0001193125-16-779321.txt : 20161129 0001193125-16-779321.hdr.sgml : 20161129 20161129134556 ACCESSION NUMBER: 0001193125-16-779321 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20160930 FILED AS OF DATE: 20161129 DATE AS OF CHANGE: 20161129 EFFECTIVENESS DATE: 20161129 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 162022192 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: 3RD FL CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 0000701265 S000008824 Oppenheimer Core Bond Fund C000024033 A C000024034 B C000024035 C C000024036 R C000024037 Y C000113139 I N-Q 1 d284235dnq.htm OPPENHEIMER INTEGRITY FUNDS Oppenheimer Integrity Funds

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-3420

Oppenheimer Integrity Funds

(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: 9/30/2016


Item 1. Schedule of Investments.


STATEMENT OF INVESTMENTS September 30, 2016 Unaudited

 

 

     Principal Amount        Value    

 

 
Asset-Backed Securities—9.9%              

 

 

American Credit Acceptance Receivables Trust:

     

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

   $             290,985         $             291,108     

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

     175,701           175,853     

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

     1,728,141           1,731,082     

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

     961,672           965,292     

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

     3,420,000           3,448,853     

Series 2015-3, Cl. B, 3.56%, 10/12/211

     3,100,000           3,163,766     

 

 

American Express Credit Account Master Trust:

     

Series 2014-2, Cl. A, 1.26%, 1/15/20

     635,000           636,334     

Series 2014-3, Cl. A, 1.49%, 4/15/20

     535,000           537,311     

 

 

AmeriCredit Automobile Receivables Trust:

     

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

     1,815,000           1,817,402     

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

     2,880,000           2,891,958     

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

     3,720,000           3,767,021     

Series 2013-3, Cl. E, 3.74%, 12/8/201

     1,695,000           1,727,205     

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

     815,000           830,852     

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

     2,900,000           2,956,496     

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

     3,450,000           3,504,707     

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

     3,105,000           3,161,565     

Series 2015-3, Cl. D, 3.34%, 8/8/21

     1,725,000           1,776,322     

 

 

Cabela’s Credit Card Master Note Trust, Series 2016-1, Cl. A1, 1.78%, 6/15/22

     3,630,000           3,640,163     

 

 

Capital Auto Receivables Asset Trust:

     

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

     1,265,000           1,269,731     

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

     705,000           717,029     

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

     785,000           802,650     

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

     3,345,000           3,420,451     

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

     1,460,000           1,488,374     

Series 2015-4, Cl. D, 3.62%, 5/20/21

     2,490,000           2,564,081     

Series 2016-2, Cl. D, 3.16%, 11/20/23

     705,000           717,311     

Series 2016-3, Cl. D, 2.65%, 1/20/24

     1,195,000           1,199,106     

 

 

Capital One Multi-Asset Execution Trust:

     

Series 2014-A2, Cl. A2, 1.26%, 1/15/20

     3,866,000           3,871,823     

Series 2014-A5, Cl. A5, 1.48%, 7/15/20

     5,220,000           5,243,548     

 

 

CarFinance Capital Auto Trust:

     

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

     1,666,155           1,676,728     

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

     36,395           36,396     

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

     872,889           874,754     

 

 

Carmax Auto Owner Trust, Series 2013-2, Cl. D, 2.06%, 11/15/19

     740,000           741,522     

 

 

CarMax Auto Owner Trust:

     

Series 2015-2, Cl. D, 3.04%, 11/15/21

     930,000           948,470     

Series 2015-3, Cl. D, 3.27%, 3/15/22

     1,715,000           1,763,515     

Series 2016-1, Cl. D, 3.11%, 8/15/22

     2,045,000           2,087,850     

Series 2016-3, Cl. D, 2.94%, 1/17/23

     1,330,000           1,347,637     

 

 

Chase Issuance Trust:

     

Series 2007-A3, Cl. A3, 5.23%, 4/15/19

     810,000           822,611     

Series 2014-A1, Cl. A1, 1.15%, 1/15/19

     4,965,000           4,968,225     

Series 2014-A6, Cl. A6, 1.26%, 7/15/19

     3,310,000           3,317,500     

 

1      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 
Asset-Backed Securities (Continued)              

 

 

CPS Auto Receivables Trust:

     

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

   $             406,702         $             408,901     

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

     306,139           306,203     

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

     580,440           580,174     

 

 

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

     148,659           148,868     

 

 

Credit Acceptance Auto Loan Trust:

     

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

     1,610,000           1,613,354     

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

     1,275,000           1,283,478     

 

 

Discover Card Execution Note Trust, Series 2014-A5, Cl. A, 1.39%, 4/15/20

     4,725,000           4,740,955     

 

 

Drive Auto Receivables Trust:

     

Series 2015-BA, Cl. C, 2.76%, 7/15/211

     2,730,000           2,753,491     

Series 2015-DA, Cl. C, 3.38%, 11/15/211

     2,380,000           2,424,670     

Series 2016-BA, Cl. C, 3.19%, 7/15/221

     1,765,000           1,797,374     

 

 

DT Auto Owner Trust:

     

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

     2,531,928           2,560,912     

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

     3,645,000           3,698,674     

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

     1,715,000           1,751,979     

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

     1,560,000           1,574,348     

Series 2016-1A, Cl. B, 2.79%, 5/15/201

     2,675,000           2,701,135     

Series 2016-4A, Cl. B, 2.02%, 8/17/201,2

     2,880,000           2,879,832     

 

 

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

     1,850,579           1,815,141     

 

 

Exeter Automobile Receivables Trust:

     

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

     863,366           863,970     

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

     1,590,000           1,604,676     

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

     830,000           839,171     

 

 

First Investors Auto Owner Trust:

     

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

     2,610,000           2,619,064     

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

     2,800,000           2,829,728     

 

 

Flagship Credit Auto Trust:

     

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

     177,070           177,144     

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

     686,171           685,351     

 

 

Ford Credit Floorplan Master Owner Trust A, Series 2016-3, Cl. A1, 1.55%, 7/15/21

     4,220,000           4,219,659     

 

 

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

     341,168           334,691     

 

 

GM Financial Automobile Leasing Trust, Series 2015-1, Cl. D, 3.01%, 3/20/20

     2,155,000           2,176,384     

 

 

GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/181

     160,270           160,140     

 

 
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Cl. D, 4.046%, 9/27/211,2,3      900,000           905,972     

 

 

Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.824%, 10/25/191,3

     995,000           995,178     

 

 

Santander Drive Auto Receivables Trust:

     

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

     3,315,000           3,406,792     

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

     2,915,000           2,984,771     

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

     4,355,000           4,422,327     

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

     2,140,000           2,208,989     

 

2      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 
Asset-Backed Securities (Continued)              

 

 

Santander Drive Auto Receivables Trust: (Continued)

     

Series 2014-2, Cl. D, 2.76%, 2/18/20

   $ 2,810,000         $ 2,857,015     

Series 2014-4, Cl. C, 2.60%, 11/16/20

     2,150,000           2,174,206     

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

     2,780,000           2,844,620     

Series 2015-5, Cl. D, 3.65%, 12/15/21

     1,665,000           1,721,272     

Series 2016-2, Cl. D, 3.39%, 4/15/22

     1,210,000           1,251,421     

 

 

SNAAC Auto Receivables Trust:

     

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

     106,128                       106,210     

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

     970,000           964,098     

 

 

TCF Auto Receivables Owner Trust:

     

Series 2014-1A, Cl. C, 3.12%, 4/15/211

     765,000           765,793     

Series 2015-1A, Cl. D, 3.53%, 3/15/221

     1,510,000           1,520,634     

 

 

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

     815,502           812,829     

 

 

United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, 6/17/191

     2,005,000           2,015,120     

 

 

Westlake Automobile Receivables Trust:

     

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

     1,140,000           1,141,132     

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

     1,335,000           1,334,948     

Series 2015-1A, Cl. C, 2.29%, 11/16/201

     2,185,000           2,194,818     

Series 2015-2A, Cl. C, 2.45%, 1/15/211

     1,990,000           2,002,361     

 

 

World Financial Network Credit Card Master Trust, Series 2016-B, Cl. A, 1.44%, 6/15/22

     2,430,000           2,430,638     
     

 

 

 

Total Asset-Backed Securities (Cost $166,123,024)

            167,513,213     
     

 

 

Mortgage-Backed Obligations—47.6%

     

 

 

Government Agency—35.8%

     

 

 

FHLMC/FNMA/FHLB/Sponsored—31.7%

     

 

 

Federal Home Loan Mortgage Corp. Gold Pool:

     

5.50%, 9/1/39

     2,128,434           2,392,688     

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

     319,761           367,155     

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

     374,087           421,414     

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

     3,001,984           3,550,486     

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

     9,123           9,982     

 

 

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

     32           32     

 

 

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

     

Series 183, Cl. IO, 41.144%, 4/1/274

     293,250           64,601     

Series 192, Cl. IO, 91.903%, 2/1/284

     38,210           8,567     

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

     74,710           20,403     

Series 243, Cl. 6, 0.00%, 12/15/324,5

                 253,460           43,080     

 

 
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22      4,684,867           4,748,646     

 

 
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.207%, 6/1/266      45,512           41,997     

 

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

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

     2,730           2,966     

Series 1590, Cl. IA, 1.574%, 10/15/233

     698,661           715,933     

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

     5,793           6,643     

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

     817,489           923,878     

 

3      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 
FHLMC/FNMA/FHLB/Sponsored (Continued)              

 

 

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

  

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

   $             374,763         $             429,627     

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

     5,085           5,830     

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

     374,968           432,023     

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

     133,803           153,967     

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

     185,673           215,680     

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

     340,849           391,204     

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

     106,321           120,500     

Series 2341, Cl. FP, 1.424%, 7/15/313

     171,590           175,991     

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

     3,963           3,978     

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

     622,207           719,870     

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

     12,657           12,879     

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

     694,824           829,572     

Series 2463, Cl. F, 1.524%, 6/15/323

     718,716           739,232     

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

     553,319           564,720     

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

     289,939           297,035     

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

     563,955           595,369     

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

     877,739           954,247     

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

     148,897           152,895     

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

     50,954           52,465     

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

     252,156           261,233     

Series 3025, Cl. SJ, 22.828%, 8/15/353

     134,649           207,403     

Series 3030, Cl. FL, 0.924%, 9/15/353

     360,826           359,703     

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

     21,388           21,797     

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

     1,464,489           1,477,762     

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

     21,891           22,201     

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

     491,531           516,221     

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

     16,884           16,992     

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

     981,318           1,024,905     

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

     31,799           33,008     

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

     1,050,298           1,057,798     

 

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

Series 2129, Cl. S, 58.952%, 2/15/294

     423,538           84,691     

Series 2130, Cl. SC, 73.73%, 3/15/294

     114,581           23,104     

Series 2134, Cl. SB, 76.758%, 3/15/294

     120,046           24,073     

Series 2422, Cl. SJ, 0.00%, 1/15/324,5

     420,083           88,756     

Series 2493, Cl. S, 0.00%, 9/15/294,5

     32,902           7,983     

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

     807,246           198,621     

Series 2796, Cl. SD, 88.721%, 7/15/264

     200,631           34,771     

Series 2920, Cl. S, 0.00%, 1/15/354,5

     832,922           150,927     

Series 2922, Cl. SE, 26.001%, 2/15/354

     666,510           116,182     

Series 2981, Cl. AS, 12.483%, 5/15/354

     1,824,288           350,248     

Series 2981, Cl. BS, 99.999%, 5/15/354

     1,678,213           343,531     

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

     363,560           69,410     

Series 3201, Cl. SG, 23.808%, 8/15/364

     1,815,912           372,087     

Series 3397, Cl. GS, 0.00%, 12/15/374,5

     314,576           61,243     

Series 3424, Cl. EI, 0.00%, 4/15/384,5

     175,564           20,670     

 

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

Series 3450, Cl. BI, 22.62%, 5/15/384

   $ 3,494,550         $             592,204     

Series 3606, Cl. SN, 27.008%, 12/15/394

     992,214           183,742     

 

 

Federal National Mortgage Assn.:

     

2.50%, 10/1/312

     106,785,000           110,618,413     

3.00%, 10/1/31-10/1/462

     158,590,000           165,512,227     

3.50%, 10/1/462

     91,130,000           96,177,748     

4.00%, 10/1/462

     62,825,000           67,480,429     

5.00%, 10/1/462

     25,740,000           28,592,518     

 

 

Federal National Mortgage Assn. Pool:

     

5.00%, 3/1/21

     63,136           65,183     

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

     1,408,197           1,604,004     

6.00%, 5/1/20

     25,546           26,076     

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

     2,301,246           2,670,863     

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

     1,410,921           1,675,310     

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

     1,957,809           2,339,383     

8.50%, 7/1/32

     10,625           11,614     

 

 

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

     

Series 222, Cl. 2, 99.999%, 6/25/234

     304,467           46,372     

Series 247, Cl. 2, 99.999%, 10/25/234

     35,187           5,513     

Series 252, Cl. 2, 99.999%, 11/25/234

     319,370           56,298     

Series 254, Cl. 2, 27.78%, 1/25/244

     560,249           124,026     

Series 301, Cl. 2, 4.869%, 4/25/294

     146,938           32,902     

Series 303, Cl. IO, 27.096%, 11/25/294

     32,708           8,354     

Series 319, Cl. 2, 0.00%, 2/25/324,5

     121,871           27,053     

Series 320, Cl. 2, 24.751%, 4/25/324

     2,269,213           622,120     

Series 321, Cl. 2, 0.00%, 4/25/324,5

     359,473           80,125     

Series 324, Cl. 2, 0.00%, 7/25/324,5

     170,174           37,889     

Series 331, Cl. 9, 0.00%, 2/25/334,5

     1,320,581           281,308     

Series 334, Cl. 14, 0.00%, 2/25/334,5

     1,100,984           221,182     

Series 334, Cl. 15, 0.00%, 2/25/334,5

     763,071           189,735     

Series 334, Cl. 17, 9.033%, 2/25/334

     42,007           8,499     

Series 339, Cl. 12, 0.00%, 6/25/334,5

     902,480           186,287     

Series 339, Cl. 7, 0.00%, 11/25/334,5

     928,353           182,343     

Series 343, Cl. 13, 99.999%, 9/25/334

     1,042,767           213,786     

Series 343, Cl. 18, 93.666%, 5/25/344

     629,262           137,573     

Series 345, Cl. 9, 0.00%, 1/25/344,5

     457,817           84,301     

Series 351, Cl. 10, 0.00%, 4/25/344,5

     376,701           74,658     

Series 351, Cl. 8, 0.00%, 4/25/344,5

     646,635           128,055     

Series 356, Cl. 10, 0.00%, 6/25/354,5

     460,646           83,790     

Series 356, Cl. 12, 0.00%, 2/25/354,5

     225,447           41,400     

Series 362, Cl. 13, 0.00%, 8/25/354,5

     592,447           118,878     

Series 364, Cl. 16, 0.00%, 9/25/354,5

     812,126           153,376     

Series 365, Cl. 16, 0.00%, 3/25/364,5

     546,743           105,094     

 

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

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

     109,303           118,250     

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

     100,856           110,865     

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

     35,022           39,270     

 

5      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 

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

  

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

   $ 189,345         $             212,439     

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

     266,020           305,777     

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

     377,386           443,554     

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

     1,854,692           2,128,180     

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

     385,716           428,482     

Series 2002-10, Cl. FB, 1.025%, 3/25/173

     1,381           1,383     

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

     3,508           3,517     

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

     5,002           5,071     

Series 2002-56, Cl. FN, 1.525%, 7/25/323

     223,893           227,899     

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

     1,228,809           1,262,480     

Series 2003-130, Cl. CS, 13.049%, 12/25/333

     947,928           1,062,748     

Series 2003-21, Cl. FK, 0.925%, 3/25/333

     60,806           60,906     

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

     28,152           28,807     

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

     26,309           26,409     

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

     68,813           71,373     

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

     1,608,778           1,770,999     

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

     4,560,075           4,954,256     

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

     2,480,000           2,952,470     

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

     372,411           396,202     

Series 2005-73, Cl. DF, 0.775%, 8/25/353

     693,481           696,434     

Series 2006-50, Cl. SK, 22.274%, 6/25/363

     447,360           690,027     

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

     252,188           258,185     

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

     823,952           836,694     

Series 2009-36, Cl. FA, 1.465%, 6/25/373

     507,074           517,560     

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

     366,865           373,272     

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

     307,107           312,139     

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

     175,368           178,735     

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

     231,041           243,306     

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

     1,341,840           1,362,346     

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

     1,331,515           1,454,701     

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

     18,145           18,365     

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

     340,468           349,031     

 

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

Series 2001-15, Cl. SA, 99.999%, 3/17/314

     102,370           10,081     

Series 2001-61, Cl. SE, 0.378%, 11/18/314

     192,614           38,336     

Series 2001-65, Cl. S, 5.565%, 11/25/314

     399,702           77,601     

Series 2001-81, Cl. S, 7.038%, 1/25/324

     58,882           16,486     

Series 2002-12, Cl. SB, 0.094%, 7/25/314

     94,059           21,955     

Series 2002-2, Cl. SW, 0.263%, 2/25/324

     111,024           24,503     

Series 2002-38, Cl. SO, 18.656%, 4/25/324

     61,446           12,354     

Series 2002-41, Cl. S, 30.361%, 7/25/324

     628,804           137,160     

Series 2002-47, Cl. NS, 6.73%, 4/25/324

     175,129           41,466     

Series 2002-5, Cl. SD, 99.999%, 2/25/324

     111,126           24,976     

Series 2002-51, Cl. S, 6.878%, 8/25/324

     160,802           30,883     

Series 2002-52, Cl. SD, 33.12%, 9/25/324

     244,877           54,871     

Series 2002-60, Cl. SM, 4.041%, 8/25/324

     570,945           95,053     

 

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

Series 2002-60, Cl. SY, 99.999%, 4/25/324

   $ 526,344         $ 17,043     

Series 2002-64, Cl. SD, 10.775%, 4/25/274

     234,823           55,633     

Series 2002-7, Cl. SK, 5.941%, 1/25/324

     334,853           62,533     

Series 2002-75, Cl. SA, 12.444%, 11/25/324

     321,803           69,633     

Series 2002-77, Cl. BS, 8.832%, 12/18/324

     643,363           124,424     

Series 2002-77, Cl. IS, 20.402%, 12/18/324

     104,686           22,530     

Series 2002-77, Cl. SH, 10.844%, 12/18/324

     84,561           18,696     

Series 2002-84, Cl. SA, 6.162%, 12/25/324

     85,379           16,522     

Series 2002-89, Cl. S, 15.153%, 1/25/334

     854,958           233,480     

Series 2002-9, Cl. MS, 6.965%, 3/25/324

     5,058           1,080     

Series 2002-90, Cl. SN, 3.443%, 8/25/324

     519,485           86,485     

Series 2002-90, Cl. SY, 5.451%, 9/25/324

     271,412           57,636     

Series 2003-14, Cl. OI, 29.017%, 3/25/334

     1,387,998           284,821     

Series 2003-26, Cl. IK, 26.292%, 4/25/334

     488,112           62,472     

Series 2003-33, Cl. SP, 10.83%, 5/25/334

     520,329           107,834     

Series 2003-4, Cl. S, 3.598%, 2/25/334

     156,213           32,089     

Series 2003-52, Cl. NS, 21.268%, 6/25/234

     2,106,623           214,842     

Series 2004-54, Cl. DS, 73.503%, 11/25/304

     51,900           9,477     

Series 2004-56, Cl. SE, 10.948%, 10/25/334

     690,362           159,365     

Series 2005-12, Cl. SC, 34.618%, 3/25/354

     311,674           53,585     

Series 2005-40, Cl. SA, 43.666%, 5/25/354

     462,251           94,810     

Series 2005-52, Cl. JH, 49.725%, 5/25/354

     969,132           178,767     

Series 2005-6, Cl. SE, 68.301%, 2/25/354

     850,046                       158,149     

Series 2005-93, Cl. SI, 7.146%, 10/25/354

     574,464           116,584     

Series 2006-53, Cl. US, 16.151%, 6/25/364

     46,466           6,859     

Series 2008-55, Cl. SA, 0.00%, 7/25/384,5

     472,132           57,475     

Series 2009-8, Cl. BS, 99.999%, 2/25/244

     248,138           7,929     

Series 2011-96, Cl. SA, 14.632%, 10/25/414

     1,088,999           223,931     

Series 2012-134, Cl. SA, 10.531%, 12/25/424

     3,333,716           762,505     

Series 2012-40, Cl. PI, 2.719%, 4/25/414

     2,592,330           310,665     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.334%, 9/25/236      97,420           91,799     
     

 

 

 
        536,099,016     

 

 

GNMA/Guaranteed—4.1%

     

 

 

Government National Mortgage Assn. I Pool:

     

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

     2,798           2,810     

10.50%, 12/15/17

     1,242           1,259     

 

 

Government National Mortgage Assn. II Pool:

     

1.875%, 7/20/25-7/20/273

     6,563           6,790     

3.50%, 10/1/462

     42,185,000           44,811,676     

4.00%, 10/1/462

     22,415,000           24,025,202     

11.00%, 10/20/19

     1,622           1,632     

 

 

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

     

Series 2002-15, Cl. SM, 99.999%, 2/16/324

     312,454           50,410     

Series 2002-41, Cl. GS, 99.999%, 6/16/324

     133,173           14,894     

Series 2002-76, Cl. SY, 28.627%, 12/16/264

     132,446           23,632     

 

7      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

GNMA/Guaranteed (Continued)

     

 

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

Series 2007-17, Cl. AI, 62.72%, 4/16/374

   $ 1,809,224         $             385,985     

Series 2011-52, Cl. HS, 35.118%, 4/16/414

     5,463,001           1,013,796     
     

 

 

 
        70,338,086     

 

 

Non-Agency—11.8%

     

 

 

Commercial—7.6%

     

 

 

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

     

Series 1997-D4, Cl. PS1, 0.00%, 4/14/294,5

     1,279,710           11,925     

 

 

Banc of America Funding Trust:

     

Series 2006-G, Cl. 2A4, 0.822%, 7/20/363

     4,165,465           3,951,536     

Series 2014-R7, Cl. 3A1, 2.894%, 3/26/363

     3,455,077           3,466,413     

 

 

BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.43%, 9/26/351,3

     805,506           807,460     

 

 
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/241,4,5      132,738           3,952     

 

 

Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.703%, 1/25/363

     1,657,492           1,560,761     

 

 
Citigroup Global Markets Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1, Cl. X, 0.00%, 5/18/324,5      699,811           17     

 

 

COMM Mortgage Trust:

     

Series 2013-CR6, Cl. AM, 3.147%, 3/10/461

     2,945,000           3,058,048     

Series 2013-CR7, Cl. D, 4.491%, 3/10/461,3

     3,015,000           2,842,616     

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

     6,135,175           6,681,883     

Series 2014-LC15, Cl. AM, 4.198%, 4/10/47

     1,030,000           1,136,640     

Series 2014-UBS6, Cl. AM, 4.048%, 12/10/47

     5,720,000           6,187,773     

Series 2015-CR23, Cl. AM, 3.801%, 5/10/48

     3,370,000           3,626,852     

 

 
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 27.253%, 12/10/454      15,462,418           1,098,354     

 

 

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

     1,216,275           916,760     

 

 

Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, 3.539%, 5/10/49

     1,805,000           1,920,302     

 

 

First Horizon Alternative Mortgage Securities Trust:

     

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

     570,124           522,512     

Series 2005-FA8, Cl. 1A6, 1.175%, 11/25/353

     1,071,381           728,241     

 

 

FREMF Mortgage Trust:

     

Series 2012-K501, Cl. C, 3.327%, 11/25/461,3

     385,000           384,796     

Series 2013-K25, Cl. C, 3.743%, 11/25/451,3

     605,000           602,911     

Series 2013-K26, Cl. C, 3.722%, 12/25/451,3

     1,165,000           1,147,189     

Series 2013-K27, Cl. C, 3.616%, 1/25/461,3

     650,000           638,283     

Series 2013-K28, Cl. C, 3.614%, 6/25/461,3

     2,580,000           2,524,524     

Series 2013-K502, Cl. C, 3.19%, 3/25/451,3

     1,620,000           1,626,452     

Series 2013-K712, Cl. C, 3.484%, 5/25/451,3

     335,000           340,538     

Series 2013-K713, Cl. C, 3.274%, 4/25/461,3

     1,075,000           1,072,891     

Series 2014-K715, Cl. C, 4.268%, 2/25/461,3

     230,000           232,266     

Series 2015-K44, Cl. B, 3.811%, 1/25/481,3

     2,030,000           2,030,829     

 

 

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

     3,178,331           3,006,496     

 

 

GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.202%, 7/25/353

     601,692           593,647     

 

 

JP Morgan Chase Commercial Mortgage Securities Trust:

     

Series 2013-C16, Cl. AS, 4.517%, 12/15/46

     3,490,000           3,919,159     

Series 2013-LC11, Cl. AS, 3.216%, 4/15/46

     425,000           442,805     

Series 2014-C20, Cl. AS, 4.043%, 7/15/47

     2,515,000           2,748,411     

 

8      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Commercial (Continued)

     

 

 

JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.947%, 7/25/353

   $ 1,576,979         $ 1,580,335     

 

 

JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 3.08%, 7/26/361,3

     2,449,575           2,215,427     

 

 

JPMBB Commercial Mortgage Securities Trust:

     

Series 2014-C19, Cl. AS, 4.243%, 4/15/473

     1,655,000           1,835,425     

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

     6,036,000           6,607,724     

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

     2,070,000           2,218,946     

 

 
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/304,5      190,255           347     

 

 

Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/241,3

     30,999           25,409     

 

 

Morgan Stanley Bank of America Merrill Lynch Trust:

     

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

     5,035,000           5,449,793     

Series 2016-C30, Cl. AS, 3.175%, 9/15/49

     4,780,000           4,956,755     

 

 

Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.237%, 11/26/361,3

     2,201,685           1,637,965     

 

 

Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.598%, 6/26/461,3

     1,702,318           1,702,637     

 

 

RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.599%, 7/26/451,3

     432,959           432,969     

 

 

Structured Agency Credit Risk Debt Nts.:

     

Series 2013-DN1, Cl. M1, 3.925%, 7/25/233

     2,958,195           3,014,778     

Series 2014-HQ2, Cl. M1, 1.975%, 9/25/243

     742,451                       746,277     

Series 2015-DNA2, Cl. M2, 3.125%, 12/25/273

     2,545,000           2,599,258     

Series 2015-DNA3, Cl. M1, 1.875%, 4/25/283

     603,979           605,329     

Series 2015-DNA3, Cl. M2, 3.375%, 4/25/283

     2,440,000           2,516,907     

Series 2015-HQA1, Cl. M1, 1.775%, 3/25/283

     995,433           996,847     

Series 2015-HQA2, Cl. M2, 3.325%, 5/25/283

     1,850,000           1,912,216     

Series 2016-DNA2, Cl. M1, 1.775%, 10/25/283

     3,860,887           3,871,580     

Series 2016-DNA2, Cl. M2, 2.725%, 10/25/283

     2,630,000           2,673,996     

Series 2016-DNA3, Cl. M1, 1.625%, 12/25/283

     3,420,453           3,426,450     

Series 2016-DNA4, Cl. M1, 1.324%, 3/25/293

     2,175,000           2,179,499     

Series 2016-HQA2, Cl. M1, 1.725%, 11/25/283

     2,276,626           2,283,014     

Series 2016-HQA3, Cl. M1, 1.324%, 3/25/293

     1,290,000           1,292,035     

 

 

Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Cl. AS, 4.013%, 6/15/48

     3,975,000           4,369,040     

 

 

WF-RBS Commercial Mortgage Trust:

     

Series 2012-C7, Cl. E, 4.991%, 6/15/451,3

     840,000           832,141     

Series 2013-C14, Cl. AS, 3.488%, 6/15/46

     2,330,000           2,482,501     

Series 2014-C20, Cl. AS, 4.176%, 5/15/47

     1,693,000           1,877,104     

Series 2014-LC14, Cl. AS, 4.351%, 3/15/473

     1,797,838           2,006,085     

 

 
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- Through Certificates, Series 2011-C3, Cl. XA, 34.879%, 3/15/441,4      18,547,127           860,210     
     

 

 

 
        129,042,241     

 

 

Residential—4.2%

     

 

 

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

     998,588           881,113     

 

 

Banc of America Funding Trust:

     

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

     705,204           631,234     

Series 2007-C, Cl. 1A4, 2.99%, 5/20/363

     361,444           326,793     

 

 

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

     857,889           782,699     

 

9      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Residential (Continued)

     

 

 

Bear Stearns ARM Trust:

     

Series 2005-2, Cl. A1, 2.92%, 3/25/353

   $ 2,673,605         $         2,690,397     

Series 2005-9, Cl. A1, 2.83%, 10/25/353

     1,052,882           1,019,679     

Series 2006-1, Cl. A1, 2.58%, 2/25/363

     3,048,625           2,988,711     

 

 

Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.635%, 7/25/363

     155,747           155,142     

 

 

Chase Funding Trust, Series 2003-2, Cl. 2A2, 1.084%, 2/25/333

     362,314           318,154     

 

 

CHL Mortgage Pass-Through Trust:

     

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

     664,942           621,297     

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

     500,280           458,612     

 

 

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.87%, 10/25/353

     4,467,664           4,438,804     

 

 

Connecticut Avenue Securities:

     

Series 2014-C01, Cl. M1, 2.125%, 1/25/243

     359,778                       362,624     

Series 2014-C03, Cl. 1M1, 1.725%, 7/25/243

     1,604,495           1,608,447     

Series 2014-C03, Cl. 2M1, 1.725%, 7/25/243

     2,478,131           2,485,506     

Series 2014-C04, Cl. 2M1, 2.625%, 11/25/243

     442,395           443,759     

Series 2015-C03, Cl. 1M1, 2.025%, 7/25/253

     1,136,977           1,139,835     

Series 2016-C02, Cl. 1M1, 2.675%, 9/25/283

     1,095,365           1,111,297     

Series 2016-C03, Cl. 1M1, 2.525%, 10/25/283

     5,671,407           5,752,742     

Series 2016-C03, Cl. 2M1, 2.725%, 10/25/283

     2,661,571           2,699,416     

Series 2016-C05, Cl. 2M1, 1.875%, 1/25/293

     6,240,746           6,268,464     

 

 

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

     1,851,217           1,735,845     

 

 

HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 0.835%, 7/25/353

     655,004           634,131     

 

 

Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.852%, 12/25/343

     391,774           391,711     

 

 

RALI Trust:

     

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

     163,234           134,035     

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

     837,799           706,397     

 

 

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

     407,262           381,974     

 

 

WaMu Mortgage Pass-Through Certificates Trust:

     

Series 2003-AR10, Cl. A7, 2.669%, 10/25/333

     1,092,649           1,115,695     

Series 2005-AR14, Cl. 1A4, 2.591%, 12/25/353

     1,439,668           1,395,255     

Series 2005-AR16, Cl. 1A1, 2.599%, 12/25/353

     1,245,702           1,174,076     

 

 

Wells Fargo Mortgage-Backed Securities Trust:

     

Series 2005-AR10, Cl. 1A1, 2.977%, 6/25/353

     3,003,982           3,126,695     

Series 2005-AR13, Cl. 1A5, 3.058%, 5/25/353

     1,584,858           1,589,909     

Series 2005-AR15, Cl. 1A2, 2.993%, 9/25/353

     2,226,899           2,169,162     

Series 2005-AR15, Cl. 1A6, 2.993%, 9/25/353

     188,334           179,063     

Series 2005-AR4, Cl. 2A2, 2.995%, 4/25/353

     5,387,814           5,394,728     

Series 2006-AR10, Cl. 5A5, 3.08%, 7/25/363

     3,357,234           3,306,609     

Series 2006-AR14, Cl. 1A2, 3.106%, 10/25/363

     689,242           644,166     

Series 2006-AR2, Cl. 2A3, 2.894%, 3/25/363

     1,782,448           1,753,116     

Series 2006-AR7, Cl. 2A4, 3.088%, 5/25/363

     103,593           98,859     

Series 2006-AR8, Cl. 2A1, 3.001%, 4/25/363

     4,755,535           4,660,372     

Series 2006-AR8, Cl. 2A4, 3.001%, 4/25/363

     894,503           876,314     

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

     671,395           697,048     

 

10      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Residential (Continued)

     

 

 

Wells Fargo Mortgage-Backed Securities Trust: (Continued)

     

Series 2007-AR3, Cl. A4, 5.895%, 4/25/373

   $ 368,026         $             343,778     

Series 2007-AR8, Cl. A1, 3.019%, 11/25/373

     1,068,641           956,384     
     

 

 

 
        70,650,047     
     

 

 

 

Total Mortgage-Backed Obligations (Cost $797,591,020)

        806,129,390     

 

 

U.S. Government Obligations—1.2%

     

 

 

Federal Home Loan Bank Nts., 0.875%, 8/5/19

     2,020,000           2,012,744     

 

 

Federal National Mortgage Assn. Nts.:

     

0.875%, 8/2/19

     2,420,000           2,410,555     

1.00%, 8/28/19

     1,694,000           1,693,100     

1.875%, 9/24/26

     5,986,000           5,949,653     

 

 

United States Treasury Nts.:

     

0.75%, 2/28/18

     168,000           168,066     

1.50%, 5/31/197

     7,480,000           7,605,350     
     

 

 

 

Total U.S. Government Obligations (Cost $19,743,352)

        19,839,468     

 

 

Corporate Bonds and Notes—46.3%

     

 

 

Consumer Discretionary—8.4%

     

 

 

Auto Components—0.1%

     

 

 

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

     1,079,000           1,141,599     

 

 

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

     587,000           588,001     
     

 

 

 
        1,729,600     

 

 

Automobiles—2.4%

     

 

 

Daimler Finance North America LLC:

     

1.50% Sr. Unsec. Nts., 7/5/191

     3,622,000           3,603,387     

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

     1,987,000           3,238,315     

 

 

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

     8,999,000           9,295,130     

 

 

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

     3,566,000           4,220,272     

 

 

General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17

     3,292,000           3,335,576     

 

 

Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45

     1,017,000           1,114,211     

 

 

Hyundai Capital America, 2.40% Sr. Unsec. Nts., 10/30/181

     3,345,000           3,392,897     

 

 

Nissan Motor Acceptance Corp.:

     

1.55% Sr. Unsec. Nts., 9/13/191

     1,010,000           1,008,548     

2.00% Sr. Unsec. Nts., 3/8/191

     2,724,000           2,749,725     

 

 

Volkswagen Group of America Finance LLC, 1.60% Sr. Unsec. Nts., 11/20/171

     4,039,000           4,031,233     

 

 

ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/251

     3,654,000           3,850,403     
     

 

 

 
        39,839,697     

 

 

Diversified Consumer Services—0.2%

     

 

 

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

     3,463,000           3,688,095     

 

 

Hotels, Restaurants & Leisure—0.4%

     

 

 

Marriott International, Inc.:

     

3.25% Sr. Unsec. Nts., 9/15/22

     1,755,000           1,841,788     

6.375% Sr. Unsec. Nts., 6/15/17

     3,038,000           3,139,825     

 

11      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Hotels, Restaurants & Leisure (Continued)

     

 

 

McDonald’s Corp., 2.75% Sr. Unsec. Nts., 12/9/20

   $ 1,606,000         $ 1,666,079     
     

 

 

 
        6,647,692     

 

 

Household Durables—1.2%

     

 

 

Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25

     3,903,000           4,000,575     

 

 

Newell Brands, Inc.:

     

2.15% Sr. Unsec. Nts., 10/15/18

     2,032,000           2,061,832     

5.00% Sr. Unsec. Nts., 11/15/231

     3,300,000           3,515,698     

5.50% Sr. Unsec. Nts., 4/1/46

     1,137,000           1,385,930     

 

 

PulteGroup, Inc., 5% Sr. Unsec. Nts., 1/15/27

     4,119,000           4,157,719     

 

 

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

     3,721,000           3,832,630     

 

 

Whirlpool Corp.:

     

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

     707,000                       707,488     

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

     765,000           767,519     
     

 

 

 
        20,429,391     

 

 

Leisure Equipment & Products—0.2%

     

 

 

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

     3,308,000           3,319,320     

 

 

Media—2.2%

     

 

 

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

     1,397,000           1,782,129     

 

 

Charter Communications Operating LLC/Charter Communications Operating Capital:

     

4.464% Sr. Sec. Nts., 7/23/221

     1,762,000           1,905,062     

6.484% Sr. Sec. Nts., 10/23/451

     2,285,000           2,779,314     

 

 

Comcast Cable Communications Holdings, Inc., 9.455% Sr.

     

Unsec. Nts., 11/15/22

     1,765,000           2,484,566     

 

 

Comcast Corp., 2.35% Sr. Unsec. Nts., 1/15/27

     2,524,000           2,488,513     

 

 

Historic TW, Inc., 9.15% Debs., 2/1/23

     921,000           1,249,645     

 

 

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

     1,240,000           1,334,455     

 

 

Omnicom Group, Inc., 3.65% Sr. Unsec. Nts., 11/1/24

     2,014,000           2,140,646     

 

 

Scripps Networks Interactive, Inc., 2.70% Sr. Unsec. Nts., 12/15/16

     3,400,000           3,408,174     

 

 

Sky plc:

     

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

     2,088,000           2,209,593     

6.10% Sr. Unsec. Nts., 2/15/181

     1,253,000           1,322,733     

 

 

Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17

     3,310,000           3,318,954     

 

 

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

     1,879,000           1,803,926     

 

 

Time Warner, Inc., 2.95% Sr. Unsec. Nts., 7/15/26

     1,847,000           1,874,042     

 

 

Viacom, Inc.:

     

2.25% Sr. Unsec. Nts., 2/4/22

     834,000           831,998     

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

     1,206,000           1,208,994     

3.45% Sr. Unsec. Nts., 10/4/26

     1,008,000           1,009,250     

4.375% Sr. Unsec. Nts., 3/15/43

     1,289,000           1,192,683     

 

 

Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/261

     2,521,000           2,571,420     
     

 

 

 
        36,916,097     

 

12      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Multiline Retail—0.2%

     

 

 

Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23

   $ 3,674,000         $ 3,972,512     

 

 

Specialty Retail—0.9%

     

 

 

AutoZone, Inc.:

     

1.30% Sr. Unsec. Nts., 1/13/17

     637,000                       637,626     

1.625% Sr. Unsec. Nts., 4/21/19

     689,000           691,677     

 

 

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

     2,155,000           2,392,050     

 

 

L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22

     1,377,000           1,540,519     

 

 

Lowe’s Cos, Inc., 3.70% Sr. Unsec. Nts., 4/15/46

     1,767,000           1,822,429     

 

 

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

     2,923,000           3,112,612     

 

 

Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25

     3,785,000           4,092,531     

 

 

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

     1,900,000           1,833,147     
     

 

 

 
        16,122,591     

 

 

Textiles, Apparel & Luxury Goods—0.6%

     

 

 

Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/261

     2,747,000           2,822,542     

 

 

Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25

     3,466,000           3,630,635     

 

 

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

     3,647,000           3,820,233     
     

 

 

 
        10,273,410     

 

 

Consumer Staples—4.9%

     

 

 

Beverages—1.7%

     

 

 

Anheuser-Busch InBev Finance, Inc.:

     

1.90% Sr. Unsec. Nts., 2/1/19

     4,162,000           4,205,630     

3.65% Sr. Unsec. Nts., 2/1/26

     2,382,000           2,555,791     

4.90% Sr. Unsec. Nts., 2/1/46

     914,000           1,100,759     

 

 

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

     2,213,000           3,590,752     

 

 

Beam Suntory, Inc., 1.875% Sr. Unsec. Nts., 5/15/17

     1,607,000           1,614,490     

 

 

Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24

     3,725,000           4,050,937     

 

 

Molson Coors Brewing Co.:

     

1.45% Sr. Unsec. Nts., 7/15/19

     1,465,000           1,461,638     

2.10% Sr. Unsec. Nts., 7/15/21

     3,528,000           3,564,695     

4.20% Sr. Unsec. Nts., 7/15/46

     934,000           979,904     

 

 

Pernod Ricard SA:

     

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

     2,801,000           2,812,873     

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

     2,782,000           3,047,075     
     

 

 

 
        28,984,544     

 

 

Food & Staples Retailing—1.2%

     

 

 

CVS Health Corp., 2.875% Sr. Unsec. Nts., 6/1/26

     3,678,000           3,742,549     

 

 

Koninklijke Ahold Delhaize NV, 6.50% Sr. Unsec. Nts., 6/15/17

     938,000           970,041     

 

 

Kroger Co. (The):

     

2.00% Sr. Unsec. Nts., 1/15/19

     309,000           313,096     

6.40% Sr. Unsec. Nts., 8/15/17

     2,976,000           3,112,104     

6.80% Sr. Unsec. Nts., 12/15/18

     346,000           386,679     

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

     974,000           1,361,325     

 

 

Walgreens Boots Alliance, Inc.:

     

1.75% Sr. Unsec. Nts., 5/30/18

     2,713,000           2,728,874     

3.10% Sr. Unsec. Nts., 6/1/23

     4,085,000           4,220,969     

 

13      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Food & Staples Retailing (Continued)

     

 

 

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

   $ 2,149,000         $ 2,537,410     
     

 

 

 
        19,373,047     

 

 

Food Products—1.4%

     

 

 

Bunge Ltd. Finance Corp.:

     

3.20% Sr. Unsec. Nts., 6/15/17

     2,840,000           2,877,141     

3.25% Sr. Unsec. Nts., 8/15/26

     2,513,000           2,528,709     

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

     2,392,000           2,806,103     

 

 

ConAgra Foods, Inc., 1.90% Sr. Unsec. Nts., 1/25/18

     1,602,000           1,611,870     

 

 

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

     3,361,000           3,369,076     

 

 

JM Smucker Co. (The), 1.75% Sr. Unsec. Nts., 3/15/18

     2,582,000           2,598,499     

 

 

Kraft Heinz Foods Co.:

     

2.80% Sr. Unsec. Nts., 7/2/20

     3,670,000           3,806,840     

4.375% Sr. Unsec. Nts., 6/1/46

     2,231,000           2,376,524     

 

 

TreeHouse Foods, Inc., 6% Sr. Unsec. Nts., 2/15/241

     1,955,000           2,113,844     
     

 

 

 
        24,088,606     

 

 

Tobacco—0.6%

     

 

 

Altria Group, Inc., 3.875% Sr. Unsec. Nts., 9/16/46

     2,547,000           2,663,123     

 

 

Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/181

     3,951,000           3,979,759     

 

 

Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45

     2,809,000           3,660,349     
     

 

 

 
        10,303,231     

 

 

Energy—3.5%

     

 

 

Energy Equipment & Services—0.7%

     

 

 

Halliburton Co., 5% Sr. Unsec. Nts., 11/15/45

     893,000                       980,939     

 

 

Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25

     1,313,000           1,388,691     

 

 

Schlumberger Holdings Corp.:

     

1.90% Sr. Unsec. Nts., 12/21/171

     3,515,000           3,537,812     

4.00% Sr. Unsec. Nts., 12/21/251

     2,365,000           2,577,505     

 

 

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

     3,325,000           3,331,876     
     

 

 

 
        11,816,823     

 

 

Oil, Gas & Consumable Fuels—2.8%

     

 

 

Anadarko Petroleum Corp.:

     

4.50% Sr. Unsec. Nts., 7/15/44

     707,000           652,675     

6.20% Sr. Unsec. Nts., 3/15/40

     814,000           935,908     

 

 

Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43

     1,204,000           1,242,700     

 

 

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

     2,119,000           2,221,475     

 

 

BP Capital Markets plc, 1.676% Sr. Unsec. Nts., 5/3/19

     3,984,000           4,000,657     

 

 

Chevron Corp., 1.561% Sr. Unsec. Nts., 5/16/19

     3,896,000           3,918,453     

 

 

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

     2,927,000           2,930,249     

 

 

Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/25

     1,996,000           2,172,987     

 

 

ConocoPhillips Co.:

     

4.95% Sr. Unsec. Nts., 3/15/26

     461,000           520,701     

5.95% Sr. Unsec. Nts., 3/15/46

     973,000           1,238,117     

 

 

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

     1,153,000           1,081,113     

 

 

EnLink Midstream Partners LP, 4.85% Sr. Unsec. Nts., 7/15/26

     994,000           1,002,722     

 

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         $ 1,031,354     

4.90% Sr. Unsec. Nts., 5/15/46

     399,000                       422,040     

 

 

Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45

     3,287,000           3,391,731     

 

 

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

     1,022,000           1,015,090     

 

 

ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25

     1,781,000           1,920,128     

 

 

Origin Energy Finance Ltd., 3.50% Sr. Unsec. Nts., 10/9/181

     1,546,000           1,575,029     

 

 

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

     3,480,000           3,507,955     

 

 

Regency Energy Partners LP/Regency Energy Finance Corp., 5% Sr. Unsec. Nts., 10/1/22

     2,820,000           2,980,314     

 

 

Shell International Finance BV:

     

1.375% Sr. Unsec. Nts., 5/10/19

     2,912,000           2,904,877     

4.00% Sr. Unsec. Nts., 5/10/46

     1,430,000           1,470,669     

 

 

TransCanada PipeLines Ltd., 1.625% Sr. Unsec. Nts., 11/9/17

     4,122,000           4,133,500     

 

 

Western Gas Partners LP, 4.65% Sr. Unsec. Nts., 7/1/26

     712,000           738,698     
     

 

 

 
        47,009,142     

 

 

Financials—10.7%

     

 

 

Capital Markets—2.4%

     

 

 

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

     2,967,000           3,061,947     

 

 

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

     3,678,000           3,778,671     

 

 

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

     2,169,000           2,267,245     

 

 

Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/261

     1,435,000           1,510,553     

 

 

E*TRADE Financial Corp., 5.875% Jr. Sub. Perpetual Bonds3,8

     4,177,000           4,333,637     

 

 

Goldman Sachs Group, Inc. (The):

     

3.75% Sr. Unsec. Nts., 2/25/26

     2,271,000           2,390,670     

5.15% Sub. Nts., 5/22/45

     2,776,000           3,046,296     

 

 

Morgan Stanley:

     

3.875% Sr. Unsec. Nts., 1/27/26

     5,713,000           6,088,841     

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

     3,739,000           4,181,765     

 

 

Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26

     2,338,000           2,391,578     

 

 

S&P Global, Inc., 2.50% Sr. Unsec. Nts., 8/15/18

     3,908,000           3,971,353     

 

 

UBS Group Funding Jersey Ltd., 4.125% Sr. Unsec. Nts., 4/15/261

     2,277,000           2,397,139     
     

 

 

 
        39,419,695     

 

 

Commercial Banks—4.7%

     

 

 

Bank of America Corp.:

     

3.50% Sr. Unsec. Nts., 4/19/26

     3,658,000           3,811,585     

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

     2,782,000           4,053,761     

 

 

BB&T Corp., 2.05% Sr. Unsec. Nts., 5/10/21

     3,974,000           4,018,374     

 

 

BPCE SA, 2.65% Sr. Unsec. Nts., 2/3/21

     3,375,000           3,485,454     

 

 

Citigroup, Inc.:

     

4.30% Sub. Nts., 11/20/26

     2,335,000           2,455,526     

4.65% Sr. Unsec. Nts., 7/30/45

     2,920,000           3,307,539     

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

     1,507,000           1,994,427     

 

15      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Commercial Banks (Continued)

     

 

 

Citizens Bank NA (Providence RI), 2.55% Sr. Unsec. Nts., 5/13/21

   $ 3,113,000         $ 3,172,007     

 

 

Danske Bank AS, 2.80% Sr. Unsec. Nts., 3/10/211

     2,225,000           2,306,090     

 

 

Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26

     2,246,000           2,399,853     

 

 

First Republic Bank, 4.375% Sub. Nts., 8/1/46

     1,716,000           1,716,141     

 

 

FirstMerit Bank NA (Akron OH), 4.27% Sub. Nts., 11/25/26

     2,998,000           3,135,024     

 

 

HSBC Holdings plc, 2.65% Sr. Unsec. Nts., 1/5/222

     3,504,000           3,498,558     

 

 

Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21

     2,425,000           2,516,602     

 

 

ING Bank NV, 2.75% Sr. Unsec. Nts., 3/22/211

     2,986,000           3,085,517     

 

 

JPMorgan Chase & Co.:

     

2.295% Sr. Unsec. Nts., 8/15/21

     916,000                       918,555     

2.70% Sr. Unsec. Nts., 5/18/23

     1,767,000           1,787,373     

6.75% Jr. Sub. Perpetual Bonds, Series S3,8

     3,002,000           3,350,982     

 

 

KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26

     3,357,000           3,440,042     

 

 

Lloyds Banking Group plc:

     

6.413% Jr. Sub. Perpetual Bonds1,3,8

     214,000           236,470     

6.657% Jr. Sub. Perpetual Bonds1,3,8

     2,718,000           3,041,782     

 

 

Regions Bank (Birmingham AL), 2.25% Sr. Unsec. Nts., 9/14/18

     2,706,000           2,728,803     

 

 

Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds3,8

     2,417,000           2,356,575     

 

 

Skandinaviska Enskilda Banken AB, 2.625% Sr. Unsec. Nts., 3/15/21

     2,226,000           2,288,495     

 

 

Societe Generale SA, 4.25% Sub. Nts., 8/19/261

     3,348,000           3,338,837     

 

 

SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26

     1,673,000           1,711,208     

 

 

SunTrust Banks, Inc., 3.50% Sr. Unsec. Nts., 1/20/17

     1,953,000           1,963,003     

 

 

Swedbank AB, 2.65% Sr. Unsec. Nts., 3/10/211

     2,356,000           2,431,870     

 

 

US Bancorp, 3.10% Sub. Nts., 4/27/26

     2,315,000           2,395,847     

 

 

Wells Fargo & Co., 5.90% Jr. Sub. Perpetual Bonds, Series S3,8

     2,900,000           3,008,750     
     

 

 

 
        79,955,050     

 

 

Consumer Finance—0.7%

     

 

 

Ally Financial, Inc., 4.25% Sr. Unsec. Nts., 4/15/21

     3,806,000           3,886,877     

 

 

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

     2,923,000           2,979,481     

 

 

Discover Financial Services:

     

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

     1,743,000           1,767,911     

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

     2,281,000           2,340,126     

 

 

Synchrony Financial, 4.50% Sr. Unsec. Nts., 7/23/25

     894,000           946,939     
     

 

 

 
        11,921,334     

 

 

Diversified Financial Services—0.6%

     

 

 

Berkshire Hathaway Energy Co., 2% Sr. Unsec. Nts., 11/15/18

     1,134,000           1,148,527     

 

 

Berkshire Hathaway, Inc., 3.125% Sr. Unsec. Nts., 3/15/26

     1,686,000           1,776,887     

 

 

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

     1,973,000           1,990,526     

 

 

Suntory Holdings Ltd., 1.65% Sr. Unsec. Nts., 9/29/171

     1,717,000           1,719,941     

 

 

Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/533

     3,667,000           3,671,584     
     

 

 

 
        10,307,465     

 

16      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Equity Real Estate Investment Trusts (REITs)—0.9%

     

 

 

American Tower Corp.:

     

2.80% Sr. Unsec. Nts., 6/1/20

   $ 462,000         $ 474,338     

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

     1,324,000           1,465,174     

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

     1,523,000           1,778,599     

 

 

Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18

     3,138,000           3,270,628     

 

 

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

     1,750,000           1,791,314     

 

 

Highwoods Realty LP, 5.85% Sr. Unsec. Nts., 3/15/17

     1,606,000           1,635,043     

 

 

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

     1,056,000           1,055,683     

 

 

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

     2,869,000           2,874,815     

 

 

Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18

     681,000                       687,208     
     

 

 

 
        15,032,802     

 

 

Insurance—1.3%

     

 

 

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

     2,591,000           2,811,144     

 

 

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

     3,017,000           3,264,554     

 

 

Liberty Mutual Group, Inc., 4.85% Sr. Unsec. Nts., 8/1/441

     1,869,000           1,959,067     

 

 

Manulife Financial Corp., 4.15% Sr. Unsec. Nts., 3/4/26

     2,226,000           2,437,406     

 

 

MetLife, Inc., 5.25% Jr. Sub. Perpetual Bonds3,8

     2,353,000           2,370,648     

 

 

Prudential Financial, Inc., 5.375% Jr. Sub. Nts., 5/15/453

     620,000           647,900     

 

 

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

     3,870,000           4,089,061     

 

 

Travelers Cos., Inc. (The), 3.75% Sr. Unsec. Nts., 5/15/46

     3,117,000           3,311,622     

 

 

XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds3,8

     1,920,000           1,444,531     
     

 

 

 
        22,335,933     

 

 

Real Estate Investment Trusts (REITs)—0.1%

     

 

 

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

     1,856,000           1,871,158     

 

 

Health Care—4.1%

     

 

 

Biotechnology—1.1%

     

 

 

AbbVie, Inc.:

     

3.60% Sr. Unsec. Nts., 5/14/25

     1,998,000           2,093,378     

4.70% Sr. Unsec. Nts., 5/14/45

     663,000           718,541     

 

 

Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45

     980,000           1,160,152     

 

 

Celgene Corp.:

     

2.125% Sr. Unsec. Nts., 8/15/18

     4,024,000           4,068,695     

3.875% Sr. Unsec. Nts., 8/15/25

     1,935,000           2,075,934     

5.00% Sr. Unsec. Nts., 8/15/45

     463,000           524,658     

 

 

Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46

     1,497,000           1,675,362     

 

 

Shire Acquisitions Investments Ireland DAC:

     

1.90% Sr. Unsec. Nts., 9/23/19

     4,193,000           4,199,872     

3.20% Sr. Unsec. Nts., 9/23/26

     1,678,000           1,685,155     
     

 

 

 
        18,201,747     

 

 

Health Care Equipment & Supplies—0.6%

     

 

 

Baxter International, Inc., 2.60% Sr. Unsec. Nts., 8/15/26

     1,951,000           1,933,937     

 

 

Becton Dickinson & Co.:

     

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

     2,824,000           2,829,078     

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

     1,318,000           1,431,544     

 

 

Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25

     2,990,000           3,189,271     

 

17      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Health Care Equipment & Supplies (Continued)

     

 

 

Stryker Corp., 3.50% Sr. Unsec. Nts., 3/15/26

   $ 1,347,000         $ 1,430,626     
     

 

 

 
        10,814,456     

 

 

Health Care Providers & Services—1.1%

     

 

 

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

     1,934,000           2,067,813     

 

 

Express Scripts Holding Co., 4.50% Sr. Unsec. Nts., 2/25/26

     2,774,000           3,050,160     

 

 

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

     3,745,000           4,259,937     

 

 

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

     4,850,000           5,106,352     

 

 

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

     1,597,000           1,889,462     

 

 

Quest Diagnostics, Inc., 3.45% Sr. Unsec. Nts., 6/1/26

     1,622,000           1,694,581     
     

 

 

 
        18,068,305     

 

 

Life Sciences Tools & Services—0.4%

     

 

 

Thermo Fisher Scientific, Inc.:

     

1.30% Sr. Unsec. Nts., 2/1/17

     1,055,000           1,057,235     

2.15% Sr. Unsec. Nts., 12/14/18

     1,333,000           1,348,557     

3.00% Sr. Unsec. Nts., 4/15/23

     1,826,000           1,873,328     

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

     1,299,000           1,414,301     

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

     1,268,000           1,520,162     
     

 

 

 
        7,213,583     

 

 

Pharmaceuticals—0.9%

     

 

 

Actavis Funding SCS:

     

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

     1,870,000           1,868,749     

2.35% Sr. Unsec. Nts., 3/12/18

     1,567,000           1,583,606     

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

     2,651,000           2,812,186     

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

     1,067,000           1,174,243     

 

 

Perrigo Finance Unlimited Co., 4.375% Sr. Unsec. Nts., 3/15/26

     1,011,000           1,057,686     

 

 

Teva Pharmaceutical Finance Netherlands III BV:

     

1.70% Sr. Unsec. Nts., 7/19/19

     3,718,000           3,711,832     

2.80% Sr. Unsec. Nts., 7/21/23

     1,669,000           1,676,412     

4.10% Sr. Unsec. Nts., 10/1/46

     1,002,000           1,004,190     
     

 

 

 
        14,888,904     

 

 

Industrials—3.6%

     

 

 

Aerospace & Defense—0.6%

     

 

 

BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251

     2,818,000           3,004,042     

 

 

Lockheed Martin Corp., 3.55% Sr. Unsec. Nts., 1/15/26

     1,793,000           1,942,429     

 

 

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

     1,990,000           2,366,458     

 

 

Textron, Inc.:

     

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

     902,000                       952,270     

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

     1,672,000           1,800,540     

 

 

United Technologies Corp., 1.778% Jr. Sub. Nts., 5/4/183

     668,000           671,880     
     

 

 

 
        10,737,619     

 

 

Building Products—0.2%

     

 

 

Owens Corning, 3.40% Sr. Unsec. Nts., 8/15/26

     2,815,000           2,835,620     

 

 

Commercial Services & Supplies—0.6%

     

 

 

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

     3,294,000           3,426,195     

 

18      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Commercial Services & Supplies (Continued)

     

 

 

Republic Services, Inc.:

     

2.90% Sr. Unsec. Nts., 7/1/26

   $ 1,968,000         $ 2,000,702     

3.80% Sr. Unsec. Nts., 5/15/18

     3,089,000           3,210,116     

 

 

Waste Management, Inc., 4.10% Sr. Unsec. Nts., 3/1/45

     906,000                       999,688     
     

 

 

 
        9,636,701     

 

 

Electrical Equipment—0.2%

     

 

 

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

     3,986,000           4,160,388     

 

 

Industrial Conglomerates—0.1%

     

 

 

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

     1,645,000           1,744,133     

 

 

Machinery—0.7%

     

 

 

Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/191

     4,025,000           4,038,427     

 

 

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

     2,620,000           2,900,309     

 

 

Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18

     3,915,000           4,001,788     
     

 

 

 
        10,940,524     

 

 

Professional Services—0.4%

     

 

 

Equifax, Inc., 6.30% Sr. Unsec. Nts., 7/1/17

     3,375,000           3,487,006     

 

 

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

     2,814,000           2,827,980     
     

 

 

 
        6,314,986     

 

 

Road & Rail—0.5%

     

 

 

Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35

     636,000           730,283     

 

 

ERAC USA Finance LLC, 6.375% Sr. Unsec. Nts., 10/15/171

     3,115,000           3,264,959     

 

 

Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46

     1,042,000           1,209,630     

 

 

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

     

3.75% Sr. Unsec. Nts., 5/11/171

     1,858,000           1,883,609     

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

     1,269,000           1,340,976     
     

 

 

 
        8,429,457     

 

 

Trading Companies & Distributors—0.3%

     

 

 

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.95% Sr. Unsec. Nts., 2/1/22

     3,927,000           4,030,084     

 

 

Air Lease Corp., 3% Sr. Unsec. Nts., 9/15/23

     1,719,000           1,703,752     
     

 

 

 
        5,733,836     

 

 

Information Technology—2.4%

     

 

 

Electronic Equipment, Instruments, & Components—0.2%

     

 

 

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

     3,342,000           3,566,298     

 

 

IT Services—0.6%

     

 

 

Broadridge Financial Solutions, Inc., 3.40% Sr. Unsec. Nts., 6/27/26

     1,963,000           2,018,771     

 

 

Fidelity National Information Services, Inc.:

     

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

     2,582,000           2,583,268     

2.85% Sr. Unsec. Nts., 10/15/18

     788,000           809,057     

 

 

Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18

     2,957,000           2,981,005     

 

 

Xerox Corp.:

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

     1,134,000           1,140,830     

 

19      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

IT Services (Continued)

     

 

 

Xerox Corp.: (Continued)

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

   $ 564,000         $             572,927     
     

 

 

 
        10,105,858     

 

 

Semiconductors & Semiconductor Equipment—0.1%

     

 

 

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

     878,000           1,055,955     

 

 

Software—0.7%

     

 

 

Activision Blizzard, Inc., 2.30% Sr. Unsec. Nts., 9/15/211

     3,950,000           3,964,583     

 

 

Autodesk, Inc.:

     

1.95% Sr. Unsec. Nts., 12/15/17

     2,624,000           2,640,547     

4.375% Sr. Unsec. Nts., 6/15/25

     985,000           1,045,938     

 

 

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

     2,188,000           2,242,700     

 

 

Oracle Corp., 2.40% Sr. Unsec. Nts., 9/15/23

     2,486,000           2,509,120     
     

 

 

 
        12,402,888     

 

 

Technology Hardware, Storage & Peripherals—0.8%

     

 

 

Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45

     1,799,000           1,995,238     

 

 

Diamond 1 Finance Corp./Diamond 2 Finance Corp.:

     

3.48% Sr. Sec. Nts., 6/1/191

     3,913,000           4,026,403     

6.02% Sr. Sec. Nts., 6/15/261

     2,654,000           2,916,539     

 

 

Hewlett Packard Enterprise Co.:

     

2.45% Sr. Unsec. Nts., 10/5/171

     2,645,000           2,666,792     

6.35% Sr. Unsec. Nts., 10/15/451

     1,790,000           1,857,170     
     

 

 

 
        13,462,142     

 

 

Materials—3.1%

     

 

 

Chemicals—1.4%

     

 

 

Agrium, Inc.:

     

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

     1,320,000           1,363,152     

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

     660,000           652,178     

 

 

Eastman Chemical Co.:

     

2.40% Sr. Unsec. Nts., 6/1/17

     460,000           463,352     

4.65% Sr. Unsec. Nts., 10/15/44

     781,000           802,600     

 

 

Ecolab, Inc., 2% Sr. Unsec. Nts., 1/14/19

     3,432,000           3,473,610     

 

 

LyondellBasell Industries NV, 5% Sr. Unsec. Nts., 4/15/19

     3,770,000           4,048,230     

 

 

PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23

     3,940,000           4,098,073     

 

 

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

     3,050,000           3,128,296     

 

 

Valspar Corp. (The):

     

3.30% Sr. Unsec. Nts., 2/1/25

     915,000           934,810     

3.95% Sr. Unsec. Nts., 1/15/26

     1,587,000           1,679,359     

 

 

Yara International ASA, 3.80% Sr. Unsec. Nts., 6/6/261

     2,395,000           2,478,466     
     

 

 

 
        23,122,126     

 

 

Construction Materials—0.5%

     

 

 

CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/451

     2,836,000           3,192,862     

 

 

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

     3,844,000           4,093,860     

 

 

LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/261

     1,005,000           1,027,070     
     

 

 

 
        8,313,792     

 

20      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Containers & Packaging—0.4%

     

 

 

Ball Corp., 5.25% Sr. Unsec. Nts., 7/1/25

   $ 173,000         $             187,057     

 

 

International Paper Co.:

     

3.00% Sr. Unsec. Nts., 2/15/27

     1,921,000           1,924,035     

4.80% Sr. Unsec. Nts., 6/15/44

     1,246,000           1,323,425     

 

 

Packaging Corp. of America:

     

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

     745,000           777,163     

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

     3,023,000           3,324,880     
     

 

 

 
        7,536,560     

 

 

Metals & Mining—0.6%

     

 

 

BHP Billiton Finance USA Ltd., 1.625% Sr. Unsec. Nts., 2/24/17

     3,818,000           3,825,491     

 

 

Glencore Finance Canada Ltd., 3.60% Sr. Unsec. Nts., 1/15/171

     4,082,000           4,087,180     

 

 

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

     1,098,000           1,190,953     

 

 

Rio Tinto Finance USA Ltd., 3.75% Sr. Unsec. Nts., 6/15/25

     1,544,000           1,665,076     
     

 

 

 
        10,768,700     

 

 

Paper & Forest Products—0.2%

     

 

 

Georgia-Pacific LLC, 2.539% Sr. Unsec. Nts., 11/15/191

     928,000           948,979     

 

 

Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/241

     2,196,000           2,201,490     
     

 

 

 
        3,150,469     

 

 

Telecommunication Services—2.5%

     

 

 

Diversified Telecommunication Services—2.3%

     

 

 

AT&T, Inc.:

     

2.80% Sr. Unsec. Nts., 2/17/21

     4,226,000           4,352,996     

4.35% Sr. Unsec. Nts., 6/15/45

     3,224,000           3,190,106     

 

 

British Telecommunications plc, 9.375% Sr. Unsec. Nts., 12/15/30

     3,157,000           5,126,169     

 

 

CenturyLink, Inc., Series Y, 7.50% Sr. Unsec. Nts., 4/1/24

     3,875,000           4,146,250     

 

 

Deutsche Telekom International Finance BV, 2.25% Sr. Unsec. Nts., 3/6/171

     3,860,000           3,874,977     

 

 

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

     109,000           119,900     

 

 

Telefonica Emisiones SAU:

     

3.192% Sr. Unsec. Nts., 4/27/18

     3,214,000           3,291,001     

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

     1,061,000           1,398,480     

 

 

Verizon Communications, Inc.:

     

1.75% Sr. Unsec. Nts., 8/15/21

     2,824,000           2,796,571     

4.125% Sr. Unsec. Nts., 8/15/46

     3,363,000           3,387,062     

4.50% Sr. Unsec. Nts., 9/15/20

     4,777,000           5,247,214     

4.522% Sr. Unsec. Nts., 9/15/48

     2,294,000           2,442,502     
     

 

 

 
        39,373,228     

 

 

Wireless Telecommunication Services—0.2%

     

 

 

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

     2,673,000           2,906,855     

 

 

Utilities—3.1%

     

 

 

Electric Utilities—2.4%

     

 

 

AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/251

     1,658,000           1,795,621     

 

21      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Electric Utilities (Continued)

     

 

 

Cleco Corporate Holdings LLC, 3.743% Sr. Sec. Nts., 5/1/261

   $ 1,936,000         $ 2,020,501     

 

 

Edison International, 2.95% Sr. Unsec. Nts., 3/15/23

     2,275,000           2,353,437     

 

 

Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/191

     1,444,000           1,460,645     

 

 

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

     3,232,000           3,375,249     

 

 

Entergy Texas, Inc., 7.125% Sec. Nts., 2/1/19

     1,118,000           1,254,767     

 

 

Exelon Corp., 4.45% Sr. Unsec. Nts., 4/15/46

     955,000           1,032,839     

 

 

Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46

     761,000                       862,341     

 

 

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

     715,000           852,701     

 

 

NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17

     3,520,000           3,526,934     

 

 

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

     500,000           541,012     

 

 

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

     2,624,000           2,788,664     

 

 

PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211

     4,000,000           4,460,644     

 

 

Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18

     2,770,000           3,043,172     

 

 

Southern Power Co., 1.85% Sr. Unsec. Nts., 12/1/17

     3,179,000           3,200,061     

 

 

TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17

     3,227,000           3,403,778     

 

 

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

     2,476,000           2,646,079     

 

 

Xcel Energy, Inc., 3.30% Sr. Unsec. Nts., 6/1/25

     1,822,000           1,926,696     
     

 

 

 
        40,545,141     

 

 

Multi-Utilities—0.7%

     

 

 

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

     2,403,000           2,438,898     

 

 

CMS Energy Corp.:

     

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

     1,871,000           2,045,783     

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

     1,266,000           1,446,014     

 

 

NiSource Finance Corp.:

     

4.80% Sr. Unsec. Nts., 2/15/44

     1,779,000           2,021,659     

6.80% Sr. Unsec. Nts., 1/15/19

     3,495,000           3,893,633     
     

 

 

 
        11,845,987     
     

 

 

 

Total Corporate Bonds and Notes (Cost $753,481,863)

        783,233,493     
     

 

 

Short-Term Notes—23.7%

     

 

 

Aerospace & Defense—0.4%

     

Rockwell Collins, Inc., 0.70%, 11/1/169

     7,600,000           7,595,419     

 

 

Auto Components—0.2%

     

Borgwarner, Inc., 0.70%, 10/6/16

     3,300,000           3,299,679     

 

 

Banks—4.8%

     

Bank of Montreal, 0.902%, 12/21/16

     7,500,000           7,486,384     

 

 

Bank of Nova Scotia (The), 0.751%, 11/25/169

     7,500,000           7,491,406     

 

 

DNB Bank ASA, 0.772%, 12/27/169

     7,600,000           7,586,810     

 

 

Mizuho Bank Ltd., 0.872%, 11/18/169

     7,500,000           7,491,300     

 

 

National Australia Bank Ltd., 0.701%, 11/1/16

     7,500,000           7,495,479     

 

 

Nordea Bank AB, 0.676%, 10/31/169

     6,600,000           6,596,288     

 

22      OPPENHEIMER CORE BOND FUND


 

 

 

     Principal Amount        Value    

 

 

Banks (Continued)

     

 

 

Sumitomo Mitsui Banking Corp., 0.782%, 11/18/161,9

   $ 7,500,000         $ 7,492,200     

 

 

Svenska Handelsbanken AB, 0.772%, 11/23/161,9

     6,600,000           6,592,518     

 

 

The Bank of Tokyo-Mitsubishi UFJ Ltd., 0.832%, 11/23/161

     7,500,000           7,490,835     

 

 

Toronto-Dominion Bank (The), 0.634%, 11/3/169

     7,500,000           7,495,646     

 

 

Westpac Banking Corp., 0.751%, 12/19/169

     7,600,000           7,586,742     
     

 

 

 
        80,805,608     

 

 

Beverages—0.5%

     

Coca-Cola Co., 0.511%, 12/14/169

     7,500,000           7,491,406     

 

 

Building Products—0.4%

     

Assa Abloy Financial Services AB, 1.012%, 11/10/161,9

     7,491,000           7,482,593     

 

 

Chemicals—1.8%

     

Air Liquide US LLC, 0.902%, 11/4/161,9

     7,500,000           7,493,625     

 

 

BASF SE, 0.661%, 11/21/169

     7,500,000           7,492,988     

 

 

Eastman Chemical Co., 0.69%, 10/7/169

     3,300,000           3,299,621     

 

 

Ecolab, Inc., 0.56%, 10/5/16

     7,600,000           7,599,527     

 

 

Potash Corp., 0.771%, 10/12/169

     7,500,000           7,498,235     
     

 

 

 
        33,383,996     

 

 

Commercial Finance—0.4%

     

Caterpillar, Inc., 0.55%, 11/10/16

     7,500,000           7,495,417     

 

 

Commercial Services & Supplies—0.2%

     

Equifax, Inc., 0.852%, 11/17/161,9

     3,300,000           3,296,338     

 

 

Computers & Peripherals—0.7%

     

Apple, Inc., 0.546%, 12/12/169

     7,500,000           7,492,898     

 

 

HP, Inc., 0.82%, 10/11/16

     3,300,000           3,299,248     
     

 

 

 
        10,792,146     

 

 

Electric Utilities—1.8%

     

Ameren Illinois, 0.58%, 10/3/16

     7,600,000           7,599,755     

 

 

Duke Energy Corp., 0.811%, 10/27/169

     3,300,000           3,298,070     

 

 

Eversource Energy, 0.63%, 10/6/169

     7,600,000           7,599,335     

 

 

NextEra Energy Capital Holdings, Inc., 0.70%, 10/12/169

     3,300,000           3,299,294     

 

 

Sempra Energy, 0.871%, 10/4/169

     7,500,000           7,499,456     

 

 

Southern Co., 0.76%, 10/12/169

     2,500,000           2,499,419     
     

 

 

 
        31,795,329     

 

 

Electronic Equipment & Instruments—0.4%

     

Amphenol Corp., 0.75%, 10/12/16

     7,500,000           7,498,281     

 

 

Food Products—1.2%

     

General Mills, Inc., 0.62%, 10/13/169

     7,600,000           7,598,429     

 

 

Mondelez International, Inc., 0.761%, 10/25/169

     7,500,000           7,496,200     

 

 

Nestle Capital Corp., 0.551%, 11/28/169

     7,500,000           7,493,354     
     

 

 

 
        22,587,983     

 

 

Household Durables—0.4%

     

Ehhett & Platt, 0.71%, 10/11/169

     7,500,000           7,498,521     

 

 

Household Products—0.4%

     

Church & Dwight Co., Inc., 0.711%, 11/14/169

     7,500,000                 7,493,492     

 

23      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

     Principal Amount        Value    

 

 

Leasing & Factoring—2.9%

     

 

 

American Honda Motor Co., Inc., 0.611%, 11/9/16

   $ 7,400,000         $ 7,395,110     

 

 

BMW US Capital LLC, 0.591%, 12/19/169

     7,500,000           7,489,467     

 

 

Harley-Davidson, Inc., 0.741%, 11/16/169

     5,000,000           4,995,272     

 

 

Hitachi Capital America Corp., 0.881%, 10/14/16

     7,500,000           7,497,617     

 

 

Hyundai Capital America, 0.75%, 10/17/169

     7,500,000           7,497,500     

 

 

Nissan Motor Acceptance Corp., 0.812%, 11/28/169

     7,500,000           7,490,212     

 

 

Toyota Motor Corp., 0.781%, 11/7/16

     7,400,000           7,394,068     
     

 

 

 
        49,759,246     

 

 

Media—0.2%

     

CBS Corp., 0.70%, 10/31/169

     3,300,000           3,298,075     

 

 

Multi-Utilities—0.8%

     

DTE Capital Corp., 0.60%, 10/3/16

     7,600,000           7,599,747     

 

 

Virginia Electric & Power Co., 0.791%, 12/5/169

     3,300,000           3,295,033     
     

 

 

 
        10,894,780     

 

 

Oil, Gas & Consumable Fuels—1.4%

     

Chevron Corp., 0.586%, 12/20/16

     6,600,000           6,591,966     

 

 

Exxon Mobil Corp., 0.521%, 12/12/16

     5,800,000           5,794,108     

 

 

Total Capital Canada Ltd., 0.661%, 12/19/169

     7,500,000           7,489,967     
     

 

 

 
        19,876,041     

 

 

Personal Products—1.0%

     

Procter & Gamble Co., 0.501%, 12/1/169

     7,375,000           7,368,725     

 

 

Reckitt Benckiser Group plc, 0.651%, 12/1/169

     7,500,000           7,492,845     
     

 

 

 
        14,861,570     

 

 

Pharmaceuticals—0.5%

     

Novartis Finance Corp., 0.52%, 12/2/169

     7,600,000           7,592,978     

 

 

Receivables Finance—0.5%

     

Old Line Funding LLC, 0.651%, 10/25/169

     7,500,000           7,496,750     

 

 

Software—0.6%

     

Microsoft Corp., 0.50%, 11/29/161,9

     7,600,000           7,593,772     

 

 

Thomson Reuters Corp., 0.851%, 10/11/16

     3,300,000           3,299,221     
     

 

 

 
        10,892,993     

 

 

Special Purpose Financial—0.3%

     

Omnicom Group, Inc., 0.801%, 11/7/169

     5,000,000           4,996,111     

 

 

Specialty Retail—0.6%

     

Hasbro, Inc., 0.60%, 10/3/169

     3,300,000           3,299,890     

 

 

RELX Group, 0.59%, 10/3/169

     7,500,000           7,499,754     
     

 

 

 
        10,799,644     

 

 

Telephone Utilities—0.5%

     

Bell Canada, 0.902%, 12/15/169

     7,500,000           7,486,320     

 

 

Tobacco—0.4%

     

BAT International Finance plc, 0.801%, 10/20/169

     7,500,000           7,496,833     

 

 

Water Utilities—0.4%

     

American Water Capital Corp., 0.671%, 10/24/169

     7,500,000           7,496,790     
     

 

 

 

Total Short-Term Notes (Cost $401,460,545)

        401,464,339     

 

24      OPPENHEIMER CORE BOND FUND


 

 

 

                Principal Amount        Value    

 

 

Certificate of Deposit—0.4%

  

  

 

 

DBS Bank Ltd., 0.631%, 10/11/16 (Cost $7,498,688)

    $ 7,500,000       $             7,498,688     
   

Counter-

party

  Exercise
Price
  Expiration        
Date        
  Contracts         

 

 

Over-the-Counter Option Purchased—0.1%

  

  

 

 
United States Treasury Bonds, 1.50%, 8/26 Put10 ($809,200)   BOA   USD    98.184   3/23/17             USD            46,240,000         646,642     

 

    

Counter-

party

     Buy /Sell
Protection
     Reference
Asset
     Fixed Rate     Expiration
Date
     Notional
Amount
(000’s)
        

 

 

Over-the-Counter Credit Default Swaptions Purchased—0.0%

  

 

 
Credit Default Swap maturing 12/21/16 Call 10      JPM         Buy        
 
CDX.
NA.HY.26
  
  
     5.00     12/21/16         USD        22,953         189,025     

 

 
Credit Default Swap maturing 12/21/16 Call 10      JPM         Buy        
 
CDX.
NA.HY.26
  
  
     5.00        12/21/16         USD        26,672                         219,652     

 

 
Credit Default Swap maturing 12/21/16 Call 10      JPM         Buy        
 
CDX.
NA.HY.26
  
  
     5.00        12/21/16         USD        26,673         219,660     
                   

 

 

 
Total Over-the-Counter Credit Default Swaptions Purchased
(Cost $1,215,433)
         628,337     

 

     Shares        

 

 

Investment Company—2.5%

    

 

 
Oppenheimer Institutional Government Money Market Fund, Cl. E, 0.28%11,12 (Cost $42,576,428)      42,576,428        42,576,428     

 

 

Total Investments, at Value (Cost $2,190,499,553)

     131.7%        2,229,529,998     

 

 

Net Other Assets (Liabilities)

     (31.7)        (536,378,769)   
  

 

 

 

Net Assets

     100.0%      $   1,693,151,229     
  

 

 

 

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 $327,855,895 or 19.36% of the Fund’s net assets at period end.

2. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 3 of the accompanying Notes.

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

 

25      OPPENHEIMER CORE BOND FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

Footnotes to Statement of Investments (Continued)

4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $13,766,912 or 0.81% of the Fund’s net assets at period end.

5. Interest rate is less than 0.0005%.

6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $133,796 or 0.01% of the Fund’s net assets at period end.

7. 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 $1,640,031. See Note 5 of the accompanying Notes.

8. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.

9. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $296,627,897 or 17.52% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.

10. Non-income producing security.

11. Rate shown is the 7-day yield at period end.

12. 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,
2015
     Gross
Additions
     Gross
Reductions
     Shares
September 30,
2016
 

 

 

Oppenheimer Institutional Government Money Market Fund, Cl. Ea

     295,832,126           1,336,479,637           1,589,735,335           42,576,428     

 

     Value      Income  

 

 

Oppenheimer Institutional Government Money Market Fund, Cl. Ea

   $     42,576,428         $             824,316     

a. Prior to September 28, 2016, this fund was named Oppenheimer Institutional Money Market Fund.

 

 

 

Futures Contracts as of September 30, 2016

        
Description    Exchange      Buy/Sell      Expiration
Date
     Number
of
Contracts
            Unrealized
Appreciation
(Depreciation)
 

 

 

United States Treasury Long Bonds

     CBT         Buy         12/20/16         183       $ 30,772,594       $ (110,930

United States Treasury Nts., 10 yr.

     CBT         Sell         12/20/16         259         33,961,375         84,522   

United States Treasury Nts., 2 yr.

     CBT         Buy         12/30/16         958          209,293,063         166,176   

United States Treasury Nts., 5 yr.

     CBT         Sell         12/30/16         49         5,954,266         5,408   

United States Ultra Bonds

     CBT         Buy         12/20/16         441         81,088,875         (1,612,601
                 

 

 

 
                                        $    (1,467,425)   
                 

 

 

 

 

26      OPPENHEIMER CORE BOND FUND


 

 

 

 

Over-the-Counter Options Written at September 30, 2016

Description

     Counterparty        
 
Exercise
Price
  
  
    
 
Expiration
Date
  
  
     Number of Contracts       
 
Premiums
Received
  
  
     Value   

 

 

United States Treasury Bonds, 1.50%, 8/26 Put

     BOA USD           95.734           3/23/17           USD           (46,240,000   $ 346,800         $     (288,179)   

 

 

 

Over-the-Counter Credit Default Swaptions Written at September 30, 2016

                Notional       
    Buy/Sell Reference   Fixed Expiration       Amount        Premiums     

Description

   

 

Counter-

party

  

  

  Protection   Asset   Rate   Date     (000’s)        Received        Value   

 

 

Credit Default Swap maturing 06/20/21 Call

    JPM      Buy   CDX. NA.HY.26   5.000%   12/21/16   USD     26,673      $ 144,034      $ (64,514)   

 

 

Credit Default Swap maturing 06/20/21 Call

    JPM      Buy   CDX. NA.HY.26   5.000   12/21/16   USD     26,672        144,029        (64,512)   

 

 

Credit Default Swap maturing 06/20/21 Call

    JPM      Buy   CDX. NA.HY.26   5.000   12/21/16   USD     22,953        119,355        (55,516)   
               

 

 

 

Total of Over-the-Counter Credit Default Swaptions Written

  

  $     407,418      $     (184,542)   
               

 

 

 

Glossary:

Counterparty Abbreviations

BOA   Bank of America NA
JPM   JPMorgan Chase Bank NA

 

Definitions

 
CDX.NA.HY.26   Markit CDX North American High Yield

 

Exchange Abbreviations

CBT   Chicago Board of Trade

 

27      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS September 30, 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. Securities Valuation

The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

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

Valuation Methods and Inputs

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

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

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

 

28      OPPENHEIMER CORE BOND FUND


 

2. Securities Valuation (Continued)

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.

    Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.

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

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

 

Security Type    Standard inputs generally considered by third-party pricing vendors

 

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

 

Loans    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.

 

Event-linked bonds    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.

 

Structured securities    Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.

 

Swaps    Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates.

If a market value or price cannot be determined for a security using the methodologies

 

29      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

2. Securities Valuation (Continued)

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

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

Classifications

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

 

30      OPPENHEIMER CORE BOND FUND


 

2. Securities Valuation (Continued)

    assumptions that market participants would use in pricing the asset or liability).

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

    The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered are measured using net asset value as a practical expedient, and are not classified in the fair value hierarchy.

The table below categorizes amounts at period end based on valuation input level:

 

     Level 1—
Unadjusted
Quoted Prices
    Level 2—
Other Significant
Observable Inputs
    Level 3—
Significant
Unobservable
Inputs
     Value    

 

 

Assets Table

         

Investments, at Value:

         

Asset-Backed Securities

   $      $ 167,513,213      $       $ 167,513,213   

Mortgage-Backed Obligations

            806,100,029        29,361         806,129,390   

U.S. Government Obligations

            19,839,468                19,839,468   

Corporate Bonds and Notes

            783,233,493                783,233,493   

Short-Term Notes

            401,464,339                401,464,339   

Certificate of Deposit

            7,498,688                7,498,688   

Over-the-Counter Option Purchased

            646,642                646,642   

Over-the-Counter Credit Default

         

Swaptions Purchased

            628,337                628,337   

Investment Company

     42,576,428                       42,576,428   
  

 

 

 

Total Investments, at Value

     42,576,428        2,186,924,209        29,361         2,229,529,998   

Other Financial Instruments:

         

Futures contracts

     256,106                       256,106   
  

 

 

 

Total Assets

   $         42,832,534      $     2,186,924,209      $             29,361       $     2,229,786,104   
  

 

 

 

Liabilities Table

         

Other Financial Instruments:

         

Futures contracts

   $ (1,723,531   $      $       $ (1,723,531

Options written, at value

            (288,179             (288,179

Swaptions written, at value

            (184,542             (184,542
  

 

 

 

Total Liabilities

   $ (1,723,531   $ (472,721   $       $ (2,196,252
  

 

 

 

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

 

 

3. Investments and Risks

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

 

31      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

3. Investments and Risks (Continued)

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.

Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (“IGMMF”), formerly known as Oppenheimer Institutional Money Market Fund, which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.

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:

 

     When-Issued or  
     Delayed Delivery  
     Basis Transactions  

 

 

Purchased securities

     $662,179,289   

Sold securities

     116,245,364   

 

32      OPPENHEIMER CORE BOND FUND


 

3. Investments and Risks (Continued)

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

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

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

    At period end, the counterparty pledged $1,627,133 of collateral to the Fund for forward roll transactions.

 

 

4. Market Risk Factors

The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:

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

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

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

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

 

33      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

4. Market Risk Factors (Continued)

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.

 

 

5. Use of Derivatives

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

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

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

 

34      OPPENHEIMER CORE BOND FUND


 

5. Use of Derivatives (Continued)

Futures Contracts

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

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

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

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

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

During the reporting period, the Fund had an ending monthly average market value of $200,329,178 and $59,568,238 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.

Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally

 

35      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

5. Use of Derivatives (Continued)

cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.

The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

During the reporting period, the Fund had an ending monthly average market value of $521,386 and $67,433 on purchased call options and purchased put options, respectively.

Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.

The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.

The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

During the reporting period, the Fund had an ending monthly average market value of $52,001 on written put options.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

 

36      OPPENHEIMER CORE BOND FUND


 

5. Use of Derivatives (Continued)

Written option activity for the reporting period was as follows:

 

     Number of
Contracts
   

Amount of 

Premiums 

 

 

 
Options outstanding as of December 31, 2015           $ —    
Options written      46,249,416        717,536    
Options exercised      (9,416     (370,736)   
  

 

 

 
Options outstanding as of September 30, 2016                      46,240,000      $                   346,800    
  

 

 

 

Swap Contracts

The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.

Swap contracts are reported on a schedule following the Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.

Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.

Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.

Total return swap contracts are exposed to the market risk factor of the specific

 

37      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

5. Use of Derivatives (Continued)

underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.

The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the related indexes or securities.

For the reporting period, the Fund had no ending monthly average notional amounts on total return swaps.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk. At period end, the fund had no outstanding total return swap contracts.

Swaption Transactions

The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.

Purchased swaptions are reported as a component of investments in the Statement of Investments and the Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.

The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.

The Fund has purchased swaptions which gives it the option to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.

The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or, indexes of issuers. A written swaption of this type

 

38      OPPENHEIMER CORE BOND FUND


 

5. Use of Derivatives (Continued)

becomes more valuable as the likelihood of a credit event on the reference asset increases.

During the reporting period, the Fund had an ending monthly average market value of $148,564 and $48,120 on purchased and written swaptions, respectively.

Written swaption activity for the reporting period was as follows:

     Number of
Contracts
     Amount of
Premiums
 

 

 
Swaptions outstanding as of December 31, 2015            $   
Swaptions written      76,298,000         407,418   
  

 

 

 
Swaptions outstanding as of September 30, 2016                      76,298,000       $                   407,418   
  

 

 

 

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

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

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

At period end, the Fund has required certain counterparties to post collateral of $920,943.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction

 

39      OPPENHEIMER CORE BOND FUND


NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

 

 

 

5. Use of Derivatives (Continued)

may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

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

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

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

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

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

 

40      OPPENHEIMER CORE BOND FUND


 

5. Use of Derivatives (Continued)

counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.

 

 

6. 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

   $ 2,190,577,707    

Federal tax cost of other investments

     281,952,098    
  

 

 

 

Total federal tax cost

   $ 2,472,529,805    
  

 

 

 

Gross unrealized appreciation

   $ 45,338,483    

Gross unrealized depreciation

     (7,572,120)   
  

 

 

 

Net unrealized appreciation

   $ 37,766,363    
  

 

 

 

 

41      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 9/30/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

 

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

Item 3. Exhibits.

Exhibits attached hereto.


SIGNATURES

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

Oppenheimer Integrity Funds

 

By:  

/s/ Arthur P. Steinmetz

 

 

Arthur P. Steinmetz

 

 

Principal Executive Officer

 

Date:

 

 

11/21/2016

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:

 

 

11/21/2016

 

By:  

/s/ Brian S. Petersen

 

 

Brian S. Petersen

 

 

Principal Financial Officer

 

Date:

 

 

11/21/2016

EX-99.CERT 2 d284235dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Arthur P. Steinmetz, certify that:

 

1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer
Date: 11/21/2016


Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Brian S. Petersen, certify that:

 

1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

/s/ Brian S. Petersen

Brian S. Petersen
Principal Financial Officer
Date: 11/21/2016