)   

Calcipar SA, 6.875% Sr. Sec.

           

Nts., 5/1/18

     11/21/13         396,259         383,800         (12,459)   

Credit Agricole SA, 8.375% Jr.

           

Sub. Perpetual Bonds

     5/1/13-4/21/14         45,578,893         47,978,375         2,399,482    

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2A, 7.208%, 5/22/15

     5/21/08         122,772         79,848         (42,924)   

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2B, 7.208%, 5/22/15

     6/12/08         214,777         139,696         (75,081)   

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2C, 7.208%, 5/22/15

     6/18/08         3,258,682         2,106,269         (1,152,413)   

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2D, 7.208%, 5/22/15

     7/8/08         237,313         153,502         (83,811)   

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2E, 7.208%, 5/22/15

     7/15/08         172,701         111,522         (61,179)   

 

 

25 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

                          Unrealized    
     Acquisition                      Appreciation/    
Security    Dates        Cost      Value      (Depreciation)    

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2F, 7.208%, 5/22/15

     8/8/08       $ 111,811       $ 71,224       $ (40,587)   

Deutsche Bank AG, Opic

           

Reforma I Credit Linked Nts., Cl.

           

2G, 7.208%, 5/22/15

     8/22/08         20,631         13,116         (7,515)   

Deutsche Bank Capital Trust V,

           

4.901% Jr. Sub. Perpetual

           

Bonds

     4/25/13-1/2/14         4,201,423         4,629,500         428,077    

Infinis plc, 7% Sr. Sec. Nts.,

           

2/15/19

     10/2/13-10/16/13         6,397,015         6,279,716         (117,299)   

JPMorgan Hipotecaria su

           

Casita, 6.47% Sec. Nts.,

           

8/26/35

     3/21/07         3,122,491         233,340         (2,889,151)   

Seven & Seven Ltd., 1.395% Sr.

           

Unsec. Nts., 9/11/19

     7/11/14         5,000,000         5,001,055         1,055    

Swiss Re Capital I LP, 6.854%

           

Jr. Sub. Perpetual Bonds

     7/25/13-12/9/14         29,229,047         29,405,250                     176,203    
     

 

 

 
      $   109,432,141       $   107,762,164       $ (1,669,977)   
     

 

 

 

8. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the original contractual interest rate. See Note 4 of the accompanying Notes.

9. Non-income producing security.

10.  Zero coupon bond reflects effective yield on the date of purchase.

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended December 31, 2014, 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 period in which the issuer was an affiliate are as follows:

 

     Shares                    Shares  
     September 30,      Gross      Gross      December 31,  
      2014      Additions      Reductions      2014  

Oppenheimer Institutional Money

           

Market Fund, Cl. E

             1,748,345,499         1,176,015,501         572,329,998   
                      Value          Income  

Oppenheimer Institutional Money Market Fund, Cl. E

  

      $   572,329,998             $             167,791   

 

12.  Rate shown is the 7-day yield as of December 31, 2014.
13.  Knock-out option expires worthless if at any time spot rates are greater than or equal to 1.2 CAD per 1 USD.

Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:

Geographic Holdings    Value              Percent          

United Kingdom

   $             891,859,787         11.3%       

United States

     771,647,752         9.8          

Spain

     444,664,285         5.7          

Italy

     403,083,453         5.1          

Japan

     394,231,644         5.0          

Mexico

     341,921,037         4.4          

 

 

26 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Geographic Holdings (Continued)    Value            Percent  

Germany

   $             309,162,582                       3.9 %       

Australia

     294,010,243           3.7   

Canada

     285,120,880           3.6   

India

     269,368,670           3.4   

France

     265,757,205           3.4   

Brazil

     256,489,133           3.3   

Turkey

     250,793,644           3.2   

Indonesia

     228,351,818           2.9   

South Africa

     178,550,407           2.3   

Hungary

     164,586,089           2.1   

Belgium

     154,365,661           2.0   

China

     130,744,281           1.7   

Portugal

     125,777,944           1.6   

Colombia

     113,080,163           1.4   

Netherlands

     97,607,725           1.2   

Singapore

     84,461,091           1.1   

Peru

     81,824,035           1.0   

Philippines

     76,094,145           1.0   

Romania

     72,427,172           0.9   

Switzerland

     71,639,689           0.9   

Chile

     63,268,164           0.8   

Israel

     58,237,735           0.7   

Denmark

     53,779,232           0.7   

Malaysia

     51,802,124           0.7   

Greece

     49,615,837           0.6   

Sri Lanka

     48,122,900           0.6   

Sweden

     46,984,056           0.6   

Poland

     46,309,833           0.6   

Russia

     45,084,633           0.6   

Ireland

     44,369,002           0.6   

Ivory Coast

     44,197,602           0.6   

South Korea

     37,131,721           0.5   

Luxembourg

     31,628,829           0.4   

Croatia

     31,514,608           0.4   

United Arab Emirates

     30,704,614           0.4   

Panama

     29,611,903           0.4   

Dominican Republic

     29,158,432           0.4   

Serbia

     25,147,433           0.3   

Lithuania

     23,713,039           0.3   

China Offshore

     22,534,103           0.3   

Morocco

     19,132,538           0.3   

Supranational

     18,995,152           0.2   

Lebanon

     17,885,202           0.2   

Eurozone

     16,994,763           0.2   

Venezuela

     16,781,610           0.2   

Kazakhstan

     16,597,700           0.2   

Hong Kong

     16,257,803           0.2   

Kenya

     15,146,088           0.2   

Thailand

     13,551,455           0.2   

Tanzania

     12,764,680           0.2   

New Zealand

     11,475,121           0.2   

Uruguay

     10,999,175           0.1   

Paraguay

     10,892,600           0.1   

Latvia

     9,327,125           0.1   

 

27 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Geographic Holdings (Continued)    Value        Percent  

Gabon

   $             8,370,575                     0.1%     

Norway

     7,876,200         0.1        

Trinidad

     6,973,837         0.1        

Vietnam

     6,943,563         0.1        

Jersey, Channel Islands

     6,584,737         0.1        

Senegal

     6,502,783         0.1        

Angola

     6,030,288         0.1        

Austria

     5,807,786         0.1        

Bahrain

     4,750,000         0.1        

Ecuador

     4,089,300         0.1        

Saudi Arabia

     3,350,130         0.0        

Ukraine

     3,304,600         0.0        

Taiwan

     3,278,675         0.0        

Jamaica

     3,179,825         0.0        

Barbados

     3,073,844         0.0        

Qatar

     2,932,062         0.0        

Egypt

     2,441,863         0.0        

Nigeria

     1,288,631         0.0        
  

 

 

 

Total

    $ 7,864,116,046         100.0%     
  

 

 

 

 

Forward Currency Exchange Contracts as of December 31, 2014
                 Currency                            
     Settlement           Purchased      Currency Sold      Unrealized      Unrealized  
Counterparty    Month(s)            (000’s)              (000’s)      Appreciation      Depreciation  

BAC

   01/2015        BRL         61,940         USD         23,319       $ —         $                  17,545  

BAC

   06/2015        GBP         235,165         USD                       363,929                   2,148,849         —  

BAC

   02/2015        MYR         256,715         USD         79,745         —                     6,777,402  
   01/2015 -                  

BAC

   04/2015        USD         29,312         BRL         74,830         1,279,563         —  

BAC

   06/2015        USD         363,937         GBP         235,170         —         2,148,895  

BAC

   03/2015        USD         20,875         HUF         5,213,000         985,156         —  
   01/2015 -                  

BAC

   02/2015        USD         12,476         RUB         539,400         3,499,321         —  

BNP

   03/2015        CNH         50,520         USD         8,018         43,570         —  

BNP

   06/2015        MXN         367,775         USD         25,808         —         1,116,971  

BNP

   06/2015        NOK         5,250         USD         741         —         39,049  

BNP

   03/2015        USD         8,020         CNH         50,530         —         43,579  

BNP

   06/2015        USD         2,752         NOK         19,445         152,229         —  

BNP

   06/2015        USD         5,356         SEK         40,280         185,731         —  

BOA

   01/2015        BRL         137,960         USD         56,061         —         4,160,834  

BOA

   06/2015        EUR         83,555         USD         102,734         —         1,473,057  

BOA

   03/2015        JPY         12,039,000         USD         99,279         1,289,556         —  
   02/2015 -                  

BOA

   10/2015        KRW         319,057,500         USD         301,152         1,079         12,092,791  

BOA

   02/2015        MYR         598,000         USD         169,968         4,493         —  

BOA

   01/2015        USD         53,844         BRL         137,960         1,944,222         —  

BOA

   02/2015        USD         13,281         COP         28,759,000         1,205,818         —  

BOA

   06/2015        USD         107,146         EUR         87,410         1,212,844         —  

BOA

   02/2015        USD         111,148         INR         6,942,000         2,349,925         —  
   01/2015 -                  

BOA

   03/2015        USD         547,373         JPY         64,530,000         8,801,654         271,965  
   02/2015 -                  

BOA

   09/2015        USD         245,256         KRW         262,072,000         7,563,785         1,085  

BOA

   02/2015        USD         170,015         MYR         598,165         —         4,494  

BOA

   06/2015        USD         8,211         NZD         10,740         —         43,882  

 

28 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Forward Currency Exchange Contracts (Continued)  
                   Currency                              
     Settlement             Purchased      Currency Sold      Unrealized      Unrealized  
Counterparty    Month(s)              (000’s)              (000’s)      Appreciation      Depreciation  

BOA

     01/2015           USD         16,395         PHP         714,000       $ 463,215         $                       —   

BOA

     02/2015           USD         23,682         TRY         56,700         —           324,627   

CITNA-B

     06/2015           DKK         202,940         USD         33,237         —           212,481   
     03/2015 -                     

CITNA-B

     06/2015           EUR         202,340         USD         247,752         —           2,759,401   

CITNA-B

     06/2015           MXN         2,495,000         USD         168,061         —           556,479   

CITNA-B

     06/2015           NOK         81,380         USD         10,867         11,918             

CITNA-B

     03/2015           THB         2,690,000         USD         80,901         582,912             

CITNA-B

     02/2015           TRY         65,350         USD         28,460         —           790,250   

CITNA-B

     06/2015           USD         33,239         DKK         202,950         212,491             

CITNA-B

     06/2015           USD         168,523         EUR         136,335                 3,304,245             

CITNA-B

     06/2015           USD         6,386         GBP         4,075         42,388             

CITNA-B

     02/2015           USD         4,945         HUF         1,177,000         450,686             

CITNA-B

     03/2015           USD         44,000         JPY         5,313,044         —           382,678   

CITNA-B

     06/2015           USD         167,994         MXN         2,494,000         556,255             

CITNA-B

     06/2015           USD         10,868         NOK         81,390         —           11,919   

CITNA-B

     03/2015           USD         80,870         THB         2,689,000         —           582,695   

CITNA-B

     02/2015           USD         7,478         TRY         16,850         342,632             

CITNA-B

     03/2015           USD         46,219         ZAR         546,240         —           489,431   

CITNA-B

     03/2015           ZAR         292,970         USD         24,837         213,971             
     03/2015 -                     

DEU

     06/2015           EUR         1,053,905         USD         1,292,494         —           15,902,831   

DEU

     06/2015           JPY             68,865,000         USD         571,759         4,122,881             

DEU

     03/2015           PLN         352,520         USD         99,437         —           152,379   

DEU

     06/2015           SEK         158,460         USD         20,324         17,691             
     03/2015 -                     

DEU

     06/2015           USD         714,821         EUR         586,340         4,875,316             

DEU

     06/2015           USD         422,221         GBP         269,500         2,694,610             
     03/2015 -                     

DEU

     06/2015           USD         571,767         JPY             68,866,044         4           4,122,941   

DEU

     03/2015           USD         99,440         PLN         352,530         152,383             

DEU

     06/2015           USD         20,325         SEK         158,470         —           17,693   

DEU

     02/2015           USD         14,045         TRY         32,460         278,929             

DEU

     03/2015           USD         7,949         ZAR         90,565         204,606             

DEU

     03/2015           ZAR         30,660         USD         2,691         —           69,268   
     01/2015 -                     

GSCO-OT

     04/2015           BRL         881,170         USD         363,793         —           32,811,588   
     01/2015 -                     

GSCO-OT

     02/2015           CLP         26,796,000         USD         43,672         620,755           242,498   
     07/2015 -                     

GSCO-OT

     07/2016           CNH         1,905,000         USD         300,697         —           1,952,269   

GSCO-OT

     02/2015           COP         43,172,000         USD         18,792         —           665,167   

GSCO-OT

     03/2015           EUR         60,000         USD         73,869         —           1,220,676   

GSCO-OT

     01/2015           ILS         48,190         USD         12,166         188,188             

GSCO-OT

     03/2015           JPY         21,693,088         USD         180,083         1,511,197           380,373   

GSCO-OT

     02/2015           KRW         29,560,000         USD         26,373         452,159             

GSCO-OT

     01/2015           PHP         2,193,000         USD         49,192         —           276,368   

GSCO-OT

     03/2015           USD         74,514         AUD         91,675         120,875           89,697   

GSCO-OT

     01/2015           USD         350,406         BRL         862,530         26,266,271             

GSCO-OT

     06/2015           USD         52,393         CAD         61,000         74,550             

 

29 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Forward Currency Exchange Contracts (Continued)
                   Currency                            
     Settlement             Purchased      Currency Sold      Unrealized      Unrealized
Counterparty    Month(s)              (000’s)              (000’s)      Appreciation      Depreciation
     01/2015 -                     

GSCO-OT

     02/2015           USD         43,429         CLP                 26,796,000       $ —         $                620,637  
     07/2015 -                     

GSCO-OT

     07/2016           USD         300,944         CNH         1,905,000                 2,199,390         —  

GSCO-OT

     01/2015           USD         30,585         COP         74,192,000         —         626,531  

GSCO-OT

     03/2015           USD         941,278         EUR         760,000         21,071,721         —  

GSCO-OT

     01/2015           USD         36,866         ILS         138,140         1,450,562         —  

GSCO-OT

     07/2015           USD         29,000         KRW         30,316,600         1,609,909         —  

GSCO-OT

     06/2015           USD         50,000         PHP         2,207,500         942,264         —  

GSCO-OT

     03/2015           USD         27,980         ZAR         328,330         —         95,158  

HSBC

     03/2015           SGD         26,170         USD         19,741         —         11,869  

HSBC

     06/2015           USD         239,032         AUD         287,860         6,526,259         —  

HSBC

     06/2015           USD         9,395         DKK         56,375         221,391         —  

HSBC

     03/2015           USD         19,748         SGD         26,180         11,873         —  

JPM

     01/2015           BRL         168,300         USD         62,892         421,144         —  

JPM

     06/2015           CAD         113,275         USD         97,160         —         6,142  

JPM

     06/2015           CHF         25,595         USD         26,161         —         333,668  

JPM

     01/2016           CNH         370,050         USD         60,176         —         2,159,162  

JPM

     06/2015           EUR         5,300         USD         6,520         —         97,341  

JPM

     05/2015           IDR         49,901,000         USD         4,000         —         84,983  

JPM

     01/2015           ILS         34,980         USD         9,235         —         266,846  
     03/2015 -                     

JPM

     05/2015           JPY         30,556,000         USD         253,872         1,671,643         144,918  

JPM

     06/2018           KRW         134,400,000         USD         128,000         —         4,055,944  

JPM

     02/2015           MYR         565,170         USD         171,818         —         11,176,924  

JPM

     01/2015           PHP         714,000         USD         15,834         97,439         —  

JPM

     03/2015           PLN         493,950         USD         145,461         —         6,344,063  

JPM

     01/2015           RON         29,390         USD         8,305         —         371,284  

JPM

     02/2015           RUB         769,600         USD         12,108         771,189         43,636  

JPM

     03/2015           THB         2,700,000         USD         81,401         385,068         —  
     01/2015 -                     

JPM

     02/2015           USD         125,741         BRL         336,600         47,672         425,646  

JPM

     06/2015           USD         97,164         CAD         113,280         6,142         —  

JPM

     06/2015           USD         14,567         CHF         14,345         91,936         —  

JPM

     01/2016           USD         952         CNH         5,995         11,691         —  

JPM

     06/2015           USD         963,219         EUR         776,990         21,578,404         —  

JPM

     05/2015           USD         23,143         IDR         301,905,000         —         541,356  

JPM

     01/2015           USD         32,029         ILS         122,210         863,672         165,967  

JPM

     01/2015           USD         36,306         INR         2,276,750         269,675         —  

JPM

     05/2015           USD         166,330         JPY         20,032,000         —         1,156,240  
     06/2015 -                     

JPM

     06/2016           USD         181,400         KRW         190,229,500         9,172,891         —  

JPM

     02/2015           USD         93,129         MYR         303,385         6,895,742         —  

JPM

     01/2015           USD         15,856         PHP         715,000         —         97,575  

JPM

     02/2015           USD         11,861         RUB         626,500         1,458,134         45,818  

JPM

     02/2015           USD         21,910         TRY         50,760         413,831         —  
     03/2015 -                     

MSCO

     06/2015           AUD         181,920         USD         147,000         607,643         233,996  

MSCO

     01/2015           BRL         17,000         USD         6,400         —         4,815  
     01/2015 -                     

MSCO

     06/2015           EUR         698,705         USD         860,730         —         14,201,505  

 

30 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Forward Currency Exchange Contracts (Continued)
                   Currency                            
     Settlement             Purchased      Currency Sold      Unrealized      Unrealized
Counterparty    Month(s)              (000’s)              (000’s)      Appreciation      Depreciation
     01/2015 -                     

MSCO

     06/2015           JPY         68,866,000         USD         577,748       $ —         $            1,892,409  

MSCO

     06/2015           NZD         665         USD         504         7,248         —  
     03/2015 -                     

MSCO

     06/2015           USD         156,634         AUD         193,785         657,438         607,609  

MSCO

     01/2015           USD         7,238         BRL         17,000         842,741         —  
     01/2015 -                     

MSCO

     06/2015           USD         1,460,305         EUR         1,175,505                 36,420,566         —  
     01/2015 -                     

MSCO

     06/2015           USD         642,416         JPY         75,756,000         8,995,324         —  

MSCO

     01/2015           USD         3,887         MXN         52,600         322,274         —  

MSCO

     06/2015           USD         508         NZD         670         —         7,302  

NOM

     06/2015           AUD         2,095         USD         1,681         10,904         —  

NOM

     03/2015           EUR         391,000         USD         476,621         —         3,151,994  

NOM

     01/2015           JPY         68,351,000         USD         566,558         4,168,842         —  

NOM

     03/2015           USD         476,785         EUR         391,135         3,153,083         —  

NOM

     01/2015           USD         566,567         JPY         68,352,000         —         4,168,903  

TDB

     01/2015           BRL         123,610         USD         46,536         —         35,013  

TDB

     01/2015           COP         74,192,000         USD         30,765         446,229         —  

TDB

     03/2015           HUF         2,504,000         USD         10,020         —         465,793  

TDB

     06/2015           JPY             113,260,000         USD         952,284         —         5,207,804  

TDB

     01/2015           MXN         8,800         USD         647         —         50,766  
     01/2015 -                     

TDB

     04/2015           USD         73,708         BRL         184,010         5,038,069         —  

TDB

     06/2015           USD         149,718         CAD         171,510         2,617,525         —  

TDB

     02/2015           USD         5,967         COP         14,413,000         —         84,667  

TDB

     03/2015           USD         46,838         EUR         37,745         1,136,936         —  

TDB

     06/2015           USD         159,723         GBP         103,000         —         615,870  

TDB

     04/2015           USD         38,664         HUF         9,520,000         2,357,670         —  
     01/2015 -                     

TDB

     06/2015           USD         1,150,816         JPY               136,610,000         8,543,473         —  

TDB

     03/2015           USD         23,928         ZAR         281,120         —         110,145  
                 

 

 

Total Unrealized Appreciation and Depreciation

  

      $ 233,944,530         $        151,915,557  
                 

 

 

 

Futures Contracts as of December 31, 2014

  

                          
                    Unrealized   
           Expiration         Number of            Appreciation   

Description

   Exchange    Buy/Sell      Date         Contracts         Value         (Depreciation)   

 

 

Euro-BTP

   EUX    Sell      3/6/15         250       $ 41,020,694         $ (252,679)   

Euro-Bundesobligation

   EUX    Sell      3/6/15         2,000         377,220,981           (7,414,388)   

Euro-OAT

   EUX    Sell      3/6/15         232         41,329,306           (691,939)   
                 

 

 

 
                  $ (8,359,006)   
                 

 

 

 

 

Over-the-Counter Options Written at December 31, 2014

  

                 
                   Exercise      Expiration             Premiums         
Description    Counterparty             Price      Date      Number of Contracts      Received      Value  

 

 

AUD Currency Call

     BOA         USD         0.885         2/4/15         AUD           (200,000,000)       $ 1,553,175       $             (6,400)   

 

 

AUD Currency Put

     GSG         USD         0.810         2/18/15         AUD           (350,000,000)               3,586,275         (4,046,350)   

 

 

 

31 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Options Written (Continued)
               Exercise Expiration               Premiums       
Description    Counterparty          Price      Date   Number of Contracts      Received      Value

BRL Currency Put

   GSG    JPY      28.000       8/25/16   BRL      (132,100,000)       $ 1,194,652       $    (1,223,768) 

BRL Currency Put

   GSG    JPY      28.000       8/18/16   BRL      (175,000,000)         1,779,392       (1,587,887) 

BRL Currency Put1

   GSG    BRL      2.776       11/5/15   BRL      (138,775,000)         1,932,500       (3,471,734) 

BRL Currency Put

   JPM    JPY      29.100       9/6/16   BRL      (225,000,000)         2,169,911       (2,467,661) 

CAD Currency Put

   GSG    CAD      1.200       3/30/15   CAD      (420,000,000)         2,135,000       (2,200,380) 

CAD Currency Put

   JPM    CAD      1.200       3/30/15   CAD      (120,000,000)         633,580       (628,680) 

EUR Currency Call

   BOA    USD      1.290       9/25/15   EUR      (100,000,000)         1,277,100       (1,010,800) 

EUR Currency Put

   BOA    USD      1.160       9/25/15   EUR      (100,000,000)         1,751,600       (1,837,400) 

EUR Currency Call2

   BOA    JPY      145.300       11/16/15   EUR      (50,000,000)         1,596,752       (1,537,061) 

EUR Currency Call3

   BOA    MXN      17.861       12/1/15   EUR      (75,000,000)         2,779,141       (4,752,469) 

EUR Currency Call

   CITNA-B    USD      1.290       9/25/15   EUR      (275,000,000)         3,441,075       (2,779,700) 

EUR Currency Put

   CITNA-B    USD      1.160       9/25/15   EUR      (275,000,000)         4,816,900       (5,052,850) 

EUR Currency Put

   GSG    PLN      4.170       2/20/15   EUR      (50,000,000)         204,410       (85,255) 

EUR Currency Call

   GSG    PLN      4.300       2/20/15   EUR      (50,000,000)         196,886       (622,504) 

EUR Currency Call4

   JPM    JPY      145.300       11/16/15   EUR      (50,000,000)         1,589,888       (1,503,339) 

French Republic Bonds, 11/24 Put

   JPM    EUR      103.830       1/19/15   EUR      (25,000,000)         395,793       (260) 

GBP Currency Put

   BOA    USD      1.530       3/27/15   GBP      (150,000,000)         1,955,963       (1,833,450) 

GBP Currency Call

   CITNA-B    USD      1.610       1/5/15   GBP      (150,000,000)         2,058,788       0  

GBP Currency Put

   GSG    USD      1.530       3/27/15   GBP      (150,000,000)         1,916,325       (1,833,450) 

INR Currency Call

   BOA    INR      59.000       4/13/15   INR      (5,900,000,000)         145,000       (11,800) 

INR Currency Put

   BOA    INR      70.000       4/13/15   INR      (7,000,000,000)         320,000       (245,000) 

INR Currency Call

   GSG    INR      61.500       3/16/15   INR      (6,150,000,000)         150,000       (135,300) 

INR Currency Put

   GSG    INR      66.000       3/16/15   INR      (6,600,000,000)         650,000       (580,800) 

JPY Currency Call

   BOA    JPY      111.000       12/7/15   JPY      (22,200,000,000)         3,315,800       (3,330,000) 

JPY Currency Put

   BOA    KRW      9.500       6/9/15   JPY      (10,000,000,000)         1,244,297       (3,934,167) 

JPY Currency Put

   BOA    JPY      138.000       12/7/15   JPY      (27,600,000,000)         2,616,800       (1,794,000) 

JPY Currency Call

   CITNA-B    JPY      111.000       9/8/15   JPY      (16,650,000,000)         1,942,500       (1,748,250) 

JPY Currency Put

   CITNA-B    JPY      134.000       9/8/15   JPY      (20,100,000,000)         1,773,001       (1,246,200) 

JPY Currency Put

   GSG    JPY      138.000       12/7/15   JPY      (41,400,000,000)         4,011,002       (2,691,000) 

JPY Currency Call

   GSG    JPY      111.000       12/7/15   JPY      (33,300,000,000)         5,148,001       (4,995,000) 

JPY Currency Put

   GSG    KRW      9.500       7/7/15   JPY      (5,000,000,000)         680,216       (2,041,041) 

JPY Currency Put

   JPM    JPY      135.000       6/8/15   JPY      (20,250,000,000)         908,407       (526,500) 

JPY Currency Call

   JPM    JPY      111.000       6/8/15   JPY      (16,650,000,000)         1,127,397       (982,350) 

KRW Currency Call

   GSG    KRW      1080.000       2/16/15   KRW      (216,000,000,000)         1,216,005       (1,512,000) 

NZD Currency Call

   GSG    USD      0.798       2/18/15   NZD      (125,000,000)         1,327,000       (534,250) 

NZD Currency Put

   GSG    USD      0.760       2/18/15   NZD      (125,000,000)         920,550       (908,000) 

Portuguese Government Bonds, 2/24 Put

   JPM    EUR      121.580       3/2/15   EUR      (20,000,000)         389,438       (266,915) 

Republic of Italy Bonds, 9/24 Put

   JPM    EUR      112.760       2/23/15   EUR      (75,000,000)         1,242,852       (241,732) 

ZAR Currency Put

   GSG    ZAR      11.950       1/8/15   ZAR      (736,015,000)         317,195       (44,161) 

Total Over-the-Counter Options Written

                    $     68,410,567       $    (66,249,864) 
                   

 

 

1. Knock-out option expires worthless if at any time spot rates are less than or equal to 2.42 BRL per 1 USD.

2. Knock-out option expires worthless if at any time spot rates are less than or equal to 140 JPY per 1 EUR.

3. Knock-out option expires worthless if at any time spot rates are less than or equal to 16.75 MXN per 1 EUR.

4. Knock-out option expires worthless if at any time spot rates are less than or equal to 140 JPY per 1 EUR.

 

32 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Credit Default Swaps at December 31, 2014
Reference Asset    Counterparty   

Buy/Sell

Protection

   Fixed
Rate
     Maturity
Date
        Notional
Amount
(000’s)
     Premiums
Received/(Paid)
     Value

Banco Bilbao Vizcaya Argentaria Sociedad Anonima

   UBS    Sell      3.000       12/20/17   EUR      4,405       $ —        $          396,666  

Banco Bilbao Vizcaya Argentaria Sociedad Anonima

   UBS    Sell      3.000       12/20/17   EUR      4,405         (4,878)       396,666  

Banco Santander SA

   BAC    Sell      3.000%       9/20/17   EUR      20,000       $ (72,103)       $       1,605,382  

Banco Santander SA

   BOA    Sell      3.000       12/20/17   EUR      5,000         (106,114)       430,931  

Banco Santander SA

   UBS    Sell      3.000       9/20/17   EUR      8,850         (31,905)       710,381  

Bolivarian Republic of Venezuela

   FIB    Buy      5.000       6/20/19   USD      8,310         (1,547,583)       4,970,804  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   USD      8,150         (632,078)       1,132,519  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   USD      2,030         (294,463)       282,088  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   EUR      10,175         (522,547)       1,711,506  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   USD      6,115         (504,827)       849,737  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   USD      2,030         (304,613)       287,351  

Hellenic Republic

   GSG    Buy      1.000       12/20/15   USD      4,060         (528,026)       564,175  

Hellenic Republic

   GSG    Sell      1.000       12/20/19   USD      2,035         371,576        (741,279) 

Hellenic Republic

   GSG    Sell      1.000       12/20/19   USD      4,060         1,218,226        (1,478,916) 

Hellenic Republic

   GSG    Sell      1.000       9/20/19   USD      25,000         3,764,440        (9,473,279) 

ICICI Bank Ltd.

   GSG    Sell      1.000       12/20/19   USD      10,000         359,971        (357,742) 

Republic of Ireland

   GSG    Buy      1.000       3/20/18   EUR      19,335         (715,358)       (501,019) 

Republic of Ireland

   GSG    Buy      1.000       3/20/18   USD      21,975         (923,121)       (472,407) 

Republic of Italy

   BAC    Sell      1.000       12/20/19   USD      20,000         282,432        (316,026) 

Republic of Italy

   BAC    Sell      1.000       12/20/19   USD      35,000         284,615        (553,046) 

Republic of Italy

   GSG    Sell      1.000       12/20/19   USD      20,000         48,259        (316,026) 

Republic of Italy

   GSG    Sell      1.000       12/20/19   USD      35,000         350,546        (553,046) 

Republic of Italy

   GSG    Sell      1.000       9/20/18   USD      26,100         (111,643)       (103,124) 

State Bank of India

   BNP    Sell      1.000       9/20/19   USD      13,035         537,811        (335,790) 

Telefonica SA

   UBS    Sell      1.000       9/20/17   EUR      5,000         —        105,041  
                   

 

 

Total Over-the-Counter Credit Default Swaps

$         918,617     $    (1,758,453) 
                   

 

 

The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:

 

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 Single Name Corporate Debt

  $23,035,000        $                —      BBB-  

Investment Grade Single Name Corporate Debt (EUR)

  47,660,000      EUR   —      EUR BBB-to BBB  

Investment Grade Sovereign Debt

  $136,100,000        —      BBB  

Non-Investment Grade Sovereign Debt

  $31,095,000        $ 22,385,000      B  

Non-Investment Grade Sovereign

Debt (EUR)

  —      EUR   10,175,000      EUR B  
  

 

 

          

 

 

       

Total USD

                $190,230,000        $22,385,000     
  

 

 

          

 

 

       

Total EUR

  47,660,000      EUR           10,175,000      EUR
  

 

 

          

 

 

       

 

33 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

*Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of 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.

 

Over-the-Counter Currency Swap at December 31, 2014

  

        
                                          Notional                
                              Notional           Amount                
     Pay/Receive                        Amount           Currency      Premiums         
     Floating     Floating    Fixed      Maturity      Currency           Delivered      Received /         
Counterparty    Rate     Rate    Rate      Date      Received (000’s)            (000’s)      (Paid)      Value  
    

Six-

                    
    

Month USD

                    

BAC

     Pay      BBA LIBOR      7.150         1/28/19 INR       $     1,567,863       USD      25,000       $ (10,739)       $ 2,253,684   
    

Six-

                    
    

Month USD

                    

BOA

     Pay      BBA LIBOR      7.100         1/21/19 INR         921,795       USD      15,025         —           942,519   
    

Six-

                    
    

Month USD

                    

GSG

     Pay      BBA LIBOR      7.210         1/13/19 INR         935,000       USD      15,039         —           1,415,994   
    

Six-

                    
    

Month USD

                    

GSG

     Pay     

BBA LIBOR

     7.100         1/15/19 INR         931,750       USD      15,045                         —               1,285,179   
                      

 

 

 

Total Over-the-Counter Currency Swap

  

         $ (10,739)       $ 5,897,376   
                      

 

 

 

 

Centrally Cleared Interest Rate Swaps at December 31, 2014

                 
     Pay/Receive                                          
     Floating      Floating             Maturity      Notional Amount         
Counterparty    Rate      Rate      Fixed Rate      Date            (000’s)      Value  
        Three-                  
        Month USD                  

BAC

     Pay         BBA LIBOR                 2.702         6/18/24       USD      16,440       $ (662,180)   
        Six-Month                  
        AUD BBR                  

BOA

     Pay         BBSW         2.775         8/11/17       AUD              119,000                     983,879    
        Three-                  
        Month USD                  

BOA

     Receive         BBA LIBOR         2.595         8/14/24       USD      28,000         (1,097,890)   
        Three-                  
        Month CAD                  

BOA

     Receive         BA CDOR         1.660         9/12/16       CAD      280,000         (441,633)   
        Three-                  
        Month USD                  

BOA

     Receive         BBA LIBOR         2.850         2/18/24       USD      25,000         (1,565,701)   

 

 

34 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Centrally Cleared Interest Rate Swaps (Continued)

                 
     Pay/Receive                                       
     Floating     Floating           Maturity      Notional Amount         
Counterparty    Rate     Rate    Fixed Rate      Date            (000’s)      Value  
    

Six-Month

              
    

AUD BBR

              

BOA

     Receive      BBSW      3.743         8/11/24       AUD      40,000         (1,845,646)   
    

Three-

              
    

Month USD

              

GSG

     Receive      BBA LIBOR      2.695         6/19/24       USD      16,320       $ (646,308)   
    

Three-

              
    

Month USD

              

GSG

     Receive      BBA LIBOR      2.396         10/29/24       USD      6,660         (99,854)   
    

Three-

              
    

Month USD

              

JPM

     Receive      BBA LIBOR      3.036         1/8/24       USD      120,000         (9,832,352)   
    

Three-

              
    

Month USD

              

JPM

     Receive      BBA LIBOR      2.399         10/29/24       USD      6,190         (94,495)   
    

Three-

              
    

Month USD

              

JPM

     Receive      BBA LIBOR      2.570         8/15/24       USD      12,980         (521,222)   
    

MXN TIIE

              

JPM

     Pay      BANXICO      6.090         7/29/24       MXN      194,500         35,025    
    

Three-

              
    

Month USD

              

JPM

     Receive      BBA LIBOR      2.550         8/12/24       USD      12,960         (501,732)   
    

MXN TIIE

              

JPM

     Receive      BANXICO      6.070         8/1/24       MXN      188,700                         39,087    
    

Six-Month

              
    

EUR

              

UBS

     Receive     

EURIBOR

     1.720         7/15/24       EUR      150,000         (17,185,337)   
                   

 

 

 

Total Centrally Cleared Interest Rate Swaps

      $ (33,436,359)   
                   

 

 

 
                         

Over-the-Counter Interest Rate Swaps at December 31, 2014

                 
     Pay/Receive                                       
     Floating     Floating           Maturity      Notional Amount         
Counterparty    Rate     Rate    Fixed Rate      Date            (000’s)      Value  
    

Three-

              
    

Month MYR

              

BOA

     Pay      KLIBOR      4.510         6/17/24       MYR      54,600       $ 356,845     
    

Six-Month

              
    

SGD SOR

              

GSG

     Pay      VWAP      3.185         9/2/24       SGD      70,000         502,201     
    

Three-

              
    

Month HKD

              
    

HIBOR

              

GSG

     Receive      HKAB      3.230         9/12/24       HKD      425,000         (1,177,204)   
    

Three-

              
    

Month HKD

              
    

HIBOR

              

GSG

     Receive      HKAB      3.230         7/24/24       HKD      420,000         (1,177,489)   
    

One-Year

              

GSG

     Pay      INR MIBOR      7.730         12/19/15       INR      17,000,000         (25,173)   
    

Six-Month

              
    

SGD SOR

              

GSG

     Pay     

VWAP

     3.430         9/16/24       SGD      71,000                     1,058,054    

 

 

35 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaps (Continued)

                 
     Pay/Receive                                       
     Floating     Floating           Maturity      Notional Amount         
Counterparty    Rate     Rate    Fixed Rate      Date            (000’s)      Value  
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.205         11/21/24       MYR      99,000       $ (58,496)   
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.080         12/10/19       MYR      190,000         141,098    
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.550         12/12/24       MYR      62,000         459,822    
    

Three-

              
    

Month ILS

              

GSG

     Pay      TELEBOR01      2.365         10/6/24       ILS      45,735         55,256    
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.088         6/2/19       MYR      137,000         159,478    
    

MXN TIIE

              

GSG

     Pay      BANXICO      4.260         6/15/16       MXN      801,100         13,642    
    

Three-

              
    

Month CNY

              

GSG

     Receive      CNREPOFIX      4.050         8/14/19       CNY      325,000         (1,334,798)   
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.520         6/11/24       MYR      73,000         499,836    
    

Three-

              
    

Month MYR

              

GSG

     Pay      KLIBOR      4.515         6/17/24       MYR      54,360         361,430    
    

Three-

              
    

Month ILS

              

HSBC

     Pay      TELEBOR01      2.350         10/8/24       ILS      37,000         31,599    
    

Three-

              
    

Month COP

              

JPM

     Pay      IBR OIS      6.090         10/29/24       COP      15,470,000         (168,276)   
    

Three-

              
    

Month KRW

              

JPM

     Pay      CD KSDA      2.820         11/3/29       KRW      57,000,000         56,068    
    

Three-

              
    

Month USD

              

JPM

     Receive      BBA LIBOR      2.150         5/30/23       USD      27,000         (11,063)   
    

Three-

              
    

Month KRW

              

JPM

     Pay      CD KSDA      2.790         11/3/29       KRW      57,000,000         (849)   
    

Three-

              
    

Month KRW

              

JPM

     Receive      CD KSDA      3.080         6/10/18       KRW      132,000,000         (2,045,990)   
    

Three-

              
    

Month KRW

              

JPM

     Pay      CD KSDA      3.270         10/21/34       KRW      56,000,000         864,938    
    

Three-

              
    

Month KRW

              

JPM

     Pay      CD KSDA      3.490         6/24/34       KRW      57,700,000                     1,776,966    
    

Three-

              
    

Month KRW

              

JPM

     Receive      CD KSDA      3.325         6/24/29       KRW          107,000,000         (1,919,159)   

 

 

36 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaps (Continued)

                 
     Pay/Receive                                       
     Floating     Floating           Maturity      Notional Amount         
Counterparty    Rate     Rate    Fixed Rate      Date            (000’s)      Value  
    

Three-

              
    

Month KRW

              

JPM

     Pay     

CD KSDA

     3.200         7/8/24       KRW      37,700,000       $ 775,310   
    

Three-

              
    

Month KRW

              

JPM

     Pay     

CD KSDA

     3.280         7/19/24       KRW      37,700,000         890,360   
    

Three-

              
    

Month KRW

              

JPM

     Pay     

CD KSDA

     3.280         6/27/24       KRW      63,500,000         1,522,636   
    

MXN TIIE

              

JPM

     Pay     

BANXICO

     4.280         6/15/16       MXN      795,100         24,032   
    

Three-

              
    

Month CNY

              

JPM

     Receive     

CNREPOFIX

     3.910         8/27/19       CNY      325,000         (985,908)   
    

Three-

              
    

Month COP

              

MOS-A

     Pay     

IBR OIS

     6.090         10/29/24       COP      15,940,000         (173,388)   
                   

 

 

 

Total Over-the-Counter Interest Rate Swaps

               $             471,778   
                   

 

 

 

 

Over-the-Counter Credit Default Swaptions Written at December 31, 2014

  

            Buy/Sell      Reference      Fixed Expiration      Notional      Premiums         
Description    Counterparty      Protection      Asset      Rate      Date      Amount (000’s)      Received      Value  
           iTraxx                     
           Europe                     

Credit Default

           Crossover                     

Swap maturing

           Series 22                     

12/20/19 Call

     JPM         Sell         Version 1         5.000         3/18/15       EUR      100,000       $ 940,538       $ (568,639)   
           iTraxx                     
           Europe                     

Credit Default

           Crossover                     

Swap maturing

           Series 22                     

12/20/19 Call

     JPM         Sell         Version 1         5.000         3/18/15       EUR      50,000         250,810         (279,866)   
           iTraxx                     
           Europe                     

Credit Default

           Crossover                     

Swap maturing

           Series 22                     

12/20/19 Call

     JPM         Sell         Version 1         5.000         3/18/15       EUR      100,000         463,998         (559,733)   
           iTraxx                     
           Europe                     

Credit Default

           Crossover                     

Swap maturing

           Series 22                     

12/20/19 Call

     JPM         Sell         Version 1         5.000         3/18/15       EUR      100,000         1,103,564         (568,639)   
           iTraxx                     
           Europe                     

Credit Default

           Crossover                     

Swap maturing

           Series 22                     

12/20/19 Call

     BOA         Sell         Version 1         5.000         3/18/15       EUR      100,000         661,731         (568,639)   
                       

 

 

 

Total Over-the-Counter Credit Default Swaptions Written

  

         $   3,420,641       $ (2,545,516)   
                       

 

 

 

 

 

37 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaptions Written at December 31, 2014

  

            Pay/Receive                                              
            Floating     Floating    Fixed Expiration      Notional      Premiums         
Description    Counterparty      Protection     Asset    Rate      Date      Amount (000’s)      Received      Value  
        Six-                  

Interest Rate

        Month                  

Swap maturing

        JPY BBA                  

11/10/35 Call

     BAC         Receive      LIBOR      1.445         11/6/15       JPY      5,000,000       $     1,133,244       $     (2,170,280)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        JPY BBA                  

11/10/35 Call

     BAC         Pay      LIBOR      1.445         11/6/15       JPY      5,000,000         1,133,243         (304,888)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        AUD BBR                  

1/29/25 Call

     BOA         Receive      BBSW      3.693         1/28/15       AUD      30,000         371,553         (1,150,281)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        CAD BA                  

3/2/20 Call

     BOA         Receive      CDOR      1.930         3/2/15       CAD      150,000         724,415         (1,070,514)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

4/22/45 Call

     BOA         Receive      EURIBOR      1.863         4/20/15       EUR      25,000         1,353,135         (3,144,307)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

10/6/20 Call

     BOA         Receive      EURIBOR      0.655         10/2/15       EUR      115,000         1,004,055         (1,790,109)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        CAD BA                  

3/2/20 Call

     BOA         Pay      CDOR      1.930         3/2/15       CAD      150,000         724,415         (340,536)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

9/25/44 Call

     BOA         Pay      LIBOR      4.000         9/23/16       USD      100,000         4,100,000         (1,814,596)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

9/21/27 Call

     BOA         Pay      LIBOR      4.000         9/19/17       USD      220,000         7,300,000         (4,110,482)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

12/26/24 Call

     BOA         Pay      BANXICO      6.182         1/7/15       MXN      800,000         1,360,907         (245,120)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

3/13/20 Call

     BOA         Pay      LIBOR      2.000         3/11/15       USD      250,000         1,225,000         (984,445)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

4/7/25 Call

     GSG         Receive      BANXICO      6.375         4/17/15       MXN      675,000         1,063,848         (1,122,213)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

2/6/20 Call

     GSG         Pay      BANXICO      5.190         2/11/15       MXN      1,400,000         740,360         (1,572,502)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

4/7/25 Call

     GSG         Pay      BANXICO      6.375         4/17/15       MXN      675,000         1,063,847         (838,741)   

 

 

38 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaptions Written (Continued)

  

            Pay/Receive                                              
            Floating     Floating    Fixed Expiration      Notional      Premiums         
Description    Counterparty      Protection     Asset    Rate      Date      Amount (000’s)      Received      Value  
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/17/20 Call

     GSG         Pay      WIBO      1.886         2/13/15       PLN      360,000       $ 769,322       $ (629,373)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

2/3/45 Call

     GSG         Receive      EURIBOR      1.825         1/30/15       EUR      25,000         940,302         (2,731,079)   
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/17/20 Call

     GSG         Receive      WIBO      1.886         2/13/15       PLN      360,000         769,321         (222,594)   
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/23/20 Call

     GSG         Receive      WIBO      2.100         2/19/15       PLN      200,000         434,201         (453,480)   
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/23/20 Call

     GSG         Pay      WIBO      2.100         2/19/15       PLN      200,000         434,200         (111,655)   
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/9/20 Call

     GSG         Pay      WIBO      1.930         2/5/15       PLN      200,000         457,868         (258,104)   
        Six-                  
        Month                  

Interest Rate

        PLN                  

Swap maturing

        WIBOR                  

2/9/20 Call

     GSG         Receive      WIBO      1.930         2/5/15       PLN      200,000         457,869         (150,851)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

9/30/39 Call

     GSG         Pay      LIBOR      4.000         9/26/16       USD      175,000         6,483,750         (2,880,239)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        KRW CD                  

4/30/24 Call

     GSG         Pay      KSDA      4.530         4/29/19       KRW      100,000,000         579,626         (168,743)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

9/25/25 Call

     GSG         Receive      EURIBOR      1.900         9/23/15       EUR      100,000         1,041,943         (3,175,070)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

3/9/20 Call

     GSG         Pay      LIBOR      2.000         3/5/15       USD      250,000         1,437,500         (893,053)   

 

 

39 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaptions Written (Continued)

  

            Pay/Receive                                              
            Floating     Floating    Fixed Expiration      Notional      Premiums         
Description    Counterparty      Protection     Asset    Rate      Date      Amount (000’s)      Received      Value  
       

Six-

                 

Interest Rate

        Month                  

Swap maturing

        EUR                  

9/23/25 Call

     GSG         Receive      EURIBOR      2.000         9/21/15       EUR      150,000       $     1,617,903       $     (5,479,637)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

11/7/25 Call

     GSG         Receive      BANXICO      6.510         11/19/15       MXN      750,000         1,929,119         (1,958,835)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        AUD BBR                  

1/28/25 Call

     GSG         Receive      BBSW      3.710         1/27/15       AUD      75,000         903,943         (2,958,444)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

9/23/16 Call

     GSG         Pay      BANXICO      4.630         9/24/15       MXN      3,300,000         1,011,249         (651,778)   

Interest Rate

                         

Swap maturing

        MXN TIIE                  

11/7/25 Call

     GSG         Pay      BANXICO      6.510         11/19/15       MXN      750,000         1,929,118         (2,074,292)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        GBP BBA                  

10/10/17 Call

     GSG         Receive      LIBOR      1.847         10/10/16       GBP      250,000         1,818,281         (2,862,045)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        JPY BBA                  

2/23/35 Call

     JPM         Pay      LIBOR      1.353         2/19/15       JPY      5,000,000         647,806         (4,621)   
       

Three-

                 

Interest Rate

        Month                  

Swap maturing

        KRW CD                  

2/12/29 Call

     JPM         Pay      KSDA      4.610         2/11/19       KRW      100,000,000         1,026,886         (228,830)   
       

Six-

                 

Interest Rate

        Month                  

Swap maturing

        JPY BBA                  

2/23/35 Call

     JPM         Receive      LIBOR      1.353         2/19/15       JPY      5,000,000         647,806         (1,668,989)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

10/13/20 Call

     JPM         Receive      EURIBOR      0.658         10/9/15       EUR      150,000         1,310,977         (2,367,426)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        USD BBA                  

9/28/26 Call

     JPM         Pay      LIBOR      3.272         9/26/16       USD      100,000         4,000,000         (2,039,212)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

8/12/25 Call

     JPM         Pay      EURIBOR      2.750         8/10/15       EUR      250,000         2,126,198         (106,170)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        JPY BBA                  

2/17/35 Call

     JPM         Receive      LIBOR      1.408         2/13/15       JPY      10,000,000         1,308,460         (4,200,606)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

2/3/45 Call

     JPM         Receive      EURIBOR      1.816         1/30/15       EUR      35,000         1,310,901         (3,732,445)   

 

 

40 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Over-the-Counter Interest Rate Swaptions Written (Continued)

  

            Pay/Receive                                              
            Floating     Floating    Fixed Expiration      Notional      Premiums         
Description    Counterparty      Protection     Asset    Rate      Date      Amount (000’s)      Received      Value  
        Six-                  

Interest Rate

        Month                  

Swap maturing

        AUD BBR                  

1/27/25 Call

     JPM         Receive      BBSW      3.685         1/23/15       AUD      75,000       $ 926,740       $ (2,822,522)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

7/21/25 Call

     UBS         Receive      EURIBOR      1.421         7/17/15       EUR      48,850         792,425         (3,205,859)   
        Three-                  

Interest Rate

        Month                  

Swap maturing

        GBP BBA                  

10/10/18 Call

     UBS         Receive      LIBOR      2.128         10/10/16       GBP      115,000         1,691,406         (2,765,871)   
        Six-                  

Interest Rate

        Month                  

Swap maturing

        EUR                  

10/5/20 Call

     UBS         Receive      EURIBOR      0.640         10/1/15       EUR      200,000         1,813,752         (2,968,879)   
                      

 

 

 

Total Over-the-Counter Interest Rate Swaptions Written

  

         $     63,916,894       $     (74,429,716)   
                      

 

 

 

 

Glossary:

  

Counterparty Abbreviations

BAC

   Barclays Bank plc

BNP

   BNP Paribas

BOA

   Bank of America NA

CITI

   Citigroup, Inc.

CITNA-B

   Citibank NA

DEU

   Deutsche Bank AG

FIB

   Credit Suisse International

GOL

   Goldman Sachs & Co.

GSCO-OT        

   Goldman Sachs Bank USA

GSG

   Goldman Sachs Group, Inc. (The)

HSBC

   HSBC Bank USA NA

JPM

   JPMorgan Chase Bank NA

MOS-A

   Morgan Stanley

MSCO

   Morgan Stanley Capital Services, Inc.

NOM

   Nomura Global Financial Products, Inc.

t-NOM

   Nomura Securities International, Inc.

TDB

   Toronto Dominion Bank

UBS

   UBS AG

Currency abbreviations indicate amounts reporting in currencies

AUD

   Australian Dollar

BRL

   Brazilian Real

CAD

   Canadian Dollar

CHF

   Swiss Franc

CLP

   Chilean Peso

CNH

   Offshore Chinese Renminbi

CNY

   Chinese Renminbi

COP

   Colombian Peso

DKK

   Danish Krone

EUR

   Euro

GBP

   British Pound Sterling

HKD

   Hong Kong Dollar

 

 

41 OPPENHEIMER INTERNATIONAL BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Currency abbreviations indicate amounts reporting in currencies (Continued)

HUF

   Hungarian Forint

IDR

   Indonesia Rupiah

ILS

   Israeli Shekel

INR

   Indian Rupee

JPY

   Japanese Yen

KRW

   South Korean Won

MXN

   Mexican Nuevo Peso

MYR

   Malaysian Ringgit

NOK

   Norwegian Krone

NZD

   New Zealand Dollar

PEN

   Peruvian New Sol

PHP

   Philippines Peso

PLN

   Polish Zloty

RON

   New Romanian Leu

RUB

   Russian Ruble

SEK

   Swedish Krona

SGD

   Singapore Dollar

THB

   Thailand Baht

TRY

   New Turkish Lira

TWD

   New Taiwan Dollar

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

BBR BBSW

   Bank Bill Swap Reference Rate (Australian Financial Market)

CD

   Certificate of Deposit

CNREPOFIX

   Repurchase Fixing Rates

EURIBOR

   Euro Interbank Offered Rate

HIBOR

   Hong Kong Interbank Offered Rate

HKAB

   Hong Kong Association of Banks

IBR

   Indicador Bancario de Referencia

iTraxx Europe        

  

Crossover Series

  

22 Version 1

   Credit Default Swap Trading Index for a Specific Basket of Securities

KLIBOR

   Kuala Lumpur Interbank Offered Rate

KSDA

   Korean Securities Dealers Assn.

MIBOR

   Mumbai Interbank Offered Rate

OIS

   Overnight Index Swap

SOR VWAP

   Swap Offered Rate Singapore Dollar Index

TELEBOR01

   Tel Aviv Interbank Offered Rate 1 Month

TIIE

   Interbank Equilibrium Interest Rate

WIBOR WIBO

   Poland Warsaw Interbank Offer Bid Rate

Exchange Abbreviations

EUX

   European Stock Exchange

 

 

42 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS December 31, 2014 / Unaudited

 

 

1. Organization

Oppenheimer International Bond Fund (the “Fund”) is a non-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.

 

 

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.

 

 

3. Securities Valuation

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.

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 using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded,

 

43 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Securities Valuation (Continued)

 

as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

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, event-linked bonds, loans, 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.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.

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.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

 

44 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Securities Valuation (Continued)

 

Security Type    Standard inputs generally considered by third-party pricing vendors
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities    Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
Loans    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Event-linked bonds    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Structured securities    Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.
Swaps    Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” 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. Fair value determinations by the Manager 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. Those fair valuation standardized 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, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, 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

 

45 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Securities Valuation (Continued)

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 are 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 table below categorizes amounts as of December 31, 2014 based on valuation input level:

 

                   Level 3—         
     Level 1—      Level 2—      Significant         
     Unadjusted      Other Significant      Unobservable         
     Quoted Prices      Observable Inputs      Inputs      Value    

 

 

Assets Table

           

Investments, at Value:

           

Asset-Backed Securities

   $ —         $ 45,513,651         $ —         $ 45,513,651     

Mortgage-Backed Obligations

     —           31,464,882           —           31,464,882     

U.S. Government Obligation

     —           19,996,880           —           19,996,880     

Foreign Government Obligations

     —           4,166,916,466           —           4,166,916,466     

Corporate Bonds and Notes

     —           2,270,563,716           16,449,514           2,287,013,230     

Common Stock

     —           —           —           —     

Structured Securities

     —           20,299,324           4,055,914           24,355,238     

Short-Term Notes

     —           613,959,044           —           613,959,044     

Over-the-Counter Options

           

Purchased

     —           66,632,875           —           66,632,875     

Over-the-Counter Interest Rate

           

Swaptions Purchased

     —           35,933,782           —           35,933,782     

Investment Company

     572,329,998           —           —           572,329,998     
  

 

 

 

Total Investments, at Value

     572,329,998           7,271,280,620           20,505,428           7,864,116,046     

Other Financial Instruments:

           

Swaps, at value

     —           28,890,194           —           28,890,194     

Centrally cleared swaps, at value

     —           1,057,991           —           1,057,991     

Foreign currency exchange contracts

     —           233,944,530           —           233,944,530     
  

 

 

 

Total Assets

   $     572,329,998         $     7,535,173,335         $     20,505,428         $     8,128,008,761     
  

 

 

 

 

46 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Securities Valuation (Continued)

Liabilities Table

           

Other Financial Instruments:

           

Swaps, at value

   $       $ (24,279,493)       $       $ (24,279,493)   

Centrally cleared swaps, at value

             (34,494,350)                 (34,494,350)   

Options written, at value

             (66,249,864)                 (66,249,864)   

Futures contracts

     (8,359,006)                         (8,359,006)   

Foreign currency exchange contracts

             (151,915,557)                 (151,915,557)   

Swaptions written, at value

             (76,975,232)                 (76,975,232)   
  

 

 

 

Total Liabilities

   $     (8,359,006)       $     (353,914,496)       $                         —       $     (362,273,502)   
  

 

 

 

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 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.

 

     Transfers into      Transfers out of  
     Level 2*      Level 3*  
  

 

 

 

Assets Table

     

Investments, at Value:

     

Asset-Backed Securities

   $ 7,318,905         $ (7,318,905)     
  

 

 

 

Total Assets

   $         7,318,905         $         (7,318,905)     
  

 

 

 

* Transferred from Level 3 to Level 2 due to the availability of market data for this security.

 

 

4. Investments and Risks

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its 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 IMMF.

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,

 

47 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

4. Investments and Risks (Continued)

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 Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures.

Restricted Securities. As of December 31, 2014, 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 Statement of Investments. Restricted securities are reported on a schedule following the 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.

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 payment. Information concerning securities not accruing interest as of December 31, 2014 is as follows:

 

Cost

     $33,100,630   

Market Value

     $805,000   

Market value as % of Net Assets

     0.01%   

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.

 

48 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments

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.

Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following 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 to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

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 typically indicate lower volatility risk.

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

 

49 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

unanticipated 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 Statement of Investments. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.

The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.

The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.

The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.

The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure

 

50 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.

During the period ended December 31, 2014, the Fund had daily average contract amounts on forward contracts to buy and sell of $2,591,756,821 and $3,703,370,981, 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 Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the 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 Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended December 31, 2014, the Fund had an ending monthly average market value of $502,892,502 on futures contracts sold.

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.

 

51 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (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 Statement of Operations in the annual and semiannual reports. 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 Statement of Operations in the annual and semiannual reports.

The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

During the period ended December 31, 2014, the Fund had an ending monthly average market value of $15,806,408 and $71,047,793 on purchased call options and purchased put options, respectively.

Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the 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 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.

The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

 

52 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

The Fund has written call options on treasury and/or euro futures to decrease exposure to interest rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

During the period ended December 31, 2014, the Fund had an ending monthly average market value of $14,057,778 and $60,517,847 on written call options and written put options, respectively.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

Written option activity for the period ended December 31, 2014 was as follows:

 

    Number of     Amount of      
    Contracts     Premiums      

 

 
Options outstanding as of September 30, 2014     1,871,503,834,143      $ 75,535,809       
Options written     1,881,843,490,000        159,149,372       
Options closed or expired     (427,427,952,000)        (9,391,720)       
Options exercised     (2,866,777,482,143)        (156,882,894)       
 

 

 

 
Options outstanding as of December 31, 2014     459,141,890,000      $ 68,410,567       
 

 

 

 

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 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 Statement of Assets and Liabilities in the annual and semiannual reports. 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 Statement of Operations in the annual and semiannual reports. 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 Statement of Operations in the annual and semiannual reports.

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

 

53 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

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 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 Statement of Operations in the annual and semiannual reports.

The Fund has sold credit protection through credit default swaps to increase 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 purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.

For the period ended December 31, 2014, the Fund had ending monthly average notional amounts of $76,471,099 and $175,900,353 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.

Currency Swap Contracts. A currency swap contract is an agreement between counterparties to exchange different currencies at contract inception that are equivalent to a notional value. The exchange at contract inception is made at the current spot rate. The contract also includes an agreement to reverse the exchange of the same notional values of those currencies at contract termination. The re-exchange at contract termination may take

 

54 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

place at the same exchange rate, a specified rate or the then current spot rate. Certain currency swap contracts provide for exchanging the currencies only at contract termination and can provide for only a net payment in the settlement currency, typically USD. A currency swap contract may also include the exchange of periodic payments, between the counterparties, that are based on interest rates available in the respective currencies at contract inception. Other currency swap contracts may not provide for exchanging the different currencies at all, and only for exchanging interest cash flows based on the notional value in the contract.

The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on the various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts increase exposure to foreign exchange rate risk.

For the period ended December 31, 2014, the Fund had ending monthly average notional amounts of $70,176,610 on currency swaps which receive a fixed rate.

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 has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.

The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.

For the period ended December 31, 2014, the Fund had ending monthly average notional amounts of $1,211,031,881 and $1,155,444,081 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.

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 Statement of Investments and the Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the

 

55 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

annual and semiannual reports. 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 Statement of Operations in the annual and semiannual reports 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 has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.

The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.

The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.

The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.

The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.

The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or, indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.

During the period ended December 31, 2014, the Fund had an ending monthly average market value of $46,539,601 and $57,097,053 on purchased and written swaptions, respectively.

Written swaption activity for the period ended December 31, 2014 was as follows:

 

56 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

     Notional          Amount of      
     Amount          Premiums      

 

 

Swaptions outstanding as of

September 30, 2014

     210,982,310,000       $ 38,363,215   

Swaptions written

     51,583,695,000         63,294,528   

Swaptions closed or expired

     (877,800,000)         (1,513,514)   

Swaptions exercised

     (18,329,355,000)         (32,806,694)   
  

 

 

 

Swaptions outstanding as of

December 31, 2014

             243,358,850,000       $ 67,337,535   
  

 

 

 

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. 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.

As of December 31, 2014, the Fund has required certain counterparties to post collateral of $88,760,918.

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 Statement of Assets and Liabilities in the annual and semiannual reports. 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

 

57 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

5. Risk Exposures and the Use of Derivative Instruments (Continued)

 

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 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 Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the 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.

 

58 OPPENHEIMER INTERNATIONAL BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

6. Federal Taxes

The approximate 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 as of December 31, 2014 are noted below. 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.

Federal tax cost of securities

    $ 8,189,738,324   

Federal tax cost of other investments

     (134,325,757)   
  

 

 

 

Total federal tax cost

    $    8,055,412,567   
  

 

 

 

Gross unrealized appreciation

    $ 343,329,906   

Gross unrealized depreciation

     (676,603,068)   
  

 

 

 

Net unrealized depreciation

    $ (333,273,162)   
  

 

 

 

 

59 OPPENHEIMER INTERNATIONAL BOND FUND


Item 2. Controls and Procedures.

 

  (a) 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 12/31/2014, 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 the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.


  (b) There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibits 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 International Bond Fund

 

By:

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer

Date:

2/11/2015

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:

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer

Date:

2/11/2015

 

By:

/s/ Brian W. Wixted

Brian W. Wixted
Principal Financial Officer

Date:

2/11/2015

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:2/27/15
For Period End:12/31/14
9/30/1424F-2NT,  N-CSR,  NSAR-B
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