N-Q 1 d920092dnq.htm OPPENHEIMER INTEGRITY FUNDS Oppenheimer Integrity Funds

 

 

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 Fund

(Exact name of registrant as specified in charter)

 

 

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

 

 

Arthur S. Gabinet

OFI Global Asset Management, Inc.

225 Liberty Street, New York, New York 10281-1008

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end: December 31

Date of reporting period: 3/31/2015

 

 

 


Item 1. Schedule of Investments.


STATEMENT OF INVESTMENTS March 31, 2015 Unaudited

 

     Principal
Amount
     Value  
Asset-Backed Securities—16.1%                

Auto Loan—14.3%

     

 

 

American Credit Acceptance Receivables Trust:

     

Series 2012-2, Cl. D, 5.91%, 7/15/191

   $     2,035,000       $     2,036,536   

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

     2,563,000         2,580,569   

Series 2014-1, Cl. B, 2.39%, 11/12/191

     3,505,000         3,518,848   

Series 2014-2, Cl. B, 2.26%, 3/10/201

     990,000         991,599   

Series 2014-3, Cl. B, 2.43%, 6/10/201

     2,320,000         2,324,630   

Series 2014-4, Cl. B, 2.60%, 10/12/201

     1,200,000         1,201,052   

Series 2015-1, Cl. B, 2.85%, 2/12/211

     3,420,000         3,476,248   

 

 

AmeriCredit Automobile Receivables Trust:

     

Series 2012-2, Cl. E, 4.85%, 8/8/191

     2,060,000         2,130,402   

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

     1,510,000         1,525,483   

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

     2,445,000         2,469,933   

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

     4,086,000         4,086,294   

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

     2,385,000         2,421,858   

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

     200,000         205,464   

Series 2013-5, Cl. D, 2.86%, 12/9/19

     4,258,000         4,321,463   

Series 2014-1, Cl. E, 3.58%, 8/9/21

     855,000         860,576   

Series 2014-2, Cl. E, 3.37%, 11/8/21

     2,490,000         2,485,508   

Series 2014-3, Cl. D, 3.13%, 10/8/20

     3,850,000         3,889,865   

Series 2014-4, Cl. D, 3.07%, 11/9/20

     2,615,000         2,634,678   

 

 

California Republic Auto Receivables Trust:

     

Series 2013-2, Cl. C, 3.32%, 8/17/20

     1,555,000         1,573,005   

Series 2014-2, Cl. C, 3.29%, 3/15/21

     600,000         603,322   

Series 2014-4, Cl. C, 3.56%, 9/15/21

     860,000         868,713   

 

 

Capital Auto Receivables Asset Trust:

     

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

     1,265,000         1,268,320   

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

     705,000         715,307   

Series 2014-1, Cl. D, 3.39%, 7/22/19

     785,000         798,764   

Series 2014-3, Cl. D, 3.14%, 2/20/20

     1,270,000         1,279,964   

Series 2015-1, Cl. D, 3.16%, 8/20/20

     1,460,000         1,462,809   

 

 

CarFinance Capital Auto Trust:

     

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

     107,673         107,735   

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

     3,560,000         3,617,357   

Series 2014-1A, Cl. A, 1.46%, 12/17/181

     593,199         592,397   

Series 2015-1A, Cl. A, 1.75%, 6/15/211

     2,039,689         2,043,179   

 

 

Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/161

     174,697         175,536   

 

 

CPS Auto Receivables Trust:

     

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

     1,149,908         1,156,736   

Series 2014-A, Cl. A, 1.21%, 8/15/181

     2,164,634         2,157,045   

Series 2014-B, Cl. A, 1.11%, 11/15/181

     1,702,338         1,692,306   

Series 2014-C, Cl. A, 1.31%, 2/15/191

     2,024,752         2,017,642   

 

 

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

     404,128         405,401   

 

 

Credit Acceptance Auto Loan Trust:

     

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

     1,620,000         1,619,030   

Series 2013-2A, Cl. B, 2.26%, 10/15/211

     4,960,000         4,994,492   

Series 2014-1A, Cl. B, 2.29%, 4/15/221

     1,410,000         1,415,525   

Series 2014-2A, Cl. B, 2.67%, 9/15/221

     1,275,000         1,277,180   

Series 2015-1A, Cl. C, 3.30%, 7/17/231

     2,010,000         2,038,243   

 

 

Drive Auto Receivables Trust, Series 2015-AA, Cl. C, 3.06%, 5/17/211

     2,215,000         2,214,557   

 

 

DT Auto Owner Trust:

     

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

     2,151,943         2,170,335   

 

1      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Auto Loan (Continued)

     

 

 

DT Auto Owner Trust: (Continued)

     

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

   $ 1,185,000       $ 1,194,862   

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

         3,290,000             3,339,088   

Series 2014-1A, Cl. D, 3.98%, 1/15/211

     2,425,000         2,451,793   

Series 2014-2A, Cl. D, 3.68%, 4/15/211

     3,645,000         3,664,524   

Series 2014-3A, Cl. D, 4.47%, 11/15/211

     1,715,000         1,741,468   

Series 2015-1A, Cl. C, 2.87%, 11/16/201

     1,560,000         1,567,789   

 

 

Exeter Automobile Receivables Trust:

     

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

     785,000         786,558   

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

     2,100,000         2,136,995   

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

     1,590,000         1,596,094   

Series 2014-1A, Cl. C, 3.57%, 7/15/191

     1,590,000         1,602,478   

Series 2014-2A, Cl. A, 1.06%, 8/15/181

     473,641         472,538   

Series 2014-2A, Cl. C, 3.26%, 12/16/191

     830,000         821,436   

 

 

First Investors Auto Owner Trust:

     

Series 2012-1A, Cl. C, 3.54%, 11/15/171

     700,000         708,230   

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

     1,055,000         1,084,361   

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

     2,610,000         2,638,830   

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

     1,110,000         1,123,302   

Series 2013-3A, Cl. D, 3.67%, 5/15/201

     2,800,000         2,828,504   

Series 2014-1A, Cl. D, 3.28%, 4/15/211

     2,010,000         2,001,899   

Series 2014-3A, Cl. D, 3.85%, 2/15/221

     1,190,000         1,200,508   

 

 

Flagship Credit Auto Trust:

     

Series 2014-1, Cl. A, 1.21%, 4/15/191

     1,015,379         1,013,802   

Series 2014-2, Cl. A, 1.43%, 12/16/191

     2,150,658         2,149,466   

 

 

GM Financial Automobile Leasing Trust:

     

Series 2014-1A, Cl. D, 2.51%, 3/20/191

     3,625,000         3,641,093   

Series 2015-1, Cl. D, 3.01%, 3/20/20

     2,155,000         2,163,816   

 

 

Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1, Cl. D, 2.474%, 10/25/191,2

     995,000         995,459   

 

 

Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.424%, 9/25/181,2

     2,580,000         2,582,116   

 

 

Santander Drive Auto Receivables Trust:

     

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

     4,530,000         4,650,106   

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

     4,355,000         4,418,894   

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

     5,425,000         5,554,289   

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

     5,750,000         5,793,476   

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

     3,700,000         3,716,150   

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

     3,180,000         3,191,710   

Series 2013-2, Cl. C, 1.95%, 3/15/19

     2,215,000         2,228,424   

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

     2,135,000         2,178,707   

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

     2,700,000         2,705,042   

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

     745,000         775,593   

Series 2013-4, Cl. E, 4.67%, 1/15/201

     2,915,000         3,052,109   

Series 2013-5, Cl. C, 2.25%, 6/17/19

     340,000         343,960   

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

     2,200,000         2,218,987   

Series 2013-A, Cl. E, 4.71%, 1/15/211

     2,140,000         2,241,865   

Series 2014-1, Cl. C, 2.36%, 4/15/20

     3,995,000         4,028,716   

Series 2014-1, Cl. D, 2.91%, 4/15/20

     2,565,000         2,593,491   

Series 2014-3, Cl. C, 2.13%, 8/17/20

     1,820,000         1,824,150   

Series 2014-4, Cl. D, 3.10%, 11/16/20

     1,485,000         1,496,677   

Series 2015-1, Cl. D, 3.24%, 4/15/21

     2,265,000         2,283,499   

 

2      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Auto Loan (Continued)

     

 

 

SNAAC Auto Receivables Trust:

     

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

   $ 807,288       $ 808,381   

Series 2013-1A, Cl. C, 3.07%, 8/15/181

         1,000,000             1,014,260   

Series 2014-1A, Cl. A, 1.03%, 9/17/181

     636,331         636,157   

Series 2014-1A, Cl. D, 2.88%, 1/15/201

     970,000         981,751   

 

 

TCF Auto Receivables Owner Trust, Series 2014-1A, Cl. C, 3.12%, 4/15/211

     765,000         763,996   

 

 

United Auto Credit Securitization Trust:

     

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

     856,975         857,895   

Series 2014-1, Cl. D, 2.38%, 10/15/181

     1,260,000         1,244,570   

Series 2015-1, Cl. D, 2.92%, 6/17/191

     2,005,000         2,006,920   

 

 

Westlake Automobile Receivables Trust:

     

Series 2014-1A, Cl. D, 2.20%, 2/15/211

     1,140,000         1,137,296   

Series 2014-2A, Cl. D, 2.86%, 7/15/211

     1,335,000         1,342,009   
     

 

 

 
       

 

193,021,995

 

  

 

 

 

Credit Card—0.3%

     

 

 

Citibank Credit Card Issuance Trust, Series 2013-A6, Cl. A6, 1.32%, 9/7/18

 

    

 

3,870,000

 

  

 

    

 

3,899,633

 

  

 

 

 

Equipment—1.0%

     

 

 

CLI Funding V LLC:

     

Series 2014-1A, Cl. A, 3.29%, 6/18/291

     3,427,448         3,474,438   

Series 2014-2A, Cl. A, 3.38%, 10/18/291

     5,074,375         5,152,782   

 

 

Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/291

     3,572,593         3,627,123   

 

 

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

     537,534         533,463   

 

 

Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/441

     971,774         976,952   
     

 

 

 
       

 

13,764,758

 

  

 

 

 

Home Equity Loan—0.5%

     

 

 

Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/441

     2,175,223         2,167,590   

 

 

TAL Advantage V LLC:

     

Series 2014-1A, Cl. A, 3.51%, 2/22/391

     3,160,958         3,215,210   

Series 2014-2A, Cl. A1, 1.70%, 5/20/391

     767,616         762,835   
     

 

 

 
        6,145,635   
     

 

 

 

Total Asset-Backed Securities (Cost $215,782,431)

 

       

 

216,832,021

 

  

 

 

 

Mortgage-Backed Obligations—57.0%

     

 

 

Government Agency—41.8%

     

 

 

FHLMC/FNMA/FHLB/Sponsored—41.6%

     

 

 

Federal Home Loan Mortgage Corp. Gold Pool:

     

5.50%, 9/1/39

     3,159,813         3,543,902   

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

     549,435         621,104   

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

     659,837         745,590   

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

     4,097,518         4,940,219   

8.00%, 4/1/16

     8,990         9,096   

9.00%, 8/1/22-5/1/25

     19,184         21,242   

 

 

Federal Home Loan Mortgage Corp. Non Gold Pool, 9%, 3/1/17

     158         158   

 

 

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

     

Series 183, Cl. IO, 12.145%, 4/1/273

     438,238         87,434   

Series 192, Cl. IO, 4.476%, 2/1/283

     53,190         9,651   

Series 206, Cl. IO, 0.00%, 12/1/293,4

     93,537         24,662   

Series 243, Cl. 6, 0.00%, 12/15/323,4

     360,913         69,013   

 

3      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 

Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10,

2.06%, 1/15/22

   $     7,498,006       $     7,654,655   

 

 

Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO,

4.205%, 6/1/265

     62,893         59,594   

 

 

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

     

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

     5,234         5,848   

Series 1590, Cl. IA, 1.225%, 10/15/232

     1,020,404         1,048,713   

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

     7,999         9,177   

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

     1,119,740         1,258,402   

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

     615,019         705,209   

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

     7,145         8,200   

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

     525,742         608,131   

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

     195,916         225,065   

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

     278,508         319,321   

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

     452,757         520,103   

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

     131,833         148,492   

Series 2341, Cl. FP, 1.075%, 7/15/312

     237,220         244,263   

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

     62,992         65,029   

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

     829,668         963,189   

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

     74,985         78,034   

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

     1,035,287         1,221,198   

Series 2463, Cl. F, 1.175%, 6/15/322

     1,055,961         1,090,704   

Series 2564, Cl. MP, 5.00%, 2/15/18

     1,661,827         1,738,805   

Series 2585, Cl. HJ, 4.50%, 3/15/18

     933,219         978,088   

Series 2635, Cl. AG, 3.50%, 5/15/32

     808,182         850,253   

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

     1,349,719         1,467,952   

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

     326,761         343,026   

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

     108,244         113,973   

Series 3010, Cl. WB, 4.50%, 7/15/20

     486,681         513,849   

Series 3025, Cl. SJ, 24.11%, 8/15/352

     195,214         295,486   

Series 3030, Cl. FL, 0.575%, 9/15/352

     492,469         496,034   

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

     45,919         47,345   

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

     2,763,544         2,815,268   

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

     55,952         57,423   

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

     986,425         1,053,184   

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

     42,940         43,514   

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

     1,679,480         1,730,952   

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

     52,922         54,468   

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

     1,254,289         1,268,182   

 

 

Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped

Mtg.-Backed Security:

   

  

Series 2129, Cl. S, 11.664%, 2/15/293

     587,158         134,191   

Series 2130, Cl. SC, 50.45%, 3/15/293

     185,951         43,471   

Series 2134, Cl. SB, 55.113%, 3/15/293

     162,532         35,693   

Series 2422, Cl. SJ, 44.72%, 1/15/323

     567,110         147,800   

Series 2493, Cl. S, 51.983%, 9/15/293

     43,468         9,029   

Series 2682, Cl. TQ, , 10/15/333,6

     1,078,983         237,769   

Series 2796, Cl. SD, 51.261%, 7/15/263

     270,791         58,231   

Series 2920, Cl. S, 52.912%, 1/15/353

     1,087,965         228,146   

Series 2922, Cl. SE, 5.696%, 2/15/353

     870,199         179,296   

Series 2981, Cl. AS, 30.097%, 5/15/353

     2,586,763         522,608   

 

4      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, Interest-Only Stripped Mtg.-Backed Security: (Continued)    

Series 2981, Cl. BS, 99.999%, 5/15/353

   $ 2,107,095       $ 444,276   

Series 3005, Cl. WI, 0.00%, 7/15/353,4

     368,610         87,065   

Series 3201, Cl. SG, 1.554%, 8/15/363

     2,544,165         434,690   

Series 3397, Cl. GS, 15.065%, 12/15/373

     446,151         79,934   

Series 3424, Cl. EI, 8.207%, 4/15/383

     277,108         31,704   

Series 3450, Cl. BI, 8.332%, 5/15/383

         4,803,645             1,027,955   

Series 3606, Cl. SN, 0.501%, 12/15/393

     1,379,834         223,312   

 

 

Federal National Mortgage Assn.:

     

3.00%, 4/1/307

     83,445,000         87,464,047   

3.50%, 4/25/457

     239,955,000         252,112,087   

4.00%, 4/1/457

     73,405,000         78,496,042   

4.50%, 4/1/307

     2,585,000         2,709,403   

5.00%, 4/1/457

     26,755,000         29,755,740   

 

 

Federal National Mortgage Assn. Pool:

     

3.50%, 12/1/20-2/1/22

     2,360,211         2,504,919   

5.00%, 3/1/21

     154,033         162,108   

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

     2,058,806         2,331,526   

6.00%, 5/1/20

     108,698         113,115   

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

     3,929,188         4,494,114   

7.00%, 11/1/17-4/1/34

     1,979,808         2,358,992   

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

     2,759,857         3,372,644   

8.50%, 7/1/32

     14,512         16,824   

 

 

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

     

Series 222, Cl. 2, 18.769%, 6/25/233

     428,776         76,906   

Series 247, Cl. 2, 40.937%, 10/25/233

     50,990         11,680   

Series 252, Cl. 2, 36.425%, 11/25/233

     467,810         76,919   

Series 254, Cl. 2, 30.458%, 1/25/243

     822,959         123,666   

Series 301, Cl. 2, 0.00%, 4/25/293,4

     213,971         46,398   

Series 303, Cl. IO, 7.664%, 11/25/293

     43,532         10,708   

Series 319, Cl. 2, 0.00%, 2/25/323,4

     170,620         38,900   

Series 320, Cl. 2, 7.757%, 4/25/323

     2,988,095         608,443   

Series 321, Cl. 2, 2.346%, 4/25/323

     501,681         115,325   

Series 324, Cl. 2, 0.00%, 7/25/323,4

     240,116         42,856   

Series 331, Cl. 9, 6.881%, 2/25/333

     1,765,189         376,216   

Series 334, Cl. 14, 10.02%, 2/25/333

     1,480,331         320,532   

Series 334, Cl. 15, 0.00%, 2/25/333,4

     1,065,102         227,904   

Series 334, Cl. 17, 18.097%, 2/25/333

     58,573         12,703   

Series 339, Cl. 12, 0.00%, 6/25/333,4

     1,320,329         338,249   

Series 339, Cl. 7, 0.00%, 11/25/333,4

     1,358,108         262,664   

Series 343, Cl. 13, 0.00%, 9/25/333,4

     1,431,749         280,483   

Series 343, Cl. 18, 11.91%, 5/25/343

     898,631         173,194   

Series 345, Cl. 9, 0.00%, 1/25/343,4

     637,669         123,610   

Series 351, Cl. 10, 0.00%, 4/25/343,4

     542,380         106,068   

Series 351, Cl. 8, 0.00%, 4/25/343,4

     900,034         175,695   

Series 356, Cl. 10, 0.00%, 6/25/353,4

     677,943         133,373   

Series 356, Cl. 12, 0.00%, 2/25/353,4

     329,691         67,708   

Series 362, Cl. 13, 0.00%, 8/25/353,4

     835,490         171,118   

Series 364, Cl. 16, 0.00%, 9/25/353,4

     1,126,532         228,821   

Series 365, Cl. 16, 0.00%, 3/25/363,4

     821,303         157,942   

 

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:

  

Series 1993-104, Cl. ZB, 6.50%, 7/25/23

   $ 155,018       $ 170,126   

Series 1993-87, Cl. Z, 6.50%, 6/25/23

     142,034         158,539   

Series 1996-35, Cl. Z, 7.00%, 7/25/26

     50,454         57,118   

Series 1998-58, Cl. PC, 6.50%, 10/25/28

     268,540         304,156   

Series 1998-61, Cl. PL, 6.00%, 11/25/28

     359,005         410,557   

Series 1999-54, Cl. LH, 6.50%, 11/25/29

     533,102         612,599   

Series 1999-60, Cl. PG, 7.50%, 12/25/29

         2,548,193             2,941,265   

Series 2001-51, Cl. OD, 6.50%, 10/25/31

     562,144         645,781   

Series 2002-10, Cl. FB, 0.674%, 3/25/172

     21,037         21,110   

Series 2002-16, Cl. PG, 6.00%, 4/25/17

     118,531         121,718   

Series 2002-2, Cl. UC, 6.00%, 2/25/17

     77,448         80,067   

Series 2002-56, Cl. FN, 1.174%, 7/25/322

     315,914         322,603   

Series 2003-100, Cl. PA, 5.00%, 10/25/18

     3,148,373         3,315,754   

Series 2003-130, Cl. CS, 13.753%, 12/25/332

     1,553,368         1,814,237   

Series 2003-21, Cl. FK, 0.574%, 3/25/332

     99,244         99,656   

Series 2003-84, Cl. GE, 4.50%, 9/25/18

     74,707         78,303   

Series 2004-101, Cl. BG, 5.00%, 1/25/20

     304,692         313,606   

Series 2004-25, Cl. PC, 5.50%, 1/25/34

     144,022         152,302   

Series 2005-104, Cl. MC, 5.50%, 12/25/25

     2,381,857         2,620,769   

Series 2005-109, Cl. AH, 5.50%, 12/25/25

     6,711,390         7,351,136   

Series 2005-31, Cl. PB, 5.50%, 4/25/35

     2,480,000         2,981,714   

Series 2005-71, Cl. DB, 4.50%, 8/25/25

     549,312         590,573   

Series 2005-73, Cl. DF, 0.424%, 8/25/352

     1,209,183         1,214,409   

Series 2006-50, Cl. SK, 23.563%, 6/25/362

     589,139         840,950   

Series 2008-75, Cl. DB, 4.50%, 9/25/23

     620,870         648,114   

Series 2009-113, Cl. DB, 3.00%, 12/25/20

     2,023,122         2,078,284   

Series 2009-36, Cl. FA, 1.114%, 6/25/372

     736,611         755,914   

Series 2009-37, Cl. HA, 4.00%, 4/25/19

     1,053,672         1,089,031   

Series 2009-70, Cl. TL, 4.00%, 8/25/19

     848,563         877,006   

Series 2010-43, Cl. KG, 3.00%, 1/25/21

     382,848         394,052   

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

     466,880         493,165   

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

     3,353,105         3,444,737   

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

     1,985,200         2,185,255   

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

     46,506         47,573   

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

     752,801         783,767   

 

 

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

  

Interest-Only Stripped Mtg.-Backed Security:

     

Series 2001-15, Cl. SA, 28.609%, 3/17/313

     212,784         30,989   

Series 2001-61, Cl. SE, 27.797%, 11/18/313

     260,037         58,017   

Series 2001-65, Cl. S, 28.345%, 11/25/313

     538,097         105,658   

Series 2001-81, Cl. S, 24.381%, 1/25/323

     79,493         20,503   

Series 2002-12, Cl. SB, 39.051%, 7/25/313

     126,984         31,715   

Series 2002-2, Cl. SW, 41.49%, 2/25/323

     155,433         37,385   

Series 2002-38, Cl. SO, 45.271%, 4/25/323

     80,912         16,109   

Series 2002-41, Cl. S, 54.76%, 7/25/323

     828,232         216,078   

Series 2002-47, Cl. NS, 30.35%, 4/25/323

     244,410         62,738   

Series 2002-5, Cl. SD, 46.983%, 2/25/323

     153,078         36,107   

Series 2002-51, Cl. S, 30.533%, 8/25/323

     224,415         55,346   

Series 2002-52, Cl. SD, 35.588%, 9/25/323

     322,453         78,112   

Series 2002-60, Cl. SM, 26.198%, 8/25/323

     785,174         150,548   

Series 2002-60, Cl. SY, 2.202%, 4/25/323

     702,200         26,104   

Series 2002-64, Cl. SD, 8.561%, 4/25/273

     320,668         82,595   

 

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, Interest-Only Stripped Mtg.-Backed Security: (Continued)

     

Series 2002-7, Cl. SK, 27.149%, 1/25/323

   $ 472,387       $ 96,123   

Series 2002-75, Cl. SA, 30.239%, 11/25/323

     429,320         103,808   

Series 2002-77, Cl. BS, 26.142%, 12/18/323

     858,316         198,988   

Series 2002-77, Cl. IS, 40.93%, 12/18/323

     137,851         36,553   

Series 2002-77, Cl. SH, 34.729%, 12/18/323

     123,138         24,675   

Series 2002-84, Cl. SA, 35.792%, 12/25/323

     118,533         28,998   

Series 2002-89, Cl. S, 50.563%, 1/25/333

         1,201,092             325,402   

Series 2002-9, Cl. MS, 26.055%, 3/25/323

     7,081         1,528   

Series 2002-90, Cl. SN, 31.146%, 8/25/323

     714,405         136,978   

Series 2002-90, Cl. SY, 36.684%, 9/25/323

     376,809         70,170   

Series 2003-14, Cl. OI, 9.147%, 3/25/333

     1,961,520         374,618   

Series 2003-26, Cl. IK, 6.865%, 4/25/333

     696,418         113,078   

Series 2003-33, Cl. SP, 25.914%, 5/25/333

     725,450         155,876   

Series 2003-4, Cl. S, 30.205%, 2/25/333

     222,139         54,378   

Series 2003-52, Cl. NS, 37.668%, 6/25/233

     3,230,565         442,000   

Series 2004-54, Cl. DS, 39.847%, 11/25/303

     68,356         13,352   

Series 2004-56, Cl. SE, 11.135%, 10/25/333

     996,253         173,318   

Series 2005-12, Cl. SC, 9.396%, 3/25/353

     422,644         91,485   

Series 2005-40, Cl. SA, 48.965%, 5/25/353

     610,597         105,734   

Series 2005-52, Cl. JH, 1.345%, 5/25/353

     1,200,547         210,176   

Series 2005-6, Cl. SE, 59.444%, 2/25/353

     1,017,601         162,672   

Series 2005-93, Cl. SI, 12.532%, 10/25/353

     864,735         137,316   

Series 2006-53, Cl. US, 16.221%, 6/25/363

     64,384         9,982   

Series 2008-55, Cl. SA, 10.385%, 7/25/383

     735,573         100,676   

Series 2009-8, Cl. BS, 0.00%, 2/25/243,4

     1,244,872         77,066   

Series 2012-134, Cl. SA, 10.46%, 12/25/423

     4,039,879         1,042,600   

Series 2012-40, Cl. PI, 0.00%, 4/25/413,4

     3,276,980         608,859   

 

 

Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through

Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.964%, 9/25/235

     138,906         136,267   
     

 

 

 
       

 

560,354,638

 

  

 

 

 

GNMA/Guaranteed—0.2%

     

 

 

Government National Mortgage Assn. I Pool:

     

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

     22,332         23,475   

10.50%, 12/15/17

     3,366         3,429   

 

 

Government National Mortgage Assn. II Pool:

     

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

     8,622         8,939   

11.00%, 10/20/19

     2,895         2,942   

 

 

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

     

Series 2002-15, Cl. SM, 60.727%, 2/16/323

     442,552         86,351   

Series 2002-41, Cl. GS, 15.802%, 6/16/323

     248,906         41,628   

Series 2002-76, Cl. SY, 62.718%, 12/16/263

     198,444         40,462   

Series 2007-17, Cl. AI, 18.996%, 4/16/373

     2,270,870         478,200   

Series 2011-52, Cl. HS, 8.891%, 4/16/413

     6,997,747         1,426,720   
     

 

 

 
       

 

2,112,146

 

  

 

 

 

Non-Agency—15.2%

     

 

 

Commercial—13.0%

     

 

 

Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4,

Cl. PS1, 0%, 4/14/293,4

     1,675,287         50,249   

 

7      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Commercial (Continued)

     

 

 

Banc of America Commercial Mortgage Trust:

     

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

   $     2,600,000       $     2,731,542   

Series 2006-6, Cl. AM, 5.39%, 10/10/45

     5,560,000         5,885,594   

 

 

Banc of America Funding Trust:

     

Series 2006-G, Cl. 2A4, 0.466%, 7/20/362

     6,100,000         5,703,976   

Series 2014-R7, Cl. 3A1, 2.615%, 3/26/362

     4,446,955         4,569,690   

 

 

BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.27%, 9/26/351,2

     1,558,311         1,585,679   

 

 

Bear Stearns ARM Trust:

     

Series 2005-2, Cl. A1, 2.68%, 3/25/352

     3,373,100         3,414,771   

Series 2005-9, Cl. A1, 2.41%, 10/25/352

     1,532,318         1,514,168   

 

 

Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/412

     1,985,000         2,100,347   

 

 

Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates,

Series 1997-CTL1, Cl. IO, 0%, 6/22/241,3,4

     608,400         25,607   

 

 

CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.345%, 1/15/462

     2,875,000         2,970,162   

 

 

Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.441%, 1/25/362

     2,200,338         2,077,493   

 

 

Citigroup Commercial Mortgage Trust:

     

Series 2008-C7, Cl. AM, 6.134%, 12/10/492

     3,035,000         3,322,310   

Series 2013-GC11, Cl. D, 4.458%, 4/10/461,2

     1,955,000         1,946,038   

 

 

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/352

     6,509,228         6,469,873   

 

 

COMM Mortgage Trust:

     

Series 2006-C7, Cl. AM, 5.776%, 6/10/462

     4,740,000         4,976,088   

Series 2012-CR4, Cl. D, 4.576%, 10/15/451,2

     320,000         323,625   

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

     2,455,000         2,465,822   

Series 2013-CR7, Cl. D, 4.354%, 3/10/461,2

     3,015,000         2,917,144   

Series 2014-CR21, Cl. AM, 3.987%, 12/10/47

     6,060,000         6,474,610   

 

 

COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0%, 12/10/453,4

     16,900,438         1,556,902   

 

 

Commercial Mortgage Trust:

     

Series 2006-GG7, Cl. AM, 5.785%, 7/10/382

     235,000         246,195   

Series 2007-GG11, Cl. AM, 5.867%, 12/10/492

     2,770,000         3,002,000   

Series 2007-GG9, Cl. AM, 5.475%, 3/10/39

     3,190,000         3,368,091   

 

 

Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Cl. AJ, 5.469%, 2/15/392

     1,890,000         1,954,198   

 

 

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/402

     2,750,000         2,803,012   

 

 

CSMC:

     

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

     1,578,513         1,303,021   

Series 2009-13R, Cl. 4A1, 2.623%, 9/26/361,2

     483,093         486,884   

 

 

DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.558%, 11/10/461,2

     490,000         540,664   

 

 

First Horizon Alternative Mortgage Securities Trust:

     

Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35

     926,239         890,841   

Series 2005-FA8, Cl. 1A6, 0.824%, 11/25/352

     1,531,367         1,165,831   

 

 

FREMF Mortgage Trust:

     

Series 2012-K501, Cl. C, 3.443%, 11/25/461,2

     385,000         394,053   

Series 2013-K25, Cl. C, 3.618%, 11/25/451,2

     605,000         606,779   

Series 2013-K26, Cl. C, 3.60%, 12/25/451,2

     1,165,000         1,172,982   

Series 2013-K27, Cl. C, 3.497%, 1/25/461,2

     650,000         645,572   

Series 2013-K28, Cl. C, 3.495%, 6/25/461,2

     2,580,000         2,559,757   

Series 2013-K502, Cl. C, 3.191%, 3/25/451,2

     1,620,000         1,652,284   

 

8      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Commercial (Continued)

     

 

 

FREMF Mortgage Trust: (Continued)

     

Series 2013-K712, Cl. C, 3.369%, 5/25/451,2

   $ 335,000       $ 338,197   

Series 2013-K713, Cl. C, 3.165%, 4/25/461,2

     1,075,000         1,069,548   

Series 2014-K715, Cl. C, 4.124%, 2/25/461,2

     230,000         238,984   

 

 

GS Mortgage Securities Trust, Series 2006-GG6, Cl. AM, 5.553%, 4/10/382

     1,145,000         1,177,944   

 

 

GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/371,2

     3,619,104         3,343,321   

 

 

GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.201%, 7/25/352

     874,962         866,970   

 

 

JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.422%, 12/15/471,2

     3,640,000         3,670,456   

 

 

JP Morgan Chase Commercial Mortgage Securities Trust:

     

Series 2005-CB13, Cl. AM, 5.30%, 1/12/432

     675,000         690,591   

Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45

     2,020,000         2,064,620   

Series 2006-LDP8, Cl. AJ, 5.48%, 5/15/452

     3,975,000         4,157,665   

Series 2012-C6, Cl. E, 5.208%, 5/15/451,2

     2,895,000         3,031,944   

 

 

JP Morgan Mortgage Trust:

     

Series 2007-A1, Cl. 5A1, 2.556%, 7/25/352

     2,124,822         2,131,766   

Series 2007-S3, Cl. 1A90, 7.00%, 8/25/37

     2,086,592         1,931,929   

 

 

JP Morgan Resecuritization Trust:

     

Series 2009-11, Cl. 5A1, 2.623%, 9/26/361,2

     1,836,329         1,841,044   

Series 2009-5, Cl. 1A2, 2.629%, 7/26/361,2

     2,737,614         2,375,603   

 

 

JPMBB Commercial Mortgage Securities Trust:

     

Series 2014-C25, Cl. AS, 4.065%, 11/15/47

     2,665,000         2,889,091   

Series 2014-C26, Cl. AS, 3.80%, 1/15/48

     1,270,000         1,348,042   

 

 
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/303,4      328,296         6,951   

 

 

LB-UBS Commercial Mortgage Trust, Series 2006-C4, Cl. AM, 5.842%, 6/15/382

     1,275,000         1,342,744   

 

 

Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/241,2

     43,594         37,851   

 

 

Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/432

     3,765,000         3,973,438   

 

 

Morgan Stanley Bank of America Merrill Lynch Trust:

     

Series 2012-C6, Cl. E, 4.662%, 11/15/451,2

     3,142,000         3,227,871   

Series 2013-C7, Cl. D, 4.302%, 2/15/461,2

     1,270,000         1,266,842   

Series 2013-C8, Cl. D, 4.171%, 12/15/481,2

     830,000         818,622   

Series 2014-C19, Cl. AS, 3.832%, 12/15/47

     5,035,000         5,336,959   

 

 

Morgan Stanley Capital I Trust:

     

Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44

     6,770,000         7,219,528   

Series 2007-IQ15, Cl. AM, 5.909%, 6/11/492

     5,015,000         5,383,093   

 

 

Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.959%, 11/26/361,2

     2,222,118         1,638,036   

 

 

Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.364%, 6/26/461,2

     2,639,845         2,667,970   

 

 

RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.31%, 7/26/451,2

     657,781         656,747   

 

 
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1,
Cl. X, 0%, 5/18/323,4
     2,114,247         21   

 

 

UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.89%, 5/10/631,2

     460,000         474,002   

 

 

Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Cl. AM, 5.321%, 12/15/442

     1,360,000         1,385,202   

 

 

WaMu Mortgage Pass-Through Certificates Trust:

     

Series 2005-AR14, Cl. 1A4, 2.342%, 12/25/352

     1,828,190         1,773,984   

Series 2005-AR16, Cl. 1A1, 2.34%, 12/25/352

     1,647,025         1,573,912   

 

9      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Commercial (Continued)

     

 

 

Wells Fargo Mortgage-Backed Securities Trust:

     

Series 2005-AR10, Cl. 1A1, 2.619%, 6/25/352

   $     4,277,430       $     4,382,599   

Series 2005-AR15, Cl. 1A6, 2.613%, 9/25/352

     273,603         261,009   

Series 2006-AR8, Cl. 2A4, 2.604%, 4/25/362

     1,358,972         1,328,339   

Series 2007-16, Cl. 1A1, 6.00%, 12/28/37

     1,181,558         1,224,120   

Series 2007-AR3, Cl. A4, 5.755%, 4/25/372

     548,405         538,673   

Series 2007-AR8, Cl. A1, 2.61%, 11/25/372

     1,365,571         1,206,237   

 

 

WF-RBS Commercial Mortgage Trust:

     

Series 2012-C10, Cl. D, 4.458%, 12/15/451,2

     1,320,000         1,310,885   

Series 2012-C7, Cl. E, 4.845%, 6/15/451,2

     840,000         864,495   

Series 2012-C8, Cl. E, 4.876%, 8/15/451,2

     3,560,000         3,719,484   

Series 2013-C11, Cl. D, 4.182%, 3/15/451,2

     481,000         473,941   

 

 
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/441,3,4      26,371,662         1,356,347   
     

 

 

 
       

 

174,491,471

 

  

 

 

 

Multi-Family—0.4%

     

 

 

Wells Fargo Mortgage-Backed Securities Trust:

     

Series 2005-AR15, Cl. 1A2, 2.613%, 9/25/352

     3,218,581         3,151,342   

Series 2006-AR2, Cl. 2A3, 2.615%, 3/25/362

     2,674,980         2,650,306   
     

 

 

 
       

 

5,801,648

 

  

 

 

 

Residential—1.8%

     

 

 

Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5%, 7/25/35

     1,496,317         1,370,134   

 

 

Banc of America Funding Trust:

     

Series 2007-1, Cl. 1A3, 6.00%, 1/25/37

     1,081,130         1,000,731   

Series 2007-C, Cl. 1A4, 5.278%, 5/20/362

     517,259         489,637   

 

 

Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37

     1,261,349         1,125,812   

 

 

Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/362

     4,121,969         4,119,405   

 

 

Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.284%, 7/25/362

     642,157         631,933   

 

 

CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/492

     6,055,000         6,340,929   

 

 

Chase Funding Trust, Series 2003-2, Cl. 2A2, 0.734%, 2/25/332

     377,314         345,467   

 

 

CHL Mortgage Pass-Through Trust:

     

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

     986,147         956,362   

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

     694,606         675,895   

 

 

Countrywide Alternative Loan Trust, Series 2005-21CB, Cl. A7, 5.50%, 6/25/35

     2,437,584         2,291,324   

 

 

Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.529%, 12/25/342

     555,030         550,034   

 

 

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/298,9

     1,750,658         455,171   

 

 

RALI Trust:

     

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

     48,106         48,424   

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

     212,230         173,699   

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

     1,066,491         870,637   

 

 

Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6%, 6/25/35

     524,768         500,619   

 

 

WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.419%, 10/25/332

     1,460,486         1,494,870   

 

10      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Residential (Continued)

     

 

 

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2, 5.765%, 10/25/362

   $ 1,134,667       $ 1,102,886   
     

 

 

 
        24,543,969   
     

 

 

 

Total Mortgage-Backed Obligations (Cost $755,554,353)

 

       

 

767,303,872

 

  

 

 

 

U.S. Government Obligations—1.1%

     

 

 

Federal National Mortgage Assn. Nts., 1%, 9/27/17

         6,129,000             6,155,379   

 

 

United States Treasury Nts.:

     

0.75%, 2/28/18

     348,000         346,831   

1.50%, 5/31/19

     7,480,000         7,560,059   
     

 

 

 

Total U.S. Government Obligations (Cost $13,972,801)

 

       

 

14,062,269

 

  

 

 

 

Corporate Bonds and Notes—48.3%

     

 

 

Consumer Discretionary—6.8%

     

 

 

Auto Components—0.1%

     

 

 

BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45

     979,000         1,020,886   

 

 

Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17

     587,000         585,501   
     

 

 

 
       

 

1,606,387

 

  

 

 

 

Automobiles—1.6%

     

 

 

Daimler Finance North America LLC:

     

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

     2,846,000         2,853,787   

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

     1,679,000         2,664,873   

 

 

Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24

     6,905,000         7,138,568   

 

 

General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43

     2,596,000         3,192,278   

 

 

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

     2,696,000         2,699,815   

 

 

Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/161

     2,199,000         2,257,608   
     

 

 

 
       

 

20,806,929

 

  

 

 

 

Diversified Consumer Services—0.2%

     

 

 

Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24

 

    

 

3,086,000

 

  

 

    

 

3,240,300

 

  

 

 

 

Hotels, Restaurants & Leisure—0.7%

     

 

 

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

     915,000         919,746   

 

 

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

     2,589,000         2,593,256   

 

 

Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16

     498,000         515,993   

 

 

Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19

     1,788,000         2,120,726   

 

 

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

     2,615,000         2,793,157   
     

 

 

 
       

 

8,942,878

 

  

 

 

 

Household Durables—0.8%

     

 

 

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

     2,718,000         2,843,707   

 

 

Lennar Corp., 4.75% Sr. Unsec. Nts., 11/15/22

     2,965,000         3,031,713   

 

 

Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23

     2,743,000         2,784,145   

 

 

Whirlpool Corp.:

     

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

     707,000         708,838   

 

11      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Household Durables (Continued)

     

 

 

Whirlpool Corp.: (Continued)

     

1.65% Sr. Unsec. Nts., 11/1/17

   $ 765,000       $ 770,266   
     

 

 

 
       

 

10,138,669

 

  

 

 

 

Leisure Equipment & Products—0.2%

     

 

 

Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18

 

    

 

3,308,000

 

  

 

    

 

3,294,394

 

  

 

 

 

Media—1.8%

     

 

 

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

     1,120,000         1,453,411   

 

 

CCO Holdings LLC/CCO Holdings Capital Corp., 6.50% Sr. Unsec. Nts., 4/30/21

     2,867,000         3,021,101   

 

 

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

     1,765,000         2,571,725   

 

 

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

     1,128,000         1,266,639   

 

 

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

     1,875,000         1,969,882   

 

 

Historic TW, Inc.:

     

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

     433,000         456,494   

9.15% Debs., 2/1/23

     921,000         1,273,880   

 

 

Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24

     1,483,000         1,574,030   

 

 

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

     3,209,000         3,297,247   

 

 

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

     581,000         599,650   

 

 

Sky plc, 3.75% Sr. Unsec. Nts., 9/16/241

     1,635,000         1,693,693   

 

 

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

         2,457,000             2,550,762   

 

 

Time Warner, Inc., 4.65% Sr. Unsec. Nts., 6/1/44

     750,000         811,354   

 

 

Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16

     1,206,000         1,233,409   
     

 

 

 
       

 

23,773,277

 

  

 

 

 

Multiline Retail—0.3%

     

 

 

Family Tree Escrow LLC, 5.75% Sr. Sec. Nts., 3/1/231

     3,300,000         3,481,500   

 

 

Macy’s Retail Holdings, Inc., 4.50% Sr. Unsec. Nts., 12/15/34

     765,000         812,396   
     

 

 

 
       

 

4,293,896

 

  

 

 

 

Specialty Retail—0.7%

     

 

 

Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21

     3,241,000         3,435,460   

 

 

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

     1,011,000         1,211,961   

 

 

Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24

     2,829,000         2,903,570   

 

 

Sally Holdings LLC/Sally Capital, Inc., 5.75% Sr. Unsec. Nts., 6/1/22

     26,000         27,787   

 

 

Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24

     1,414,000         1,454,094   
     

 

 

 
       

 

9,032,872

 

  

 

 

 

Textiles, Apparel & Luxury Goods—0.4%

     

 

 

Levi Strauss & Co., 6.875% Sr. Unsec. Nts., 5/1/22

     2,585,000         2,837,038   

 

 

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

     2,972,000         3,031,440   
     

 

 

 
       

 

5,868,478

 

  

 

 

 

Consumer Staples—3.7%

     

 

 

Beverages—0.9%

     

 

 

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

     2,213,000         3,470,648   

 

 

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

     2,863,000         2,934,575   

 

12      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Beverages (Continued)

     

 

 

Pernod Ricard SA:

     

2.95% Sr. Unsec. Nts., 1/15/171

   $     2,801,000       $     2,881,856   

4.25% Sr. Unsec. Nts., 7/15/221

     1,979,000         2,136,275   
     

 

 

 
       

 

11,423,354

 

  

 

 

 

Food & Staples Retailing—0.7%

     

 

 

CVS Health Corp., 5.30% Sr. Unsec. Nts., 12/5/43

     705,000         864,785   

 

 

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

     1,462,000         1,621,466   

 

 

Kroger Co., 6.90% Sr. Unsec. Nts., 4/15/38

     755,000         1,034,262   

 

 

Kroger Co. (The), 6.40% Sr. Unsec. Nts., 8/15/17

     2,852,000         3,181,186   

 

 

Walgreens Boots Alliance, Inc., 1.75% Sr. Unsec. Nts., 11/17/17

     1,389,000         1,402,321   

 

 

Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44

     1,500,000         1,678,367   
     

 

 

 
       

 

9,782,387

 

  

 

 

 

Food Products—1.7%

     

 

 

Bunge Ltd. Finance Corp.:

     

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

     2,275,000         2,301,711   

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

     2,384,000         2,943,010   

 

 

ConAgra Foods, Inc., 1.35% Sr. Unsec. Nts., 9/10/15

     3,149,000         3,155,805   

 

 

Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17

     1,891,000         1,891,616   

 

 

JM Smucker Co.:

     

1.75% Sr. Unsec. Nts., 3/15/181

     2,582,000         2,594,257   

3.50% Sr. Unsec. Nts., 3/15/251

     2,013,000         2,073,726   

 

 

Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42

     775,000         865,043   

 

 

TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22

     3,110,000         3,179,975   

 

 

Tyson Foods, Inc.:

     

4.875% Sr. Unsec. Nts., 8/15/34

     944,000         1,067,720   

6.60% Sr. Unsec. Nts., 4/1/16

     2,529,000         2,668,300   
     

 

 

 
       

 

22,741,163

 

  

 

 

 

Tobacco—0.4%

     

 

 

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

     1,678,000         2,976,846   

 

 

Reynolds American, Inc., 6.75% Sr. Unsec. Nts., 6/15/17

     2,523,000         2,800,770   
     

 

 

 
       

 

5,777,616

 

  

 

 

 

Energy—4.4%

     

 

 

Energy Equipment & Services—0.7%

     

 

 

Ensco plc, 5.20% Sr. Unsec. Nts., 3/15/25

     652,000         656,733   

 

 

Nabors Industries, Inc.:

     

2.35% Sr. Unsec. Nts., 9/15/16

     2,035,000         2,029,631   

4.625% Sr. Unsec. Nts., 9/15/21

     1,224,000         1,179,578   

 

 

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

     1,104,000         1,062,673   

 

 

Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/171

     3,325,000         3,331,291   

 

 

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

     840,000         740,719   
     

 

 

 
       

 

9,000,625

 

  

 

 

 

Oil, Gas & Consumable Fuels—3.7%

     

 

 

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

     1,483,000         1,812,018   

 

 

Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24

     1,797,000         1,814,577   

 

 

Canadian Natural Resources Ltd.:

     

1.75% Sr. Unsec. Nts., 1/15/18

     1,259,000         1,253,428   

 

13      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Oil, Gas & Consumable Fuels (Continued)

     

 

 

Canadian Natural Resources Ltd.: (Continued)

     

5.90% Sr. Unsec. Nts., 2/1/18

   $     1,419,000       $     1,566,883   

 

 

CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17

     2,927,000         2,921,248   

 

 

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

     1,978,000         1,989,374   

 

 

Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42

     1,421,000         1,525,797   

 

 

EnLink Midstream Partners LP:

     

2.70% Sr. Unsec. Nts., 4/1/19

     2,598,000         2,599,850   

4.40% Sr. Unsec. Nts., 4/1/24

     754,000         794,026   

 

 

Enterprise Products Operating LLC, 3.75% Sr. Unsec. Nts., 2/15/25

     1,427,000         1,479,001   

 

 

Kinder Morgan Energy Partners LP, 4.10% Sr. Unsec. Nts., 11/15/15

     1,051,000         1,069,665   

 

 

Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/211

     3,438,000         3,679,165   

 

 

Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44

     829,000         873,358   

 

 

Origin Energy Finance Ltd.:

     

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

     3,073,000         3,167,857   

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

     1,858,000         2,045,965   

 

 

Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25

     650,000         652,408   

 

 

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

     2,910,000         3,164,130   

 

 

Plains All American Pipeline LP/PAA Finance Corp., 3.60% Sr. Unsec. Nts., 11/1/24

     2,428,000         2,442,502   

 

 

Southwestern Energy Co., 4.05% Sr. Unsec. Nts., 1/23/20

     2,938,000         3,039,299   

 

 

Spectra Energy Partners LP:

     

4.50% Sr. Unsec. Nts., 3/15/45

     653,000         665,588   

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

     1,607,000         1,766,463   

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

     1,329,000         1,462,089   

 

 

Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22

     2,078,000         2,115,508   

 

 

Williams Partners LP:

     

3.60% Sr. Unsec. Nts., 3/15/22

     275,000         273,704   

4.50% Sr. Unsec. Nts., 11/15/23

     3,056,000         3,174,319   

 

 

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

     2,534,000         2,744,018   
     

 

 

 
       

 

50,092,240

 

  

 

 

 

Financials—14.5%

     

 

 

Capital Markets—3.3%

     

 

 

Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/241

     2,371,000         2,441,637   

 

 

Blackstone Holdings Finance Co. LLC, 5% Sr. Unsec. Nts., 6/15/441

     2,869,000         3,119,036   

 

 

Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24

     4,202,000         4,348,246   

 

 

Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25

     3,415,000         3,417,134   

 

 

Goldman Sachs Group, Inc. (The):

     

3.50% Sr. Unsec. Nts., 1/23/25

     3,297,000         3,368,459   

5.70% Jr. Sub. Perpetual Bonds, Series L2,10

     3,116,000         3,216,295   

 

 

KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/441

     2,710,000         2,810,579   

 

 

Lazard Group LLC:

     

3.75% Sr. Unsec. Nts., 2/13/25

     804,000         794,550   

4.25% Sr. Unsec. Nts., 11/14/20

     2,309,000         2,470,780   

 

 

Morgan Stanley:

     

4.30% Sr. Unsec. Nts., 1/27/45

     1,921,000         1,999,300   

5.00% Sub. Nts., 11/24/25

     2,949,000         3,261,709   

5.45% Jr. Sub. Perpetual Bonds, Series H2,10

     3,192,000         3,219,930   

 

 

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

     2,521,000         2,546,127   

 

14      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

  Principal
Amount
  Value  

 

 

Capital Markets (Continued)

     

 

 

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

   $     2,772,000       $     3,210,245   

 

 

UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 12,10

     4,518,000         4,715,663   
     

 

 

 
       

 

44,939,690

 

  

 

 

 

Commercial Banks—5.4%

     

 

 

Bank of America Corp.:

     

7.75% Jr. Sub. Nts., 5/14/38

     2,412,000         3,484,836   

8.00% Jr. Sub. Perpetual Bonds, Series K2,10

     3,058,000         3,298,817   

 

 

Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25

     2,710,000         2,724,095   

 

 

CIT Group, Inc., 3.875% Sr. Unsec. Nts., 2/19/19

     3,320,000         3,295,100   

 

 

Citigroup, Inc.:

     

2.40% Sr. Unsec. Nts., 2/18/20

     5,267,000         5,291,834   

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

     1,507,000         2,017,127   

5.95% Jr. Sub. Perpetual Bonds, Series D2,10

     3,256,000         3,300,770   

 

 

Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds1,2,7,10

     3,364,000         3,364,000   

 

 

Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds2,8,10

     2,714,000         3,221,789   

 

 

FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26

     2,998,000         3,148,497   

 

 

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

     6,450,000         6,572,550   

 

 

Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/241

     2,890,000         2,963,325   

 

 

JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S2,10

     2,795,000         3,046,550   

 

 

Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds1,2,10

     2,718,000         3,105,315   

 

 

Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds2,8,10

     4,537,000         4,735,494   

 

 

Regions Bank, Birmingham AL, 6.45% Sub. Nts., 6/26/37

     2,275,000         2,879,845   

 

 

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

     2,900,000         3,190,000   

 

 

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

     2,845,000         2,983,694   

 

 

SunTrust Banks, Inc.:

     

3.60% Sr. Unsec. Nts., 4/15/16

     2,645,000         2,711,601   

5.625% Jr. Sub. Perpetual Bonds2,10

     3,013,000         3,078,909   

 

 

Wells Fargo & Co.:

     

5.875% Jr. Sub. Perpetual Bonds2,10

     1,219,000         1,292,384   

5.90% Jr. Sub. Perpetual Bonds, Series S2,10

     2,394,000         2,498,737   
     

 

 

 
       

 

72,205,269

 

  

 

 

 

Consumer Finance—1.2%

     

Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31

     2,536,000         3,179,510   

 

 

Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25

     3,975,000         3,950,260   

 

 

Discover Financial Services:

     

3.75% Sr. Unsec. Nts., 3/4/25

     2,821,000         2,847,427   

3.95% Sr. Unsec. Nts., 11/6/24

     2,281,000         2,350,363   

 

 

Synchrony Financial:

     

2.70% Sr. Unsec. Nts., 2/3/20

     2,385,000         2,398,017   

3.75% Sr. Unsec. Nts., 8/15/21

     1,045,000         1,084,495   
     

 

 

 
       

 

15,810,072

 

  

 

 

 

Diversified Financial Services—0.3%

     

 

 

Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/251

     1,695,000         1,722,954   

 

 

 

15      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Diversified Financial Services (Continued)

     

 

 

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

   $     2,947,000       $     3,094,350   
     

 

 

 
       

 

4,817,304

 

  

 

 

 

Insurance—2.7%

     

 

 

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

     2,297,000         2,684,389   

 

 

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

     2,115,000         2,371,036   

 

 

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

     2,078,000         2,233,337   

 

 

Liberty Mutual Group, Inc.:

     

4.25% Sr. Unsec. Nts., 6/15/231

     3,133,000         3,342,851   

4.85% Sr. Unsec. Nts., 8/1/441

     1,869,000         2,035,119   

 

 

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

     5,973,000         5,784,850   

 

 

MetLife, Inc., 4.05% Sr. Unsec. Nts., 3/1/45

     1,998,000         2,060,402   

 

 

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

     1,994,000         2,037,369   

 

 

Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds2,8,10

     5,585,000         5,878,212   

 

 

TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/241

     3,122,000         3,301,790   

 

 

XLIT Ltd., 4.45% Sub. Nts., 3/31/25

     1,708,000         1,722,497   

 

 

ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/372,8

     3,117,000         3,296,228   
     

 

 

 
       

 

36,748,080

 

  

 

 

 

Real Estate—0.1%

     

 

 

Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17

 

    

 

1,056,000

 

  

 

    

 

1,054,060

 

  

 

 

 

Real Estate Investment Trusts (REITs)—1.2%

     

 

 

American Tower Corp.:

     

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

     1,324,000         1,464,201   

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

     1,523,000         1,757,862   

 

 

Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23

     3,230,000         3,246,150   

 

 

HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17

     970,000         1,052,960   

 

 

Health Care REIT, Inc., 2.25% Sr. Unsec. Nts., 3/15/18

     681,000         690,637   

 

 

Hospitality Properties Trust, 4.65% Sr. Unsec. Nts., 3/15/24

     1,284,000         1,333,045   

 

 

Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16

     1,856,000         1,973,327   

 

 

Prologis LP, 4% Sr. Unsec. Nts., 1/15/18

     1,705,000         1,802,644   

 

 

WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/171

     2,869,000         2,884,983   
     

 

 

 
       

 

16,205,809

 

  

 

 

 

Real Estate Management & Development—0.3%

     

 

 

Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25

 

    

 

3,528,000

 

  

 

    

 

3,549,027

 

  

 

 

 

Health Care—2.9%

     

 

 

Biotechnology—0.1%

     

 

 

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

    

 

1,531,000

 

  

 

    

 

1,958,050

 

  

 

 

 

Health Care Equipment & Supplies—0.6%

     

 

 

CareFusion Corp.:

     

1.45% Sr. Unsec. Nts., 5/15/17

     2,824,000         2,827,126   

3.875% Sr. Unsec. Nts., 5/15/24

     1,378,000         1,454,246   

 

 

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

     2,950,000         3,007,440   

 

 

Zimmer Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25

     992,000         1,012,992   
     

 

 

 
        8,301,804   

 

16      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Health Care Providers & Services—1.1%

     

 

 

Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24

   $     1,473,000       $     1,522,462   

 

 

CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21

     2,915,000         3,017,025   

 

 

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

     2,367,000         2,615,535   

 

 

Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25

     3,193,000         3,212,480   

 

 

LifePoint Hospitals, Inc., 5.50% Sr. Unsec. Nts., 12/1/21

     2,960,000         3,115,400   

 

 

McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44

     1,380,000         1,590,319   

 

 

Quest Diagnostics, Inc., 3.50% Sr. Unsec. Nts., 3/30/25

     529,000         530,982   
     

 

 

 
       

 

15,604,203

 

  

 

 

 

Life Sciences Tools & Services—0.2%

     

 

 

Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16

     179,000         182,544   

 

 

Thermo Fisher Scientific, Inc.:

     

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

     889,000         961,643   

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

     978,000         1,172,947   
     

 

 

 
       

 

2,317,134

 

  

 

 

 

Pharmaceuticals—0.9%

     

 

 

Actavis Funding SCS:

     

1.30% Sr. Unsec. Nts., 6/15/17

     1,870,000         1,854,686   

1.85% Sr. Unsec. Nts., 3/1/17

     1,451,000         1,461,933   

3.80% Sr. Unsec. Nts., 3/15/25

     1,289,000         1,331,902   

4.75% Sr. Unsec. Nts., 3/15/45

     1,386,000         1,476,873   

 

 

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

     2,530,000         2,889,106   

 

 

Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18

     2,609,000         2,582,910   
     

 

 

 
       

 

11,597,410

 

  

 

 

 

Industrials—4.4%

     

 

 

Aerospace & Defense—0.6%

     

 

 

BAE Systems Holdings, Inc., 3.80% Sr. Unsec. Nts., 10/7/241

     2,363,000         2,485,470   

 

 

L-3 Communications Corp.:

     

1.50% Sr. Unsec. Nts., 5/28/17

     905,000         899,652   

3.95% Sr. Unsec. Nts., 5/28/24

     1,939,000         1,993,815   

 

 

Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43

     730,000         826,957   

 

 

Textron, Inc.:

     

3.875% Sr. Unsec. Nts., 3/1/25

     902,000         933,684   

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

     1,297,000         1,390,994   
     

 

 

 
       

 

8,530,572

 

  

 

 

 

Building Products—0.2%

     

 

 

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

 

    

 

2,820,000

 

  

 

    

 

2,947,529

 

  

 

 

 

Commercial Services & Supplies—0.9%

     

 

 

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

     2,670,000         2,743,425   

 

 

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

     3,756,000         3,946,917   

 

 

R.R. Donnelley & Sons Co., 7.625% Sr. Unsec. Nts., 6/15/20

     2,905,000         3,333,488   

 

 

Republic Services, Inc., 5.70% Sr. Unsec. Nts., 5/15/41

     1,270,000         1,605,081   
     

 

 

 
        11,628,911   

 

 

17      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

 

  

 

   $

 

    2,058,805

 

  

 

 

 

Industrial Conglomerates—0.4%

     

 

 

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

 

    

 

4,700,000

 

  

 

    

 

5,311,000

 

  

 

 

 

Machinery—0.5%

     

 

 

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

     1,303,000         1,396,864   

 

 

Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23

     2,535,000         2,711,370   

 

 

Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15

     2,529,000         2,625,355   
     

 

 

 
       

 

6,733,589

 

  

 

 

 

Professional Services—0.4%

     

 

 

Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/171

     2,814,000         2,844,290   

 

 

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

     3,090,000         3,159,525   
     

 

 

 
       

 

6,003,815

 

  

 

 

 

Road & Rail—0.7%

     

 

 

Burlington Northern Santa Fe LLC, 3% Sr. Unsec. Nts., 3/15/23

     2,256,000         2,305,235   

 

 

ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/451

     954,000         969,183   

 

 

Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23

     2,301,000         2,274,115   

 

 

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

     

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

     2,524,000         2,560,956   

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

     1,512,000         1,575,581   
     

 

 

 
       

 

9,685,070

 

  

 

 

 

Trading Companies & Distributors—0.5%

     

 

 

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

     3,197,000         3,308,895   

 

 

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

     2,764,000         3,005,850   
     

 

 

 
       

 

6,314,745

 

  

 

 

 

Information Technology—2.4%

     

 

 

Communications Equipment—0.2%

     

 

 

Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23

 

    

 

2,352,000

 

  

 

    

 

2,364,195

 

  

 

 

 

Electronic Equipment, Instruments, & Components—0.6%

     

 

 

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

     3,515,000         3,882,110   

 

 

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

     3,736,000         4,024,987   
     

 

 

 
       

 

7,907,097

 

  

 

 

 

Internet Software & Services—0.2%

     

 

 

VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/251

 

    

 

2,390,000

 

  

 

    

 

2,434,813

 

  

 

 

 

IT Services—0.4%

     

 

 

Fidelity National Information Services, Inc.:

     

1.45% Sr. Unsec. Nts., 6/5/17

     2,582,000         2,580,812   

3.50% Sr. Unsec. Nts., 4/15/23

     1,429,000         1,436,368   

 

18      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

IT Services (Continued)

     

 

 

Xerox Corp.:

     

2.95% Sr. Unsec. Nts., 3/15/17

   $     1,134,000       $     1,168,166   

6.75% Sr. Unsec. Nts., 2/1/17

     564,000         617,020   
     

 

 

 
       

 

5,802,366

 

  

 

 

 

Semiconductors & Semiconductor Equipment—0.3%

     

 

 

Micron Technology, Inc., 5.50% Sr. Unsec. Nts., 2/1/251

 

    

 

3,230,000

 

  

 

    

 

3,262,300

 

  

 

 

 

Software—0.4%

     

 

 

Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231

     3,230,000         3,359,200   

 

 

Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24

     2,274,000         2,393,189   
     

 

 

 
       

 

5,752,389

 

  

 

 

 

Technology Hardware, Storage & Peripherals—0.3%

     

 

 

Apple, Inc., 4.45% Sr. Unsec. Nts., 5/6/44

     1,631,000         1,825,042   

 

 

Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16

     2,481,000         2,527,873   
     

 

 

 
       

 

4,352,915

 

  

 

 

 

Materials—3.1%

     

 

 

Chemicals—1.0%

     

 

 

Agrium, Inc.:

     

3.375% Sr. Unsec. Nts., 3/15/25

     1,320,000         1,322,261   

4.125% Sr. Unsec. Nts., 3/15/35

     660,000         656,626   

 

 

Eastman Chemical Co.:

     

3.00% Sr. Unsec. Nts., 12/15/15

     1,413,000         1,434,141   

4.65% Sr. Unsec. Nts., 10/15/44

     781,000         823,045   

 

 

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

     837,000         936,423   

 

 

Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24

     1,919,000         1,948,098   

 

 

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

     2,855,000         2,979,906   

 

 

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

     2,766,000         2,759,652   

 

 

Valspar Corp. (The), 3.30% Sr. Unsec. Nts., 2/1/25

     915,000         921,408   
     

 

 

 
       

 

13,781,560

 

  

 

 

 

Construction Materials—0.4%

     

 

 

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

     2,447,000         2,501,529   

 

 

James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/231

     3,173,000         3,284,055   
     

 

 

 
       

 

5,785,584

 

  

 

 

 

Containers & Packaging—1.0%

     

 

 

Ball Corp., 4% Sr. Unsec. Nts., 11/15/23

     2,710,000         2,655,800   

 

 

Packaging Corp. of America:

     

3.65% Sr. Unsec. Nts., 9/15/24

     745,000         750,563   

4.50% Sr. Unsec. Nts., 11/1/23

     2,009,000         2,167,360   

 

 

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

     4,507,000         4,683,958   

 

 

Silgan Holdings, Inc., 5% Sr. Unsec. Nts., 4/1/20

     2,516,000         2,597,770   
     

 

 

 
       

 

12,855,451

 

  

 

 

 

Metals & Mining—0.6%

     

 

 

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

     951,000         975,558   

 

 

Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23

     1,094,000         1,014,507   

 

 

Glencore Canada Corp., 6% Sr. Unsec. Unsub. Nts., 10/15/15

     2,594,000         2,660,513   

 

19      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal
Amount
     Value  

 

 

Metals & Mining (Continued)

     

 

 

Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/241

   $     1,246,000       $     1,301,023   

 

 

Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44

     880,000         920,943   

 

 

Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24

     1,594,000         1,570,120   
     

 

 

 
       

 

8,442,664

 

  

 

 

 

Paper & Forest Products—0.1%

     

 

 

International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44

 

    

 

1,246,000

 

  

 

    

 

1,286,891

 

  

 

 

 

Telecommunication Services—3.0%

     

 

 

Diversified Telecommunication Services—2.8%

     

 

 

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

     2,089,000         2,013,146   

 

 

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

     2,005,000         3,311,669   

 

 

CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21

     2,725,000         2,953,219   

 

 

Cox Communications, Inc.:

     

3.85% Sr. Unsec. Nts., 2/1/251

     1,906,000         1,963,754   

5.875% Sr. Unsec. Nts., 12/1/161

     3,016,000         3,239,190   

 

 

Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16

     3,052,000         3,194,678   

 

 

Frontier Communications Corp., 7.625% Sr. Unsec. Nts., 4/15/24

     3,020,000         3,159,675   

 

 

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

     1,664,000         1,951,040   

 

 

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

     1,150,000         1,593,645   

 

 

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

     2,839,000         2,963,206   

 

 

Verizon Communications, Inc.:

     

3.50% Sr. Unsec. Nts., 11/1/24

     1,323,000         1,356,657   

4.50% Sr. Unsec. Nts., 9/15/20

     6,490,000         7,171,956   

4.522% Sr. Unsec. Nts., 9/15/481

     1,822,000         1,815,514   

5.012% Sr. Unsec. Nts., 8/21/54

     735,000         766,069   
     

 

 

 
       

 

37,453,418

 

  

 

 

 

Wireless Telecommunication Services—0.2%

     

 

 

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

     1,086,000         1,091,278   

 

 

Vodafone Group plc:

     

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

     808,000         799,278   

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

     842,000         1,032,614   
     

 

 

 
       

 

2,923,170

 

  

 

 

 

Utilities—3.1%

     

 

 

Electric Utilities—1.5%

     

 

 

American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/441

     784,000         889,035   

 

 

EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/211

     3,045,000         3,308,210   

 

 

Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/171

     2,998,000         3,337,976   

 

 

ITC Holdings Corp.:

     

3.65% Sr. Unsec. Nts., 6/15/24

     2,444,000         2,537,969   

5.30% Sr. Unsec. Nts., 7/1/43

     665,000         791,748   

 

 

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

     500,000         554,135   

 

 

PPL Capital Funding, Inc.:

     

3.50% Sr. Unsec. Unsub. Nts., 12/1/22

     2,250,000         2,349,198   

4.20% Sr. Sec. Nts., 6/15/22

     987,000         1,076,799   

 

 

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

     2,845,000         3,278,692   

 

 

Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/251

     1,915,000         2,004,475   
     

 

 

 
        20,128,237   

 

20      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

  Principal
Amount
  Value  

 

 

Independent Power and Renewable Electricity Producers—0.4%

    

 

 

Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16

   $ 1,842,000      $ 1,862,306   

 

 

NRG Yield Operating LLC, 5.375% Sr. Unsec. Nts., 8/15/241

     3,101,000        3,240,545   
    

 

 

 
      

 

5,102,851

 

  

 

 

 

Multi-Utilities—1.2%

    

 

 

Berkshire Hathaway Energy Co., 4.50% Sr. Unsec. Nts., 2/1/45

     1,545,000        1,689,281   

 

 

CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17

     2,403,000        2,607,193   

 

 

CMS Energy Corp.:

    

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

     1,376,000        1,474,028   

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

     2,483,000        2,844,058   

 

 

Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54

     693,000        780,585   

 

 

Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44

     1,186,000        1,283,441   

 

 

Dominion Resources, Inc., 2.50% Sr. Unsec. Nts., 12/1/19

     2,140,000        2,177,172   

 

 

NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44

     1,377,000        1,554,506   

 

 

TECO Finance, Inc., 6.75% Sr. Unsec. Nts., 5/1/15

     1,687,000        1,694,311   
    

 

 

 
       16,104,575   
    

 

 

 

Total Corporate Bonds and Notes (Cost $624,910,360)

      

 

649,877,889

 

  

 

     Shares        

 

 

Investment Company—10.4%

    

 

 

Oppenheimer Institutional Money Market Fund, Cl. E, 0.12%11,12 (Cost $139,949,075)

    

 

139,949,075

 

  

 

   

 

139,949,075

 

  

 

 

 

Total Investments, at Value (Cost $1,750,169,020)

     132.9     1,788,025,126   

 

 

Net Other Assets (Liabilities)

     (32.9     (442,547,478
  

 

 

 

Net Assets

     100.0   $ 1,345,477,648   
  

 

 

 

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 $316,229,911 or 23.50% of the Fund’s net assets as of March 31, 2015.

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

3. 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 $19,397,862 or 1.44% of the Fund’s net assets as of March 31, 2015.

4. Interest rate is less than 0.0005%.

5. 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 $195,861 or 0.01% of the Fund’s net assets as of March 31, 2015.

6. 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.

7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2015. See Note 3 of the accompanying Notes.

 

21      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

8. Restricted security. The aggregate value of restricted securities as of March 31, 2015 was $17,586,894, which represents 1.31% of the Fund’s net assets. See Note 3 of the accompanying Notes. Information concerning restricted securities is as follows:

Security   

Acquisition

Dates

     Cost      Value     Unrealized
Appreciation/
(Depreciation)
 

 

 

Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds

 

     10/27/14-3/19/15       $ 3,120,412       $ 3,221,789      $ 101,377   

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29

 

     8/10/10         1,703,335         455,171        (1,248,164

Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds

 

     5/1/13-5/8/13         4,591,863         4,735,494        143,631   

Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds

 

     3/10/10-2/3/15         5,253,418         5,878,212        624,794   
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37      11/20/13-3/11/15         3,256,770         3,296,228        39,458   
     

 

 

 
      $     17,925,798       $     17,586,894      $ (338,904
     

 

 

 

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 Note 3 of the 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, as amended, at or during the period ended March 31, 2015, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

     Shares
December 31,
2014
   Gross
Additions
   Gross
Reductions
     Shares
March 31, 2015
 

 

 
Oppenheimer Institutional Money Market Fund, Cl. E    177,804,869    202,904,828    240,760,622      139,949,075  
           Value         Income   

 

 
Oppenheimer Institutional Money Market Fund, Cl. E          $     139,949,075       $     39,090   

12. Rate shown is the 7-day yield as of March 31, 2015.

 

22      Oppenheimer Core Bond Fund


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Futures Contracts as of March 31, 2015                                                
Description    Exchange      Buy/Sell      Expiration
Date
     Number of
Contracts
     Value      Unrealized
Appreciation
(Depreciation)
 

 

 

United States Treasury Long Bonds

     CBT         Sell         6/19/15         130         $    21,303,750       $ (64,785

United States Treasury Nts., 2 yr.

     CBT         Sell         6/30/15         406         88,977,438         (72,489

United States Treasury Nts., 5 yr.

     CBT         Buy         6/30/15         1         120,211         218   

United States Treasury Nts., 10 yr.

     CBT         Sell         6/20/15         817         105,316,406         (308,303

United States Treasury Ultra Bonds

     CBT         Buy         6/19/15         441         74,914,875         1,124,019   
                 

 

 

 
                  $     678,660   
                 

 

 

 

Glossary:

Exchange Abbreviations

CBT

               Chicago Board of Trade

 

23      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS March 31, 2015 Unaudited

 

 

1. Organization

Oppenheimer Core Bond Fund (the “Fund”) is a separate fund of Oppenheimer Integrity Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a subadvisory agreement with OFI.

 

 

2. Securities Valuation

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

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

Valuation Methods and Inputs

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

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

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, 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.

 

24      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

2. Securities Valuation (Continued)

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.

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

 

25      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

2. Securities Valuation (Continued)

securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

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

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

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

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

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

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

The table below categorizes amounts as of March 31, 2015 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

   $       $ 216,832,021       $       $ 216,832,021   

Mortgage-Backed Obligations

             766,785,243         518,629         767,303,872   

U.S. Government Obligations

             14,062,269                 14,062,269   

Corporate Bonds and Notes

             649,877,889                 649,877,889   

Investment Company

     139,949,075                         139,949,075   
  

 

 

 

Total Investments, at Value

     139,949,075         1,647,557,422         518,629         1,788,025,126   

 

26      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

2. Securities Valuation (Continued)

 

   
 
 
Level 1—
Unadjusted
Quoted Prices
  
  
  
 

 
 

Level 2—

Other Significant
Observable Inputs

  

  
  

 
 
 
 
Level 3—
Significant
Unobservable
Inputs
  
  
  
  
  Value   

Other Financial Instruments:

          

Futures contracts

   $ 1,124,237      $       $       $ 1,124,237   
  

 

 

 

Total Assets

   $ 141,073,312      $ 1,647,557,422       $ 518,629       $   1,789,149,363   
  

 

 

 

Liabilities Table

          

Other Financial Instruments:

          

Futures contracts

   $ (445,577   $       $       $ (445,577
  

 

 

 

Total Liabilities

   $ (445,577   $       $       $ (445,577
  

 

 

 

Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

 

 

3. Investments and Risks

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

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

 

27      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Investments and Risks (Continued)

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, 2015, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

    When-Issued or
Delayed Delivery
Basis Transactions
 

 

 

Purchased securities

    $711,997,964   

Sold securities

    262,548,011   

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.

At the period ended March 31, 2015, the counterparty pledged $1,525,905 of collateral to the Fund for forward roll transactions.

Restricted Securities. As of March 31, 2015, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.

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

 

28      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

3. Investments and Risks (Continued)

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, 2015 is as follows:

Cost

     $1,703,335   

Market Value

     $455,171   

Market value as % of Net Assets

     0.03%   

 

 

4. Risk Exposures and the Use of Derivative Instruments

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

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

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

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

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

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

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

 

29      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

4. Risk Exposures and the Use of Derivative Instruments (Continued)

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

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the 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

 

30      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

4. Risk Exposures and the Use of Derivative Instruments (Continued)

receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended March 31, 2015, the Fund had an ending monthly average market value of $75,667,814 and $172,022,133 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.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.

To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails

 

31      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

4. Risk Exposures and the Use of Derivative Instruments (Continued)

to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

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

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.

With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the

 

32      Oppenheimer Core Bond Fund


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

4. Risk Exposures and the Use of Derivative Instruments (Continued)

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.

 

 

5. 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, 2015 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.

Federal tax cost of securities

   $ 1,750,548,836   

Federal tax cost of other investments

     (141,241,168
  

 

 

 

Total federal tax cost

   $ 1,609,307,668   
  

 

 

 

Gross unrealized appreciation

   $ 45,733,890   

Gross unrealized depreciation

     (7,578,940
  

 

 

 

Net unrealized appreciation

   $ 38,154,950   
  

 

 

 

 

33      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 3/31/2015, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

 

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


Item 3. Exhibits.

Exhibits attached hereto.


SIGNATURES

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

 

Oppenheimer Integrity Fund
By:

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer
Date: 5/12/2015

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

 

By:

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer
Date: 5/12/2015

 

By:

/s/ Brian W. Wixted

Brian W. Wixted
Principal Financial Officer
Date: 5/12/2015