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As Of Filer Filing For·On·As Docs:Size Issuer Agent 8/28/15 Oppenheimer Int’l Bond Fund N-Q 6/30/15 2:1.5M 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 1.12M 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: 6/30/2015
Item 1. Schedule of Investments.
STATEMENT OF INVESTMENTS June 30, 2015 Unaudited
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Asset-Backed Securities—1.2% | ||||||||||
|
|
||||||||||
| Avoca CLO VIII Ltd., Series VIII-X, Cl. E, 4.328%, 10/15/231 | EUR | 12,700,000 | $ | 13,139,289 | ||||||
|
|
||||||||||
| Axius Europe CLO SA, Series 2007-1X, Cl. E, 4.56%, 11/15/231 | EUR | 7,931,617 | 8,444,648 | |||||||
|
|
||||||||||
| Cadogan Square CLO IV BV, Series 4X, Cl. D, 1.691%, 7/24/231 | EUR | 9,500,000 | 10,217,644 | |||||||
|
|
||||||||||
| Halcyon Structured Asset Management European CLO BV, Series 2006-IIX, Cl. E, 3.991%, 1/25/231 | EUR | 12,082,113 | 11,741,575 | |||||||
|
|
||||||||||
| Harvest CLO IA SA: | ||||||||||
| Series I-X, Cl. D, 2.989%, 3/29/171 | EUR | 1,383,514 | 1,542,400 | |||||||
| Series I-X, Cl. E, 7.589%, 3/29/171 | EUR | 5,000,000 | 5,568,676 | |||||||
|
|
||||||||||
| Highlander Euro CDO II Cayman Ltd., Series 2006-2CX, Cl. E, 3.586%, 12/14/221 | EUR | 11,856,645 | 12,407,234 | |||||||
|
|
||||||||||
| Magellan Mortgages No. 3 plc, Series 3, Cl. A, 0.251%, 5/15/581 | EUR | 1,490,505 | 1,420,387 | |||||||
|
|
||||||||||
| Stichting Halcyon Structured Asset Management European, Series 2007-IX, Cl. E, 3.941%, 7/24/231 | EUR | 3,303,497 | 3,461,970 | |||||||
|
|
||||||||||
| Theseus European CLO SA, Series 2006-1X, Cl. E, 4.118%, 8/27/221 | EUR | 10,000,000 | 10,920,591 | |||||||
|
|
|
|||||||||
| Total Asset-Backed Securities (Cost $84,374,802)
|
|
78,864,414
|
| |||||||
|
|
||||||||||
| Mortgage-Backed Obligations—1.0% | ||||||||||
|
|
||||||||||
| Capital Mortgage Srl, Series 2007-1, Cl. B, 0.215%, 1/30/471 | EUR | 8,000,000 | 5,863,201 | |||||||
|
|
||||||||||
| Eurosail plc, Series 2007-5X, Cl. A1A, 1.341%, 9/13/451 | GBP | 14,067,417 | 20,495,249 | |||||||
|
|
||||||||||
| Hipocat 11 Fondo de Titulizacion de Activos, Series HIPO-11, Cl. A2, 0.141%, 1/15/501 | EUR | 3,334,714 | 3,239,665 | |||||||
|
|
||||||||||
| IM Pastor 4 Fondo de Titulizacion de Activos: | ||||||||||
| Series 4, Cl. A, 0.126%, 3/22/441 | EUR | 24,190,817 | 23,232,397 | |||||||
| Series 4, Cl. B, 0.176%, 3/22/441 | EUR | 3,000,000 | 1,519,646 | |||||||
|
|
||||||||||
| Lusitano Mortgages No. 4 plc: | ||||||||||
| Series 4, Cl. A, 0.206%, 9/15/481 | EUR | 1,798,061 | 1,804,168 | |||||||
| Series 4, Cl. C, 0.546%, 9/15/481 | EUR | 3,308,556 | 2,513,532 | |||||||
|
|
||||||||||
| Magellan Mortgages No. 4 plc, Series 4, Cl. A, 0.142%, 7/20/591 | EUR | 1,688,350 | 1,657,802 | |||||||
|
|
||||||||||
| Rural Hipotecario I Fondo de Titulizacion Hipotec, Series 9, Cl. A2, 0.131%, 2/17/501 | EUR | 7,357,374 | 7,921,979 | |||||||
|
|
|
|||||||||
| Total Mortgage-Backed Obligations (Cost $73,535,263)
|
|
68,247,639
|
| |||||||
|
|
||||||||||
| Foreign Government Obligations—53.3% | ||||||||||
|
|
||||||||||
| Angola—0.1% | ||||||||||
| Republic of Angola Via Northern Lights III BV Sr. Unsec. Nts., 7%, 8/16/19
|
|
6,040,000
|
|
|
6,124,221
|
| ||||
|
|
||||||||||
| Argentina—0.0% | ||||||||||
| Provincia de Buenos Aires Sr. Unsec. Nts., 9.95%, 6/9/212
|
|
3,575,000
|
|
|
3,503,500
|
| ||||
|
|
||||||||||
| Australia—1.6% | ||||||||||
| Commonwealth of Australia Bonds: | ||||||||||
| 1.00%, 11/21/183 | AUD | 25,000,000 | 20,474,217 | |||||||
| 3.75%, 4/21/37 | AUD | 20,000,000 | 15,664,640 | |||||||
|
|
||||||||||
| Commonwealth of Australia Sr. Unsec. Bonds, 2%, 8/21/353 | AUD | 11,300,000 | 10,319,722 | |||||||
|
|
||||||||||
| New South Wales Treasury Corp. Sr. Unsec. Nts., 6%, 5/1/23 | AUD | 20,000,000 | 18,702,788 | |||||||
|
|
||||||||||
| Queensland Treasury Corp. Sr. Unsec. Nts., Series 33, 6.50%, 3/14/33 | AUD | 20,590,000 | 20,658,512 | |||||||
1 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Australia (Continued) | ||||||||||
|
|
||||||||||
| Victoria Treasury Corp. Sr. Unsec. Bonds, 5.50%, 11/17/26 | AUD | 30,385,000 | $ | 27,954,951 | ||||||
|
|
|
|||||||||
|
|
113,774,830
|
| ||||||||
|
|
||||||||||
| Belgium—1.1% | ||||||||||
| Kingdom of Belgium Bonds, Series 58, 3.75%, 9/28/20 | EUR | 50,000,000 | 65,628,877 | |||||||
|
|
||||||||||
| Kingdom of Belgium Unsec. Bonds, Series 60, 4.25%, 3/28/412 | EUR | 5,055,000 | 8,144,752 | |||||||
|
|
|
|||||||||
|
|
73,773,629
|
| ||||||||
|
|
||||||||||
| Brazil—9.4% | ||||||||||
| Brazil Minas SPE via State of Minas Gerais Sec. Bonds, 5.333%, 2/15/282 | 7,610,000 | 7,229,500 | ||||||||
|
|
||||||||||
| Federative Republic of Brazil Nota Do Tesouro Nacional Sr. Unsec. Nts.: | ||||||||||
| 4.875%, 1/22/214 | 8,138,000 | 8,524,555 | ||||||||
| 9.762%, 1/1/17 | BRL | 1,795,315,000 | 547,811,131 | |||||||
|
|
||||||||||
| Federative Republic of Brazil Nota Do Tesouro Nacional Unsec. Nts.: | ||||||||||
| 9.762%, 1/1/18 | BRL | 117,395,000 | 35,281,226 | |||||||
| 10.00%, 1/1/25 | BRL | 190,485,000 | 52,897,326 | |||||||
|
|
|
|||||||||
|
|
651,743,738
|
| ||||||||
|
|
||||||||||
| Canada—1.0% | ||||||||||
| Canada Unsec. Bonds, 3.75%, 6/1/19 | CAD | 73,380,000 |
|
65,905,110
|
| |||||
|
|
||||||||||
| Cayman Islands—0.1% | ||||||||||
| Lima Metro Line 2 Finance Ltd. Sr. Sec. Bonds, 5.875%, 7/5/342 | 6,575,000 |
|
6,731,156
|
| ||||||
|
|
||||||||||
| China—0.2% | ||||||||||
| Export-Import Bank of China (The) Sr. Unsec. Nts., 3.625%, 7/31/242 | 16,315,000 |
|
16,545,923
|
| ||||||
|
|
||||||||||
| Colombia—0.7% | ||||||||||
| Republic of Colombia Sr. Unsec. Bonds: | ||||||||||
| 5.00%, 6/15/45 | 9,915,000 | 9,220,950 | ||||||||
| 5.625%, 2/26/44 | 3,295,000 | 3,352,663 | ||||||||
| 7.375%, 9/18/37 | 3,225,000 | 3,999,000 | ||||||||
|
|
||||||||||
| Republic of Colombia Sr. Unsec. Nts.: | ||||||||||
| 4.00%, 2/26/24 | 1,815,000 | 1,810,463 | ||||||||
| 4.375%, 7/12/21 | 17,070,000 | 17,897,895 | ||||||||
| 8.125%, 5/21/24 | 7,315,000 | 9,410,747 | ||||||||
|
|
|
|||||||||
|
|
45,691,718
|
| ||||||||
|
|
||||||||||
| Croatia—0.5% | ||||||||||
| Republic of Croatia Sr. Unsec. Nts.: | ||||||||||
| 5.50%, 4/4/232 | 23,420,000 | 24,195,904 | ||||||||
| 6.375%, 3/24/212 | 4,045,000 | 4,383,769 | ||||||||
| 6.75%, 11/5/192 | 2,450,000 | 2,708,769 | ||||||||
|
|
|
|||||||||
|
|
31,288,442
|
| ||||||||
|
|
||||||||||
| Denmark—0.5% | ||||||||||
| Kingdom of Denmark Bonds, 4%, 11/15/19
|
DKK
|
|
217,580,000
|
|
|
38,122,556
|
| |||
|
|
||||||||||
| Dominican Republic—0.8% | ||||||||||
| Banco de Reservas de la Republica Dominicana Sub. Nts., 7%, 2/1/232 | 10,940,000 | 11,017,619 | ||||||||
2 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Dominican Republic (Continued) | ||||||||||
|
|
||||||||||
| Dominican Republic Sr. Unsec. Bonds: | ||||||||||
| 5.50%, 1/27/252 | $ | 15,105,000 | $ | 15,218,288 | ||||||
| 5.875%, 4/18/242 | 3,500,000 | 3,648,750 | ||||||||
| 6.60%, 1/28/242 | 9,475,000 | 10,256,687 | ||||||||
| 6.85%, 1/27/452 | 18,045,000 | 18,496,125 | ||||||||
|
|
|
|||||||||
|
|
58,637,469
|
| ||||||||
|
|
||||||||||
| Ecuador—0.1% | ||||||||||
| Republic of Ecuador International Bonds, 10.50%, 3/24/202 | 5,090,000 |
|
5,128,175
|
| ||||||
|
|
||||||||||
| Egypt—0.1% | ||||||||||
| Arab Republic of Egypt Bonds: | ||||||||||
| 5.875%, 6/11/252 | 7,805,000 | 7,641,095 | ||||||||
| 6.875%, 4/30/402 | 2,365,000 | 2,323,613 | ||||||||
|
|
|
|||||||||
|
|
9,964,708
|
| ||||||||
|
|
||||||||||
| Hungary—0.6% | ||||||||||
| Hungary Unsec. Bonds: | ||||||||||
| Series 20/A, 7.50%, 11/12/20 | HUF | 4,821,000,000 | 20,808,686 | |||||||
| Series 23/A, 6.00%, 11/24/23 | HUF | 5,189,000,000 | 21,234,540 | |||||||
|
|
|
|||||||||
|
|
42,043,226
|
| ||||||||
|
|
||||||||||
| India—2.9% | ||||||||||
| Indian Railway Finance Corp. Ltd. Sr. Unsec. Nts., 3.417%, 10/10/17 | 9,920,000 | 10,160,441 | ||||||||
|
|
||||||||||
| Republic of India Bonds: | ||||||||||
| 8.27%, 6/9/20 | INR | 8,023,000,000 | 128,283,587 | |||||||
| 8.40%, 7/28/24 | INR | 3,997,000,000 | 64,384,465 | |||||||
|
|
|
|||||||||
|
|
202,828,493
|
| ||||||||
|
|
||||||||||
| Indonesia—2.1% | ||||||||||
| Perusahaan Penerbit SBSN Indonesia III Sr. Unsec. Nts., 4%, 11/21/182 | 7,025,000 | 7,341,125 | ||||||||
|
|
||||||||||
| Perusahaan Penerbit SBSN Indonesia III Unsec. Nts.: | ||||||||||
| 4.35%, 9/10/242 | 4,560,000 | 4,503,000 | ||||||||
| 6.125%, 3/15/192 | 14,480,000 | 16,235,700 | ||||||||
|
|
||||||||||
| Republic of Indonesia International Bonds, 5.125%, 1/15/452 | 3,325,000 | 3,179,531 | ||||||||
|
|
||||||||||
| Republic of Indonesia Sr. Unsec. Bonds: | ||||||||||
| 3.375%, 4/15/232 | 7,830,000 | 7,399,350 | ||||||||
| 4.625%, 4/15/432 | 4,035,000 | 3,641,588 | ||||||||
| 4.875%, 5/5/212 | 18,625,000 | 19,813,275 | ||||||||
| 5.375%, 10/17/232 | 6,690,000 | 7,216,838 | ||||||||
| 5.875%, 1/15/242 | 9,340,000 | 10,344,050 | ||||||||
| 6.75%, 1/15/442 | 2,585,000 | 3,005,063 | ||||||||
| 11.625%, 3/4/192 | 4,245,000 | 5,571,562 | ||||||||
|
|
||||||||||
| Republic of Indonesia Treasury Bonds: | ||||||||||
| Series FR68, 8.375%, 3/15/34 | IDR | 170,100,000,000 | 12,778,200 | |||||||
| Series FR70, 8.375%, 3/15/24 | IDR | 182,330,000,000 | 13,729,487 | |||||||
| Series FR71, 9.00%, 3/15/29 | IDR | 350,960,000,000 | 27,837,781 | |||||||
|
|
|
|||||||||
|
|
142,596,550
|
| ||||||||
|
|
||||||||||
| Italy—2.1% | ||||||||||
| Republic of Italy Buoni Poliennali Del Tesoro Bonds: | ||||||||||
| 1.50%, 6/1/25 | EUR | 5,000,000 | 5,194,047 | |||||||
3 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Italy (Continued) | ||||||||||
| Republic of Italy Buoni Poliennali Del Tesoro Bonds: (Continued) | ||||||||||
| 1.65%, 3/1/322 | EUR | 18,000,000 | $ | 17,405,172 | ||||||
| 3.25%, 9/1/462 | EUR | 75,600,000 | 84,788,607 | |||||||
|
|
||||||||||
| Republic of Italy Buoni Poliennali del Tesoro Unsec. Bonds: | ||||||||||
| 4.75%, 9/1/442 | EUR | 15,000,000 | 21,087,555 | |||||||
| 5.00%, 9/1/40 | EUR | 10,540,000 | 15,106,443 | |||||||
|
|
|
|||||||||
|
|
143,581,824
|
| ||||||||
|
|
||||||||||
| Ivory Coast—0.7% | ||||||||||
| Republic of Cote d’Ivoire Sr. Unsec. Bonds, 5.75%, 12/31/321 | 41,835,000 | 39,674,641 | ||||||||
|
|
||||||||||
| Republic of Cote d’Ivorie Bonds, 6.375%, 3/3/282 | 8,360,000 | 8,192,800 | ||||||||
|
|
|
|||||||||
|
|
47,867,441
|
| ||||||||
|
|
||||||||||
| Japan—3.6% | ||||||||||
| Japan Bank for International Cooperation Sr. Unsec. Nts., 2.30%, 3/19/18 | CAD | 13,205,000 | 10,879,694 | |||||||
|
|
||||||||||
| Japan Bonds, 1.40%, 3/20/55 | JPY | 6,000,000,000 | 46,607,182 | |||||||
|
|
||||||||||
| Japan Sr. Unsec. Bonds: | ||||||||||
| 0.10%, 9/10/243 | JPY | 7,992,240,000 | 70,136,583 | |||||||
| Series 36, 2.00%, 3/20/42 | JPY | 10,000,000,000 | 92,647,383 | |||||||
| Series 38, 1.80%, 3/20/43 | JPY | 3,031,000,000 | 26,971,207 | |||||||
|
|
|
|||||||||
|
|
247,242,049
|
| ||||||||
|
|
||||||||||
| Kenya—0.2% | ||||||||||
| Republic of Kenya Sr. Unsec. Bonds: | ||||||||||
| 5.875%, 6/24/192 | 4,755,000 | 4,866,742 | ||||||||
| 6.875%, 6/24/242 | 9,805,000 | 9,996,982 | ||||||||
|
|
|
|||||||||
|
|
14,863,724
|
| ||||||||
|
|
||||||||||
| Malaysia—0.3% | ||||||||||
| Federation of Malaysia Sr. Unsec. Bonds, 4.262%, 9/15/16 | MYR | 83,350,000 |
|
22,392,851
|
| |||||
|
|
||||||||||
| Mexico—10.0% | ||||||||||
| United Mexican States Bonds: | ||||||||||
| 3.00%, 3/6/45 | EUR | 6,595,000 | 6,395,310 | |||||||
| 3.60%, 1/30/25 | 22,795,000 | 22,532,857 | ||||||||
|
|
||||||||||
| United Mexican States International Bonds, 4%, 3/15/15 | EUR | 7,730,000 | 7,514,886 | |||||||
|
|
||||||||||
| United Mexican States Sr. Unsec. Bonds, Series M10, 8%, 12/17/15 | MXN | 6,365,200,000 | 413,877,514 | |||||||
|
|
||||||||||
| United Mexican States Sr. Unsec. Nts., 5.625%, 3/19/14 | GBP | 8,000,000 | 12,180,330 | |||||||
|
|
||||||||||
| United Mexican States Unsec. Bonds: | ||||||||||
| 4.60%, 1/23/46 | 13,210,000 | 12,301,812 | ||||||||
| 5.625%, 1/15/17 | 21,175,000 | 22,614,900 | ||||||||
| Series M, 5.00%, 12/11/19 | MXN | 1,785,000,000 | 112,740,566 | |||||||
| Series M, 8.00%, 6/11/20 | MXN | 963,000,000 | 68,791,255 | |||||||
| Series M20, 4.75%, 3/8/44 | 13,260,000 | 12,729,600 | ||||||||
|
|
|
|||||||||
|
|
691,679,030
|
| ||||||||
|
|
||||||||||
| Morocco—0.3% | ||||||||||
| Kingdom of Morocco Sr. Unsec. Bonds, 5.50%, 12/11/422 | 9,755,000 | 9,947,661 | ||||||||
|
|
||||||||||
| Kingdom of Morocco Sr. Unsec. Nts., 4.25%, 12/11/222 | 8,890,000 | 9,112,250 | ||||||||
|
|
|
|||||||||
| 19,059,911 | ||||||||||
4 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| New Zealand—0.5% | ||||||||||
| Commonwealth of New Zealand Bonds: | ||||||||||
| 2.50%, 9/20/353 | NZD | 6,000,000 | $ | 4,186,083 | ||||||
| 3.00%, 9/20/303 | NZD | 10,000,000 | 7,620,444 | |||||||
|
|
||||||||||
| Commonwealth of New Zealand Sr. Unsec. Bonds, 2%, 9/20/253 | NZD | 29,000,000 | 20,087,372 | |||||||
|
|
|
|||||||||
|
|
31,893,899
|
| ||||||||
|
|
||||||||||
| Panama—0.8% | ||||||||||
| Republic of Panama Sr. Unsec. Bonds: | ||||||||||
| 3.75%, 3/16/25 | 9,870,000 | 9,771,300 | ||||||||
| 4.00%, 9/22/24 | 4,550,000 | 4,595,500 | ||||||||
| 5.20%, 1/30/20 | 26,660,000 | 29,445,970 | ||||||||
| 6.70%, 1/26/36 | 4,710,000 | 5,840,400 | ||||||||
| 9.375%, 4/1/29 | 4,370,000 | 6,489,450 | ||||||||
|
|
|
|||||||||
|
|
56,142,620
|
| ||||||||
|
|
||||||||||
| Paraguay—0.1% | ||||||||||
| Republic of Paraguay Sr. Unsec. Bonds, 4.625%, 1/25/232 | 3,480,000 |
|
3,532,200
|
| ||||||
|
|
||||||||||
| Peru—0.5% | ||||||||||
| Fondo MIVIVIENDA SA Sr. Unsec. Nts., 3.50%, 1/31/232 | 15,410,000 | 14,693,435 | ||||||||
|
|
||||||||||
| Republic of Peru Sr. Unsec. Bonds: | ||||||||||
| 5.625%, 11/18/50 | 11,130,000 | 12,465,600 | ||||||||
| 7.35%, 7/21/25 | 7,640,000 | 9,989,300 | ||||||||
|
|
|
|||||||||
|
|
37,148,335
|
| ||||||||
|
|
||||||||||
| Poland—0.1% | ||||||||||
| Republic of Poland Sr. Unsec. Bonds, 3%, 3/17/23 | 6,435,000 |
|
6,333,971
|
| ||||||
|
|
||||||||||
| Portugal—2.0% | ||||||||||
| Portugal Obrigacoes do Tesouro OT Bonds: | ||||||||||
| 2.875%, 10/15/252 | EUR | 100,000,000 | 110,983,984 | |||||||
| 4.10%, 2/15/452 | EUR | 25,000,000 | 29,117,596 | |||||||
|
|
|
|||||||||
|
|
140,101,580
|
| ||||||||
|
|
||||||||||
| Russia—0.4% | ||||||||||
| Agency for Housing Mortgage Lending OJSC Via AHML Finance Ltd. Unsec. Nts., 7.75%, 2/13/182 | RUB | 132,500,000 | 2,161,634 | |||||||
|
|
||||||||||
| Russian Federation Sr. Unsec. Bonds, 4.875%, 9/16/232 | 12,910,000 | 12,832,540 | ||||||||
|
|
||||||||||
| Russian Federation Sr. Unsec. Nts., 5%, 4/29/202 | 10,620,000 | 10,939,131 | ||||||||
|
|
|
|||||||||
|
|
25,933,305
|
| ||||||||
|
|
||||||||||
| Serbia—0.4% | ||||||||||
| Republic of Serbia Sr. Unsec. Bonds, 5.25%, 11/21/172 | 11,685,000 | 12,130,198 | ||||||||
|
|
||||||||||
| Republic of Serbia Unsec. Bonds, 5.875%, 12/3/182 | 12,495,000 | 13,197,844 | ||||||||
|
|
|
|||||||||
|
|
25,328,042
|
| ||||||||
|
|
||||||||||
| Singapore—0.5% | ||||||||||
| Republic of Singapore Sr. Unsec. Bonds: | ||||||||||
| 1.625%, 10/1/19 | SGD | 20,000,000 | 14,782,373 | |||||||
| 2.375%, 4/1/17 | SGD | 25,130,000 | 19,140,483 | |||||||
|
|
|
|||||||||
| 33,922,856 | ||||||||||
5 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| South Africa—1.3% | ||||||||||
| Republic of South Africa Sr. Unsec. Bonds: | ||||||||||
| 5.875%, 9/16/25 | $ | 16,150,000 | $ | 17,940,130 | ||||||
| Series R208, 6.75%, 3/31/21 | ZAR | 514,540,000 | 40,036,296 | |||||||
|
|
||||||||||
| Republic of South Africa Unsec. Bonds: | ||||||||||
| Series 2023, 7.75%, 2/28/23 | ZAR | 311,100,000 | 25,016,547 | |||||||
| Series R186, 10.50%, 12/21/26 | ZAR | 90,100,000 | 8,624,131 | |||||||
|
|
91,617,104
|
| ||||||||
|
|
||||||||||
| Spain—0.3% | ||||||||||
| Kingdom of Spain Sr. Unsec. Bonds, 0.55%, 11/30/192,3 | EUR | 17,059,500 |
|
19,231,223
|
| |||||
|
|
||||||||||
| Sri Lanka—0.3% | ||||||||||
| Democratic Socialist Republic of Sri Lanka Sr. Unsec. Bonds: | ||||||||||
| 5.875%, 7/25/222 | 8,565,000 | 8,457,937 | ||||||||
| 6.00%, 1/14/192 | 9,030,000 | 9,244,463 | ||||||||
| 6.25%, 10/4/202 | 3,055,000 | 3,142,984 | ||||||||
|
|
|
|||||||||
|
|
20,845,384
|
| ||||||||
|
|
||||||||||
| Sweden—0.2% | ||||||||||
| Kingdom of Sweden Unsec. Bonds, Series 1052, 4.25%, 3/12/19 | SEK | 108,600,000 |
|
15,145,232
|
| |||||
|
|
||||||||||
| Turkey—1.2% | ||||||||||
| Republic of Turkey Bonds: | ||||||||||
| 4.875%, 4/16/43 | 11,950,000 | 10,918,835 | ||||||||
| 8.20%, 7/13/16 | TRY | 33,900,000 | 12,478,858 | |||||||
| 8.30%, 10/7/15 | TRY | 14,215,000 | 5,300,724 | |||||||
| 8.50%, 7/10/19 | TRY | 45,000,000 | 16,365,050 | |||||||
| 8.80%, 11/14/18 | TRY | 44,165,000 | 16,209,219 | |||||||
|
|
||||||||||
| Republic of Turkey Sr. Unsec. Bonds, 4.35%, 11/12/21 | EUR | 7,830,000 | 9,451,221 | |||||||
|
|
||||||||||
| Republic of Turkey Unsec. Bonds: | ||||||||||
| 6.30%, 2/14/18 | TRY | 28,925,000 | 10,030,330 | |||||||
| 9.00%, 3/8/17 | TRY | 6,615,000 | 2,454,841 | |||||||
|
|
|
|||||||||
|
|
83,209,078
|
| ||||||||
|
|
||||||||||
| United Arab Emirates—0.1% | ||||||||||
| Emirate of Dubai Sr. Unsec. International Bonds, 5.25%, 1/30/43 | 4,675,000 |
|
4,191,381
|
| ||||||
|
|
||||||||||
| United Kingdom—5.4% | ||||||||||
| United Kingdom Unsec. Treasury Bonds: | ||||||||||
| 3.75%, 9/7/21 | GBP | 104,275,000 | 184,159,656 | |||||||
| 4.00%, 9/7/16 | GBP | 28,200,000 | 46,141,658 | |||||||
| 4.25%, 12/7/55 | GBP | 15,155,000 | 33,481,060 | |||||||
| 4.75%, 12/7/38 | GBP | 37,875,000 | 81,029,113 | |||||||
| 6.00%, 12/7/28 | GBP | 14,500,000 | 32,621,561 | |||||||
|
|
|
|||||||||
|
|
377,433,048
|
| ||||||||
|
|
||||||||||
| Uruguay—0.1% | ||||||||||
| Oriental Republic of Uruguay Sr. Unsec. Bonds, 5.10%, 6/18/50 | 10,810,000 |
|
10,323,550
|
| ||||||
|
|
||||||||||
| Venezuela—0.0% | ||||||||||
| Bolivarian Republic of Venezuela Sr. Unsec. Bonds, 7.75%, 10/13/19 | 2,605,000 | 1,022,463 | ||||||||
6 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Vietnam—0.1% | ||||||||||
| Socialist Republic of Vietnam Bonds, 4.80%, 11/19/242 | $ | 6,725,000 | $ | 6,758,625 | ||||||
|
|
|
|||||||||
| Total Foreign Government Obligations (Cost $3,872,083,264)
|
|
3,691,204,170
|
| |||||||
|
|
||||||||||
| Corporate Bonds and Notes—38.7% | ||||||||||
|
|
||||||||||
| Consumer Discretionary—1.9% | ||||||||||
|
|
||||||||||
| Auto Components—0.2% | ||||||||||
|
|
||||||||||
| GKN Holdings plc: | ||||||||||
| 5.375% Sr. Unsec. Nts., 9/19/22 | GBP | 2,490,000 | 4,403,964 | |||||||
| 6.75% Sr. Unsec. Nts., 10/28/19 | GBP | 4,475,000 | 8,143,850 | |||||||
|
|
|
|||||||||
|
|
12,547,814
|
| ||||||||
|
|
||||||||||
| Automobiles—0.5% | ||||||||||
|
|
||||||||||
| Daimler Finance North America LLC, 2.375% Sr. Unsec. Nts., 8/1/182 | 11,800,000 | 11,962,852 | ||||||||
|
|
||||||||||
| Volkswagen International Finance NV: | ||||||||||
| 2.50% Jr. Sub. Perpetual Bonds1,5 | EUR | 13,780,000 | 14,733,932 | |||||||
| 3.875% Jr. Sub. Perpetual Bonds1,5 | EUR | 7,010,000 | 8,187,050 | |||||||
|
|
|
|||||||||
|
|
34,883,834
|
| ||||||||
|
|
||||||||||
| Hotels, Restaurants & Leisure—0.1% | ||||||||||
|
|
||||||||||
| Merlin Entertainments plc, 2.75% Sr. Unsec. Nts., 3/15/222
|
EUR
|
|
5,160,000
|
|
|
5,495,484
|
| |||
|
|
||||||||||
| Household Durables—0.0% | ||||||||||
|
|
||||||||||
| Arcelik AS, 5% Sr. Unsec. Nts., 4/3/232
|
|
3,165,000
|
|
|
3,043,527
|
| ||||
|
|
||||||||||
| Media—0.9% | ||||||||||
|
|
||||||||||
| Altice SA, 7.25% Sr. Sec. Nts., 5/15/222 | EUR | 9,625,000 | 10,876,633 | |||||||
|
|
||||||||||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4% Sr. Sec. Nts., 1/15/252 | EUR | 2,000,000 | 2,283,661 | |||||||
|
|
||||||||||
| UPC Holding BV, 6.75% Sr. Unsec. Nts., 3/15/232 | EUR | 8,100,000 | 9,843,137 | |||||||
|
|
||||||||||
| Virgin Media Finance plc: | ||||||||||
| 6.375% Sr. Unsec. Nts., 10/15/242 | GBP | 2,500,000 | 4,104,891 | |||||||
| 7.00% Sr. Unsec. Nts., 4/15/23 | GBP | 3,495,000 | 5,871,806 | |||||||
|
|
||||||||||
| Virgin Media Secured Finance plc: | ||||||||||
| 4.875% Sr. Sec. Nts., 1/15/272 | GBP | 7,000,000 | 10,622,317 | |||||||
| 6.00% Sr. Sec. Nts., 4/15/21 | GBP | 8,932,500 | 14,666,774 | |||||||
|
|
||||||||||
| VTR Finance BV, 6.875% Sr. Sec. Nts., 1/15/242 | 1,920,000 | 1,966,752 | ||||||||
|
|
|
|||||||||
|
|
60,235,971
|
| ||||||||
|
|
||||||||||
| Multiline Retail—0.1% | ||||||||||
|
|
||||||||||
| LS Finance 2017 Ltd., 5.25% Sr. Unsec. Nts., 1/26/17 | 5,000,000 | 5,228,710 | ||||||||
|
|
||||||||||
| SACI Falabella, 4.375% Sr. Unsec. Nts., 1/27/252 | 2,165,000 | 2,159,207 | ||||||||
|
|
|
|||||||||
|
|
7,387,917
|
| ||||||||
|
|
||||||||||
| Textiles, Apparel & Luxury Goods—0.1% | ||||||||||
|
|
||||||||||
| New Look Secured Issuer plc, 6.50% Sr. Sec. Nts., 7/1/222
|
GBP
|
|
3,850,000
|
|
|
5,890,518
|
| |||
|
|
||||||||||
| Consumer Staples—0.4% | ||||||||||
|
|
||||||||||
| Beverages—0.2% | ||||||||||
|
|
||||||||||
| JB y Co. SA de CV, 3.75% Sr. Unsec. Nts., 5/13/252 | 1,245,000 | 1,209,854 | ||||||||
|
|
||||||||||
| Pernod Ricard SA: | ||||||||||
| 4.45% Sr. Unsec. Nts., 1/15/222 | 6,000,000 | 6,310,092 | ||||||||
7 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Beverages (Continued) | ||||||||||
|
|
||||||||||
| Pernod Ricard SA: (Continued) | ||||||||||
| 5.75% Sr. Unsec. Nts., 4/7/212 | $ | 5,000,000 | $ | 5,630,880 | ||||||
|
|
|
|||||||||
|
|
13,150,826
|
| ||||||||
|
|
||||||||||
| Food & Staples Retailing—0.1% | ||||||||||
|
|
||||||||||
| Cencosud SA, 5.15% Sr. Unsec. Nts., 2/12/252
|
|
9,915,000
|
|
|
9,995,242
|
| ||||
|
|
||||||||||
| Food Products—0.1% | ||||||||||
|
|
||||||||||
| BRF SA, 4.75% Sr. Unsec. Nts., 5/22/242 | 2,265,000 | 2,233,856 | ||||||||
|
|
||||||||||
| Minerva Luxembourg SA, 7.75% Sr. Unsec. Nts., 1/31/232 | 1,000,000 | 1,010,000 | ||||||||
|
|
|
|||||||||
|
|
3,243,856
|
| ||||||||
|
|
||||||||||
| Energy—4.4% | ||||||||||
|
|
||||||||||
| Energy Equipment & Services—0.9% | ||||||||||
|
|
||||||||||
| GNL Quintero SA, 4.634% Sr. Unsec. Nts., 7/31/292 | 2,205,000 | 2,212,550 | ||||||||
|
|
||||||||||
| Odebrecht Offshore Drilling Finance Ltd., 6.625% Sr. Sec. Nts., 10/1/222 | 4,905,383 | 3,384,714 | ||||||||
|
|
||||||||||
| Pertamina Persero PT: | ||||||||||
| 5.625% Sr. Unsec. Nts., 5/20/432 | 30,823,000 | 27,509,527 | ||||||||
| 6.45% Sr. Unsec. Nts., 5/30/442 | 6,600,000 | 6,534,000 | ||||||||
|
|
||||||||||
| Seadrill Ltd., 6.50% Sr. Unsec. Nts., 10/5/15 | 1,540,000 | 1,559,250 | ||||||||
|
|
||||||||||
| Sinopec Group Overseas Development 2015 Ltd.: | ||||||||||
| 2.50% Sr. Unsec. Nts., 4/28/202 | 12,705,000 | 12,573,122 | ||||||||
| 3.25% Sr. Unsec. Nts., 4/28/252 | 6,355,000 | 6,110,320 | ||||||||
|
|
|
|||||||||
|
|
59,883,483
|
| ||||||||
|
|
||||||||||
| Oil, Gas & Consumable Fuels—3.5% | ||||||||||
|
|
||||||||||
| CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Nts., 10/3/232 | 9,930,000 | 10,438,654 | ||||||||
|
|
||||||||||
| CNOOC Nexen Finance 2014 ULC, 4.25% Sr. Unsec. Nts., 4/30/24 | 6,620,000 | 6,763,674 | ||||||||
|
|
||||||||||
| Cosan Luxembourg SA, 5% Sr. Unsec. Nts., 3/14/232 | 3,760,000 | 3,487,400 | ||||||||
|
|
||||||||||
| Delek & Avner Tamar Bond Ltd., 5.082% Sr. Sec. Nts., 12/30/232 | 1,945,000 | 1,959,587 | ||||||||
|
|
||||||||||
| Gazprom OAO Via Gaz Capital SA, 4.95% Sr. Unsec. Nts., 7/19/222 | 13,665,000 | 12,657,206 | ||||||||
|
|
||||||||||
| Indian Oil Corp. Ltd., 5.75% Sr. Unsec. Nts., 8/1/23 | 16,855,000 | 18,418,032 | ||||||||
|
|
||||||||||
| KazMunayGas National Co. JSC, 5.75% Sr. Unsec. Nts., 4/30/432 | 8,505,000 | 7,139,225 | ||||||||
|
|
||||||||||
| Korea Resources Corp., 2.25% Sr. Unsec. Nts., 4/29/202 | 10,000,000 | 9,853,750 | ||||||||
|
|
||||||||||
| Kunlun Energy Co. Ltd.: | ||||||||||
| 2.875% Sr. Unsec. Nts., 5/13/202 | 3,105,000 | 3,069,230 | ||||||||
| 3.75% Sr. Unsec. Nts., 5/13/252 | 3,105,000 | 3,011,912 | ||||||||
|
|
||||||||||
| MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/212 | 5,285,000 | 5,146,269 | ||||||||
|
|
||||||||||
| Novatek OAO via Novatek Finance Ltd., 4.422% Sr. Unsec. Nts., 12/13/222 | 2,830,000 | 2,466,062 | ||||||||
|
|
||||||||||
| Oil India Ltd., 5.375% Sr. Unsec. Nts., 4/17/24 | 13,240,000 | 14,147,218 | ||||||||
|
|
||||||||||
| Origin Energy Finance Ltd.: | ||||||||||
| 3.50% Sr. Unsec. Nts., 10/9/182 | 5,711,000 | 5,859,669 | ||||||||
| 5.45% Sr. Unsec. Nts., 10/14/212 | 3,761,000 | 4,061,842 | ||||||||
|
|
||||||||||
| Pacific Rubiales Energy Corp., 5.625% Sr. Unsec. Nts., 1/19/252 | 5,915,000 | 4,295,769 | ||||||||
|
|
||||||||||
| Petrobras Global Finance BV: | ||||||||||
| 4.375% Sr. Unsec. Nts., 5/20/234 | 3,270,000 | 2,858,634 | ||||||||
| 5.375% Sr. Unsec. Nts., 1/27/214 | 3,275,000 | 3,159,720 | ||||||||
8 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Oil, Gas & Consumable Fuels (Continued) | ||||||||||
|
|
||||||||||
| Petroleos de Venezuela SA: | ||||||||||
| 5.375% Sr. Unsec. Nts., 4/12/27 | $ | 7,000,000 | $ | 2,432,500 | ||||||
| 6.00% Sr. Unsec. Nts., 11/15/262 | 18,275,000 | 6,533,313 | ||||||||
|
|
||||||||||
| Petroleos Mexicanos: | ||||||||||
| 3.50% Sr. Unsec. Nts., 7/23/202 | 26,465,000 | 26,821,748 | ||||||||
| 4.50% Sr. Unsec. Nts., 1/23/262 | 26,450,000 | 25,918,355 | ||||||||
| 5.50% Sr. Unsec. Nts., 6/27/442 | 3,475,000 | 3,214,375 | ||||||||
| 5.625% Sr. Unsec. Nts., 1/23/462 | 23,155,000 | 21,706,655 | ||||||||
|
|
||||||||||
| Reliance Holding USA, Inc., 5.40% Sr. Unsec. Nts., 2/14/222 | 3,310,000 | 3,570,480 | ||||||||
|
|
||||||||||
| Reliance Industries Ltd., 4.125% Sr. Unsec. Nts., 1/28/252 | 12,805,000 | 12,497,718 | ||||||||
|
|
||||||||||
| Reliance Industries Ltd., 5.875% Sr. Unsec. Perpetual Bonds2,5 | 660,000 | 664,125 | ||||||||
|
|
||||||||||
| Repsol International Finance BV, 2.25% Sr. Unsec. Nts., 12/10/26 | EUR | 2,000,000 | 2,143,556 | |||||||
|
|
||||||||||
| Shell International Finance BV, 3.25% Sr. Unsec. Nts., 5/11/25 | 10,000,000 | 9,907,830 | ||||||||
|
|
||||||||||
| Thai Oil PCL, 4.875% Sr. Unsec. Nts., 1/23/432 | 1,520,000 | 1,415,105 | ||||||||
|
|
||||||||||
| Tullow Oil plc, 6% Sr. Unsec. Nts., 11/1/202 | 4,056,000 | 3,696,030 | ||||||||
|
|
||||||||||
| YPF SA, 8.50% Sr. Unsec. Nts., 7/28/252 | 6,770,000 | 6,719,225 | ||||||||
|
|
|
|||||||||
|
|
246,034,868
|
| ||||||||
|
|
||||||||||
| Financials—19.7% | ||||||||||
|
|
||||||||||
| Capital Markets—1.4% | ||||||||||
|
|
||||||||||
| Credit Suisse (New York), 1.75% Sr. Unsec. Nts., 1/29/18 | 15,000,000 | 14,940,270 | ||||||||
|
|
||||||||||
| Credit Suisse Group AG: | ||||||||||
| 7.50% Jr. Sub. Perpetual Bonds1,2,5 | 4,105,000 | 4,286,671 | ||||||||
| 7.50% Jr. Sub. Perpetual Bonds1,5 | 17,195,000 | 17,977,441 | ||||||||
|
|
||||||||||
| Deutsche Bank AG: | ||||||||||
| 4.50% Sub. Nts., 4/1/25 | 10,000,000 | 9,539,360 | ||||||||
| 7.125% Jr. Sub. Perpetual Bonds1,5 | GBP | 2,900,000 | 4,362,969 | |||||||
|
|
||||||||||
| Schaeffler Finance BV: | ||||||||||
| 3.25% Sr. Sec. Nts., 5/15/252 | EUR | 2,310,000 | 2,439,953 | |||||||
| 4.75% Sr. Sec. Nts., 5/15/232 | 460,000 | 450,800 | ||||||||
|
|
||||||||||
| Seven & Seven Ltd., 1.404% Sr. Unsec. Nts., 9/11/191,2 | 4,500,000 | 4,500,680 | ||||||||
|
|
||||||||||
| UBS AG (Jersey Branch), 7.25% Sub. Nts., 2/22/221 | 15,090,000 | 15,919,648 | ||||||||
|
|
||||||||||
| UBS AG (Stamford CT), 7.625% Sub. Nts., 8/17/22 | 3,000,000 | 3,517,200 | ||||||||
|
|
||||||||||
| UBS Group AG, 7% Jr. Sub. Perpetual Bonds1,5 | 18,000,000 | 18,324,468 | ||||||||
|
|
|
|||||||||
|
|
96,259,460
|
| ||||||||
|
|
||||||||||
| Commercial Banks—13.7% | ||||||||||
|
|
||||||||||
| Abbey National Treasury Services plc, 2.35% Sr. Unsec. Nts., 9/10/19 | 6,000,000 | 6,000,354 | ||||||||
|
|
||||||||||
| Akbank TAS: | ||||||||||
| 4.00% Sr. Unsec. Nts., 1/24/202 | 7,280,000 | 7,109,211 | ||||||||
| 7.50% Sr. Unsec. Nts., 2/5/182 | TRY | 11,095,000 | 3,744,162 | |||||||
|
|
||||||||||
| Altice Financing SA, 5.25% Sr. Sec. Nts., 2/15/232 | EUR | 2,000,000 | 2,252,358 | |||||||
|
|
||||||||||
| Altice SA, 6.25% Sr. Unsec. Nts., 2/15/252 | EUR | 3,410,000 | 3,633,302 | |||||||
|
|
||||||||||
| Astana Finance JSC, 9.16% Sr. Unsec. Nts., 3/14/127 | 612,810 | — | ||||||||
|
|
||||||||||
| Banco ABC Brasil SA: | ||||||||||
| 7.875% Sub. Nts., 4/8/202 | 2,085,000 | 2,171,006 | ||||||||
| 8.50% Sr. Unsec. Nts., 3/28/162 | BRL | 8,360,000 | 2,608,080 | |||||||
|
|
||||||||||
| Banco Bilbao Vizcaya Argentaria Colombia SA, 4.875% Sub. Nts., 4/21/252 | 5,085,000 | 4,985,842 | ||||||||
9 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Commercial Banks (Continued) | ||||||||||
|
|
||||||||||
| Banco Bilbao Vizcaya Argentaria SA: | ||||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | EUR | 12,615,000 | $ | 14,123,604 | ||||||
| 9.00% Jr. Sub. Perpetual Bonds1,5 | 11,000,000 | 11,852,500 | ||||||||
|
|
||||||||||
| Banco Continental SA via Continental Senior Trustees Cayman Ltd., 5.50% Sr. Unsec. Nts., 11/18/202 | 7,940,000 | 8,608,945 | ||||||||
|
|
||||||||||
| Banco de Credito del Peru/Panama, 5.375% Sr. Unsec. Nts., 9/16/202 | 3,310,000 | 3,599,625 | ||||||||
|
|
||||||||||
| Banco del Estado de Chile, 4.125% Sr. Unsec. Nts., 10/7/202 | 15,125,000 | 16,046,748 | ||||||||
|
|
||||||||||
| Banco Santander Brasil SA (Cayman Islands), 8% Sr. Unsec. Unsub. Nts., 3/18/162 | BRL | 14,290,000 | 4,375,568 | |||||||
|
|
||||||||||
| Banco Santander SA: | ||||||||||
| 6.25% Jr. Sub. Perpetual Bonds1,5 | EUR | 1,700,000 | 1,848,518 | |||||||
| 6.375% Jr. Sub. Perpetual Bonds1,5 | 10,000,000 | 9,788,400 | ||||||||
|
|
||||||||||
| Bancolombia SA, 5.125% Unsec. Sub. Nts., 9/11/22 | 6,700,000 | 6,720,100 | ||||||||
|
|
||||||||||
| Bank of Baroda (London), 4.875% Sr. Unsec. Nts., 7/23/192 | 3,310,000 | 3,530,999 | ||||||||
|
|
||||||||||
| Bank of Ireland, 10% Sub. Nts., 2/12/20 | EUR | 10,000,000 | 13,802,289 | |||||||
|
|
||||||||||
| Bank of Scotland plc: | ||||||||||
| 4.875% Sec. Nts., 11/8/16 | GBP | 5,170,000 | 8,548,133 | |||||||
| 4.875% Sec. Nts., 12/20/24 | GBP | 8,675,000 | 16,112,384 | |||||||
|
|
||||||||||
| Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 3.25% Sr. Unsec. Nts., 9/8/242 | 10,000,000 | 9,885,940 | ||||||||
|
|
||||||||||
| Barclays plc: | ||||||||||
| 4.375% Sub. Nts., 9/11/24 | 12,000,000 | 11,527,632 | ||||||||
| 6.50% Jr. Sub. Perpetual Bonds1,5 | EUR | 15,000,000 | 16,711,947 | |||||||
| 6.625% Jr. Sub. Perpetual Bonds1,5 | 3,000,000 | 2,931,159 | ||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 11,068,000 | 17,011,427 | |||||||
| 8.00% Jr. Sub. Perpetual Bonds1,5 | EUR | 8,000,000 | 9,498,522 | |||||||
|
|
||||||||||
| BNP Paribas SA, 5.945% Jr. Sub. Perpetual Bonds1,5 | GBP | 11,200,000 | 17,734,384 | |||||||
|
|
||||||||||
| BPCE SA, 4.50% Sub. Nts., 3/15/252 | 5,000,000 | 4,837,320 | ||||||||
|
|
||||||||||
| Brazil Loan Trust 1, 5.477% Sec. Nts., 7/24/236 | 10,648,653 | 10,542,166 | ||||||||
|
|
||||||||||
| Commerzbank AG, 8.125% Sub. Nts., 9/19/232 | 7,720,000 | 9,033,095 | ||||||||
|
|
||||||||||
| Compass Bank, 3.875% Sub. Nts., 4/10/25 | 5,000,000 | 4,709,560 | ||||||||
|
|
||||||||||
| Corp. Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/222 | 9,995,000 | 10,324,835 | ||||||||
|
|
||||||||||
| Corpbanca SA, 3.875% Sr. Unsec. Nts., 9/22/192 | 7,900,000 | 8,032,364 | ||||||||
|
|
||||||||||
| CorpGroup Banking SA, 6.75% Sr. Unsec. Nts., 3/15/232 | 3,530,000 | 3,558,667 | ||||||||
|
|
||||||||||
| Credit Agricole Assurances SA, 4.25% Perpetual Bonds1,5 | EUR | 10,000,000 | 10,753,442 | |||||||
|
|
||||||||||
| Credit Agricole SA: | ||||||||||
| 6.637% Jr. Sub. Perpetual Bonds1,5,6 | 2,856,000 | 2,984,520 | ||||||||
| 8.375% Jr. Sub. Perpetual Bonds1,5,6 | 41,515,000 | 48,364,975 | ||||||||
| 8.375% Jr. Sub. Perpetual Bonds1,5 | 1,975,000 | 2,300,875 | ||||||||
|
|
||||||||||
| Danske Bank: | ||||||||||
| 5.684% Jr. Sub. Perpetual Bonds1,5 | GBP | 6,865,000 | 11,061,960 | |||||||
| 5.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 6,000,000 | 6,693,046 | |||||||
|
|
||||||||||
| EUROFIMA, 6.25% Sr. Unsec. Nts., 12/28/18 | AUD | 5,270,000 | 4,531,548 | |||||||
|
|
||||||||||
| Export-Import Bank of India: | ||||||||||
| 9.50% Sr. Unsec. Nts., 10/9/18 | INR | 175,000,000 | 2,852,269 | |||||||
| 9.70% Sr. Unsec. Nts., 11/21/18 | INR | 200,000,000 | 3,280,873 | |||||||
|
|
||||||||||
| Export-Import Bank of Korea, 2.875% Sr. Unsec. Nts., 1/21/25 | 13,230,000 | 12,777,706 | ||||||||
|
|
||||||||||
| Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/222 | 6,870,000 | 6,638,138 | ||||||||
|
|
||||||||||
| HBOS Capital Funding LP, 6.461% Jr. Sub. Perpetual Bonds1,5 | GBP | 3,770,000 | 6,325,393 | |||||||
|
|
||||||||||
| HSBC Holdings plc: | ||||||||||
| 6.375% Jr. Sub. Perpetual Bonds1,5 | 20,650,000 | 20,727,438 | ||||||||
10 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Commercial Banks (Continued) | ||||||||||
|
|
||||||||||
| HSBC Holdings plc: (Continued) | ||||||||||
| 6.375% Jr. Sub. Perpetual Bonds1,5 | $ | 29,915,000 | $ | 30,139,363 | ||||||
|
|
||||||||||
| ICICI Bank Ltd., 6.375% Jr. Sub. Nts., 4/30/221,2 | 3,395,000 | 3,506,729 | ||||||||
|
|
||||||||||
| ICICI Bank Ltd. (Dubai), 4.75% Sr. Unsec. Nts., 11/25/162 | 10,585,000 | 11,007,871 | ||||||||
|
|
||||||||||
| Industrial & Commercial Bank of China Ltd., 6% Jr. Sub. Perpetual Bonds2 | CNY | 50,000,000 | 8,277,617 | |||||||
|
|
||||||||||
| ING Groep NV, 6.50% Jr. Sub. Perpetual Bonds1,5 | 15,000,000 | 14,540,625 | ||||||||
|
|
||||||||||
| Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/242 | 8,955,000 | 8,703,947 | ||||||||
|
|
||||||||||
| Krung Thai Bank PCL (Cayman Islands), 5.20% Sub. Nts., 12/26/241 | 3,310,000 | 3,417,052 | ||||||||
|
|
||||||||||
| Lloyds Banking Group plc: | ||||||||||
| 4.50% Sub. Nts., 11/4/24 | 2,000,000 | 2,002,098 | ||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 13,000,000 | 20,531,526 | |||||||
| 7.625% Jr. Sub. Perpetual Bonds1,5 | GBP | 8,000,000 | 12,997,983 | |||||||
|
|
||||||||||
| Mitsubishi UFJ Trust & Banking Corp., 1.60% Sr. Unsec. Nts., 10/16/172 | 7,000,000 | 6,989,528 | ||||||||
|
|
||||||||||
| Mizuho Bank Ltd., 2.45% Sr. Unsec. Nts., 4/16/192 | 10,000,000 | 10,084,120 | ||||||||
|
|
||||||||||
| NABARD, 8.19% Sr. Unsec. Nts., 6/8/18 | INR | 80,000,000 | 1,251,310 | |||||||
|
|
||||||||||
| NN Group NV: | ||||||||||
| 4.625% Sub. Nts., 4/8/441 | EUR | 14,640,000 | 16,872,692 | |||||||
| 6.375% Sub. Nts., 5/7/271 | EUR | 26,900,000 | 32,340,698 | |||||||
|
|
||||||||||
| Nordea Bank AB, 6.125% Jr. Sub. Perpetual Bonds1,2,5 | 7,505,000 | 7,427,601 | ||||||||
|
|
||||||||||
| Oversea-Chinese Banking Corp. Ltd.: | ||||||||||
| 3.75% Sub. Nts., 11/15/221 | 4,500,000 | 4,645,125 | ||||||||
| 4.00% Sub. Nts., 10/15/241,2 | 22,000,000 | 22,537,900 | ||||||||
| 4.25% Sub. Nts., 6/19/242 | 15,000,000 | 15,138,480 | ||||||||
|
|
||||||||||
| Rabobank Capital Funding Trust IV, 5.556% Jr. Sub. Perpetual Bonds1,2,5 | GBP | 8,355,000 | 13,991,917 | |||||||
|
|
||||||||||
| Royal Bank of Scotland Group plc: | ||||||||||
| 3.625% Sub. Nts., 3/25/241 | EUR | 9,000,000 | 10,238,988 | |||||||
| 7.64% Jr. Sub. Perpetual Bonds, Series U1,5 | 8,855,000 | 9,505,843 | ||||||||
|
|
||||||||||
| Royal Bank of Scotland plc (The): | ||||||||||
| 2.375% Sub. Nts., 11/2/15 | CHF | 3,020,000 | 3,245,042 | |||||||
| 13.125% Sub. Nts., 3/19/221 | AUD | 30,052,000 | 26,541,005 | |||||||
|
|
||||||||||
| Santander Holdings USA, Inc., 2.65% Sr. Unsec. Nts., 4/17/20 | 5,000,000 | 4,916,730 | ||||||||
|
|
||||||||||
| Santander UK plc, 5% Sub. Nts., 11/7/232 | 2,800,000 | 2,866,377 | ||||||||
|
|
||||||||||
| Scottish Widows plc, 5.125% Jr. Sub. Perpetual Bonds1,5 | GBP | 1,760,000 | 2,772,313 | |||||||
|
|
||||||||||
| Skandinaviska Enskilda Banken AB: | ||||||||||
| 2.375% Sr. Unsec. Nts., 11/20/182 | 12,000,000 | 12,209,328 | ||||||||
| 5.75% Jr. Sub. Perpetual Bonds1,5 | 13,415,000 | 13,218,819 | ||||||||
|
|
||||||||||
| Societe Generale SA: | ||||||||||
| 4.25% Sub. Nts., 4/14/252 | 5,000,000 | 4,703,545 | ||||||||
| 5.922% Jr. Sub. Perpetual Bonds1,2,5 | 13,470,000 | 13,857,262 | ||||||||
| 5.922% Jr. Sub. Perpetual Bonds1,5 | 1,390,000 | 1,429,963 | ||||||||
| 6.00% Jr. Sub. Perpetual Bonds1,5 | 8,000,000 | 7,492,376 | ||||||||
| 7.875% Jr. Sub. Perpetual Bonds1,2,5 | 10,000,000 | 10,075,000 | ||||||||
|
|
||||||||||
| SPCM SA, 2.875% Sr. Unsec. Nts., 6/15/232 | EUR | 4,100,000 | 4,308,059 | |||||||
|
|
||||||||||
| Standard Chartered plc: | ||||||||||
| 3.20% Sr. Unsec. Nts., 4/17/252 | 15,000,000 | 14,231,850 | ||||||||
| 6.50% Jr. Sub. Perpetual Bonds1,2,5 | 11,480,000 | 11,590,518 | ||||||||
|
|
||||||||||
| Svenska Handelsbanken AB, 5.25% Jr. Sub. Perpetual Bonds1,5 | 20,000,000 | 19,432,060 | ||||||||
11 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Commercial Banks (Continued) | ||||||||||
|
|
||||||||||
| TC Ziraat Bankasi AS, 4.25% Sr. Unsec. Nts., 7/3/192 | $ | 16,310,000 | $ | 16,367,085 | ||||||
|
|
||||||||||
| Turkiye Garanti Bankasi AS, 5.25% Sr. Unsec. Nts., 9/13/222 | 6,620,000 | 6,727,244 | ||||||||
|
|
||||||||||
| Turkiye Halk Bankasi AS: | ||||||||||
| 3.875% Sr. Unsec. Nts., 2/5/202 | 6,605,000 | 6,380,892 | ||||||||
| 4.75% Sr. Unsec. Nts., 6/4/192 | 2,590,000 | 2,615,227 | ||||||||
|
|
||||||||||
| Turkiye Sise ve Cam Fabrikalari AS, 4.25% Sr. Unsec. Nts., 5/9/202 | 2,595,000 | 2,552,079 | ||||||||
|
|
||||||||||
| Turkiye Vakiflar Bankasi TAO: | ||||||||||
| 5.00% Sr. Unsec. Nts., 10/31/182 | 6,605,000 | 6,787,298 | ||||||||
| 6.875% Sub. Nts., 2/3/251,2 | 4,720,000 | 4,660,811 | ||||||||
|
|
||||||||||
| UniCredit SpA, 8% Jr. Sub. Perpetual Bonds1,5 | 2,000,000 | 1,970,122 | ||||||||
|
|
||||||||||
| United Overseas Bank Ltd., 2.875% Sub. Nts., 10/17/221 | 18,000,000 | 18,280,800 | ||||||||
|
|
||||||||||
| Woori Bank: | ||||||||||
| 4.75% Sub. Nts., 4/30/242 | 14,527,000 | 15,044,423 | ||||||||
| 5.00% Jr. Sub. Nts., 6/10/451,2 | 12,445,000 | 12,309,262 | ||||||||
|
|
||||||||||
| Yapi ve Kredi Bankasi AS, 5.125% Sr. Unsec. Nts., 10/22/192 | 6,620,000 | 6,752,592 | ||||||||
|
|
|
|||||||||
|
|
946,580,424
|
| ||||||||
|
|
||||||||||
| Diversified Financial Services—2.3% | ||||||||||
|
|
||||||||||
| ABN AMRO Bank NV, 4.31% Jr. Sub. Perpetual Bonds1,5 | EUR | 14,630,000 | 16,504,347 | |||||||
|
|
||||||||||
| AyT Cedulas Cajas X Fondo de Titulizacion de Activos, 3.75% Sec. Nts., 6/30/25 | EUR | 5,000,000 | 6,497,569 | |||||||
|
|
||||||||||
| Baggot Securities Ltd., 10.24% Jr. Sub. Perpetual Bonds2,5 | EUR | 19,630,000 | 22,628,163 | |||||||
|
|
||||||||||
| Banco BTG Pactual SA (Cayman Islands): | ||||||||||
| 4.00% Sr. Unsec. Nts., 1/16/202 | 6,565,000 | 6,187,513 | ||||||||
| 5.75% Sub. Nts., 9/28/222 | 3,480,000 | 3,219,000 | ||||||||
|
|
||||||||||
| Berkshire Hathaway, Inc., 1.625% Sr. Unsec. Nts., 3/16/35 | EUR | 23,240,000 | 21,564,647 | |||||||
|
|
||||||||||
| Cedulas TDA 6 Fondo de Titulizacion de Activos, 3.875% Sec. Nts., 5/23/25 | EUR | 5,000,000 | 6,563,456 | |||||||
|
|
||||||||||
| Corp. Financiera de Desarrollo SA, 5.25% Sub. Nts., 7/15/291,2 | 2,410,000 | 2,434,100 | ||||||||
|
|
||||||||||
| Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/192 | 24,865,000 | 26,330,096 | ||||||||
|
|
||||||||||
| FTE Verwaltungs GmbH, 9% Sr. Sec. Nts., 7/15/202 | EUR | 4,820,000 | 5,756,444 | |||||||
|
|
||||||||||
| Global Bank Corp., 5.125% Sr. Unsec. Nts., 10/30/192 | 5,810,000 | 5,914,580 | ||||||||
|
|
||||||||||
| InRetail Consumer, 5.25% Sr. Unsec. Nts., 10/10/212 | 755,000 | 780,481 | ||||||||
|
|
||||||||||
| Intercorp Peru Ltd., 5.875% Sr. Unsec. Nts., 2/12/252 | 3,280,000 | 3,299,352 | ||||||||
|
|
||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/356 | MXN | 34,101,099 | 220,666 | |||||||
|
|
||||||||||
| National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/182 | 11,135,000 | 12,095,951 | ||||||||
|
|
||||||||||
| Nationwide Building Society, 1.25% Sr. Unsec. Nts., 3/3/25 | EUR | 9,000,000 | 9,386,780 | |||||||
|
|
||||||||||
| Odebrecht Finance Ltd., 5.25% Sr. Unsec. Nts., 6/27/292 | 5,090,000 | 3,843,968 | ||||||||
|
|
||||||||||
| Power Finance Corp., 8.29% Sr. Unsec. Nts., 6/13/18 | INR | 180,000,000 | 2,827,970 | |||||||
|
|
||||||||||
| Rural Electrification Corp. Ltd., 9.04% Sr. Unsec. Nts., 10/12/19 | INR | 250,000,000 | 3,995,446 | |||||||
|
|
|
|||||||||
|
|
160,050,529
|
| ||||||||
|
|
||||||||||
| Insurance—1.9% | ||||||||||
|
|
||||||||||
| Allianz SE, 4.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 10,000,000 | 12,036,879 | |||||||
|
|
||||||||||
| Aquarius+Investments plc for Swiss Reinsurance Co. Ltd., 6.375% Sub. Nts., 9/1/241 | 3,755,000 | 3,899,830 | ||||||||
|
|
||||||||||
| Assicurazioni Generali SpA: | ||||||||||
| 7.75% Sr. Sub. Nts., 12/12/421 | EUR | 14,385,000 | 19,146,393 | |||||||
| 10.125% Sr. Sub. Nts., 7/10/421 | EUR | 15,000,000 | 22,147,275 | |||||||
|
|
||||||||||
| Aviva plc, 6.125% Jr. Sub. Perpetual Bonds1,5 | GBP | 6,890,000 | 11,422,637 | |||||||
12 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Insurance (Continued) | ||||||||||
|
|
||||||||||
| AXA SA, 3.658% Jr. Sub. Perpetual Bonds1,5 | AUD | 10,000,000 | $ | 7,598,502 | ||||||
|
|
||||||||||
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,5,6 | 27,305,000 | 28,165,108 | ||||||||
|
|
||||||||||
| Swiss Reinsurance Co. via ELM BV: | ||||||||||
| 3.41% Jr. Sub. Perpetual Bonds1,5 | AUD | 13,000,000 | 9,790,780 | |||||||
| 6.302% Sub. Perpetual Bonds1,5 | GBP | 7,340,000 | 12,441,196 | |||||||
|
|
||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/371,6 | 5,000,000 | 5,212,500 | ||||||||
|
|
|
|||||||||
|
|
131,861,100
|
| ||||||||
|
|
||||||||||
| Real Estate Investment Trusts (REITs)—0.1% | ||||||||||
|
|
||||||||||
| Banco Invex SA/Hipotecaria Credito y Casa SA de CV, 6.45% Sec. Nts., 3/13/347 | MXN | 27,602,566 | — | |||||||
|
|
||||||||||
| Scentre Group Trust 1/Scentre Group Trust 2, 3.25% Sr. Unsec. Nts., 10/28/252 | 7,000,000 | 6,676,495 | ||||||||
|
|
||||||||||
| TRUST F/1401, 5.25% Sr. Unsec. Nts., 12/15/242 | 3,890,000 | 4,065,050 | ||||||||
|
|
|
|||||||||
|
|
10,741,545
|
| ||||||||
|
|
||||||||||
| Real Estate Management & Development—0.2% | ||||||||||
|
|
||||||||||
| EMG SUKUK Ltd., 4.564% Sr. Unsec. Nts., 6/18/24 | 4,365,000 | 4,508,879 | ||||||||
|
|
||||||||||
| Jafz Sukuk Ltd., 7% Sr. Unsec. Nts., 6/19/19 | 3,135,000 | 3,570,483 | ||||||||
|
|
||||||||||
| Sukuk Funding No. 3 Ltd., 4.348% Sr. Unsec. Nts., 12/3/18 | 3,045,000 | 3,204,315 | ||||||||
|
|
||||||||||
| Techem GmbH, 6.125% Sr. Sec. Nts., 10/1/192 | EUR | 2,635,000 | 3,077,493 | |||||||
|
|
|
|||||||||
|
|
14,361,170
|
| ||||||||
|
|
||||||||||
| Thrifts & Mortgage Finance—0.1% | ||||||||||
|
|
||||||||||
| Housing Development Finance Corp. Ltd.: | ||||||||||
| 8.70% Sr. Sec. Nts., 4/26/18 | INR | 250,000,000 | 3,930,182 | |||||||
| 8.95% Sec. Nts., 10/19/20 | INR | 125,000,000 | 1,982,885 | |||||||
|
|
|
|||||||||
|
|
5,913,067
|
| ||||||||
|
|
||||||||||
| Health Care—0.1% | ||||||||||
|
|
||||||||||
| Health Care Providers & Services—0.1% | ||||||||||
|
|
||||||||||
| OCP SA, 4.50% Sr. Unsec. Nts., 10/22/252 |
|
6,360,000
|
|
|
6,065,850
|
| ||||
|
|
||||||||||
| Pharmaceuticals—0.0% | ||||||||||
|
|
||||||||||
| Almirall SA, 4.625% Sr. Unsec. Nts., 4/1/21 | EUR |
|
3,720,000
|
|
|
4,318,813
|
| |||
|
|
||||||||||
| Industrials—2.4% | ||||||||||
|
|
||||||||||
| Aerospace & Defense—0.3% | ||||||||||
|
|
||||||||||
| BOC Aviation Pte Ltd., 3% Sr. Unsec. Nts., 3/30/202 | 9,880,000 | 9,724,706 | ||||||||
|
|
||||||||||
| Embraer Netherlands Finance BV, 5.05% Sr. Unsec. Nts., 6/15/25 | 7,895,000 | 7,914,738 | ||||||||
|
|
|
|||||||||
|
|
17,639,444
|
| ||||||||
|
|
||||||||||
| Air Freight & Couriers—0.1% | ||||||||||
|
|
||||||||||
| Kazakhstan Temir Zholy Finance BV, 6.95% Sr. Unsec. Nts., 7/10/422 | 1,550,000 | 1,500,431 | ||||||||
|
|
||||||||||
| Pelabuhan Indonesia II PT, 4.25% Sr. Unsec. Nts., 5/5/252 | 6,350,000 | 5,984,240 | ||||||||
|
|
|
|||||||||
|
|
7,484,671
|
| ||||||||
|
|
||||||||||
| Airlines—0.1% | ||||||||||
|
|
||||||||||
| Emirates Airline, 4.50% Sr. Unsec. Nts., 2/6/252 | 8,719,039 | 8,819,308 | ||||||||
13 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Construction & Engineering—0.1% | ||||||||||
|
|
||||||||||
| China Overseas Finance Cayman II Ltd., 5.50% Sr. Unsec. Nts., 11/10/20 | $ | 5,000,000 | $ | 5,415,765 | ||||||
|
|
||||||||||
| Odebrecht Finance Ltd., 8.25% Sr. Unsec. Nts., 4/25/182 | BRL | 9,645,000 | 2,264,594 | |||||||
|
|
|
|||||||||
|
|
7,680,359
|
| ||||||||
|
|
||||||||||
| Electrical Equipment—0.1% | ||||||||||
|
|
||||||||||
| Doosan Heavy Industries & Construction Co. Ltd., 2.125% Sr. Unsec. Nts., 4/27/202 |
|
6,000,000
|
|
|
5,899,896
|
| ||||
|
|
||||||||||
| Industrial Conglomerates—0.9% | ||||||||||
|
|
||||||||||
| Alfa SAB de CV, 5.25% Sr. Unsec. Nts., 3/25/242 | 2,540,000 | 2,616,200 | ||||||||
|
|
||||||||||
| CITIC Ltd.: | ||||||||||
| 6.625% Sr. Unsec. Nts., 4/15/21 | 3,310,000 | 3,788,295 | ||||||||
| 6.80% Sr. Unsec. Nts., 1/17/23 | 3,310,000 | 3,834,966 | ||||||||
| 7.875% Sub. Perpetual Bonds1,5 | 3,310,000 | 3,450,675 | ||||||||
|
|
||||||||||
| General Electric Capital Australia Funding Pty Ltd., 7% Sr. Unsec. Nts., 10/8/15 | AUD | 23,660,000 | 18,468,874 | |||||||
|
|
||||||||||
| Hutchison Whampoa Europe Finance 13 Ltd., 3.75% Sub. Perpetual Bonds1,5 | EUR | 4,000,000 | 4,535,731 | |||||||
|
|
||||||||||
| Hutchison Whampoa International 10 Ltd., 6% Sub. Perpetual Bonds1,2,5 | 10,000,000 | 10,137,500 | ||||||||
|
|
||||||||||
| Hutchison Whampoa International 12 Ltd., 6% Sub. Perpetual Bonds1,2,5 | 5,000,000 | 5,320,200 | ||||||||
|
|
||||||||||
| KOC Holding AS, 3.50% Sr. Unsec. Nts., 4/24/202 | 9,865,000 | 9,693,152 | ||||||||
|
|
|
|||||||||
|
|
61,845,593
|
| ||||||||
|
|
||||||||||
| Machinery—0.1% | ||||||||||
|
|
||||||||||
| KION Finance SA, 6.75% Sr. Sec. Nts., 2/15/202 | EUR | 5,145,000 | 6,077,178 | |||||||
|
|
||||||||||
| SKF AB, 2.375% Sr. Unsec. Nts., 10/29/20 | EUR | 925,000 | 1,094,740 | |||||||
|
|
|
|||||||||
|
|
7,171,918
|
| ||||||||
|
|
||||||||||
| Road & Rail—0.4% | ||||||||||
|
|
||||||||||
| CAR, Inc., 6.125% Sr. Unsec. Nts., 2/4/202 | 4,725,000 | 4,843,125 | ||||||||
|
|
||||||||||
| Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/202 | 7,175,000 | 7,556,853 | ||||||||
|
|
||||||||||
| Transnet SOC Ltd., 4% Sr. Unsec. Nts., 7/26/222 | 16,530,000 | 15,958,062 | ||||||||
|
|
|
|||||||||
|
|
28,358,040
|
| ||||||||
|
|
||||||||||
| Transportation Infrastructure—0.3% | ||||||||||
|
|
||||||||||
| DP World Ltd.: | ||||||||||
| 3.25% Sr. Unsec. Nts., 5/18/202 | 4,960,000 | 4,935,200 | ||||||||
| 6.85% Sr. Unsec. Nts., 7/2/372 | 5,245,000 | 5,753,765 | ||||||||
|
|
||||||||||
| Empresa de Transporte de Pasajeros Metro SA, 4.75% Unsec. Nts., 2/4/242 | 5,330,000 | 5,669,297 | ||||||||
|
|
||||||||||
| Sydney Airport Finance Co. Pty Ltd., 3.375% Sr. Sec. Nts., 4/30/252 | 2,395,000 | 2,305,420 | ||||||||
|
|
|
|||||||||
|
|
18,663,682
|
| ||||||||
|
|
||||||||||
| Information Technology—0.7% | ||||||||||
|
|
||||||||||
| Internet Software & Services—0.7% | ||||||||||
|
|
||||||||||
| Alibaba Group Holding Ltd.: | ||||||||||
| 2.50% Sr. Unsec. Nts., 11/28/192 | 4,300,000 | 4,254,007 | ||||||||
| 3.125% Sr. Unsec. Nts., 11/28/212 | 14,210,000 | 14,047,111 | ||||||||
14 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Internet Software & Services (Continued) | ||||||||||
|
|
||||||||||
| Alibaba Group Holding Ltd.: (Continued) | ||||||||||
| 4.50% Sr. Unsec. Nts., 11/28/342 | $ | 4,630,000 | $ | 4,449,527 | ||||||
|
|
||||||||||
| Baidu, Inc.: | ||||||||||
| 3.00% Sr. Unsec. Nts., 6/30/20 | 10,000,000 | 9,983,320 | ||||||||
| 4.125% Sr. Unsec. Nts., 6/30/25 | 7,500,000 | 7,472,393 | ||||||||
|
|
||||||||||
| Cerved Group SpA, 6.375% Sr. Sec. Nts., 1/15/202 | EUR | 5,755,000 | 6,721,695 | |||||||
|
|
|
|||||||||
|
|
46,928,053
|
| ||||||||
|
|
||||||||||
| Materials—3.0% | ||||||||||
|
|
||||||||||
| Chemicals—0.6% | ||||||||||
|
|
||||||||||
| Braskem Finance Ltd.: | ||||||||||
| 5.375% Sr. Unsec. Nts., 5/2/222 | 2,840,000 | 2,622,740 | ||||||||
| 6.45% Sr. Unsec. Nts., 2/3/24 | 4,770,000 | 4,519,575 | ||||||||
|
|
||||||||||
| Crown European Holdings SA, 3.375% Sr. Unsec. Nts., 5/15/252 | EUR | 5,000,000 | 5,170,117 | |||||||
|
|
||||||||||
| Mexichem SAB de CV: | ||||||||||
| 4.875% Sr. Unsec. Nts., 9/19/222 | 5,030,000 | 5,218,625 | ||||||||
| 5.875% Sr. Unsec. Nts., 9/17/442 | 8,050,000 | 7,486,500 | ||||||||
|
|
||||||||||
| ONGC Videsh Ltd.: | ||||||||||
| 2.75% Sr. Unsec. Nts., 7/15/21 | EUR | 7,490,000 | 8,423,291 | |||||||
| 4.625% Sr. Unsec. Nts., 7/15/24 | 6,185,000 | 6,299,305 | ||||||||
|
|
|
|||||||||
|
|
39,740,153
|
| ||||||||
|
|
||||||||||
| Construction Materials—0.9% | ||||||||||
|
|
||||||||||
| CEMEX Espana SA, 9.875% Sr. Sec. Nts., 4/30/192 | 12,505,000 | 13,745,496 | ||||||||
|
|
||||||||||
| Cemex Finance LLC, 9.375% Sr. Sec. Nts., 10/12/222 | 3,935,000 | 4,402,281 | ||||||||
|
|
||||||||||
| Cemex SAB de CV: | ||||||||||
| 4.375% Sr. Sec. Nts., 3/5/232 | EUR | 4,180,000 | 4,499,883 | |||||||
| 4.75% Sr. Sec. Nts., 1/11/222 | EUR | 2,440,000 | 2,739,548 | |||||||
| 5.70% Sr. Sec. Nts., 1/11/252 | 17,720,000 | 16,943,864 | ||||||||
|
|
||||||||||
| Elementia SAB de CV, 5.50% Sr. Unsec. Nts., 1/15/252 | 1,590,000 | 1,617,825 | ||||||||
|
|
||||||||||
| HeidelbergCement Finance Luxembourg SA: | ||||||||||
| 3.25% Sr. Unsec. Nts., 10/21/21 | EUR | 1,955,000 | 2,320,177 | |||||||
| 7.50% Sr. Unsec. Nts., 4/3/20 | EUR | 1,775,000 | 2,467,538 | |||||||
| 8.00% Sr. Unsec. Nts., 1/31/17 | EUR | 2,040,000 | 2,513,159 | |||||||
|
|
||||||||||
| Lafarge SA: | ||||||||||
| 4.75% Sr. Unsec. Nts., 9/30/20 | EUR | 3,205,000 | 4,135,213 | |||||||
| 5.375% Sr. Unsec. Nts., 6/26/17 | EUR | 1,515,000 | 1,836,667 | |||||||
|
|
||||||||||
| Pontis III Ltd. Sr. Sec. Nts., 6/8/252 | 6,605,000 | 6,605,000 | ||||||||
|
|
||||||||||
| Union Andina de Cementos SAA, 5.875% Sr. Unsec. Nts., 10/30/212 | 1,870,000 | 1,895,712 | ||||||||
|
|
|
|||||||||
|
|
65,722,363
|
| ||||||||
|
|
||||||||||
| Containers & Packaging—0.1% | ||||||||||
|
|
||||||||||
| Klabin Finance SA, 5.25% Sr. Unsec. Nts., 7/16/242 | 4,025,000 | 3,932,425 | ||||||||
|
|
||||||||||
| Smurfit Kappa Acquisitions, 4.875% Sr. Sec. Nts., 9/15/182 | 5,290,000 | 5,567,725 | ||||||||
|
|
|
|||||||||
|
|
9,500,150
|
| ||||||||
|
|
||||||||||
| Metals & Mining—1.2% | ||||||||||
|
|
||||||||||
| ABJA Investment Co. Pte Ltd.: | ||||||||||
| 4.95% Sr. Unsec. Nts., 5/3/23 | SGD | 1,250,000 | 899,902 | |||||||
| 5.95% Sr. Unsec. Nts., 7/31/24 | 3,480,000 | 3,494,686 | ||||||||
15 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Metals & Mining (Continued) | ||||||||||
|
|
||||||||||
| ArcelorMittal: | ||||||||||
| 2.875% Sr. Unsec. Nts., 7/6/20 | EUR | 4,935,000 | $ | 5,409,646 | ||||||
| 5.25% Sr. Unsec. Nts., 2/25/17 | 5,335,000 | 5,555,069 | ||||||||
|
|
||||||||||
| FMG Resources August 2006 Pty Ltd., 8.25% Sr. Unsec. Nts., 11/1/192 | 3,690,000 | 3,127,275 | ||||||||
|
|
||||||||||
| Gestamp Funding Luxembourg SA: | ||||||||||
| 5.875% Sr. Sec. Nts., 5/31/202 | EUR | 4,415,000 | 5,156,757 | |||||||
| 5.875% Sr. Sec. Nts., 5/31/20 | EUR | 1,640,000 | 1,915,793 | |||||||
|
|
||||||||||
| Glencore Finance Canada Ltd.: | ||||||||||
| 2.05% Sr. Unsec. Nts., 10/23/152 | 11,880,000 | 11,911,304 | ||||||||
| 4.95% Sr. Unsec. Nts., 11/15/212 | 4,160,000 | 4,369,905 | ||||||||
|
|
||||||||||
| Glencore Funding LLC: | ||||||||||
| 2.875% Sr. Unsec. Nts., 4/16/202 | 15,000,000 | 14,706,075 | ||||||||
| 4.125% Sr. Unsec. Nts., 5/30/232 | 7,515,000 | 7,273,062 | ||||||||
|
|
||||||||||
| Metalloinvest Finance Ltd., 5.625% Unsec. Nts., 4/17/202 | 1,250,000 | 1,149,850 | ||||||||
|
|
||||||||||
| Southern Copper Corp., 3.875% Sr. Unsec. Nts., 4/23/25 | 4,450,000 | 4,297,098 | ||||||||
|
|
||||||||||
| Vedanta Resources plc, 8.25% Sr. Unsec. Nts., 6/7/212 | 10,480,000 | 10,716,533 | ||||||||
|
|
|
|||||||||
|
|
79,982,955
|
| ||||||||
|
|
||||||||||
| Paper & Forest Products—0.2% | ||||||||||
|
|
||||||||||
| Fibria Overseas Finance Ltd., 5.25% Sr. Unsec. Nts., 5/12/24 | 4,280,000 | 4,301,400 | ||||||||
|
|
||||||||||
| Inversiones CMPC SA: | ||||||||||
| 4.75% Sr. Unsec. Nts., 9/15/242 | 3,055,000 | 3,095,616 | ||||||||
| 6.125% Sr. Unsec. Nts., 11/5/192 | 1,980,000 | 2,213,072 | ||||||||
|
|
||||||||||
| Suzano Trading Ltd., 5.875% Sr. Unsec. Nts., 1/23/212 | 1,690,000 | 1,749,150 | ||||||||
|
|
|
|||||||||
|
|
11,359,238
|
| ||||||||
|
|
||||||||||
| Telecommunication Services—2.4% | ||||||||||
|
|
||||||||||
| Diversified Telecommunication Services—1.3% | ||||||||||
|
|
||||||||||
| AT&T, Inc., 2.45% Sr. Unsec. Nts., 3/15/35 | EUR | 10,000,000 | 9,641,546 | |||||||
|
|
||||||||||
| Colombia Telecomunicaciones SA ESP: | ||||||||||
| 5.375% Sr. Unsec. Nts., 9/27/222 | 2,285,000 | 2,270,719 | ||||||||
| 8.50% Sub. Perpetual Bonds1,2,5 | 3,305,000 | 3,434,556 | ||||||||
|
|
||||||||||
| Columbus International, Inc., 7.375% Sr. Unsec. Nts., 3/30/212 | 2,945,000 | 3,176,919 | ||||||||
|
|
||||||||||
| Digicel Ltd., 6.75% Sr. Unsec. Nts., 3/1/232 | 6,945,000 | 6,825,546 | ||||||||
|
|
||||||||||
| Koninklijke KPN NV, 8.375% Sr. Unsec. Nts., 10/1/30 | 9,995,000 | 13,619,317 | ||||||||
|
|
||||||||||
| Oi SA, 9.75% Sr. Unsec. Nts., 9/15/162 | BRL | 19,740,000 | 5,936,412 | |||||||
|
|
||||||||||
| Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 14,857,000 | 16,788,410 | ||||||||
|
|
||||||||||
| Telefonica Emisiones SAU, 2.932% Sr. Unsec. Nts., 10/17/29 | EUR | 15,400,000 | 17,060,698 | |||||||
|
|
||||||||||
| Turk Telekomunikasyon AS, 3.75% Sr. Unsec. Nts., 6/19/192 | 7,830,000 | 7,833,563 | ||||||||
|
|
||||||||||
| UPC Holding BV, 6.75% Sr. Unsec. Nts., 3/15/23 | EUR | 1,440,000 | 1,750,106 | |||||||
|
|
|
|||||||||
|
|
88,337,792
|
| ||||||||
|
|
||||||||||
| Wireless Telecommunication Services—1.1% | ||||||||||
|
|
||||||||||
| Bharti Airtel Ltd., 4.375% Sr. Unsec. Nts., 6/10/252 | 13,180,000 | 13,011,296 | ||||||||
|
|
||||||||||
| Digicel Group Ltd., 7.125% Sr. Unsec. Nts., 4/1/222 | 3,410,000 | 3,213,925 | ||||||||
|
|
||||||||||
| Empresa Nacional de Telecomunicaciones SA, 4.75% Sr. Unsec. Nts., 8/1/262 | 1,360,000 | 1,338,579 | ||||||||
|
|
||||||||||
| Millicom International Cellular SA, 6% Sr. Unsec. Nts., 3/15/252 | 6,790,000 | 6,590,000 | ||||||||
|
|
||||||||||
| Mobile Telesystems OJSC via MTS International Funding Ltd., 5% Sr. Unsec. Nts., 5/30/232 | 4,800,000 | 4,303,200 | ||||||||
16 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Wireless Telecommunication Services (Continued) | ||||||||||
|
|
||||||||||
| Telefonica Europe BV: | ||||||||||
| 5.875% Jr. Sub. Perpetual Bonds1,5 | EUR | 2,000,000 | $ | 2,368,180 | ||||||
| 6.50% Jr. Sub. Perpetual Bonds1,5 | EUR | 10,000,000 | 12,236,783 | |||||||
| 6.75% Jr. Sub. Perpetual Bonds1,5 | GBP | 10,125,000 | 16,766,078 | |||||||
|
|
||||||||||
| Telekom Austria AG, 5.625% Jr. Sub. Perpetual Bonds1,5 | EUR | 5,375,000 | 6,368,798 | |||||||
|
|
||||||||||
| VimpelCom Holdings BV, 9% Sr. Unsec. Nts., 2/13/182 | RUB | 128,400,000 | 2,167,106 | |||||||
|
|
||||||||||
| Vimpel-Communications OJSC, 10% Sr. Unsec. Nts., 3/8/221 | RUB | 95,300,000 | 1,597,572 | |||||||
|
|
||||||||||
| Wind Acquisition Finance SA, 4% Sr. Sec. Nts., 7/15/202 | EUR | 5,695,000 | 6,353,636 | |||||||
|
|
|
|||||||||
|
|
76,315,153
|
| ||||||||
|
|
||||||||||
| Utilities—3.7% | ||||||||||
|
|
||||||||||
| Electric Utilities—2.9% | ||||||||||
|
|
||||||||||
| E.CL SA, 4.50% Sr. Unsec. Nts., 1/29/252 | 2,160,000 | 2,169,543 | ||||||||
|
|
||||||||||
| EDP Finance BV: | ||||||||||
| 5.25% Sr. Unsec. Nts., 1/14/212 | 11,205,000 | 11,762,673 | ||||||||
| 6.00% Sr. Unsec. Nts., 2/2/182 | 1,880,000 | 2,018,859 | ||||||||
|
|
||||||||||
| Electricite de France SA: | ||||||||||
| 5.25% Jr. Sub. Perpetual Bonds1,2,5 | 5,498,000 | 5,525,490 | ||||||||
| 5.625% Jr. Sub. Perpetual Bonds1,2,5 | 2,580,000 | 2,633,535 | ||||||||
| 5.875% Jr. Sub. Perpetual Bonds1,5 | GBP | 9,600,000 | 15,045,897 | |||||||
| 6.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 6,065,000 | 9,691,311 | |||||||
|
|
||||||||||
| Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/192 | 12,930,000 | 15,095,775 | ||||||||
|
|
||||||||||
| EnBW Energie Baden-Wuerttemberg AG, 3.625% Jr. Sub. Nts., 4/2/761 | EUR | 7,490,000 | 8,263,142 | |||||||
|
|
||||||||||
| Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/172 | 15,000,000 | 16,428,525 | ||||||||
|
|
||||||||||
| Enel SpA, 5% Sub. Nts., 1/15/751 | EUR | 9,320,000 | 10,902,430 | |||||||
|
|
||||||||||
| Eskom Holdings SOC Ltd.: | ||||||||||
| 6.75% Sr. Unsec. Nts., 8/6/232 | 10,235,000 | 10,426,702 | ||||||||
| 7.125% Sr. Unsec. Nts., 2/11/252 | 6,610,000 | 6,701,086 | ||||||||
|
|
||||||||||
| Iberdrola International BV, 5.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 6,825,000 | 8,194,580 | |||||||
|
|
||||||||||
| Israel Electric Corp. Ltd.: | ||||||||||
| 6.875% Sr. Sec. Nts., 6/21/232 | 8,335,000 | 9,531,072 | ||||||||
| 7.25% Sr. Sec. Nts., 1/15/192 | 18,180,000 | 20,588,850 | ||||||||
|
|
||||||||||
| National Power Corp., 5.875% Sr. Unsec. Nts., 12/19/16 | PHP | 665,100,000 | 15,303,643 | |||||||
|
|
||||||||||
| Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/212 | 27,735,000 | 29,468,437 | ||||||||
|
|
||||||||||
| Power Grid Corp. of India Ltd., 8.70% Sec. Nts., 7/15/18 | INR | 130,000,000 | 2,052,122 | |||||||
|
|
|
|||||||||
|
|
201,803,672
|
| ||||||||
|
|
||||||||||
| Gas Utilities—0.2% | ||||||||||
|
|
||||||||||
| Empresa de Energia de Bogota SA, 6.125% Sr. Unsec. Nts., 11/10/212 | 5,090,000 | 5,395,400 | ||||||||
|
|
||||||||||
| Gas Natural de Lima y Callao SA, 4.375% Sr. Unsec. Nts., 4/1/232 | 2,645,000 | 2,605,325 | ||||||||
|
|
||||||||||
| Perusahaan Gas Negara Persero Tbk PT, 5.125% Sr. Unsec. Nts., 5/16/242 | 4,850,000 | 4,889,867 | ||||||||
|
|
|
|||||||||
|
|
12,890,592
|
| ||||||||
|
|
||||||||||
| Independent Power and Renewable Electricity Producers—0.4% | ||||||||||
|
|
||||||||||
| Colbun SA, 4.50% Sr. Unsec. Nts., 7/10/242 | 3,070,000 | 3,069,524 | ||||||||
|
|
||||||||||
| Comision Federal de Electricidad, 4.875% Sr. Unsec. Nts., 1/15/242 | 12,675,000 | 12,991,875 | ||||||||
17 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Independent Power and Renewable Electricity Producers (Continued) | ||||||||||
|
|
||||||||||
| Edison SpA, 3.875% Sr. Unsec. Nts., 11/10/17 | EUR | 745,000 | $ | 897,399 | ||||||
|
|
||||||||||
| Hero Asia Investment Ltd., 2.875% Sr. Unsec. Nts., 10/3/17 | 3,310,000 | 3,335,613 | ||||||||
|
|
||||||||||
| Infinis plc, 7% Sr. Sec. Nts., 2/15/196 | GBP | 4,150,000 | 6,814,118 | |||||||
|
|
|
|||||||||
|
|
27,108,529
|
| ||||||||
|
|
||||||||||
| Multi-Utilities—0.2% | ||||||||||
|
|
||||||||||
| Empresa Electrica Guacolda SA, 4.56% Sr. Unsec. Nts., 4/30/252 | 4,445,000 | 4,321,176 | ||||||||
|
|
||||||||||
| NGG Finance plc, 4.25% Sub. Nts., 6/18/761 | EUR | 9,405,000 | 11,078,519 | |||||||
|
|
|
|||||||||
| 15,399,695 | ||||||||||
|
|
|
|||||||||
| Total Corporate Bonds and Notes (Cost $2,779,398,143) | 2,676,596,554 | |||||||||
|
Shares |
||||||||||
|
|
||||||||||
| Common Stock—0.0% | ||||||||||
|
|
||||||||||
| JP Morgan International, GDR8 (Cost $0) | 868,851 | — | ||||||||
|
Principal Amount |
||||||||||
|
|
||||||||||
| Structured Securities—0.3% | ||||||||||
|
|
||||||||||
| Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/117 | RUB | 220,242,600 | — | |||||||
|
|
||||||||||
| Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/107 | RUB | 64,600,000 | — | |||||||
|
|
||||||||||
| Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds: | ||||||||||
| 3.01% Sec. Nts., 4/30/252,9 | 3,303,737 | 2,018,770 | ||||||||
| 3.138% Sr. Sec. Nts., 4/30/252,9 | 3,248,519 | 1,985,028 | ||||||||
| 3.191% Sec. Nts., 4/30/252,9 | 4,044,670 | 2,471,521 | ||||||||
| 3.242% Sr. Sec. Nts., 4/30/252,9 | 4,616,377 | 2,820,866 | ||||||||
| 3.269% Sec. Nts., 4/30/252,9 | 3,687,945 | 2,253,542 | ||||||||
| 3.346% Sr. Sec. Nts., 4/30/252,9 | 3,466,511 | 2,118,234 | ||||||||
| 3.797% Sr. Sec. Nts., 4/30/252,9 | 4,209,469 | 2,572,223 | ||||||||
| 3.894% Sec. Nts., 4/30/252,9 | 3,634,203 | 2,220,703 | ||||||||
|
|
||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts.: | ||||||||||
| Cl. 2A, 6.697%, 10/22/151,6 | MXN | 197,902 | 11,455 | |||||||
| Cl. 2B, 6.697%, 10/22/151,6 | MXN | 346,234 | 20,042 | |||||||
| Cl. 2C, 6.697%, 10/22/151,6 | MXN | 5,220,366 | 302,178 | |||||||
| Cl. 2D, 6.697%, 10/22/151,6 | MXN | 380,453 | 22,022 | |||||||
| Cl. 2E, 6.697%, 10/22/151,6 | MXN | 276,406 | 16,000 | |||||||
| Cl. 2F, 6.697%, 10/22/151,6 | MXN | 176,527 | 10,218 | |||||||
| Cl. 2G, 6.697%, 10/22/151,6 | MXN | 32,509 | 1,882 | |||||||
|
|
||||||||||
| LB Peru Trust II Certificates, Series 1998-A, 3.795%, 2/28/167,9 | 11,734 | — | ||||||||
|
|
||||||||||
| Morgan Stanley, Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | RUB | 181,674,892 | 1,452,587 | |||||||
|
|
|
|||||||||
| Total Structured Securities (Cost $38,761,929) |
|
20,297,271
|
| |||||||
|
|
||||||||||
| Short-Term Notes—2.8% | ||||||||||
|
|
||||||||||
| United States Treasury Bills: | ||||||||||
| 0.043%, 10/29/159,10 | $ | 125,000,000 | 125,003,125 | |||||||
| 0.06%, 8/13/159,10,11 | 70,000,000 | 69,994,983 | ||||||||
|
|
|
|||||||||
| Total Short-Term Notes (Cost $194,977,275) | 194,998,108 | |||||||||
18 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Exercise | Expiration | |||||||||||||||||
| Price | Date | Contracts | Value | |||||||||||||||
|
| ||||||||||||||||||
| Exchange-Traded Option Purchased—0.1% | ||||||||||||||||||
|
| ||||||||||||||||||
| Euro Bundesobligation Futures, 9/15 Call8 (Cost $4,282,677) | EUR | 154.500 | 8/21/2015 | EUR | 4,000 | $3,879,678 | ||||||||||||
| Exercise | Expiration | |||||||||||||||||
| Counterparty | Price | Date | Contracts | Value | ||||||||||||||
|
| ||||||||||||||||||
| Over-the-Counter Options Purchased—0.2% | ||||||||||||||||||
|
| ||||||||||||||||||
| BRL Currency Call8 | JPM |
JPY | 44.400 | 9/6/16 | BRL | 225,000,000 | $ 156,162 | |||||||||||
|
| ||||||||||||||||||
| BRL Currency Call8 | GSG |
BRL |
2.580 | 12/4/15 | BRL | 391,100,000 | 30,897 | |||||||||||
|
| ||||||||||||||||||
| BRL Currency Call8 | GSG |
JPY | 45.500 | 8/18/16 | BRL | 175,000,000 | 61,230 | |||||||||||
|
| ||||||||||||||||||
| BRL Currency Call8 | GSG |
JPY | 44.000 | 8/25/16 | BRL | 132,000,000 | 109,343 | |||||||||||
|
| ||||||||||||||||||
| CAD Currency Put8 | TDB |
CAD | 1.240 | 7/22/15 | CAD | 200,000,000 | 1,991,600 | |||||||||||
|
| ||||||||||||||||||
| CAD Currency Put8 | BOA |
CAD | 1.300 | 7/20/15 | CAD | 2,750,000 | 55,712 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Call8 | CITNA-B |
EUR | 1.159 | 7/31/15 | EUR | 200,000,000 | 652,000 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Call8 | BOA |
EUR | 1.160 | 7/9/15 | EUR | 200,000,000 | 120,800 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Put8 | BOA |
EUR | 1.063 | 7/20/15 | EUR | 10,625,000 | 2,398,236 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Call8 | GSG |
EUR | 1.160 | 7/9/15 | EUR | 200,000,000 | 120,800 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Call8 | JPM |
EUR | 1.160 | 7/9/15 | EUR | 200,000,000 | 120,800 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Put8,14 | BOA |
EUR | 0.950 | 3/30/16 | EUR | 10,000,000 | 722,813 | |||||||||||
|
| ||||||||||||||||||
| EUR Currency Put8 | GSG |
EUR | 1.000 | 7/31/15 | EUR | 10,000,000 | 199,743 | |||||||||||
|
| ||||||||||||||||||
| GBP Currency Put8 | BOA |
GBP | 1.490 | 7/2/15 | GBP | 300,000,000 | — | |||||||||||
|
| ||||||||||||||||||
| GBP Currency Put8 | BAC |
GBP | 1.500 | 7/20/15 | GBP | 15,000,000 | 639,665 | |||||||||||
|
| ||||||||||||||||||
| GBP Currency Call8 | JPM |
GBP | 1.580 | 7/16/15 | GBP | 150,000,000 | 1,008,000 | |||||||||||
|
| ||||||||||||||||||
| INR Currency Call8 | BOA |
INR | 62.500 | 8/27/15 | INR | 6,250,000,000 | 106,250 | |||||||||||
|
| ||||||||||||||||||
| INR/BRL/PLN Basket Call8 | CITNA-B |
USD | 1.000 | 8/31/15 | USD | 150,000,000 | 1,773,300 | |||||||||||
|
| ||||||||||||||||||
| JPY Currency Call8 | BOA |
JPY | 118.000 | 12/7/15 | JPY | 23,600,000,000 | 2,100,400 | |||||||||||
|
| ||||||||||||||||||
| JPY Currency Call8 | CITNA-B |
JPY | 118.000 | 9/8/15 | JPY | 17,700,000,000 | 619,500 | |||||||||||
|
| ||||||||||||||||||
| JPY Currency Call8 | GSG |
JPY | 118.000 | 12/7/15 | JPY | 35,400,000,000 | 3,150,600 | |||||||||||
|
| ||||||||||||||||||
| MXN Currency Call8 | JPM |
MXN | 14.723 | 3/16/16 | MXN | 981,540,000 | 471,139 | |||||||||||
|
| ||||||||||||||||||
| MXN Currency Call8 | CITNA-B |
MXN | 14.755 | 3/16/16 | MXN | 1,967,340,000 | 989,572 | |||||||||||
19 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Exercise | Expiration | |||||||||||||||||||
| Counterparty | Price | Date | Contracts | Value | ||||||||||||||||
|
|
||||||||||||||||||||
| Over-the-Counter Options Purchased (Continued) | ||||||||||||||||||||
|
|
||||||||||||||||||||
| MXN Currency Call8 | JPM | MXN | 15.060 | 4/11/16 | MXN | 753,000,000 | $ | 621,225 | ||||||||||||
|
|
||||||||||||||||||||
| NOK Currency Put8 | BOA | NOK | 7.960 | 7/7/15 | NOK | 796,000,000 | 440,984 | |||||||||||||
|
|
||||||||||||||||||||
| TWD Currency Call8 | BOA | TWD | 32.500 | 8/26/15 | TWD | 5,000,000 | 307,847 | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $49,606,874) | 18,968,618 | |||||||||||||||||||
| Counterparty |
Buy/Sell Protection |
Reference Asset |
Fixed Rate |
Expiration Date |
Notional (000’s) |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Purchased—0.0% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/20 Put8 |
BAC | Sell |
|
CDX.NA.HY. 24 |
|
107.000 | % | 9/16/15 | USD | 100,000 | 469,740 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/20 Put8 | JPM | Sell |
|
iTraxx Europe Crossover Series 23 Version 1 |
|
3.000 | 9/16/15 | EUR | 125,000 | 1,146,414 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/20 Put8 | JPM | Sell |
|
iTraxx Europe Crossover Series 23 Version 1 |
|
2.750 | 8/19/15 | EUR | 47,200 | 189,004 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaptions Purchased (Cost $1,780,835) | 1,805,158 | |||||||||||||||||||||||||||
| Counterparty |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased—0.6% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Cap Swap Maturing 3/9/16 Call8 | BAC | Pay | MAX[0; (FRO 1 - FRO 2)- Strike Swap Rate]x 10 |
0.450% | 3/7/16 | EUR | 100,000 | 1,700,292 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/2/17 Call8 | BOA | Pay | BZDI | 12.545 | 1/4/16 | BRL | 125,000 | 39,250 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/2/19 Call8 | BOA | Pay | BZDI | 11.420 | 1/4/16 | BRL | 125,000 | 102,338 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/4/21 Call8 | BOA | Pay | BZDI | 11.380 | 1/4/16 | BRL | 112,500 | 220,693 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 10/13/20 Call8 | GSG | Receive | Three- Month USD BBA LIBOR | 2.280 | 10/9/15 | USD | 250,000 | 822,150 | ||||||||||||||||||||
20 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Counterparty |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 10/5/25 Call8 | BAC | Receive | Three- Month USD BBA LIBOR |
3.000% | 10/1/15 | USD | 200,000 | $ | 875,160 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 11/18/25 Call8 | BAC | Receive | Three- Month USD BBA LIBOR |
3.335 | 11/16/15 | USD | 200,000 | 1,668,456 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 11/20/28 Call8 | BOA | Receive | Three- Month KRW CD KSDA |
3.640 | 11/19/18 | KRW | 50,000,000 | 306,471 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 12/14/35 Call8 | BOA | Pay | Six-Month JPY BBA LIBOR |
1.113 | 12/10/15 | JPY | 5,000,000 | 366,113 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 12/21/45 Call8 | BOA | Receive | Three- Month USD BBA LIBOR |
2.943 | 12/17/15 | USD | 150,000 | 7,913,291 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/30/24 Call8 | GSG | Receive | Three- Month KRW CD KSDA |
3.530 | 4/29/19 | KRW | 100,000,000 | 369,361 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/19/25 Call8 | JPM | Receive | Six-Month SGD SOR VWAP |
3.170 | 5/15/20 | SGD | 100,000 | 2,595,521 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/19/25 Call8 | JPM | Pay | Six-Month SGD SOR VWAP |
3.170 | 5/15/20 | SGD | 100,000 | 1,416,498 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/30/33 Putl8 | BAC | Receive | Six-Month GBP BBA LIBOR |
3.990 | 5/30/23 | GBP | 40,415 | 2,495,063 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/21/25 Call8 | UBS | Receive | Six-Month EUR EURIBOR |
1.821 | 7/17/15 | EUR | 48,850 | 2,022 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/21/25 Call8 |
GSG | Receive | Six-Month EUR EURIBOR |
2.750 | 7/17/15 | EUR | 111,370 | — | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/29/25 Call8 | BOA | Receive | Three- Month USD BBA LIBOR |
2.750 | 7/27/15 | USD | 150,000 | 327,560 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/11/25 call8 | JPM | Receive | Three- Month USD BBA LIBOR |
2.618 | 8/7/15 | USD | 125,000 | 850,506 | ||||||||||||||||||||
21 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Counterparty |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/11/25 Call8 | BOA | Receive | Three- Month USD BBA LIBOR |
2.585% | 8/7/15 | USD | 150,000 | $ | 1,171,767 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/25/44 Call8 | BOA | Receive | Three- Month USD BBA LIBOR |
4.000 | 9/23/19 | USD | 100,000 | 6,481,673 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/26/39 Call8 | GSG | Receive | Three- Month USD BBA LIBOR |
4.000 | 9/24/19 | USD | 175,000 | 10,050,738 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/8/35 Call8 | GSG | Receive | Three- Month USD BBA LIBOR |
3.220 | 9/3/15 | USD | 55,867 | 814,653 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $57,433,422) | 40,589,576 | |||||||||||||||||||||||||||
| Shares | ||||||||
|
|
||||||||
| Investment Company—0.8% | ||||||||
|
|
||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%12,13 (Cost $58,184,943) |
|
58,184,943
|
|
|
58,184,943
|
| ||
|
|
||||||||
| Total Investments, at Value (Cost $7,214,419,427) | 99.0% | 6,853,636,129 | ||||||
|
|
||||||||
| Net Other Assets (Liabilities) | 1.0 | 71,060,736 | ||||||
|
|
|
|||||||
| Net Assets | 100.0% | $ | 6,924,696,865 | |||||
|
|
|
|||||||
Footnotes to Statement of Investments
1. Represents the current interest rate for a variable or increasing rate security.
2. 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 $2,040,134,382 or 29.46% of the Fund’s net assets as of June 30, 2015.
3. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
4. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after June 30, 2015. See Note 4 of the accompanying Notes.
5. 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.
6. Restricted security. The aggregate value of restricted securities as of June 30, 2015 was $102,687,850, which represents 1.48% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Brazil Loan Trust 1, 5.477% Sec. Nts., 7/24/23 | 7/25/13-7/25/14 | $ | 10,974,035 | $ | 10,542,166 | $ | (431,869) | |||||||||
| Credit Agricole SA, 6.637% Jr. Sub. Perpetual Bonds | 10/24/13-12/18/13 | 2,828,187 | 2,984,520 | 156,333 | ||||||||||||
| Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds | 5/1/13-4/29/15 | 45,276,501 | 48,364,975 | 3,088,474 | ||||||||||||
22 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 6.697%, 10/22/15 | 5/21/08 | $ | 19,078 | $ | 11,455 | $ | (7,623) | |||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 6.697%, 10/22/15 | 6/12/08 | 33,375 | 20,042 | (13,333) | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 6.697%, 10/22/15 | 6/18/08 | 506,371 | 302,178 | (204,193) | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 6.697%, 10/22/15 | 7/8/08 | 36,876 | 22,022 | (14,854) | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 6.697%, 10/22/15 | 7/15/08 | 26,836 | 16,000 | (10,836) | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 6.697%, 10/22/15 |
8/8/08 | 17,374 | 10,218 | (7,156) | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 6.697%, 10/22/15 | 8/22/08 | 3,206 | 1,882 | (1,324) | ||||||||||||
| Infinis plc, 7% Sr. Sec. Nts., 2/15/19 | 10/2/13-4/28/15 | 6,874,484 | 6,814,118 | (60,366) | ||||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/35 | 3/21/07 | 3,122,186 | 220,666 | (2,901,520) | ||||||||||||
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds | 7/25/13-1/29/15 | 28,093,985 | 28,165,108 | 71,123 | ||||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 | 1/9/15 | 5,294,182 | 5,212,500 | (81,682) | ||||||||||||
|
|
|
|||||||||||||||
| $ | 103,106,676 | $ | 102,687,850 | $ | (418,826) | |||||||||||
|
|
|
|||||||||||||||
7. 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.
8. Non-income producing security.
9. Zero coupon bond reflects effective yield on the date of purchase.
10. 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 $63,436,756. See Note 5 of the accompanying Notes.
11. 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 $10,299,262. See Note 5 of the accompanying Notes.
23 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
12. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended June 30, 2015, 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 September 30, 2014 |
Gross Additions |
Gross Reductions |
Shares |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | — | 4,152,674,159 | 4,094,489,216 | 58,184,943 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 58,184,943 | $ | 204,150 | ||||||||||||
13. Rate shown is the 7-day yield as of June 30, 2015.
14. Knock-out option expires worthless if at any time spot rates are less than or equal to 1.04 USD per 1 EUR.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||
| Mexico | $ | 853,860,661 | 12.5% | |||||
| United Kingdom | 765,726,008 | 11.2 | ||||||
| Brazil | 741,391,310 | 10.8 | ||||||
| United States | 345,703,403 | 5.0 | ||||||
| India | 335,295,986 | 4.9 | ||||||
| Japan | 280,438,250 | 4.1 | ||||||
| Italy | 259,504,857 | 3.8 | ||||||
| Indonesia | 216,982,622 | 3.2 | ||||||
| Turkey | 193,806,016 | 2.8 | ||||||
| France | 192,419,425 | 2.8 | ||||||
| Spain | 175,980,194 | 2.6 | ||||||
| Switzerland | 156,454,250 | 2.3 | ||||||
| Netherlands | 154,791,859 | 2.3 | ||||||
| Portugal | 153,883,112 | 2.2 | ||||||
| Australia | 135,805,531 | 2.0 | ||||||
| South Africa | 124,702,954 | 1.8 | ||||||
| China | 123,387,632 | 1.8 | ||||||
| Germany | 109,385,359 | 1.6 | ||||||
| Singapore | 108,261,887 | 1.6 | ||||||
| Colombia | 94,528,016 | 1.4 | ||||||
| Canada | 89,379,900 | 1.3 | ||||||
| Peru | 89,157,598 | 1.3 | ||||||
| Belgium | 73,773,629 | 1.1 | ||||||
| Sweden | 68,527,780 | 1.0 | ||||||
| Chile | 65,848,336 | 1.0 | ||||||
| Ireland | 62,533,354 | 0.9 | ||||||
| Panama | 62,057,200 | 0.9 | ||||||
| South Korea | 61,061,549 | 0.9 | ||||||
| Luxembourg | 60,793,323 | 0.9 | ||||||
| Dominican Republic | 58,637,469 | 0.9 | ||||||
| Denmark | 55,877,562 | 0.8 | ||||||
| Russia | 51,726,888 | 0.7 | ||||||
| Ivory Coast | 47,867,441 | 0.7 | ||||||
| Hungary | 42,043,226 | 0.6 | ||||||
| United Arab Emirates | 34,983,330 | 0.5 | ||||||
24 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Geographic Holdings (Continued) | Value | Percent | ||||||
|
|
||||||||
| Sri Lanka | $ | 32,941,335 | 0.5% | |||||
| Israel | 32,079,510 | 0.5 | ||||||
| New Zealand | 31,893,899 | 0.5 | ||||||
| Croatia | 31,288,442 | 0.5 | ||||||
| Serbia | 25,328,042 | 0.4 | ||||||
| Hong Kong | 25,222,141 | 0.4 | ||||||
| Morocco | 25,125,761 | 0.4 | ||||||
| Malaysia | 22,392,851 | 0.3 | ||||||
| Kazakhstan | 16,196,509 | 0.2 | ||||||
| Philippines | 15,303,643 | 0.2 | ||||||
| Kenya | 14,863,724 | 0.2 | ||||||
| Jersey, Channel Islands | 12,407,234 | 0.2 | ||||||
| Uruguay | 10,323,550 | 0.1 | ||||||
| Argentina | 10,222,725 | 0.1 | ||||||
| Jamaica | 10,039,471 | 0.1 | ||||||
| Venezuela | 9,988,275 | 0.1 | ||||||
| Egypt | 9,964,707 | 0.1 | ||||||
| China Offshore | 8,277,617 | 0.1 | ||||||
| Eurozone | 7,372,925 | 0.1 | ||||||
| Vietnam | 6,758,625 | 0.1 | ||||||
| Cayman Islands | 6,731,156 | 0.1 | ||||||
| Austria | 6,368,798 | 0.1 | ||||||
| Poland | 6,333,971 | 0.1 | ||||||
| Angola | 6,124,221 | 0.1 | ||||||
| Ecuador | 5,128,175 | 0.1 | ||||||
| Thailand | 4,832,157 | 0.1 | ||||||
| Supranational | 4,531,548 | 0.1 | ||||||
| Paraguay | 3,532,200 | 0.0 | ||||||
| Barbados | 3,176,919 | 0.0 | ||||||
| Norway | 2,000,234 | 0.0 | ||||||
| Taiwan | 307,847 | 0.0 | ||||||
|
|
|
|||||||
| Total | $ | 6,853,636,129 | 100.0% | |||||
|
|
|
|||||||
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts as of June 30, 2015 | ||||||||||||||||||||||||
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | 11/2015 | EUR | 59,550 | USD | 67,355 | $ | — | $ | 814,980 | |||||||||||||||
| BAC | 11/2015 | GBP | 54,525 | USD | 83,608 | 1,980,664 | — | |||||||||||||||||
| BAC | 07/2015 | INR | 291,000 | USD | 4,539 | 25,316 | — | |||||||||||||||||
| BAC | 11/2015 | USD | 83,903 | EUR | 75,000 | 99,873 | — | |||||||||||||||||
| BAC | 11/2015 | USD | 67,110 | GBP | 43,781 | — | 1,613,583 | |||||||||||||||||
| BAC | 07/2015 | USD | 5,536 | RUB | 365,400 | — | 1,057,608 | |||||||||||||||||
| BOA | 11/2015 | AUD | 100,000 | USD | 77,018 | — | 450,280 | |||||||||||||||||
| BOA | 11/2015 | EUR | 104,000 | USD | 117,406 | — | 1,198,250 | |||||||||||||||||
| BOA | 11/2015 | GBP | 55,665 | USD | 85,592 | 1,799,360 | 12,969 | |||||||||||||||||
| BOA | 08/2015 | IDR | 1,334,141,000 | USD | 98,261 | 572,634 | — | |||||||||||||||||
| BOA | 08/2015 | INR | 6,978,000 | USD | 107,354 | 1,462,039 | — | |||||||||||||||||
| BOA | 11/2015 | JPY | 5,300,000 | USD | 43,194 | 215,992 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| BOA | 10/2015 | KRW | 109,399,600 | USD | 102,330 | — | 4,365,291 | |||||||||||||||||
| BOA | 11/2015 | NOK | 81,380 | USD | 10,178 | 170,710 | — | |||||||||||||||||
| BOA | 11/2015 | SEK | 740,147 | USD | 87,719 | 1,974,673 | 121,459 | |||||||||||||||||
25 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BOA | 11/2015 | USD | 76,067 | CAD | 94,810 | $ | 286,908 | $ | — | |||||||||||||||
| BOA | 11/2015 | USD | 390,323 | EUR | 355,090 | 249,123 | 6,696,213 | |||||||||||||||||
| BOA | 11/2015 | USD | 633,979 | GBP | 416,830 | — | 20,322,763 | |||||||||||||||||
| BOA | 08/2015 | USD | 69,143 | IDR | 938,787,000 | — | 402,941 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| BOA | 10/2015 | USD | 430,590 | INR | 28,039,000 | — | 6,279,744 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| BOA | 09/2015 | USD | 49,000 | KRW | 51,341,000 | 3,021,502 | — | |||||||||||||||||
| 09/2015 - | ||||||||||||||||||||||||
| BOA | 12/2015 | USD | 304,977 | MXN | 4,705,200 | 8,427,938 | — | |||||||||||||||||
| BOA | 11/2015 | USD | 68,668 | SEK | 580,750 | — | 1,614,187 | |||||||||||||||||
| BOA | 08/2015 | USD | 60,643 | ZAR | 747,520 | 564,797 | 760,606 | |||||||||||||||||
| BOA | 08/2015 | ZAR | 261,330 | USD | 20,508 | 760,693 | — | |||||||||||||||||
| CITNA-B | 01/2016 | BRL | 90,000 | USD | 26,308 | 813,187 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| CITNA-B | 11/2015 | EUR | 43,695 | USD | 49,261 | 863 | 446,252 | |||||||||||||||||
| CITNA-B | 11/2015 | GBP | 3,375 | USD | 5,335 | — | 37,623 | |||||||||||||||||
| CITNA-B | 11/2015 | JPY | 5,012,000 | USD | 40,918 | 133,817 | — | |||||||||||||||||
| CITNA-B | 12/2015 | MXN | 318,100 | USD | 20,425 | — | 419,148 | |||||||||||||||||
| CITNA-B | 08/2015 | PLN | 150,000 | USD | 40,121 | — | 286,531 | |||||||||||||||||
| CITNA-B | 07/2015 | RON | 133,510 | USD | 35,205 | — | 1,943,476 | |||||||||||||||||
| CITNA-B | 08/2015 | TRY | 291,600 | USD | 107,539 | — | 495,236 | |||||||||||||||||
| CITNA-B | 11/2015 | USD | 169,714 | EUR | 150,180 | 1,912,105 | — | |||||||||||||||||
| CITNA-B | 12/2015 | USD | 49,394 | MXN | 769,300 | 1,047,029 | — | |||||||||||||||||
| CITNA-B | 07/2015 | USD | 27,454 | RON | 104,115 | 1,515,579 | — | |||||||||||||||||
| CITNA-B | 11/2015 | USD | 78,075 | SEK | 654,000 | — | 1,071,472 | |||||||||||||||||
| CITNA-B | 11/2015 | USD | 34,801 | SGD | 46,890 | 49,134 | — | |||||||||||||||||
| CITNA-B | 07/2015 | USD | 43,156 | TRY | 107,760 | 3,277,259 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| DEU | 08/2015 | BRL | 505,230 | USD | 160,870 | 1,434,027 | 40,551 | |||||||||||||||||
| DEU | 11/2015 | JPY | 12,435,328 | USD | 101,333 | 522,341 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| DEU | 08/2015 | USD | 258,273 | BRL | 810,620 | 259,338 | 1,270,777 | |||||||||||||||||
| DEU | 11/2015 | USD | 10,734 | EUR | 9,530 | 85,842 | — | |||||||||||||||||
| DEU | 11/2015 | USD | 39,036 | JPY | 4,790,400 | — | 201,219 | |||||||||||||||||
| DEU | 08/2015 | USD | 75,918 | ZAR | 929,800 | 243,792 | — | |||||||||||||||||
| DEU | 08/2015 | ZAR | 334,290 | USD | 27,295 | — | 87,650 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 01/2016 | BRL | 1,910,320 | USD | 596,851 | 6,173,873 | 332,079 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 07/2016 | CNH | 1,905,000 | USD | 300,697 | 2,406,003 | 184,737 | |||||||||||||||||
| GSCO-OT | 11/2015 | EUR | 47,000 | USD | 51,603 | 913,603 | — | |||||||||||||||||
| GSCO-OT | 07/2015 | ILS | 177,190 | USD | 45,699 | 1,254,588 | — | |||||||||||||||||
| GSCO-OT | 11/2015 | JPY | 4,400,000 | USD | 35,597 | 441,465 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 01/2017 | USD | 799,134 | BRL | 2,533,700 | 22,858,416 | 7,251,324 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 07/2016 | USD | 300,944 | CNH | 1,905,000 | — | 1,974,145 | |||||||||||||||||
26 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| GSCO-OT | 11/2015 | USD | 76,677 | EUR | 68,000 | $ | 695,615 | $ | — | |||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 08/2015 | USD | 49,370 | INR | 3,194,000 | — | 540,988 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| GSCO-OT | 11/2015 | USD | 64,581 | KRW | 70,416,600 | 1,832,799 | 274,850 | |||||||||||||||||
| HSBC | 11/2015 | AUD | 12,335 | USD | 9,472 | — | 27,532 | |||||||||||||||||
| HSBC | 11/2015 | DKK | 202,940 | USD | 29,828 | 625,776 | — | |||||||||||||||||
| HSBC | 11/2015 | EUR | 15,160 | USD | 16,959 | 53,547 | 73,614 | |||||||||||||||||
| HSBC | 11/2015 | GBP | 2,935 | USD | 4,486 | 120,615 | — | |||||||||||||||||
| HSBC | 07/2015 | INR | 223,000 | USD | 3,459 | 38,231 | — | |||||||||||||||||
| HSBC | 11/2015 | JPY | 1,318,000 | USD | 10,746 | 49,662 | — | |||||||||||||||||
| HSBC | 09/2015 | USD | 8,090 | CNH | 50,530 | 5,065 | — | |||||||||||||||||
| HSBC | 11/2015 | USD | 38,115 | DKK | 259,325 | — | 799,642 | |||||||||||||||||
| HSBC | 11/2015 | USD | 343,190 | EUR | 307,690 | 1,337,939 | 1,946,531 | |||||||||||||||||
| HSBC | 11/2015 | USD | 8 | GBP | 5 | — | 218 | |||||||||||||||||
| HSBC | 07/2015 | USD | 3,459 | INR | 223,000 | — | 38,231 | |||||||||||||||||
| HSBC | 11/2015 | USD | 203,044 | JPY | 25,247,000 | — | 3,744,976 | |||||||||||||||||
| JPM | 07/2015 | BRL | 512,480 | USD | 165,178 | — | 345,326 | |||||||||||||||||
| JPM | 01/2016 | CNH | 734,110 | USD | 117,082 | 982,005 | 1,335,277 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| JPM | 11/2015 | EUR | 266,305 | USD | 292,953 | 5,032,258 | 424,586 | |||||||||||||||||
| JPM | 11/2015 | GBP | 1,310 | USD | 2,070 | — | 14,021 | |||||||||||||||||
| JPM | 11/2015 | JPY | 6,803,000 | USD | 55,288 | 432,831 | — | |||||||||||||||||
| JPM | 06/2018 | KRW | 134,400,000 | USD | 128,000 | — | 6,777,108 | |||||||||||||||||
| JPM | 12/2015 | MXN | 730,000 | USD | 47,257 | — | 1,380,150 | |||||||||||||||||
| JPM | 08/2015 | MYR | 165,965 | USD | 45,622 | — | 1,613,431 | |||||||||||||||||
| JPM | 07/2015 | RON | 104,115 | USD | 26,458 | — | 520,362 | |||||||||||||||||
| JPM | 07/2015 | TRY | 32,500 | USD | 11,906 | 206,232 | — | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| JPM | 01/2017 | USD | 226,896 | BRL | 712,970 | 6,003,458 | 153,657 | |||||||||||||||||
| JPM | 11/2015 | USD | 3,272 | CHF | 3,090 | — | 52,984 | |||||||||||||||||
| JPM | 01/2016 | USD | 114,691 | CNH | 734,110 | — | 2,036,902 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| JPM | 11/2015 | USD | 90,091 | EUR | 80,190 | 574,048 | 4,313 | |||||||||||||||||
| JPM | 08/2015 | USD | 83,047 | IDR | 1,122,348,000 | — | 97,510 | |||||||||||||||||
| JPM | 07/2015 | USD | 44,986 | ILS | 177,190 | — | 1,967,922 | |||||||||||||||||
| JPM | 11/2015 | USD | 163,081 | JPY | 20,032,000 | — | 997,438 | |||||||||||||||||
| 10/2015 - | ||||||||||||||||||||||||
| JPM | 06/2016 | USD | 154,000 | KRW | 161,911,600 | 9,291,246 | — | |||||||||||||||||
| JPM | 12/2015 | USD | 46,318 | MXN | 721,100 | 1,000,446 | — | |||||||||||||||||
| JPM | 08/2015 | USD | 21,899 | MYR | 79,665 | 774,464 | — | |||||||||||||||||
| JPM | 07/2015 | USD | 15,783 | PHP | 700,000 | 275,112 | — | |||||||||||||||||
| JPM | 07/2015 | USD | 32,508 | RON | 133,510 | — | 753,231 | |||||||||||||||||
| JPM | 08/2015 | USD | 1,004 | THB | 34,000 | — | 970 | |||||||||||||||||
| JPM | 08/2015 | USD | 142,023 | TRY | 378,760 | 2,983,139 | — | |||||||||||||||||
| MSCO | 07/2015 | BRL | 84,840 | USD | 26,807 | 480,626 | — | |||||||||||||||||
| MSCO | 11/2015 | EUR | 19,680 | USD | 22,308 | — | 318,124 | |||||||||||||||||
| MSCO | 11/2015 | GBP | 61,335 | USD | 94,743 | 1,875,443 | 339,858 | |||||||||||||||||
27 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| MSCO | 11/2015 | JPY | 8,034,000 | USD | 65,073 | $ | 730,514 | $ | — | |||||||||||||||
| MSCO | 11/2015 | USD | 191,642 | AUD | 253,000 | — | 2,064,369 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| MSCO | 01/2016 | USD | 143,450 | BRL | 417,930 | 15,292,583 | 47,505 | |||||||||||||||||
| MSCO | 08/2015 | USD | 3,204 | COP | 8,254,000 | 55,162 | — | |||||||||||||||||
| MSCO | 11/2015 | USD | 7,551 | EUR | 6,650 | 131,145 | 10,636 | |||||||||||||||||
| MSCO | 11/2015 | USD | 156,055 | GBP | 102,470 | — | 4,793,460 | |||||||||||||||||
| MSCO | 12/2015 | USD | 282,769 | MXN | 4,368,400 | 8,459,643 | 224,122 | |||||||||||||||||
| MSCO | 11/2015 | USD | 33,490 | NZD | 47,000 | 2,013,057 | — | |||||||||||||||||
| MSCO |
07/2015 | USD | 11,891 | TRY | 32,500 | — | 221,717 | |||||||||||||||||
| NOM | 08/2015 | USD | 43,619 | HUF | 12,416,000 | — | 216,852 | |||||||||||||||||
| RBS | 11/2015 | EUR | 28,000 | USD | 31,905 | — | 618,146 | |||||||||||||||||
| RBS | 11/2015 | USD | 93,971 | EUR | 84,000 | 111,454 | — | |||||||||||||||||
| TDB | 07/2015 | BRL | 688,630 | USD | 216,650 | 4,838,385 | — | |||||||||||||||||
| TDB | 11/2015 | EUR | 1,000 | USD | 1,138 | — | 20,905 | |||||||||||||||||
| 07/2015 - | ||||||||||||||||||||||||
| TDB | 01/2016 | USD | 501,032 | BRL | 1,596,460 | 6,332,685 | 5,379,524 | |||||||||||||||||
| TDB | 11/2015 | USD | 272,912 | EUR | 241,385 | 3,198,951 | — | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 142,788,619 | $ | 101,930,082 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Futures Contracts as of June 30, 2015 | ||||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date |
Number of Contracts |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| Australian Tresaury Bonds, 10 yr. | SFE | Buy | 9/15/15 | 332 | $ | 32,086,293 | $ | 124,895 | ||||||||||||||||
| Euro Bundesobligation | EUX | Sell | 9/8/15 | 320 | 54,226,303 | (647,361) | ||||||||||||||||||
| Euro Buxl, 30 yr. | EUX | Buy | 9/8/15 | 170 | 28,170,921 | 672,567 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Buy | 9/21/15 | 1,841 | 232,282,422 | 1,005,977 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Sell | 9/21/15 | 110 | 13,878,906 | 116,704 | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 9/21/15 | 119 | 18,333,438 | (640,741) | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Sell | 9/21/15 | 6 | 924,375 | (9,202) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 622,839 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Exchange-Traded Option Written at June 30, 2015 | ||||||||||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Euro Bundesobligation Futures, 8/15 Put | EUR | 150.000 | 7/24/2015 | EUR | (132) | $ | 273,874 | $ | (98,597) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Options Written at June 30, 2015 | ||||||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Put | GSG | JPY | 28.000 | 8/18/16 | JPY | (175,000,000) | $ 1,779,392 | $ | (1,581,717) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Put | GSG | JPY | 28.000 | 8/25/16 | JPY | (132,100,000) | 1,194,652 | (1,227,604) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Put1 | GSG | BRL | 3.230 | 2/1/17 | BRL | (121,102,500) | 2,163,683 | (5,576,528) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
28 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Options Written (Continued) | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| BRL Currency Put | JPM | JPY | 29.100 | 9/6/16 | BRL | (225,000,000) | $ | 2,169,911 | $ | (2,591,485) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CAD Currency Put2 | TDB | CAD | 1.280 | 7/22/15 | CAD | (200,000,000) | 734,375 | (96,200) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | BOA | USD | 1.190 | 7/9/15 | EUR | (200,000,000) | 371,280 | (6,600) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call3 | CITNA-B | BRL | 3.949 | 6/2/16 | EUR | (50,000,000) | 2,770,997 | (2,763,131) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | CITNA-B | USD | 1.189 | 7/31/15 | EUR | (200,000,000) | 606,135 | (143,200) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | CITNA-B | INR | 69.780 | 7/23/15 | EUR | (37,500,000) | 1,049,096 | (1,093,667) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | CITNA-B | AUD | 1.480 | 9/17/15 | EUR | (164,000,000) | 3,610,896 | (1,606,763) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | CITNA-B | INR | 73.460 | 4/25/16 | EUR | (37,500,000) | 2,114,394 | (2,399,244) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | GSG | EUR | 1.190 | 7/9/15 | EUR | (200,000,000) | 342,720 | (6,600) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put | GSG | JPY | 135.000 | 9/4/15 | EUR | (150,000,000) | 1,569,847 | (2,888,412) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | GSG | JPY | 142.000 | 9/4/15 | EUR | (100,000,000) | 1,598,912 | (734,447) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call | JPM | EUR | 1.190 | 7/9/15 | EUR | (200,000,000) | 343,434 | (6,600) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| INR Currency Put | BOA | INR | 66.500 | 8/27/15 | INR | (6,650,000,000) | 1,062,900 | (239,400) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| INR Currency Call | BOA | INR | 60.100 | 8/27/15 | INR | (6,010,000,000) | 389,300 | — | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| INR Currency Put | BOA | INR | 65.000 | 7/16/15 | INR | (3,250,000,000) | 704,400 | (39,000) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Call | BOA | JPY | 115.000 | 12/7/15 | JPY | (23,000,000,000) | 3,526,000 | (1,150,000) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Call | GSG | JPY | 115.000 | 12/7/15 | JPY | (34,500,000,000) | 5,268,000 | (1,725,000) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN Currency Put | CITNA-B | MXN | 17.690 | 3/16/16 | MXN | (2,358,670,000) | 3,250,005 | (1,853,915) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN Currency Put4 | CITNA-B | MXN | 15.690 | 2/2/17 | MXN | (392,250,000) | 912,500 | (1,697,266) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN Currency Put | JPM | MXN | 17.657 | 3/16/16 | MXN | (1,177,130,000) | 1,568,035 | (942,881) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Call | BOA | NOK | 7.700 | 7/7/15 | NOK | (770,000,000) | 603,700 | (299,530) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Put | BOA | NOK | 8.230 | 7/7/15 | NOK | (823,000,000) | 850,600 | (46,088) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| TRY/ILS/MXN Basket Call | CITNA-B | USD | 1.000 | 8/31/15 | USD | (150,000,000) | 1,875,000 | (1,732,050) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| ZAR Currency Put | GSG | ZAR | 14.900 | 4/19/16 | ZAR | (745,000,000) | 1,635,000 | (1,000,535) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Options Written | $ | 44,065,164 | $ | (33,447,863) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
1. Knock-out option expires worthless if at any time spot rates are less than or equal to 2.56 BRL per 1 USD.
2. Knock-in option expires worthless if at any time spot rates are greater than or equal to 1.32 CAD per 1 USD.
3. Knock-out option expires worthless if at any time spot rates are equal to or less than 3.324 BRL per 1 EUR.
4. Knock-out option expires worthless if at any time spot rates are equal to or less than 14.4 MXN per 1 USD.
|
|
||||||||||||||||||||||||
| Centrally Cleared Credit Default Swaps at June 30, 2015 | ||||||||||||||||||||||||
| Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/(Paid) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000% | 6/20/20 | USD | 15,620 | $ | (1,441,726) | $ | 1,500,153 | |||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000 | 6/20/20 | USD | 15,620 | (1,477,826) | 1,500,153 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000 | 6/20/20 | USD | 15,620 | (1,500,388) | 1,500,153 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000 | 6/20/20 | USD | 15,620 | (1,482,511) | 1,500,153 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000 | 6/20/20 | USD | 15,620 | (1,516,008) | 1,500,153 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CDX.EM.23 | Buy | 1.000 | 6/20/20 | USD | 15,620 | (1,485,635) | 1,500,153 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total of Cleared Credit Default Swaps | $ | (8,904,094) | $ | 9,000,918 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps at June 30, 2015 | ||||||||||||||||||||||||||||
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional (000’s) |
Premiums Received/(Paid) |
Value | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Alpha Bank AE | BAC | Buy | 5.000% | 3/20/17 | EUR 5,335 | $ | (626,176) | $ | 1,365,583 | |||||||||||||||||||
29 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps (Continued) | ||||||||||||||||||||||||||||||
| 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 | $ | 171,759 | $ | 257,549 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 4,405 | 171,759 | 257,549 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Santander SA | BAC | Sell | 3.000 | 9/20/17 | EUR | 20,000 | (72,359) | 1,077,848 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Santander SA | BOA | Sell | 3.000 | 12/20/17 | EUR | 5,000 | (106,178) | 293,187 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Santander SA | UBS | Sell | 3.000 | 9/20/17 | EUR | 8,850 | (31,905) | 476,948 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BOA | Buy | 1.000 | 9/20/20 | USD | 16,407 | (1,177,687) | 1,342,755 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD | 3,090 | 1,097,122 | (1,824,868) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD | 3,090 | 1,174,372 | (1,824,868) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Hellenic Republic | GSG | Sell | 1.000 | 12/20/15 | USD | 10,000 | 3,851,111 | (5,475,204) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Hellenic Republic | GSG | Sell | 1.000 | 3/20/20 | USD | 25,000 | 9,752,778 | (14,764,304) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Hellenic Republic Government B | GSG | Sell | 1.000 | 9/20/15 | USD | 10,000 | 3,700,556 | (4,437,352) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| ICICI Bank Ltd. | GSG | Sell | 1.000 | 12/20/19 | USD | 10,000 | 359,971 | (306,426) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Kingdom of Spain | GSG | Buy | 1.000 | 6/20/20 | USD | 50,000 | 70,615 | 432,193 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Kingdom of Spain | GSG | Buy | 1.000 | 6/20/20 | USD | 50,000 | 47,068 | 432,193 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| People’s Republic of China | GSG | Sell | 1.000 | 6/20/20 | USD | 75,000 | (519,283) | 124,532 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Indonesia | BNP | Buy | 1.000 | 6/20/20 | USD | 16,450 | (609,257) | 589,951 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Turkey | GSG | Buy | 1.000 | 3/20/20 | USD | 46,935 | (2,257,491) | 2,578,340 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Turkey | HSBC | Buy | 1.000 | 3/20/20 | USD | 19,795 | (934,427) | 1,087,424 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| State Bank of India | BNP | Sell | 1.000 | 9/20/19 | USD | 13,035 | 537,811 | (282,752) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Telefonica SA | UBS | Sell | 1.000 | 9/20/17 | EUR | 5,000 | 627,078 | 64,900 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Total of Over-the-Counter Credit Default Swaps | $ | 15,227,237 | $ | (18,534,822) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
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 |
|
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 |
$75,000,000 | $ | — | AA- | ||||||||||||||||
| Non-Investment Grade Sovereign Debt |
$51,180,000 | $ | — | CCC- | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total USD |
$149,215,000 | $ | — | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total EUR |
47,660,000 | EUR | — | EUR | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
*The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
30 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
**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 Swaps at June 30, 2015 | ||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount Currency Received (000’s) |
Notional Amount Currency Delivered (000’s) |
Value | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| BAC |
|
Pay |
|
|
Month USD BBA LIBOR |
|
|
7.150% |
|
|
1/28/19 |
|
INR |
1,567,863 |
|
|
USD 25,000 |
|
$ |
875,816 |
| |||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.300 | 4/13/18 | INR | 1,151,625 | USD 18,500 | (506,711) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.330 | 4/15/18 | INR | 1,153,475 | USD 18,500 | (468,650) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.820 | 5/13/18 | INR | 1,181,225 | USD 18,500 | 136,180 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.520 | 4/28/18 | INR | 2,379,380 | USD 37,500 | (179,763) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.670 | 5/27/18 | INR | 2,385,000 | USD 37,500 | (36,404) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.330 | 3/31/20 | INR | 855,100 | USD 13,662 | (336,900) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 6.250 | 3/25/20 | INR | 851,861 | USD 13,674 | (432,941) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| BOA | Pay | LIBOR | 7.100 | 1/21/19 | INR | 921,795 | USD 15,025 | (23,329) | ||||||||||||||||||||
31 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Currency Swaps (Continued) | ||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount Currency Received (000’s) |
Notional Amount Currency Delivered (000’s) |
Value | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| GSG | Pay | LIBOR | 7.210% | 1/13/19 | INR | 935,000 | USD | 15,039 | $ | 345,163 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| GSG | Pay | LIBOR | 6.300 | 4/9/18 | INR | 2,336,250 | USD | 37,500 | (726,341) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six- | ||||||||||||||||||||||||||||
| Month | ||||||||||||||||||||||||||||
| USD | ||||||||||||||||||||||||||||
| BBA | ||||||||||||||||||||||||||||
| GSG | Pay | LIBOR | 7.100 | 1/15/19 | INR $ | 931,750 | USD $ | 15,045 | 223,210 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total of Over-the-Counter Currency Swaps | $ | (1,130,670) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Centrally Cleared Interest Rate Swaps at June 30, 2015 | ||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BAC | Receive | BBA LIBOR | 2.234% | 5/31/22 | USD | 70,000 | $ | (194,608) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BAC | Receive | BBA LIBOR | 2.376 | 2/15/41 | USD | 25,000 | 2,445,708 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BAC | Pay | BBA LIBOR | 2.702 | 6/18/24 | USD | 16,440 | (472,288) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BOA | Receive | BBA LIBOR | 2.222 | 5/31/22 | USD | 158,700 | (317,052) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month EUR | ||||||||||||||||||||||||
| BOA | Receive | EURIBOR | 1.813 | 6/8/45 | EUR | 76,200 | 1,081,275 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month EUR | ||||||||||||||||||||||||
| BOA | Pay | EURIBOR | 2.078 | 6/8/35 | EUR | 100,000 | (1,256,949) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BOA | Receive | BBA LIBOR | 2.595 | 8/14/24 | USD | 28,000 | (766,413) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month AUD | ||||||||||||||||||||||||
| BOA | Receive | BBR BBSW | 2.315 | 6/30/18 | AUD | 251,700 | 30,907 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| BOA | Pay | BBA LIBOR | 1.256 | 7/6/18 | USD | 189,900 | (20,699) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 2.370 | 6/5/20 | PLN | 78,500 | (134,088) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month HUF | ||||||||||||||||||||||||
| GSG | Receive | BUBOR | 2.290 | 6/4/20 | HUF | 5,850,000 | 141,589 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month SGD | ||||||||||||||||||||||||
| GSG | Pay | SOR VWAP | 2.780 | 3/4/25 | SGD | 157,000 | (3,637,476) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month SGD | ||||||||||||||||||||||||
| GSG | Pay | SOR VWAP | 2.775 | 3/4/25 | SGD | 157,000 | (3,661,493) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month COP | ||||||||||||||||||||||||
| GSG | Pay | IBR OIS | 1.510 | 1/20/20 | SGD | 70,000 | (1,129,214) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| GSG | Pay | BBA LIBOR | 2.695 | 6/19/24 | USD | 16,320 | (458,396) | |||||||||||||||||
32 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Centrally Cleared Interest Rate Swaps (Continued) | ||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 2.396% | 10/29/24 | USD | 6,660 | $ | (23,558) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||
| GSG | Pay | BBR FRA | 4.315 | 6/2/25 | NZD | 170,000 | (673,900) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||
| GSG | Pay | BBR FRA | 4.390 | 5/11/25 | NZD | 40,000 | (73,476) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month HUF | ||||||||||||||||||||||||
| JPM | Pay | BUBOR | 2.290 | 6/5/20 | HUF | 5,750,000 | 143,570 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||
| JPM | Receive | WIBOR WIBO | 2.425 | 6/8/20 | PLN | 78,500 | (82,727) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||
| JPM | Pay | BBR FRA | 4.290 | 5/8/25 | NZD | 140,000 | (596,903) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||
| JPM | Receive | BBA LIBOR | 2.399 | 10/29/24 | USD | 6,190 | (23,505) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month AUD | ||||||||||||||||||||||||
| JPM | Receive | BBR BBSW | 3.398 | 6/29/25 | AUD | 37,250 | (113,104) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total of Centrally Cleared Interest Rate Swaps | $ | (9,792,800) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps at June 30, 2015 | ||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Pay | BZDI | 13.440% | 1/2/17 | BRL | 130,000 | $ | (227,722) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Pay | BZDI | 13.960 | 1/2/17 | BRL | 137,000 | 18,460 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Receive | BZDI | 12.550 | 1/4/21 | BRL | 56,500 | 67,975 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Receive | BZDI | 12.320 | 1/4/21 | BRL | 55,000 | 183,922 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month INR | ||||||||||||||||||||||||
| MIBOR OIS | ||||||||||||||||||||||||
| BOA | Receive | Compound | 7.000 | 5/12/18 | INR | 1,200,000 | 144,582 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||
| BOA | Pay | KLIBOR | 4.510 | 6/17/24 | MYR | 54,600 | 217,434 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| IBR OIS | ||||||||||||||||||||||||
| CITNA-B | Pay | Compound | 4.680 | 5/11/18 | COP | 58,400,000 | (315,063) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||
| CITNA-B | Pay | TNA | 3.750 | 5/14/18 | CLP | 5,000,000 | 34,694 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Pay | BZDI | 13.145 | 1/2/17 | BRL | 153,500 | (440,994) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Receive | BZDI | 12.340 | 1/4/21 | BRL | 52,500 | 173,571 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Pay | BZDI | 13.255 | 1/2/17 | BRL | 121,500 | (290,800) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||
| GSG | Pay | TNA | 3.675 | 5/11/18 | CLP | 16,000,000 | 43,962 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| One-Time CLP | ||||||||||||||||||||||||
| GSG | Receive | TNA | 3.170 | 5/30/16 | CLP | 47,500,000 | (75,545) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| One-Time CLP | ||||||||||||||||||||||||
| GSG | Receive | TNA | 3.195 | 5/27/16 | CLP | 15,500,000 | (30,064) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||
| GSG | Pay | TNA | 4.170 | 5/27/20 | CLP | 3,250,000 | 42,738 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||
| GSG | Pay | TNA | 4.107 | 5/28/20 | CLP | 10,000,000 | 87,811 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 1.860 | 5/20/20 | PLN | 200,000 | (1,581,309) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month THB | ||||||||||||||||||||||||
| GSG | Pay | THBFIX | 1.875 | 5/20/18 | THB | 4,500,000 | 531,970 | |||||||||||||||||
33 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps (Continued) | ||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month THB | ||||||||||||||||||||||||
| GSG | Pay | THBFIX | 1.975% | 6/15/18 | THB | 2,250,000 | $ | 380,473 | ||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||
| GSG | Pay | KLIBOR | 4.410 | 4/15/25 | MYR | 240,000 | (1,127,896) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month SGD SOR | ||||||||||||||||||||||||
| GSG | Pay | VWAP | 3.430 | 9/16/24 | SGD | 71,000 | (101,933) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month PLN | ||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 1.920 | 5/11/17 | PLN | 1,850,000 | (672,096) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Pay | MXN TIIE BANXICO | 4.720 | 6/22/17 | MXN | 2,000,000 | 88,683 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month HKD | ||||||||||||||||||||||||
| GSG | Receive | HIBOR HKAB | 3.230 | 7/24/24 | HKD | 420,000 | (1,118,259) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Six-Month SGD SOR | ||||||||||||||||||||||||
| GSG | Pay | VWAP | 3.185 | 9/2/24 | SGD | 70,000 | (623,304) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month HKD | ||||||||||||||||||||||||
| GSG | Receive | HIBOR HKAB | 3.230 | 9/12/24 | HKD | 425,000 | (1,087,683) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| GSG | Pay | IBR OIS | 4.380 | 3/5/18 | COP | 89,000,000 | (629,386) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Pay | MXN TIIE BANXICO | 6.440 | 6/12/25 | MXN | 240,000 | 79,326 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Receive | MXN TIIE BANXICO | 5.440 | 6/18/20 | MXN | 850,000 | (160,224) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||
| GSG | Receive | KLIBOR | 3.670 | 6/26/17 | MYR | 390,000 | (56,750) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| GSG | Receive | One-Time CLP TNA | 3.240 | 4/17/16 | CLP | 65,000,000 | (180,934) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||
| GSG | Pay | KLIBOR BNM | 4.515 | 3/12/25 | MYR | 142,500 | (507,930) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||
| GSG | Pay | KLIBOR BNM | 4.440 | 3/16/25 | MYR | 120,000 | (518,272) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| HSBC | Receive | MXN TIIE BANXICO | 5.180 | 4/13/20 | MXN | 382,000 | 128,173 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month CNY | ||||||||||||||||||||||||
| JPM | Receive | CNREPOFIX=CFXS | 2.630 | 6/26/20 | CNY | 165,000 | 287,903 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 4.410 | 2/9/18 | COP | 87,000,000 | (566,751) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 5.790 | 2/10/25 | COP | 32,000,000 | (778,069) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 4.380 | 2/26/18 | COP | 45,000,000 | (320,998) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month KRW | ||||||||||||||||||||||||
| JPM | Receive | CD KSDA | 3.325 | 6/24/29 | KRW | 107,000,000 | (2,301,195) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month KRW | ||||||||||||||||||||||||
| JPM | Pay | CD KSDA | 3.490 | 6/24/34 | KRW | 57,700,000 | 2,809,143 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 6.090 | 10/29/24 | COP | 15,470,000 | (206,814) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| JPM | Receive | MXN TIIE BANXICO | 5.230 | 4/7/20 | MXN | 320,000 | 54,316 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| JPM | Pay | BZDI | 13.340 | 1/2/17 | BRL | 158,750 | (343,467) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| JPM | Pay | BZDI | 12.575 | 1/2/19 | BRL | 86,250 | (226,046) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| JPM | Receive | BZDI | 12.840 | 1/2/18 | BRL | 216,625 | 536,400 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| JPM | Receive | MXN TIIE BANXICO | 5.185 | 4/9/20 | MXN | 350,000 | 111,107 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month KRW | ||||||||||||||||||||||||
| JPM | Receive | CD KSDA | 3.080 | 6/10/18 | KRW | 132,000,000 | (2,757,359) | |||||||||||||||||
34 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps (Continued) | ||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month ILS | ||||||||||||||||||||||||
| JPM | Pay | TELEBOR01 | 2.920% | 5/15/25 | ILS | 85,000 | $ | (730,311) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||
| MOS-A | Pay | IBR OIS | 6.090 | 10/29/24 | COP | 15,940,000 | (213,097) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total of Over-the-Counter Interest Rate Swaps | $ | (12,167,628) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Written at June 30, 2015 | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Buy/Sell Protection |
Reference Asset |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| iTraxx Europe | ||||||||||||||||||||||||||||||||
| Credit Default | Crossover | |||||||||||||||||||||||||||||||
| Swap maturing | Series 23 | |||||||||||||||||||||||||||||||
| 6/20/20 | JPM | Sell | Version 1 | 3.500% | 8/19/15 | EUR 47,200 | $ | 457,228 | $ | (728,553) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| iTraxx Europe | ||||||||||||||||||||||||||||||||
| Credit Default | Crossover | |||||||||||||||||||||||||||||||
| Swap maturing | Series 23 | |||||||||||||||||||||||||||||||
| 6/20/20 | JPM | Sell | Version 1 | 4.500 | 9/16/15 | EUR 125,000 | 1,003,545 | (994,864) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default | ||||||||||||||||||||||||||||||||
| Swap maturing | ||||||||||||||||||||||||||||||||
| 6/20/20 | BAC | Sell | CDX.NA.HY.24 | 98.500 | 9/16/15 | USD 100,000 | 465,300 | (361,350) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Credit Default Swaptions Written | $ | 1,926,073 | $ | (2,084,767) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written at June 30, 2015 | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | JPY BBA | |||||||||||||||||||||||||||||||
| 11/10/35 Call | BAC | Receive | LIBOR | 1.445% | 11/6/15 | JPY | 5,000,000 | $ | 1,133,244 | $ | (1,643,443) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | JPY BBA | |||||||||||||||||||||||||||||||
| 11/10/35 Call | BAC | Pay | LIBOR | 1.445 | 11/6/15 | JPY | 5,000,000 | 1,133,243 | (530,133) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 11/18/25 Call | BAC | Pay | EURIBOR | 2.175 | 11/16/15 | EUR | 200,000 | 1,087,928 | (969,260) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 9/8/35 Call | BAC | Pay | EURIBOR | 2.250 | 9/4/15 | EUR | 27,895 | 418,562 | (268,184) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/8/46 Call | BOA | Pay | EURIBOR | 1.745 | 6/6/16 | EUR | 50,000 | 4,089,725 | (4,100,336) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/8/46 Call | BOA | Pay | EURIBOR | 1.646 | 6/6/16 | EUR | 35,000 | 2,912,166 | (3,266,320) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/2/18 Call | BOA | Pay | BZDI | 12.900 | 1/4/16 | BRL | 150,000 | 313,868 | (313,596) | |||||||||||||||||||||||
35 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written (Continued) | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Three- | |||||||||||||||||||||||||||||||
| maturing | Month USD | |||||||||||||||||||||||||||||||
| 12/21/45 Call | BOA | Pay | BBA LIBOR | 3.193% | 12/17/15 | USD | 150,000 | $ | 4,000,000 | $ | (4,772,297) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 9/17/25 Call | BOA | Receive | EURIBOR | 1.210 | 9/15/15 | EUR | 251,000 | 4,276,330 | (4,257,344) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | JPY BBA | |||||||||||||||||||||||||||||||
| 12/14/35 Call | BOA | Pay | LIBOR | 1.613 | 12/10/15 | JPY | 5,000,000 | 444,263 | (307,360) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/8/46 Call | BOA | Receive | EURIBOR | 1.745 | 6/6/16 | EUR | 50,000 | 4,089,725 | (4,134,832) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/8/46 Call | BOA | Receive | EURIBOR | 1.646 | 6/6/16 | EUR | 35,000 | 2,912,166 | (2,377,920) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/2/17 Call | BOA | Pay | BZDI | 14.320 | 1/4/16 | BRL | 125,000 | 86,488 | (139,236) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Three- | |||||||||||||||||||||||||||||||
| maturing | Month CAD | |||||||||||||||||||||||||||||||
| 7/13/20 Call | BOA | Pay | BA CDOR | 2.045 | 7/13/15 | CAD | 250,000 | 712,400 | (76) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/2/17 Call | BOA | Receive | BZDI | 13.020 | 7/1/15 | BRL | 250,000 | 372,500 | — | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/2/19 Call | BOA | Pay | BZDI | 14.750 | 1/4/16 | BRL | 125,000 | 140,028 | (111,270) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/4/21 Call | BOA | Pay | BZDI | 12.580 | 1/4/16 | BRL | 112,500 | 215,870 | (637,920) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Three- | |||||||||||||||||||||||||||||||
| maturing | Month KRW | |||||||||||||||||||||||||||||||
| 4/30/24 Call | GSG | Pay | CD KSDA | 4.530 | 4/29/19 | KRW | 100,000,000 | 579,626 | (97,354) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
MXN TIIE | |||||||||||||||||||||||||||||||
| 11/7/25 Call | GSG | Pay | BANXICO | 6.510 | 11/19/15 | MXN | 750,000 | 1,929,118 | (1,168,011) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap | Six-Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/7/47 Call | GSG | Receive | EURIBOR | 1.810 | 6/5/17 | EUR | 100,000 | 5,753,820 | (3,276,069) | |||||||||||||||||||||||
36 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written (Continued) | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | USD BBA | |||||||||||||||||||||||||||||||
| 9/30/39 Call | GSG | Pay | LIBOR | 4.000% | 9/26/16 | USD | 175,000 | $ | 6,483,750 | $ | (3,245,513) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
MXN TIIE | |||||||||||||||||||||||||||||||
| 11/7/25 Call | GSG | Receive | BANXICO | 6.510 | 11/19/15 | MXN | 750,000 | 1,929,119 | (712,658) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | USD BBA | |||||||||||||||||||||||||||||||
| 9/8/35 Call | GSG | Pay | LIBOR | 3.620 | 9/3/15 | USD | 55,867 | 217,880 | (173,722) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Six- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 6/7/47 Call | GSG | Pay | EURIBOR | 1.810 | 6/5/17 | EUR | 100,000 | 5,753,820 | (4,005,911) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | KRW CD | |||||||||||||||||||||||||||||||
| 2/12/29 Call | JPM | Pay | KSDA | 4.610 | 2/11/19 | KRW | 100,000,000 | 1,026,886 | (157,400) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
||||||||||||||||||||||||||||||||
| 1/2/18 Call | JPM | Pay | BZDI | 12.900 | 1/4/16 | BRL | 150,000 | 313,868 | (313,595) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | ||||||||||||||||||||||||||||||||
| Swap maturing |
MXN TIIE | |||||||||||||||||||||||||||||||
| 11/19/20 Call | JPM | Pay | BANXICO | 5.950 | 11/25/15 | MXN | 740,000 | 799,263 | (295,418) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Six- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 3/1/26 Call | JPM | Pay | EURIBOR | 2.200 | 2/26/16 | EUR | 100,000 | — | (744,586) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | AUD BBR | |||||||||||||||||||||||||||||||
| 7/24/18 Call | JPM | Receive | BBSW | 2.253 | 7/23/15 | AUD | 230,000 | 638,683 | (233,238) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Six- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | EUR | |||||||||||||||||||||||||||||||
| 9/8/35 Call | JPM | Pay | EURIBOR | 2.070 | 9/4/15 | EUR | 100,000 | 2,188,708 | (1,818,119) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | USD BBA | |||||||||||||||||||||||||||||||
| 8/11/25 Call | JPM | Receive | LIBOR | 2.118 | 8/7/15 | USD | 125,000 | 887,500 | (148,676) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | USD BBA | |||||||||||||||||||||||||||||||
| 11/18/25 Call | BAC | Pay | LIBOR | 3.635 | 11/16/15 | USD | 200,000 | 1,009,900 | (847,202) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate | Three- | |||||||||||||||||||||||||||||||
| Swap | Month | |||||||||||||||||||||||||||||||
| maturing | USD BBA | |||||||||||||||||||||||||||||||
| 8/5/20 Call | UBS | Pay | LIBOR | 2.020 | 8/3/15 | USD | 350,000 | 1,662,500 | (741,069) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Interest Rate Swaptions Written | $ | 59,512,947 | $ | (45,808,068) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
37 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Glossary: | ||
| Counterparty Abbreviations | ||
| BAC | Barclays Bank plc | |
| BNP | BNP Paribas | |
| BOA | Bank of America NA | |
| CITNA-B | Citibank NA | |
| DEU | Deutsche Bank AG | |
| 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. | |
| RBS | Royal Bank of Scotland plc (The) | |
| 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 | |
| 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 | |
| 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 | |
38 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| Definitions (Continued) | ||
| BANXICO | Banco de Mexico | |
| BBA LIBOR | British Bankers’ Association London - Interbank Offered Rate | |
| BBR FRA | Bank Bill Forward Rate Agreement | |
| BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
| BNM | Bank Negara Malaysia | |
| BUBOR | Budapest Interbank Offered Rate | |
| BZDI | Brazil Interbank Deposit Rate | |
| CD | Certificate of Deposit | |
| CDX.EM.23 | Markit CDX Emerging Markets Index | |
| CDX.NA.HY.24 | Markit CDX North American High Yield | |
| CFSX | Repurchase Fixing Rates | |
| CNREPOFIS | Repurchase Fixing Rates | |
| EURIBOR | Euro Interbank Offered Rate | |
| FRO | Floating Rate Option EUR-ISDA - EURIBOR Swap Rate | |
| HIBOR | Hong Kong Interbank Offered Rate | |
| HKAB | Hong Kong Association of Banks | |
| IBR | Indicador Bancario de Referencia | |
| iTraxx Europe | ||
| Crossover Series | Credit Default Swap Trading Index for a Specific Basket of Securities | |
| 23 Version 1 | ||
| 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 | |
| THBFIX | Thai Baht Interest Rate Fixing | |
| TIIE | Interbank Equilibrium Interest Rate | |
| TNA | Non-Deliverable CLP Camara | |
| WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate | |
|
Exchange Abbreviations | ||
| CBT | Chicago Board of Trade | |
| EUX | European Stock Exchange | |
| SFE | Sydney Futures Exchange | |
39 OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS June 30, 2015 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.
Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
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
40 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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, 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.
41 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
42 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 June 30, 2015 based on valuation input level:
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||||||
|
|
||||||||||||||||||||
| Assets Table | ||||||||||||||||||||
| Investments, at Value: | ||||||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 78,864,414 | $ | — | $ | 78,864,414 | ||||||||||||
| Mortgage-Backed Obligations | — | 68,247,639 | — | 68,247,639 | ||||||||||||||||
| Foreign Government Obligations | — | 3,691,204,170 | — | 3,691,204,170 | ||||||||||||||||
| Corporate Bonds and Notes | — | 2,661,072,245 | 15,524,309 | 2,676,596,554 | ||||||||||||||||
| Common Stock | — | — | — | — | ||||||||||||||||
| Structured Securities | — | 18,460,887 | 1,836,384 | 20,297,271 | ||||||||||||||||
| Short-Term Notes | — | 194,998,108 | — | 194,998,108 | ||||||||||||||||
| Exchange-Traded Option Purchased | 3,879,678 | — | — | 3,879,678 | ||||||||||||||||
| Over-the-Counter Options | ||||||||||||||||||||
| Purchased | — | 18,968,618 | — | 18,968,618 | ||||||||||||||||
| Over-the-Counter Credit Default | ||||||||||||||||||||
| Swaptions Purchased | — | 1,805,158 | — | 1,805,158 | ||||||||||||||||
| Over-the-Counter Interest Rate | ||||||||||||||||||||
| Swaptions Purchased | — | 40,589,576 | — | 40,589,576 | ||||||||||||||||
| Investment Company | 58,184,943 | — | — | 58,184,943 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Investments, at Value | 62,064,621 | 6,774,210,815 | 17,360,693 | 6,853,636,129 | ||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||||||
| Swaps, at value | — | 17,983,964 | — | 17,983,964 | ||||||||||||||||
| Centrally cleared swaps, at value | — | 12,843,967 | — | 12,843,967 | ||||||||||||||||
| Futures Contracts | 1,920,143 | — | — | 1,920,143 | ||||||||||||||||
| Forward currency exchange contracts | — | 142,788,619 | — | 142,788,619 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Assets | $ | 63,984,764 | $ | 6,947,827,365 | $ | 17,360,693 | $ | 7,029,172,822 | ||||||||||||
|
|
|
|||||||||||||||||||
43 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||||||
|
|
||||||||||||||||||||
| Liabilities Table | ||||||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||||||
| Swaps, at value | $ | — | $ | (49,817,084) | $ | — | $ | (49,817,084) | ||||||||||||
| Centrally cleared swaps, at value | — | (13,635,849) | — | (13,635,849) | ||||||||||||||||
| Options written, at value | (98,597) | (33,447,863) | — | (33,546,460) | ||||||||||||||||
| Futures Contracts | (1,297,304) | — | — | (1,297,304) | ||||||||||||||||
| Forward currency exchange contracts | — | (101,930,082) | — | (101,930,082) | ||||||||||||||||
| Swaptions written, at value | — | (47,892,835) | — | (47,892,835) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Liabilities | $ | (1,395,901) | $ | (246,723,713) | $ | — | $ | (248,119,614) | ||||||||||||
|
|
|
|||||||||||||||||||
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 Level 2* |
Transfers out of Level 2** |
Transfers into Level 3** |
Transfers out of Level 3* |
|||||||||||||
|
|
||||||||||||||||
| Assets Table | ||||||||||||||||
| Investments, at Value: | ||||||||||||||||
| Asset-Backed Securities |
$ 7,318,905 | $ – | $ – | $ (7,318,905) | ||||||||||||
| Non-Convertible Corporate Bonds and Notes |
– | (255,820) | 255,820 | – | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ 7,318,905 | $ (255,820) | $ 255,820 | $ (7,318,905) | ||||||||||||
|
|
|
|||||||||||||||
*Transferred from Level 3 to Level 2 due to the availability of market data for this security.
**Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities.
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.
44 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued)
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying 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.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 30, 2015, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
| When-Issued or Delayed Delivery Basis Transactions |
||||
|
|
||||
| Purchased securities | $6,097,299 | |||
| Sold securities | 6,997,969 | |||
Restricted Securities. As of June 30, 2015, 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.
45 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued)
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment.
Information concerning securities not accruing interest as of June 30, 2015 is as follows:
| Cost | $19,100,628 | |||
| Market Value | $0 | |||
| Market Value as % of Net Assets | 0% |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
5. 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”)
46 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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 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
47 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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 to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended June 30, 2015, the Fund had daily average contract amounts on forward contracts to buy and sell of $6,310,660,784 and $9,299,034,905, 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
48 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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 purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the period ended June 30, 2015, the Fund had an ending monthly average market value of $58,836,680 and $414,455,685 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
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
49 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the period ended June 30, 2015, the Fund had an ending monthly average market value of $24,657,990 and $40,872,098 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.
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 June 30, 2015, the Fund had an ending monthly average market value of $14,591,103 and $59,688,457 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
50 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
Written option activity for the period ended June 30, 2015 was as follows:
| Options | ||||||||
| Number of |
Amount of Premiums |
|||||||
|
|
||||||||
| Options outstanding as of September 30, 2014 | 1,871,503,834,143 | $ 75,535,809 | ||||||
| Options written | 2,281,401,454,632 | 369,616,318 | ||||||
| Options closed or expired | (539,275,892,000) | (31,787,780) | ||||||
| Options exercised | (3,531,611,144,143) | (369,025,309) | ||||||
|
|
|
|||||||
| Options outstanding as of June 30, 2015 | 82,018,252,632 | $ 44,339,038 | ||||||
|
|
|
|||||||
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 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”).
51 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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 June 30, 2015, the Fund had ending monthly average notional amounts of $109,341,763 and $182,685,130 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 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.
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 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 June 30, 2015, the Fund had ending monthly average notional amounts of $175,392,144 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 June 30, 2015, the Fund had ending monthly average notional amounts of $1,134,832,220 and $1,444,634,756 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 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
53 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
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 purchased swaptions which gives it the option 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 purchased 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 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.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an currency swap contracts with the obligation to receive an interest rate on the dollar notional amount and pay 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.
During the period ended June 30, 2015, the Fund had an ending monthly average market value of $47,576,410 and $54,563,355 on purchased and written swaptions, respectively.
54 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
Written swaption activity for the period ended June 30, 2015 was as follows:
| Notional Amount | Amount of Premiums |
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| Swaptions outstanding as of September 30, 2014 |
210,982,310,000 | $ 38,363,215 | ||||||
| Swaptions written | 89,775,102,449 | 201,484,887 | ||||||
| Swaptions closed or expired | (10,711,900,000) | (14,534,366) | ||||||
| Swaptions exercised | (68,576,051,000) | (163,874,716) | ||||||
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|
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| Swaptions outstanding as of June 30, 2015 |
221,469,461,449 | $ 61,439,020 | ||||||
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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 June 30, 2015, the Fund has required certain counterparties to post collateral of $63,436,756.
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.
55 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are 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.
56 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 June 30, 2015 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 | $ | 7,254,523,502 | ||
| Federal tax cost of other investments | (351,650,351) | |||
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| Total federal tax cost | $ | 6,902,873,151 | ||
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| Gross unrealized appreciation | $ | 181,846,007 | ||
| Gross unrealized depreciation | (585,280,085) | |||
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| Net unrealized depreciation | $ | (403,434,078) | ||
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57 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 6/30/2015, 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: | 8/10/2015 | |
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: | 8/10/2015 | |
| By: | /s/ Brian W. Wixted | |
| Brian W. Wixted | ||
| Principal Financial Officer | ||
| Date: | 8/10/2015 | |
| This ‘N-Q’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| Filed on / Effective on: | 8/28/15 | |||
| For Period End: | 6/30/15 | N-PX | ||
| 9/30/14 | 24F-2NT, N-CSR, NSAR-B | |||
| List all Filings | ||||