N-Q 1 d168206dnq.htm OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-3420

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)

Registrant’s 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 Securities—14.8%              

 

 

Auto Loan—12.7%

     

 

 

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     

 

 

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 Card—1.8%

     

 

 

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     
     

 

 

Equipment—0.2%

     

 

 

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: Other—0.1%

  

  

 

 

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 Obligations—45.7%

     

 

 

Government Agency—35.5%

     

 

 

FHLMC/FNMA/FHLB/Sponsored—24.3%

     

 

 

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     

 

 

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/Guaranteed—11.2%

                 

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-Agency—10.2%

                 

Commercial—6.8%

                 
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     
     

Residential—3.4%

                 

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 Obligations—0.9%              

 

 

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 Notes—41.6%              

 

 

Consumer Discretionary—6.8%

     

 

 

Auto Components—0.1%

     

 

 

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     
     

 

 

Automobiles—1.8%

     

 

 

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 Services—0.2%

     

 

 

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

     3,463,000           3,679,437     

 

 

Hotels, Restaurants & Leisure—0.5%

     

 

 

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     

 

 

McDonald’s 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 Durables—0.9%

     

 

 

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 & Products—0.2%

     

 

 

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

     3,308,000           3,277,993     

 

 

Media—2.0%

     

 

 

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 Retail—0.3%

     

 

 

Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/231

     3,335,000           3,549,691     

 

 

Kohl’s Corp., 5.55% Sr. Unsec. Nts., 7/17/45

     793,000           720,328     
     

 

 

 
        4,270,019     
     

 

 

Specialty Retail—0.6%

     

 

 

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 Goods—0.2%

     

 

 

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

     2,594,000           2,671,820     
     

 

 

Consumer Staples—4.2%

     

 

 

Beverages—1.4%

     

 

 

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 Retailing—0.7%

     

 

 

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 Products—1.4%

     

 

 

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     
     

 

 

Tobacco—0.7%

     

 

 

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     
     

 

 

Energy—2.7%

     

 

 

Energy Equipment & Services—1.0%

     

 

 

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 Fuels—1.7%

     

 

 

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     
     

 

 

Financials—11.8%

     

 

 

Capital Markets—2.3%

     

 

 

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 Banks—4.6%

     

 

 

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 Finance—0.8%

     

 

 

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 Services—1.0%

     

 

 

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     
     

 

 

Insurance—1.6%

     

 

 

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 & Development—0.2%

     

 

 

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

     3,678,000         3,748,338     

 

 

Health Care—3.2%

     

 

 

Biotechnology—0.5%

     

 

 

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 & Supplies—0.8%

     

 

 

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 & Services—1.1%

     

 

 

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 & Services—0.3%

     

 

 

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     
     

 

 

Pharmaceuticals—0.5%

     

 

 

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     
     

 

 

Industrials—3.3%

     

 

 

Aerospace & Defense—0.8%

     

 

 

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 Products—0.2%

     

 

 

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

     2,459,000         2,496,185     
     

 

 

Commercial Services & Supplies—0.3%

     

 

 

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 Equipment—0.2%

     

 

 

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

   $         2,370,000       $         2,390,738     
     

 

 

Industrial Conglomerates—0.1%

     

 

 

Roper Technologies, Inc., 3.85% Sr. Unsec. Nts., 12/15/25

     1,645,000         1,703,616     
     

 

 

Machinery—0.7%

     

 

 

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     
     

 

 

Marine—0.0%

     

 

 

AP Moeller-Maersk AS, 3.875% Sr. Unsec. Nts., 9/28/251

     363,000         349,725     
     

 

 

Professional Services—0.4%

     

 

 

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 & Rail—0.4%

     

 

 

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 & Distributors—0.2%

     

 

 

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

     3,197,000         3,264,936     
     

 

 

Information Technology—1.8%

     

 

 

Electronic Equipment, Instruments, & Components—0.2%

     

 

 

Flextronics International Ltd., 4.75% Sr. Unsec. Nts., 6/15/25

     3,191,000         3,143,135     

 

 

IT Services—0.6%

     

 

 

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 Equipment—0.1%

     

 

 

Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45

     878,000         986,845     
     

 

 

Software—0.5%

     

 

 

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 & Peripherals—0.4%

     

 

 

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     
     

 

 

Materials—2.0%

     

 

 

Chemicals—0.9%

     

 

 

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 Materials—0.5%

     

 

 

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 & Packaging—0.3%

     

 

 

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 & Mining—0.3%

     

 

 

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 Services—2.3%

     

 

 

Diversified Telecommunication Services—2.1%

     

 

 

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 Services—0.2%

     

 

 

Rogers Communications, Inc., 3.625% Sr. Unsec. Nts., 12/15/25

     2,673,000         2,789,537     

 

 

Utilities—3.5%

     

 

 

Electric Utilities—2.3%

     

 

 

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 Producers—0.2%

     

 

 

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-Utilities—1.0%

     

 

 

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 Note—0.1%

     

 

 

BAT International Finance plc, 0.69%, 4/5/1610 (Cost $999,923)

     1,000,000         999,923     
     Shares         

 

 

Investment Company—23.6%

     

 

 

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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.

 

 

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

 

 

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

Valuation Methods and Inputs

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

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

    Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from

 

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 Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

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

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

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

    Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

 

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

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

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based

 

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 Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

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

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

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

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

    The Fund classifies each of its investments in 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 contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

 

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 Fund’s 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 Fund’s investment in the Affiliated Funds.

    Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

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 Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis 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 Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

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

    At 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 Fund’s 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 instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

 

 

6. Use of Derivatives

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

    Derivatives may have little or no initial cash investment relative to their market value

 

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 Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

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

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

Futures Contracts

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

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

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

 

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 Fund’s securities.

Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

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

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

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

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or

 

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 registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 3/31/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.


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

Item 3. Exhibits.

Exhibits attached hereto.


SIGNATURES

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

 

Oppenheimer 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