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)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 3/31/2016
Item 1. Schedule of Investments.
STATEMENT OF INVESTMENTS March 31, 2016 Unaudited
Principal Amount | Value | |||||||
|
||||||||
Asset-Backed Securities14.8% | ||||||||
|
||||||||
Auto Loan12.7% |
||||||||
|
||||||||
American Credit Acceptance Receivables Trust: |
||||||||
Series 2013-2, Cl. B, 2.84%, 5/15/191 |
$ | 402,124 | $ | 402,347 | ||||
Series 2014-1, Cl. B, 2.39%, 11/12/191 |
1,820,254 | 1,821,668 | ||||||
Series 2014-2, Cl. B, 2.26%, 3/10/201 |
658,117 | 658,179 | ||||||
Series 2014-3, Cl. B, 2.43%, 6/10/201 |
4,010,000 | 3,993,664 | ||||||
Series 2014-4, Cl. B, 2.60%, 10/12/201 |
1,200,000 | 1,189,459 | ||||||
Series 2015-1, Cl. B, 2.85%, 2/12/211 |
3,420,000 | 3,379,506 | ||||||
Series 2015-2, Cl. B, 2.97%, 5/12/211 |
3,415,000 | 3,364,722 | ||||||
Series 2015-3, Cl. B, 3.56%, 10/12/211 |
3,100,000 | 3,079,454 | ||||||
|
||||||||
AmeriCredit Automobile Receivables Trust: |
||||||||
Series 2012-2, Cl. E, 4.85%, 8/8/191 |
3,135,000 | 3,162,876 | ||||||
Series 2012-4, Cl. D, 2.68%, 10/9/18 |
1,815,000 | 1,824,542 | ||||||
Series 2012-5, Cl. D, 2.35%, 12/10/18 |
2,880,000 | 2,896,090 | ||||||
Series 2013-2, Cl. E, 3.41%, 10/8/201 |
3,720,000 | 3,747,165 | ||||||
Series 2013-3, Cl. E, 3.74%, 12/8/201 |
1,695,000 | 1,719,631 | ||||||
Series 2013-4, Cl. D, 3.31%, 10/8/19 |
200,000 | 203,955 | ||||||
Series 2013-5, Cl. D, 2.86%, 12/9/19 |
4,258,000 | 4,291,051 | ||||||
Series 2014-1, Cl. E, 3.58%, 8/9/21 |
2,900,000 | 2,914,080 | ||||||
Series 2014-2, Cl. E, 3.37%, 11/8/21 |
3,450,000 | 3,448,974 | ||||||
Series 2014-3, Cl. D, 3.13%, 10/8/20 |
7,035,000 | 7,082,715 | ||||||
Series 2014-4, Cl. D, 3.07%, 11/9/20 |
3,105,000 | 3,113,073 | ||||||
Series 2015-1, Cl. C, 2.51%, 1/8/21 |
1,610,000 | 1,620,363 | ||||||
Series 2015-2, Cl. C, 2.40%, 1/8/21 |
1,063,000 | 1,064,638 | ||||||
Series 2015-2, Cl. D, 3.00%, 6/8/21 |
610,000 | 604,857 | ||||||
Series 2015-3, Cl. D, 3.34%, 8/8/21 |
1,725,000 | 1,733,246 | ||||||
|
||||||||
California Republic Auto Receivables Trust: |
||||||||
Series 2013-2, Cl. C, 3.32%, 8/17/20 |
1,555,000 | 1,579,874 | ||||||
Series 2014-2, Cl. C, 3.29%, 3/15/21 |
600,000 | 590,355 | ||||||
Series 2014-4, Cl. C, 3.56%, 9/15/21 |
860,000 | 846,376 | ||||||
|
||||||||
Capital Auto Receivables Asset Trust: |
||||||||
Series 2013-1, Cl. D, 2.19%, 9/20/21 |
1,265,000 | 1,259,106 | ||||||
Series 2013-4, Cl. D, 3.22%, 5/20/19 |
705,000 | 709,784 | ||||||
Series 2014-1, Cl. D, 3.39%, 7/22/19 |
785,000 | 792,437 | ||||||
Series 2014-3, Cl. D, 3.14%, 2/20/20 |
1,270,000 | 1,256,996 | ||||||
Series 2015-1, Cl. D, 3.16%, 8/20/20 |
1,460,000 | 1,437,103 | ||||||
Series 2015-4, Cl. D, 3.62%, 5/20/21 |
2,490,000 | 2,465,057 | ||||||
|
||||||||
CarFinance Capital Auto Trust: |
||||||||
Series 2013-2A, Cl. B, 3.15%, 8/15/191 |
3,301,344 | 3,316,576 | ||||||
Series 2014-1A, Cl. A, 1.46%, 12/17/181 |
180,977 | 180,829 | ||||||
Series 2015-1A, Cl. A, 1.75%, 6/15/211 |
1,221,922 | 1,216,408 | ||||||
|
||||||||
CarMax Auto Owner Trust: |
||||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 |
930,000 | 935,349 | ||||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 |
1,715,000 | 1,737,767 | ||||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 |
2,045,000 | 2,059,757 | ||||||
|
||||||||
CPS Auto Receivables Trust: |
||||||||
Series 2012-B, Cl. A, 2.52%, 9/16/191 |
601,944 | 602,545 | ||||||
Series 2014-A, Cl. A, 1.21%, 8/15/181 |
850,051 | 847,234 | ||||||
Series 2014-C, Cl. A, 1.31%, 2/15/191 |
1,032,781 | 1,027,330 |
1 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Auto Loan (Continued) |
||||||||
|
||||||||
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/191 |
$ | 218,469 | $ | 218,129 | ||||
|
||||||||
Credit Acceptance Auto Loan Trust: |
||||||||
Series 2014-1A, Cl. B, 2.29%, 4/15/221 |
1,610,000 | 1,601,064 | ||||||
Series 2014-2A, Cl. B, 2.67%, 9/15/221 |
1,275,000 | 1,278,358 | ||||||
Series 2015-1A, Cl. C, 3.30%, 7/17/231 |
2,010,000 | 1,976,141 | ||||||
Series 2015-2A, Cl. B, 3.04%, 8/15/231 |
3,155,000 | 3,168,394 | ||||||
|
||||||||
Drive Auto Receivables Trust: |
||||||||
Series 2015-AA, Cl. C, 3.06%, 5/17/211 |
2,215,000 | 2,210,541 | ||||||
Series 2015-BA, Cl. C, 2.76%, 7/15/211 |
2,730,000 | 2,710,743 | ||||||
Series 2015-DA, Cl. C, 3.38%, 11/15/211 |
2,380,000 | 2,370,715 | ||||||
|
||||||||
DT Auto Owner Trust: |
||||||||
Series 2013-1A, Cl. D, 3.74%, 5/15/201 |
1,029,216 | 1,035,277 | ||||||
Series 2013-2A, Cl. D, 4.18%, 6/15/201 |
3,290,000 | 3,337,414 | ||||||
Series 2014-1A, Cl. D, 3.98%, 1/15/211 |
2,425,000 | 2,442,599 | ||||||
Series 2014-2A, Cl. D, 3.68%, 4/15/211 |
3,645,000 | 3,651,835 | ||||||
Series 2014-3A, Cl. D, 4.47%, 11/15/211 |
1,715,000 | 1,706,832 | ||||||
Series 2015-1A, Cl. C, 2.87%, 11/16/201 |
1,560,000 | 1,550,928 | ||||||
Series 2016-1A, Cl. B, 2.79%, 5/15/201 |
2,675,000 | 2,682,939 | ||||||
|
||||||||
Exeter Automobile Receivables Trust: |
||||||||
Series 2014-1A, Cl. B, 2.42%, 1/15/191 |
1,590,000 | 1,589,286 | ||||||
Series 2014-1A, Cl. C, 3.57%, 7/15/191 |
1,590,000 | 1,590,755 | ||||||
Series 2014-2A, Cl. A, 1.06%, 8/15/181 |
115,073 | 114,874 | ||||||
Series 2014-2A, Cl. C, 3.26%, 12/16/191 |
830,000 | 819,776 | ||||||
|
||||||||
First Investors Auto Owner Trust: |
||||||||
Series 2013-3A, Cl. B, 2.32%, 10/15/191 |
2,610,000 | 2,612,592 | ||||||
Series 2013-3A, Cl. C, 2.91%, 1/15/201 |
1,110,000 | 1,111,312 | ||||||
Series 2013-3A, Cl. D, 3.67%, 5/15/201 |
2,800,000 | 2,765,614 | ||||||
Series 2014-1A, Cl. D, 3.28%, 4/15/211 |
2,010,000 | 1,976,780 | ||||||
Series 2014-3A, Cl. D, 3.85%, 2/15/221 |
1,190,000 | 1,181,782 | ||||||
|
||||||||
Flagship Credit Auto Trust: |
||||||||
Series 2014-1, Cl. A, 1.21%, 4/15/191 |
410,919 | 409,117 | ||||||
Series 2014-2, Cl. A, 1.43%, 12/16/191 |
1,143,830 | 1,139,373 | ||||||
|
||||||||
GM Financial Automobile Leasing Trust, Series 2015-1, Cl. D, 3.01%, 3/20/20 |
2,155,000 | 2,122,204 | ||||||
|
||||||||
GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/181 |
671,986 | 671,429 | ||||||
|
||||||||
Navistar Financial Dealer Note Master Trust, Series 2014-1, |
||||||||
Cl. D, 2.733%, 10/25/191,2 |
995,000 | 989,753 | ||||||
|
||||||||
Santander Drive Auto Receivables Trust: |
||||||||
Series 2013-3, Cl. D, 2.42%, 4/15/19 |
735,000 | 735,331 | ||||||
Series 2013-4, Cl. D, 3.92%, 1/15/20 |
3,315,000 | 3,400,689 | ||||||
Series 2013-4, Cl. E, 4.67%, 1/15/201 |
2,915,000 | 3,030,186 | ||||||
Series 2013-5, Cl. D, 2.73%, 10/15/19 |
4,355,000 | 4,395,292 | ||||||
Series 2013-A, Cl. E, 4.71%, 1/15/211 |
2,140,000 | 2,186,156 | ||||||
Series 2014-1, Cl. D, 2.91%, 4/15/20 |
2,565,000 | 2,567,092 | ||||||
Series 2014-2, Cl. D, 2.76%, 2/18/20 |
2,810,000 | 2,827,398 | ||||||
Series 2014-3, Cl. D, 2.65%, 8/17/20 |
1,230,000 | 1,226,845 | ||||||
Series 2014-4, Cl. D, 3.10%, 11/16/20 |
2,700,000 | 2,721,926 | ||||||
Series 2014-5, Cl. D, 3.21%, 1/15/21 |
3,270,000 | 3,291,528 |
2 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Auto Loan (Continued) |
||||||||
|
||||||||
Santander Drive Auto Receivables Trust: (Continued) |
||||||||
Series 2015-1, Cl. C, 2.57%, 4/15/21 |
$ | 1,410,000 | $ | 1,414,796 | ||||
Series 2015-1, Cl. D, 3.24%, 4/15/21 |
4,025,000 | 4,058,924 | ||||||
Series 2015-2, Cl. C, 2.44%, 4/15/21 |
2,575,000 | 2,572,666 | ||||||
Series 2015-2, Cl. D, 3.02%, 4/15/21 |
2,680,000 | 2,676,743 | ||||||
Series 2015-3, Cl. D, 3.49%, 5/17/21 |
3,145,000 | 3,131,444 | ||||||
Series 2015-4, Cl. D, 3.53%, 8/16/21 |
2,565,000 | 2,573,574 | ||||||
Series 2015-5, Cl. C, 2.74%, 12/15/21 |
1,930,000 | 1,932,370 | ||||||
Series 2015-5, Cl. D, 3.65%, 12/15/21 |
1,665,000 | 1,684,592 | ||||||
|
||||||||
SNAAC Auto Receivables Trust: |
||||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/181 |
565,933 | 566,241 | ||||||
Series 2014-1A, Cl. A, 1.03%, 9/17/181 |
37,783 | 37,782 | ||||||
Series 2014-1A, Cl. D, 2.88%, 1/15/201 |
970,000 | 930,825 | ||||||
|
||||||||
TCF Auto Receivables Owner Trust: |
||||||||
Series 2014-1A, Cl. C, 3.12%, 4/15/211 |
765,000 | 766,700 | ||||||
Series 2015-1A, Cl. D, 3.53%, 3/15/221 |
1,510,000 | 1,456,034 | ||||||
|
||||||||
United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, 6/17/191 |
2,005,000 | 1,951,445 | ||||||
|
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Westlake Automobile Receivables Trust: |
||||||||
Series 2014-1A, Cl. D, 2.20%, 2/15/211 |
1,140,000 | 1,127,619 | ||||||
Series 2014-2A, Cl. D, 2.86%, 7/15/211 |
1,335,000 | 1,304,251 | ||||||
Series 2015-1A, Cl. C, 2.29%, 11/16/201 |
2,185,000 | 2,159,550 | ||||||
Series 2015-2A, Cl. C, 2.45%, 1/15/211 |
1,990,000 | 1,965,343 | ||||||
Series 2016-1A, Cl. B, 2.68%, 9/15/211 |
2,145,000 | 2,165,487 | ||||||
|
|
|||||||
192,072,523 | ||||||||
|
||||||||
Credit Card1.8% |
||||||||
|
||||||||
American Express Credit Account Master Trust: |
||||||||
Series 2014-2, Cl. A, 1.26%, 1/15/20 |
635,000 | 636,777 | ||||||
Series 2014-3, Cl. A, 1.49%, 4/15/20 |
535,000 | 538,274 | ||||||
|
||||||||
Capital One Multi-Asset Execution Trust: |
||||||||
Series 2014-A2, Cl. A2, 1.26%, 1/15/20 |
3,866,000 | 3,875,123 | ||||||
Series 2014-A5, Cl. A5, 1.48%, 7/15/20 |
5,220,000 | 5,249,683 | ||||||
|
||||||||
Chase Issuance Trust: |
||||||||
Series 2007-A3, Cl. A3, 5.23%, 4/15/19 |
810,000 | 839,653 | ||||||
Series 2014-A1, Cl. A1, 1.15%, 1/15/19 |
4,965,000 | 4,974,308 | ||||||
Series 2014-A6, Cl. A6, 1.26%, 7/15/19 |
3,310,000 | 3,319,061 | ||||||
|
||||||||
Citibank Credit Card Issuance Trust, Series 2013-A6, Cl. A6, 1.32%, 9/7/18 |
3,870,000 | 3,877,486 | ||||||
|
||||||||
Discover Card Execution Note Trust, Series 2014-A5, Cl. A, 1.39%, 4/15/20 |
4,725,000 | 4,745,490 | ||||||
|
|
|||||||
28,055,855 | ||||||||
|
||||||||
Equipment0.2% |
||||||||
|
||||||||
Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/291 |
1,580,185 | 1,509,617 | ||||||
|
||||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431 |
406,907 | 399,435 | ||||||
|
||||||||
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/441 |
861,705 | 855,335 | ||||||
|
|
|||||||
2,764,387 |
3 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Loans: Other0.1% |
|
|||||||
|
||||||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/441 |
$ | 2,044,939 | $ | 1,983,340 | ||||
|
|
|||||||
Total Asset-Backed Securities (Cost $225,381,543) |
|
224,876,105 | ||||||
|
||||||||
Mortgage-Backed Obligations45.7% |
||||||||
|
||||||||
Government Agency35.5% |
||||||||
|
||||||||
FHLMC/FNMA/FHLB/Sponsored24.3% |
||||||||
|
||||||||
Federal Home Loan Mortgage Corp. Gold Pool: |
||||||||
5.50%, 9/1/39 |
2,437,223 | 2,717,494 | ||||||
6.00%, 5/1/18-11/1/37 |
372,505 | 422,165 | ||||||
6.50%, 4/1/18-4/1/34 |
451,283 | 508,464 | ||||||
7.00%, 7/1/21-10/1/37 |
3,373,332 | 4,071,210 | ||||||
9.00%, 8/1/22-5/1/25 |
11,432 | 12,586 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp. Non Gold Pool, 9%, 3/1/17 |
76 | 76 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 12.595%, 4/1/273 |
325,983 | 59,283 | ||||||
Series 192, Cl. IO, 5.196%, 2/1/283 |
43,606 | 8,045 | ||||||
Series 206, Cl. IO, 0.00%, 12/1/293,4 |
81,444 | 18,465 | ||||||
Series 243, Cl. 6, 0.00%, 12/15/323,4 |
280,784 | 51,590 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 5,376,190 | 5,513,623 | ||||||
|
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Federal Home Loan Mortgage Corp., Multifamily Structured Pass Through Certificates: |
||||||||
Series K042, Cl. A2, 2.67%, 12/25/24 |
3,110,000 | 3,211,816 | ||||||
Series K046, Cl. A2, 3.205%, 3/25/25 |
815,000 | 874,739 | ||||||
Series K047, Cl. A2, 3.329%, 5/25/25 |
7,260,000 | 7,860,239 | ||||||
Series K048, Cl. A2, 3.284%, 6/25/252 |
8,000,000 | 8,639,438 | ||||||
Series K049, Cl. A2, 3.01%, 7/25/25 |
3,665,000 | 3,870,092 | ||||||
Series K050, Cl. A2, 3.334%, 8/25/252 |
3,650,000 | 3,951,737 | ||||||
Series K052, Cl. A2, 3.151%, 11/25/25 |
6,245,000 | 6,656,363 | ||||||
Series K053, Cl. A2, 2.995%, 12/25/25 |
7,660,000 | 8,067,352 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.201%, 6/1/265 | 52,351 | 47,696 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series 151, Cl. F, 9.00%, 5/15/21 |
3,526 | 3,875 | ||||||
Series 1590, Cl. IA, 1.486%, 10/15/232 |
819,041 | 840,170 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
6,655 | 7,584 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
907,159 | 1,013,234 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 |
440,467 | 501,720 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
5,784 | 6,611 | ||||||
Series 2063, Cl. PG, 6.50%, 6/15/28 |
424,415 | 489,409 | ||||||
Series 2145, Cl. MZ, 6.50%, 4/15/29 |
149,616 | 170,882 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 |
215,212 | 247,046 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
373,202 | 426,079 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
116,353 | 130,647 | ||||||
Series 2341, Cl. FP, 1.336%, 7/15/312 |
199,339 | 204,595 | ||||||
Series 2399, Cl. PG, 6.00%, 1/15/17 |
17,205 | 17,420 | ||||||
Series 2423, Cl. MC, 7.00%, 3/15/32 |
701,130 | 812,006 | ||||||
Series 2453, Cl. BD, 6.00%, 5/15/17 |
28,530 | 29,220 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
831,747 | 973,374 |
4 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) |
||||||||
|
||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series 2463, Cl. F, 1.436%, 6/15/322 |
$ | 796,343 | $ | 819,635 | ||||
Series 2564, Cl. MP, 5.00%, 2/15/18 |
845,170 | 868,904 | ||||||
Series 2585, Cl. HJ, 4.50%, 3/15/18 |
465,970 | 481,312 | ||||||
Series 2635, Cl. AG, 3.50%, 5/15/32 |
629,843 | 664,781 | ||||||
Series 2676, Cl. KY, 5.00%, 9/15/23 |
1,026,010 | 1,106,491 | ||||||
Series 2707, Cl. QE, 4.50%, 11/15/18 |
201,201 | 207,835 | ||||||
Series 2770, Cl. TW, 4.50%, 3/15/19 |
67,984 | 70,712 | ||||||
Series 3010, Cl. WB, 4.50%, 7/15/20 |
321,366 | 334,370 | ||||||
Series 3025, Cl. SJ, 23.151%, 8/15/352 |
152,710 | 242,475 | ||||||
Series 3030, Cl. FL, 0.836%, 9/15/352 |
412,087 | 413,494 | ||||||
Series 3645, Cl. EH, 3.00%, 12/15/20 |
28,380 | 29,003 | ||||||
Series 3741, Cl. PA, 2.15%, 2/15/35 |
1,904,821 | 1,924,806 | ||||||
Series 3815, Cl. BD, 3.00%, 10/15/20 |
31,635 | 32,176 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 |
625,063 | 662,233 | ||||||
Series 3840, Cl. CA, 2.00%, 9/15/18 |
24,294 | 24,488 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 |
1,206,150 | 1,268,792 | ||||||
Series 3857, Cl. GL, 3.00%, 5/15/40 |
38,098 | 39,693 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 |
1,221,648 | 1,233,607 | ||||||
|
||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2129, Cl. S, 10.857%, 2/15/293 |
465,503 | 101,076 | ||||||
Series 2130, Cl. SC, 48.517%, 3/15/293 |
144,878 | 31,897 | ||||||
Series 2134, Cl. SB, 52.205%, 3/15/293 |
132,719 | 29,221 | ||||||
Series 2422, Cl. SJ, 43.622%, 1/15/323 |
460,331 | 108,470 | ||||||
Series 2493, Cl. S, 50.363%, 9/15/293 |
36,504 | 9,442 | ||||||
Series 2682, Cl. TQ, 99.999%, 10/15/333 |
920,734 | 230,292 | ||||||
Series 2796, Cl. SD, 48.279%, 7/15/263 |
224,765 | 42,357 | ||||||
Series 2920, Cl. S, 51.047%, 1/15/353 |
919,197 | 176,489 | ||||||
Series 2922, Cl. SE, 5.617%, 2/15/353 |
726,492 | 135,490 | ||||||
Series 2981, Cl. AS, 0.00%, 5/15/353,4 |
1,997,254 | 409,321 | ||||||
Series 2981, Cl. BS, 99.999%, 5/15/353 |
1,818,479 | 390,254 | ||||||
Series 3005, Cl. WI, 0.00%, 7/15/353,4 |
365,292 | 79,662 | ||||||
Series 3201, Cl. SG, 2.052%, 8/15/363 |
2,013,890 | 396,701 | ||||||
Series 3397, Cl. GS, 15.063%, 12/15/373 |
351,741 | 66,075 | ||||||
Series 3424, Cl. EI, 10.252%, 4/15/383 |
199,217 | 24,175 | ||||||
Series 3450, Cl. BI, 8.568%, 5/15/383 |
3,898,821 | 675,344 | ||||||
Series 3606, Cl. SN, 0.67%, 12/15/393 |
1,098,480 | 216,345 | ||||||
|
||||||||
Federal National Mortgage Assn.: |
||||||||
3.00%, 4/1/316 |
53,630,000 | 56,029,734 | ||||||
3.50%, 4/1/466 |
79,395,000 | 83,270,160 | ||||||
4.00%, 4/1/466 |
65,640,000 | 70,158,180 | ||||||
4.50%, 4/1/316 |
1,935,000 | 2,001,618 | ||||||
5.00%, 4/1/466 |
24,080,000 | 26,647,733 | ||||||
|
||||||||
Federal National Mortgage Assn. Pool: |
||||||||
3.50%, 12/1/20-2/1/22 |
1,633,837 | 1,726,421 | ||||||
5.00%, 3/1/21 |
88,932 | 92,425 | ||||||
5.50%, 12/1/18-5/1/36 |
1,593,917 | 1,806,484 |
5 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) |
| |||||||
Federal National Mortgage Assn. Pool: (Continued) |
||||||||
6.00%, 5/1/20 |
$ | 44,589 | $ | 45,761 | ||||
6.50%, 6/1/17-11/1/31 |
2,701,361 | 3,084,041 | ||||||
7.00%, 11/1/17-4/1/34 |
1,568,488 | 1,860,311 | ||||||
7.50%, 1/1/33-8/1/33 |
2,207,544 | 2,642,972 | ||||||
8.50%, 7/1/32 |
10,980 | 12,022 | ||||||
Federal National Mortgage Assn., Alternative Credit Enhancement Securities: |
||||||||
Series 2015-M11, Cl. A2, 2.827%, 4/25/252 |
3,720,000 | 3,870,664 | ||||||
Series 2015-M8, Cl. A2, 2.90%, 1/25/252 |
2,600,000 | 2,716,958 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 222, Cl. 2, 15.925%, 6/25/233 |
342,980 | 56,809 | ||||||
Series 247, Cl. 2, 34.357%, 10/25/233 |
39,983 | 6,667 | ||||||
Series 252, Cl. 2, 35.31%, 11/25/233 |
363,992 | 69,823 | ||||||
Series 254, Cl. 2, 29.574%, 1/25/243 |
641,867 | 117,885 | ||||||
Series 301, Cl. 2, 0.00%, 4/25/293,4 |
170,656 | 31,653 | ||||||
Series 303, Cl. IO, 9.025%, 11/25/293 |
36,036 | 9,678 | ||||||
Series 319, Cl. 2, 0.919%, 2/25/323 |
133,184 | 26,661 | ||||||
Series 320, Cl. 2, 8.123%, 4/25/323 |
2,461,806 | 661,328 | ||||||
Series 321, Cl. 2, 4.054%, 4/25/323 |
400,302 | 73,431 | ||||||
Series 324, Cl. 2, 0.00%, 7/25/323,4 |
192,373 | 35,328 | ||||||
Series 331, Cl. 9, 11.855%, 2/25/333 |
1,494,078 | 325,311 | ||||||
Series 334, Cl. 14, 9.21%, 2/25/333 |
1,200,371 | 244,663 | ||||||
Series 334, Cl. 15, 4.282%, 2/25/333 |
835,633 | 214,361 | ||||||
Series 334, Cl. 17, 17.28%, 2/25/333 |
46,481 | 8,949 | ||||||
Series 339, Cl. 12, 0.00%, 6/25/333,4 |
1,016,745 | 215,083 | ||||||
Series 339, Cl. 7, 0.00%, 11/25/333,4 |
1,042,949 | 212,393 | ||||||
Series 343, Cl. 13, 7.422%, 9/25/333 |
1,188,700 | 231,998 | ||||||
Series 343, Cl. 18, 13.002%, 5/25/343 |
708,852 | 135,846 | ||||||
Series 345, Cl. 9, 0.00%, 1/25/343,4 |
506,844 | 100,953 | ||||||
Series 351, Cl. 10, 0.00%, 4/25/343,4 |
423,842 | 77,853 | ||||||
Series 351, Cl. 8, 0.00%, 4/25/343,4 |
720,868 | 133,261 | ||||||
Series 356, Cl. 10, 0.00%, 6/25/353,4 |
519,876 | 98,556 | ||||||
Series 356, Cl. 12, 0.00%, 2/25/353,4 |
255,191 | 49,363 | ||||||
Series 362, Cl. 13, 0.00%, 8/25/353,4 |
665,145 | 138,234 | ||||||
Series 364, Cl. 16, 0.00%, 9/25/353,4 |
898,360 | 153,147 | ||||||
Series 365, Cl. 16, 0.00%, 3/25/363,4 |
626,388 | 122,445 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
|
|||||||
Series 1993-104, Cl. ZB, 6.50%, 7/25/23 |
123,624 | 134,285 | ||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 |
113,614 | 125,464 | ||||||
Series 1996-35, Cl. Z, 7.00%, 7/25/26 |
38,437 | 43,244 | ||||||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 |
226,635 | 255,317 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 |
290,878 | 332,318 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 |
414,978 | 481,608 | ||||||
Series 1999-60, Cl. PG, 7.50%, 12/25/29 |
2,022,641 | 2,324,678 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 |
436,161 | 486,851 | ||||||
Series 2002-10, Cl. FB, 0.933%, 3/25/172 |
5,908 | 5,917 | ||||||
Series 2002-16, Cl. PG, 6.00%, 4/25/17 |
25,464 | 25,685 | ||||||
Series 2002-2, Cl. UC, 6.00%, 2/25/17 |
21,140 | 21,532 | ||||||
Series 2002-56, Cl. FN, 1.433%, 7/25/322 |
253,100 | 257,651 |
6 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) |
|
|||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series 2003-100, Cl. PA, 5.00%, 10/25/18 |
$ | 1,782,817 | $ | 1,843,747 | ||||
Series 2003-130, Cl. CS, 13.234%, 12/25/332 |
1,147,418 | 1,313,216 | ||||||
Series 2003-21, Cl. FK, 0.833%, 3/25/332 |
73,425 | 73,727 | ||||||
Series 2003-84, Cl. GE, 4.50%, 9/25/18 |
41,267 | 42,678 | ||||||
Series 2004-101, Cl. BG, 5.00%, 1/25/20 |
97,114 | 98,144 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 |
90,255 | 94,152 | ||||||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 |
1,830,302 | 2,005,048 | ||||||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 |
5,232,284 | 5,691,786 | ||||||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 |
2,480,000 | 2,958,728 | ||||||
Series 2005-71, Cl. DB, 4.50%, 8/25/25 |
424,357 | 452,059 | ||||||
Series 2005-73, Cl. DF, 0.683%, 8/25/352 |
825,193 | 828,736 | ||||||
Series 2006-50, Cl. SK, 22.612%, 6/25/362 |
487,300 | 761,675 | ||||||
Series 2008-75, Cl. DB, 4.50%, 9/25/23 |
358,139 | 368,256 | ||||||
Series 2009-113, Cl. DB, 3.00%, 12/25/20 |
1,170,087 | 1,190,937 | ||||||
Series 2009-36, Cl. FA, 1.373%, 6/25/372 |
582,017 | 596,958 | ||||||
Series 2009-37, Cl. HA, 4.00%, 4/25/19 |
561,408 | 574,113 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 |
458,991 | 468,101 | ||||||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 |
236,748 | 241,882 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 |
289,374 | 305,160 | ||||||
Series 2011-3, Cl. EL, 3.00%, 5/25/20 |
1,923,890 | 1,957,745 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 |
1,543,530 | 1,693,446 | ||||||
Series 2011-38, Cl. AH, 2.75%, 5/25/20 |
26,283 | 26,673 | ||||||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 |
457,862 | 470,458 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-15, Cl. SA, 2.851%, 3/17/313 |
135,344 | 15,789 | ||||||
Series 2001-61, Cl. SE, 27.771%, 11/18/313 |
217,134 | 43,853 | ||||||
Series 2001-65, Cl. S, 28.439%, 11/25/313 |
445,762 | 95,765 | ||||||
Series 2001-81, Cl. S, 24.453%, 1/25/323 |
66,377 | 15,626 | ||||||
Series 2002-12, Cl. SB, 38.621%, 7/25/313 |
106,033 | 27,520 | ||||||
Series 2002-2, Cl. SW, 40.963%, 2/25/323 |
121,330 | 26,559 | ||||||
Series 2002-38, Cl. SO, 42.665%, 4/25/323 |
66,661 | 13,413 | ||||||
Series 2002-41, Cl. S, 53.42%, 7/25/323 |
703,113 | 155,861 | ||||||
Series 2002-47, Cl. NS, 30.267%, 4/25/323 |
195,020 | 44,917 | ||||||
Series 2002-5, Cl. SD, 43.159%, 2/25/323 |
126,023 | 29,550 | ||||||
Series 2002-51, Cl. S, 30.444%, 8/25/323 |
179,066 | 38,235 | ||||||
Series 2002-52, Cl. SD, 33.766%, 9/25/323 |
265,660 | 63,508 | ||||||
Series 2002-60, Cl. SM, 26.32%, 8/25/323 |
628,799 | 119,572 | ||||||
Series 2002-60, Cl. SY, 99.999%, 4/25/323 |
574,362 | 20,625 | ||||||
Series 2002-64, Cl. SD, 7.803%, 4/25/273 |
265,724 | 65,341 | ||||||
Series 2002-7, Cl. SK, 27.259%, 1/25/323 |
369,690 | 71,991 | ||||||
Series 2002-75, Cl. SA, 30.491%, 11/25/323 |
351,161 | 86,871 | ||||||
Series 2002-77, Cl. BS, 26.626%, 12/18/323 |
702,057 | 154,966 | ||||||
Series 2002-77, Cl. IS, 38.941%, 12/18/323 |
113,571 | 26,086 | ||||||
Series 2002-77, Cl. SH, 33.994%, 12/18/323 |
98,210 | 21,460 | ||||||
Series 2002-84, Cl. SA, 35.875%, 12/25/323 |
95,491 | 20,841 | ||||||
Series 2002-89, Cl. S, 48.248%, 1/25/333 |
980,083 | 271,923 |
7 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 2002-9, Cl. MS, 26.127%, 3/25/323 |
$ | 5,528 | $ | 1,287 | ||||
Series 2002-90, Cl. SN, 31.097%, 8/25/323 |
572,124 | 108,794 | ||||||
Series 2002-90, Cl. SY, 36.38%, 9/25/323 |
303,558 | 55,836 | ||||||
Series 2003-14, Cl. OI, 9.685%, 3/25/333 |
1,594,234 | 335,588 | ||||||
Series 2003-26, Cl. IK, 7.314%, 4/25/333 |
562,303 | 72,503 | ||||||
Series 2003-33, Cl. SP, 26.505%, 5/25/333 |
582,671 | 129,806 | ||||||
Series 2003-4, Cl. S, 30.575%, 2/25/333 |
174,509 | 43,634 | ||||||
Series 2003-52, Cl. NS, 30.387%, 6/25/233 |
2,445,671 | 296,912 | ||||||
Series 2004-54, Cl. DS, 37.154%, 11/25/303 |
56,694 | 10,719 | ||||||
Series 2004-56, Cl. SE, 11.94%, 10/25/333 |
766,259 | 165,555 | ||||||
Series 2005-12, Cl. SC, 7.73%, 3/25/353 |
346,357 | 68,947 | ||||||
Series 2005-40, Cl. SA, 46.097%, 5/25/353 |
505,663 | 94,466 | ||||||
Series 2005-52, Cl. JH, 1.403%, 5/25/353 |
1,069,857 | 202,582 | ||||||
Series 2005-6, Cl. SE, 56.076%, 2/25/353 |
886,911 | 178,643 | ||||||
Series 2005-93, Cl. SI, 14.081%, 10/25/353 |
675,663 | 121,054 | ||||||
Series 2006-53, Cl. US, 17.636%, 6/25/363 |
51,452 | 8,572 | ||||||
Series 2008-55, Cl. SA, 9.146%, 7/25/383 |
559,416 | 72,060 | ||||||
Series 2009-8, Cl. BS, 0.00%, 2/25/243,4 |
499,089 | 20,411 | ||||||
Series 2011-96, Cl. SA, 4.432%, 10/25/413 |
1,200,626 | 218,536 | ||||||
Series 2012-134, Cl. SA, 8.796%, 12/25/423 |
3,594,962 | 899,032 | ||||||
Series 2012-40, Cl. PI, 0.00%, 4/25/413,4 |
2,812,624 | 361,251 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.233%, 9/25/235 |
110,352 | 103,461 | ||||||
369,052,822 | ||||||||
GNMA/Guaranteed11.2% |
||||||||
Government National Mortgage Assn. I Pool: |
||||||||
8.50%, 8/15/17-12/15/17 |
8,055 | 8,224 | ||||||
10.50%, 12/15/17 |
1,999 | 2,031 | ||||||
Government National Mortgage Assn. II Pool: |
||||||||
1.875%, 7/20/25-7/20/272 |
7,328 | 7,592 | ||||||
3.50%, 4/1/466 |
149,695,000 | 158,267,378 | ||||||
4.00%, 4/1/466 |
10,250,000 | 10,960,695 | ||||||
11.00%, 10/20/19 |
1,986 | 1,997 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2002-15, Cl. SM, 50.808%, 2/16/323 |
349,734 | 65,344 | ||||||
Series 2002-41, Cl. GS, 2.64%, 6/16/323 |
164,615 | 22,108 | ||||||
Series 2002-76, Cl. SY, 53.082%, 12/16/263 |
151,760 | 29,724 | ||||||
Series 2007-17, Cl. AI, 15.371%, 4/16/373 |
1,946,744 | 418,467 | ||||||
Series 2011-52, Cl. HS, 4.573%, 4/16/413 | 5,943,207 | 1,158,023 | ||||||
170,941,583 | ||||||||
Non-Agency10.2% |
||||||||
Commercial6.8% |
||||||||
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.00%, 4/14/293,4 | 1,346,816 | 24,092 |
8 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
Commercial (Continued) |
||||||||
Banc of America Funding Trust: |
||||||||
Series 2006-G, Cl. 2A4, 0.722%, 7/20/362 |
$ | 4,804,104 | $ | 4,462,271 | ||||
Series 2014-R7, Cl. 3A1, 2.837%, 3/26/361,2 |
4,211,986 | 4,224,323 | ||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.43%, 9/26/351,2 |
1,062,784 | 1,064,309 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/241,3,4 | 146,586 | 4,620 | ||||||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.656%, 1/25/362 |
1,860,211 | 1,731,762 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Cl. D, 4.457%, 4/10/461,2 |
1,955,000 | 1,793,743 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1, Cl. X, 0.00%, 5/18/323,4 | 2,048,083 | 21 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.87%, 10/25/352 |
5,116,188 | 5,053,424 | ||||||
COMM Mortgage Trust: |
||||||||
Series 2012-CR4, Cl. D, 4.573%, 10/15/451,2 |
370,000 | 356,166 | ||||||
Series 2012-CR5, Cl. E, 4.338%, 12/10/451,2 |
2,455,000 | 2,281,441 | ||||||
Series 2013-CR7, Cl. D, 4.351%, 3/10/461,2 |
3,015,000 | 2,777,509 | ||||||
Series 2014-CR21, Cl. AM, 3.987%, 12/10/47 |
6,060,000 | 6,503,125 | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0.00%, 12/10/453,4 | 16,306,308 | 1,230,676 | ||||||
CSMC: |
||||||||
Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 |
1,323,210 | 990,822 | ||||||
Series 2009-13R, Cl. 4A1, 2.739%, 9/26/361,2 |
135,438 | 135,675 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.699%, 11/10/461,2 |
490,000 | 510,687 | ||||||
Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, 3.539%, 3/10/266 |
1,805,000 | 1,859,132 | ||||||
First Horizon Alternative Mortgage Securities Trust: |
||||||||
Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35 |
688,274 | 642,537 | ||||||
Series 2005-FA8, Cl. 1A6, 1.083%, 11/25/352 |
1,196,594 | 810,426 | ||||||
FREMF Mortgage Trust: |
||||||||
Series 2012-K501, Cl. C, 3.361%, 11/25/461,2 |
385,000 | 386,046 | ||||||
Series 2013-K25, Cl. C, 3.618%, 11/25/451,2 |
605,000 | 566,019 | ||||||
Series 2013-K26, Cl. C, 3.599%, 12/25/451,2 |
1,165,000 | 1,081,191 | ||||||
Series 2013-K27, Cl. C, 3.496%, 1/25/461,2 |
650,000 | 594,576 | ||||||
Series 2013-K28, Cl. C, 3.495%, 6/25/461,2 |
2,580,000 | 2,347,257 | ||||||
Series 2013-K502, Cl. C, 3.104%, 3/25/451,2 |
1,620,000 | 1,638,240 | ||||||
Series 2013-K712, Cl. C, 3.369%, 5/25/451,2 |
335,000 | 338,402 | ||||||
Series 2013-K713, Cl. C, 3.165%, 4/25/461,2 |
1,075,000 | 1,061,627 | ||||||
Series 2014-K715, Cl. C, 4.127%, 2/25/461,2 |
230,000 | 224,971 | ||||||
Series 2015-K44, Cl. B, 3.685%, 1/25/481,2 |
2,875,000 | 2,534,736 | ||||||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/371,2 |
3,530,130 | 3,308,364 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 2.869%, 7/25/352 |
662,289 | 651,110 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.42%, 12/15/471,2 |
3,640,000 | 3,371,013 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Cl. E, 5.192%, 5/15/451,2 |
2,895,000 | 2,849,740 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.824%, 7/25/352 |
1,715,550 | 1,711,264 | ||||||
JP Morgan Resecuritization Trust: |
||||||||
Series 2009-11, Cl. 5A1, 2.739%, 9/26/361,2 |
515,008 | 514,785 |
9 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial (Continued) |
||||||||
JP Morgan Resecuritization Trust: (Continued) |
||||||||
Series 2009-5, Cl. 1A2, 2.807%, 7/26/361,2 |
$ | 2,727,173 | $ | 2,429,481 | ||||
JPMBB Commercial Mortgage Securities Trust: |
||||||||
Series 2014-C25, Cl. AS, 4.065%, 11/15/47 |
4,425,000 | 4,750,108 | ||||||
Series 2014-C26, Cl. AS, 3.80%, 1/15/48 |
2,070,000 | 2,160,351 | ||||||
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed |
||||||||
Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/303,4 |
234,032 | 1,924 | ||||||
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/241,2 |
34,529 | 28,711 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||
Series 2012-C6, Cl. E, 4.657%, 11/15/451,2 |
3,142,000 | 3,035,327 | ||||||
Series 2013-C7, Cl. D, 4.296%, 2/15/461,2 |
1,270,000 | 1,140,217 | ||||||
Series 2013-C8, Cl. D, 4.164%, 12/15/481,2 |
830,000 | 769,303 | ||||||
Series 2014-C19, Cl. AS, 3.832%, 12/15/47 |
5,035,000 | 5,321,487 | ||||||
Morgan Stanley Capital I Trust, Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44 |
3,710,000 | 3,827,295 | ||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.193%, 11/26/361,2 |
2,205,652 | 1,397,875 | ||||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.546%, 6/26/461,2 |
1,939,115 | 1,933,538 | ||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.424%, 7/26/451,2 |
485,025 | 482,545 | ||||||
Structured Agency Credit Risk Debt Nts.: |
||||||||
Series 2014-DN1, Cl. M2, 2.633%, 2/25/242 |
2,510,000 | 2,507,773 | ||||||
Series 2015-DNA2, Cl. M2, 3.033%, 12/25/272 |
1,630,000 | 1,631,762 | ||||||
Series 2015-DNA3, Cl. M2, 3.283%, 4/25/282 |
3,800,000 | 3,828,787 | ||||||
Series 2015-HQA1, Cl. M1, 1.683%, 3/25/282 |
3,213,162 | 3,216,775 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.889%, 5/10/631,2 |
460,000 | 438,479 | ||||||
WF-RBS Commercial Mortgage Trust: |
||||||||
Series 2012-C10, Cl. D, 4.454%, 12/15/451,2 |
1,320,000 | 1,226,554 | ||||||
Series 2012-C7, Cl. E, 4.837%, 6/15/451,2 |
840,000 | 806,626 | ||||||
Series 2013-C11, Cl. D, 4.179%, 3/15/451,2 |
481,000 | 432,276 | ||||||
Series 2014-C20, Cl. AS, 4.176%, 5/15/47 |
1,693,000 | 1,797,773 | ||||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0.00%, 3/15/441,3,4 | 20,144,380 | 993,841 | ||||||
|
|
|||||||
103,794,910 | ||||||||
Residential3.4% |
||||||||
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5%, 7/25/35 |
1,102,041 | 987,245 | ||||||
Banc of America Funding Trust: |
||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 |
783,849 | 696,986 | ||||||
Series 2007-C, Cl. 1A4, 2.99%, 5/20/362 |
401,781 | 360,970 | ||||||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37 |
971,437 | 883,307 | ||||||
Bear Stearns ARM Trust: |
||||||||
Series 2005-2, Cl. A1, 3.09%, 3/25/352 |
3,067,115 | 3,062,141 | ||||||
Series 2005-9, Cl. A1, 2.66%, 10/25/352 |
1,176,491 | 1,136,020 | ||||||
Series 2006-1, Cl. A1, 2.58%, 2/25/362 |
3,548,516 | 3,467,065 | ||||||
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.543%, 7/25/362 |
345,844 | 342,220 | ||||||
Chase Funding Trust, Series 2003-2, Cl. 2A2, 0.996%, 2/25/332 |
362,314 | 303,661 |
10 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Residential (Continued) |
||||||||
|
||||||||
CHL Mortgage Pass-Through Trust: |
||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 |
$ | 744,450 | $ | 705,060 | ||||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 |
568,773 | 543,746 | ||||||
|
||||||||
Countrywide Alternative Loan Trust, Series 2005-21CB, Cl. A7, 5.50%, 6/25/35 |
2,024,557 | 1,866,091 | ||||||
|
||||||||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 0.743%, 7/25/352 |
748,208 | 706,185 | ||||||
|
||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.727%, 12/25/342 |
439,480 | 431,384 | ||||||
|
||||||||
NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/291,7 |
1,750,658 | 437,664 | ||||||
|
||||||||
RALI Trust: |
||||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 |
178,624 | 141,966 | ||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
918,014 | 735,861 | ||||||
|
||||||||
Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6%, 6/25/35 |
441,696 | 414,507 | ||||||
|
||||||||
WaMu Mortgage Pass-Through Certificates Trust: |
||||||||
Series 2003-AR10, Cl. A7, 2.537%, 10/25/332 |
1,222,264 | 1,241,036 | ||||||
Series 2005-AR14, Cl. 1A4, 2.523%, 12/25/352 |
1,559,429 | 1,503,786 | ||||||
Series 2005-AR16, Cl. 1A1, 2.571%, 12/25/352 |
1,366,323 | 1,284,667 | ||||||
|
||||||||
Wells Fargo Mortgage-Backed Securities Trust: |
||||||||
Series 2005-AR10, Cl. 1A1, 2.785%, 6/25/352 |
3,390,029 | 3,441,128 | ||||||
Series 2005-AR13, Cl. 1A5, 2.739%, 5/25/352 |
2,593,742 | 2,595,852 | ||||||
Series 2005-AR15, Cl. 1A2, 2.736%, 9/25/352 |
2,547,632 | 2,474,872 | ||||||
Series 2005-AR15, Cl. 1A6, 2.736%, 9/25/352 |
215,810 | 204,155 | ||||||
Series 2005-AR4, Cl. 2A2, 2.969%, 4/25/352 |
5,949,825 | 5,949,142 | ||||||
Series 2006-AR10, Cl. 5A5, 2.807%, 7/25/362 |
3,882,564 | 3,737,056 | ||||||
Series 2006-AR14, Cl. 1A2, 5.868%, 10/25/362 |
791,919 | 762,484 | ||||||
Series 2006-AR2, Cl. 2A3, 2.837%, 3/25/362 |
2,050,733 | 2,012,285 | ||||||
Series 2006-AR7, Cl. 2A4, 2.771%, 5/25/362 |
122,689 | 116,394 | ||||||
Series 2006-AR8, Cl. 2A1, 2.765%, 4/25/362 |
5,282,023 | 5,146,012 | ||||||
Series 2006-AR8, Cl. 2A4, 2.765%, 4/25/362 |
1,011,546 | 985,499 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 |
820,988 | 851,549 | ||||||
Series 2007-AR3, Cl. A4, 5.866%, 4/25/372 |
447,391 | 419,626 | ||||||
Series 2007-AR8, Cl. A1, 2.813%, 11/25/372 |
1,164,314 | 1,031,158 | ||||||
|
|
|||||||
50,978,780 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $688,415,699) |
694,768,095 | |||||||
|
||||||||
U.S. Government Obligations0.9% | ||||||||
|
||||||||
Federal Home Loan Mortgage Corp. Nts., 1.125%, 4/15/19 |
3,065,000 | 3,079,022 | ||||||
|
||||||||
Federal National Mortgage Assn. Nts., 0.875%, 3/28/18 |
3,065,000 | 3,071,596 | ||||||
|
||||||||
United States Treasury Nts.: |
||||||||
0.75%, 2/28/18 |
168,000 | 168,066 | ||||||
1.50%, 5/31/198,11 |
7,480,000 | 7,616,016 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $13,801,039) |
13,934,700 | |||||||
|
||||||||
Corporate Bonds and Notes41.6% | ||||||||
|
||||||||
Consumer Discretionary6.8% |
||||||||
|
||||||||
Auto Components0.1% |
||||||||
|
||||||||
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45 |
1,079,000 | 1,034,837 |
11 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Auto Components (Continued) |
||||||||
|
||||||||
Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17 |
$ | 587,000 | $ | 586,550 | ||||
|
|
|||||||
1,621,387 | ||||||||
|
||||||||
Automobiles1.8% |
||||||||
|
||||||||
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 |
1,759,000 | 2,701,655 | ||||||
|
||||||||
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24 |
8,151,000 | 8,249,733 | ||||||
|
||||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 |
3,396,000 | 3,640,240 | ||||||
|
||||||||
General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17 |
3,292,000 | 3,323,821 | ||||||
|
||||||||
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45 |
875,000 | 909,978 | ||||||
|
||||||||
Hyundai Capital America, 2.40% Sr. Unsec. Nts., 10/30/181 |
3,345,000 | 3,369,087 | ||||||
|
||||||||
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/161 |
2,199,000 | 2,207,264 | ||||||
|
||||||||
Nissan Motor Acceptance Corp., 2% Sr. Unsec. Nts., 3/8/191 |
2,724,000 | 2,747,241 | ||||||
|
|
|||||||
27,149,019 | ||||||||
|
||||||||
Diversified Consumer Services0.2% |
||||||||
|
||||||||
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24 |
3,463,000 | 3,679,437 | ||||||
|
||||||||
Hotels, Restaurants & Leisure0.5% |
||||||||
|
||||||||
Marriott International, Inc.: |
||||||||
3.25% Sr. Unsec. Nts., 9/15/22 |
2,056,000 | 2,081,669 | ||||||
6.375% Sr. Unsec. Nts., 6/15/17 |
3,038,000 | 3,205,239 | ||||||
|
||||||||
McDonalds Corp.: |
||||||||
2.75% Sr. Unsec. Nts., 12/9/20 |
1,606,000 | 1,665,883 | ||||||
4.875% Sr. Unsec. Nts., 12/9/45 |
902,000 | 989,671 | ||||||
|
|
|||||||
7,942,462 | ||||||||
|
||||||||
Household Durables0.9% |
||||||||
|
||||||||
Jarden Corp., 5% Sr. Unsec. Nts., 11/15/231 |
3,300,000 | 3,473,250 | ||||||
|
||||||||
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 |
1,439,000 | 1,421,012 | ||||||
|
||||||||
Newell Rubbermaid, Inc.: |
||||||||
2.15% Sr. Unsec. Nts., 10/15/18 |
2,032,000 | 2,033,571 | ||||||
5.50% Sr. Unsec. Nts., 4/1/46 |
1,137,000 | 1,235,576 | ||||||
|
||||||||
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23 |
3,721,000 | 3,655,883 | ||||||
|
||||||||
Whirlpool Corp.: |
||||||||
1.35% Sr. Unsec. Nts., 3/1/17 |
707,000 | 706,974 | ||||||
1.65% Sr. Unsec. Nts., 11/1/17 |
765,000 | 767,026 | ||||||
|
|
|||||||
13,293,292 | ||||||||
|
||||||||
Leisure Equipment & Products0.2% |
||||||||
|
||||||||
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18 |
3,308,000 | 3,277,993 | ||||||
|
||||||||
Media2.0% |
||||||||
|
||||||||
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
1,332,000 | 1,596,872 | ||||||
|
||||||||
CCO Safari II LLC: |
||||||||
4.908% Sr. Sec. Nts., 7/23/251 |
1,146,000 | 1,211,038 | ||||||
6.484% Sr. Sec. Nts., 10/23/451 |
1,950,000 | 2,176,356 | ||||||
|
||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 |
1,765,000 | 2,498,705 | ||||||
|
||||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 |
1,266,000 | 1,411,975 | ||||||
|
||||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 |
921,000 | 1,231,091 |
12 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Media (Continued) |
||||||||
|
||||||||
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 |
$ | 1,240,000 | $ | 1,280,712 | ||||
|
||||||||
Omnicom Group, Inc., 3.65% Sr. Unsec. Nts., 11/1/24 |
2,014,000 | 2,079,838 | ||||||
|
||||||||
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/161 |
581,000 | 582,629 | ||||||
|
||||||||
Scripps Networks Interactive, Inc., 2.70% Sr. Unsec. Nts., 12/15/16 |
3,400,000 | 3,430,399 | ||||||
|
||||||||
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/241 |
2,196,000 | 2,271,305 | ||||||
|
||||||||
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17 |
3,310,000 | 3,315,557 | ||||||
|
||||||||
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 |
1,879,000 | 1,674,567 | ||||||
|
||||||||
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16 |
1,206,000 | 1,212,400 | ||||||
|
||||||||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/261 |
3,683,000 | 3,701,415 | ||||||
|
|
|||||||
29,674,859 | ||||||||
|
||||||||
Multiline Retail0.3% |
||||||||
|
||||||||
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/231 |
3,335,000 | 3,549,691 | ||||||
|
||||||||
Kohls Corp., 5.55% Sr. Unsec. Nts., 7/17/45 |
793,000 | 720,328 | ||||||
|
|
|||||||
4,270,019 | ||||||||
|
||||||||
Specialty Retail0.6% |
||||||||
|
||||||||
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 |
3,241,000 | 3,427,358 | ||||||
|
||||||||
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44 |
1,476,000 | 1,756,195 | ||||||
|
||||||||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 |
2,923,000 | 2,961,779 | ||||||
|
||||||||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 |
1,682,000 | 1,670,179 | ||||||
|
|
|||||||
9,815,511 | ||||||||
|
||||||||
Textiles, Apparel & Luxury Goods0.2% |
||||||||
|
||||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 |
2,594,000 | 2,671,820 | ||||||
|
||||||||
Consumer Staples4.2% |
||||||||
|
||||||||
Beverages1.4% |
||||||||
|
||||||||
Anheuser-Busch InBev Finance, Inc.: |
||||||||
1.90% Sr. Unsec. Nts., 2/1/19 |
4,162,000 | 4,223,947 | ||||||
3.65% Sr. Unsec. Nts., 2/1/26 |
2,382,000 | 2,508,067 | ||||||
4.90% Sr. Unsec. Nts., 2/1/46 |
914,000 | 1,023,734 | ||||||
|
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
2,213,000 | 3,354,038 | ||||||
|
||||||||
Beam Suntory, Inc., 1.875% Sr. Unsec. Nts., 5/15/17 |
1,607,000 | 1,615,279 | ||||||
|
||||||||
Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24 |
3,125,000 | 3,273,438 | ||||||
|
||||||||
Pernod Ricard SA: |
||||||||
2.95% Sr. Unsec. Nts., 1/15/171 |
2,801,000 | 2,829,363 | ||||||
4.25% Sr. Unsec. Nts., 7/15/221 |
2,283,000 | 2,458,337 | ||||||
|
|
|||||||
21,286,203 | ||||||||
|
||||||||
Food & Staples Retailing0.7% |
||||||||
|
||||||||
CVS Health Corp., 5.125% Sr. Unsec. Nts., 7/20/45 |
1,719,000 | 1,999,926 | ||||||
|
||||||||
Delhaize Group: |
||||||||
5.70% Sr. Unsec. Nts., 10/1/40 |
1,533,000 | 1,658,799 | ||||||
6.50% Sr. Unsec. Nts., 6/15/17 |
938,000 | 990,578 | ||||||
|
||||||||
Kroger Co. (The): |
||||||||
2.00% Sr. Unsec. Nts., 1/15/19 |
309,000 | 313,586 |
13 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Food & Staples Retailing (Continued) |
||||||||
|
||||||||
Kroger Co. (The): (Continued) |
||||||||
6.40% Sr. Unsec. Nts., 8/15/17 |
$ | 2,976,000 | $ | 3,181,847 | ||||
6.90% Sr. Unsec. Nts., 4/15/38 |
755,000 | 998,268 | ||||||
|
||||||||
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44 |
2,152,000 | 2,413,197 | ||||||
|
|
|||||||
11,556,201 | ||||||||
|
||||||||
Food Products1.4% |
||||||||
|
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
3.20% Sr. Unsec. Nts., 6/15/17 |
2,955,000 | 2,976,465 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
2,392,000 | 2,783,044 | ||||||
|
||||||||
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17 |
3,361,000 | 3,346,601 | ||||||
|
||||||||
JM Smucker Co. (The), 1.75% Sr. Unsec. Nts., 3/15/18 |
2,582,000 | 2,593,875 | ||||||
|
||||||||
Kraft Heinz Foods Co., 5.20% Sr. Unsec. Nts., 7/15/451 |
1,361,000 | 1,529,205 | ||||||
|
||||||||
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22 |
3,603,000 | 3,702,083 | ||||||
|
||||||||
Tyson Foods, Inc.: |
||||||||
4.875% Sr. Unsec. Nts., 8/15/34 |
1,362,000 | 1,469,516 | ||||||
6.60% Sr. Unsec. Nts., 4/1/16 |
2,529,000 | 2,529,000 | ||||||
|
|
|||||||
20,929,789 | ||||||||
|
||||||||
Tobacco0.7% |
||||||||
|
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
2,034,000 | 3,738,183 | ||||||
|
||||||||
Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/181 |
3,331,000 | 3,342,255 | ||||||
|
||||||||
Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45 |
2,809,000 | 3,427,354 | ||||||
|
|
|||||||
10,507,792 | ||||||||
|
||||||||
Energy2.7% |
||||||||
|
||||||||
Energy Equipment & Services1.0% |
||||||||
|
||||||||
Halliburton Co., 5% Sr. Unsec. Nts., 11/15/45 |
893,000 | 877,729 | ||||||
|
||||||||
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 |
1,313,000 | 1,324,284 | ||||||
|
||||||||
Nabors Industries, Inc., 2.35% Sr. Unsec. Nts., 9/15/16 |
3,068,000 | 3,056,443 | ||||||
|
||||||||
Schlumberger Holdings Corp.: |
||||||||
1.90% Sr. Unsec. Nts., 12/21/171 |
3,515,000 | 3,507,534 | ||||||
4.00% Sr. Unsec. Nts., 12/21/251 |
2,365,000 | 2,445,668 | ||||||
|
||||||||
Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/171 |
3,325,000 | 3,334,443 | ||||||
|
|
|||||||
14,546,101 | ||||||||
|
||||||||
Oil, Gas & Consumable Fuels1.7% |
||||||||
|
||||||||
Anadarko Petroleum Corp.: |
||||||||
4.50% Sr. Unsec. Nts., 7/15/44 |
707,000 | 556,722 | ||||||
6.20% Sr. Unsec. Nts., 3/15/40 |
955,000 | 921,762 | ||||||
|
||||||||
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43 |
1,204,000 | 1,084,936 | ||||||
|
||||||||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 |
1,797,000 | 1,646,852 | ||||||
|
||||||||
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17 |
2,927,000 | 2,923,330 | ||||||
|
||||||||
Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/251 |
1,773,000 | 1,764,133 | ||||||
|
||||||||
ConocoPhillips Co.: |
||||||||
4.95% Sr. Unsec. Nts., 3/15/26 |
461,000 | 482,395 | ||||||
5.95% Sr. Unsec. Nts., 3/15/46 |
973,000 | 1,046,066 | ||||||
|
||||||||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 |
812,000 | 597,562 |
14 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Oil, Gas & Consumable Fuels (Continued) |
||||||||
|
||||||||
Enterprise Products Operating LLC: |
||||||||
4.85% Sr. Unsec. Nts., 8/15/42 |
$ | 987,000 | $ | 918,674 | ||||
4.90% Sr. Unsec. Nts., 5/15/46 |
350,000 | 337,807 | ||||||
|
||||||||
Exxon Mobil Corp., 4.114% Sr. Unsec. Nts., 3/1/46 |
1,328,000 | 1,412,195 | ||||||
|
||||||||
Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45 |
3,189,000 | 2,844,445 | ||||||
|
||||||||
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 |
1,022,000 | 873,699 | ||||||
|
||||||||
Origin Energy Finance Ltd.: |
||||||||
3.50% Sr. Unsec. Nts., 10/9/181 |
3,073,000 | 2,913,674 | ||||||
5.45% Sr. Unsec. Nts., 10/14/211 |
587,000 | 563,315 | ||||||
|
||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., 5% Sr. Unsec. Nts., 10/1/22 |
2,315,000 | 2,179,709 | ||||||
|
||||||||
Suncor Energy, Inc., 6.10% Sr. Unsec. Nts., 6/1/18 |
2,746,000 | 2,937,382 | ||||||
|
|
|||||||
26,004,658 | ||||||||
|
||||||||
Financials11.8% |
||||||||
|
||||||||
Capital Markets2.3% |
||||||||
|
||||||||
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/241 |
2,614,000 | 2,661,653 | ||||||
|
||||||||
Blackstone Holdings Finance Co. LLC: |
||||||||
4.45% Sr. Unsec. Nts., 7/15/451 |
263,000 | 249,005 | ||||||
5.00% Sr. Unsec. Nts., 6/15/441 |
2,869,000 | 2,917,736 | ||||||
|
||||||||
Credit Suisse AG, New York, 3.625% Sr. Unsec. Nts., 9/9/24 |
2,169,000 | 2,202,489 | ||||||
|
||||||||
Goldman Sachs Group, Inc. (The), 5.15% Sub. Nts., 5/22/45 |
2,684,000 | 2,737,712 | ||||||
|
||||||||
KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/441 |
2,710,000 | 2,661,478 | ||||||
|
||||||||
Lazard Group LLC, 3.75% Sr. Unsec. Nts., 2/13/25 |
804,000 | 743,786 | ||||||
|
||||||||
Morgan Stanley: |
||||||||
3.875% Sr. Unsec. Nts., 1/27/26 |
3,458,000 | 3,615,965 | ||||||
5.00% Sub. Nts., 11/24/25 |
3,296,000 | 3,575,425 | ||||||
|
||||||||
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16 |
3,334,000 | 3,344,345 | ||||||
|
||||||||
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 |
2,772,000 | 3,077,036 | ||||||
|
||||||||
UBS Group Funding Jersey Ltd., 4.125% Sr. Unsec. Nts., 4/15/261,6 |
2,277,000 | 2,270,124 | ||||||
|
||||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 12,9 |
4,518,000 | 4,529,295 | ||||||
|
|
|||||||
34,586,049 | ||||||||
|
||||||||
Commercial Banks4.6% |
||||||||
|
||||||||
ABN AMRO Bank NV, 4.75% Sub. Nts., 7/28/251 |
2,207,000 | 2,231,361 | ||||||
|
||||||||
Bank of America Corp., 7.75% Jr. Sub. Nts., 5/14/38 |
2,412,000 | 3,305,796 | ||||||
|
||||||||
BNP Paribas SA, 4.375% Sub. Nts., 9/28/251 |
2,241,000 | 2,237,065 | ||||||
|
||||||||
BPCE SA, 2.65% Sr. Unsec. Nts., 2/3/21 |
3,375,000 | 3,409,428 | ||||||
|
||||||||
Citigroup, Inc.: |
||||||||
4.65% Sr. Unsec. Nts., 7/30/45 |
2,715,000 | 2,855,659 | ||||||
6.675% Sub. Nts., 9/13/43 |
1,507,000 | 1,833,315 | ||||||
|
||||||||
Cooperatieve Rabobank UA, 4.375% Sub. Nts., 8/4/25 |
2,607,000 | 2,700,688 | ||||||
|
||||||||
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds1,2,9 |
2,814,000 | 3,117,068 | ||||||
|
||||||||
Danske Bank AS, 2.80% Sr. Unsec. Nts., 3/10/211 |
2,225,000 | 2,261,503 | ||||||
|
||||||||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 |
2,246,000 | 2,307,983 | ||||||
|
||||||||
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26 |
2,998,000 | 2,988,526 |
15 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Commercial Banks (Continued) |
||||||||
|
||||||||
Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21 |
$ | 2,425,000 | $ | 2,463,722 | ||||
|
||||||||
ING Bank NV, 2.75% Sr. Unsec. Nts., 3/22/211 |
2,986,000 | 3,034,098 | ||||||
|
||||||||
Intesa Sanpaolo SpA, 5.71% Sub. Nts., 1/15/261 |
3,685,000 | 3,591,943 | ||||||
|
||||||||
JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S2,9 |
2,795,000 | 3,072,404 | ||||||
|
||||||||
Lloyds Banking Group plc: |
||||||||
6.413% Jr. Sub. Perpetual Bonds1,2,9 |
214,000 | 231,655 | ||||||
6.657% Jr. Sub. Perpetual Bonds1,2,9 |
2,718,000 | 2,976,210 | ||||||
|
||||||||
Regions Bank, Birmingham AL: |
||||||||
2.25% Sr. Unsec. Nts., 9/14/18 |
2,706,000 | 2,703,345 | ||||||
6.45% Sub. Nts., 6/26/37 |
2,275,000 | 2,733,231 | ||||||
|
||||||||
Regions Financial Corp., 7.375% Sub. Nts., 12/10/37 |
230,000 | 296,971 | ||||||
|
||||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds2,9 |
3,400,000 | 3,323,500 | ||||||
|
||||||||
Skandinaviska Enskilda Banken AB, 2.625% Sr. Unsec. Nts., 3/15/21 |
2,226,000 | 2,255,285 | ||||||
|
||||||||
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds1,2,9 |
3,140,000 | 3,124,300 | ||||||
|
||||||||
SunTrust Banks, Inc.: |
||||||||
2.90% Sr. Unsec. Nts., 3/3/21 |
3,364,000 | 3,419,025 | ||||||
3.50% Sr. Unsec. Nts., 1/20/17 |
1,953,000 | 1,983,971 | ||||||
|
||||||||
Swedbank AB, 2.65% Sr. Unsec. Nts., 3/10/211 |
2,356,000 | 2,384,821 | ||||||
|
||||||||
Wells Fargo & Co., 5.90% Jr. Sub. Perpetual Bonds, Series S2,9 |
2,900,000 | 2,942,595 | ||||||
|
|
|||||||
69,785,468 | ||||||||
|
||||||||
Consumer Finance0.8% |
||||||||
|
||||||||
Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25 |
2,923,000 | 2,900,481 | ||||||
|
||||||||
Discover Financial Services: |
||||||||
3.75% Sr. Unsec. Nts., 3/4/25 |
2,821,000 | 2,752,100 | ||||||
3.95% Sr. Unsec. Nts., 11/6/24 |
2,281,000 | 2,259,260 | ||||||
|
||||||||
Synchrony Financial: |
||||||||
4.25% Sr. Unsec. Nts., 8/15/24 |
1,045,000 | 1,062,651 | ||||||
4.50% Sr. Unsec. Nts., 7/23/25 |
2,419,000 | 2,493,810 | ||||||
|
|
|||||||
11,468,302 | ||||||||
|
||||||||
Diversified Financial Services1.0% |
||||||||
|
||||||||
Berkshire Hathaway Energy Co., 2% Sr. Unsec. Nts., 11/15/18 |
1,134,000 | 1,147,274 | ||||||
|
||||||||
Berkshire Hathaway, Inc., 3.125% Sr. Unsec. Nts., 3/15/26 |
1,686,000 | 1,735,135 | ||||||
|
||||||||
McGraw Hill Financial, Inc., 2.50% Sr. Unsec. Nts., 8/15/18 |
2,449,000 | 2,483,391 | ||||||
|
||||||||
Nationwide Building Society, 3.90% Sr. Unsec. Nts., 7/21/251 |
3,381,000 | 3,574,167 | ||||||
|
||||||||
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/251 |
1,829,000 | 1,835,189 | ||||||
|
||||||||
Suntory Holdings Ltd., 1.65% Sr. Unsec. Nts., 9/29/171 |
1,717,000 | 1,720,207 | ||||||
|
||||||||
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/532 |
3,667,000 | 3,428,645 | ||||||
|
|
|||||||
15,924,008 | ||||||||
|
||||||||
Insurance1.6% |
||||||||
|
||||||||
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 |
2,527,000 | 2,616,380 | ||||||
|
||||||||
Chubb INA Holdings, Inc.: |
||||||||
3.35% Sr. Unsec. Nts., 5/3/26 |
1,703,000 | 1,779,831 | ||||||
4.35% Sr. Unsec. Nts., 11/3/45 |
1,363,000 | 1,489,661 | ||||||
|
||||||||
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/231 |
2,821,000 | 2,962,894 |
16 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Insurance (Continued) |
||||||||
|
||||||||
Liberty Mutual Group, Inc., 4.85% Sr. Unsec. Nts., 8/1/441 |
$ | 1,869,000 | $ | 1,794,995 | ||||
|
||||||||
Manulife Financial Corp., 4.15% Sr. Unsec. Nts., 3/4/26 |
2,226,000 | 2,277,053 | ||||||
|
||||||||
MetLife, Inc., 5.25% Jr. Sub. Perpetual Bonds2,9 |
2,353,000 | 2,254,468 | ||||||
|
||||||||
Prudential Financial, Inc., 5.375% Jr. Sub. Nts., 5/15/452 |
620,000 | 614,575 | ||||||
|
||||||||
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/241 |
3,549,000 | 3,675,831 | ||||||
|
||||||||
Unum Group, 7.125% Sr. Unsec. Nts., 9/30/16 |
3,125,000 | 3,211,006 | ||||||
|
||||||||
XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds2,9 |
1,920,000 | 1,334,400 | ||||||
|
|
|||||||
24,011,094 | ||||||||
|
||||||||
Real Estate Investment Trusts (REITs)1.3% |
||||||||
|
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
1,324,000 | 1,439,925 | ||||||
5.90% Sr. Unsec. Nts., 11/1/21 |
1,523,000 | 1,742,624 | ||||||
|
||||||||
Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18 |
3,138,000 | 3,284,278 | ||||||
|
||||||||
Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23 |
3,230,000 | 3,278,450 | ||||||
|
||||||||
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17 |
1,750,000 | 1,815,510 | ||||||
|
||||||||
Host Hotels & Resorts LP, Series D, 3.75% Sr. Unsec. Nts., 10/15/23 |
1,955,000 | 1,911,175 | ||||||
|
||||||||
Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16 |
1,856,000 | 1,906,771 | ||||||
|
||||||||
Regency Centers LP, 5.875% Sr. Unsec. Nts., 6/15/17 |
277,000 | 290,488 | ||||||
|
||||||||
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17 |
1,056,000 | 1,051,930 | ||||||
|
||||||||
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/171 |
2,869,000 | 2,859,352 | ||||||
|
||||||||
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18 |
681,000 | 685,151 | ||||||
|
|
|||||||
20,265,654 | ||||||||
|
||||||||
Real Estate Management & Development0.2% |
||||||||
|
||||||||
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25 |
3,678,000 | 3,748,338 | ||||||
|
||||||||
Health Care3.2% |
||||||||
|
||||||||
Biotechnology0.5% |
||||||||
|
||||||||
AbbVie, Inc.: |
||||||||
3.60% Sr. Unsec. Nts., 5/14/25 |
1,998,000 | 2,102,222 | ||||||
4.70% Sr. Unsec. Nts., 5/14/45 |
663,000 | 708,060 | ||||||
|
||||||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 |
980,000 | 1,091,570 | ||||||
|
||||||||
Celgene Corp.: |
||||||||
3.875% Sr. Unsec. Nts., 8/15/25 |
1,705,000 | 1,796,074 | ||||||
5.00% Sr. Unsec. Nts., 8/15/45 |
463,000 | 502,776 | ||||||
|
||||||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 |
1,497,000 | 1,647,462 | ||||||
|
|
|||||||
7,848,164 | ||||||||
|
||||||||
Health Care Equipment & Supplies0.8% |
||||||||
|
||||||||
Becton Dickinson & Co.: |
||||||||
1.45% Sr. Unsec. Nts., 5/15/17 |
2,824,000 | 2,829,493 | ||||||
3.875% Sr. Unsec. Nts., 5/15/24 |
1,225,000 | 1,309,594 | ||||||
|
||||||||
Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25 |
2,880,000 | 2,993,555 | ||||||
|
||||||||
DENTSPLY SIRONA, Inc., 2.75% Sr. Unsec. Nts., 8/15/16 |
2,950,000 | 2,966,555 | ||||||
|
||||||||
Stryker Corp., 3.50% Sr. Unsec. Nts., 3/15/26 |
1,347,000 | 1,399,722 |
17 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Health Care Equipment & Supplies (Continued) |
||||||||
|
||||||||
Zimmer Biomet Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25 |
$ | 1,159,000 | $ | 1,173,735 | ||||
|
|
|||||||
12,672,654 | ||||||||
|
||||||||
Health Care Providers & Services1.1% |
||||||||
|
||||||||
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24 |
1,677,000 | 1,746,988 | ||||||
|
||||||||
Express Scripts Holding Co., 4.50% Sr. Unsec. Nts., 2/25/26 |
2,774,000 | 2,886,491 | ||||||
|
||||||||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/221 |
2,997,000 | 3,307,190 | ||||||
|
||||||||
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25 |
4,850,000 | 4,920,825 | ||||||
|
||||||||
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44 |
1,533,000 | 1,635,985 | ||||||
|
||||||||
Medco Health Solutions, Inc., 7.125% Sr. Unsec. Nts., 3/15/18 |
1,437,000 | 1,580,862 | ||||||
|
|
|||||||
16,078,341 | ||||||||
|
||||||||
Life Sciences Tools & Services0.3% |
||||||||
|
||||||||
Thermo Fisher Scientific, Inc.: |
||||||||
2.15% Sr. Unsec. Nts., 12/14/18 |
1,333,000 | 1,341,455 | ||||||
4.15% Sr. Unsec. Nts., 2/1/24 |
1,299,000 | 1,372,090 | ||||||
5.30% Sr. Unsec. Nts., 2/1/44 |
1,268,000 | 1,416,256 | ||||||
|
|
|||||||
4,129,801 | ||||||||
|
||||||||
Pharmaceuticals0.5% |
||||||||
|
||||||||
Actavis Funding SCS: |
||||||||
1.30% Sr. Unsec. Nts., 6/15/17 |
1,870,000 | 1,865,341 | ||||||
1.85% Sr. Unsec. Nts., 3/1/17 |
1,451,000 | 1,458,303 | ||||||
3.80% Sr. Unsec. Nts., 3/15/25 |
2,651,000 | 2,763,893 | ||||||
4.75% Sr. Unsec. Nts., 3/15/45 |
1,067,000 | 1,134,794 | ||||||
|
||||||||
Perrigo Finance Unlimited Co., 4.375% Sr. Unsec. Nts., 3/15/26 |
1,011,000 | 1,043,262 | ||||||
|
|
|||||||
8,265,593 | ||||||||
|
||||||||
Industrials3.3% |
||||||||
|
||||||||
Aerospace & Defense0.8% |
||||||||
|
||||||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251 |
2,818,000 | 2,906,702 | ||||||
|
||||||||
L-3 Communications Corp.: |
||||||||
1.50% Sr. Unsec. Nts., 5/28/17 |
905,000 | 902,216 | ||||||
3.95% Sr. Unsec. Nts., 11/15/16 |
1,203,000 | 1,218,904 | ||||||
|
||||||||
Lockheed Martin Corp., 3.55% Sr. Unsec. Nts., 1/15/26 |
1,793,000 | 1,901,789 | ||||||
|
||||||||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 |
1,990,000 | 2,247,265 | ||||||
|
||||||||
Textron, Inc.: |
||||||||
3.875% Sr. Unsec. Nts., 3/1/25 |
902,000 | 911,186 | ||||||
4.30% Sr. Unsec. Nts., 3/1/24 |
1,672,000 | 1,734,170 | ||||||
|
|
|||||||
11,822,232 | ||||||||
|
||||||||
Building Products0.2% |
||||||||
|
||||||||
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 |
2,459,000 | 2,496,185 | ||||||
|
||||||||
Commercial Services & Supplies0.3% |
||||||||
|
||||||||
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24 |
3,294,000 | 3,366,013 | ||||||
|
||||||||
Waste Management, Inc., 4.10% Sr. Unsec. Nts., 3/1/45 |
906,000 | 913,569 | ||||||
|
|
|||||||
4,279,582 |
18 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Electrical Equipment0.2% |
||||||||
|
||||||||
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/231 |
$ | 2,370,000 | $ | 2,390,738 | ||||
|
||||||||
Industrial Conglomerates0.1% |
||||||||
|
||||||||
Roper Technologies, Inc., 3.85% Sr. Unsec. Nts., 12/15/25 |
1,645,000 | 1,703,616 | ||||||
|
||||||||
Machinery0.7% |
||||||||
|
||||||||
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23 |
1,452,000 | 1,522,034 | ||||||
|
||||||||
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23 |
2,620,000 | 2,830,140 | ||||||
|
||||||||
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 |
3,101,000 | 3,151,388 | ||||||
|
||||||||
Xylem, Inc., 3.55% Sr. Unsec. Nts., 9/20/16 |
3,352,000 | 3,355,443 | ||||||
|
|
|||||||
10,859,005 | ||||||||
|
||||||||
Marine0.0% |
||||||||
|
||||||||
AP Moeller-Maersk AS, 3.875% Sr. Unsec. Nts., 9/28/251 |
363,000 | 349,725 | ||||||
|
||||||||
Professional Services0.4% |
||||||||
|
||||||||
Equifax, Inc., 6.30% Sr. Unsec. Nts., 7/1/17 |
3,375,000 | 3,566,521 | ||||||
|
||||||||
Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/171 |
2,814,000 | 2,811,966 | ||||||
|
|
|||||||
6,378,487 | ||||||||
|
||||||||
Road & Rail0.4% |
||||||||
|
||||||||
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35 |
636,000 | 653,928 | ||||||
|
||||||||
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/451 |
954,000 | 943,787 | ||||||
|
||||||||
Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46 |
1,042,000 | 1,114,753 | ||||||
|
||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: |
||||||||
3.75% Sr. Unsec. Nts., 5/11/171 |
1,858,000 | 1,894,094 | ||||||
4.25% Sr. Unsec. Nts., 1/17/231 |
1,269,000 | 1,288,125 | ||||||
|
|
|||||||
5,894,687 | ||||||||
|
||||||||
Trading Companies & Distributors0.2% |
||||||||
|
||||||||
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21 |
3,197,000 | 3,264,936 | ||||||
|
||||||||
Information Technology1.8% |
||||||||
|
||||||||
Electronic Equipment, Instruments, & Components0.2% |
||||||||
|
||||||||
Flextronics International Ltd., 4.75% Sr. Unsec. Nts., 6/15/25 |
3,191,000 | 3,143,135 | ||||||
|
||||||||
IT Services0.6% |
||||||||
|
||||||||
Fidelity National Information Services, Inc.: |
||||||||
1.45% Sr. Unsec. Nts., 6/5/17 |
2,582,000 | 2,563,208 | ||||||
2.85% Sr. Unsec. Nts., 10/15/18 |
788,000 | 801,461 | ||||||
|
||||||||
Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18 |
2,957,000 | 2,955,102 | ||||||
|
||||||||
Visa, Inc., 4.30% Sr. Unsec. Nts., 12/14/45 |
1,325,000 | 1,453,745 | ||||||
|
||||||||
Xerox Corp.: |
||||||||
2.95% Sr. Unsec. Nts., 3/15/17 |
1,134,000 | 1,141,133 | ||||||
6.75% Sr. Unsec. Nts., 2/1/17 |
564,000 | 584,782 | ||||||
|
|
|||||||
9,499,431 | ||||||||
|
||||||||
Semiconductors & Semiconductor Equipment0.1% |
||||||||
|
||||||||
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45 |
878,000 | 986,845 | ||||||
|
||||||||
Software0.5% |
||||||||
|
||||||||
Autodesk, Inc.: |
||||||||
1.95% Sr. Unsec. Nts., 12/15/17 |
2,624,000 | 2,612,397 | ||||||
4.375% Sr. Unsec. Nts., 6/15/25 |
985,000 | 1,008,849 |
19 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Software (Continued) |
||||||||
|
||||||||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231 |
$ | 2,188,000 | $ | 2,242,700 | ||||
|
||||||||
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24 |
1,965,000 | 2,093,365 | ||||||
|
|
|||||||
7,957,311 | ||||||||
|
||||||||
Technology Hardware, Storage & Peripherals0.4% |
||||||||
|
||||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 |
1,799,000 | 1,888,964 | ||||||
|
||||||||
Hewlett Packard Enterprise Co.: |
||||||||
2.45% Sr. Unsec. Nts., 10/5/171 |
2,278,000 | 2,293,921 | ||||||
6.35% Sr. Unsec. Nts., 10/15/451 |
1,560,000 | 1,538,550 | ||||||
|
|
|||||||
5,721,435 | ||||||||
|
||||||||
Materials2.0% |
||||||||
|
||||||||
Chemicals0.9% |
||||||||
|
||||||||
Agrium, Inc.: |
||||||||
3.375% Sr. Unsec. Nts., 3/15/25 |
1,320,000 | 1,273,408 | ||||||
4.125% Sr. Unsec. Nts., 3/15/35 |
660,000 | 575,451 | ||||||
|
||||||||
Eastman Chemical Co., 4.65% Sr. Unsec. Nts., 10/15/44 |
781,000 | 749,963 | ||||||
|
||||||||
Ecolab, Inc., 2% Sr. Unsec. Nts., 1/14/19 |
3,432,000 | 3,465,476 | ||||||
|
||||||||
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24 |
1,919,000 | 1,605,869 | ||||||
|
||||||||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
3,050,000 | 2,982,125 | ||||||
|
||||||||
Valspar Corp. (The): |
||||||||
3.30% Sr. Unsec. Nts., 2/1/25 |
915,000 | 904,170 | ||||||
3.95% Sr. Unsec. Nts., 1/15/26 |
1,587,000 | 1,642,218 | ||||||
|
|
|||||||
13,198,680 | ||||||||
|
||||||||
Construction Materials0.5% |
||||||||
|
||||||||
CRH America, Inc.: |
||||||||
5.125% Sr. Unsec. Nts., 5/18/451 |
2,836,000 | 2,910,221 | ||||||
6.00% Sr. Unsec. Nts., 9/30/16 |
1,579,000 | 1,608,436 | ||||||
|
||||||||
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/231 |
3,173,000 | 3,220,595 | ||||||
|
|
|||||||
7,739,252 | ||||||||
|
||||||||
Containers & Packaging0.3% |
||||||||
|
||||||||
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44 |
1,246,000 | 1,204,846 | ||||||
|
||||||||
Packaging Corp. of America: |
||||||||
3.65% Sr. Unsec. Nts., 9/15/24 |
745,000 | 740,554 | ||||||
4.50% Sr. Unsec. Nts., 11/1/23 |
2,749,000 | 2,888,080 | ||||||
|
|
|||||||
4,833,480 | ||||||||
|
||||||||
Metals & Mining0.3% |
||||||||
|
||||||||
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23 |
951,000 | 890,237 | ||||||
|
||||||||
Glencore Finance Canada Ltd., 3.60% Sr. Unsec. Nts., 1/15/171 |
2,789,000 | 2,791,953 | ||||||
|
||||||||
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 |
880,000 | 805,082 | ||||||
|
|
|||||||
4,487,272 | ||||||||
|
||||||||
Telecommunication Services2.3% |
||||||||
|
||||||||
Diversified Telecommunication Services2.1% |
||||||||
|
||||||||
AT&T, Inc.: |
||||||||
4.125% Sr. Unsec. Nts., 2/17/26 |
1,626,000 | 1,721,365 |
20 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
|
||||||||
Diversified Telecommunication Services (Continued) |
||||||||
|
||||||||
AT&T, Inc.: (Continued) |
||||||||
4.35% Sr. Unsec. Nts., 6/15/45 |
$ | 4,468,000 | $ | 4,125,939 | ||||
5.15% Sr. Unsec. Nts., 3/15/42 |
500,000 | 505,911 | ||||||
|
||||||||
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 |
2,687,000 | 4,211,967 | ||||||
|
||||||||
Orange SA, 2.75% Sr. Unsec. Nts., 9/14/16 |
892,000 | 898,744 | ||||||
|
||||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
1,477,000 | 1,555,443 | ||||||
|
||||||||
Telefonica Emisiones SAU: |
||||||||
3.192% Sr. Unsec. Nts., 4/27/18 |
3,214,000 | 3,299,422 | ||||||
7.045% Sr. Unsec. Unsub. Nts., 6/20/36 |
1,061,000 | 1,347,332 | ||||||
|
||||||||
Verizon Communications, Inc.: |
||||||||
3.50% Sr. Unsec. Nts., 11/1/24 |
1,323,000 | 1,391,182 | ||||||
4.50% Sr. Unsec. Nts., 9/15/20 |
6,123,000 | 6,779,165 | ||||||
4.522% Sr. Unsec. Nts., 9/15/48 |
4,696,000 | 4,725,435 | ||||||
5.012% Sr. Unsec. Nts., 8/21/54 |
735,000 | 740,746 | ||||||
|
|
|||||||
31,302,651 | ||||||||
|
||||||||
Wireless Telecommunication Services0.2% |
||||||||
|
||||||||
Rogers Communications, Inc., 3.625% Sr. Unsec. Nts., 12/15/25 |
2,673,000 | 2,789,537 | ||||||
|
||||||||
Utilities3.5% |
||||||||
|
||||||||
Electric Utilities2.3% |
||||||||
|
||||||||
AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/251 |
1,658,000 | 1,743,319 | ||||||
|
||||||||
American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/441 |
1,067,000 | 1,093,550 | ||||||
|
||||||||
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23 |
2,275,000 | 2,299,891 | ||||||
|
||||||||
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/211 |
3,640,000 | 3,806,239 | ||||||
|
||||||||
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/171 |
3,232,000 | 3,449,746 | ||||||
|
||||||||
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46 |
761,000 | 786,485 | ||||||
|
||||||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 |
715,000 | 737,214 | ||||||
|
||||||||
NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17 |
3,520,000 | 3,524,115 | ||||||
|
||||||||
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 |
500,000 | 526,712 | ||||||
|
||||||||
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 |
2,250,000 | 2,338,893 | ||||||
|
||||||||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211 |
4,000,000 | 4,442,980 | ||||||
|
||||||||
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18 |
2,770,000 | 3,103,453 | ||||||
|
||||||||
Southern Power Co., 1.85% Sr. Unsec. Nts., 12/1/17 |
3,179,000 | 3,203,879 | ||||||
|
||||||||
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/251 |
2,128,000 | 2,203,546 | ||||||
|
||||||||
Xcel Energy, Inc., 3.30% Sr. Unsec. Nts., 6/1/25 |
1,822,000 | 1,872,766 | ||||||
|
|
|||||||
35,132,788 | ||||||||
|
||||||||
Independent Power and Renewable Electricity Producers0.2% |
||||||||
|
||||||||
Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16 |
3,447,000 | 3,461,598 |
21 OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
|
||||||||
Multi-Utilities1.0% |
||||||||
|
||||||||
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17 |
$ | 2,403,000 | $ | 2,485,824 | ||||
|
||||||||
CMS Energy Corp.: |
||||||||
3.875% Sr. Unsec. Nts., 3/1/24 |
1,871,000 | 1,982,871 | ||||||
5.05% Sr. Unsec. Unsub. Nts., 3/15/22 |
2,715,000 | 3,042,687 | ||||||
|
||||||||
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44 |
1,779,000 | 1,884,370 | ||||||
|
||||||||
Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/25 |
1,760,000 | 1,775,550 | ||||||
|
||||||||
TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17 |
2,955,000 | 3,160,024 | ||||||
|
|
|||||||
14,331,326 | ||||||||
|
|
|||||||
Total Corporate Bonds and Notes (Cost $617,577,796) |
631,033,943 | |||||||
|
||||||||
Short-Term Note0.1% |
||||||||
|
||||||||
BAT International Finance plc, 0.69%, 4/5/1610 (Cost $999,923) |
1,000,000 | 999,923 | ||||||
Shares | ||||||||
|
||||||||
Investment Company23.6% |
||||||||
|
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.46%12,13 (Cost $358,138,644) |
358,138,644 | 358,138,644 | ||||||
|
||||||||
Total Investments, at Value (Cost $1,904,314,644) |
126.7% | 1,923,751,410 | ||||||
|
||||||||
Net Other Assets (Liabilities) |
(26.7) | (405,623,462) | ||||||
|
|
|||||||
Net Assets |
100.0% | $ | 1,518,127,948 | |||||
|
|
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 $308,516,673 or 20.32% of the Funds net assets at period end.
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 $15,656,973 or 1.03% of the Funds net assets at period end.
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 $151,157 or 0.01% of the Funds net assets at period end.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
7. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
8. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,184,148. See Note 6 of the accompanying Notes.
9. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
22 OPPENHEIMER CORE BOND FUND
Footnotes to Statement of Investments (Continued)
10. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $999,923 or 0.07% of the Funds net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.
11. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.
12. | Rate shown is the 7-day yield at period end. |
13. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
Shares | ||||||||||||||||
December 31, | Gross | Gross | Shares | |||||||||||||
2015 | Additions | Reductions | March 31, 2016 | |||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
295,832,126 | 147,711,666 | 85,405,148 | 358,138,644 | ||||||||||||
Value | Income | |||||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 358,138,644 | $ | 341,904 |
|
||||||||||||||||||||||||
Futures Contracts as of March 31, 2016 |
|
|||||||||||||||||||||||
Number | Unrealized | |||||||||||||||||||||||
Expiration | of | Appreciation | ||||||||||||||||||||||
Description |
Exchange | Buy/Sell | Date | Contracts | Value | (Depreciation) | ||||||||||||||||||
|
||||||||||||||||||||||||
United States Treasury Long Bonds |
CBT | Sell | 6/21/16 | 12 | $ | 1,973,250 | $ | (9,771) | ||||||||||||||||
United States Treasury Nts., 10 yr. |
CBT | Sell | 6/21/16 | 37 | 4,824,453 | (9,811) | ||||||||||||||||||
United States Treasury Nts., 2 yr. |
CBT | Buy | 6/30/16 | 587 | 128,406,250 | 433,922 | ||||||||||||||||||
United States Treasury Nts., 5 yr. |
CBT | Buy | 6/30/16 | 67 | 8,117,992 | 61,250 | ||||||||||||||||||
United States Ultra Bonds |
CBT | Buy | 6/21/16 | 441 | 76,086,281 | (626,625) | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | (151,035) | |||||||||||||||||||||||
|
|
Glossary:
Exchange Abbreviations
CBT Chicago Board of Trade
23 OPPENHEIMER CORE BOND FUND
NOTES TO STATEMENT OF INVESTMENTS March 31, 2016 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 Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Reporting Period End Date. The last day of the Funds reporting period is the last day the New York Stock Exchange was open for trading during the period. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from
24 OPPENHEIMER CORE BOND FUND
3. Securities Valuation (Continued)
the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Funds assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys 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 Funds 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.
25 OPPENHEIMER CORE BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Security Type | Standard inputs generally considered by third-party pricing vendors | |
| ||
Corporate debt, government debt, municipal, mortgage- backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
| ||
Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| ||
Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based
26 OPPENHEIMER CORE BOND FUND
3. Securities Valuation (Continued)
on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Funds 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 Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in those Underlying Funds which are publicly offered and reported on an exchange as Level 1, and those Underlying Funds which are not publicly offered are not assigned a level, without consideration as to the classification level of the specific investments held by the Underlying Funds.
The table below categorizes amounts at period end based on valuation input level:
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
|
||||||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 224,876,105 | $ | | $ | 224,876,105 | ||||||||
Mortgage-Backed Obligations |
| 694,297,100 | 470,995 | 694,768,095 | ||||||||||||
U.S. Government Obligations |
| 13,934,700 | | 13,934,700 | ||||||||||||
Corporate Bonds and Notes |
| 631,033,943 | | 631,033,943 | ||||||||||||
Short-Term Note |
| 999,923 | | 999,923 | ||||||||||||
Investment Company |
358,138,644 | | | 358,138,644 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value |
358,138,644 | 1,565,141,771 | 470,995 | 1,923,751,410 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures contracts |
495,172 | | | 495,172 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 358,633,816 | $ | 1,565,141,771 | $ | 470,995 | $ | 1,924,246,582 | ||||||||
|
|
|||||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures contracts |
$ | (646,207) | $ | | $ | | $ | (646,207) | ||||||||
|
|
|||||||||||||||
Total Liabilities |
$ | (646,207) | $ | | $ | | $ | (646,207) | ||||||||
|
|
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 contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
27 OPPENHEIMER CORE BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Funds investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds expenses, including their management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in a money market Affiliated Fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (IMMF) to seek current income while preserving liquidity or for defensive purposes. IMMF is regulated as a money market fund under the Investment Company Act of 1940, as amended.
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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
28 OPPENHEIMER CORE BOND FUND
4. Investments and Risks (Continued)
When-Issued or | ||||
Delayed Delivery | ||||
Basis Transactions | ||||
|
||||
Purchased securities |
$487,873,511 | |||
Sold securities |
76,585,025 |
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 Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds 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 period end, the counterparty pledged $650,664 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $69,237 of collateral to the counterparty for forward roll transactions.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest at period end is as follows:
Cost |
$1,703,335 | |||
Market Value |
$437,664 | |||
Market Value as % of Net Assets |
0.03% |
5. Market Risk Factors
The Funds investments in securities and/or financial derivatives may expose the Fund to
29 OPPENHEIMER CORE BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Market Risk Factors (Continued)
various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value
30 OPPENHEIMER CORE BOND FUND
6. Use of Derivatives (Continued)
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 Funds 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 Funds 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 Funds 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 merchants 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 Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
31 OPPENHEIMER CORE BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the reporting period, the Fund had an ending monthly average market value of $145,647,209 and $18,901,531 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 Funds securities.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds 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 brokers, futures commission merchants or clearinghouses 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 Funds 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 Funds 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
32 OPPENHEIMER CORE BOND FUND
6. Use of Derivatives (Continued)
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.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
7. Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.
Federal tax cost of securities |
$ | 1,904,406,735 | ||
Federal tax cost of other investments |
205,963,855 | |||
Total federal tax cost |
$ | 2,110,370,590 | ||
|
|
|||
Gross unrealized appreciation |
$ | 32,017,076 | ||
Gross unrealized depreciation |
(12,823,436) | |||
|
|
|||
Net unrealized appreciation |
$ | 19,193,640 | ||
|
|
33 OPPENHEIMER CORE BOND FUND
Item 2. Controls and Procedures.
(a) | Based on their evaluation of the registrants 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 3/31/2016, the registrants principal executive officer and principal financial officer found the registrants 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 registrants 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 registrants internal controls over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants 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: | 5/13/2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz
| ||
Principal Executive Officer
| ||
Date: | 5/13/2016 | |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen
| ||
Principal Financial Officer
| ||
Date: | 5/13/2016 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Integrity Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Arthur P. Steinmetz |
Arthur P. Steinmetz |
Principal Executive Officer |
Date: 5/13/2016
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian S. Petersen, certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Integrity Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian S. Petersen |
Brian S. Petersen |
Principal Financial Officer |
Date: 5/13/2016