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As Of Filer Filing For·On·As Docs:Size Issuer Agent 8/29/16 Oppenheimer Int’l Bond Fund N-Q 6/30/16 2:1.6M 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 1.14M 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)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 6/30/2016
Item 1. Schedule of Investments.
CONSOLIDATED STATEMENT OF INVESTMENTS June 30, 2016 Unaudited
| Principal Amount | Value | |||||||||||||||
| Asset-Backed Securities—1.2% | ||||||||||||||||
| Avoca CLO VIII Ltd., Series VIII-X, Cl. E, 4.112%, 10/15/231 |
EUR | 12,700,000 | $ | 12,088,527 | ||||||||||||
| Axius Europe CLO SA, Series 2007-1X, Cl. E, 4.356%, 11/15/231 |
EUR | 7,931,617 | 8,075,498 | |||||||||||||
| Bancaja Fondo de Titulizacion, Series 10, Cl. A2, 0.028%, 5/22/501 |
EUR | 5,616,827 | 6,024,235 | |||||||||||||
| Cadogan Square CLO IV BV, Series 4X, Cl. D, 1.485%, 7/24/231 |
EUR | 9,500,000 | 9,926,440 | |||||||||||||
| Halcyon Structured Asset Management European CLO BV, Series 2006-IIX, Cl. E, 3.785%, 1/25/231 | EUR | 12,082,113 | 10,848,473 | |||||||||||||
| Highlander Euro CDO II Cayman Ltd., Series 2006-2CX, Cl. E, 3.331%, 12/14/221 |
EUR | 11,856,645 | 10,860,804 | |||||||||||||
| Stichting Halcyon Structured Asset Management European, Series 2007-IX, Cl. E, 3.735%, 7/24/231 | EUR | 3,303,497 | 3,210,160 | |||||||||||||
| TDA Ibercaja Fondo de Titulizacion de Activos, Series 6, Cl. A, 0.042%, 11/25/511 |
EUR | 3,426,212 | 3,543,511 | |||||||||||||
| Theseus European CLO SA, Series 2006-1X, Cl. E, 3.872%, 8/27/221 |
EUR | 10,000,000 | 10,618,915 | |||||||||||||
| Total Asset-Backed Securities (Cost $86,241,149) |
|
75,196,563
|
| |||||||||||||
| Mortgage-Backed Obligations—2.5% | ||||||||||||||||
| Alba plc, Series 2007-1, Cl. C, 0.869%, 3/17/391 |
GBP | 14,800,000 | 15,440,218 | |||||||||||||
| Capital Mortgage Srl, Series 2007-1, Cl. B, 0.06%, 1/30/471 |
EUR | 8,000,000 | 4,769,235 | |||||||||||||
| Eurosail plc, Series 2007-5X, Cl. A1A, 1.344%, 9/13/451 |
GBP | 12,635,700 | 14,585,273 | |||||||||||||
| Fondo de Titulizacion de Activos UCI 16, Series 16, Cl. B, 0.038%, 6/16/491 |
EUR | 10,600,000 | 5,988,580 | |||||||||||||
| GAMMA Sociedade de Titularizacao de Creditos SA/Atlantes Mortgage plc, Series 2, Cl. A, 0.066%, 9/18/601 |
EUR | 9,993,522 | 9,300,279 | |||||||||||||
| Hipocat 11 Fondo de Titulizacion de Activos, Series HIPO-11, Cl. A2, 0.081%, 1/15/501 |
EUR | 2,932,901 | 2,404,760 | |||||||||||||
| Hipocat 7 FTA, Series HIPO-7, Cl. C, 0.151%, 7/15/361 |
EUR | 3,668,339 | 2,990,015 | |||||||||||||
| IM Pastor 4 Fondo de Titulizacion de Activos: |
||||||||||||||||
| Series 4, Cl. A, 3/22/441 |
EUR | 21,770,637 | 18,307,575 | |||||||||||||
| Series 4, Cl. B, 3/22/441 |
EUR | 3,000,000 | 1,308,176 | |||||||||||||
| Lusitano Mortgages No. 4 plc, Series 4, Cl. C, 0.297%, 9/15/481 |
EUR | 3,308,556 | 2,371,972 | |||||||||||||
| Magellan Mortgages No. 4 plc, Series 4, Cl. A, 0.031%, 7/20/591 |
EUR | 1,549,780 | 1,397,813 | |||||||||||||
| Mansard Mortgages plc: |
||||||||||||||||
| Series 2006-1X, Cl. B1, 1.688%, 10/15/481 |
GBP | 3,704,471 | 3,893,638 | |||||||||||||
| Series 2007-2X, Cl. M2, 2.572%, 12/15/491 |
GBP | 17,175,000 | 18,982,834 | |||||||||||||
| Newgate Funding: |
||||||||||||||||
| Series 2007-2X, Cl. BB, , 12/15/501 |
EUR | 6,312,450 | 5,003,522 | |||||||||||||
| Series 2007-3X, Cl. D, 3.572%, 12/15/501 |
GBP | 5,702,395 | 6,672,073 | |||||||||||||
| Paragon Secured Finance No 1 plc, Series 1, Cl. A, 0.991%, 11/15/351 |
GBP | 8,953,526 | 11,535,339 | |||||||||||||
| ResLoC UK plc, Series 2007-1X, Cl. A3B, 0.732%, 12/15/431 |
GBP | 10,870,641 | 12,788,385 | |||||||||||||
| RMAC Securities No 1 plc: |
||||||||||||||||
| Series 2006-NS1X, Cl. M1C, , 6/12/441 |
EUR | 3,396,108 | 3,108,589 | |||||||||||||
| Series 2006-NS4X, Cl. M1A, 0.844%, 6/12/441 |
GBP | 5,352,922 | 5,878,251 | |||||||||||||
1 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||||||
| Mortgage-Backed Obligations (Continued) | ||||||||||||||||
| Rural Hipotecario I Fondo de Titulizacion Hipotecaria, Series 6, Cl. C, 0.699%, 10/17/361 |
EUR | 2,663,365 | $ | 2,314,316 | ||||||||||||
| Southern Pacific Financing plc, Series 2005-B, Cl. D, 1.285%, 6/10/431 |
GBP | 6,017,811 | 5,566,365 | |||||||||||||
| Total Mortgage-Backed Obligations (Cost $184,146,565) |
|
154,607,208
|
| |||||||||||||
| Foreign Government Obligations—58.1% | ||||||||||||||||
| Argentina—1.6% |
||||||||||||||||
| Argentine Republic Sr. Unsec. Bonds: |
||||||||||||||||
| 2.50%, 12/31/381 |
8,000,000 | 5,420,000 | ||||||||||||||
| 7.125%, 7/6/36 |
6,820,000 | 6,820,000 | ||||||||||||||
| 7.50%, 4/22/262 |
7,000,000 | 7,605,500 | ||||||||||||||
| 7.625%, 4/22/462 |
5,000,000 | 5,420,000 | ||||||||||||||
| 7.875%, 6/15/272 |
20,000,000 | 20,650,000 | ||||||||||||||
| Argentine Republic Sr. Unsec. Nts.: |
||||||||||||||||
| 6.625%, 7/6/28 |
10,000,000 | 10,000,000 | ||||||||||||||
| 6.875%, 4/22/212 |
15,000,000 | 16,050,000 | ||||||||||||||
| 8.375%, 5/19/242 |
4,670,000 | 4,845,125 | ||||||||||||||
| 8.75%, 6/2/17 |
10,000,000 | 10,490,000 | ||||||||||||||
| 9.125%, 3/16/242 |
7,000,000 | 7,717,500 | ||||||||||||||
|
|
95,018,125
|
| ||||||||||||||
| Australia—1.9% |
||||||||||||||||
| Commonwealth of Australia Sr. Unsec. Bonds: |
||||||||||||||||
| 2.00%, 8/21/353 |
AUD | 11,300,000 | 10,958,330 | |||||||||||||
| 3.75%, 4/21/37 |
AUD | 20,000,000 | 17,758,332 | |||||||||||||
| 4.75%, 4/21/27 |
AUD | 10,000,000 | 9,430,931 | |||||||||||||
| Commonwealth of Australia Sr. Unsec. Nts., 1%, 11/21/183 |
AUD | 25,000,000 | 19,607,733 | |||||||||||||
| New South Wales Treasury Corp. Sr. Unsec. Bonds, 6%, 5/1/23 |
AUD | 20,000,000 | 18,867,232 | |||||||||||||
| Queensland Treasury Corp. Sr. Unsec. Bonds, Series 33, 6.50%, 3/14/33 |
AUD | 20,590,000 | 22,687,461 | |||||||||||||
| Victoria Treasury Corp. Sr. Unsec. Bonds, 5.50%, 11/17/26 |
AUD | 20,385,000 | 19,845,226 | |||||||||||||
|
|
119,155,245
|
| ||||||||||||||
| Brazil—8.6% |
||||||||||||||||
| Federative Republic of Brazil Nota Do Tesouro Nacional Unsec. Nts.: |
||||||||||||||||
| 9.762%, 1/1/18 |
BRL | 789,400,000 | 237,065,244 | |||||||||||||
| 9.762%, 1/1/21 |
BRL | 116,300,000 | 33,803,789 | |||||||||||||
| 10.00%, 1/1/19 |
BRL | 104,100,000 | 31,004,450 | |||||||||||||
| 10.00%, 1/1/25 |
BRL | 582,700,000 | 163,036,999 | |||||||||||||
| 10.00%, 1/1/27 |
BRL | 148,782,000 | 41,198,992 | |||||||||||||
| Federative Republic of Brazil Sr. Unsec. Bonds: |
||||||||||||||||
| 5.00%, 1/27/45 |
10,435,000 | 9,391,500 | ||||||||||||||
| 6.00%, 4/7/26 |
10,000,000 | 10,850,000 | ||||||||||||||
|
|
526,350,974
|
| ||||||||||||||
| Colombia—0.5% |
||||||||||||||||
| Republic of Colombia Sr. Unsec. Bonds: |
||||||||||||||||
| 3.875%, 3/22/26 |
EUR | 6,670,000 | 7,929,050 | |||||||||||||
| 4.00%, 2/26/24 |
3,380,000 | 3,540,550 | ||||||||||||||
| 5.00%, 6/15/45 |
3,450,000 | 3,605,250 | ||||||||||||||
2 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||||||
| Colombia (Continued) |
||||||||||||||||
| Republic of Colombia Sr. Unsec. Bonds: (Continued) |
||||||||||||||||
| 6.125%, 1/18/41 |
$ | 11,200,000 | $ | 13,048,000 | ||||||||||||
| 28,122,850 | ||||||||||||||||
| Costa Rica—0.1% |
||||||||||||||||
| Republic of Costa Rica Sr. Unsec. Bonds, 7.158%, 3/12/452
|
|
5,090,000
|
|
|
5,109,088
|
| ||||||||||
| Croatia—0.3% |
||||||||||||||||
| Republic of Croatia Sr. Unsec. Bonds, 6.75%, 11/5/192 |
6,890,000 | 7,514,234 | ||||||||||||||
| Republic of Croatia Sr. Unsec. Nts., 3.875%, 5/30/22 |
EUR | 8,065,000 | 9,191,420 | |||||||||||||
|
|
16,705,654
|
| ||||||||||||||
| Cyprus—0.2% |
||||||||||||||||
| Republic of Cyprus Unsec. Nts., 3.875%, 5/6/22
|
|
EUR
|
|
|
8,000,000
|
|
|
9,082,922
|
| |||||||
| Dominican Republic—0.4% |
||||||||||||||||
| Dominican Republic Sr. Unsec. Bonds: |
||||||||||||||||
| 6.60%, 1/28/242 |
9,475,000 | 10,327,750 | ||||||||||||||
| 6.85%, 1/27/452 |
12,235,000 | 12,724,400 | ||||||||||||||
| 7.45%, 4/30/442 |
3,330,000 | 3,679,650 | ||||||||||||||
|
|
26,731,800
|
| ||||||||||||||
| France—1.8% |
||||||||||||||||
| French Republic Unsec. Bonds: |
||||||||||||||||
| 0.25%, 7/25/243 |
EUR | 60,900,000 | 73,648,336 | |||||||||||||
| 1.85%, 7/25/273 |
EUR | 26,702,750 | 38,215,410 | |||||||||||||
|
|
111,863,746
|
| ||||||||||||||
| Gabon—0.0% |
||||||||||||||||
| Gabonese Republic Unsec. Bonds, 6.375%, 12/12/242
|
|
1,000,000
|
|
|
865,000
|
| ||||||||||
| Germany—1.2% |
||||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bonds: |
||||||||||||||||
| 0.10%, 4/15/233 |
EUR | 34,141,140 | 40,620,470 | |||||||||||||
| 0.50%, 4/15/303 |
EUR | 25,240,500 | 33,435,774 | |||||||||||||
|
|
74,056,244
|
| ||||||||||||||
| Greece—0.7% |
||||||||||||||||
| Hellenic Republic Sr. Unsec. Bonds: |
||||||||||||||||
| 3.00%, 2/24/231 |
EUR | 1,250,000 | 1,040,596 | |||||||||||||
| 3.00%, 2/24/241 |
EUR | 1,250,000 | 1,020,478 | |||||||||||||
| 3.00%, 2/24/251 |
EUR | 1,250,000 | 988,968 | |||||||||||||
| 3.00%, 2/24/261 |
EUR | 1,250,000 | 981,087 | |||||||||||||
| 3.00%, 2/24/271 |
EUR | 1,250,000 | 956,937 | |||||||||||||
| 3.00%, 2/24/281 |
EUR | 1,250,000 | 934,437 | |||||||||||||
| 3.00%, 2/24/291 |
EUR | 6,250,000 | 4,616,074 | |||||||||||||
| 3.00%, 2/24/301 |
EUR | 1,250,000 | 900,591 | |||||||||||||
| 3.00%, 2/24/311 |
EUR | 1,250,000 | 897,395 | |||||||||||||
| 3.00%, 2/24/321 |
EUR | 1,250,000 | 886,621 | |||||||||||||
| 3.00%, 2/24/331 |
EUR | 1,250,000 | 869,819 | |||||||||||||
| 3.00%, 2/24/341 |
EUR | 1,250,000 | 860,296 | |||||||||||||
| 3.00%, 2/24/351 |
EUR | 1,250,000 | 853,872 | |||||||||||||
| 3.00%, 2/24/361 |
EUR | 1,250,000 | 841,946 | |||||||||||||
| 3.00%, 2/24/371 |
EUR | 1,250,000 | 845,688 | |||||||||||||
3 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||||||
| Greece (Continued) |
||||||||||||||||
| Hellenic Republic Sr. Unsec. Bonds: (Continued) |
||||||||||||||||
| 3.00%, 2/24/381 |
EUR | 1,250,000 | $ | 834,263 | ||||||||||||
| 3.00%, 2/24/391 |
EUR | 1,250,000 | 837,154 | |||||||||||||
| 3.00%, 2/24/401 |
EUR | 1,250,000 | 829,261 | |||||||||||||
| 3.00%, 2/24/411 |
EUR | 1,250,000 | 840,213 | |||||||||||||
| 3.00%, 2/24/421 |
EUR | 1,250,000 | 841,655 | |||||||||||||
| 6.14%, 4/14/28 |
EUR | 25,000,000 | 20,185,631 | |||||||||||||
|
|
41,862,982
|
| ||||||||||||||
| Guatemala—0.1% |
||||||||||||||||
| Republic of Guatemala Sr. Unsec. Bonds, 4.50%, 5/3/262
|
|
7,000,000
|
|
|
7,131,250
|
| ||||||||||
| Honduras—0.1% |
||||||||||||||||
| Republic of Honduras Sr. Unsec. International Bonds, 7.50%, 3/15/242
|
|
5,000,000
|
|
|
5,450,000
|
| ||||||||||
| Hungary—1.6% |
||||||||||||||||
| Hungary Sr. Unsec. Bonds: |
||||||||||||||||
| 5.375%, 2/21/23 |
10,325,000 | 11,457,704 | ||||||||||||||
| 5.75%, 11/22/23 |
13,770,000 | 15,699,521 | ||||||||||||||
| Hungary Unsec. Bonds: |
||||||||||||||||
| Series 20/A, 7.50%, 11/12/20 |
HUF | 8,390,000,000 | 36,195,747 | |||||||||||||
| Series 23/A, 6.00%, 11/24/23 |
HUF | 7,239,000,000 | 30,950,555 | |||||||||||||
| Series 25/B, 5.50%, 6/24/25 |
HUF | 1,550,000,000 | 6,496,243 | |||||||||||||
|
|
100,799,770
|
| ||||||||||||||
| India—3.8% |
||||||||||||||||
| Republic of India Sr. Unsec. Bonds: |
||||||||||||||||
| 7.59%, 1/11/26 |
INR | 3,360,000,000 | 50,285,951 | |||||||||||||
| 8.40%, 7/28/24 |
INR | 3,997,000,000 | 61,945,061 | |||||||||||||
| Republic of India Sr. Unsec. Nts., 8.27%, 6/9/20 |
INR | 8,023,000,000 | 122,934,897 | |||||||||||||
|
|
235,165,909
|
| ||||||||||||||
| Indonesia—3.1% |
||||||||||||||||
| Perusahaan Penerbit SBSN Indonesia III Unsec. Bonds: |
||||||||||||||||
| 4.35%, 9/10/242 |
4,560,000 | 4,731,000 | ||||||||||||||
| 4.55%, 3/29/262 |
6,680,000 | 6,997,300 | ||||||||||||||
| Republic of Indonesia Sr. Unsec. Bonds: |
||||||||||||||||
| 3.375%, 7/30/252 |
EUR | 2,755,000 | 3,169,680 | |||||||||||||
| 3.75%, 6/14/282 |
EUR | 3,340,000 | 3,761,756 | |||||||||||||
| 4.125%, 1/15/252 |
3,450,000 | 3,601,665 | ||||||||||||||
| 5.125%, 1/15/452 |
17,255,000 | 18,371,191 | ||||||||||||||
| 5.875%, 3/13/202 |
3,450,000 | 3,845,315 | ||||||||||||||
| Republic of Indonesia Treasury Bonds: |
||||||||||||||||
| Series FR53, 8.25%, 7/15/21 |
IDR | 964,100,000,000 | 75,833,096 | |||||||||||||
| Series FR56, 8.375%, 9/15/26 |
IDR | 638,000,000,000 | 51,035,123 | |||||||||||||
| Series FR73, 8.75%, 5/15/31 |
IDR | 241,270,000,000 | 20,086,483 | |||||||||||||
|
|
191,432,609
|
| ||||||||||||||
| Iraq—0.0% |
||||||||||||||||
| Republic of Iraq Unsec. Bonds, 5.80%, 1/15/282 |
3,445,000 | 2,635,425 | ||||||||||||||
4 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value |
|||||||||||||||
| Italy—4.7% |
||||||||||||||||
| Republic of Italy (The) Buoni Poliennali Del Tesoro Bonds, 2.25%, 9/1/362 |
EUR | 20,000,000 | $ | 23,076,452 | ||||||||||||
| Republic of Italy (The) Buoni Poliennali Del Tesoro Sr. Unsec. Bonds: |
||||||||||||||||
| 1.25%, 9/15/322,3 |
EUR | 19,462,755 | 22,695,471 | |||||||||||||
| 2.35%, 9/15/242,3 |
EUR | 10,041,200 | 12,788,284 | |||||||||||||
| 3.10%, 9/15/263 |
EUR | 68,875,300 | 94,476,006 | |||||||||||||
| Republic of Italy (The) Buoni Poliennali Del Tesoro Unsec. Bonds, 2.70%, 3/1/472 |
EUR | 111,000,000 | 131,915,746 | |||||||||||||
|
|
284,951,959
|
| ||||||||||||||
| Ivory Coast—0.6% |
||||||||||||||||
| Republic of Cote d’Ivoire Sr. Unsec. Bonds, 5.75%, 12/31/321
|
|
38,179,350
|
|
|
35,602,244
|
| ||||||||||
| Jamaica—0.1% |
||||||||||||||||
| Commonwealth of Jamaica Sr. Unsec. Bonds, 7.875%, 7/28/45
|
|
5,000,000
|
|
|
5,350,000
|
| ||||||||||
| Japan—2.2% |
||||||||||||||||
| Japan Sr. Unsec. Nts.: |
||||||||||||||||
| Series 19, 0.10%, 9/10/243 |
JPY | 7,961,280,000 | 82,321,632 | |||||||||||||
| Series 21, 0.10%, 3/10/263 |
JPY | 4,980,650,000 | 51,751,541 | |||||||||||||
|
|
134,073,173
|
| ||||||||||||||
| Kazakhstan—0.2% |
||||||||||||||||
| Republic of Kazakhstan Sr. Unsec. Bonds, 4.875%, 10/14/442
|
|
13,205,000
|
|
|
12,874,743
|
| ||||||||||
| Malaysia—0.3% |
||||||||||||||||
| Federation of Malaysia Sr. Unsec. Bonds, 4.262%, 9/15/16
|
|
MYR
|
|
|
83,350,000
|
|
|
20,740,370
|
| |||||||
| Mexico—7.7% |
||||||||||||||||
| United Mexican States Sr. Unsec. Bonds: |
||||||||||||||||
| 4.00%, 3/15/2115 |
EUR | 12,865,000 | 13,286,543 | |||||||||||||
| 5.625%, 3/19/2114 |
GBP | 8,000,000 | 10,160,803 | |||||||||||||
| Series M, 5.75%, 3/5/26 |
MXN | 240,000,000 | 13,042,968 | |||||||||||||
| Series M20, 10.00%, 12/5/24 |
MXN | 698,700,000 | 49,077,364 | |||||||||||||
| United Mexican States Sr. Unsec. Nts.: |
||||||||||||||||
| 4.00%, 6/13/193 |
MXN | 1,012,659,230 | 58,717,956 | |||||||||||||
| Series M, 5.00%, 12/11/19 |
MXN | 1,785,000,000 | 97,028,849 | |||||||||||||
| Series M10, 7.25%, 12/15/16 |
MXN | 4,211,500,000 | 233,354,355 | |||||||||||||
|
|
474,668,838
|
| ||||||||||||||
| Morocco—0.2% |
||||||||||||||||
| Kingdom of Morocco Sr. Unsec. Bonds, 5.50%, 12/11/422
|
|
9,755,000
|
|
|
10,578,078
|
| ||||||||||
| Namibia—0.1% |
||||||||||||||||
| Republic of Namibia Sr. Unsec. Bonds, 5.25%, 10/29/252
|
|
7,130,000
|
|
|
7,290,425
|
| ||||||||||
| New Zealand—0.6% |
||||||||||||||||
| Commonwealth of New Zealand Bonds: |
||||||||||||||||
| 2.50%, 9/20/353 |
NZD | 6,000,000 | 4,847,838 | |||||||||||||
| 3.00%, 9/20/303 |
NZD | 10,000,000 | 8,559,403 | |||||||||||||
| Commonwealth of New Zealand Sr. Unsec. Bonds, 2%, 9/20/253 |
NZD | 29,000,000 | 22,319,472 | |||||||||||||
| 35,726,713 | ||||||||||||||||
5 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||||||
| Nigeria—0.1% |
||||||||||||||||
| Federal Republic of Nigeria Sr. Unsec. Bonds, 6.75%, 1/28/212 |
$ | 2,070,000 | $ | 2,070,104 | ||||||||||||
| Federal Republic of Nigeria Sr. Unsec. Nts., 5.125%, 7/12/182 |
3,445,000 | 3,460,950 | ||||||||||||||
|
|
5,531,054
|
| ||||||||||||||
| Oman—0.2% |
||||||||||||||||
| Sultanate of Oman Sr. Unsec. Bonds, 4.75%, 6/15/262 |
13,360,000 | 13,288,604 | ||||||||||||||
| Paraguay—0.1% |
||||||||||||||||
| Republic of Paraguay Sr. Unsec. Bonds, 6.10%, 8/11/442
|
|
6,880,000
|
|
|
7,482,000
|
| ||||||||||
| Peru—0.3% |
||||||||||||||||
| Republic of Peru Sr. Unsec. Bonds: |
||||||||||||||||
| 2.75%, 1/30/26 |
EUR | 6,885,000 | 8,118,168 | |||||||||||||
| 3.75%, 3/1/30 |
EUR | 8,350,000 | 10,109,915 | |||||||||||||
|
|
18,228,083
|
| ||||||||||||||
| Poland—1.1% |
||||||||||||||||
| Republic of Poland Unsec. Bonds: |
||||||||||||||||
| Series 0726, 2.50%, 7/25/26 |
PLN | 90,900,000 | 22,253,922 | |||||||||||||
| Series 1017, 5.25%, 10/25/17 |
PLN | 175,000,000 | 46,413,747 | |||||||||||||
|
|
68,667,669
|
| ||||||||||||||
| Portugal—0.3% |
||||||||||||||||
| Portuguese Republic Obrigacoes do Tesouro OT Bonds, |
||||||||||||||||
| 2.875%, 10/15/252
|
|
EUR
|
|
|
18,000,000
|
|
|
19,966,710
|
| |||||||
| Romania—0.3% |
||||||||||||||||
| Romania Sr. Unsec. Bonds: |
||||||||||||||||
| 2.75%, 10/29/252 |
EUR | 5,960,000 | 6,798,848 | |||||||||||||
| 3.875%, 10/29/352 |
EUR | 1,900,000 | 2,195,371 | |||||||||||||
| 4.875%, 1/22/242 |
6,895,000 | 7,619,320 | ||||||||||||||
|
|
16,613,539
|
| ||||||||||||||
| Russia—1.8% |
||||||||||||||||
| Agency for Housing Mortgage Lending OJSC Via AHML |
||||||||||||||||
| Finance Ltd. Unsec. Nts., 7.75%, 2/13/182 |
RUB | 132,500,000 | 2,004,297 | |||||||||||||
| Russian Federation Sr. Unsec. Bonds, 4.875%, 9/16/232 |
7,000,000 | 7,649,040 | ||||||||||||||
| Russian Federation Unsec. Nts., Series 6216, 6.70%, 5/15/19 |
RUB | 6,843,000,000 | 101,693,264 | |||||||||||||
|
|
111,346,601
|
| ||||||||||||||
| Senegal—0.1% |
||||||||||||||||
| Republic of Senegal Unsec. Bonds, 6.25%, 7/30/242
|
|
8,330,000
|
|
|
7,975,975
|
| ||||||||||
| Serbia—0.3% |
||||||||||||||||
| Republic of Serbia Sr. Unsec. Nts., 5.25%, 11/21/172 |
6,345,000 | 6,568,446 | ||||||||||||||
| Republic of Serbia Unsec. Nts., 5.875%, 12/3/182 |
12,495,000 | 13,267,191 | ||||||||||||||
|
|
19,835,637
|
| ||||||||||||||
| South Africa—1.5% |
||||||||||||||||
| Republic of South Africa Sr. Unsec. Bonds, Series R208, 6.75%, 3/31/21 |
ZAR | 514,540,000 | 32,837,944 | |||||||||||||
| Republic of South Africa Unsec. Bonds: |
||||||||||||||||
| Series 2023, 7.75%, 2/28/23 |
ZAR | 311,100,000 | 20,269,661 | |||||||||||||
| Series R186, 10.50%, 12/21/26 |
ZAR | 507,200,000 | 38,280,307 | |||||||||||||
| 91,387,912 | ||||||||||||||||
6 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||||||
| Spain—1.7% |
||||||||||||||||
| Kingdom of Spain Inflation Linked Bonds, 1%, 11/30/302,3 |
EUR | 34,922,300 | $ | 40,169,037 | ||||||||||||
| Kingdom of Spain Sr. Unsec. Bonds, 2.90%, 10/31/462 |
EUR | 51,800,000 | 64,375,552 | |||||||||||||
|
|
104,544,589
|
| ||||||||||||||
| Sri Lanka—0.3% |
||||||||||||||||
| Democratic Socialist Republic of Sri Lanka Sr. Unsec. Bonds: |
||||||||||||||||
| 5.875%, 7/25/222 |
6,875,000 | 6,690,042 | ||||||||||||||
| 6.25%, 10/4/202 |
3,055,000 | 3,124,123 | ||||||||||||||
| Democratic Socialist Republic of Sri Lanka Sr. Unsec. Nts., 6%, 1/14/192 |
9,030,000 | 9,220,325 | ||||||||||||||
|
|
19,034,490
|
| ||||||||||||||
| Turkey—1.6% |
||||||||||||||||
| Republic of Turkey Nts., 10.70%, 2/17/21 |
TRY | 77,950,000 | 29,063,575 | |||||||||||||
| Republic of Turkey Unsec. Bonds, 6.625%, 2/17/45 |
9,995,000 | 12,160,087 | ||||||||||||||
| Republic of Turkey Unsec. Nts.: |
||||||||||||||||
| 6.30%, 2/14/18 |
TRY | 28,925,000 | 9,743,899 | |||||||||||||
| 8.20%, 7/13/16 |
TRY | 33,900,000 | 11,809,904 | |||||||||||||
| 8.50%, 7/10/19 |
TRY | 45,000,000 | 15,597,080 | |||||||||||||
| 8.80%, 11/14/18 |
TRY | 44,165,000 | 15,434,336 | |||||||||||||
| 9.00%, 3/8/17 |
TRY | 6,615,000 | 2,311,628 | |||||||||||||
|
|
96,120,509
|
| ||||||||||||||
| Ukraine—0.5% |
||||||||||||||||
| Ukraine Sr. Unsec. Nts., 7.75%, 9/1/194
|
|
30,335,000
|
|
|
30,047,667
|
| ||||||||||
| United Kingdom—4.5% |
||||||||||||||||
| United Kingdom Unsec. Treasury Bonds: |
||||||||||||||||
| 2.75%, 9/7/24 |
GBP | 97,000,000 | 148,899,819 | |||||||||||||
| 3.25%, 1/22/44 |
GBP | 71,340,000 | 126,340,605 | |||||||||||||
|
|
275,240,424
|
| ||||||||||||||
| Uruguay—0.4% |
||||||||||||||||
| Oriental Republic of Uruguay Sr. Unsec. Bonds, 5.10%, 6/18/50
|
|
21,110,000
|
|
|
21,162,775
|
| ||||||||||
| Vietnam—0.2% |
||||||||||||||||
| Socialist Republic of Vietnam Sr. Unsec. Bonds, 4.80%, 11/19/242
|
|
13,625,000
|
|
|
14,088,400
|
| ||||||||||
| Zambia—0.1% |
||||||||||||||||
| Republic of Zambia Sr. Unsec. Bonds: |
||||||||||||||||
| 8.50%, 4/14/242 |
2,100,000 | 1,834,980 | ||||||||||||||
| 8.97%, 7/30/272 |
5,000,000 | 4,350,000 | ||||||||||||||
| 6,184,980 | ||||||||||||||||
| Total Foreign Government Obligations (Cost $3,516,365,322)
|
|
3,566,143,754
|
| |||||||||||||
| Corporate Bonds and Notes—29.6% | ||||||||||||||||
| Consumer Discretionary—1.8% |
||||||||||||||||
| Auto Components—0.2% |
||||||||||||||||
| GKN Holdings plc: |
||||||||||||||||
| 5.375% Sr. Unsec. Nts., 9/19/22 |
GBP | 2,490,000 | 3,771,206 | |||||||||||||
7 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Auto Components (Continued) | ||||||||||||
|
|
||||||||||||
| GKN Holdings plc: (Continued) | ||||||||||||
| 6.75% Sr. Unsec. Nts., 10/28/19 |
|
GBP
|
|
|
4,475,000
|
|
$
|
6,785,229
|
| |||
|
|
|
|||||||||||
|
|
10,556,435
|
| ||||||||||
|
|
||||||||||||
| Automobiles—0.3% | ||||||||||||
|
|
||||||||||||
| Daimler AG, 1.375% Sr. Unsec. Nts., 5/11/284 | EUR | 5,000,000 | 5,787,940 | |||||||||
|
|
||||||||||||
| Volkswagen International Finance NV: | ||||||||||||
| 0.875% Sr. Unsec. Nts., 1/16/23 | EUR | 5,000,000 | 5,536,570 | |||||||||
| 3.875% Jr. Sub. Perpetual Bonds1,5 | EUR | 5,610,000 | 6,411,037 | |||||||||
|
|
|
|||||||||||
|
|
17,735,547
|
| ||||||||||
|
|
||||||||||||
| Hotels, Restaurants & Leisure—0.1% | ||||||||||||
|
|
||||||||||||
| Merlin Entertainments plc, 2.75% Sr. Unsec. Nts., 3/15/222 |
|
EUR
|
|
|
5,690,000
|
|
|
6,139,699
|
| |||
|
|
||||||||||||
| Media—1.1% | ||||||||||||
|
|
||||||||||||
| Altice Luxembourg SA: | ||||||||||||
| 6.25% Sr. Unsec. Nts., 2/15/252 | EUR | 2,600,000 | 2,644,435 | |||||||||
| 7.25% Sr. Sec. Nts., 5/15/222 | EUR | 7,920,000 | 8,884,346 | |||||||||
|
|
||||||||||||
| SES SA, 4.625% Jr. Sub. Perpetual Bonds1,4,5 | EUR | 4,050,000 | 4,446,041 | |||||||||
|
|
||||||||||||
| Sky plc, 2.25% Sr. Unsec. Nts., 11/17/25 | EUR | 5,000,000 | 5,816,932 | |||||||||
|
|
||||||||||||
| Telenet Finance VI Luxembourg SCA, 4.875% Sr. Sec. Nts., 7/15/272 | EUR | 5,000,000 | 5,634,134 | |||||||||
|
|
||||||||||||
| UPC Holding BV, 6.75% Sr. Unsec. Nts., 3/15/232 | EUR | 8,400,000 | 10,026,869 | |||||||||
|
|
||||||||||||
| Virgin Media Finance plc: | ||||||||||||
| 6.375% Sr. Unsec. Nts., 10/15/242 | GBP | 2,500,000 | 3,311,354 | |||||||||
| 7.00% Sr. Unsec. Nts., 4/15/23 | GBP | 3,495,000 | 4,769,562 | |||||||||
|
|
||||||||||||
| Virgin Media Secured Finance plc: | ||||||||||||
| 4.875% Sr. Sec. Nts., 1/15/272 | GBP | 7,000,000 | 8,717,709 | |||||||||
| 6.00% Sr. Sec. Nts., 4/15/21 | GBP | 8,145,000 | 11,208,983 | |||||||||
|
|
||||||||||||
| VTR Finance BV, 6.875% Sr. Sec. Nts., 1/15/242 | 1,920,000 | 1,919,002 | ||||||||||
|
|
|
|||||||||||
| 67,379,367 | ||||||||||||
|
|
||||||||||||
| Textiles, Apparel & Luxury Goods—0.1% | ||||||||||||
|
|
||||||||||||
| New Look Secured Issuer plc, 6.50% Sr. Sec. Nts., 7/1/222 | GBP | 3,850,000 | 4,734,067 | |||||||||
|
|
||||||||||||
| PVH Corp., 3.625% Sr. Unsec. Nts., 7/15/242 | EUR | 4,000,000 | 4,530,554 | |||||||||
|
|
|
|||||||||||
|
|
9,264,621
|
| ||||||||||
|
|
||||||||||||
| Consumer Staples—0.4% | ||||||||||||
|
|
||||||||||||
| Beverages—0.2% | ||||||||||||
|
|
||||||||||||
| Anheuser-Busch InBev, 2% Sr. Unsec. Nts., 3/17/28 | EUR | 5,000,000 | 5,973,479 | |||||||||
|
|
||||||||||||
| Brown-Forman Corp., 1.20% Sr. Unsec. Nts., 7/7/266 | EUR | 1,000,000 | 1,107,020 | |||||||||
|
|
||||||||||||
| Carlsberg Breweries, 2.50% Sr. Unsec. Nts., 5/28/24 | EUR | 2,000,000 | 2,450,008 | |||||||||
|
|
||||||||||||
| Cott Finance Corp., 5.50% Sr. Unsec. Nts., 7/1/242 | EUR | 2,000,000 | 2,266,294 | |||||||||
|
|
||||||||||||
| Molson Coors Brewing Co., 4.20% Sr. Unsec. Nts., 7/15/466 | 1,000,000 | 1,004,803 | ||||||||||
|
|
|
|||||||||||
|
|
12,801,604
|
| ||||||||||
|
|
||||||||||||
| Food Products—0.2% | ||||||||||||
|
|
||||||||||||
| Marfrig Holdings Europe BV, 8% Sr. Unsec. Nts., 6/8/232,6 | 3,550,000 | 3,631,650 | ||||||||||
|
|
||||||||||||
| Minerva Luxembourg SA, 7.75% Sr. Unsec. Nts., 1/31/232 | 4,345,000 | 4,453,625 | ||||||||||
|
|
|
|||||||||||
|
|
8,085,275
|
| ||||||||||
8 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Energy—5.1% | ||||||||||||
|
|
||||||||||||
| Energy Equipment & Services—0.9% | ||||||||||||
|
|
||||||||||||
| Pertamina Persero PT: | ||||||||||||
| 5.625% Sr. Unsec. Nts., 5/20/432 | $ | 24,378,000 | $ | 23,736,712 | ||||||||
| 6.45% Sr. Unsec. Nts., 5/30/442 | 25,700,000 | 27,335,342 | ||||||||||
|
|
||||||||||||
| Sinopec Group Overseas Development 2015 Ltd., 2.50% Sr. Unsec. Nts., 4/28/202 | 5,790,000 | 5,858,270 | ||||||||||
|
|
|
|||||||||||
|
|
56,930,324
|
| ||||||||||
|
|
||||||||||||
| Oil, Gas & Consumable Fuels—4.2% | ||||||||||||
|
|
||||||||||||
| Bharat Petroleum Corp. Ltd., 4% Sr. Unsec. Nts., 5/8/25 | 6,120,000 | 6,269,040 | ||||||||||
|
|
||||||||||||
| CNOOC Finance 2011 Ltd., 4.25% Sr. Unsec. Nts., 1/26/212 | 8,435,000 | 8,933,382 | ||||||||||
|
|
||||||||||||
| Delek & Avner Tamar Bond Ltd., 5.082% Sr. Sec. Nts., 12/30/232 | 1,945,000 | 2,015,506 | ||||||||||
|
|
||||||||||||
| Gazprom OAO Via Gaz Capital SA: | ||||||||||||
| 4.95% Sr. Unsec. Nts., 7/19/222 | 13,665,000 | 14,191,786 | ||||||||||
| 7.288% Sr. Unsec. Nts., 8/16/372 | 15,000,000 | 17,480,250 | ||||||||||
|
|
||||||||||||
| Indian Oil Corp. Ltd., 5.75% Sr. Unsec. Nts., 8/1/23 | 15,365,000 | 17,423,833 | ||||||||||
|
|
||||||||||||
| KazMunayGas National Co. JSC: | ||||||||||||
| 4.40% Sr. Unsec. Nts., 4/30/232 | 4,000,000 | 3,920,000 | ||||||||||
| 6.375% Sr. Unsec. Nts., 4/9/212 | 9,685,000 | 10,629,287 | ||||||||||
| 7.00% Sr. Unsec. Nts., 5/5/202 | 7,925,000 | 8,666,304 | ||||||||||
|
|
||||||||||||
| Novatek OAO via Novatek Finance Ltd., 4.422% Sr. Unsec. Nts., 12/13/222 | 2,830,000 | 2,854,197 | ||||||||||
|
|
||||||||||||
| Origin Energy Finance Ltd., 3.50% Sr. Unsec. Nts., 10/9/182 | 2,873,000 | 2,892,137 | ||||||||||
|
|
||||||||||||
| Pacific Exploration & Production Corp., 5.625% Sr. Unsec. Nts., 1/19/252,7 | 5,915,000 | 1,123,850 | ||||||||||
|
|
||||||||||||
| Petrobras Global Finance BV: | ||||||||||||
| 4.375% Sr. Unsec. Nts., 5/20/23 | 17,750,000 | 14,460,925 | ||||||||||
| 5.375% Sr. Unsec. Nts., 1/27/21 | 8,000,000 | 7,400,000 | ||||||||||
| 5.75% Sr. Unsec. Nts., 1/20/20 | 6,690,000 | 6,470,568 | ||||||||||
| 7.25% Sr. Unsec. Nts., 3/17/44 | 5,000,000 | 4,125,000 | ||||||||||
| 8.375% Sr. Unsec. Nts., 5/23/21 | 9,700,000 | 10,034,650 | ||||||||||
| 8.75% Sr. Unsec. Nts., 5/23/26 | 9,975,000 | 10,068,067 | ||||||||||
|
|
||||||||||||
| Petroleos Mexicanos: | ||||||||||||
| 3.75% Sr. Unsec. Nts., 4/16/26 | EUR | 6,895,000 | 7,166,071 | |||||||||
| 5.50% Sr. Unsec. Nts., 6/27/44 | 36,710,000 | 33,352,871 | ||||||||||
| 6.375% Sr. Unsec. Nts., 2/4/212 | 6,635,000 | 7,230,823 | ||||||||||
| 6.875% Sr. Unsec. Nts., 8/4/262 | 21,015,000 | 23,547,308 | ||||||||||
|
|
||||||||||||
| Repsol International Finance BV, 2.25% Sr. Unsec. Nts., 12/10/26 | EUR | 2,000,000 | 2,336,330 | |||||||||
|
|
||||||||||||
| Thai Oil PCL, 4.875% Sr. Unsec. Nts., 1/23/432 | 1,520,000 | 1,624,576 | ||||||||||
|
|
||||||||||||
| TOTAL SA, 3.875% Jr. Sub. Nts.1,4,5 | EUR | 21,070,000 | 24,308,961 | |||||||||
|
|
||||||||||||
| YPF Sociedad Anonima, 0% Sr. Unsec. Nts., 7/7/202,6 | 8,000,000 | 8,047,348 | ||||||||||
|
|
||||||||||||
| Zhaikmunai LLP, 6.375% Sr. Unsec. Nts., 2/14/192 | 800,000 | 707,136 | ||||||||||
|
|
|
|||||||||||
|
|
257,280,206
|
| ||||||||||
|
|
||||||||||||
| Financials—15.3% | ||||||||||||
|
|
||||||||||||
| Capital Markets—1.5% | ||||||||||||
|
|
||||||||||||
| ContourGlobal Power Holdings SA, 5.125% Sec. Nts., 6/15/212 | EUR | 6,160,000 | 6,737,621 | |||||||||
9 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Capital Markets (Continued) | ||||||||||||
|
|
||||||||||||
| Credit Suisse Group AG, 7.50% Jr. Sub. Perpetual Bonds1,5 | $ | 15,000,000 | $ | 15,159,420 | ||||||||
|
|
||||||||||||
| Credit Suisse Group Funding Guernsey Ltd., 3.80% Sr. Unsec. Nts., 6/9/232 | 10,000,000 | 9,995,240 | ||||||||||
|
|
||||||||||||
| Deutsche Bank AG: | ||||||||||||
| 4.10% Sr. Unsec. Nts., 1/13/26 | 10,000,000 | 9,955,470 | ||||||||||
| 7.125% Jr. Sub. Perpetual Bonds1,5 | GBP | 10,000,000 | 10,580,109 | |||||||||
|
|
||||||||||||
| Seven & Seven Ltd., 1.898% Sr. Unsec. Nts., 9/11/191,2 | 3,500,000 | 3,488,677 | ||||||||||
|
|
||||||||||||
| UBS AG (Jersey Branch), 7.25% Sub. Nts., 2/22/221 | 15,090,000 | 15,504,854 | ||||||||||
|
|
||||||||||||
| UBS Group AG: | ||||||||||||
| 6.875% Jr. Sub. Perpetual Bonds1,4,5 | 4,595,000 | 4,510,898 | ||||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | 8,000,000 | 8,158,432 | ||||||||||
| 7.125% Jr. Sub. Perpetual Bonds1,5 | 5,000,000 | 4,985,465 | ||||||||||
|
|
|
|||||||||||
|
|
89,076,186
|
| ||||||||||
|
|
||||||||||||
| Commercial Banks—10.8% |
||||||||||||
|
|
||||||||||||
| ABN AMRO Bank NV, 4.75% Sub. Nts., 7/28/252 | 8,705,000 | 9,069,565 | ||||||||||
|
|
||||||||||||
| Akbank TAS, 7.50% Sr. Unsec. Nts., 2/5/182 | TRY | 11,095,000 | 3,670,048 | |||||||||
|
|
||||||||||||
| Allied Irish Banks plc, 4.125% Sub. Nts., 11/26/251,4 | EUR | 12,000,000 | 12,376,726 | |||||||||
|
|
||||||||||||
| Astana Finance JSC, 9.16% Sr. Unsec. Nts., 3/14/127 | 612,810 | — | ||||||||||
|
|
||||||||||||
| Banco ABC Brasil SA, 7.875% Sub. Nts., 4/8/202 | 1,100,000 | 1,116,500 | ||||||||||
|
|
||||||||||||
| Banco Bilbao Vizcaya Argentaria SA: | ||||||||||||
| 6.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 17,000,000 | 16,285,387 | |||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | EUR | 12,800,000 | 12,305,064 | |||||||||
| 8.875% Jr. Sub. Perpetual Bonds1,4,5 | EUR | 17,995,000 | 19,844,380 | |||||||||
|
|
||||||||||||
| Banco de Bogota SA, 6.25% Sub. Nts., 5/12/262 | 4,675,000 | 4,768,500 | ||||||||||
|
|
||||||||||||
| Banco de Sabadell SA, 5.625% Sub. Nts., 5/6/264 | EUR | 6,000,000 | 6,612,536 | |||||||||
|
|
||||||||||||
| Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 11/30/202 | 1,335,000 | 1,451,479 | ||||||||||
|
|
||||||||||||
| Banco Santander SA: | ||||||||||||
| 6.25% Jr. Sub. Perpetual Bonds1,5 | EUR | 12,700,000 | 11,970,942 | |||||||||
| 6.375% Jr. Sub. Perpetual Bonds1,5 | 10,000,000 | 8,790,490 | ||||||||||
|
|
||||||||||||
| Bank of Ireland: | ||||||||||||
| 4.25% Sub. Nts., 6/11/241 | EUR | 4,090,000 | 4,419,151 | |||||||||
| 10.00% Sub. Nts., 2/12/20 | EUR | 10,000,000 | 13,229,296 | |||||||||
| 10.00% Sub. Nts., 12/19/22 | EUR | 4,710,000 | 6,593,988 | |||||||||
|
|
||||||||||||
| Bank of Scotland plc: | ||||||||||||
| 4.875% Sec. Nts., 11/8/16 | GBP | 5,170,000 | 6,975,642 | |||||||||
| 4.875% Sec. Nts., 12/20/24 | GBP | 8,675,000 | 14,384,454 | |||||||||
|
|
||||||||||||
| Barclays plc: | ||||||||||||
| 6.50% Jr. Sub. Perpetual Bonds1,5 | EUR | 15,000,000 | 14,815,162 | |||||||||
| 6.625% Jr. Sub. Perpetual Bonds1,5 | 3,000,000 | 2,692,500 | ||||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 5,135,000 | 6,060,086 | |||||||||
| 7.875% Jr. Sub. Perpetual Bonds1,5 | GBP | 10,000,000 | 11,998,223 | |||||||||
| 8.00% Jr. Sub. Perpetual Bonds1,5 | EUR | 6,105,000 | 6,354,295 | |||||||||
|
|
||||||||||||
| BNP Paribas SA, 7.625% Jr. Sub. Perpetual Bonds1,2,5 | 1,000,000 | 1,002,500 | ||||||||||
|
|
||||||||||||
| BPCE SA: | ||||||||||||
| 2.75% Sub. Nts., 7/8/261 | EUR | 7,410,000 | 8,344,581 | |||||||||
| 4.50% Sub. Nts., 3/15/252 | 5,000,000 | 5,008,720 | ||||||||||
| 4.875% Sub. Nts., 4/1/262 | 4,455,000 | 4,581,718 | ||||||||||
|
|
||||||||||||
| Commonwealth Bank of Australia, 4.50% Sub. Nts., 12/9/252 | 5,000,000 | 5,242,550 | ||||||||||
|
|
||||||||||||
| Compass Bank, 3.875% Sub. Nts., 4/10/25 | 5,000,000 | 4,809,160 | ||||||||||
10 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Commercial Banks (Continued) | ||||||||||||
|
|
||||||||||||
| Cooperatieve Rabobank UA: | ||||||||||||
| 5.50% Jr. Sub. Perpetual Bonds1,4,5 | EUR | 11,090,000 | $ | 11,771,767 | ||||||||
| 6.625% Jr. Sub. Nts.1,4,5 | EUR | 7,000,000 | 7,810,703 | |||||||||
|
|
||||||||||||
| Credit Agricole Assurances SA, 4.25% Sub. Perpetual Bonds1,5 | EUR | 10,000,000 | 10,499,001 | |||||||||
|
|
||||||||||||
| Credit Agricole SA: | ||||||||||||
| 8.125% Jr. Sub. Perpetual Bonds1,2,5 | 4,405,000 | 4,397,481 | ||||||||||
| 8.375% Jr. Sub. Perpetual Bonds1,2,5 | 30,000,000 | 33,643,500 | ||||||||||
|
|
||||||||||||
| Danske Bank AS, 5.684% Jr. Sub. Perpetual Bonds1,5 | GBP | 6,225,000 | 8,328,715 | |||||||||
|
|
||||||||||||
| EUROFIMA, 6.25% Sr. Unsec. Nts., 12/28/18 | AUD | 5,270,000 | 4,300,987 | |||||||||
|
|
||||||||||||
| Export-Import Bank of India: | ||||||||||||
| 9.50% Sr. Unsec. Nts., 10/9/18 | INR | 175,000,000 | 2,698,850 | |||||||||
| 9.70% Sr. Unsec. Nts., 11/21/18 | INR | 200,000,000 | 3,101,136 | |||||||||
|
|
||||||||||||
| Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/222 | 700,000 | 686,875 | ||||||||||
|
|
||||||||||||
| HBOS plc, 4.50% Sub. Nts., 3/18/301 | EUR | 8,000,000 | 9,607,816 | |||||||||
|
|
||||||||||||
| HSBC Bank Capital Funding Sterling 1 LP, 5.844% Jr. Sub. Perpetual Bonds1,5 | GBP | 3,100,000 | 4,420,292 | |||||||||
|
|
||||||||||||
| HSBC Holdings plc, 6.875% Jr. Sub. Perpetual Bonds1,5 | 5,000,000 | 4,987,500 | ||||||||||
|
|
||||||||||||
| ICICI Bank Ltd., 6.375% Jr. Sub. Nts., 4/30/221,2 | 26,861,000 | 27,260,101 | ||||||||||
|
|
||||||||||||
| ICICI Bank Ltd. (Dubai), 4% Sr. Unsec. Nts., 3/18/262 | 10,000,000 | 10,179,150 | ||||||||||
|
|
||||||||||||
| ING Bank NV, 2.75% Sr. Unsec. Nts., 3/22/212 | 3,000,000 | 3,102,615 | ||||||||||
|
|
||||||||||||
| ING Groep NV, 6.50% Jr. Sub. Perpetual Bonds1,5 | 15,000,000 | 13,753,125 | ||||||||||
|
|
||||||||||||
| Intesa Sanpaolo SpA: | ||||||||||||
| 5.017% Sub. Nts., 6/26/242 | 7,150,000 | 6,581,818 | ||||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,4,5 | EUR | 4,120,000 | 4,284,123 | |||||||||
| 7.70% Jr. Sub. Perpetual Bonds1,2,5 | 19,000,000 | 16,411,250 | ||||||||||
|
|
||||||||||||
| Krung Thai Bank PCL (Cayman Islands), 5.20% Sub. Nts., 12/26/241 | 3,310,000 | 3,469,125 | ||||||||||
|
|
||||||||||||
| Lloyds Banking Group plc: | ||||||||||||
| 4.65% Sub. Nts., 3/24/26 | 15,000,000 | 15,226,245 | ||||||||||
| 7.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 13,000,000 | 16,377,769 | |||||||||
|
|
||||||||||||
| 7.625% Jr. Sub. Perpetual Bonds1,5 | GBP | 8,000,000 | 10,104,187 | |||||||||
|
|
||||||||||||
| NABARD, 8.19% Sr. Unsec. Nts., 6/8/18 | INR | 80,000,000 | 1,197,877 | |||||||||
|
|
||||||||||||
| NN Group NV, 4.625% Sub. Nts., 4/8/441 | EUR | 13,945,000 | 15,692,352 | |||||||||
|
|
||||||||||||
| Rabobank Capital Funding Trust IV, 5.556% Jr. Sub. Perpetual Bonds1,2,5 | GBP | 8,355,000 | 11,436,851 | |||||||||
|
|
||||||||||||
| Royal Bank of Scotland Group plc: | ||||||||||||
| 2.50% Sr. Unsec. Nts., 3/22/23 | EUR | 9,000,000 | 9,879,423 | |||||||||
| 4.80% Sr. Unsec. Nts., 4/5/26 | 12,000,000 | 12,234,840 | ||||||||||
| 5.125% Sub. Nts., 5/28/24 | 6,980,000 | 6,819,886 | ||||||||||
| 7.64% Jr. Sub. Perpetual Bonds1,5 | 3,715,000 | 3,547,825 | ||||||||||
|
|
||||||||||||
| Royal Bank of Scotland plc (The), 13.125% Sub. Nts., 3/19/221 | AUD | 30,052,000 | 23,704,653 | |||||||||
|
|
||||||||||||
| Santander Issuances SAU, 5.179% Sub. Nts., 11/19/25 | 10,000,000 | 10,013,390 | ||||||||||
|
|
||||||||||||
| Santander UK Group Holdings plc, 4.75% Sub. Nts., 9/15/252 | 6,870,000 | 6,801,094 | ||||||||||
|
|
||||||||||||
| Sberbank of Russia Via SB Capital SA, 5.50% Sub. Nts., 2/26/241,2 | 10,340,000 | 10,205,063 | ||||||||||
|
|
||||||||||||
| Societe Generale SA: | ||||||||||||
| 4.25% Sub. Nts., 4/14/252 | 5,000,000 | 4,956,900 | ||||||||||
| 6.00% Jr. Sub. Perpetual Bonds1,5 | 8,000,000 | 7,066,000 | ||||||||||
11 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Commercial Banks (Continued) | ||||||||||||
|
|
||||||||||||
| Societe Generale SA: (Continued) | ||||||||||||
| 7.875% Jr. Sub. Perpetual Bonds1,2,5 | $ | 15,000,000 | $ | 13,950,000 | ||||||||
| 8.00% Jr. Sub. Perpetual Bonds1,2,5 | 9,250,000 | 8,851,325 | ||||||||||
|
|
||||||||||||
| SPCM SA, 2.875% Sr. Unsec. Nts., 6/15/232 | EUR | 4,100,000 | 4,375,151 | |||||||||
|
|
||||||||||||
| Standard Chartered Bank, 5.375% Jr. Sub. Perpetual Bonds1,5 | GBP | 4,000,000 | 5,147,581 | |||||||||
|
|
||||||||||||
| Standard Chartered plc, 6.50% Jr. Sub. Perpetual Bonds1,2,5 | 5,300,000 | 4,887,925 | ||||||||||
|
|
||||||||||||
| State Bank of India: | ||||||||||||
| 6.439% Jr. Sub. Perpetual Bonds1,5 | 3,954,000 | 4,021,064 | ||||||||||
| 7.14% Jr. Sub. Perpetual Bonds1,5 | 4,400,000 | 4,507,989 | ||||||||||
|
|
||||||||||||
| TC Ziraat Bankasi AS, 4.75% Sr. Unsec. Nts., 4/29/212 | 3,065,000 | 3,127,327 | ||||||||||
|
|
||||||||||||
| Turkiye Halk Bankasi AS, 5% Sr. Unsec. Nts., 7/13/212,6 | 6,370,000 | 6,356,050 | ||||||||||
|
|
||||||||||||
| Turkiye Is Bankasi, 5.375% Sr. Unsec. Nts., 10/6/212 | 3,675,000 | 3,801,336 | ||||||||||
|
|
||||||||||||
| Turkiye Vakiflar Bankasi TAO, 6.875% Sub. Nts., 2/3/251,2 | 4,720,000 | 4,796,700 | ||||||||||
|
|
||||||||||||
| UniCredit SpA: | ||||||||||||
| 4.375% Sub. Nts., 1/3/271,4 | EUR | 5,000,000 | 5,431,605 | |||||||||
| 8.00% Jr. Sub. Perpetual Bonds1,5 | 5,000,000 | 4,075,215 | ||||||||||
|
|
||||||||||||
| VTB Bank OJSC Via VTB Capital SA, 6.95% Sub. Nts., 10/17/222 | 5,180,000 | 5,425,014 | ||||||||||
|
|
|
|||||||||||
|
|
660,088,210
|
| ||||||||||
|
|
||||||||||||
| Diversified Financial Services—1.1% | ||||||||||||
|
|
||||||||||||
| Banco Nacional de Desenvolvimento Economico e Social, 6.50% Sr. Unsec. Nts., 6/10/192 | 11,640,000 | 12,338,400 | ||||||||||
|
|
||||||||||||
| Berkshire Hathaway, Inc., 1.625% Sr. Unsec. Nts., 3/16/35 | EUR | 32,240,000 | 35,208,856 | |||||||||
|
|
||||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/352 | MXN | 34,101,099 | 163,207 | |||||||||
|
|
||||||||||||
| National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/182 | 11,135,000 | 11,893,071 | ||||||||||
|
|
||||||||||||
| Power Finance Corp. Ltd., 8.29% Sr. Unsec. Nts., 6/13/18 | INR | 180,000,000 | 2,699,216 | |||||||||
|
|
||||||||||||
| Rural Electrification Corp. Ltd., 9.04% Sr. Unsec. Nts., 10/12/19 | INR | 250,000,000 | 3,833,551 | |||||||||
|
|
||||||||||||
| Schaeffler Finance BV: | ||||||||||||
| 3.25% Sr. Sec. Nts., 5/15/252 | EUR | 2,310,000 | 2,631,281 | |||||||||
| 4.75% Sr. Sec. Nts., 5/15/232 | 460,000 | 469,200 | ||||||||||
|
|
|
|||||||||||
|
|
69,236,782
|
| ||||||||||
|
|
||||||||||||
| Insurance—1.5% | ||||||||||||
|
|
||||||||||||
| Allianz SE, 4.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 10,000,000 | 11,890,705 | |||||||||
|
|
||||||||||||
| Assicurazioni Generali SpA: | ||||||||||||
| 5.00% Sr. Sub. Nts., 6/8/481,4 | EUR | 3,000,000 | 3,319,895 | |||||||||
| 5.50% Sub. Nts., 10/27/471 | EUR | 6,000,000 | 6,866,884 | |||||||||
| 6.269% Jr. Sub. Perpetual Bonds1,5 | GBP | 4,350,000 | 5,402,145 | |||||||||
| 7.75% Sub. Nts., 12/12/421 | EUR | 3,485,000 | 4,502,302 | |||||||||
| 10.125% Sub. Nts., 7/10/421 | EUR | 7,000,000 | 9,909,847 | |||||||||
|
|
||||||||||||
| Aviva plc, 6.125% Jr. Sub. Perpetual Bonds1,5 | GBP | 6,565,000 | 8,764,774 | |||||||||
|
|
||||||||||||
| AXA SA: | ||||||||||||
| 3.375% Sub. Nts., 7/6/471,4 | EUR | 9,000,000 | 9,933,277 | |||||||||
| 5.25% Sub. Nts., 4/16/401 | EUR | 5,000,000 | 6,132,989 | |||||||||
|
|
||||||||||||
| Demeter Investments BV for Zurich Insurance Co. Ltd., 3.50% Sub. Nts., 10/1/461,4 | EUR | 4,000,000 | 4,447,026 | |||||||||
|
|
||||||||||||
| Prudential plc, 5.70% Sub. Nts., 12/19/631 | GBP | 5,000,000 | 6,418,828 | |||||||||
|
|
||||||||||||
| Sogecap SA, 4.125% Sub. Perpetual Bonds1,5 | EUR | 4,420,000 | 4,548,185 | |||||||||
12 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Insurance (Continued) | ||||||||||||
|
|
||||||||||||
| Swiss Reinsurance Co. via ELM BV, 3.295% Jr. Sub. Perpetual Bonds1,5 | AUD | 13,000,000 | $ | 9,457,532 | ||||||||
|
|
|
|||||||||||
|
|
91,594,389
|
| ||||||||||
|
|
||||||||||||
| Real Estate Investment Trusts (REITs)—0.1% | ||||||||||||
|
|
||||||||||||
| Banco Invex SA/Hipotecaria Credito y Casa SA de CV, 6.45% Sec. Nts., 3/13/343,7 | MXN | 27,602,566 | — | |||||||||
|
|
||||||||||||
| Trust F/1401, 5.25% Sr. Unsec. Nts., 1/30/262 | 6,855,000 | 7,009,237 | ||||||||||
|
|
|
|||||||||||
|
|
7,009,237
|
| ||||||||||
|
|
||||||||||||
| Real Estate Management & Development—0.1% | ||||||||||||
|
|
||||||||||||
| Groupama SA, 6.375% Sub. Perpetual Bonds1,5 | EUR | 9,000,000 | 8,851,204 | |||||||||
|
|
||||||||||||
| Thrifts & Mortgage Finance—0.2% | ||||||||||||
|
|
||||||||||||
| Housing Development Finance Corp. Ltd.: | ||||||||||||
| 8.70% Sr. Sec. Nts., 4/26/18 | INR | 250,000,000 | 3,723,031 | |||||||||
| 8.95% Sec. Nts., 10/19/20 | INR | 125,000,000 | 1,897,885 | |||||||||
|
|
||||||||||||
| MDC-GMTN BV, 2.75% Sr. Unsec. Nts., 5/11/232 | 6,680,000 | 6,697,983 | ||||||||||
|
|
|
|||||||||||
|
|
12,318,899
|
| ||||||||||
|
|
||||||||||||
| Health Care—0.3% | ||||||||||||
|
|
||||||||||||
| Biotechnology—0.1% | ||||||||||||
|
|
||||||||||||
| Deutsche Bank AG, 6% Jr. Sub. Perpetual Bonds1,5 | EUR | 5,000,000 | 4,463,342 | |||||||||
|
|
||||||||||||
| Health Care Providers & Services—0.1% | ||||||||||||
|
|
||||||||||||
| OCP SA, 4.50% Sr. Unsec. Nts., 10/22/252 | 6,360,000 | 6,238,524 | ||||||||||
|
|
||||||||||||
| Pharmaceuticals—0.1% | ||||||||||||
|
|
||||||||||||
| Almirall SA, 4.625% Sr. Unsec. Nts., 4/1/21 | EUR | 5,295,000 | 6,134,952 | |||||||||
|
|
||||||||||||
| Industrials—0.4% | ||||||||||||
|
|
||||||||||||
| Construction & Engineering—0.1% | ||||||||||||
|
|
||||||||||||
| Fideicomiso PA Costera, 6.25% Sec. Nts., 1/15/346 | COP | 10,000,000,000 | 3,226,328 | |||||||||
|
|
||||||||||||
| Fideicomiso PA Pacifico Tres, 8.25% Sr. Sec. Nts., 1/15/352 | 3,335,000 | 3,651,825 | ||||||||||
|
|
|
|||||||||||
|
|
6,878,153
|
| ||||||||||
|
|
||||||||||||
| Trading Companies & Distributors—0.1% | ||||||||||||
|
|
||||||||||||
| Eldorado International Finance GmbH, 8.625% Sr. Unsec. Nts., 6/16/212 | 2,775,000 | 2,699,659 | ||||||||||
|
|
||||||||||||
| Samvardhana Motherson Automotive Systems Group BV, 1st Lien Nts., 4.875%, 12/16/214 | 1,500,000 | 1,510,245 | ||||||||||
|
|
|
|||||||||||
|
|
4,209,904
|
| ||||||||||
|
|
||||||||||||
| Transportation Infrastructure—0.2% | ||||||||||||
|
|
||||||||||||
| Aeropuerto Internacional de Tocumen SA, 5.625% Sr. Sec. Nts., 5/18/362 | 6,675,000 | 6,708,375 | ||||||||||
|
|
||||||||||||
| DP World Ltd., 6.85% Sr. Unsec. Nts., 7/2/372 | 5,115,000 | 5,628,443 | ||||||||||
|
|
|
|||||||||||
|
|
12,336,818
|
| ||||||||||
|
|
||||||||||||
| Information Technology—0.1% | ||||||||||||
|
|
||||||||||||
| Internet Software & Services—0.1% | ||||||||||||
|
|
||||||||||||
| Baidu, Inc., 4.125% Sr. Unsec. Nts., 6/30/25 | 6,395,000 | 6,728,199 | ||||||||||
|
|
||||||||||||
| Materials—1.8% | ||||||||||||
|
|
||||||||||||
| Chemicals—0.7% | ||||||||||||
|
|
||||||||||||
| Arkema SA, 4.75% Jr. Sub. Perpetual Bonds1,5 | EUR | 7,565,000 | 8,701,350 | |||||||||
13 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Chemicals (Continued) | ||||||||||||
|
|
||||||||||||
| Crown European Holdings SA, 3.375% Sr. Unsec. Nts., 5/15/252 | EUR | 5,000,000 | $ | 5,526,472 | ||||||||
|
|
||||||||||||
| Kallpa Generacion SA, 4.875% Sr. Unsec. Nts., 5/24/262 | 2,665,000 | 2,721,631 | ||||||||||
|
|
||||||||||||
| ONGC Videsh Ltd.: | ||||||||||||
| 2.75% Sr. Unsec. Nts., 7/15/21 | EUR | 7,490,000 | 8,684,797 | |||||||||
| 4.625% Sr. Unsec. Nts., 7/15/24 | 12,695,000 | 13,590,848 | ||||||||||
|
|
|
|||||||||||
|
|
39,225,098
|
| ||||||||||
|
|
||||||||||||
| Construction Materials—0.3% | ||||||||||||
|
|
||||||||||||
| Cemex SAB de CV: | ||||||||||||
| 4.375% Sr. Sec. Nts., 3/5/232 | EUR | 700,000 | 757,948 | |||||||||
| 7.75% Sr. Sec. Nts., 4/16/262 | 6,855,000 | 7,214,887 | ||||||||||
|
|
||||||||||||
| Globo Comunicacao e Participacoes SA, 4.843% Sr. Unsec. Nts., 6/8/251,2 | 5,945,000 | 5,766,650 | ||||||||||
|
|
||||||||||||
| HeidelbergCement Finance Luxembourg SA: | ||||||||||||
| 3.25% Sr. Unsec. Nts., 10/21/21 | EUR | 1,955,000 | 2,350,353 | |||||||||
| 7.50% Sr. Unsec. Nts., 4/3/20 | EUR | 1,775,000 | 2,422,858 | |||||||||
|
|
||||||||||||
| Union Andina de Cementos SAA, 5.875% Sr. Unsec. Nts., 10/30/212 | 1,870,000 | 1,899,920 | ||||||||||
|
|
|
|||||||||||
|
|
20,412,616
|
| ||||||||||
|
|
||||||||||||
| Containers & Packaging—0.2% | ||||||||||||
|
|
||||||||||||
| Klabin Finance SA, 5.25% Sr. Unsec. Nts., 7/16/242 | 4,925,000 | 4,851,125 | ||||||||||
|
|
||||||||||||
| Smurfit Kappa Acquisitions, 4.875% Sr. Sec. Nts., 9/15/182 | 8,535,000 | 8,951,081 | ||||||||||
|
|
|
|||||||||||
|
|
13,802,206
|
| ||||||||||
|
|
||||||||||||
| Metals & Mining—0.6% | ||||||||||||
|
|
||||||||||||
| ABJA Investment Co. Pte Ltd.: | ||||||||||||
| 4.95% Sr. Unsec. Nts., 5/3/23 | SGD | 1,250,000 | 814,554 | |||||||||
| 5.95% Sr. Unsec. Nts., 7/31/24 | 1,625,000 | 1,525,794 | ||||||||||
|
|
||||||||||||
| ArcelorMittal, 2.875% Sr. Unsec. Nts., 7/6/20 | EUR | 4,935,000 | 5,470,028 | |||||||||
|
|
||||||||||||
| Evraz Group SA, 6.75% Sr. Unsec. Nts., 1/31/224 | 3,005,000 | 3,053,681 | ||||||||||
|
|
||||||||||||
| Glencore Finance Canada Ltd., 2.70% Sr. Unsec. Nts., 10/25/172 | 2,810,000 | 2,800,353 | ||||||||||
|
|
||||||||||||
| Glencore Funding LLC, 4.125% Sr. Unsec. Nts., 5/30/232 | 4,945,000 | 4,556,081 | ||||||||||
|
|
||||||||||||
| JSW Steel Ltd., 4.75% Sr. Unsec. Nts., 11/12/19 | 1,855,000 | 1,707,721 | ||||||||||
|
|
||||||||||||
| Metalloinvest Finance Ltd., 5.625% Unsec. Nts., 4/17/202 | 1,250,000 | 1,306,340 | ||||||||||
|
|
||||||||||||
| Southern Copper Corp., 5.875% Sr. Unsec. Nts., 4/23/45 | 5,655,000 | 5,333,151 | ||||||||||
|
|
||||||||||||
| Vale Overseas Ltd., 5.875% Sr. Unsec. Nts., 6/10/21 | 6,360,000 | 6,383,850 | ||||||||||
|
|
|
|||||||||||
|
|
32,951,553
|
| ||||||||||
|
|
||||||||||||
| Paper & Forest Products—0.0% | ||||||||||||
|
|
||||||||||||
| Metsa Board OYJ, 4% Sr. Unsec. Nts., 3/13/19 | EUR | 800,000 | 948,368 | |||||||||
|
|
||||||||||||
| Stora Enso OYJ, 2.125% Sr. Unsec. Nts., 6/16/234 | EUR | 1,000,000 | 1,111,373 | |||||||||
|
|
|
|||||||||||
|
|
2,059,741
|
| ||||||||||
|
|
||||||||||||
| Telecommunication Services—2.4% | ||||||||||||
|
|
||||||||||||
| Diversified Telecommunication Services—1.4% | ||||||||||||
|
|
||||||||||||
| AT&T, Inc., 2.45% Sr. Unsec. Nts., 3/15/35 | EUR | 10,000,000 | 11,432,134 | |||||||||
|
|
||||||||||||
| Colombia Telecomunicaciones SA ESP: | ||||||||||||
| 5.375% Sr. Unsec. Nts., 9/27/222 | 2,780,000 | 2,634,050 | ||||||||||
| 8.50% Sub. Perpetual Bonds1,2,5 | 835,000 | 738,975 | ||||||||||
14 OPPENHEIMER INTERNATIONAL BOND FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Diversified Telecommunication Services (Continued) | ||||||||||||
|
|
||||||||||||
| Koninklijke KPN NV, 8.375% Sr. Unsec. Nts., 10/1/30 | $ | 8,878,000 | $ | 12,315,277 | ||||||||
|
|
||||||||||||
| Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 15,957,000 | 16,675,065 | ||||||||||
|
|
||||||||||||
| Telecom Italia SpA, 3.625% Sr. Unsec. Nts., 1/19/244 | EUR | 5,140,000 | 6,072,190 | |||||||||
|
|
||||||||||||
| Telecom Italia SpA/Milano, 7.375% Sr. Unsec. Nts., 12/15/17 | GBP | 5,000,000 | 7,156,534 | |||||||||
|
|
||||||||||||
| Telefonica Emisiones SAU, 2.932% Sr. Unsec. Nts., 10/17/29 | EUR | 15,600,000 | 19,674,007 | |||||||||
|
|
||||||||||||
| Telefonica Europe BV, 6.50% Jr. Sub. Perpetual Bonds1,5 | EUR | 10,000,000 | 11,660,476 | |||||||||
|
|
|
|||||||||||
|
|
88,358,708
|
| ||||||||||
|
|
||||||||||||
| Wireless Telecommunication Services—1.0% | ||||||||||||
|
|
||||||||||||
| Bharti Airtel International Netherlands BV: | ||||||||||||
| 5.125% Sr. Unsec. Nts., 3/11/232 | 2,185,000 | 2,367,828 | ||||||||||
| 5.35% Sr. Unsec. Nts., 5/20/242 | 3,445,000 | 3,821,308 | ||||||||||
|
|
||||||||||||
| Bharti Airtel Ltd., 4.375% Sr. Unsec. Nts., 6/10/252 | 3,000,000 | 3,151,380 | ||||||||||
|
|
||||||||||||
| Digicel Group Ltd., 7.125% Sr. Unsec. Nts., 4/1/222 | 2,010,000 | 1,504,987 | ||||||||||
|
|
||||||||||||
| Digicel Ltd., 6.75% Sr. Unsec. Nts., 3/1/232 | 5,015,000 | 4,287,825 | ||||||||||
|
|
||||||||||||
| GTH Finance BV: | ||||||||||||
| 6.25% Sr. Unsec. Nts., 4/26/202 | 2,535,000 | 2,635,171 | ||||||||||
| 7.25% Sr. Unsec. Nts., 4/26/232 | 3,875,000 | 4,049,375 | ||||||||||
|
|
||||||||||||
| Millicom International Cellular SA, 6% Sr. Unsec. Nts., 3/15/252 | 6,790,000 | 6,645,712 | ||||||||||
|
|
||||||||||||
| Telefonica Europe BV: | ||||||||||||
| 5.875% Jr. Sub. Perpetual Bonds1,5 | EUR | 2,000,000 | 2,270,781 | |||||||||
| 6.75% Jr. Sub. Perpetual Bonds1,5 | GBP | 9,750,000 | 13,183,183 | |||||||||
|
|
||||||||||||
| Telekom Austria AG, 5.625% Jr. Sub. Perpetual Bonds1,5 | EUR | 7,460,000 | 8,693,748 | |||||||||
|
|
||||||||||||
| VimpelCom Holdings BV, 9% Sr. Unsec. Nts., 2/13/182 | RUB | 128,400,000 | 1,965,268 | |||||||||
|
|
||||||||||||
| Wind Acquisition Finance SA, 4% Sr. Sec. Nts., 7/15/202 | EUR | 4,490,000 | 4,915,340 | |||||||||
|
|
|
|||||||||||
|
|
59,491,906
|
| ||||||||||
|
|
||||||||||||
| Utilities—2.0% | ||||||||||||
|
|
||||||||||||
| Electric Utilities—1.6% | ||||||||||||
|
|
||||||||||||
| EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/212 | 11,585,000 | 12,309,063 | ||||||||||
|
|
||||||||||||
| EDP-Energias de Portugal SA, 5.375% Sub. Nts., 9/16/751 | EUR | 10,000,000 | 11,053,276 | |||||||||
|
|
||||||||||||
| Electricite de France SA: | ||||||||||||
| 4.125% Sr. Unsec. Nts., 3/25/27 | EUR | 5,000,000 | 7,138,273 | |||||||||
| 4.625% Sr. Unsec. Nts., 9/11/24 | EUR | 1,800,000 | 2,580,473 | |||||||||
| 5.25% Jr. Sub. Perpetual Bonds1,2,5 | 5,788,000 | 5,534,775 | ||||||||||
| 5.625% Jr. Sub. Perpetual Bonds1,2,5 | 2,915,000 | 2,787,469 | ||||||||||
| 5.875% Jr. Sub. Perpetual Bonds1,5 | GBP | 9,600,000 | 10,794,984 | |||||||||
| 6.00% Jr. Sub. Perpetual Bonds1,5 | GBP | 12,520,000 | 14,970,673 | |||||||||
|
|
||||||||||||
| Enel SpA: | ||||||||||||
| 5.00% Jr. Sub. Nts., 1/15/751 | EUR | 10,075,000 | 11,795,604 | |||||||||
| 8.75% Jr. Sub. Nts., 9/24/731,2 | 5,000,000 | 5,706,250 | ||||||||||
|
|
||||||||||||
| National Power Corp., 5.875% Sr. Unsec. Nts., 12/19/16 | PHP | 665,100,000 | 14,366,556 | |||||||||
|
|
||||||||||||
| Power Grid Corp. of India Ltd., 8.70% Sec. Nts., 7/15/18 | INR | 130,000,000 | 1,962,831 | |||||||||
|
|
|
|||||||||||
|
|
101,000,227
|
| ||||||||||
|
|
||||||||||||
| Independent Power and Renewable Electricity Producers—0.2% | ||||||||||||
|
|
||||||||||||
| AES Andres BV/Dominican Power Partners/Empresa | ||||||||||||
| Generadora de Electricidad It, 7.95% Sr. Unsec. Nts., 5/11/262 | 4,800,000 | 5,010,000 | ||||||||||
15 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Independent Power and Renewable Electricity Producers (Continued) | ||||||||||||
|
|
||||||||||||
| Infinis plc, 7% Sr. Sec. Nts., 2/15/19 | GBP | 4,700,000 | $ | 6,319,331 | ||||||||
|
|
|
|||||||||||
|
|
11,329,331
|
| ||||||||||
|
|
||||||||||||
| Multi-Utilities—0.2% | ||||||||||||
|
|
||||||||||||
| NGG Finance plc, 4.25% Sub. Nts., 6/18/761 | EUR | 10,305,000 | 12,147,188 | |||||||||
|
|
|
|||||||||||
| Total Corporate Bonds and Notes (Cost $1,898,862,852) |
|
1,812,116,451
|
| |||||||||
| 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: | ||||||||||||
| 3.003% Sr. Sec. Nts., 4/30/252,9 | 2,973,364 | 1,699,149 | ||||||||||
| 3.054% Sr. Sec. Nts., 4/30/252,9 | 3,788,522 | 2,164,977 | ||||||||||
| 3.131% Sr. Sec. Nts., 4/30/252,9 | 2,923,667 | 1,670,750 | ||||||||||
| 3.179% Sr. Sec. Nts., 4/30/252,9 | 3,640,203 | 2,080,219 | ||||||||||
| 3.231% Sr. Sec. Nts., 4/30/252,9 | 4,154,739 | 2,374,254 | ||||||||||
| 3.265% Sr. Sec. Nts., 4/30/252,9 | 3,319,150 | 1,896,751 | ||||||||||
| 3.333% Sr. Sec. Nts., 4/30/251,2 | 3,270,782 | 1,869,111 | ||||||||||
| 3.346% Sr. Sec. Nts., 4/30/252,9 | 3,119,860 | 1,782,865 | ||||||||||
|
|
||||||||||||
| LB Peru Trust II Certificates, Series 1998-A, 3.795%, 2/28/167 | 11,734 | — | ||||||||||
|
|
||||||||||||
| Morgan Stanley, Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | RUB | 163,658,657 | 1,129,255 | |||||||||
|
|
|
|||||||||||
| Total Structured Securities (Cost $35,863,623) |
|
16,667,331
|
| |||||||||
|
|
||||||||||||
| Short-Term Notes—2.8% | ||||||||||||
|
|
||||||||||||
| Letras del Banco Central de la Republica Argentina: | ||||||||||||
| 28.25%, 1/25/179 | ARS | 115,000,000 | 6,669,801 | |||||||||
| 29.75%, 1/18/179 | ARS | 150,000,000 | 8,731,908 | |||||||||
| 30.00%, 1/11/179 | ARS | 50,000,000 | 2,924,872 | |||||||||
|
|
||||||||||||
| United States Treasury Bills: | ||||||||||||
| 0.364%, 11/10/169,10 | 75,000,000 | 74,931,825 | ||||||||||
| 0.41%, 9/29/169,10,11 | 75,000,000 | 74,951,925 | ||||||||||
|
|
|
|||||||||||
| Total Short-Term Notes (Cost $169,137,163) | 168,210,331 | |||||||||||
| Exercise | Expiration | |||||||||||||||||||||||
| Price | Date | Contracts | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Exchange-Traded Option Purchased—0.0% | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Euro-BUND Put8 | ||||||||||||||||||||||||
| ($1,132,583) | EUR | 163.000 | 7/22/16 | EUR | 1,650 | 91,554 | ||||||||||||||||||
16 OPPENHEIMER INTERNATIONAL BOND FUND
| Counter- party |
Exercise Price |
Expiration Date |
Contracts | Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.5% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Call8 | JPM | JPY | 44.400 | 9/6/16 | BRL | 225,000,000 | $ | 33 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Call8 | CITNA-B | BRL | 3.250 | 9/29/16 | BRL | 650,000,000 | 5,316,350 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Call8 | GSG | JPY | 45.500 | 8/18/16 | BRL | 175,000,000 | — | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL Currency Call8 | GSG | JPY | 44.000 | 8/25/16 | BRL | 132,000,000 | 7 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR Currency Put8 | GSG | EUR | 1.110 | 8/24/16 | EUR | 150,000,000 | 2,479,050 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR Currency Put8 | BOA | EUR | 1.110 | 11/24/16 | EUR | 150,000,000 | 3,813,150 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR Currency Put8 | GSG | EUR | 1.090 | 9/7/16 | EUR | 100,000,000 | 1,082,500 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GBP Currency Call8 | GSG | GBP | 1.514 | 7/25/16 | GBP | 150,000,000 | 750 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GBP Currency Call8 | GSG | GBP | 1.492 | 7/13/16 | GBP | 50,000,000 | — | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GBP Currency Call8 | BOA | GBP | 1.504 | 7/18/16 | GBP | 50,000,000 | 50 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| IDR Currency Call8 | GSG | IDR | 13270.000 | 9/29/16 | IDR | 995,250,000,000 | 995,250 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| INR Currency Call8 | JPM | INR | 69.500 | 12/28/16 | INR | 6,950,000,000 | 2,022,450 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| INR Currency Call8 | BOA | INR | 66.500 | 8/3/16 | INR | 13,300,000,000 | 239,400 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPY Currency Call8 | CITNA-B | JPY | 100.000 | 9/26/16 | JPY | 20,000,000,000 | 2,780,000 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPY Currency Call8 | BOA | JPY | 100.000 | 9/26/16 | JPY | 30,000,000,000 | 4,170,000 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPY Currency Call8 | GSG | JPY | 100.000 | 9/27/16 | JPY | 25,000,000,000 | 3,500,000 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN Currency Call8 | CITNA-B | MXN | 17.072 | 7/29/16 | MXN | 1,707,200,000 | 44,387 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN Currency Call8 | GSG | MXN | 18.100 | 9/23/16 | MXN | 2,262,500,000 | 2,142,588 | |||||||||||||||||||||
17 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Counter- party |
Exercise Price |
Expiration Date |
Contracts | Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Options Purchased (Continued) | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SGD Currency Put8 | GSG | SGD | 1.380 | 10/12/16 | SGD | 138,000,000 | $ | 650,256 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| ZAR Currency Call8 | GSG | ZAR | 14.600 | 9/21/16 | ZAR | 730,000,000 | 1,282,610 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $48,788,009) | 30,518,831 | |||||||||||||||||||||||||||
| Pay/Receive | ||||||||||||||||||||||||||||
| Floating | Floating | Fixed | Expiration | Notional Amount | ||||||||||||||||||||||||
| Counterparty | Rate | Rate | Rate | Date | (000’s) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased—0.6% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 01/19/19 Call8 |
BOA | Pay |
|
Three- Month USD BBA LIBOR |
|
1.200% | 1/17/17 | $ | 500,000 | 4,463,360 | ||||||||||||||||||
| Interest Rate Swap maturing 01/31/19 Call8 |
BOA | Pay | |
Three- Month USD |
|
1.200 | 1/27/17 | 500,000 | 4,454,625 | |||||||||||||||||||
| Interest Rate Swap maturing 02/01/19 Call8 |
BOA | Pay | |
Three- Month USD |
|
0.914 | 1/30/17 | 450,000 | 2,071,701 | |||||||||||||||||||
| Interest Rate Swap maturing 06/05/38 Call8 |
GSG | Receive | |
Six-Month JPY BBA LIBOR |
|
0.553 | 6/1/18 | 7,500,000 | 2,923,531 | |||||||||||||||||||
| Interest Rate Swap maturing 06/12/46 Call8 |
JPM | Pay | |
Three- Month USD BBA LIBOR |
|
2.247 | 6/8/18 | 88,000 | 8,802,828 | |||||||||||||||||||
| Interest Rate Swap maturing 06/12/46 Call8 |
JPM | Receive | |
Three- Month USD BBA LIBOR |
|
2.247 | 6/8/18 | 88,000 | 5,735,117 | |||||||||||||||||||
| Interest Rate Swap maturing 07/25/26 Call8 |
BOA | Receive | |
Six-Month EUR EURIBOR |
|
0.758 | 7/21/16 | 50,000 | 14,627 | |||||||||||||||||||
18 OPPENHEIMER INTERNATIONAL BOND FUND
| Pay/Receive | ||||||||||||||||||||||||||||
| Floating | Floating | Fixed | Expiration | Notional Amount | ||||||||||||||||||||||||
| Counterparty | Rate | Rate | Rate | Date | (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 07/26/26 Call8 |
BOA | Receive | |
Three- Month USD BBA LIBOR |
|
1.548% | 8/18/16 | $ | 200,000 | $ | 82,780 | |||||||||||||||||
| Interest Rate Swap maturing 08/22/21 Call8 |
JPM | Receive | |
Six-Month EUR EURIBOR |
|
0.660 | 7/22/16 | 100,000 | 80,257 | |||||||||||||||||||
| Interest Rate Swap maturing 09/13/46 Call8 |
GSG | Receive | |
Six-Month EUR EURIBOR |
|
0.987 | 9/9/16 | 50,000 | 1,478,994 | |||||||||||||||||||
| Interest Rate Swap maturing 09/26/46 Call8 |
BOA | Receive | |
Six-Month EUR EURIBOR |
|
1.038 | 9/22/16 | 50,000 | 1,447,120 | |||||||||||||||||||
| Interest Rate Swap maturing 11/20/28 Call8 |
BOA | Receive |
|
Three- Month KRW CD KSDA |
|
3.640 | 11/19/18 | 50,000,000 | 68,577 | |||||||||||||||||||
| Interest Rate Swap maturing 11/23/36 Call8 |
GSG | Receive | |
Three- Month USD BBA LIBOR |
|
3.250 | 11/21/16 | 175,000 | 81,620 | |||||||||||||||||||
| Interest Rate Swap maturing 12/13/26 Call8 |
BOA | Receive |
|
Three- Month USD BBA LIBOR |
|
2.115 | 12/9/16 | 150,000 | 622,096 | |||||||||||||||||||
| Interest Rate Swap maturing 4/30/24 Call8 |
GSG | Receive |
|
Three- Month KRW CD KSDA |
|
3.530 | 4/29/19 | 100,000,000 | 115,745 | |||||||||||||||||||
| Interest Rate Swap maturing 5/19/25 Call8 |
JPM | Receive | |
Six-Month SGD SOR VWAP |
|
3.170 | 5/15/20 | 100,000 | 1,150,742 | |||||||||||||||||||
| Interest Rate Swap maturing 5/19/25 Call8 |
JPM | Pay | |
Six-Month SGD SOR VWAP |
|
3.170 | 5/15/20 | 100,000 | 3,540,126 | |||||||||||||||||||
19 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Pay/Receive | ||||||||||||||||||||||||||||
| Floating | Floating | Fixed | Expiration | Notional Amount | ||||||||||||||||||||||||
| Counterparty | Rate | Rate | Rate | Date | (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/30/33 Put8 |
BAC | Receive | |
Six-Month GBP BBA LIBOR |
|
3.990% | 5/30/23 | $ | 40,415 | $ | 1,452,865 | |||||||||||||||||
| Interest Rate Swap maturing 7/29/36 Call8 |
JPM | Receive | |
Six-Month JPY BBA LIBOR |
|
0.969 | 7/27/16 | 7,000,000 | 217,141 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $49,931,761) |
|
38,803,852 | ||||||||||||||||||||||||||
| Shares | ||||||||
|
|
||||||||
| Investment Company—3.7% | ||||||||
|
|
||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.49%12,13 | ||||||||
| (Cost $228,188,827) | 228,188,827 | 228,188,827 | ||||||
|
|
||||||||
| Total Investments, at Value (Cost $6,218,657,854) | 99.3 | % | 6,090,544,702 | |||||
|
|
||||||||
| Net Other Assets (Liabilities) | 0.7 | 43,017,954 | ||||||
|
|
|
|||||||
| Net Assets | 100.0 | % | $ | 6,133,562,656 | ||||
|
|
|
|||||||
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 $1,310,760,482 or 21.37% of the Fund’s net assets at period end.
3. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
4. All or a portion of this security is owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.
5. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Consolidated Notes.
7. 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 contractual interest rate. See Note 4 of the accompanying Consolidated Notes.
8. Non-income producing security.
9. Zero coupon bond reflects effective yield on the original acquisition date.
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 $90,544,001. See Note 6 of the accompanying Consolidated 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 $8,968,248. See Note 6 of the accompanying Consolidated Notes.
12. Rate shown is the 7-day yield at period end.
20 OPPENHEIMER INTERNATIONAL BOND FUND
13. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
| Shares September 30, 2015 |
Gross Additions |
Gross Reductions |
Shares June 30, 2016 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 543,275,597 | 2,529,010,636 | 2,844,097,406 | 228,188,827 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 228,188,827 | $ | 513,409 | ||||||||||||
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||
| United Kingdom | $ | 666,080,836 | 10.9% | |||||
| Brazil | 625,468,033 | 10.3 | ||||||
| Mexico | 563,298,166 | 9.3 | ||||||
| United States | 462,479,232 | 7.6 | ||||||
| Italy | 408,827,262 | 6.7 | ||||||
| India | 365,377,789 | 6.0 | ||||||
| France | 337,087,327 | 5.5 | ||||||
| Spain | 288,507,675 | 4.7 | ||||||
| Indonesia | 243,499,914 | 4.0 | ||||||
| Russia | 168,957,454 | 2.8 | ||||||
| Japan | 147,663,845 | 2.4 | ||||||
| Germany | 136,646,663 | 2.2 | ||||||
| Australia | 127,289,932 | 2.1 | ||||||
| Netherlands | 125,648,744 | 2.1 | ||||||
| Argentina | 122,843,532 | 2.0 | ||||||
| Turkey | 117,871,969 | 1.9 | ||||||
| Hungary | 100,799,770 | 1.7 | ||||||
| South Africa | 92,670,522 | 1.5 | ||||||
| Switzerland | 79,575,301 | 1.3 | ||||||
| Poland | 68,667,669 | 1.1 | ||||||
| Ireland | 61,428,554 | 1.0 | ||||||
| Portugal | 52,629,328 | 0.9 | ||||||
| Colombia | 51,598,965 | 0.9 | ||||||
| Peru | 43,720,861 | 0.7 | ||||||
| Greece | 41,862,982 | 0.7 | ||||||
| Luxembourg | 40,139,263 | 0.7 | ||||||
| Kazakhstan | 36,797,471 | 0.6 | ||||||
| New Zealand | 35,726,713 | 0.6 | ||||||
| Ivory Coast | 35,602,244 | 0.6 | ||||||
| Dominican Republic | 31,741,800 | 0.5 | ||||||
| Sri Lanka | 30,927,560 | 0.5 | ||||||
| Ukraine | 30,047,667 | 0.5 | ||||||
| China | 21,519,851 | 0.4 | ||||||
| Uruguay | 21,162,775 | 0.4 | ||||||
21 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Geographic Holdings (Continued) | Value | Percent | ||||||
|
|
||||||||
| Malaysia | $ | 20,740,370 | 0.3% | |||||
| Serbia | 19,835,637 | 0.3 | ||||||
| Morocco | 16,816,602 | 0.3 | ||||||
| Croatia | 16,705,654 | 0.3 | ||||||
| Romania | 16,613,539 | 0.3 | ||||||
| Philippines | 14,366,556 | 0.2 | ||||||
| Vietnam | 14,088,400 | 0.2 | ||||||
| Oman | 13,288,604 | 0.2 | ||||||
| United Arab Emirates | 12,326,426 | 0.2 | ||||||
| Belgium | 11,607,613 | 0.2 | ||||||
| Jamaica | 11,142,812 | 0.2 | ||||||
| Jersey, Channel Islands | 10,860,803 | 0.2 | ||||||
| Denmark | 10,778,723 | 0.2 | ||||||
| Eurozone | 10,395,698 | 0.2 | ||||||
| Cyprus | 9,082,922 | 0.2 | ||||||
| Austria | 8,693,748 | 0.1 | ||||||
| Senegal | 7,975,975 | 0.1 | ||||||
| Paraguay | 7,482,000 | 0.1 | ||||||
| Namibia | 7,290,425 | 0.1 | ||||||
| Guatemala | 7,131,250 | 0.1 | ||||||
| Panama | 6,708,375 | 0.1 | ||||||
| Zambia | 6,184,980 | 0.1 | ||||||
| Nigeria | 5,531,054 | 0.1 | ||||||
| Honduras | 5,450,000 | 0.1 | ||||||
| Singapore | 5,341,125 | 0.1 | ||||||
| Costa Rica | 5,109,087 | 0.1 | ||||||
| Thailand | 5,093,701 | 0.1 | ||||||
| Supranational | 4,300,987 | 0.1 | ||||||
| South Korea | 3,672,999 | 0.1 | ||||||
| Iraq | 2,635,425 | 0.0 | ||||||
| Canada | 2,266,294 | 0.0 | ||||||
| Finland | 2,059,741 | 0.0 | ||||||
| Israel | 2,015,506 | 0.0 | ||||||
| Chile | 1,919,002 | 0.0 | ||||||
| Gabon | 865,000 | 0.0 | ||||||
|
|
|
|||||||
| Total | $ | 6,090,544,702 | 100.0% | |||||
|
|
|
|||||||
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts as of June 30, 2016 | ||||||||||||||||||||||||
| Counter- party |
Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | 09/2016 | EUR | 60,000 | USD | 66,360 | $ | 406,594 | $ | — | |||||||||||||||
| BAC | 11/2016 | GBP | 41,830 | USD | 61,641 | — | 5,869,317 | |||||||||||||||||
| BAC | 07/2016 | IDR | 113,724,000 | USD | 8,638 | — | 30,400 | |||||||||||||||||
| BAC | 09/2016 | JPY | 5,940,730 | USD | 56,230 | 1,443,570 | — | |||||||||||||||||
| BAC | 07/2016 | PLN | 5,650 | USD | 1,427 | 5,467 | — | |||||||||||||||||
| BAC | 07/2016 | TRY | 65,120 | USD | 21,694 | 853,321 | — | |||||||||||||||||
| BAC | 09/2016 - 11/2016 | USD | 145,983 | EUR | 130,000 | 1,099,678 | — | |||||||||||||||||
| BAC | 07/2016 - 08/2016 | USD | 14,820 | IDR | 210,104,000 | — | 1,067,729 | |||||||||||||||||
| BAC | 08/2016 | USD | 85,028 | INR | 5,737,000 | 596,064 | — | |||||||||||||||||
22 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||
| Counter- party |
Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | 09/2016 | USD | 58,791 | JPY | 6,000,000 | $ | 516,335 | $ | — | |||||||||||||||
| BAC | 08/2016 | USD | 67,009 | KRW | 77,000,000 | 253,843 | — | |||||||||||||||||
| BAC | 12/2016 | USD | 14,332 | PHP | 705,000 | — | 517,684 | |||||||||||||||||
| BAC | 07/2016 - 08/2016 | USD | 60,227 | RUB | 3,933,700 | — | 813,644 | |||||||||||||||||
| BAC | 09/2016 | USD | 66,360 | SEK | 565,290 | — | 672,843 | |||||||||||||||||
| BNP | 08/2016 | BRL | 221,440 | USD | 66,286 | 2,032,168 | — | |||||||||||||||||
| BNP | 08/2016 | COP | 14,686,000 | USD | 4,854 | 140,492 | — | |||||||||||||||||
| BNP | 08/2016 | USD | 62,789 | BRL | 209,760 | — | 1,924,980 | |||||||||||||||||
| BNP | 08/2016 | USD | 14,315 | COP | 43,309,000 | — | 414,312 | |||||||||||||||||
| BOA | 02/2017 | CNH | 338,375 | USD | 50,000 | 225,430 | — | |||||||||||||||||
| BOA | 11/2016 | EUR | 2,460 | USD | 2,813 | — | 68,778 | |||||||||||||||||
| BOA | 07/2016 | IDR | 265,640,000 | USD | 20,251 | — | 145,915 | |||||||||||||||||
| BOA | 07/2016 | INR | 1,698,000 | USD | 25,000 | 43,605 | — | |||||||||||||||||
| BOA | 08/2016 - 11/2016 | JPY | 112,741,932 | USD | 1,039,935 | 57,066,946 | — | |||||||||||||||||
| BOA | 11/2016 | NOK | 514,650 | USD | 59,990 | 1,504,109 | — | |||||||||||||||||
| BOA | 09/2016 - 11/2016 | SEK | 978,000 | USD | 117,599 | — | 1,536,284 | |||||||||||||||||
| BOA | 02/2017 | USD | 41,000 | CNH | 284,438 | — | 1,219,419 | |||||||||||||||||
| BOA | 09/2016 | USD | 140,670 | EUR | 125,000 | 1,572,779 | — | |||||||||||||||||
| BOA | 11/2016 | USD | 499,992 | GBP | 347,485 | 36,695,172 | — | |||||||||||||||||
| BOA | 07/2016 -08/2016 | USD | 52,782 | IDR | 707,399,000 | 71,008 | 764,939 | |||||||||||||||||
| BOA | 09/2016 | USD | 128,251 | INR | 8,794,000 | 444 | 203,005 | |||||||||||||||||
| BOA | 08/2016 - 11/2016 | USD | 374,267 | JPY | 38,996,897 | 2,514,199 | 7,107,743 | |||||||||||||||||
| BOA | 07/2016 | USD | 216,470 | MXN | 3,920,300 | 2,244,158 | — | |||||||||||||||||
| BOA | 08/2016 | USD | 21,154 | MYR | 84,885 | — | 122,310 | |||||||||||||||||
| BOA | 11/2016 | USD | 63,634 | NOK | 525,120 | 888,587 | — | |||||||||||||||||
| BOA | 07/2016 | USD | 37,752 | TRY | 109,640 | 94,328 | 303,915 | |||||||||||||||||
| CITNA-B | 08/2016 | ARS | 306,000 | USD | 20,000 | — | 283,505 | |||||||||||||||||
| CITNA-B | 11/2016 | AUD | 85,835 | USD | 62,502 | 1,200,211 | — | |||||||||||||||||
| CITNA-B | 08/2016 - 11/2016 | EUR | 155,725 | USD | 176,702 | 277,430 | 3,682,093 | |||||||||||||||||
| CITNA-B | 09/2016 | JPY | 7,240,000 | USD | 67,828 | 2,458,880 | — | |||||||||||||||||
| CITNA-B | 11/2016 | USD | 151,767 | AUD | 208,425 | — | 2,914,359 | |||||||||||||||||
| CITNA-B | 08/2016 | USD | 81,001 | BRL | 264,590 | — | 629,051 | |||||||||||||||||
| CITNA-B | 02/2017 | USD | 37,000 | CNH | 250,386 | — | 165,171 | |||||||||||||||||
| CITNA-B | 09/2016 - 11/2016 | USD | 168,757 | EUR | 149,230 | 2,615,604 | — | |||||||||||||||||
| CITNA-B | 07/2016 | USD | 19,901 | GBP | 15,000 | — | 68,022 | |||||||||||||||||
| CITNA-B | 08/2016 | USD | 72,938 | HUF | 20,617,000 | 484,862 | — | |||||||||||||||||
| CITNA-B | 08/2016 | USD | 49,923 | JPY | 5,329,635 | — | 1,755,642 | |||||||||||||||||
| CITNA-B | 11/2016 | USD | 3,862 | MXN | 72,500 | — | 48,394 | |||||||||||||||||
| CITNA-B | 07/2016 | USD | 73,374 | PLN | 275,990 | 3,422,837 | — | |||||||||||||||||
| CITNA-B | 07/2016 | USD | 67,836 | TRY | 206,600 | — | 3,696,434 | |||||||||||||||||
| CITNA-B | 08/2016 | USD | 93,139 | ZAR | 1,510,930 | — | 8,391,711 | |||||||||||||||||
| DEU | 11/2016 | EUR | 2,005 | USD | 2,265 | — | 28,374 | |||||||||||||||||
| DEU | 11/2016 | NOK | 779,720 | USD | 94,414 | — | 1,247,172 | |||||||||||||||||
| DEU | 09/2016 | SEK | 45,000 | USD | 5,408 | — | 71,553 | |||||||||||||||||
| DEU | 11/2016 | USD | 38,888 | EUR | 34,565 | 337,229 | 8,184 | |||||||||||||||||
| DEU | 09/2016 | USD | 103,737 | GBP | 77,308 | 747,695 | — | |||||||||||||||||
| DEU | 11/2016 | USD | 31,758 | NZD | 47,000 | — | 1,572,103 | |||||||||||||||||
23 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||
| Counter -party |
Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| GSCO-OT | 07/2016 - 01/2017 | BRL | 1,286,310 | USD | 375,978 | $ | 21,781,923 | $ | 50,784 | |||||||||||||||
| GSCO-OT | 07/2016 - 02/2017 | CNH | 1,045,300 | USD | 163,690 | 68,227 | 7,179,470 | |||||||||||||||||
| GSCO-OT | 09/2016 | EUR | 95,000 | USD | 104,858 | 856,099 | — | |||||||||||||||||
| GSCO-OT | 07/2016 | IDR | 579,647,000 | USD | 43,915 | 83,909 | 128,103 | |||||||||||||||||
| GSCO-OT | 09/2016 | JPY | 7,220,000 | USD | 67,745 | 2,348,129 | — | |||||||||||||||||
| GSCO-OT | 09/2016 | SEK | 202,675 | USD | 24,111 | — | 77,614 | |||||||||||||||||
| GSCO-OT | 07/2016 - 01/2017 | USD | 760,034 | BRL | 2,564,770 | 221,481 | 27,338,924 | |||||||||||||||||
| GSCO-OT | 07/2016 - 02/2017 | USD | 221,068 | CNH | 1,447,580 | 6,482,894 | 1,686,308 | |||||||||||||||||
| GSCO-OT | 09/2016 | USD | 67,732 | EUR | 60,000 | 965,006 | — | |||||||||||||||||
| GSCO-OT | 07/2016 | USD | 39,775 | IDR | 579,647,000 | — | 4,095,726 | |||||||||||||||||
| GSCO-OT | 08/2016 - 11/2016 | USD | 441,652 | JPY | 45,799,000 | 3,243,737 | 6,515,878 | |||||||||||||||||
| GSCO-OT | 02/2017 | USD | 22,500 | KRW | 27,317,250 | — | 1,168,827 | |||||||||||||||||
| HSBC | 11/2016 | CAD | 85,560 | USD | 66,263 | — | 25,414 | |||||||||||||||||
| HSBC | 11/2016 | DKK | 234,315 | USD | 35,878 | — | 724,608 | |||||||||||||||||
| HSBC | 11/2016 | EUR | 101,050 | USD | 114,911 | 7,435 | 2,191,422 | |||||||||||||||||
| HSBC | 11/2016 | GBP | 2,220 | USD | 3,073 | — | 113,464 | |||||||||||||||||
| HSBC | 08/2016 | MYR | 80,680 | USD | 20,252 | — | 29,356 | |||||||||||||||||
| HSBC | 11/2016 | USD | 22,492 | EUR | 19,840 | 358,951 | — | |||||||||||||||||
| HSBC | 11/2016 | USD | 54,215 | GBP | 37,905 | 3,677,437 | — | |||||||||||||||||
| JPM | 08/2016 | BRL | 228,760 | USD | 70,000 | 576,011 | — | |||||||||||||||||
| JPM | 07/2016 | COP | 146,450,000 | USD | 50,000 | — | 49,271 | |||||||||||||||||
| JPM | 11/2016 | EUR | 5,330 | USD | 5,987 | — | 41,050 | |||||||||||||||||
| JPM | 07/2016 | IDR | 254,500,000 | USD | 19,330 | — | 68,030 | |||||||||||||||||
| JPM | 08/2016 | JPY | 7,006,000 | USD | 66,992 | 912,617 | — | |||||||||||||||||
| JPM | 08/2016 - 06/2018 | KRW | 288,556,000 | USD | 258,862 | 2,783,007 | 11,342,419 | |||||||||||||||||
| JPM | 11/2016 | MXN | 572,400 | USD | 30,843 | 28,143 | — | |||||||||||||||||
| JPM | 07/2016 - 11/2016 | PLN | 597,700 | USD | 152,049 | 247,585 | 1,039,635 | |||||||||||||||||
| JPM | 11/2016 | USD | 60,733 | AUD | 85,000 | — | 2,349,805 | |||||||||||||||||
| JPM | 01/2017 | USD | 44,822 | BRL | 163,400 | — | 3,320,875 | |||||||||||||||||
| JPM | 09/2016 - 11/2016 | USD | 91,927 | EUR | 80,090 | 2,608,713 | — | |||||||||||||||||
| JPM | 11/2016 | USD | 270,426 | GBP | 189,185 | 18,190,113 | — | |||||||||||||||||
| JPM | 07/2016 - 08/2016 | USD | 48,568 | IDR | 652,587,000 | — | 765,611 | |||||||||||||||||
| JPM | 07/2016 | USD | 50,492 | INR | 3,440,000 | — | 244,455 | |||||||||||||||||
| JPM | 08/2016 - 09/2016 | USD | 190,565 | JPY | 19,700,000 | 456,847 | 953,082 | |||||||||||||||||
| JPM | 08/2016 - 06/2018 | USD | 178,759 | KRW | 211,556,000 | 101,694 | 4,890,429 | |||||||||||||||||
| JPM | 08/2016 | USD | 231,335 | MXN | 4,409,600 | — | 8,979,989 | |||||||||||||||||
| JPM | 11/2016 | USD | 800 | PLN | 3,130 | 9,039 | — | |||||||||||||||||
| JPM | 07/2016 - 08/2016 | USD | 52,271 | RUB | 3,497,900 | — | 1,927,760 | |||||||||||||||||
| MOS | 09/2016 | USD | 7,844 | JPY | 800,000 | 73,679 | — | |||||||||||||||||
| MSCO | 09/2016 - 11/2016 | EUR | 602,520 | USD | 685,790 | — | 13,645,701 | |||||||||||||||||
| MSCO | 11/2016 | GBP | 4,895 | USD | 6,788 | 10,608 | 272,754 | |||||||||||||||||
| MSCO | 08/2016 - 11/2016 | JPY | 9,804,275 | USD | 90,157 | 5,079,185 | — | |||||||||||||||||
| MSCO | 08/2016 - 11/2016 | USD | 754,282 | EUR | 663,300 | 14,656,731 | — | |||||||||||||||||
| MSCO | 11/2016 | USD | 41,265 | MXN | 780,700 | — | 840,706 | |||||||||||||||||
| RBS | 11/2016 | CAD | 15,720 | USD | 12,000 | 170,175 | — | |||||||||||||||||
| RBS | 11/2016 | JPY | 355,769 | USD | 3,498 | — | 35,138 | |||||||||||||||||
| RBS | 09/2016 | PLN | 222,503 | USD | 56,096 | 203,587 | — | |||||||||||||||||
24 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||||
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||||||||||||||
| Counter -party |
Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| RBS | 11/2016 | USD | 50,177 | CAD | 65,033 | $ | — | $ | 169,870 | |||||||||||||||||
| RBS | 09/2016 - 11/2016 | USD | 67,440 | EUR | 60,000 | 645,617 | — | |||||||||||||||||||
| RBS | 09/2016 - 11/2016 | USD | 78,963 | JPY | 8,104,174 | 425,891 | 266,469 | |||||||||||||||||||
| RBS | 11/2016 | USD | 30,544 | NOK | 254,600 | 122,650 | — | |||||||||||||||||||
| RBS | 11/2016 | USD | 20,000 | SEK | 170,130 | — | 230,287 | |||||||||||||||||||
| SCB | 09/2016 | USD | 17,000 | IDR | 226,525,000 | 27,173 | — | |||||||||||||||||||
| SCB | 08/2016 | USD | 16,000 | MYR | 63,896 | — | 15,709 | |||||||||||||||||||
| TDB | 07/2016 | BRL | 704,010 | USD | 219,331 | — | 170,697 | |||||||||||||||||||
| TDB | 08/2016 | COP | 58,360,000 | USD | 20,145 | — | 297,347 | |||||||||||||||||||
| TDB | 11/2016 | EUR | 553,880 | USD | 628,435 | — | 10,549,459 | |||||||||||||||||||
| TDB | 07/2016 - 09/2016 | IDR | USD | 114,621 | 1,517,005 | 71,008 | ||||||||||||||||||||
| TDB | 07/2016 | INR | 1,742,000 | USD | 25,562 | 130,544 | — | |||||||||||||||||||
| TDB | 11/2016 | MXN | 1,120,700 | USD | 60,876 | — | 433,723 | |||||||||||||||||||
| TDB | 12/2016 | PHP | 35,000 | USD | 733 | 3,768 | — | |||||||||||||||||||
| TDB | 07/2016 | PLN | 120,000 | USD | 30,298 | 116,807 | — | |||||||||||||||||||
| TDB | 07/2016 - 01/2017 | USD | 279,701 | BRL | 1,067,760 | — | 46,633,261 | |||||||||||||||||||
| TDB | 07/2016 | USD | 50,137 | COP | 146,450,000 | 186,210 | — | |||||||||||||||||||
| TDB | 11/2016 | USD | 863,823 | EUR | 761,225 | 14,631,908 | — | |||||||||||||||||||
| TDB | 07/2016 - 09/2016 | USD | 168,359 | IDR | 226,532 | 3,326,077 | ||||||||||||||||||||
| TDB | 09/2016 | USD | 49,849 | INR | 3,460,000 | — | 770,359 | |||||||||||||||||||
| TDB | 11/2016 | USD | 29,578 | MXN | 567,900 | — | 1,050,603 | |||||||||||||||||||
| TDB | 11/2016 | USD | 801 | SGD | 1,100 | — | 14,267 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 226,050,112 | $ | 213,436,729 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Futures Contracts as of June 30, 2016 | ||||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date |
Number of |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| Australian Treasury Bonds | SFE | Buy | 9/15/16 | 500 | $ | 50,788,807 | $ | 442,046 | ||||||||||||||||
| Euro-BTP | EUX | Buy | 9/8/16 | 180 | 28,487,060 | 212,406 | ||||||||||||||||||
| Euro-BUXL | EUX | Sell | 9/8/16 | 160 | 34,830,169 | (2,298,773) | ||||||||||||||||||
| Euro-OAT | EUX | Sell | 9/8/16 | 410 | 73,159,047 | (380,926) | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Buy | 9/21/16 | 4,072 | 541,512,375 | (1,120,679) | ||||||||||||||||||
| United States Treasury Nts., 5 yr. | CBT | Buy | 9/30/16 | 1,000 | 122,164,063 | 34,393 | ||||||||||||||||||
| United States Ultra Bonds | CBT | Sell | 9/21/16 | 144 | 26,838,000 | 210,022 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ (2,901,511) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Over-the-Counter Options Written at June 30, 2016 | ||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| AUD Currency Put | CITNA-B | JPY | 75.000 | 9/15/16 | AUD | (200,000,000) | $ 4,604,398 | $(3,169,368) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| AUD Currency Put | JPM | JPY | 75.000 | 9/15/16 | AUD | (100,000,000) | 2,242,518 | (1,584,684) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BRL Currency Put | CITNA-B | BRL | 3.560 | 9/29/16 | BRL | (712,000,000) | 2,948,455 | (2,759,712) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BRL Currency Call | CITNA-B | BRL | 3.120 | 9/29/16 | BRL | (624,000,000) | 2,129,606 | (2,300,064) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BRL Currency Put | GSG | JPY | 28.000 | 8/25/16 | BRL | (132,100,000) | 1,194,652 | (241,598) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BRL Currency Put | GSG | JPY | 28.000 | 8/18/16 | BRL | (175,000,000) | 1,779,392 | (251,320) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| BRL Currency Put | JPM | JPY | 29.100 | 9/6/16 | BRL | (225,000,000) | 2,169,911 | (951,349) | ||||||||||||||||
|
|
||||||||||||||||||||||||
25 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||
| Over-the-Counter Options Written (Continued)
|
| |||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| COP Currency Put | GSG | COP | 3200.000 | 9/13/16 | COP | (160,000,000,000) | $ 800,000 | $ (640,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| COP Currency Put | JPM | COP | 3200.000 | 9/13/16 | COP | (160,000,000,000) | 832,850 | (640,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| EUR Currency Put | BOA | EUR | 1.070 | 11/24/16 | EUR | (150,000,000) | 1,990,842 | (1,900,800) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| EUR Currency Call | BOA | EUR | 1.160 | 11/24/16 | EUR | (150,000,000) | 2,157,774 | (1,461,900) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| EUR Currency Put | GSG | EUR | 1.060 | 9/7/16 | EUR | (100,000,000) | 234,578 | (475,200) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| EUR Currency Call | GSG | EUR | 1.145 | 8/24/16 | EUR | (150,000,000) | 1,369,581 | (646,950) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| EUR Currency Put | GSG | EUR | 1.080 | 8/24/16 | EUR | (150,000,000) | 1,278,455 | (1,013,700) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| GBP Currency Put | BOA | GBP | 1.310 | 7/13/16 | GBP | (50,000,000) | 908,250 | (516,100) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| GBP Currency Put | GSG | GBP | 1.310 | 7/13/16 | GBP | (50,000,000) | 812,265 | (511,250) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| GBP Currency Put | GSG | GBP | 1.351 | 7/25/16 | GBP | (150,000,000) | 1,936,943 | (5,502,150) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| GBP Currency Put | JPM | GBP | 1.364 | 7/1/16 | GBP | (100,000,000) | 1,037,327 | (3,870,200) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| IDR Currency Call | GOL | IDR | 12850.000 | 9/29/16 | IDR | (963,750,000,000) | 607,500 | — | ||||||||||||||||
|
|
||||||||||||||||||||||||
| IDR Currency Put | GSG | IDR | 13750.000 | 9/29/16 | IDR | (1,031,250,000,000) | 780,000 | (1,031,250) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| IDR Currency Put | SCB | IDR | 14100.000 | 6/22/17 | IDR | (7,05,000,000,000) | 2,193,000 | (2,115,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| INR Currency Call | JPM | INR | 67.250 | 12/28/16 | INR | (6,725,000,000) | 572,170 | (699,400) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| INR Currency Put | JPM | INR | 72.500 | 12/28/16 | INR | (7,250,000,000) | 1,031,220 | (906,250) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Call | BOA | JPY | 95.000 | 9/26/16 | JPY | (28,500,000,000) | 2,880,001 | (1,596,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Call | CITNA-B | JPY | 95.000 | 9/26/16 | JPY | (19,000,000,000) | 1,840,344 | (1,064,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Call | GSG | KRW | 11.200 | 8/5/16 | JPY | (8,000,000,000) | 1,046,933 | (1,432,109) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Put | GSG | JPY | 106.000 | 10/3/16 | JPY | (26,500,000,000) | 3,087,000 | (3,736,500) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Call | GSG | JPY | 95.000 | 9/27/16 | JPY | (23,750,000,000) | 2,572,001 | (1,353,750) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Put | GSG | JPY | 106.000 | 9/27/16 | JPY | (26,500,000,000) | 2,619,000 | (2,994,500) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| JPY Currency Call | JPM | KRW | 11.000 | 7/5/16 | JPY | (11,000,000,000) | 1,460,742 | (1,589,163) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| KRW Currency Call | CITNA-B | KRW | 1144.000 | 8/24/16 | KRW | (114,400,000,000) | 838,754 | (1,372,800) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| KRW Currency Put | CITNA-B | KRW | 1239.500 | 8/24/16 | KRW | (123,950,000,000) | 838,753 | (247,900) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| KRW Currency Put | GSG | KRW | 1240.000 | 8/25/16 | KRW | (124,000,000,000) | 989,998 | (248,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| KRW Currency Call | GSG | KRW | 1150.000 | 8/25/16 | KRW | (115,000,000,000) | 860,005 | (1,610,000) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MXN Currency Call | CITNA-B | MXN | 16.476 | 7/29/16 | MXN | (1,647,600,000) | 709,000 | (3,295) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MXN Currency Put | GSG | MXN | 19.300 | 9/23/16 | MXN | (2,412,500,000) | 1,637,500 | (1,461,975) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MXN Currency Call | GSG | MXN | 17.400 | 9/23/16 | MXN | (2,175,000,000) | 900,000 | (713,400) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MXN Currency Put | JPM | MXN | 18.000 | 8/2/16 | MXN | (900,000,000) | 684,100 | (1,380,600) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MYR Currency Put | GSG | MYR | 3.987 | 8/4/16 | MYR | (197,310,000) | 1,167,925 | (1,056,990) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MYR Currency Put | JPM | MYR | 4.275 | 9/2/16 | MYR | (418,950,000) | 1,521,940 | (522,850) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MYR Currency Call | JPM | MYR | 4.100 | 9/2/16 | MYR | (200,900,000) | 779,100 | (1,393,643) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| MYR Currency Put | SCB | MYR | 4.095 | 9/23/16 | MYR | (225,225,000) | 734,800 | (1,041,215) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| NZD Currency Call | BOA | NZD | 0.700 | 11/24/16 | NZD | (200,000,000) | 2,422,000 | (5,717,800) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| NZD Currency Call1 | GSG | NZD | 0.675 | 7/27/16 | NZD | (150,000,000) | 2,369,250 | (5,597,700) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| RUB Currency Put | GSG | RUB | 68.000 | 9/19/16 | RUB | (5,100,000,000) | 2,111,250 | (1,494,300) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| SGD Currency Put | GSG | SGD | 1.420 | 10/12/16 | SGD | (142,000,000) | 651,200 | (252,618) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| U.S. Treasury Debt Put | BOA | USD | 99.913 | 9/22/16 | USD | (30,000,000) | 956,250 | (370,625) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| U.S. Treasury Debt Put | BOA | USD | 99.188 | 9/22/16 | USD | (60,000,000) | 1,912,500 | (720,547) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| U.S. Treasury Debt Put | BOA | USD | 100.094 | 9/9/16 | USD | (60,000,000) | 1,743,750 | (722,528) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| ZAR Currency Put | GSG | ZAR | 16.000 | 9/21/16 | ZAR | (800,000,000) | 927,000 | (872,800) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| ZAR Currency Call | GSG | ZAR | 13.900 | 9/21/16 | ZAR | (695,000,000) | 473,000 | (519,860) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| ZAR Currency Put | GSG | ZAR | 15.800 | 9/23/16 | ZAR | (790,000,000) | 720,000 | (1,047,540) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| ZAR Currency Put | GSG | ZAR | 15.400 | 8/4/16 | ZAR | (1,155,000,000) | 2,557,500 | (957,495) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| ZAR Currency Call | GSG | ZAR | 13.800 | 9/23/16 | ZAR | (690,000,000) | 690,000 | (462,300) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total of Over-the-Counter Options Written | $ 80,313,283 | $ (76,743,048) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
1. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 0.6405 USD per 1 NZD.
26 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps at June 30, 2016
|
| |||||||||||||||||||||||||||||||
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/(Paid) |
Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Alpha Bank AE | BAC | Buy | 5.000% | 3/20/17 | EUR | 5,335 | $ | (626,176) | $ | 421,341 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Argentine Republic | BOA | Buy | 5.000 | 6/20/17 | USD | 10,000 | 311,746 | (347,538) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 4,405 | — | 162,753 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 4,405 | (4,878) | 162,753 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Banco Santander SA | BAC | Sell | 3.000 | 9/20/17 | EUR | 20,000 | (72,359) | 609,730 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Banco Santander SA | BOA | Sell | 3.000 | 12/20/17 | EUR | 5,000 | (106,178) | 175,353 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Banco Santander SA | UBS | Sell | 3.000 | 9/20/17 | EUR | 8,850 | (31,905) | 269,806 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BNP | Buy | 1.000 | 12/20/17 | USD | 75,000 | (1,570,342) | (42,876) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BNP | Buy | 1.000 | 12/20/17 | USD | 25,000 | (531,654) | (14,292) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BNP | Buy | 1.000 | 12/20/17 | USD | 50,000 | (975,740) | (28,584) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BNP | Sell | 1.000 | 12/20/18 | USD | 10,265 | 812,157 | (145,712) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | BNP | Sell | 1.000 | 6/20/21 | USD | 75,000 | 9,145,538 | (6,893,419) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Federative Republic of Brazil | DEU | Buy | 1.000 | 12/20/17 | USD | 50,000 | (1,080,723) | (28,584) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| French Republic Bond | GSG | Buy | 0.250 | 6/20/21 | USD | 100,000 | (306,717) | 797,290 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD | 3,090 | 1,174,372 | (824,693) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD | 3,090 | 1,097,122 | (824,693) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Hellenic Republic | GSG | Sell | 1.000 | 3/20/20 | USD | 5,000 | 1,950,556 | (1,334,455) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Hellenic Republic | GSG | Sell | 1.000 | 6/20/17 | USD | 10,000 | 1,501,111 | (1,200,755) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Hellenic Republic | GSG | Sell | 1.000 | 9/20/20 | USD | 20,000 | 7,000,000 | (5,630,429) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| ICICI Bank Ltd. | GSG | Sell | 1.000 | 12/20/19 | USD | 10,000 | 359,971 | (144,969) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kingdom of Spain | GSG | Buy | 1.000 | 12/20/20 | USD | 50,000 | (54,790) | (30,672) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kingdom of Spain | GSG | Buy | 1.000 | 6/20/20 | USD | 50,000 | 47,068 | (117,639) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kingdom of Spain | GSG | Buy | 1.000 | 6/20/20 | USD | 50,000 | 70,615 | (117,639) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BAC | Buy | 1.000 | 12/20/20 | USD | 6,855 | (481,199) | 93,506 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BNP | Buy | 1.000 | 12/20/20 | USD | 6,445 | (328,478) | 87,914 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BNP | Buy | 1.000 | 12/20/20 | USD | 6,445 | (257,865) | 87,914 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BOA | Buy | 1.000 | 12/20/20 | USD | 3,430 | (237,809) | 46,787 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BOA | Buy | 1.000 | 12/20/20 | USD | 6,915 | (369,675) | 94,325 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BOA | Buy | 1.000 | 12/20/20 | USD | 7,065 | (369,590) | 96,371 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | BOA | Buy | 1.000 | 12/20/20 | USD | 6,855 | (469,331) | 93,506 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Malaysia | MOS-A | Buy | 1.000 | 12/20/20 | USD | 6,910 | (436,947) | 94,256 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| People’s Republic of China | GSG | Sell | 1.000 | 6/20/20 | USD | 75,000 | (519,283) | 211,128 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Portuguese Republic | GSG | Buy | 1.000 | 12/20/17 | USD | 25,000 | (705,360) | 275,682 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Portuguese Republic | GSG | Buy | 1.000 | 12/20/17 | USD | 25,000 | (354,145) | 275,682 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Portuguese Republic | GSG | Buy | 1.000 | 12/20/17 | USD | 25,000 | (720,209) | 275,682 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
27 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED 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 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Reliance Industries Ltd. | GSG | Sell | 1.000% | 6/20/21 | USD | 10,000 | $ | 448,896 | $ | (507,388) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BAC | Buy | 1.000 | 12/20/20 | USD | 6,855 | (584,765) | 169,288 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BAC | Buy | 1.000 | 12/20/20 | USD | 7,235 | (466,961) | 178,672 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BNP | Buy | 1.000 | 9/20/20 | USD | 9,620 | (677,203) | 191,497 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BNP | Buy | 1.000 | 12/20/20 | USD | 6,855 | (591,941) | 169,288 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BNP | Buy | 1.000 | 12/20/20 | USD | 12,890 | (794,162) | 318,326 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BNP | Buy | 1.000 | 6/20/21 | USD | 10,000 | (480,296) | 352,499 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Indonesia | BOA | Buy | 1.000 | 9/20/20 | USD | 16,035 | (1,115,327) | 319,195 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Italy | GSG | Sell | 1.000 | 12/20/20 | USD | 50,000 | 250,887 | (774,953) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Peru | BNP | Buy | 1.000 | 12/20/20 | USD | 11,175 | (319,257) | 95,548 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Peru | JPM | Buy | 1.000 | 12/20/20 | USD | 5,000 | (249,340) | 42,751 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | BNP | Buy | 1.000 | 6/20/18 | USD | 15,000 | (30,666) | (7,389) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | BNP | Buy | 1.000 | 6/20/18 | USD | 15,000 | (29,493) | (7,389) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | CITNA-B | Buy | 1.000 | 6/20/21 | USD | 10,000 | (814,174) | 622,088 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | GSG | Buy | 1.000 | 12/20/20 | USD | 17,219 | (1,641,415) | 822,217 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | GSG | Buy | 1.000 | 6/20/21 | USD | 20,000 | (1,577,972) | 1,244,176 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Turkey | HSBC | Buy | 1.000 | 12/20/20 | USD | 6,105 | (587,330) | 291,517 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Russian Federation | BNP | Buy | 1.000 | 12/20/20 | USD | 6,915 | (738,227) | 304,760 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Russian Federation | GSG | Buy | 1.000 | 6/20/21 | USD | 15,000 | (1,047,367) | 871,871 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| State Bank of India | BNP | Sell | 1.000 | 9/20/19 | USD | 13,035 | 537,811 | (74,946) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Telefonica SA | UBS | Sell | 1.000 | 9/20/17 | EUR | 5,000 | (21) | 49,935 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Credit Default Swaps | $ | 2,350,580 | $ | (8,723,607) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
| Type of Reference Asset on which the Fund Sold Protection |
Total
Maximum for Selling
Credit |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||||||||
| Investment Grade Single |
$ | 33,035,000 | $ | — | BBB+ to BBB- | |||||||||
| Name Corporate Debt |
||||||||||||||
| Investment Grade Single |
47,660,000 | EUR | — | EUR | A- to BBB- | |||||||||
| Name Corporate Debt |
||||||||||||||
| Investment Grade |
$ | 125,000,000 | $ | — | AA- to BBB+ | |||||||||
| Sovereign Debt |
||||||||||||||
| Non-Investment Grade |
BB+ to B- | |||||||||||||
| Sovereign Debt |
$ | 126,445,000 | $ | 200,000,000 | ||||||||||
|
|
|
|
|
|||||||||||
| Total USD |
$ | 284,480,000 | $ | 200,000,000 | ||||||||||
|
|
|
|
|
|||||||||||
| Total EUR |
47,660,000 | EUR | — | EUR | ||||||||||
|
|
|
|
|
|||||||||||
28 OPPENHEIMER INTERNATIONAL BOND FUND
*The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
**The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
|
|
||||||||||||||||||||||||||||||||
| Centrally Cleared Interest Rate Swaps at June 30, 2016
|
||||||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received / (Paid) |
Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| BAC | Pay | BBA LIBOR | 1.151% | 2/18/21 | USD | 174,000 | $ | — | $ | (2,163,296) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| BAC | Receive | BBA LIBOR | 0.738 | 4/25/46 | JPY | 8,910,000 | — | (3,426,974) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| BOA | Pay | BBA LIBOR | 0.515 | 4/4/36 | JPY | 1,450,000 | — | 1,008,963 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month CAD | ||||||||||||||||||||||||||||||||
| BOA | Pay | BA CDOR | 0.960 | 6/21/18 | CAD | 500,000 | 1,497 | 723,564 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| BOA | Receive | BBA LIBOR | 0.625 | 4/4/46 | JPY | 1,000,000 | — | (1,188,147) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||||||||||
| BOA | Pay | BBR FRA | 2.150 | 5/13/18 | NZD | 256,000 | — | (383,882) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||||||||||
| BOA | Pay | BBR FRA | 2.280 | 5/5/18 | NZD | 128,000 | — | 17,308 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||||||||||
| BOA | Pay | BBR FRA | 2.268 | 5/23/18 | NZD | 256,000 | — | (256) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month AUD | ||||||||||||||||||||||||||||||||
| BOA | Receive | BBR BBSW | 1.818 | 7/1/19 | AUD | 256,000 | — | (174,774) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month AUD | ||||||||||||||||||||||||||||||||
| BOA | Pay | BBR BBSW | 5.480 | 3/12/24 | – | – | — | (48,372) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| BOA | Receive | BBA LIBOR | 1.609 | 2/24/26 | USD | 10,500 | — | (299,795) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month CAD | ||||||||||||||||||||||||||||||||
| BOA | Receive | BA CDOR | 1.065 | 6/21/18 | CAD | 203,000 | (1,519 | ) | (1,092,617) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 2.396 | 10/29/24 | USD | 6,660 | — | (622,371) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 0.570 | 6/1/46 | JPY | 3,800,000 | — | (3,898,545) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| GSG | Pay | BBA LIBOR | 0.140 | 7/1/36 | JPY | 2,500,000 | — | (79,222) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 0.170 | 7/1/46 | JPY | 1,680,000 | — | 190,843 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 1.780 | 6/10/21 | PLN | 200,000 | — | (23,434) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month JPY | ||||||||||||||||||||||||||||||||
| GSG | Pay | BBA LIBOR | 0.440 | 6/1/36 | JPY | 5,550,000 | — | 3,026,269 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 1.616 | 3/26/26 | USD | 10,500 | — | (292,370) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 1.538 | 1/15/19 | PLN | 170,000 | — | (113,856) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| GSG | Receive | BBA LIBOR | 1.668 | 4/23/26 | USD | 10,500 | — | (322,050) | ||||||||||||||||||||||||
29 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED 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) |
Premiums Received / (Paid) |
Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month NZD | ||||||||||||||||||||||||||||||||
| GSG | Pay | BBR FRA | 2.230% | 5/19/18 | NZD | 204,000 | $ | — | $ | (104,816) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month EUR | ||||||||||||||||||||||||||||||||
| GSG | Receive | EURIBOR | 1.361 | 5/9/46 | EUR | 89,000 | — | (3,817,357) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||||||||||
| JPM | Pay | WIBOR WIBO | 2.315 | 1/15/26 | PLN | 90,200 | — | 357,402 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| JPM | Receive | BBA LIBOR | 2.399 | 10/29/24 | USD | 6,190 | — | (579,960) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Six-Month EUR | ||||||||||||||||||||||||||||||||
| JPM | Receive | EURIBOR | 0.888 | 9/19/28 | EUR | 75,000 | — | (1,062,876) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||||||
| JPM | Pay | BANXICO | 4.600 | 3/30/18 | MXN | 900,000 | — | (289,419) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Three-Month USD | ||||||||||||||||||||||||||||||||
| JPM | Receive | BBA LIBOR | 1.637 | 2/22/26 | USD | 16,000 | — | (512,389) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Centrally Cleared Interest Rate Swaps | $ | (22) | $ | (15,172,429) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps at June 30, 2016
|
||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Pay | BZDI | 13.450% | 1/2/19 | BRL | 98,500 | $ | 460,736 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| BAC | Pay | BANXICO | 3.795 | 11/17/16 | MXN | 1,680,000 | (268,862) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BNP | Pay | BZDI | 13.400 | 1/2/19 | BRL | 95,000 | 415,323 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| One-Time INR | ||||||||||||||||||||||||||||
| MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Receive | Compound | 6.935 | 2/24/17 | INR | 17,800,000 | (804,356) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month INR | ||||||||||||||||||||||||||||
| FBIL MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Pay | Compound | 6.390 | 4/11/18 | INR | 3,500,000 | (160,753) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| BOA | Pay | BANXICO | 4.600 | 3/30/18 | MXN | 1,350,000 | (434,128) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month INR | ||||||||||||||||||||||||||||
| FBIL MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Pay | Compound | 6.760 | 2/24/21 | INR | 4,050,000 | 24,602 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month INR | ||||||||||||||||||||||||||||
| FBIL MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Pay | Compound | 6.390 | 4/18/18 | INR | 7,200,000 | (329,624) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| One-Time INR | ||||||||||||||||||||||||||||
| MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Receive | Compound | 6.720 | 3/2/17 | INR | 18,000,000 | (277,354) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month INR | ||||||||||||||||||||||||||||
| FBIL MIBOR OIS | ||||||||||||||||||||||||||||
| BOA | Pay | Compound | 6.540 | 3/2/21 | INR | 4,035,000 | (604,398) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month SGD | ||||||||||||||||||||||||||||
| BOA | Pay | SOR VWAP | 1.545 | 5/19/18 | SGD | 208,000 | 324,482 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month MYR | ||||||||||||||||||||||||||||
| BOA | Receive | KLIBOR BNM | 3.700 | 6/15/21 | MYR | 270,000 | (347,168) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| BOA | Pay | BANXICO | 3.825 | 12/16/16 | MXN | 1,710,600 | (352,058) | |||||||||||||||||||||
30 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps (Continued)
|
||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| DEU | Pay | BZDI | 13.130% | 1/2/25 | BRL | 45,000 | $ | 300,406 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| DEU | Pay | BZDI | 13.430 | 1/2/19 | BRL | 195,000 | 887,020 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month | ||||||||||||||||||||||||||||
| COP IBR OIS | ||||||||||||||||||||||||||||
| GSG | Pay | Compound | 6.370 | 3/10/19 | COP | 120,000,000 | (166,554) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| GSG | Pay | BANXICO | 6.066 | 3/26/26 | MXN | 225,000 | 1,950 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month | ||||||||||||||||||||||||||||
| COP IBR OIS | ||||||||||||||||||||||||||||
| GSG | Pay | COMPOUND | 6.570 | 6/8/18 | COP | 170,000,000 | 24,410 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| GSG | Pay | BANXICO | 6.103 | 4/23/26 | MXN | 220,000 | 29,877 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||||||
| GSG | Pay | TNA | 4.350 | 1/14/21 | CLP | 23,500,000 | 529,618 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSG | Pay | BZDI | 12.850 | 1/2/25 | BRL | 47,000 | 200,495 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month PLN | ||||||||||||||||||||||||||||
| GSG | Pay | WIBOR WIBO | 1.860 | 5/20/20 | PLN | 200,000 | 341,711 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| GSG | Pay | BANXICO | 3.815 | 12/15/16 | MXN | 1,730,000 | (337,732) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| HSBC | Receive | BANXICO | 5.180 | 4/13/20 | MXN | 382,000 | 108,532 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM | Receive | BZDI | 12.460 | 1/4/21 | BRL | 1,220,000 | (1,256,547) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM | Pay | BZDI | 13.080 | 1/2/23 | BRL | 705,000 | 1,162,055 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 7.300 | 6/1/26 | COP | 39,425,000 | 314,316 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| JPM | Pay | BANXICO | 5.947 | 2/6/26 | MXN | 340,000 | (126,286) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||||||
| JPM | Pay | IBR OIS | 6.090 | 10/29/24 | COP | 15,470,000 | (265,700) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM | Pay | BZDI | 16.050 | 1/2/18 | BRL | 317,000 | 4,559,740 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month | ||||||||||||||||||||||||||||
| COP IBR OIS | ||||||||||||||||||||||||||||
| JPM | Pay | Compound | 5.790 | 2/10/25 | COP | 32,000,000 | (798,896) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| JPM | Receive | BANXICO | 5.230 | 4/7/20 | MXN | 320,000 | 56,190 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month KRW | ||||||||||||||||||||||||||||
| JPM | Receive | CD KSDA | 3.080 | 6/10/18 | KRW | 132,000,000 | (4,175,309) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| JPM | Receive | BANXICO | 5.185 | 4/9/20 | MXN | 350,000 | 96,072 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month | ||||||||||||||||||||||||||||
| COP IBR OIS | ||||||||||||||||||||||||||||
| JPM | Pay | Compound | 6.590 | 3/4/19 | – | – | 2,400 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Three-Month COP | ||||||||||||||||||||||||||||
| MOS-A | Pay | IBR OIS | 6.090 | 10/29/24 | COP | 15,940,000 | (273,804) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| One-Time CLP | ||||||||||||||||||||||||||||
| SIB | Receive | TNA | 3.640 | 6/22/17 | CLP | 71,000,000 | (168,878) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Six-Month CLP | ||||||||||||||||||||||||||||
| SIB | Pay | TNA | 4.050 | 6/22/21 | CLP | 7,600,000 | 14,336 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Receive | BZDI | 14.400 | 1/4/21 | BRL | 70,000 | (1,127,461) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Pay | BZDI | 12.380 | 1/2/19 | BRL | 200,000 | (139,489) | |||||||||||||||||||||
31 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps (Continued)
|
||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Pay | BZDI | 14.670% | 1/2/25 | BRL | 62,500 | $ | 1,193,832 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Receive | BZDI | 13.400 | 1/4/21 | BRL | 69,000 | (588,205) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Pay | BZDI | 13.625 | 1/2/25 | BRL | 53,000 | 568,452 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Pay | BZDI | 14.700 | 1/2/25 | BRL | 55,000 | 1,061,840 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MXN TIIE | ||||||||||||||||||||||||||||
| SIB | Pay | BANXICO | 6.060 | 2/10/26 | MXN | 220,000 | 17,802 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SIB | Receive | BZDI | 14.450 | 1/4/21 | BRL | 77,500 | (1,279,490) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total of Over-the-Counter Interest Rate Swaps | $ | (1,586,855) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Written at June 30, 2016
|
||||||||||||||||||||||||||||||||
| Description | Counter- party |
Buy/Sell Protection |
Reference Asset |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000% | 9/21/16 | 50,000 | $ | 630,000 | $ | (390,420) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 50,000 | 420,000 | (455,805) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 50,000 | 615,000 | (390,420) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 50,000 | 385,000 | (455,805) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 60,000 | 408,000 | (364,290) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 60,000 | 360,000 | (308,910) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 50,000 | 540,000 | (390,420) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 06/20/21 | CDX. | |||||||||||||||||||||||||||||||
| Call | JPM | Sell | NA.HY.26 | 5.000 | 9/21/16 | 50,000 | 450,000 | (455,805) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Credit Default Swaptions Written | $ | 3,808,000 | $ | (3,211,875) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written at June 30, 2016
|
||||||||||||||||||||||||||||||||
| Description | Counter- party |
Pay/ Receive |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/21/37 Call |
BAC | Pay |
|
Six- Month EUR EURIBOR |
|
1.618% | 5/19/17 | EUR | 100,000 | $ | 3,369,904 | $ | (2,152,955) | |||||||||||||||||||
32 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written (Continued)
|
||||||||||||||||||||||||||||||||||||
| Description | Counter- party |
Pay/ Receive |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/25/26 |
|
Six-Month EUR |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | EURIBOR | 0.908% | 7/21/16 | EUR | 50,000 | $ | 169,342 | $ | (3,590) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/26/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | CDOR | 1.190 | 7/26/16 | CAD | 200,000 | 547,122 | (86,102) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 12/13/26 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | LIBOR | 2.715 | 12/9/16 | USD | 150,000 | 675,000 | (149,570) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 2/1/27 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | LIBOR | 1.620 | 1/30/17 | USD | 100,000 | 1,500,000 | (3,196,696) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 12/13/26 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | LIBOR | 2.415 | 12/9/16 | USD | 150,000 | 1,380,000 | (305,632) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/26/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | CDOR | 0.990 | 7/26/16 | CAD | 200,000 | 620,328 | (841,793) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/25/21 |
|
Three-Month AUD BBR |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | BBSW | 2.130 | 8/24/16 | AUD | 150,000 | 673,547 | (1,030,881) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/29/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | CDOR | 1.238 | 8/29/16 | CAD | 150,000 | 559,658 | (184,007) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/19/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | CDOR | 1.250 | 8/19/16 | CAD | 150,000 | 517,920 | (130,872) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/26/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | CDOR | 1.088 | 8/29/16 | CAD | 150,000 | 559,659 | (1,209,640) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/19/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | CDOR | 1.050 | 8/19/16 | CAD | 150,000 | 517,921 | (1,015,473) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/31/19 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | LIBOR | 0.800 | 1/27/17 | USD | 500,000 | 1,000,000 | (1,577,305) | |||||||||||||||||||||||||||
33 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
||||||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written (Continued)
|
||||||||||||||||||||||||||||||||||||
| Description | Counter- party |
Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/19/19 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | LIBOR | 1.000% | 1/17/17 | USD | 500,000 | $ | 1,600,000 | $ | (2,886,725) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/22/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | CDOR | 1.108 | 7/22/16 | CAD | 150,000 | 1,029,506 | (96,511) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/19/19 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | LIBOR | 0.800 | 1/17/17 | USD | 500,000 | 1,100,000 | (1,559,470) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/19/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | CDOR | 1.000 | 9/19/16 | CAD | 150,000 | 880,845 | (1,021,431) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/30/26 | MXN TIIE | |||||||||||||||||||||||||||||||||||
| Call | BOA | Pay | BANXICO | 7.000 | 8/10/16 | MXN | 1,000,000 | 2,288,203 | (3,246) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/22/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | CDOR | 1.108 | 7/22/16 | CAD | 150,000 | 1,029,505 | (1,122,146) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/19/21 |
|
Three-Month CAD BA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Pay | CDOR | 1.000 | 9/19/16 | CAD | 150,000 | 862,980 | (670,576) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/31/19 |
|
Three-Month USD BBA |
|
|||||||||||||||||||||||||||||||||
| Call | BOA | Receive | LIBOR | 1.000 | 1/27/17 | USD | 500,000 | 1,500,000 | (2,893,910) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/5/36 |
|
Six-Month JPY BBA |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Pay | LIBOR | 0.660 | 9/1/16 | JPY | 7,500,000 | 342,481 | (1,036,753) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/7/47 |
|
Six-Month EUR |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Pay | EURIBOR | 1.810 | 6/5/17 | EUR | 100,000 | 5,753,820 | (2,381,628) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/30/24 |
|
Three-Month KRW CD |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Pay | KSDA | 4.530 | 4/29/19 | KRW | 100,000,000 | 579,626 | (47,412) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/5/38 |
|
Six-Month JPY BBA |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Pay | LIBOR | 1.303 | 6/1/18 | JPY | 7,500,000 | 1,109,640 | (2,922,257) | |||||||||||||||||||||||||||
34 OPPENHEIMER INTERNATIONAL BOND FUND
|
|
||||||||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written (Continued)
|
||||||||||||||||||||||||||||||||||||
| Description | Counter- party |
Pay/ Receive |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/7/47 |
|
Six-Month EUR |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Receive | EURIBOR | 1.810% | 6/5/17 | EUR | 100,000 | $ | 5,753,820 | $ | (13,168,079) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/25/21 |
|
Six-Month PLN WIBOR |
|
|||||||||||||||||||||||||||||||||
| Call | GSG | Pay | WIBO | 1.890 | 7/21/16 | PLN | 190,000 | 294,010 | (61,055) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/5/21 |
|
Three-Month SEK STIBOR |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | SIDE | 0.348 | 9/1/16 | SEK | 750,000 | 386,428 | (26,795) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 2/12/29 |
|
Three-Month KRW CD |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | KSDA | 4.610 | 2/11/19 | KRW | 100,000,000 | 1,026,886 | (63,326) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/5/21 |
|
Three-Month SEK STIBOR |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Receive | SIDE | 0.348 | 9/1/16 | SEK | 750,000 | 386,428 | (1,412,694) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/29/36 |
|
Six-Month JPY BBA |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | LIBOR | 1.069 | 7/27/16 | JPY | 7,000,000 | 672,085 | (192,158) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/29/36 |
|
Six-Month JPY BBA |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | LIBOR | 1.169 | 7/27/16 | JPY | 7,000,000 | 424,474 | (171,277) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/25/21 |
|
Six-Month PLN WIBOR |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | WIBO | 1.880 | 7/21/16 | PLN | 160,000 | 247,587 | (57,205) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/31/36 |
|
Six-Month JPY BBA |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | LIBOR | 0.474 | 8/26/16 | JPY | 5,000,000 | 784,135 | (725,111) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/26/27 |
|
Six-Month EUR |
|
|||||||||||||||||||||||||||||||||
| Call | JPM | Pay | EURIBOR | 0.797 | 4/24/17 | EUR | 100,000 | 2,852,277 | (1,837,138) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total of Over-the-Counter Interest Rate Swaptions Written | $ | 42,995,137 | $ | (46,241,419) | ||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
Glossary:
Counterparty Abbreviations
| BAC | Barclays Bank plc | |||
| BNP | BNP Paribas |
35 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Counterparty Abbreviations (Continued) | ||
| BOA |
Bank of America NA | |
| CITNA-B |
Citibank NA | |
| DEU |
Deutsche Bank AG | |
| GOL |
Goldman Sachs & Co. | |
| GSCO-OT |
Goldman Sachs Bank USA | |
| GSG |
Goldman Sachs Group, Inc. (The) | |
| HSBC |
HSBC Bank USA NA | |
| JPM |
JPMorgan Chase Bank NA | |
| MOS |
Morgan Stanley & Co., Inc. | |
| MOS-A |
Morgan Stanley | |
| MSCO |
Morgan Stanley Capital Services, Inc. | |
| RBS |
Royal Bank of Scotland plc (The) | |
| SCB |
Standard Chartered Bank | |
| SIB |
Banco Santander SA | |
| TDB |
Toronto Dominion Bank | |
| UBS |
UBS AG | |
| Currency abbreviations indicate amounts reporting in currencies | ||
| ARS |
Argentine Peso | |
| AUD |
Australian Dollar | |
| BRL |
Brazilian Real | |
| CAD |
Canadian Dollar | |
| CLP |
Chilean Peso | |
| CNH |
Offshore Chinese Renminbi | |
| COP |
Colombian Peso | |
| DKK |
Danish Krone | |
| EUR |
Euro | |
| GBP |
British Pound Sterling | |
| HUF |
Hungarian Forint | |
| IDR |
Indonesian Rupiah | |
| INR |
Indian Rupee | |
| JPY |
Japanese Yen | |
| KRW |
South Korean Won | |
| MXN |
Mexican Nuevo Peso | |
| MYR |
Malaysian Ringgit | |
| NOK |
Norwegian Krone | |
| NZD |
New Zealand Dollar | |
| PHP |
Philippine Peso | |
| PLN |
Polish Zloty | |
| RUB |
Russian Ruble | |
| SEK |
Swedish Krona | |
| SGD |
Singapore Dollar | |
| TRY |
New Turkish Lira | |
| ZAR |
South African Rand | |
| Definitions | ||
| BA CDOR |
Canada Bankers Acceptances Deposit Offering Rate | |
| BANXICO |
Banco de Mexico | |
| BBA LIBOR |
British Bankers’ Association London - Interbank Offered Rate | |
| BBR |
Bank Bill Rate | |
| BBR FRA |
Bank Bill Forward Rate Agreement | |
36 OPPENHEIMER INTERNATIONAL BOND FUND
| Definitions (Continued) | ||
| BBSW |
Bank Bill Swap Reference Rate (Australian Financial Market) | |
| BNM |
Bank Negara Malaysia | |
| BTP |
Italian Treasury Bonds | |
| BUND |
German Federal Obligation | |
| BUXL |
German Federal Obligation | |
| BZDI |
Brazil Interbank Deposit Rate | |
| CD |
Certificate of Deposit | |
| CDX.NA.HY.26 |
Markit CDX North American High Yield | |
| CLP TNA |
Non-Deliverable CLP Camara | |
| EURIBOR |
Euro Interbank Offered Rate | |
| FBIL |
Financial Benchmarks India Private Ltd. | |
| IBR |
Indicador Bancario de Referencia | |
| KLIBOR |
Kuala Lumpur Interbank Offered Rate | |
| KSDA |
Korean Securities Dealers Assn. | |
| MIBOR |
Mumbai Interbank Offered Rate | |
| OAT |
French Government Bonds | |
| OIS |
Overnight Index Swap | |
| SOR VWAP |
Swap Offered Rate Singapore Dollar Index | |
| STIBOR SIDE |
Stockholm Interbank Offered Rate | |
| TIIE |
Interbank Equilibrium Interest Rate | |
| WIBOR WIBO |
Poland Warsaw Interbank Offer Bid Rate | |
| Exchange Abbreviations | ||
| CBT |
Chicago Board of Trade | |
| EUX |
European Stock Exchange | |
| SFE |
Sydney Futures Exchange | |
37 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS June 30, 2016 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.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer International Bond Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in Regulation S securities. Regulation S securities are securities of U.S. and non-U.S. issuers that are issued through private offerings without registration with the Securities and Exchange Commission pursuant to Regulation S under the Securities Act of 1933. The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.
At period end, the Fund owned 1,505,537 shares with net assets of $150,427,653 in the Subsidiary.
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 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
38 OPPENHEIMER INTERNATIONAL BOND FUND
3. Securities Valuation (Continued)
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal 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) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 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) 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
39 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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.
| 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
40 OPPENHEIMER INTERNATIONAL BOND FUND
3. Securities Valuation (Continued)
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 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 Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered are measured using net asset value as a practical expedient, and are not classified in the fair value hierarchy.
The table below categorizes amounts that are included in the Fund’s Consolidated Statement of Assets and Liabilities at period end based on valuation input level:
41 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant Observable |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||
|
|
||||||||||||||||
| Assets Table |
||||||||||||||||
| Investments, at Value: |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 75,196,563 | $ | — | $ | 75,196,563 | ||||||||
| Mortgage-Backed Obligations |
— | 154,607,208 | — | 154,607,208 | ||||||||||||
| Foreign Government Obligations |
— | 3,566,143,754 | — | 3,566,143,754 | ||||||||||||
| Corporate Bonds and Notes |
— | 1,811,953,244 | 163,207 | 1,812,116,451 | ||||||||||||
| Common Stock |
— | — | — | — | ||||||||||||
| Structured Securities |
— | 15,538,076 | 1,129,255 | 16,667,331 | ||||||||||||
| Short-Term Notes |
— | 168,210,331 | — | 168,210,331 | ||||||||||||
| Exchange-Traded Option Purchased |
91,554 | — | — | 91,554 | ||||||||||||
| Over-the-Counter Options Purchased |
— | 30,518,831 | — | 30,518,831 | ||||||||||||
| Over-the-Counter Interest Rate |
||||||||||||||||
| Swaptions Purchased |
— | 38,803,852 | — | 38,803,852 | ||||||||||||
| Investment Company |
228,188,827 | — | — | 228,188,827 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value |
228,280,381 | 5,860,971,859 | 1,292,462 | 6,090,544,702 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
— | 23,071,604 | — | 23,071,604 | ||||||||||||
| Centrally cleared swaps, at value |
— | 5,324,349 | — | 5,324,349 | ||||||||||||
| Futures contracts |
898,867 | — | — | 898,867 | ||||||||||||
| Forward currency exchange contracts |
— | 226,050,112 | — | 226,050,112 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 229,179,248 | $ | 6,115,417,924 | $ | 1,292,462 | $ | 6,345,889,634 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
$ | — | $ | (33,382,066) | $ | — | $ | (33,382,066) | ||||||||
| Centrally cleared swaps, at value |
— | (20,496,778) | — | (20,496,778) | ||||||||||||
| Options written, at value |
— | (76,743,048) | — | (76,743,048) | ||||||||||||
| Futures contracts |
(3,800,378) | — | — | (3,800,378) | ||||||||||||
| Forward currency exchange contracts |
— | (213,436,729) | — | (213,436,729) | ||||||||||||
| Swaptions written, at value |
— | (49,453,294) | — | (49,453,294) | ||||||||||||
|
|
|
|||||||||||||||
| Total Liabilities |
$ | (3,800,378) | $ | (393,511,915) | $ | — | $ | (397,312,293) | ||||||||
|
|
|
|||||||||||||||
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.
42 OPPENHEIMER INTERNATIONAL BOND FUND
3. Securities Valuation (Continued)
| Transfers into Level 2* | Transfers out of Level 3* | |||||||||||
| Assets Table |
||||||||||||
| Investments, at Value: |
||||||||||||
| Asset-Backed Securities |
$ | 11,360,715 | $ | (11,360,715 | ) | |||||||
| Non-Convertible Corporate Bonds and Notes |
14,713,594 | (14,713,594 | ) | |||||||||
|
|
|
|||||||||||
| Total Assets |
$ | 26,074,309 | $ | (26,074,309 | ) | |||||||
|
|
|
|||||||||||
| *Transferred | from Level 3 to Level 2 due to the availability of market data for this security. |
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign company’s operations or financial condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments may be affected by exchange control regulations, foreign taxes, higher transaction and other costs, delays in the settlement of transactions, changes in economic or monetary policy in the United States or abroad, expropriation or nationalization of a company’s assets, or other political and economic factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
43 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued)
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in a money market Affiliated 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 regulated as a money market fund under the Investment Company Act of 1940, as amended.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations 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.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis as follows:
| When-Issued or | ||||
| Delayed Delivery | ||||
| Basis Transactions | ||||
|
|
||||
| Purchased securities |
$21,556,588 | |||
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
44 OPPENHEIMER INTERNATIONAL BOND FUND
4. Investments and Risks (Continued)
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 at period end is as follows:
| Cost |
$ | 23,612,322 | ||
| Market Value |
$1,123,850 | |||
| Market Value as % of Net Assets |
0.02% |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
45 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
5. Market Risk Factors (Continued)
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.
6. Use of Derivatives
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to 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
46 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (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 Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated 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 Consolidated 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 reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $4,768,501,920 and $7,143,562,235, 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.
47 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated 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 reporting period, the Fund had an ending monthly average market value of $192,387,851 and $292,977,114 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
48 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations 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 Consolidated 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.
The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest 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 individual equity securities and/or equity indexes to increase exposure to equity 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 individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $16,639,007 and $16,674,103 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities 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 Consolidated Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing 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.
49 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 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 reporting period, the Fund had an ending monthly average market value of $20,399,055 and $36,396,275 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the reporting period was as follows:
| Number of Contracts |
Amount of Premiums |
|||||||
|
|
||||||||
| Options outstanding as of | ||||||||
| September 30, 2015 | 103,247,622,415 | $ | 36,982,648 | |||||
| Options written | 9,744,399,361,250 | 353,682,977 | ||||||
| Options closed or expired | (100,253,550,000 | ) | (13,976,191 | ) | ||||
| Options exercised | (6,071,550,848,665 | ) | (296,376,151) | |||||
|
|
|
|||||||
| Options outstanding as of June 30, 2016 | 3,675,842,585,000 | $ | 80,313,283 | |||||
|
|
|
|||||||
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities 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 Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
50 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations 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.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
51 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
For the reporting period, the Fund had ending monthly average notional amounts of $610,391,636 and $294,008,221 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.
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. These currency swap contracts increase exposure to, or decrease exposure away from, foreign exchange and interest rate risk.
For the reporting period, the Fund had ending monthly average notional amounts of $24,409,718 and $162,861,254 on currency swaps which pay a fixed rate and which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund 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 reporting period, the Fund had ending monthly average notional amounts of $1,561,317,331 and $2,143,316,296 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.
52 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund has 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 purchased swaptions which gives it the option 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 purchased 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 interest rate swap in which it pays a floating interest rate and receives a fixed
53 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or, indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the reporting period, the Fund had an ending monthly average market value of $31,375,212 and $41,436,190 on purchased and written swaptions, respectively.
Written swaption activity for the reporting period was as follows:
| Notional Amount |
Amount of Premiums |
|||||||
|
|
||||||||
| Swaptions outstanding as of | ||||||||
| September 30, 2015 | 226,133,250,000 | $ | 59,201,573 | |||||
| Swaptions written | 80,517,000,000 | 113,870,255 | ||||||
| Swaptions closed or expired | (18,698,250,000 | ) | (11,657,192 | ) | ||||
| Swaptions exercised | (46,082,000,000 | ) | (114,611,499) | |||||
|
|
|
|||||||
| Swaptions outstanding as of June 30, 2016 | 241,870,000,000 | $ | 46,803,137 | |||||
|
|
|
|||||||
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
54 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
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.
At period end, the Fund has required certain counterparties to post collateral of $111,609,180.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as 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.
55 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 Consolidated 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 Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
7. 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 at period end 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 | $ 6,221,183,246 | |||
| Federal tax cost of other investments | 481,559,621 | |||
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| Total federal tax cost | $ 6,702,742,867 | |||
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| Gross unrealized appreciation | $ 633,821,529 | |||
| Gross unrealized depreciation | (776,312,045) | |||
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| Net unrealized depreciation | $ (142,490,516) | |||
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56 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 6/30/2016, 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: | ||||
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| Principal Executive Officer | ||||
| Date: | 8/12/2016 | |||
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: | ||||
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| Principal Executive Officer | ||||
| Date: | 8/12/2016 | |||
| By: | ||||
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| Principal Financial Officer | ||||
| Date: | 8/12/2016 | |||
| This ‘N-Q’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
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| Filed on / Effective on: | 8/29/16 | |||
| For Period End: | 6/30/16 | N-PX | ||
| 9/30/15 | 24F-2NT, N-CSR, NSAR-B | |||
| List all Filings | ||||