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As Of Filer Filing For·On·As Docs:Size Issuer Agent 2/27/15 Oppenheimer Int’l Bond Fund N-Q 12/31/14 2:2.1M RR Donnelley/FA → Oppenheimer International Bond Fund ⇒ A — B — C — I — R — Y |
Document/Exhibit Description Pages Size 1: N-Q Oppenheimer International Bond Fund HTML 1.33M 2: EX-99.CERT Section 302 Certifications HTML 15K
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 |
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 |
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: |
||
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: |
||
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 |
This ‘N-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on / Effective on: | 2/27/15 | |||
For Period End: | 12/31/14 | |||
9/30/14 | 24F-2NT, N-CSR, NSAR-B | |||
List all Filings |