N-Q 1 d720733dnq.htm OPP CORE BOND FUND AND OPP INTEGRITY FUND SERIES Opp Core Bond Fund and Opp Integrity Fund Series

 

 

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 811-3420

 

 

Oppenheimer Integrity Funds

(Exact name of registrant as specified in charter)

 

 

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

 

 

Arthur S. Gabinet

OFI Global Asset Management, Inc.

Two World Financial Center, 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: December 31

Date of reporting period: 3/31/2014

 

 

 


Item 1. Schedule of Investments.


  STATEMENT OF INVESTMENTS    March 31, 2014 / Unaudited  

 

    Principal
Amount
    Value  

Asset-Backed Securities—14.8%

  

Auto Loan—14.0%

  

Ally Master Owner Trust, Series 2012-3, Cl. D, 2.505%, 6/15/171,2   $ 140,000     $ 140,710  

American Credit Acceptance Receivables Trust:

   

Series 2012-2, Cl. A, 1.89%, 7/15/161

    729,087       730,994  

Series 2012-3, Cl. A, 1.64%, 11/15/161

    421,473       422,555  

Series 2012-3, Cl. C, 2.78%, 9/17/181

    610,000       614,098  

Series 2013-2, Cl. B, 2.84%, 5/15/191

        2,563,000       2,616,864  
Series 2014-1, Cl. B, 2.39%, 11/12/191     3,505,000           3,520,189  

AmeriCredit Automobile Receivables Trust:

   

Series 2012-1, Cl. D, 4.72%, 3/8/18

    1,025,000       1,084,820  

Series 2012-2, Cl. D, 3.38%, 4/9/18

    4,740,000       4,931,449  

Series 2012-4, Cl. D, 2.68%, 10/9/18

    1,510,000       1,545,967  

Series 2012-5, Cl. C, 1.69%, 11/8/18

    1,640,000       1,650,126  

Series 2012-5, Cl. D, 2.35%, 12/10/18

    2,445,000       2,482,862  

Series 2013-1, Cl. C, 1.57%, 1/8/19

    2,745,000       2,743,309  

Series 2013-1, Cl. D, 2.09%, 2/8/19

    3,700,000       3,698,936  

Series 2013-1, Cl. E, 2.64%, 7/8/201

    835,000       836,712  

Series 2013-2, Cl. D, 2.42%, 5/8/19

    3,030,000       3,056,714  

Series 2013-2, Cl. E, 3.41%, 10/8/201

    2,385,000       2,428,279  

Series 2013-3, Cl. D, 3.00%, 7/8/19

    1,965,000       2,010,197  

Series 2013-4, Cl. D, 3.31%, 10/8/19

    200,000       206,567  
Series 2013-5, Cl. D, 2.86%, 12/8/19     4,258,000       4,317,471  
California Republic Auto Receivables Trust, Series 2013-2, Cl. C, 3.32%, 8/17/20     1,555,000       1,551,748  

Capital Auto Receivables Asset Trust:

   

Series 2013-1, Cl. D, 2.19%, 9/20/21

    1,265,000       1,256,819  

Series 2013-4, Cl. D, 3.22%, 5/20/19

    705,000       705,727  
Series 2014-1, Cl. D, 3.39%, 7/22/19     785,000       786,382  

Carfinance Capital Auto Trust:

   

Series 2013-1A, Cl. A, 1.65%, 7/17/171

    587,055       589,226  

Series 2013-2A, Cl. B, 3.15%, 8/15/191

    3,560,000       3,606,664  
Series 2014-1A, Cl. A, 1.46%, 12/17/181     1,060,000       1,060,210  
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/161     303,778       312,683  

CPS Auto Receivables Trust:

   

Series 2012-B, Cl. A, 2.52%, 9/16/191

    1,976,660       2,004,552  

Series 2012-C, Cl. A, 1.82%, 12/16/191

    672,569       677,981  
Series 2014-A, Cl. A, 1.21%, 8/15/181     3,521,000       3,522,912  

Credit Acceptance Auto Loan Trust:

   

Series 2012-2A, Cl. A, 1.52%, 3/16/201

    1,025,000       1,030,707  

Series 2012-2A, Cl. B, 2.21%, 9/15/201

    510,000       516,996  

Series 2013-1A, Cl. B, 1.83%, 4/15/211

    1,620,000       1,628,058  
Series 2013-2A, Cl. B, 2.26%, 10/15/213     1,730,000       1,745,128  

DT Auto Owner Trust:

   

Series 2012-1A, Cl. D, 4.94%, 7/16/181

    1,290,000       1,321,293  

Series 2012-2A, Cl. D, 4.35%, 3/15/191

    860,000       881,684  

Series 2013-1A, Cl. D, 3.74%, 5/15/201

    1,185,000       1,207,018  

Series 2013-2A, Cl. D, 4.18%, 6/15/201

    3,290,000       3,383,184  
Series 2014-1A, Cl. D, 3.98%, 1/15/211     2,425,000       2,472,458  

Exeter Automobile Receivables Trust:

   

Series 2012-2A, Cl. B, 2.22%, 12/15/171

    1,415,000       1,430,927  

Series 2012-2A, Cl. C, 3.06%, 7/16/181

    785,000       793,983  

Series 2013-2A, Cl. B, 3.09%, 7/16/181

    2,550,000       2,608,095  

 

1      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Auto Loan (Continued)

  

Exeter Automobile Receivables Trust: (Continued)

   

Series 2013-2A, Cl. C, 4.35%, 1/15/191

  $     2,670,000     $ 2,752,232  

Series 2014-1A, Cl. B, 2.42%, 1/15/191

    1,590,000       1,597,284  
Series 2014-1A, Cl. C, 3.57%, 7/15/191     1,590,000       1,597,897  

First Investors Auto Owner Trust:

   

Series 2012-1A, Cl. D, 5.65%, 4/15/181

    1,055,000       1,104,918  

Series 2013-3A, Cl. B, 2.32%, 10/15/191

    2,610,000       2,597,266  

Series 2013-3A, Cl. C, 2.91%, 1/15/201

    1,110,000       1,104,194  
Series 2013-3A, Cl. D, 3.67%, 5/15/201     820,000       815,619  
Ford Credit Auto Owner Trust, Series 2013-A, Cl. D, 1.86%, 8/15/19     1,845,000       1,830,071  
Ford Credit Floorplan Master Owner Trust A, Series 2012-2, Cl. C, 2.86%, 1/15/19     2,585,000       2,682,294  
Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.404%, 9/25/181,2     2,580,000           2,584,906  
Prestige Auto Receivables Trust, Series 2011-1A, Cl. D, 5.18%, 7/16/181     935,000       960,512  

Santander Drive Auto Receivables Trust:

   

Series 2012-1, Cl. C, 3.78%, 11/15/17

    180,000       185,394  

Series 2012-2, Cl. D, 3.87%, 2/15/18

    3,550,000       3,711,713  

Series 2012-4, Cl. D, 3.50%, 6/15/18

    4,530,000       4,712,319  

Series 2012-5, Cl. C, 2.70%, 8/15/18

    4,355,000       4,485,173  

Series 2012-5, Cl. D, 3.30%, 9/17/18

    5,425,000       5,603,708  

Series 2012-6, Cl. D, 2.52%, 9/17/18

    5,750,000       5,816,553  

Series 2012-AA, Cl. D, 2.46%, 12/17/181

    3,700,000       3,720,058  

Series 2013-1, Cl. C, 1.76%, 1/15/19

    3,180,000       3,195,138  

Series 2013-1, Cl. D, 2.27%, 1/15/19

    1,605,000       1,613,516  

Series 2013-2, Cl. D, 2.57%, 3/15/19

    2,135,000       2,167,502  

Series 2013-3, Cl. C, 1.81%, 4/15/19

    2,700,000       2,710,908  

Series 2013-3, Cl. D, 2.42%, 4/15/19

    1,475,000       1,486,244  

Series 2013-4, Cl. D, 3.92%, 1/15/20

    745,000       785,852  

Series 2013-5, Cl. D, 2.73%, 10/15/19

    2,200,000       2,220,952  
Series 2013-A, Cl. C, 3.12%, 10/15/191     2,605,000       2,679,295  

SNAAC Auto Receivables Trust:

   

Series 2012-1A, Cl. A, 1.78%, 6/15/161

    16,797       16,804  

Series 2012-1A, Cl. C, 4.38%, 6/15/171

    2,240,000       2,275,857  

Series 2013-1A, Cl. B, 2.09%, 7/16/181

    900,000       909,118  
Series 2013-1A, Cl. C, 3.07%, 8/15/181     1,000,000       1,017,167  

United Auto Credit Securitization Trust:

   

Series 2012-1, Cl. A2, 1.10%, 3/16/151

    29,609       29,614  

Series 2012-1, Cl. C, 2.52%, 3/15/161

    1,280,000       1,289,959  

Series 2012-1, Cl. D, 3.12%, 3/15/181

    895,000       900,852  

Series 2013-1, Cl. B, 1.74%, 4/15/161

    1,575,000       1,583,435  

Series 2013-1, Cl. C, 2.22%, 12/15/171

    1,005,000       1,012,191  

Series 2013-1, Cl. D, 2.90%, 12/15/171

    175,000       176,147  
      148,065,916  
   

Equipment—0.1%

  

FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431

    683,956       680,098  
   

Home Equity Loan—0.7%

  

New Residential Advance Receivables Trust Advance Receivables Backed:

   

Series 2014-T1, Cl. A1, 1.274%, 3/15/451

    2,820,000       2,820,192  

Series 2014-T1, Cl. B1, 1.671%, 3/15/451

    2,420,000       2,420,106  

 

2      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Home Equity Loan (Continued)

  

TAL Advantage V LLC, Series 2014-1A, Cl. A, 3.51%, 2/22/391

  $     2,588,250     $ 2,589,090  
      7,829,388  

Total Asset-Backed Securities (Cost $155,153,390)

          156,575,402  
   

Mortgage-Backed Obligations—45.7%

  

Government Agency—32.3%

  

FHLMC/FNMA/FHLB/Sponsored—32.0%

  

Federal Home Loan Mortgage Corp. Gold Pool:

   

5.50%, 9/1/39

    3,830,407       4,255,646  

6.00%, 5/1/18-11/1/37

    759,695       842,064  

6.50%, 4/1/18-4/1/34

    933,270       1,026,768  

7.00%, 7/1/21-10/1/37

    4,999,427       5,780,797  

8.00%, 4/1/16

    45,088       46,653  
9.00%, 8/1/22-5/1/25     28,784       31,875  
Federal Home Loan Mortgage Corp. Non Gold Pool, 9%, 3/1/17     232       233  

Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:

   

Series 183, Cl. IO, 13.531%, 4/1/274

    541,623       97,932  

Series 192, Cl. IO, 8.338%, 2/1/284

    64,463       14,064  

Series 206, Cl. IO, 0.00%, 12/1/294,5

    110,651       28,112  
Series 243, Cl. 6, 0.00%, 12/15/324,5     465,034       68,191  
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.046%, 6/1/266     76,229       70,945  
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   

Series 151, Cl. F, 9.00%, 5/15/21

    7,831       8,680  

Series 1590, Cl. IA, 1.205%, 10/15/232

    1,282,795       1,317,877  

Series 2034, Cl. Z, 6.50%, 2/15/28

    9,622       10,750  

Series 2043, Cl. ZP, 6.50%, 4/15/28

    1,349,925       1,522,840  

Series 2046, Cl. G, 6.50%, 4/15/28

    769,177       859,881  

Series 2053, Cl. Z, 6.50%, 4/15/28

    9,583       10,710  

Series 2063, Cl. PG, 6.50%, 6/15/28

    645,733       722,514  

Series 2145, Cl. MZ, 6.50%, 4/15/29

    245,017       274,444  

Series 2148, Cl. ZA, 6.00%, 4/15/29

    360,899       399,840  

Series 2195, Cl. LH, 6.50%, 10/15/29

    598,626       670,612  

Series 2326, Cl. ZP, 6.50%, 6/15/31

    164,042       184,754  

Series 2341, Cl. FP, 1.055%, 7/15/312

    291,623       299,092  

Series 2399, Cl. PG, 6.00%, 1/15/17

    132,360       139,069  

Series 2423, Cl. MC, 7.00%, 3/15/32

    987,024       1,135,597  

Series 2453, Cl. BD, 6.00%, 5/15/17

    134,384       142,071  

Series 2461, Cl. PZ, 6.50%, 6/15/32

    1,340,313       1,507,313  

Series 2463, Cl. F, 1.155%, 6/15/322

    1,356,826       1,396,024  

Series 2500, Cl. FD, 0.655%, 3/15/322

    101,948       103,042  

Series 2526, Cl. FE, 0.555%, 6/15/292

    125,851       126,767  

Series 2551, Cl. FD, 0.555%, 1/15/332

    256,457       258,020  

Series 2676, Cl. KY, 5.00%, 9/15/23

    1,760,394       1,922,475  

Series 2707, Cl. QE, 4.50%, 11/15/18

    485,315       516,442  

Series 2770, Cl. TW, 4.50%, 3/15/19

    155,000       165,915  

Series 3025, Cl. SJ, 24.182%, 8/15/352

    249,261       391,467  

Series 3030, Cl. FL, 0.555%, 9/15/352

    634,428       635,891  

Series 3645, Cl. EH, 3.00%, 12/15/20

    67,753       70,352  

 

3      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

FHLMC/FNMA/FHLB/Sponsored (Continued)

  

Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   

Series 3741, Cl. PA, 2.15%, 2/15/35

  $ 3,728,595     $ 3,802,667  

Series 3815, Cl. BD, 3.00%, 10/15/20

    88,194       90,956  

Series 3822, Cl. JA, 5.00%, 6/15/40

    1,435,651       1,529,208  

Series 3840, Cl. CA, 2.00%, 9/15/18

    66,998       68,246  

Series 3848, Cl. WL, 4.00%, 4/15/40

    1,944,786             2,012,362  

Series 3857, Cl. GL, 3.00%, 5/15/40

    69,920       70,846  

Series 4221, Cl. HJ, 1.50%, 7/15/23

    1,050,086       1,051,125  
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:    

Series 2129, Cl. S, 15.595%, 2/15/294

    730,225       155,366  

Series 2130, Cl. SC, 51.569%, 3/15/294

    227,752       50,035  

Series 2134, Cl. SB, 56.819%, 3/15/294

    213,548       45,260  

Series 2422, Cl. SJ, 48.922%, 1/15/324

    698,520       166,500  

Series 2493, Cl. S, 53.07%, 9/15/294

    54,268       12,880  

Series 2682, Cl. TQ, 99.999%, 10/15/334

    1,399,199       282,153  

Series 2796, Cl. SD, 53.151%, 7/15/264

    344,050       71,032  

Series 2802, Cl. AS, 0.00%, 4/15/334,5

    15,717       43  

Series 2920, Cl. S, 53.732%, 1/15/354

    1,297,999       245,572  

Series 2922, Cl. SE, 6.377%, 2/15/354

    1,056,829       188,365  

Series 2981, Cl. BS, 0.00%, 5/15/354,7

    2,489,199       409,670  

Series 3005, Cl. WI, 0.00%, 7/15/354,5

    373,611       9,586  

Series 3201, Cl. SG, 4.823%, 8/15/364

    3,117,950       524,445  

Series 3397, Cl. GS, 12.712%, 12/15/374

    526,881       97,069  

Series 3424, Cl. EI, 0.318%, 4/15/384

    444,349       53,999  

Series 3450, Cl. BI, 11.642%, 5/15/384

    5,837,546       841,642  

Series 3606, Cl. SN, 3.907%, 12/15/394

    1,678,053       285,880  

Federal National Mortgage Assn.:

   

2.50%, 4/25/298

        17,695,000       17,686,706  

3.00%, 4/25/298

    11,535,000       11,852,213  

3.50%, 4/1/298

    46,745,000       49,023,819  

4.00%, 4/1/29-4/1/448

    67,955,000       70,745,378  

4.50%, 4/1/29-4/25/448

    63,085,000       67,286,482  

5.00%, 4/25/448

    725,000       790,533  

Federal National Mortgage Assn. Pool:

   

3.50%, 12/1/208

    810,208       853,296  

3.50%, 2/1/22

    2,408,328       2,536,180  

5.50%, 12/1/18-5/1/36

    2,633,073       2,931,476  

6.00%, 5/1/20

    205,920       216,417  

6.50%, 6/1/17-11/1/31

    5,457,530       6,047,032  

7.00%, 9/1/14-4/1/34

    2,517,467       2,861,743  

7.50%, 1/1/33-8/1/33

    3,457,515       4,074,813  

8.50%, 7/1/32

    15,725       18,137  

Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:

   

Series 222, Cl. 2, 18.396%, 6/1/234

    549,260       97,497  

Series 247, Cl. 2, 43.263%, 10/1/234

    62,608       11,276  

Series 252, Cl. 2, 40.312%, 11/1/234

    580,259       96,117  

Series 254, Cl. 2, 34.33%, 1/1/244

    1,009,606       171,342  

Series 301, Cl. 2, 0.00%, 4/1/294,5

    267,077       57,721  

Series 303, Cl. IO, 9.567%, 11/1/294

    51,868       10,707  

Series 319, Cl. 2, 0.00%, 2/1/324,5

    211,557       37,313  

 

4      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

FHLMC/FNMA/FHLB/Sponsored (Continued)

  

Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)    
Series 320, Cl. 2, 5.32%, 4/1/324   $     3,688,237     $       861,568  
Series 321, Cl. 2, 2.392%, 4/1/324     639,916       110,647  
Series 324, Cl. 2, 0.00%, 7/1/324,5     301,321       65,519  
Series 331, Cl. 9, 1.615%, 2/1/334     2,153,030       472,666  
Series 334, Cl. 14, 0.00%, 2/1/334,5     1,870,477       407,934  
Series 334, Cl. 15, 0.00%, 2/1/334,5     1,404,423       311,223  
Series 334, Cl. 17, 12.42%, 2/1/334     73,915       17,045  
Series 339, Cl. 12, 0.00%, 6/25/334,5     1,714,381       355,419  
Series 339, Cl. 7, 0.00%, 8/1/334,5     1,743,563       353,236  
Series 343, Cl. 13, 0.00%, 9/1/334,5     1,808,664       326,769  
Series 343, Cl. 18, 7.361%, 5/1/344     1,174,623       211,419  
Series 345, Cl. 9, 0.00%, 1/1/344,5     770,103       164,213  
Series 351, Cl. 10, 0.00%, 4/1/344,5     710,690       134,250  
Series 351, Cl. 8, 0.00%, 4/1/344,5     1,176,026       220,385  
Series 356, Cl. 10, 0.00%, 6/1/354,5     869,658       163,689  
Series 356, Cl. 12, 0.00%, 2/1/354,5     427,936       80,620  
Series 362, Cl. 13, 0.00%, 8/1/354,5     1,074,011       187,301  
Series 364, Cl. 16, 0.00%, 9/1/354,5     1,423,007       244,728  
Series 365, Cl. 16, 0.00%, 3/1/364,5     1,098,333       169,820  
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 1993-104, Cl. ZB, 6.50%, 7/25/23     222,958       245,312  
Series 1993-87, Cl. Z, 6.50%, 6/25/23     181,945       203,722  
Series 1996-35, Cl. Z, 7.00%, 7/25/26     62,606       70,773  
Series 1998-58, Cl. PC, 6.50%, 10/25/28     343,472       385,386  
Series 1998-61, Cl. PL, 6.00%, 11/25/28     443,459       490,877  
Series 1999-54, Cl. LH, 6.50%, 11/25/29     688,729       763,860  
Series 1999-60, Cl. PG, 7.50%, 12/25/29     3,083,813       3,547,098  
Series 2001-51, Cl. OD, 6.50%, 10/25/31     717,515       792,956  
Series 2002-10, Cl. FB, 0.654%, 3/25/172     42,744       42,965  
Series 2002-16, Cl. PG, 6.00%, 4/25/17     240,183       250,745  
Series 2002-2, Cl. UC, 6.00%, 2/25/17     155,438       163,346  
Series 2002-56, Cl. FN, 1.154%, 7/25/322     396,439       407,802  
Series 2003-130, Cl. CS, 13.792%, 12/25/332     2,093,697       2,469,456  
Series 2003-21, Cl. FK, 0.554%, 3/25/332     123,595       123,804  
Series 2003-28, Cl. KG, 5.50%, 4/25/23     886,085       968,063  
Series 2003-84, Cl. GE, 4.50%, 9/25/18     116,858       123,337  
Series 2004-101, Cl. BG, 5.00%, 1/25/20     621,300       649,549  
Series 2004-25, Cl. PC, 5.50%, 1/25/34     216,335       231,256  
Series 2005-104, Cl. MC, 5.50%, 12/25/25     3,069,428       3,358,039  
Series 2005-109, Cl. AH, 5.50%, 12/25/25     8,568,563       9,422,827  
Series 2005-31, Cl. PB, 5.50%, 4/25/35     2,480,000       2,782,998  
Series 2005-71, Cl. DB, 4.50%, 8/25/25     720,834       778,391  
Series 2005-73, Cl. DF, 0.404%, 8/25/352     1,639,001       1,641,256  
Series 2006-50, Cl. SK, 23.634%, 6/25/362     728,790       1,125,373  
Series 2008-14, Cl. BA, 4.25%, 3/25/23     324,627       341,592  
Series 2008-75, Cl. DB, 4.50%, 9/25/23     953,554       1,008,077  
Series 2009-113, Cl. DB, 3.00%, 12/25/20     3,075,996       3,173,325  
Series 2009-36, Cl. FA, 1.094%, 6/25/372     1,194,931       1,221,363  
Series 2009-37, Cl. HA, 4.00%, 4/25/19     1,659,460       1,736,089  
Series 2009-70, Cl. NT, 4.00%, 8/25/19     51,112       53,474  
Series 2009-70, Cl. TL, 4.00%, 8/25/19     1,346,255       1,408,454  
Series 2010-43, Cl. KG, 3.00%, 1/25/21     579,087       600,947  

 

5      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

FHLMC/FNMA/FHLB/Sponsored (Continued)

  

Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)

  

Series 2011-15, Cl. DA, 4.00%, 3/25/41

  $ 617,716     $ 647,382  

Series 2011-3, Cl. EL, 3.00%, 5/25/20

        5,205,589           5,371,631  

Series 2011-3, Cl. KA, 5.00%, 4/25/40

    2,404,803       2,603,674  

Series 2011-38, Cl. AH, 2.75%, 5/25/20

    72,531       74,763  

Series 2011-82, Cl. AD, 4.00%, 8/25/26

    1,127,384       1,184,282  
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped
Mtg.-Backed Security:
   

Series 2001-15, Cl. SA, 44.154%, 3/17/314

    304,260       51,988  

Series 2001-61, Cl. SE, 28.05%, 11/18/314

    330,536       72,734  

Series 2001-65, Cl. S, 28.192%, 11/25/314

    672,530       160,606  

Series 2001-81, Cl. S, 24.625%, 1/25/324

    101,044       25,046  

Series 2002-12, Cl. SB, 39.338%, 7/25/314

    161,410       38,772  

Series 2002-2, Cl. SW, 41.671%, 2/25/324

    192,727       45,216  

Series 2002-38, Cl. SO, 42.715%, 4/25/324

    99,871       18,090  

Series 2002-41, Cl. S, 55.436%, 7/25/324

    1,004,792       211,311  

Series 2002-47, Cl. NS, 30.522%, 4/25/324

    311,756       74,167  

Series 2002-5, Cl. SD, 45.571%, 2/25/324

    192,167       40,808  

Series 2002-51, Cl. S, 30.705%, 8/25/324

    286,252       68,095  

Series 2002-52, Cl. SD, 33.063%, 9/25/324

    398,007       95,079  

Series 2002-60, Cl. SM, 25.939%, 8/25/324

    980,990       162,147  

Series 2002-60, Cl. SY, 1.902%, 4/25/324

    898,375       30,406  

Series 2002-64, Cl. SD, 11.061%, 4/25/274

    405,643       97,421  

Series 2002-7, Cl. SK, 26.858%, 1/25/324

    591,393       105,628  

Series 2002-75, Cl. SA, 29.958%, 11/25/324

    549,259       110,310  

Series 2002-77, Cl. BS, 25.848%, 12/18/324

    1,098,105       249,730  

Series 2002-77, Cl. IS, 38.328%, 12/18/324

    170,150       41,066  

Series 2002-77, Cl. SH, 35.253%, 12/18/324

    153,699       36,363  

Series 2002-84, Cl. SA, 35.524%, 12/25/324

    149,574       33,951  

Series 2002-89, Cl. S, 47.876%, 1/25/334

    1,441,960       342,551  

Series 2002-9, Cl. MS, 26.192%, 3/25/324

    8,780       1,873  

Series 2002-90, Cl. SN, 30.89%, 8/25/324

    892,571       148,775  

Series 2002-90, Cl. SY, 36.447%, 9/25/324

    475,487       78,275  

Series 2003-14, Cl. OI, 6.659%, 3/25/334

    2,368,824       529,695  

Series 2003-26, Cl. IK, 4.354%, 4/25/334

    837,230       189,059  

Series 2003-33, Cl. SP, 25.531%, 5/25/334

    910,332       190,525  

Series 2003-4, Cl. S, 29.91%, 2/25/334

    285,838       66,663  

Series 2003-52, Cl. NS, 40.001%, 6/25/234

    4,224,686       572,552  

Series 2004-54, Cl. DS, 37.544%, 11/25/304

    82,132       14,610  

Series 2004-56, Cl. SE, 10.798%, 10/25/334

    1,236,487       230,162  

Series 2005-12, Cl. SC, 7.327%, 3/25/354

    527,799       87,858  

Series 2005-40, Cl. SA, 46.375%, 5/25/354

    755,115       126,217  

Series 2005-52, Cl. JH, 2.29%, 5/25/354

    1,454,522       219,887  

Series 2005-6, Cl. SE, 56.738%, 2/25/354

    1,184,495       200,194  

Series 2005-93, Cl. SI, 11.902%, 10/25/354

    1,104,586       151,555  

Series 2006-53, Cl. US, 15.684%, 6/25/364

    81,758       13,069  

Series 2008-55, Cl. SA, 16.582%, 7/25/384

    1,278,129       154,657  

Series 2009-8, Cl. BS, 0.00%, 2/25/244,5

    2,246,183       179,987  

Series 2012-40, Cl. PI, 1.946%, 4/25/414

    3,791,237       628,581  

 

6      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

FHLMC/FNMA/FHLB/Sponsored (Continued)

  

Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.97%, 9/25/236   $ 175,680     $ 148,840  
        337,894,038  
 

GNMA/Guaranteed—0.3%

  

Government National Mortgage Assn. I Pool:

   

8.50%, 8/15/17-12/15/17

    38,239       41,276  
10.50%, 12/15/17     4,601       4,706  

Government National Mortgage Assn. II Pool:

   

1.625%, 7/20/25-7/20/272

    10,328       10,738  
11.00%, 10/20/19     4,321       4,495  

Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:

   

Series 2002-15, Cl. SM, 62.644%, 2/16/324

    517,206       104,188  

Series 2002-41, Cl. GS, 47.046%, 6/16/324

    357,576       69,427  

Series 2002-76, Cl. SY, 65.239%, 12/16/264

    246,093       49,141  

Series 2007-17, Cl. AI, 16.137%, 4/16/374

        2,685,640       546,273  

Series 2011-52, Cl. HS, 8.998%, 4/16/414

    8,269,162       1,818,941  
    2,649,185  
 

Non-Agency—13.4%

  

Commercial—10.6%

  

Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0%, 4/14/294,5     1,790,039       77,084  

Banc of America Commercial Mortgage Trust:

   

Series 2006-5, Cl. AM, 5.448%, 9/10/47

    2,600,000       2,789,167  
Series 2006-6, Cl. AM, 5.39%, 10/10/45     4,735,000       5,136,653  
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Cl. A1, 2.43%, 10/25/352     1,815,119       1,787,662  
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/412     1,985,000       2,168,592  
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/243,4,5     728,871       33,275  
CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.349%, 1/15/462     2,875,000       3,078,783  

Citigroup Commercial Mortgage Trust:

   

Series 2008-C7, Cl. AM, 6.133%, 12/10/492

    3,035,000       3,408,006  
Series 20113-GCJ11, 4.607%, 4/10/461     1,080,000       968,123  
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.50%, 10/25/352     3,766,511       3,679,661  

COMM Mortgage Trust:

   

Series 2006-C7, Cl. AM, 5.793%, 6/10/462

    4,740,000       5,108,177  

Series 2012-CR4, Cl. D, 4.577%, 10/15/451,2

    320,000       300,062  

Series 2012-CR5, Cl. E, 4.336%, 12/10/451,2

    510,000       471,981  
Series 2013-CR7, Cl. D, 4.36%, 3/10/461,2     1,180,000       1,046,136  

COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:

   

Series 2010-C1, Cl. XPA, 0.00%, 7/10/461,4,5

    23,828,815       811,109  
Series 2012-CR5, Cl. XA, 0.165%, 12/10/454     17,220,912       1,771,197  

Credit Suisse Commercial Mortgage Trust:

   

Series 2006-6, Cl. 1A4, 6.00%, 7/25/36

    1,779,067       1,426,310  

Series 2006-C1, Cl. AJ, 5.466%, 2/15/392

    1,890,000       2,012,931  

 

7      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Commercial (Continued)

  

Credit Suisse Commercial Mortgage Trust: (Continued)    
Series 2006-C4, Cl. AM, 5.509%, 9/15/39   $     1,300,000     $     1,400,920  
Credit Suisse First Boston Commercial Trust, Series 2005-C6, Cl. AJ, 5.23%, 12/15/402     2,750,000       2,884,629  
Credit Suisse Mortgage Trust, Series 2009-13R, Cl. 4A1, 2.621%, 9/26/361,2     887,279       898,542  
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.558%, 11/10/461,2     490,000       509,610  
First Horizon Alternative Mortgage Securities Trust:    
Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35     1,251,091       1,279,368  
Series 2005-FA8, Cl. 1A6, 0.804%, 11/25/352     1,894,985       1,456,466  
Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37     1,711,540       1,338,474  
Series 2007-FA4, Cl. 1A6, 6.25%, 8/25/372     2,195,219       1,925,644  
FREMF Mortgage Trust:    
Series 2013-K25, Cl. C, 3.618%, 11/25/451,2     605,000       553,204  
Series 2013-K26, Cl. C, 3.60%, 12/25/451,2     420,000       382,787  
Series 2013-K27, Cl. C, 3.497%, 1/25/461,2     650,000       585,716  
Series 2013-K28, Cl. C, 3.494%, 6/25/461,2     650,000       583,801  
GCCFC Commercial Mortgage Trust:    
Series 2006-GG7, Cl. AM, 5.82%, 7/10/382     235,000       256,073  
Series 2007-GG11, Cl. AM, 5.867%, 12/10/492     2,240,000       2,465,903  
GE Capital Commercial Mortgage Corp., Series 2005-C4, Cl. AJ, 5.309%, 11/10/452     2,595,000       2,582,095  
GS Mortgage Securities Trust:    
Series 2006-GG6, Cl. AM, 5.61%, 4/10/382     1,145,000       1,230,533  
Series 2011-GC3, Cl. A1, 2.331%, 3/10/441     724,106       731,133  
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.215%, 7/25/352     1,132,333       1,133,556  
JP Morgan Chase Commercial Mortgage Securities Trust:    
Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45     2,800,000       2,825,945  
Series 2006-LDP8, Cl. AJ, 5.48%, 5/15/452     295,000       312,047  
Series 2011-C3, Cl. A1, 1.875%, 2/15/461     477,424       478,408  
JP Morgan Mortgage Trust, Series 2007-S3, Cl. 1A90, 7%, 8/25/37     2,419,488       2,232,548  
JP Morgan Resecuritization Trust:    
Series 2009-11, Cl. 5A1, 2.621%, 9/26/361,2     3,372,507       3,385,559  
Series 2009-5, Cl. 1A2, 2.612%, 7/26/361,2     2,746,526       2,327,382  
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/304,5     513,981       13,372  
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Cl. AM, 5.853%, 6/15/382     1,275,000       1,393,643  
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/242,3     53,515       46,631  
Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/432     4,605,000       5,032,280  
Morgan Stanley Bank of America Merrill Lynch Trust:    
Series 2012-C6, Cl. E, 4.664%, 11/15/451,2     950,000       893,981  
Series 2013-C7, Cl. D, 4.304%, 2/15/461,2     1,150,000       1,032,574  
Series 2013-C8, Cl. D, 4.172%, 12/15/481,2     830,000       732,263  
Morgan Stanley Capital I Trust:    
Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44     3,770,000       4,111,251  
Series 2007-IQ15, Cl. AM, 5.908%, 6/11/492     3,115,000       3,406,678  
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.057%, 11/26/362,3     2,293,631       1,467,615  
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.451%, 6/26/461,2     3,163,647       3,203,148  

 

8      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Commercial (Continued)

  

Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1, Cl. X, 6.791%, 5/18/324   $ 3,008,355     $ 1,471  
Structured Adjustable Rate Mortgage Loan Trust:    
Series 2006-4, Cl. 6A, 5.029%, 5/25/362     1,275,286       1,082,031  
Series 2007-6, Cl. 3A1, 4.512%, 7/25/372     2,667,083       2,095,367  
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.891%, 5/10/631,2     460,000       422,607  
Wachovia Bank Commercial Mortgage Trust:    
Series 2005-C17, Cl. AJ, 5.224%, 3/15/422     1,210,000       1,251,186  
Series 2005-C22, Cl. AM, 5.339%, 12/15/442     1,205,000       1,278,983  
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Cl. 1A4, 2.379%, 12/25/352     1,493,120       1,397,671  
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Cl. 1A1, 2.614%, 6/25/352     4,982,351       5,098,165  
Wells Fargo Mortgage-Backed Securities Trust:    
Series 2005-AR15, Cl. 1A6, 2.613%, 9/25/352     325,068       304,812  
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37     1,740,416       1,808,019  
Series 2007-AR3, Cl. A4, 5.673%, 4/25/372     636,161       620,517  
Series 2007-AR8, Cl. A1, 5.962%, 11/25/372     1,672,489       1,543,204  
WF-RBS Commercial Mortgage Trust:    
Series 2012-C10, Cl. D, 4.46%, 12/15/451,2     480,000       443,400  
Series 2012-C7, Cl. E, 4.848%, 6/15/451,2     840,000       801,454  
Series 2012-C8, Cl. E, 4.878%, 8/15/451,2     935,000       902,999  
Series 2013-C11, Cl. D, 4.184%, 3/15/451,2     481,000       435,893  
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/441,4,5     27,595,041       1,775,603  
      112,432,070  
   

Multi-Family—0.6%

  

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Cl. 1A2A, 5.404%, 6/25/362     1,596,843       1,479,889  
Countrywide Alternative Loan Trust, Series 2005-J14, Cl. A7, 5.50%, 12/25/35     1,166,919       1,037,286  
JP Morgan Mortgage Trust, Series 2007-A3, Cl. 3A2M, 4.567%, 5/25/372     374,524       362,608  
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Cl. 2A3, 2.614%, 3/25/362     3,161,164       3,161,265  
      6,041,048  
   

Residential—2.2%

  

Banc of America Commercial Mortgage Trust, Series 2007-4, Cl. AM, 5.892%, 2/10/512     3,075,000       3,419,179  
Banc of America Funding Trust:    
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37     1,366,583       1,237,595  
Series 2007-C, Cl. 1A4, 5.316%, 5/20/362     639,708       625,219  
Banc of America Mortgage Securities Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37     1,741,699       1,643,850  
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.264%, 7/25/362     982,669       959,090  
CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/492     1,215,000       1,276,718  
Chase Funding Trust, Series 2003-2, Cl. 2A2, 0.714%, 2/25/332     377,314       355,643  

 

9      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Residential (Continued)

  

Countrywide Alternative Loan Trust:

   

Series 2005-21CB, Cl. A7, 5.50%, 6/25/35

  $       2,764,801     $ 2,576,792  

Series 2005-29CB, Cl. A4, 5.00%, 7/25/35

    1,829,825       1,579,347  

Countrywide Home Loans:

   

Series 2005-26, Cl. 1A8, 5.50%, 11/25/35

    1,175,661       1,132,648  

Series 2005-29, Cl. A1, 5.75%, 12/25/35

    1,338,490       1,255,076  

Series 2006-6, Cl. A3, 6.00%, 4/25/36

    870,415       823,847  

GSR Mortgage Loan Trust, Series 2006-5F, Cl. 2A1, 6%, 6/25/36

    862,684       834,930  

Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.547%, 12/25/342

    727,956       738,106  

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/293,9

    1,750,658       114,668  

RALI Trust:

   

Series 2003-QS1, Cl. A2, 5.75%, 1/25/33

    134,944       137,532  

Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36

    239,289       186,869  

Series 2007-QS6, Cl. A28, 5.75%, 4/25/37

    1,221,062       975,392  

Residential Asset Securitization Trust:

   

Series 2005-A15, Cl. 1A4, 5.75%, 2/25/36

    490,137       455,705  

Series 2005-A6CB, Cl. A7, 6.00%, 6/25/35

    591,132       578,435  

WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR18, Cl. 3A1, 4.162%, 1/25/372

    863,068       782,757  

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2, 5.629%, 10/25/362

    1,409,487       1,378,474  
    23,067,872  

Total Mortgage-Backed Obligations (Cost $474,194,413)

  

        482,084,213  
 

U.S. Government Obligations—9.3%

  

Federal Home Loan Mortgage Corp. Nts., 2.375%, 1/13/22

    5,830,000       5,722,448  

United States Treasury Nts.:

   

0.75%, 3/15/17

    33,060,000       32,942,472  

0.875%, 4/30/17

    51,950,000       51,846,515  

1.50%, 2/28/19

    7,747,000       7,672,559  

Total U.S. Government Obligations (Cost $98,439,979)

  

    98,183,994  
 

Corporate Bonds and Notes—43.4%

  

Consumer Discretionary—7.0%

  

Auto Components—0.5%

  

Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21

    2,655,000       2,900,588  

TRW Automotive, Inc.:

   

4.50% Sr. Unsec. Nts., 3/1/211

    1,630,000       1,682,975  

7.25% Sr. Unsec. Nts., 3/15/171

    826,000       946,802  
    5,530,365  
 

Automobiles—1.7%

  

Daimler Finance North America LLC:

   

1.30% Sr. Unsec. Nts., 7/31/151

    2,756,000       2,776,265  

8.50% Sr. Unsec. Unsub. Nts., 1/18/31

    1,581,000       2,354,167  

Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Unsub. Nts., 8/2/21

    6,232,000       7,182,417  

General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/431

    2,461,000       2,676,338  

Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/171

    2,696,000       2,684,162  
    17,673,349  

 

10      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Hotels, Restaurants & Leisure—0.9%

  

Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18

  $ 915,000     $ 906,512  

Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16

    2,589,000       2,605,911  

Starwood Hotels & Resorts Worldwide, Inc.:

   

7.15% Sr. Unsec. Unsub. Nts., 12/1/19

    1,788,000       2,130,538  

7.375% Sr. Unsec. Nts., 11/15/15

    992,000       1,086,715  

Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16

        2,321,000       2,589,113  
    9,318,789  
   

Household Durables—0.6%

  

Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22

    2,959,000       3,195,720  

Toll Brothers Finance Corp., 4% Sr. Unsec. Nts., 12/31/18

    2,584,000       2,655,060  

Whirlpool Corp., 1.35% Sr. Unsec. Nts., 3/1/17

    707,000       706,022  
    6,556,802  
   

Media—1.8%

  

21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41

    1,048,000       1,236,999  

Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22

    1,751,000       2,485,781  

Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42

    2,485,000       2,488,320  

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42

    895,000       849,168  

Historic TW, Inc.:

   

8.05% Sr. Unsec. Nts., 1/15/16

    433,000       482,535  

9.15% Debs., 2/1/23

    400,000       546,617  

Interpublic Group of Cos., Inc. (The):

   

3.75% Sr. Unsec. Nts., 2/15/23

    432,000       420,915  

4.20% Sr. Unsec. Nts., 4/15/24

    1,324,000       1,321,511  

6.25% Sr. Unsec. Nts., 11/15/14

    2,269,000       2,345,579  

Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23

    3,015,000       3,030,075  

Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/161

    581,000       614,590  

Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42

    2,002,000       1,844,875  

WPP Finance 2010, 5.625% Sr. Unsec. Nts., 11/15/43

    846,000       894,529  
        18,561,494  
   

Multiline Retail—0.7%

  

Dollar General Corp., 4.125% Sr. Unsec. Nts., 7/15/17

    3,080,000       3,297,214  

Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14

    4,350,000       4,411,996  
    7,709,210  
   

Specialty Retail—0.3%

  

Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44

    942,000       1,005,435  

L Brands, Inc.:

   

7.00% Sr. Unsec. Nts., 5/1/20

    286,000       327,470  

8.50% Sr. Unsec. Nts., 6/15/19

    1,852,000       2,250,180  
    3,583,085  
   

Textiles, Apparel & Luxury Goods—0.5%

  

Levi Strauss & Co., 7.625% Sr. Unsec. Nts., 5/15/20

    2,356,000       2,570,985  

PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22

    2,728,000       2,707,540  
    5,278,525  

 

11      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Consumer Staples—2.4%

  

Beverages—1.2%

  

Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39

  $     2,213,000     $ 3,369,839  

Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21

    2,863,000       2,805,740  

Foster’s Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/141

    2,875,000       2,937,019  

Pernod Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/221

    1,509,000       1,580,949  

SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/421

    1,406,000       1,477,861  
        12,171,408  
 

Food & Staples Retailing—0.2%

  

Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40

    1,462,000       1,492,028  

Safeway, Inc., 5.625% Sr. Unsec. Nts., 8/15/14

    583,000       591,635  
    2,083,663  
 

Food Products—0.5%

  

Bunge Ltd. Finance Corp.:

   

5.10% Sr. Unsec. Unsub. Nts., 7/15/15

    2,275,000       2,391,473  

5.35% Sr. Unsec. Unsub. Nts., 4/15/14

    397,000       397,576  

8.50% Sr. Unsec. Nts., 6/15/19

    1,956,000       2,417,129  
    5,206,178  
 

Personal Products—0.3%

  

Avon Products, Inc., 5% Sr. Unsec. Nts., 3/15/23

    2,866,000       2,876,681  
   

Tobacco—0.2%

  

Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39

    1,495,000       2,460,739  
   

Energy—5.7%

  

Energy Equipment & Services—0.8%

  

Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21

    682,000       733,940  

Nabors Industries, Inc.:

   

2.35% Sr. Unsec. Nts., 9/15/161

    242,000       247,747  

5.00% Sr. Unsec. Nts., 9/15/20

    811,000       867,152  

Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22

    2,123,000       2,200,137  

Transocean, Inc., 5.05% Sr. Unsec. Nts., 12/15/16

    2,373,000       2,582,970  

Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42

    1,644,000       1,777,509  
    8,409,455  
 

Oil, Gas & Consumable Fuels—4.9%

  

Access Midstream Partners LP/ACMP Finance Corp., 4.875% Sr. Unsec. Nts., 5/15/23

    2,625,000       2,657,813  

Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40

    1,085,000       1,260,651  

Canadian Oil Sands Ltd., 6% Sr. Unsec. Nts., 4/1/421

    1,226,000       1,357,953  

Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22

    2,650,000       2,888,500  

CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec. Unsub. Nts., 5/9/43

    998,000       883,682  

Continental Resources, Inc., 4.50% Sr. Unsec. Nts., 4/15/23

    2,929,000       3,039,376  

DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/151

    1,978,000       2,085,967  

DCP Midstream Operating LP, 3.875% Sr. Unsec. Nts., 3/15/23

    2,909,000       2,848,036  

El Paso Pipeline Partners Operating Co. LLC, 4.10% Sr. Unsec. Nts., 11/15/15

    1,051,000       1,103,583  

Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14

    2,264,000       2,337,815  

Energy Transfer Partners LP, 8.50% Sr. Unsec. Nts., 4/15/14

    2,216,000       2,221,808  

 

12      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Oil, Gas & Consumable Fuels (Continued)

  

EnLink Midstream Partners LP, 2.70% Sr. Unsec. Nts., 4/1/19

  $     2,056,000     $       2,065,425  

Origin Energy Finance Ltd.:

   

3.50% Sr. Unsec. Nts., 10/9/181

    2,638,000       2,688,847  

5.45% Sr. Unsec. Nts., 10/14/211

    1,364,000       1,474,875  

Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17

    487,000       554,731  

Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21

    2,679,000       2,883,274  

Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141

    2,768,000       2,830,280  

Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/153

    3,097,000       3,127,970  

Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22

    1,556,000       1,602,011  

Spectra Energy Partners LP:

   

4.60% Sr. Unsec. Nts., 6/15/21

    1,607,000       1,724,117  

4.75% Sr. Unsec. Nts., 3/15/24

    1,276,000       1,347,341  

Sunoco Logistics Partner LP, 5.30% Sr. Unsec. Nts., 4/1/44

    483,000       480,923  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25% Sr. Unsec. Nts., 5/1/23

    2,640,000       2,626,800  

Whiting Petroleum Corp., 5.75% Sr. Unsec. Nts., 3/15/21

    2,620,000       2,823,050  

Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/211

    2,232,000       2,392,758  
    51,307,586  
   

Financials—14.1%

  

Capital Markets—2.5%

  

Carlyle Holdings II Finance LLC, 5.625% Sr. Sec. Nts., 3/30/431

    1,421,000       1,527,422  

Goldman Sachs Capital I, 6.345% Sub. Nts., 2/15/34

    2,839,000       2,947,833  

Goldman Sachs Group, Inc. (The):

   

3.625% Sr. Unsec. Nts., 1/22/23

    2,865,000       2,823,962  

4.00% Sr. Unsec. Nts., 3/3/24

    1,077,000       1,074,563  

Lazard Group LLC, 4.25% Sr. Unsec. Nts., 11/14/20

    2,309,000       2,396,566  

Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/211

    4,166,000       4,720,636  

Morgan Stanley, 5% Sub. Nts., 11/24/25

    4,857,000       5,009,281  

Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16

    2,521,000       2,554,106  

Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24

    2,772,000       3,016,704  
    26,071,073  
   

Commercial Banks—5.2%

  

Amsouth Bank NA, 5.20% Sub. Nts., 4/1/15

    2,723,000       2,832,612  

Bank of Amercia Corp., 7.75% Jr. Sub. Nts., 5/14/38

    2,412,000       3,190,471  

Barclays Bank plc, 5.14% Sub. Nts., 10/14/20

    2,737,000       2,906,664  

BPCE SA:

   

5.15% Sub. Nts., 7/21/241

    696,000       693,879  

5.70% Sub. Nts., 10/22/231

    2,609,000       2,717,247  

Citigroup, Inc.:

   

6.675% Sub. Nts., 9/13/43

    2,316,000       2,721,545  

Series D, 5.95% Jr. Sub. Perpetual Bonds2,10

    2,677,000       2,620,114  

Commerzbank AG, 8.125% Sub. Nts., 9/19/231

    2,562,000       2,943,097  

Credit Agricole SA, 6.637% Jr. Sub. Perpetual Bonds1,2,10

    4,180,000       4,361,830  

HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/352

    6,450,000       6,732,187  

JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds2,10

    2,238,000       2,366,685  

Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201

    3,956,000       4,527,567  

 

13      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Commercial Banks (Continued)

  

Nordea Bank AB, 2.375% Sr. Unsec. Nts., 4/4/191,8

  $     1,390,000     $       1,384,023  

Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds2,3,10

    4,537,000       4,780,864  

Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U2,10

    2,900,000       2,958,000  

Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds1,2,10

    2,485,000       2,655,958  

SunTrust Banks, Inc., 3.60% Sr. Unsec. Nts., 4/15/16

    2,645,000       2,783,011  

Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K2,10

    1,828,000       2,086,205  
    55,261,959  
   

Consumer Finance—0.6%

  

Ally Financial, Inc., 4.75% Sr. Unsec. Nts., 9/10/18

    2,622,000       2,782,598  

Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22

    3,310,000       3,255,517  
    6,038,115  
   

Diversified Financial Services—0.7%

  

Burlington Northern Santa Fe LLC, 4.90% Sr. Unsec. Nts., 4/1/44

    1,044,000       1,080,335  

Leucadia National Corp., 5.50% Sr. Unsec. Nts., 10/18/23

    3,660,000       3,820,707  

Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/532

    2,852,000       2,849,148  
    7,750,190  
   

Insurance—3.4%

  

AIA Group Ltd., 4.875% Sr. Unsec. Nts., 3/11/441

    2,012,000       2,050,317  

Arch Capital Group US, Inc., 5.144% Sr. Unsec. Nts., 11/1/43

    2,342,000       2,475,796  

AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45

    2,115,000       2,137,499  

CNA Financial Corp., 5.875% Sr. Unsec. Unsub. Nts., 8/15/20

    1,534,000       1,763,842  

Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/231

    2,078,000       2,133,907  

Genworth Holdings, Inc., 4.80% Sr. Unsec. Nts., 2/15/24

    4,108,000       4,282,434  

Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/151

    2,825,000       2,914,245  

Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/231

    3,133,000       3,185,976  

Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/672

    4,674,000       4,668,157  

Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 7/15/14

    667,000       676,261  

Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/442

    1,994,000       1,989,015  

Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,2,10

    4,494,000       4,831,050  

ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/372,3

    2,445,000       2,634,488  
    35,742,987  
   

Real Estate Investment Trusts (REITs)—1.7%

  

American Tower Corp.:

   

5.05% Sr. Unsec. Unsub. Nts., 9/1/20

    1,185,000       1,277,633  

5.90% Sr. Unsec. Nts., 11/1/21

    1,343,000       1,508,570  

ARC Properties Operating Partnership LP/Clark Acquisition LLC, 2% Sr. Unsec. Nts., 2/6/171

    2,642,000       2,644,991  

CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849% Sr. Sec. Nts., 4/15/23

    1,573,000       1,533,264  

Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/20

    2,615,000       2,595,388  

Hospitality Properties Trust:

   

4.65% Sr. Unsec. Nts., 3/15/24

    1,284,000       1,280,157  

5.125% Sr. Unsec. Nts., 2/15/15

    2,830,000       2,872,671  

National Retail Properties, Inc., 6.25% Sr. Unsec. Nts., 6/15/14

    2,147,000       2,168,839  

 

14      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

    Principal
Amount
    Value  

Real Estate Investment Trusts (REITs) (Continued)

  

Prologis LP, 5.625% Sr. Unsec. Nts., 11/15/16

  $     2,294,000     $       2,531,447  
    18,412,960  
   

Health Care—2.3%

  

Biotechnology—0.5%

  

Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22

    3,363,000       3,283,855  

Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41

    1,531,000       1,760,205  
    5,044,060  
   

Health Care Equipment & Supplies—0.5%

  

Boston Scientific Corp., 4.125% Sr. Unsec. Nts., 10/1/23

    2,674,000       2,716,760  

DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16

    2,380,000       2,464,611  
    5,181,371  
   

Health Care Providers & Services—0.4%

  

CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/211

    2,030,000       2,090,900  

Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/221

    2,367,000       2,526,772  
    4,617,672  
   

Life Sciences Tools & Services—0.3%

  

Thermo Fisher Scientific, Inc.:

   

4.15% Sr. Unsec. Nts., 2/1/24

    2,201,000       2,269,352  

5.30% Sr. Unsec. Nts., 2/1/44

    940,000       1,016,931  
    3,286,283  
   

Pharmaceuticals—0.6%

  

Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20

    2,530,000       2,707,639  

Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/181

    2,609,000       2,573,045  

Zoetis, Inc., 1.875% Sr. Unsec. Nts., 2/1/18

    987,000       981,385  
    6,262,069  
   

Industrials—3.5%

  

Aerospace & Defense—0.7%

  

B/E Aerospace, Inc., 5.25% Sr. Unsec. Nts., 4/1/22

    2,572,000       2,658,805  

Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21

    2,726,000       3,022,452  

Textron, Inc.:

   

4.30% Sr. Unsec. Nts., 3/1/24

    1,297,000       1,323,935  

6.20% Sr. Unsec. Nts., 3/15/15

    191,000       200,551  
    7,205,743  
   

Building Products—0.3%

  

Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22

    2,820,000       2,802,073  
   

Commercial Services & Supplies—0.4%

  

Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20

    2,670,000       2,763,450  

Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24

    2,002,000       1,992,070  
    4,755,520  

 

15      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

     Principal
Amount
     Value  

Electrical Equipment—0.2%

                 

Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/231

   $     1,994,000      $     1,969,075  
     

Industrial Conglomerates—0.4%

                 

General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B2,10

     3,900,000        4,190,839  
     

Machinery—0.3%

                 

Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23

     1,303,000        1,343,816  

Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/231

     2,300,000        2,353,112  
        3,696,928  
     

Professional Services—0.3%

                 

Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20

     2,700,000        2,733,750  
     

Road & Rail—0.4%

                 

Penske Truck Leasing Co. LP/PTL Finance Corp.:

     

2.50% Sr. Unsec. Nts., 3/15/161

     2,524,000        2,588,468  

4.25% Sr. Unsec. Nts., 1/17/231

     1,512,000        1,528,788  
        4,117,256  
     

Trading Companies & Distributors—0.5%

                 

Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21

     2,635,000        2,648,175  

International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19

     2,539,000        2,786,553  
        5,434,728  
     

Information Technology—1.7%

                 

Electronic Equipment, Instruments, & Components—0.7%

                 

Amphenol Corp., 4.75% Sr. Unsec. Nts., 11/15/14

     848,000        869,351  

Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21

     3,515,000        3,704,170  

Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22

     3,275,000        3,422,431  
        7,995,952  
     

IT Services—0.1%

                 

Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23

     1,429,000        1,360,892  
     

Office Electronics—0.3%

                 

Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15

     2,652,000        2,733,159  
     

Technology Hardware, Storage & Peripherals—0.6%

                 

Hewlett-Packard Co.:

     

2.65% Sr. Unsec. Unsub. Nts., 6/1/16

     2,481,000        2,566,605  

4.75% Sr. Unsec. Nts., 6/2/14

     1,042,000        1,049,322  

Seagate HDD Cayman, 3.75% Sr. Unsec. Nts., 11/15/181

     2,300,000        2,374,750  
        5,990,677  
     

Materials—3.0%

                 

Chemicals—0.7%

                 

Agrium, Inc., 4.90% Sr. Unsec. Nts., 6/1/43

     775,000        768,878  

LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43

     837,000        884,789  

 

16      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

     Principal
Amount
     Value  

Chemicals (Continued)

                 

Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20

   $     2,520,000      $     2,614,500  

RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22

     1,502,000        1,416,260  

Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42

     1,597,000        1,466,281  
     7,150,708  
     

Construction Materials—0.2%

                 

CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16

     2,447,000        2,579,512  
     

Containers & Packaging—0.6%

                 

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21

     1,219,000        1,325,663  

Packaging Corp. of America, 4.50% Sr. Unsec. Nts., 11/1/23

     2,009,000        2,083,791  

Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20

     2,837,000        2,882,460  
     6,291,914  
     

Metals & Mining—1.4%

                 

Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21

     1,587,000        1,677,589  

Barrick Gold Corp., 3.85% Sr. Unsec. Nts., 4/1/22

     1,270,000        1,215,281  

BHP Billiton Finance USA Ltd., 5% Sr. Unsec. Nts., 9/30/43

     681,000        723,466  

Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23

     951,000        955,927  

Freeport-McMoRan Copper & Gold, Inc.:

     

1.40% Sr. Unsec. Nts., 2/13/15

     2,733,000        2,749,362  

3.875% Sr. Unsec. Nts., 3/15/23

     2,900,000        2,778,444  

Glencore Canada Corp.:

     

5.375% Sr. Unsec. Unsub. Nts., 6/1/15

     1,885,000        1,976,764  

6.00% Sr. Unsec. Unsub. Nts., 10/15/15

     2,345,000        2,515,453  
     14,592,286  
     

Paper & Forest Products—0.1%

                 

International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41

     952,000        1,095,390  
     

Telecommunication Services—2.2%

                 

Diversified Telecommunication Services—1.9%

                 

AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45

     1,170,000        1,036,766  

British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30

     1,780,000        2,758,416  

Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20

     2,320,000        2,708,600  

Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38

     1,545,000        1,660,875  

Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36

     2,584,000        3,146,679  

T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21

     2,839,000        3,012,889  

Verizon Communications, Inc.:

     

6.40% Sr. Unsec. Nts., 2/15/38

     1,331,000        1,567,965  

6.55% Sr. Unsec. Nts., 9/15/43

     3,147,000        3,843,544  
     19,735,734  
     

Wireless Telecommunication Services—0.3%

                 

America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42

     2,285,000        2,032,144  

Vodafone Group plc:

     

4.375% Sr. Unsec. Unsub. Nts., 2/19/43

     795,000        719,341  

6.25% Sr. Unsec. Nts., 11/30/32

     842,000        976,391  
     3,727,876  

 

17      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

     Principal
Amount
    Value  

Utilities—1.5%

                

Electric Utilities—0.9%

                

Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22

   $   1,525,000     $ 1,549,478  

ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43

     1,214,000       1,282,880  

Jersey Central Power & Light Co., 4.70% Sr. Unsec. Nts., 4/1/241

     1,353,000       1,404,663  

Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20

     500,000       547,586  

PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22

     2,180,000       2,140,320  

PPL WEM Holdings Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211

     2,845,000       3,121,156  
    10,046,083  
    

Independent Power and Renewable Electricity Producers—0.2%

                

Dayton Power & Light Co., 1.875% Sr. Sec. Nts., 9/15/161

     1,842,000       1,869,637  
    

Multi-Utilities—0.4%

                

CMS Energy Corp.:

    

3.875% Sr. Unsec. Nts., 3/1/24

     1,376,000       1,397,204  

5.05% Sr. Unsec. Unsub. Nts., 3/15/22

     1,051,000       1,171,086  

PG&E Corp., 2.40% Sr. Unsec. Nts., 3/1/19

     1,662,000       1,653,584  
       4,221,874  

Total Corporate Bonds and Notes (Cost $441,888,147)

  

    458,693,674  
    
     Shares        

Investment Company—7.6%

                

Oppenheimer Institutional Money Market Fund, Cl. E, 0.08%11,12 (Cost $79,997,117)

     79,997,117       79,997,117  
    

Total Investments, at Value (Cost $1,249,673,046)

     120.8     1,275,534,400  

Liabilities in Excess of Other Assets

     (20.8     (219,406,989
  

 

 

 

Net Assets

     100.0   $   1,056,127,411  
  

 

 

 
  

 

 

 

Footnotes to Statement of Investments

1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $202,419,217 or 19.17% of the Fund’s net assets as of March 31, 2014.

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

3. Restricted security. The aggregate value of restricted securities as of March 31, 2014 was $13,950,639, which represents 1.32% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:

 

Security   

Acquisition

Dates

     Cost      Value     

Unrealized

Appreciation/

(Depreciation)

 

 

 
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/24      4/21/97       $ 161,183      $ 33,275      $ (127,908

Credit Acceptance Auto Loan Trust, Series 2013-2A, Cl. B,

2.26%, 10/15/21

     10/22/13         1,729,513        1,745,128        15,615  

Lehman Structured Securities Corp., Series 2002-GE1, Cl. A,

2.514%, 7/26/24

     1/28/02         52,429        46,631        (5,798

 

18      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

Footnotes to Statement of Investments (Continued)

 

Security    Acquisition
Dates
     Cost      Value      Unrealized
Appreciation/
(Depreciation)
 

 

 

Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B,

2.057%, 11/26/36

     10/24/12-1/1/14       $ 1,173,024      $ 1,467,615      $ 294,591  
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/29      8/10/10         1,703,335        114,668        (1,588,667

Rabobank Capital Funding

Trust III, 5.254% Jr. Sub. Perpetual Bonds

     5/1/13-5/8/13         4,625,202        4,780,864        155,662  

Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts.,

4/15/15

     11/15/10-10/5/11         3,111,384        3,127,970        16,586  
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37      11/20/13         2,585,925        2,634,488        48,563  
     

 

 

 
   $     15,141,995      $     13,950,639      $     (1,191,356
     

 

 

 

4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $21,954,980 or 2.08% of the Fund’s net assets as of March 31, 2014.

5. Interest rate is less than 0.0005%.

6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $219,785 or 0.02% of the Fund’s net assets as of March 31, 2014.

7. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.

8. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2014. See accompanying Notes.

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

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

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

 

    

Shares

December 31,

2013

    

Gross

Additions

    

Gross

Reductions

    

Shares

March 31,

2014

 

 

 

Oppenheimer Institutional Money Market Fund, Cl. E

     137,176,339        102,139,542        159,318,764        79,997,117  
                   Value      Income  

 

 

Oppenheimer Institutional Money Market Fund, Cl. E

         $ 79,997,117      $ 22,427  

 

19      Oppenheimer Core Bond Fund


  STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

Footnotes to Statement of Investments (Continued)

12. Rate shown is the 7-day yield as of March 31, 2014.

 

Futures Contracts as of March 31, 2014   
Description    Exchange      Buy/Sell     

Expiration

Date

    

Number of

Contracts

     Value     

Unrealized

Appreciation

 

 

 

United States Treasury

Long Bonds

     CBT         Buy         6/19/14         72       $ 9,591,750      $ 41,477  

United States Treasury

Nts., 2 yr.

     CBT         Sell         6/30/14         988         216,927,750        269,956  

United States Treasury

Nts., 5 yr.

     CBT         Sell         6/30/14         35         4,163,360        14,311  

United States Treasury

Nts., 10 yr.

     CBT         Buy         6/19/14         29         3,581,500        1,154  

United States Treasury

Ultra Bonds

     CBT         Buy         6/19/14         329         47,530,219        1,055,268  
                 

 

 

 
                  $   1,382,166  
                 

 

 

 

Glossary:

Exchange

Abbreviations

CBT                 Chicago Board of Trade

 

20      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited  

 

Oppenheimer Core Bond Fund (the “Fund”), the sole series of Oppenheimer Integrity Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940, 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.

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. 

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

As of March 31, 2014, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

 

    

When-Issued or

Delayed Delivery

Basis Transactions

 

 

 

Purchased securities

     $326,791,606   

Sold securities

     104,753,931   

 

21      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2014 is as follows:

 

Cost

     $1,703,335   

Market Value

     $114,668   

Market value as % of Net Assets

     0.01%   

 

 

 

 

Securities Valuation

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

 

22      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Securities Valuation (Continued)

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

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.

 

23      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Securities Valuation (Continued)

 

    Security Type   

Standard inputs generally considered by third-party

pricing vendors

 

 

  Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities    Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
 

 

  Loans   

Information obtained from market participants regarding reported trade data and

broker-dealer price quotations.

 

 

  Event-linked bonds   

Information obtained from market participants regarding reported trade data and

broker-dealer price quotations.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such 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

 

24      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Securities Valuation (Continued)

data inputs are categorized in the following hierarchy under applicable financial accounting standards:

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of March 31, 2014 based on valuation input level:

 

    

Level 1—

Unadjusted

Quoted Prices

    

Level 2—

Other Significant

Observable Inputs

    

Level 3—

Significant

Unobservable

Inputs

     Value  

 

 

Assets Table

           

Investments, at Value:

           

Asset-Backed Securities

   $      $ 156,575,402      $      $ 156,575,402   

Mortgage-Backed Obligations

            481,969,545        114,668        482,084,213   

U.S. Government Obligations

            98,183,994               98,183,994   

Corporate Bonds and Notes

            458,693,674               458,693,674   

Investment Company

     79,997,117                      79,997,117   
  

 

 

 

Total Assets

     79,997,117        1,195,422,615        114,668        1,275,534,400   
  

 

 

 

Liabilities Table

           

Other Financial Instruments:

           

Variation Margin Payable

   $ (235,571)       $      $      $ (235,571)   
  

 

 

 

Total Liabilities

   $ (235,571)       $      $      $ (235,571)   
  

 

 

 

Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.

 

    

Transfers into

Level 2*

  

Transfers out of

Level 3*

 

Investments, at Value:

     

Assets Table

     

Mortgage-Backed Obligations

   $  49,159    $  (49,159)

*Transferred from Level 3 to Level 2 due to the availability of market data for this security.

 

25      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Risk Exposures and the Use of Derivative Instruments

The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.

Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 

Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of

 

26      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Risk Exposures and the Use of Derivative Instruments (Continued)

embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.

The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.

Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has 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.

 

27      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Risk Exposures and the Use of Derivative Instruments (Continued)

During the period ended March 31, 2014, the Fund had an ending monthly average market value of $73,594,711 and $202,653,082 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.

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.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for 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 cleared swaps.

With respect to 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 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.

 

28      Oppenheimer Core Bond Fund


  NOTES TO STATEMENT OF INVESTMENTS    Unaudited / Continued  

 

 

 

 

Risk Exposures and the Use of Derivative Instruments (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 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.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.

 

 

 

Restricted Securities

As of March 31, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.

 

 

 

Federal Taxes

The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.

 

Federal tax cost of securities

   $ 1,250,186,527  

Federal tax cost of other investments

     (161,769,807 )
  

 

 

 

Total federal tax cost

   $   1,088,416,720  
  

 

 

 

Gross unrealized appreciation

   $ 35,726,456  

Gross unrealized depreciation

     (8,996,417
  

 

 

 

Net unrealized appreciation

   $ 26,730,039  
  

 

 

 

 

29      Oppenheimer Core 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 3/31/2014, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

 

  (b) There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibits attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Integrity Funds

 

By:  

/s/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer
Date:   5/13/2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer
Date:   5/13/2014

 

By:  

/s/ Brian W. Wixted

  Brian W. Wixted
  Principal Financial Officer
Date:   5/13/2014