UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3420
Oppenheimer Integrity Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way,
Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street,
New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 6/30/2018
Item 1. Reports to Stockholders.
Semiannual Report | 6/30/2018 | |||||
|
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 6/30/18
Class A Shares of the Fund |
||||||||||||||||||||
Bloomberg |
FTSE Broad | |||||||||||||||||||
Without Sales | With Sales | Bloomberg |
Barclays U.S. |
Investment | ||||||||||||||||
Charge |
Charge |
Barclays Credit |
Aggregate Bond |
Grade Bond | ||||||||||||||||
Index
|
Index
|
Index
| ||||||||||||||||||
6-Month
|
|
-2.14
|
%
|
|
-6.79
|
%
|
|
-2.99
|
%
|
|
-1.62
|
%
|
|
-1.65
|
%
| |||||
1-Year
|
|
-0.74
|
|
|
-5.46
|
|
|
-0.65
|
|
|
-0.40
|
|
|
-0.45
|
| |||||
5-Year
|
|
2.72
|
|
|
1.72
|
|
|
3.37
|
|
|
2.27
|
|
|
2.26
|
| |||||
10-Year
|
|
0.23
|
|
|
-0.26
|
|
|
5.15
|
|
|
3.72
|
|
|
3.75
|
|
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where without sales charge is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER TOTAL RETURN BOND FUND
MARKET OVERVIEW
3 OPPENHEIMER TOTAL RETURN BOND FUND
4 OPPENHEIMER TOTAL RETURN BOND FUND
5 OPPENHEIMER TOTAL RETURN BOND FUND
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 6/30/18
Inception Date |
6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||||
Class A (OPIGX) |
4/15/88 | -2.14 | % | -0.74 | % | 2.72 | % | 0.23 | % | |||||||||||||
Class C (OPBCX) |
7/11/95 | -2.67 | -1.70 | 1.87 | -0.54 | |||||||||||||||||
Class I (OPBIX) |
4/27/12 | -2.12 | -0.40 | 3.08 | 3.23 | * | ||||||||||||||||
Class R (OPBNX) |
3/1/01 | -2.44 | -1.21 | 2.38 | -0.05 | |||||||||||||||||
Class Y (OPBYX) |
4/27/98 | -2.02 | -0.47 | 2.97 | 0.50 | |||||||||||||||||
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 6/30/18
|
|
|||||||||||||||||||||
Inception Date |
6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||||
Class A (OPIGX) |
4/15/88 | -6.79 | % | -5.46 | % | 1.72 | % | -0.26 | % | |||||||||||||
Class C (OPBCX) |
7/11/95 | -3.64 | -2.66 | 1.87 | -0.54 | |||||||||||||||||
Class I (OPBIX) |
4/27/12 | -2.12 | -0.40 | 3.08 | 3.23 | * | ||||||||||||||||
Class R (OPBNX) |
3/1/01 | -2.44 | -1.21 | 2.38 | -0.05 | |||||||||||||||||
Class Y (OPBYX) |
4/27/98 | -2.02 | -0.47 | 2.97 | 0.50 |
* Shows performance since inception.
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 4.75%; for Class C shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class I, Class R and Class Y shares. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on an SEC-standardized formula designed to approximate the Funds annualized hypothetical current income from securities less expenses for the 30-day period ended June 30, 2018 and that dates maximum offering price (for Class A shares) or net asset value (for all other share classes). Each result is compounded semiannually and
6 OPPENHEIMER TOTAL RETURN BOND FUND
then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under an SEC-standardized formula based on net income earned for the 30-day period ended June 30, 2018. The calculation excludes any expense reimbursements and thus may result in a lower yield.
The Funds performance is compared to the performance of the Bloomberg Barclays Credit Index, an index of non-convertible U.S. investment grade corporate bonds; the Bloomberg Barclays U.S. Aggregate Bond Index, an index of U.S. corporate and government bonds and the FTSE Broad Investment Grade Bond Index, an index of institutionally traded U.S. Treasury Bonds, government-sponsored bonds, mortgage-backed securities and corporate securities. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Funds performance, it must be noted that the Funds investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Funds performance, and does not predict or depict performance of the Fund. The Funds performance reflects the effects of the Funds business and operating expenses.
The views in the Fund Performance Discussion represent the opinions of this Funds portfolio managers and are not intended as investment advice or to predict or depict the performance of any investment. These views are as of the close of business on June 30, 2018, and are subject to change based on subsequent developments. The Funds portfolio and strategies are subject to change.
Before investing in any of the Oppenheimer funds, investors should carefully consider a funds investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
7 OPPENHEIMER TOTAL RETURN BOND FUND
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled Expenses Paid During 6 Months Ended June 30, 2018 to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
8 OPPENHEIMER TOTAL RETURN BOND FUND
Beginning | Ending | Expenses | ||||||||||||
Account | Account | Paid During | ||||||||||||
Value | Value | 6 Months Ended | ||||||||||||
Actual | January 1, 2018 | June 30, 2018 | June 30, 2018 | |||||||||||
Class A | $ | 1,000.00 | $ | 978.60 | $ | 3.69 | ||||||||
Class C | 1,000.00 | 973.30 | 7.61 | |||||||||||
Class I | 1,000.00 | 978.80 | 1.96 | |||||||||||
Class R | 1,000.00 | 975.60 | 5.16 | |||||||||||
Class Y | 1,000.00 | 979.80 | 2.21 | |||||||||||
Hypothetical | ||||||||||||||
(5% return before expenses) | ||||||||||||||
Class A | 1,000.00 | 1,021.08 | 3.77 | |||||||||||
Class C | 1,000.00 | 1,017.11 | 7.78 | |||||||||||
Class I | 1,000.00 | 1,022.81 | 2.01 | |||||||||||
Class R | 1,000.00 | 1,019.59 | 5.27 | |||||||||||
Class Y | 1,000.00 | 1,022.56 | 2.26 |
Expenses are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended June 30, 2018 are as follows:
Class | Expense Ratios | |||
Class A | 0.75 | % | ||
Class C | 1.55 | |||
Class I | 0.40 | |||
Class R | 1.05 | |||
Class Y | 0.45 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Funds Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Funds prospectus. The Financial Highlights tables in the Funds financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
9 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS June 30, 2018 Unaudited
Principal Amount | Value | |||||||
Asset-Backed Securities14.3% | ||||||||
Auto Loan10.1% | ||||||||
American Credit Acceptance Receivables Trust: |
||||||||
Series 2015-1, Cl. C, 4.29%, 4/12/211 |
$ | 823,254 | $ | 825,880 | ||||
Series 2015-3, Cl. B, 3.56%, 10/12/211 |
27,620 | 27,629 | ||||||
Series 2015-3, Cl. C, 4.84%, 10/12/211 |
4,445,000 | 4,483,415 | ||||||
Series 2015-3, Cl. D, 5.86%, 7/12/221 |
1,875,000 | 1,905,797 | ||||||
Series 2016-4, Cl. B, 2.11%, 2/12/211 |
1,108,453 | 1,107,210 | ||||||
Series 2017-3, Cl. B, 2.25%, 1/11/211 |
1,235,000 | 1,231,857 | ||||||
Series 2017-4, Cl. B, 2.61%, 5/10/211 |
1,000,000 | 996,604 | ||||||
Series 2017-4, Cl. C, 2.94%, 1/10/241 |
2,831,000 | 2,813,757 | ||||||
Series 2017-4, Cl. D, 3.57%, 1/10/241 |
3,368,000 | 3,341,907 | ||||||
Series 2018-2, Cl. B, 3.46%, 8/10/221 |
4,330,000 | 4,335,387 | ||||||
Series 2018-2, Cl. C, 3.70%, 7/10/241 | 4,275,000 | 4,279,801 | ||||||
AmeriCredit Automobile Receivables Trust: |
||||||||
Series 2015-2, Cl. D, 3.00%, 6/8/21 |
4,152,000 | 4,150,509 | ||||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 |
3,735,000 | 3,718,398 | ||||||
Series 2017-3, Cl. D, 3.18%, 7/18/23 |
4,000,000 | 3,960,209 | ||||||
Series 2017-4, Cl. D, 3.08%, 12/18/23 | 1,895,000 | 1,863,915 | ||||||
Cabelas Credit Card Master Note Trust, Series 2015-2, Cl. A2, 2.743% [LIBOR01M+67], 7/17/232 | 9,110,000 | 9,184,259 | ||||||
Capital Auto Receivables Asset Trust, Series 2017-1, Cl. D, 3.15%, 2/20/251 | 560,000 | 555,962 | ||||||
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/211 | 105,699 | 105,537 | ||||||
CarMax Auto Owner Trust: |
||||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 |
930,000 | 927,946 | ||||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 |
3,045,000 | 3,043,454 | ||||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 |
2,045,000 | 2,037,943 | ||||||
Series 2016-3, Cl. D, 2.94%, 1/17/23 |
1,330,000 | 1,313,148 | ||||||
Series 2016-4, Cl. D, 2.91%, 4/17/23 |
3,105,000 | 3,053,844 | ||||||
Series 2017-1, Cl. D, 3.43%, 7/17/23 |
2,675,000 | 2,662,271 | ||||||
Series 2017-4, Cl. D, 3.30%, 5/15/24 |
1,435,000 | 1,415,672 | ||||||
Series 2018-1, Cl. D, 3.37%, 7/15/24 | 1,095,000 | 1,086,839 | ||||||
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/231 | 1,233,611 | 1,225,933 | ||||||
CPS Auto Receivables Trust: |
||||||||
Series 2017-C, Cl. A, 1.78%, 9/15/201 |
511,375 | 509,661 | ||||||
Series 2017-C, Cl. B, 2.30%, 7/15/211 |
1,275,000 | 1,264,793 | ||||||
Series 2017-D, Cl. B, 2.43%, 1/18/221 |
2,390,000 | 2,365,347 | ||||||
Series 2018-A, Cl. B, 2.77%, 4/18/221 |
2,080,000 | 2,064,016 | ||||||
Series 2018-B, Cl. B, 3.23%, 7/15/221 | 2,480,000 | 2,475,743 | ||||||
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/211 | 735,000 | 733,058 | ||||||
Credit Acceptance Auto Loan Trust: |
||||||||
Series 2017-3A, Cl. C, 3.48%, 10/15/261 |
2,865,000 | 2,827,659 | ||||||
Series 2018-1A, Cl. B, 3.60%, 4/15/271 |
1,990,000 | 1,981,813 | ||||||
Series 2018-1A, Cl. C, 3.77%, 6/15/271 |
2,840,000 | 2,816,516 | ||||||
Series 2018-2A, Cl. C, 4.16%, 9/15/271 | 1,785,000 | 1,797,224 | ||||||
Drive Auto Receivables Trust: |
||||||||
Series 2015-BA, Cl. D, 3.84%, 7/15/211 |
220,000 | 221,305 |
10 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Auto Loan (Continued) | ||||||||
Drive Auto Receivables Trust: (Continued) |
||||||||
Series 2015-CA, Cl. D, 4.20%, 9/15/211 |
$ | 1,535,000 | $ | 1,549,218 | ||||
Series 2015-DA, Cl. C, 3.38%, 11/15/211 |
959,069 | 960,811 | ||||||
Series 2016-CA, Cl. C, 3.02%, 11/15/211 |
1,725,000 | 1,726,620 | ||||||
Series 2016-CA, Cl. D, 4.18%, 3/15/241 |
1,905,000 | 1,929,466 | ||||||
Series 2017-1, Cl. B, 2.36%, 3/15/21 |
1,975,000 | 1,972,844 | ||||||
Series 2017-3, Cl. C, 2.80%, 7/15/22 |
1,590,000 | 1,585,224 | ||||||
Series 2017-AA, Cl. C, 2.98%, 1/18/221 |
4,240,000 | 4,241,236 | ||||||
Series 2017-BA, Cl. D, 3.72%, 10/17/221 |
2,685,000 | 2,702,370 | ||||||
Series 2018-1, Cl. D, 3.81%, 5/15/24 |
2,545,000 | 2,542,577 | ||||||
Series 2018-2, Cl. D, 4.14%, 8/15/24 | 4,985,000 | 5,016,680 | ||||||
DT Auto Owner Trust: |
||||||||
Series 2015-2A, Cl. D, 4.25%, 2/15/221 |
1,162,696 | 1,169,902 | ||||||
Series 2016-4A, Cl. E, 6.49%, 9/15/231 |
3,005,000 | 3,103,357 | ||||||
Series 2017-1A, Cl. C, 2.70%, 11/15/221 |
1,799,000 | 1,793,143 | ||||||
Series 2017-1A, Cl. D, 3.55%, 11/15/221 |
2,085,000 | 2,085,299 | ||||||
Series 2017-1A, Cl. E, 5.79%, 2/15/241 |
1,815,000 | 1,848,554 | ||||||
Series 2017-2A, Cl. B, 2.44%, 2/15/211 |
2,745,000 | 2,739,619 | ||||||
Series 2017-2A, Cl. D, 3.89%, 1/15/231 |
2,405,000 | 2,402,812 | ||||||
Series 2017-3A, Cl. B, 2.40%, 5/17/211 |
2,455,000 | 2,445,373 | ||||||
Series 2017-3A, Cl. E, 5.60%, 8/15/241 |
2,710,000 | 2,743,908 | ||||||
Series 2017-4A, Cl. C, 2.86%, 7/17/231 |
1,515,000 | 1,506,334 | ||||||
Series 2017-4A, Cl. D, 3.47%, 7/17/231 |
5,210,000 | 5,177,500 | ||||||
Series 2017-4A, Cl. E, 5.15%, 11/15/241 |
1,995,000 | 1,986,972 | ||||||
Series 2018-1A, Cl. B, 3.04%, 1/18/221 |
2,275,000 | 2,267,834 | ||||||
Series 2018-2A, Cl. B, 3.43%, 5/16/221 | 1,300,000 | 1,300,576 | ||||||
Exeter Automobile Receivables Trust, Series 2018-1A, Cl. B, 2.75%, 4/15/221 | 2,255,000 | 2,236,663 | ||||||
Flagship Credit Auto Trust: |
||||||||
Series 2014-1, Cl. D, 4.83%, 6/15/201 |
360,000 | 362,187 | ||||||
Series 2016-1, Cl. C, 6.22%, 6/15/221 | 4,265,000 | 4,439,387 | ||||||
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, 2.82%, 7/15/221 | 4,833,742 | 4,807,125 | ||||||
GM Financial Automobile Leasing Trust: |
||||||||
Series 2017-3, Cl. C, 2.73%, 9/20/21 |
1,565,000 | 1,547,550 | ||||||
Series 2018-2, Cl. C, 3.50%, 4/20/22 | 2,245,000 | 2,244,932 | ||||||
Navistar Financial Dealer Note Master Owner Trust II: |
||||||||
Series 2016-1, Cl. D, 5.391% [LIBOR01M+330], 9/27/211,2 |
900,000 | 904,968 | ||||||
Series 2017-1, Cl. C, 3.641% [LIBOR01M+155], 6/27/221,2 |
750,000 | 753,383 | ||||||
Series 2017-1, Cl. D, 4.391% [LIBOR01M+230], 6/27/221,2 | 865,000 | 865,945 | ||||||
Santander Drive Auto Receivables Trust: |
||||||||
Series 2015-5, Cl. D, 3.65%, 12/15/21 |
1,665,000 | 1,675,806 | ||||||
Series 2016-2, Cl. D, 3.39%, 4/15/22 |
1,975,000 | 1,981,084 | ||||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 |
1,900,000 | 1,888,776 | ||||||
Series 2017-1, Cl. E, 5.05%, 7/15/241 |
5,845,000 | 5,947,733 | ||||||
Series 2017-2, Cl. D, 3.49%, 7/17/23 |
2,875,000 | 2,873,992 | ||||||
Series 2017-3, Cl. D, 3.20%, 11/15/23 |
3,750,000 | 3,719,624 | ||||||
Series 2018-1, Cl. D, 3.32%, 3/15/24 |
1,605,000 | 1,580,225 | ||||||
Series 2018-2, Cl. D, 3.88%, 2/15/24 |
2,665,000 | 2,655,787 |
11 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Auto Loan (Continued) | ||||||||
Santander Drive Auto Receivables Trust: (Continued) |
||||||||
Series 2018-3, Cl. C, 3.51%, 8/15/23 | $ | 6,900,000 | $ | 6,907,526 | ||||
Santander Retail Auto Lease Trust, Series 2017-A, Cl. C, 2.96%, 11/21/221 | 2,575,000 | 2,539,932 | ||||||
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/221 | 1,510,000 | 1,502,063 | ||||||
United Auto Credit Securitization Trust, Series 2018-1, Cl. C, 3.05%, 9/10/211 | 3,475,000 | 3,462,601 | ||||||
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, 2.84%, 4/17/231 | 1,226,377 | 1,221,582 | ||||||
Westlake Automobile Receivables Trust: |
||||||||
Series 2016-1A, Cl. E, 6.52%, 6/15/221 |
3,485,000 | 3,553,441 | ||||||
Series 2017-2A, Cl. E, 4.63%, 7/15/241 |
4,070,000 | 4,085,241 | ||||||
Series 2018-1A, Cl. C, 2.92%, 5/15/231 |
2,340,000 | 2,320,675 | ||||||
Series 2018-1A, Cl. D, 3.41%, 5/15/231 | 4,490,000 | 4,465,304 | ||||||
212,053,979 | ||||||||
Credit Card3.6% | ||||||||
Cabelas Credit Card Master Note Trust: |
||||||||
Series 2015-1A, Cl. A2, 2.613% [LIBOR01M+54], 3/15/232 |
6,720,000 | 6,757,991 | ||||||
Series 2016-1, Cl. A1, 1.78%, 6/15/22 |
6,793,000 | 6,722,792 | ||||||
Series 2016-1, Cl. A2, 2.923% [LIBOR01M+85], 6/15/222 | 3,220,000 | 3,237,571 | ||||||
Capital One Multi-Asset Execution Trust, Series 2016-A3, Cl. A3, 1.34%, 4/15/22 | 2,305,000 | 2,275,325 | ||||||
Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21 | 10,621,000 | 10,560,615 | ||||||
Discover Card Execution Note Trust, Series 2016-A4, Cl. A4, 1.39%, 3/15/22 | 7,570,000 | 7,448,259 | ||||||
World Financial Network Credit Card Master Trust: |
||||||||
Series 2012-D, Cl. A, 2.15%, 4/17/23 |
2,050,000 | 2,036,567 | ||||||
Series 2016-B, Cl. A, 1.44%, 6/15/22 |
5,912,000 | 5,903,850 | ||||||
Series 2016-C, Cl. A, 1.72%, 8/15/23 |
4,778,000 | 4,706,948 | ||||||
Series 2017-A, Cl. A, 2.12%, 3/15/24 |
5,055,000 | 4,969,950 | ||||||
Series 2017-B, Cl. A, 1.98%, 6/15/23 |
6,455,000 | 6,400,742 | ||||||
Series 2017-C, Cl. A, 2.31%, 8/15/24 |
5,740,000 | 5,633,921 | ||||||
Series 2018-A, Cl. A, 3.07%, 12/16/24 | 7,965,000 | 7,933,826 | ||||||
74,588,357 | ||||||||
Equipment0.5% | ||||||||
CCG Receivables Trust: |
||||||||
Series 2017-1, Cl. B, 2.75%, 11/14/231 |
2,915,000 | 2,861,663 | ||||||
Series 2018-1, Cl. B, 3.09%, 6/16/251 |
1,320,000 | 1,307,349 | ||||||
Series 2018-1, Cl. C, 3.42%, 6/16/251 | 381,000 | 376,689 | ||||||
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25 | 960,000 | 937,674 | ||||||
Dell Equipment Finance Trust, Series 2018-1, Cl. B, 3.34%, 6/22/231 | 1,366,000 | 1,365,799 | ||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431 |
110,928 | 110,216 |
12 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Equipment (Continued) | ||||||||
Verizon Owner Trust, Series 2017-3A, Cl. A1A, 2.06%, 4/20/221 | $ | 2,545,000 | $ | 2,504,709 | ||||
|
9,464,099
|
| ||||||
Loans: Other0.1% | ||||||||
Dell Equipment Finance Trust, Series 2017-2, Cl. B, 2.47%, 10/24/221 | 955,000 | 941,857 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/441 | 1,135,309 | 1,128,593 | ||||||
2,070,450 | ||||||||
Total Asset-Backed Securities (Cost $299,640,721) |
298,176,885 | |||||||
Mortgage-Backed Obligations59.2% | ||||||||
Government Agency44.3% | ||||||||
FHLMC/FNMA/FHLB/Sponsored34.5% | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool: |
||||||||
5.50%, 9/1/39 |
1,317,908 | 1,411,000 | ||||||
6.00%, 7/1/24-11/1/37 |
204,366 | 225,042 | ||||||
6.50%, 4/1/21-4/1/34 |
240,060 | 264,523 | ||||||
7.00%, 7/1/21-10/1/37 |
2,022,130 | 2,252,407 | ||||||
9.00%, 8/1/22-5/1/25 | 4,835 | 5,147 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 76.028%, 4/1/273 |
213,726 | 42,182 | ||||||
Series 192, Cl. IO, 99.999%, 2/1/283 |
27,165 | 5,611 | ||||||
Series 206, Cl. IO, 0.00%, 12/15/293,4 |
53,125 | 13,424 | ||||||
Series 243, Cl. 6, 1.981%, 12/15/323 | 172,371 | 28,953 | ||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 2,953,302 | 2,896,402 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.207%, 6/1/265 | 29,798 | 27,365 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
|
|||||||
Series 151, Cl. F, 9.00%, 5/15/21 |
1,043 | 1,077 | ||||||
Series 1590, Cl. IA, 3.123% [LIBOR01M+105], 10/15/232 |
439,853 | 448,995 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
4,157 | 4,500 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
578,601 | 636,784 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 |
215,844 | 240,421 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
3,827 | 4,263 | ||||||
Series 2063, Cl. PG, 6.50%, 6/15/28 |
269,341 | 301,172 | ||||||
Series 2145, Cl. MZ, 6.50%, 4/15/29 |
83,005 | 92,523 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 |
127,218 | 137,476 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
235,683 | 257,011 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
71,540 | 77,065 | ||||||
Series 2341, Cl. FP, 2.973% [LIBOR01M+90], 7/15/312 |
123,491 | 126,834 | ||||||
Series 2423, Cl. MC, 7.00%, 3/15/32 |
446,779 | 497,955 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
492,543 | 534,371 | ||||||
Series 2463, Cl. F, 3.073% [LIBOR01M+100], 6/15/322 |
456,391 | 470,215 | ||||||
Series 2635, Cl. AG, 3.50%, 5/15/32 |
395,388 | 393,545 | ||||||
Series 2676, Cl. KY, 5.00%, 9/15/23 |
497,414 | 516,306 | ||||||
Series 2707, Cl. QE, 4.50%, 11/15/18 |
9,435 | 9,445 |
13 OPPENHEIMER TOTAL RETURN 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 2770, Cl. TW, 4.50%, 3/15/19 |
$ | 7,692 | $ | 7,721 | ||||
Series 3010, Cl. WB, 4.50%, 7/15/20 |
67,947 | 68,758 | ||||||
Series 3025, Cl. SJ, 17.148% [LIBOR01M+2,475], 8/15/352 |
90,489 | 121,454 | ||||||
Series 3030, Cl. FL, 2.473% [LIBOR01M+40], 9/15/352 |
247,340 | 248,509 | ||||||
Series 3645, Cl. EH, 3.00%, 12/15/20 |
4,585 | 4,588 | ||||||
Series 3741, Cl. PA, 2.15%, 2/15/35 |
172,438 | 172,249 | ||||||
Series 3815, Cl. BD, 3.00%, 10/15/20 |
1,500 | 1,500 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 |
195,979 | 201,215 | ||||||
Series 3840, Cl. CA, 2.00%, 9/15/18 |
771 | 770 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 |
515,673 | 520,994 | ||||||
Series 3857, Cl. GL, 3.00%, 5/15/40 |
18,794 | 18,910 | ||||||
Series 4057, Cl. QI, 4.903%, 6/15/273 |
11,584,459 | 983,587 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 619,969 | 605,299 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series 2129, Cl. S, 54.253%, 2/15/293 |
286,541 | 43,768 | ||||||
Series 2130, Cl. SC, 63.138%, 3/15/293 |
71,363 | 9,367 | ||||||
Series 2134, Cl. SB, 71.243%, 3/15/293 |
81,832 | 9,410 | ||||||
Series 2422, Cl. SJ, 0.00%, 1/15/323,4 |
280,169 | 39,719 | ||||||
Series 2493, Cl. S, 12.478%, 9/15/293 |
21,717 | 3,502 | ||||||
Series 2682, Cl. TQ, 99.999%, 10/15/333 |
576,086 | 79,583 | ||||||
Series 2796, Cl. SD, 78.653%, 7/15/263 |
136,077 | 16,365 | ||||||
Series 2920, Cl. S, 19.773%, 1/15/353 |
586,868 | 80,904 | ||||||
Series 2922, Cl. SE, 18.864%, 2/15/353 |
457,440 | 58,898 | ||||||
Series 2981, Cl. AS, 2.173%, 5/15/353 |
1,206,945 | 128,692 | ||||||
Series 2981, Cl. BS, 99.999%, 5/15/353 |
1,177,444 | 165,316 | ||||||
Series 3005, Cl. WI, 0.00%, 7/15/353,4 |
354,953 | 80,039 | ||||||
Series 3397, Cl. GS, 0.00%, 12/15/373,4 |
220,782 | 35,287 | ||||||
Series 3424, Cl. EI, 0.00%, 4/15/383,4 |
88,802 | 7,906 | ||||||
Series 3450, Cl. BI, 10.998%, 5/15/383 |
2,450,557 | 333,870 | ||||||
Series 3606, Cl. SN, 15.071%, 12/15/393 | 676,536 | 84,362 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 7/1/336 |
32,995,000 | 32,068,663 | ||||||
3.00%, 7/1/33-8/1/486 |
72,745,000 | 71,100,532 | ||||||
3.50%, 7/1/33-8/1/486 |
229,855,000 | 229,131,923 | ||||||
4.00%, 8/1/486 |
58,320,000 | 59,372,496 | ||||||
4.50%, 8/1/486 |
201,370,000 | 209,318,608 | ||||||
5.00%, 8/1/486 | 77,835,000 | 82,303,299 | ||||||
Federal National Mortgage Assn. Pool: |
||||||||
5.00%, 3/1/21 |
7,262 | 7,389 | ||||||
5.50%, 12/1/18-5/1/36 |
954,867 | 1,038,752 | ||||||
6.00%, 5/1/20 |
1,553 | 1,556 | ||||||
6.50%, 10/1/19-11/1/31 |
1,507,723 | 1,664,756 | ||||||
7.00%, 4/1/33-4/1/34 |
962,123 | 1,084,901 | ||||||
7.50%, 1/1/33-8/1/33 |
1,436,171 | 1,634,700 | ||||||
8.50%, 7/1/32 |
3,744 | 3,807 |
14 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 222, Cl. 2, 99.999%, 6/25/233 |
$ | 184,381 | $ | 21,686 | ||||
Series 247, Cl. 2, 0.00%, 10/25/233,4 |
21,109 | 2,654 | ||||||
Series 252, Cl. 2, 99.999%, 11/25/233 |
179,141 | 24,236 | ||||||
Series 254, Cl. 2, 99.999%, 1/25/243 |
349,081 | 49,169 | ||||||
Series 301, Cl. 2, 19.206%, 4/25/293 |
102,716 | 21,541 | ||||||
Series 303, Cl. IO, 49.08%, 11/25/293 |
23,229 | 5,454 | ||||||
Series 319, Cl. 2, 10.186%, 2/25/323 |
82,525 | 18,504 | ||||||
Series 320, Cl. 2, 50.919%, 4/25/323 |
1,680,191 | 409,474 | ||||||
Series 321, Cl. 2, 17.135%, 4/25/323 |
256,059 | 60,615 | ||||||
Series 324, Cl. 2, 9.752%, 7/25/323 |
118,596 | 28,743 | ||||||
Series 331, Cl. 9, 14.397%, 2/25/333 |
945,442 | 189,129 | ||||||
Series 334, Cl. 14, 15.869%, 2/25/333 |
822,800 | 193,263 | ||||||
Series 334, Cl. 15, 0.00%, 2/25/333,4 |
545,405 | 123,635 | ||||||
Series 334, Cl. 17, 23.871%, 2/25/333 |
29,262 | 7,113 | ||||||
Series 339, Cl. 12, 0.00%, 6/25/333,4 |
628,671 | 160,583 | ||||||
Series 339, Cl. 7, 0.00%, 11/25/333,4 |
635,288 | 140,185 | ||||||
Series 343, Cl. 13, 99.999%, 9/25/333 |
750,405 | 156,791 | ||||||
Series 343, Cl. 18, 99.999%, 5/25/343 |
424,011 | 100,665 | ||||||
Series 345, Cl. 9, 0.00%, 1/25/343,4 |
320,917 | 73,571 | ||||||
Series 351, Cl. 10, 0.00%, 4/25/343,4 |
249,980 | 60,895 | ||||||
Series 351, Cl. 8, 0.00%, 4/25/343,4 |
442,902 | 87,109 | ||||||
Series 356, Cl. 10, 0.00%, 6/25/353,4 |
314,682 | 68,361 | ||||||
Series 356, Cl. 12, 0.00%, 2/25/353,4 |
154,558 | 33,735 | ||||||
Series 362, Cl. 13, 0.00%, 8/25/353,4 |
409,901 | 100,082 | ||||||
Series 364, Cl. 16, 0.00%, 9/25/353,4 |
562,230 | 137,180 | ||||||
Series 365, Cl. 16, 0.00%, 3/25/363,4 | 355,689 | 72,510 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
|
|||||||
Series 1993-104, Cl. ZB, 6.50%, 7/25/23 |
62,230 | 65,682 | ||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 |
61,077 | 64,154 | ||||||
Series 1996-35, Cl. Z, 7.00%, 7/25/26 |
21,510 | 23,251 | ||||||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 |
131,436 | 142,740 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 |
176,370 | 190,801 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 |
262,265 | 284,740 | ||||||
Series 1999-60, Cl. PG, 7.50%, 12/25/29 |
1,346,646 | 1,504,506 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 |
233,130 | 247,133 | ||||||
Series 2002-56, Cl. FN, 3.091% [LIBOR01M+100], 7/25/322 |
156,034 | 158,951 | ||||||
Series 2003-100, Cl. PA, 5.00%, 10/25/18 |
12,465 | 12,458 | ||||||
Series 2003-130, Cl. CS, 9.918% [-2 x LIBOR01M+1,410], 12/25/332 |
325,893 | 335,851 | ||||||
Series 2003-21, Cl. FK, 2.491% [LIBOR01M+40], 3/25/332 |
37,966 | 38,016 | ||||||
Series 2003-84, Cl. GE, 4.50%, 9/25/18 |
567 | 566 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 |
14,705 | 14,803 | ||||||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 |
949,590 | 1,001,784 | ||||||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 |
2,658,264 | 2,765,777 | ||||||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 |
2,480,000 | 2,665,231 | ||||||
Series 2005-71, Cl. DB, 4.50%, 8/25/25 |
217,155 | 221,635 | ||||||
Series 2005-73, Cl. DF, 2.341% [LIBOR01M+25], 8/25/352 |
236,976 | 237,877 |
15 OPPENHEIMER TOTAL RETURN 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 2006-50, Cl. SK, 16.533% [-3.667 x LIBOR01M+2,420], 6/25/362 |
$ | 333,203 | $ | 461,422 | ||||
Series 2008-75, Cl. DB, 4.50%, 9/25/23 |
16,673 | 16,689 | ||||||
Series 2009-113, Cl. DB, 3.00%, 12/25/20 |
89,614 | 89,609 | ||||||
Series 2009-36, Cl. FA, 3.031% [LIBOR01M+94], 6/25/372 |
202,660 | 207,349 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 |
8,406 | 8,404 | ||||||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 |
31,992 | 32,010 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 |
121,550 | 121,097 | ||||||
Series 2011-3, Cl. EL, 3.00%, 5/25/20 |
117,951 | 117,858 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 |
829,258 | 863,643 | ||||||
Series 2011-38, Cl. AH, 2.75%, 5/25/20 |
757 | 756 | ||||||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 | 90,075 | 90,297 | ||||||
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%, 3/17/313 |
21,263 | 1,559 | ||||||
Series 2001-61, Cl. SE, 3.482%, 11/18/313 |
129,973 | 20,848 | ||||||
Series 2001-65, Cl. S, 5.852%, 11/25/313 |
267,343 | 51,668 | ||||||
Series 2001-81, Cl. S, 8.031%, 1/25/323 |
39,733 | 6,540 | ||||||
Series 2002-12, Cl. SB, 4.385%, 7/25/313 |
63,470 | 10,840 | ||||||
Series 2002-2, Cl. SW, 0.00%, 2/25/323,4 |
75,179 | 12,664 | ||||||
Series 2002-38, Cl. SO, 25.377%, 4/25/323 |
45,497 | 6,513 | ||||||
Series 2002-41, Cl. S, 20.939%, 7/25/323 |
417,792 | 71,967 | ||||||
Series 2002-47, Cl. NS, 7.531%, 4/25/323 |
124,747 | 20,866 | ||||||
Series 2002-5, Cl. SD, 99.999%, 2/25/323 |
53,560 | 8,158 | ||||||
Series 2002-51, Cl. S, 7.892%, 8/25/323 |
114,542 | 18,270 | ||||||
Series 2002-52, Cl. SD, 39.20%, 9/25/323 |
181,314 | 30,839 | ||||||
Series 2002-60, Cl. SM, 0.00%, 8/25/323,4 |
364,741 | 49,538 | ||||||
Series 2002-60, Cl. SY, 99.999%, 4/25/323 |
369,634 | 12,818 | ||||||
Series 2002-64, Cl. SD, 10.057%, 4/25/273 |
166,026 | 23,910 | ||||||
Series 2002-7, Cl. SK, 1.55%, 1/25/323 |
221,602 | 32,725 | ||||||
Series 2002-75, Cl. SA, 11.032%, 11/25/323 |
225,992 | 37,824 | ||||||
Series 2002-77, Cl. BS, 11.134%, 12/18/323 |
451,813 | 76,131 | ||||||
Series 2002-77, Cl. IS, 25.529%, 12/18/323 |
77,513 | 13,729 | ||||||
Series 2002-77, Cl. SH, 12.584%, 12/18/323 |
59,112 | 9,314 | ||||||
Series 2002-84, Cl. SA, 2.488%, 12/25/323 |
57,519 | 9,501 | ||||||
Series 2002-89, Cl. S, 13.704%, 1/25/333 |
608,012 | 107,758 | ||||||
Series 2002-9, Cl. MS, 7.705%, 3/25/323 |
3,425 | 618 | ||||||
Series 2002-90, Cl. SN, 0.00%, 8/25/323,4 |
331,867 | 45,073 | ||||||
Series 2002-90, Cl. SY, 0.296%, 9/25/323 |
182,849 | 25,769 | ||||||
Series 2003-14, Cl. OI, 38.959%, 3/25/333 |
881,541 | 198,116 | ||||||
Series 2003-26, Cl. IK, 49.874%, 4/25/333 |
374,042 | 84,026 | ||||||
Series 2003-33, Cl. SP, 5.534%, 5/25/333 |
352,345 | 68,773 | ||||||
Series 2003-4, Cl. S, 0.00%, 2/25/333,4 |
104,089 | 19,651 | ||||||
Series 2003-52, Cl. NS, 1.021%, 6/25/233 |
1,172,097 | 67,103 | ||||||
Series 2004-54, Cl. DS, 58.196%, 11/25/303 |
35,420 | 5,118 | ||||||
Series 2004-56, Cl. SE, 5.658%, 10/25/333 |
475,898 | 79,525 | ||||||
Series 2005-12, Cl. SC, 25.068%, 3/25/353 |
217,734 | 29,707 |
16 OPPENHEIMER TOTAL RETURN 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 2005-40, Cl. SA, 26.746%, 5/25/353 |
$ | 318,347 | $ | 42,010 | ||||
Series 2005-52, Cl. JH, 30.811%, 5/25/353 |
643,975 | 77,140 | ||||||
Series 2005-6, Cl. SE, 47.976%, 2/25/353 |
609,034 | 83,728 | ||||||
Series 2005-93, Cl. SI, 0.108%, 10/25/353 |
423,053 | 55,806 | ||||||
Series 2006-53, Cl. US, 16.151%, 6/25/363 |
31,844 | 4,110 | ||||||
Series 2008-55, Cl. SA, 0.00%, 7/25/383,4 |
239,872 | 21,467 | ||||||
Series 2009-8, Cl. BS, 0.00%, 2/25/243,4 |
14,025 | 698 | ||||||
Series 2011-96, Cl. SA, 7.664%, 10/25/413 |
985,885 | 133,029 | ||||||
Series 2012-134, Cl. SA, 2.356%, 12/25/423 |
2,672,331 | 446,672 | ||||||
Series 2012-40, Cl. PI, 10.579%, 4/25/413 | 1,892,638 | 296,821 | ||||||
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%, 9/25/235 | 59,429 | 55,050 | ||||||
|
721,591,901
|
| ||||||
GNMA/Guaranteed9.8% | ||||||||
Government National Mortgage Assn. II Pool: |
||||||||
2.75% [H15T1Y+150], 7/20/25-7/20/272 |
4,565 | 4,687 | ||||||
3.50%, 7/1/486 |
69,445,000 | 69,694,566 | ||||||
4.00%, 7/1/486 |
132,260,000 | 135,532,922 | ||||||
11.00%, 10/20/19 | 39 | 39 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2002-15, Cl. SM, 99.999%, 2/16/323 |
204,208 | 2,143 | ||||||
Series 2002-41, Cl. GS, 99.999%, 6/16/323 |
39,624 | 1,802 | ||||||
Series 2002-76, Cl. SY, 13.672%, 12/16/263 |
77,771 | 7,824 | ||||||
Series 2007-17, Cl. AI, 45.732%, 4/16/373 |
1,383,730 | 191,371 | ||||||
Series 2011-52, Cl. HS, 21.863%, 4/16/413 | 4,148,588 | 470,693 | ||||||
|
205,906,047
|
| ||||||
Non-Agency14.9% | ||||||||
Commercial6.9% | ||||||||
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 99.999%, 4/14/293 | 1,037,331 | 594 | ||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 3.41% [H15T1Y+210], 9/26/351,2 | 292,923 | 294,216 | ||||||
Benchmark Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2018-B1, Cl. XA, 13.898%, 1/15/513 | 35,485,936 | 1,410,761 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/243,4,7,8 | 88,588 | 1,886 | ||||||
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-CD6, Cl. XA, 14.496%, 11/13/503 | 11,812,696 | 739,676 | ||||||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.602%, 1/25/369 | 1,148,328 | 1,087,411 | ||||||
Citigroup Commercial Mortgage Trust: |
||||||||
Series 2012-GC8, Cl. AAB, 2.608%, 9/10/45 |
1,567,383 | 1,552,623 | ||||||
Series 2013-GC17, Cl. XA, 0.00%, 11/10/463,4 |
19,284,959 | 636,272 | ||||||
Series 2014-GC21, Cl. AAB, 3.477%, 5/10/47 |
1,515,000 | 1,528,611 |
17 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C4, Cl. XA, 13.828%, 10/12/503 | $ | 31,117,369 | $ | 2,308,875 | ||||
COMM Mortgage Trust: |
||||||||
Series 2012-CR3, Cl. ASB, 2.372%, 10/15/45 |
294,948 | 291,126 | ||||||
Series 2012-LC4, Cl. A3, 3.069%, 12/10/44 |
621,846 | 622,041 | ||||||
Series 2013-CR13, Cl. ASB, 3.706%, 11/10/46 |
2,890,000 | 2,933,992 | ||||||
Series 2013-CR6, Cl. AM, 3.147%, 3/10/461 |
2,945,000 | 2,888,389 | ||||||
Series 2014-CR17, Cl. ASB, 3.598%, 5/10/47 |
5,065,000 | 5,127,844 | ||||||
Series 2014-CR20, Cl. ASB, 3.305%, 11/10/47 |
1,020,000 | 1,022,340 | ||||||
Series 2014-CR21, Cl. AM, 3.987%, 12/10/47 |
6,135,175 | 6,152,739 | ||||||
Series 2014-LC15, Cl. AM, 4.198%, 4/10/47 |
2,865,000 | 2,923,281 | ||||||
Series 2014-UBS6, Cl. AM, 4.048%, 12/10/47 |
5,720,000 | 5,758,939 | ||||||
Series 2015-CR22, Cl. A2, 2.856%, 3/10/48 | 1,959,000 | 1,955,228 | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 23.205%, 12/10/453 | 12,729,904 | 720,034 | ||||||
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 | 948,204 | 794,003 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 2.741% [US0001M+65], 11/25/352 | 792,037 | 615,988 | ||||||
FREMF Mortgage Trust: |
||||||||
Series 2010-K6, Cl. B, 5.542%, 12/25/461,9 |
900,000 | 927,872 | ||||||
Series 2013-K25, Cl. C, 3.744%, 11/25/451,9 |
605,000 | 587,068 | ||||||
Series 2013-K26, Cl. C, 3.721%, 12/25/451,9 |
1,165,000 | 1,128,783 | ||||||
Series 2013-K27, Cl. C, 3.615%, 1/25/461,9 |
650,000 | 626,405 | ||||||
Series 2013-K28, Cl. C, 3.61%, 6/25/461,9 |
2,580,000 | 2,547,693 | ||||||
Series 2013-K713, Cl. C, 3.262%, 4/25/461,9 |
1,075,000 | 1,069,964 | ||||||
Series 2014-K714, Cl. C, 3.981%, 1/25/471,9 |
815,402 | 819,153 | ||||||
Series 2014-K715, Cl. C, 4.265%, 2/25/461,9 |
230,000 | 229,516 | ||||||
Series 2015-K44, Cl. B, 3.81%, 1/25/481,9 |
1,175,000 | 1,156,850 | ||||||
Series 2017-K62, Cl. B, 4.004%, 1/25/501,9 |
1,040,000 | 1,024,983 | ||||||
Series 2017-K724, Cl. B, 3.601%, 11/25/231,9 | 780,000 | 756,449 | ||||||
GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Cl. A, 2.933%, 6/5/311 | 6,735,000 | 6,744,000 | ||||||
GS Mortgage Securities Trust: |
||||||||
Series 2012-GC6, Cl. A3, 3.482%, 1/10/45 |
1,414,657 | 1,427,453 | ||||||
Series 2012-GC6, Cl. AS, 4.948%, 1/10/451 |
1,666,000 | 1,737,591 | ||||||
Series 2013-GC12, Cl. AAB, 2.678%, 6/10/46 |
536,006 | 530,391 | ||||||
Series 2013-GC16, Cl. AS, 4.649%, 11/10/46 |
885,000 | 927,994 | ||||||
Series 2014-GC18, Cl. AAB, 3.648%, 1/10/47 | 1,333,000 | 1,349,646 | ||||||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/371,9 | 1,721,389 | 1,661,082 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: |
||||||||
Series 2012-C6, Cl. ASB, 3.144%, 5/15/45 |
2,127,656 | 2,130,217 | ||||||
Series 2012-LC9, Cl. A4, 2.611%, 12/15/47 |
335,000 | 329,673 | ||||||
Series 2013-C10, Cl. AS, 3.372%, 12/15/47 |
4,205,000 | 4,151,407 | ||||||
Series 2013-C16, Cl. AS, 4.517%, 12/15/46 |
3,490,000 | 3,642,132 | ||||||
Series 2013-LC11, Cl. AS, 3.216%, 4/15/46 |
1,722,000 | 1,687,671 | ||||||
Series 2013-LC11, Cl. ASB, 2.554%, 4/15/46 |
745,948 | 736,443 | ||||||
Series 2014-C20, Cl. AS, 4.043%, 7/15/47 |
3,950,000 | 3,998,919 | ||||||
Series 2016-JP3, Cl. A2, 2.435%, 8/15/49 | 3,095,000 | 3,018,602 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.692%, 7/25/359 |
1,009,773 | 1,038,972 |
18 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 4.278%, 7/26/361,9 | $ | 1,366,665 | $ | 1,315,620 | ||||
JPMBB Commercial Mortgage Securities Trust: |
||||||||
Series 2013-C17, Cl. ASB, 3.705%, 1/15/47 |
1,130,000 | 1,146,399 | ||||||
Series 2014-C18, Cl. A3, 3.578%, 2/15/47 |
1,525,000 | 1,528,105 | ||||||
Series 2014-C19, Cl. ASB, 3.584%, 4/15/47 |
635,000 | 641,794 | ||||||
Series 2014-C24, Cl. B, 4.116%, 11/15/479 |
2,630,000 | 2,641,708 | ||||||
Series 2014-C25, Cl. AS, 4.065%, 11/15/47 |
6,036,000 | 6,109,002 | ||||||
Series 2014-C26, Cl. AS, 3.80%, 1/15/48 |
4,415,000 | 4,400,604 | ||||||
Series 2015-C28, Cl. AS, 3.532%, 10/15/48 | 3,400,000 | 3,333,219 | ||||||
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/303,4 | 49,340 | 3 | ||||||
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 0.00%, 7/26/241,8,9 | 20,098 | 14,586 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||
Series 2013-C7, Cl. AAB, 2.469%, 2/15/46 |
1,491,256 | 1,470,988 | ||||||
Series 2013-C9, Cl. AS, 3.456%, 5/15/46 |
2,730,000 | 2,685,351 | ||||||
Series 2014-C19, Cl. AS, 3.832%, 12/15/47 | 5,035,000 | 5,013,896 | ||||||
Morgan Stanley Capital I Trust: |
||||||||
Series 2011-C1, 5.033%, 9/15/471,9 |
1,637,031 | 1,687,613 | ||||||
Series 2011-C2, Cl. A4, 4.661%, 6/15/441 | 1,815,000 | 1,880,360 | ||||||
Morgan Stanley Capital I, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-HR2, Cl. XA, 12.66%, 12/15/503 | 13,313,603 | 796,256 | ||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 3.059%, 11/26/361,9 | 2,149,218 | 1,936,279 | ||||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.475%, 6/26/461,9 | 607,056 | 606,667 | ||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 3.644%, 7/26/451,9 | 230,269 | 235,937 | ||||||
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C5, Cl. XA, 13.993%, 11/15/503 | 20,256,294 | 1,355,523 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Cl. ASB, 2.934%, 5/15/48 | 5,135,000 | 5,069,799 | ||||||
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C42, Cl. XA, 12.341%, 12/15/503 | 18,510,011 | 1,259,214 | ||||||
WF-RBS Commercial Mortgage Trust: |
||||||||
Series 2013-C14, Cl. AS, 3.488%, 6/15/46 |
2,330,000 | 2,304,719 | ||||||
Series 2014-C20, Cl. AS, 4.176%, 5/15/47 |
1,693,000 | 1,707,728 | ||||||
Series 2014-C22, Cl. A3, 3.528%, 9/15/57 |
675,000 | 677,962 | ||||||
Series 2014-C25, Cl. AS, 3.984%, 11/15/47 |
5,225,000 | 5,227,415 | ||||||
Series 2014-LC14, Cl. AS, 4.351%, 3/15/479 | 2,174,838 | 2,233,158 | ||||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 33.114%, 3/15/441,3 | 14,703,160 | 451,394 | ||||||
|
145,085,097
|
| ||||||
Multi-Family0.3% | ||||||||
Connecticut Avenue Securities: |
||||||||
Series 2014-C02, Cl. 1M1, 3.041% [US0001M+95], 5/25/242 |
1,497,242 | 1,501,604 |
19 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Multi-Family (Continued) | ||||||||
Connecticut Avenue Securities: (Continued) |
||||||||
Series 2017-C04, Cl. 2M1, 2.941% [US0001M+85], 11/25/292 | $ | 4,705,717 | $ | 4,720,491 | ||||
|
6,222,095
|
| ||||||
Residential7.7% | ||||||||
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5.00%, 7/25/35 | 706,764 | 620,273 | ||||||
Banc of America Funding Trust: |
||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 |
443,732 | 417,057 | ||||||
Series 2007-C, Cl. 1A4, 3.742%, 5/20/369 |
218,186 | 211,191 | ||||||
Series 2014-R7, Cl. 3A1, 3.822%, 3/26/361,9 | 1,275,374 | 1,284,840 | ||||||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6.00%, 3/25/37 | 546,748 | 519,584 | ||||||
Bear Stearns ARM Trust: |
||||||||
Series 2005-9, Cl. A1, 3.52% [H15T1Y+230], 10/25/352 |
665,145 | 674,311 | ||||||
Series 2006-1, Cl. A1, 3.67% [H15T1Y+225], 2/25/362 | 1,818,231 | 1,833,865 | ||||||
Chase Funding Trust, Series 2003-2, Cl. 2A2, 2.651% [US0001M+56], 2/25/332 | 362,314 | 348,593 | ||||||
CHL Mortgage Pass-Through Trust: |
||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 |
451,677 | 410,190 | ||||||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 | 406,421 | 348,849 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 4.28% [H15T1Y+240], 10/25/352 | 3,359,320 | 3,401,428 | ||||||
Connecticut Avenue Securities: |
||||||||
Series 2014-C03, Cl. 1M2, 5.091% [US0001M+300], 7/25/242 |
4,921,984 | 5,277,569 | ||||||
Series 2016-C03, Cl. 1M1, 4.091% [US0001M+200], 10/25/282 |
1,276,651 | 1,294,226 | ||||||
Series 2016-C07, Cl. 2M1, 3.391% [US0001M+130], 5/25/292 |
2,201,914 | 2,210,321 | ||||||
Series 2017-C02, Cl. 2M1, 3.241% [US0001M+115], 9/25/292 |
5,804,596 | 5,837,946 | ||||||
Series 2017-C03, Cl. 1M1, 3.041% [US0001M+95], 10/25/292 |
5,949,779 | 5,984,325 | ||||||
Series 2017-C06, Cl. 1M1, 2.841% [US0001M+75], 2/25/302 |
2,648,417 | 2,652,768 | ||||||
Series 2017-C07, Cl. 1M1, 2.741% [US0001M+65], 5/25/302 |
4,845,881 | 4,846,845 | ||||||
Series 2017-C07, Cl. 1M2, 4.491% [US0001M+240], 5/25/302 |
2,970,000 | 3,034,562 | ||||||
Series 2017-C07, Cl. 2M1, 2.741% [US0001M+65], 5/25/302 |
4,051,295 | 4,053,122 | ||||||
Series 2018-C01, Cl. 1M1, 2.691% [US0001M+60], 7/25/302 |
4,236,053 | 4,231,331 | ||||||
Series 2018-C02, Cl. 2M1, 2.741% [US0001M+65], 8/25/302 |
1,754,374 | 1,755,113 | ||||||
Series 2018-C03, Cl. 1M1, 2.771% [US0001M+68], 10/25/302 |
5,369,794 | 5,369,256 | ||||||
Series 2018-C04, Cl. 2M1, 2.852% [US0001M+75], 12/25/302,6 | 4,750,000 | 4,762,224 | ||||||
Countrywide Alternative Loan Trust, Series 2005-21CB, Cl. A7, 5.50%, 6/25/35 | 1,298,675 | 1,230,844 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 4.349%, 7/25/359 | 359,860 | 363,397 | ||||||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 2.401% [US0001M+31], 7/25/352 |
397,627 | 397,270 |
20 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Residential (Continued) |
|
|||||||
RALI Trust: |
||||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 |
$ | 114,406 | $ | 102,422 | ||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 598,732 | 546,102 | ||||||
Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6.00%, 6/25/35 | 314,133 | 295,770 | ||||||
STACR Trust, Series 2018-DNA2, Cl. M1, 2.857% [US0001M+80], 12/25/301,2 | 6,600,000 | 6,601,527 | ||||||
Structured Agency Credit Risk Debt Nts.: |
||||||||
Series 2013-DN2, Cl. M2, 6.341% [US0001M+425], 11/25/232 |
4,171,995 | 4,638,919 | ||||||
Series 2014-DN1, Cl. M2, 4.291% [US0001M+220], 2/25/242 |
767,017 | 788,865 | ||||||
Series 2014-DN1, Cl. M3, 6.591% [US0001M+450], 2/25/242 |
3,595,000 | 4,148,828 | ||||||
Series 2014-DN2, Cl. M3, 5.691% [US0001M+360], 4/25/242 |
4,610,000 | 5,117,223 | ||||||
Series 2014-HQ2, Cl. M3, 5.841% [US0001M+375], 9/25/242 |
4,050,000 | 4,625,326 | ||||||
Series 2015-HQA2, Cl. M2, 4.891% [US0001M+280], 5/25/282 |
1,003,183 | 1,031,521 | ||||||
Series 2016-DNA1, Cl. M2, 4.991% [US0001M+290], 7/25/282 |
1,514,557 | 1,553,905 | ||||||
Series 2016-DNA4, Cl. M1, 2.891% [US0001M+80], 3/25/292 |
588,285 | 588,831 | ||||||
Series 2016-DNA4, Cl. M3, 5.891% [US0001M+380], 3/25/292 |
4,040,000 | 4,501,331 | ||||||
Series 2016-HQA3, Cl. M1, 2.891% [US0001M+80], 3/25/292 |
2,963,193 | 2,967,108 | ||||||
Series 2016-HQA3, Cl. M3, 5.941% [US0001M+385], 3/25/292 |
2,800,000 | 3,126,497 | ||||||
Series 2016-HQA4, Cl. M1, 2.891% [US0001M+80], 4/25/292 |
2,036,620 | 2,038,747 | ||||||
Series 2016-HQA4, Cl. M3, 5.991% [US0001M+390], 4/25/292 |
3,995,000 | 4,467,448 | ||||||
Series 2017-HQA1, Cl. M1, 3.291% [US0001M+120], 8/25/292 |
8,359,168 | 8,416,931 | ||||||
Series 2017-HQA2, Cl. M1, 2.891% [US0001M+80], 12/25/292 |
2,828,632 | 2,834,346 | ||||||
Series 2017-HQA3, Cl. M1, 2.641% [US0001M+55], 4/25/302 |
9,195,816 | 9,190,011 | ||||||
Series 2018-DNA1, Cl. M1, 2.541% [US0001M+45], 7/25/302 |
9,392,866 | 9,356,045 | ||||||
Series 2018-DNA1, Cl. M2, 3.891% [US0001M+180], 7/25/302 | 6,665,000 | 6,562,374 | ||||||
WaMu Mortgage Pass-Through Certificates Trust: |
||||||||
Series 2003-AR10, Cl. A7, 3.459%, 10/25/339 |
700,974 | 712,408 | ||||||
Series 2005-AR14, Cl. 1A4, 3.413%, 12/25/359 |
950,887 | 960,984 | ||||||
Series 2005-AR16, Cl. 1A1, 3.398%, 12/25/359 | 825,569 | 830,408 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: |
||||||||
Series 2005-AR15, Cl. 1A2, 3.552%, 9/25/359 |
1,190,567 | 1,160,389 |
21 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Residential (Continued) | ||||||||
Wells Fargo Mortgage-Backed Securities Trust: (Continued) |
||||||||
Series 2005-AR15, Cl. 1A6, 3.552%, 9/25/359 |
$ | 98,821 | $ | 95,629 | ||||
Series 2005-AR4, Cl. 2A2, 3.97%, 4/25/359 |
2,864,375 | 2,890,336 | ||||||
Series 2006-AR10, Cl. 1A1, 4.12%, 7/25/369 |
662,939 | 650,544 | ||||||
Series 2006-AR10, Cl. 5A5, 4.278%, 7/25/369 |
1,873,066 | 1,903,483 | ||||||
Series 2006-AR2, Cl. 2A3, 3.822%, 3/25/369 |
1,005,053 | 1,018,461 | ||||||
Series 2006-AR7, Cl. 2A4, 4.323%, 5/25/369 |
397,983 | 407,996 | ||||||
Series 2006-AR8, Cl. 2A1, 3.933%, 4/25/369 |
2,384,841 | 2,428,573 | ||||||
Series 2006-AR8, Cl. 2A4, 3.933%, 4/25/369 |
448,582 | 456,808 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 | 293,072 | 297,777 | ||||||
160,685,173 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,239,023,903) |
1,239,490,313 | |||||||
U.S. Government Obligation0.4% | ||||||||
United States Treasury Nts., 1.50%, 5/31/1910 (Cost $7,489,150) |
7,480,000 | 7,423,462 | ||||||
Corporate Bonds and Notes48.0% | ||||||||
Consumer Discretionary7.4% | ||||||||
Automobiles2.1% | ||||||||
Daimler Finance North America LLC: |
||||||||
2.20% Sr. Unsec. Nts., 5/5/201 |
3,529,000 | 3,461,961 | ||||||
3.75% Sr. Unsec. Nts., 2/22/281 | 4,444,000 | 4,313,382 | ||||||
Ford Motor Credit Co. LLC: |
||||||||
2.425% Sr. Unsec. Nts., 6/12/20 |
2,780,000 | 2,727,080 | ||||||
3.664% Sr. Unsec. Nts., 9/8/24 | 3,735,000 | 3,577,932 | ||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,336,000 | 1,388,035 | ||||||
General Motors Financial Co., Inc., 3.15% Sr. Unsec. Nts., 6/30/22 | 4,698,000 | 4,570,078 | ||||||
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. Nts., 6/15/201 | 5,210,000 | 5,111,319 | ||||||
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45 | 1,417,000 | 1,378,988 | ||||||
Hyundai Capital America: |
||||||||
1.75% Sr. Unsec. Nts., 9/27/191 |
4,062,000 | 3,985,046 | ||||||
4.125% Sr. Unsec. Nts., 6/8/231 | 5,286,000 | 5,262,753 | ||||||
Nissan Motor Acceptance Corp., 2.15% Sr. Unsec. Nts., 9/28/201 | 2,945,000 | 2,870,029 | ||||||
Volkswagen Group of America Finance LLC, 2.45% Sr. Unsec. Nts., 11/20/191 | 4,600,000 | 4,550,493 | ||||||
43,197,096 | ||||||||
Diversified Consumer Services0.2% | ||||||||
Service Corp. International, 4.625% Sr. Unsec. Nts., 12/15/27 |
5,273,000 | 4,994,058 | ||||||
Hotels, Restaurants & Leisure0.4% | ||||||||
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/251 | 3,166,000 | 3,158,085 | ||||||
Royal Caribbean Cruises Ltd., 2.65% Sr. Unsec. Nts., 11/28/20 | 4,419,000 | 4,345,972 | ||||||
7,504,057 |
22 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Household Durables0.9% | ||||||||
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20 | $ | 5,392,000 | $ | 5,287,434 | ||||
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 | 5,255,000 | 5,103,919 | ||||||
Newell Brands, Inc., 5.00% Sr. Unsec. Nts., 11/15/23 | 1,633,000 | 1,669,889 | ||||||
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27 | 3,310,000 | 3,156,912 | ||||||
Toll Brothers Finance Corp.: |
||||||||
4.375% Sr. Unsec. Nts., 4/15/23 |
2,711,000 | 2,666,946 | ||||||
4.875% Sr. Unsec. Nts., 3/15/27 | 1,445,000 | 1,354,688 | ||||||
19,239,788 | ||||||||
Internet & Catalog Retail0.5% | ||||||||
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 | 2,012,000 | 2,239,421 | ||||||
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 8,575,000 | 8,296,881 | ||||||
10,536,302 | ||||||||
Media1.6% | ||||||||
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46 | 1,983,000 | 2,054,246 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/47 | 2,229,000 | 2,029,731 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 5,080,000 | 6,235,982 | ||||||
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 | 5,050,000 | 5,084,331 | ||||||
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/241 | 2,363,000 | 2,351,584 | ||||||
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | 3,253,000 | 2,680,027 | ||||||
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43 | 1,670,000 | 1,391,222 | ||||||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/261 | 5,444,000 | 5,056,115 | ||||||
WPP Finance 2010, 3.75% Sr. Unsec. Nts., 9/19/24 | 5,833,000 | 5,639,990 | ||||||
32,523,228 | ||||||||
Multiline Retail0.2% | ||||||||
Dollar Tree, Inc., 4.00% Sr. Unsec. Nts., 5/15/25 |
5,305,000 | 5,191,326 | ||||||
Specialty Retail1.1% | ||||||||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 | 689,000 | 683,983 | ||||||
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 | 4,811,000 | 5,045,853 | ||||||
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22 | 5,136,000 | 5,238,720 | ||||||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | 5,507,000 | 5,439,459 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25 | 2,214,000 | 2,053,485 | ||||||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | 4,650,000 | 4,373,189 | ||||||
22,834,689 | ||||||||
Textiles, Apparel & Luxury Goods0.4% | ||||||||
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/261 |
5,292,000 | 5,133,240 |
23 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Textiles, Apparel & Luxury Goods (Continued) | ||||||||
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25 | $ | 3,148,000 | $ | 3,148,000 | ||||
8,281,240 | ||||||||
Consumer Staples4.5% | ||||||||
Beverages1.6% | ||||||||
Anheuser-Busch InBev Finance, Inc.: |
||||||||
3.65% Sr. Unsec. Nts., 2/1/26 |
3,032,000 | 2,972,118 | ||||||
4.90% Sr. Unsec. Nts., 2/1/46 | 2,064,000 | 2,130,133 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 3,126,000 | 4,479,333 | ||||||
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/281 | 2,674,000 | 2,634,070 | ||||||
Maple Escrow Subsidiary, Inc.: |
||||||||
4.057% Sr. Unsec. Nts., 5/25/231 |
5,431,000 | 5,457,199 | ||||||
4.597% Sr. Unsec. Nts., 5/25/281 | 2,695,000 | 2,709,157 | ||||||
Molson Coors Brewing Co.: |
||||||||
1.45% Sr. Unsec. Nts., 7/15/19 |
1,826,000 | 1,797,601 | ||||||
2.10% Sr. Unsec. Nts., 7/15/21 |
4,663,000 | 4,474,368 | ||||||
4.20% Sr. Unsec. Nts., 7/15/46 | 1,061,000 | 955,543 | ||||||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221 | 4,732,000 | 4,836,906 | ||||||
32,446,428 | ||||||||
Food & Staples Retailing0.4% | ||||||||
Alimentation Couche-Tard, Inc., 2.35% Sr. Unsec. Nts., 12/13/191 | 5,322,000 | 5,258,595 | ||||||
Kroger Co. (The): |
||||||||
2.00% Sr. Unsec. Nts., 1/15/19 |
309,000 | 307,564 | ||||||
4.45% Sr. Unsec. Nts., 2/1/47 |
1,486,000 | 1,355,701 | ||||||
6.80% Sr. Unsec. Nts., 12/15/18 |
346,000 | 352,262 | ||||||
6.90% Sr. Unsec. Nts., 4/15/38 | 1,624,000 | 1,968,816 | ||||||
9,242,938 | ||||||||
Food Products1.5% | ||||||||
Bunge Ltd. Finance Corp.: |
||||||||
3.25% Sr. Unsec. Nts., 8/15/26 |
3,613,000 | 3,302,282 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 4,716,000 | 4,954,818 | ||||||
Campbell Soup Co., 3.30% Sr. Unsec. Nts., 3/15/21 | 5,029,000 | 5,011,068 | ||||||
General Mills, Inc., 4.70% Sr. Unsec. Nts., 4/17/48 | 1,701,000 | 1,631,752 | ||||||
Kraft Heinz Foods Co., 3.95% Sr. Unsec. Nts., 7/15/25 | 2,959,000 | 2,879,643 | ||||||
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/261 | 5,012,000 | 4,886,700 | ||||||
Smithfield Foods, Inc.: |
||||||||
2.70% Sr. Unsec. Nts., 1/31/201 |
2,252,000 | 2,220,463 | ||||||
3.35% Sr. Unsec. Nts., 2/1/221 | 2,929,000 | 2,829,966 | ||||||
Tyson Foods, Inc., 3.55% Sr. Unsec. Nts., 6/2/27 | 2,791,000 | 2,644,432 | ||||||
30,361,124 | ||||||||
Tobacco1.0% | ||||||||
Altria Group, Inc., 4.00% Sr. Unsec. Nts., 1/31/24 | 3,823,000 | 3,872,303 | ||||||
BAT Capital Corp.: |
||||||||
2.297% Sr. Unsec. Nts., 8/14/201 |
5,176,000 | 5,066,742 |
24 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Tobacco (Continued) | ||||||||
BAT Capital Corp.: (Continued) |
||||||||
3.557% Sr. Unsec. Nts., 8/15/271 | $ | 2,912,000 | $ | 2,713,467 | ||||
Imperial Tobacco Finance plc, 2.95% Sr. Unsec. Nts., 7/21/201 | 5,205,000 | 5,153,678 | ||||||
Philip Morris International, Inc., 2.50% Sr. Unsec. Nts., 11/2/22 | 4,715,000 | 4,524,794 | ||||||
21,330,984 | ||||||||
Energy3.5% | ||||||||
Energy Equipment & Services0.3% | ||||||||
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45 | 1,193,000 | 1,274,878 | ||||||
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 | 2,440,000 | 2,522,124 | ||||||
Schlumberger Holdings Corp., 4.00% Sr. Unsec. Nts., 12/21/251 | 2,890,000 | 2,884,035 | ||||||
6,681,037 | ||||||||
Oil, Gas & Consumable Fuels3.2% | ||||||||
Anadarko Petroleum Corp.: |
||||||||
4.50% Sr. Unsec. Nts., 7/15/44 |
1,362,000 | 1,272,089 | ||||||
6.20% Sr. Unsec. Nts., 3/15/40 | 814,000 | 919,366 | ||||||
Andeavor, 5.125% Sr. Unsec. Nts., 12/15/26 | 4,726,000 | 4,950,288 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: |
||||||||
4.25% Sr. Unsec. Nts., 12/1/27 |
2,579,000 | 2,485,927 | ||||||
5.25% Sr. Unsec. Nts., 1/15/25 | 1,917,000 | 1,967,091 | ||||||
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43 | 1,514,000 | 1,441,606 | ||||||
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26 | 1,405,000 | 1,276,556 | ||||||
Columbia Pipeline Group, Inc.: |
||||||||
3.30% Sr. Unsec. Nts., 6/1/20 |
3,820,000 | 3,805,792 | ||||||
4.50% Sr. Unsec. Nts., 6/1/25 | 2,681,000 | 2,687,152 | ||||||
ConocoPhillips Co.: |
||||||||
4.95% Sr. Unsec. Nts., 3/15/26 |
461,000 | 497,477 | ||||||
5.95% Sr. Unsec. Nts., 3/15/46 | 1,080,000 | 1,347,749 | ||||||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | 1,153,000 | 1,128,774 | ||||||
Energy Transfer Partners LP, 5.30% Sr. Unsec. Nts., 4/15/47 | 1,501,000 | 1,377,019 | ||||||
Enterprise Products Operating LLC: |
||||||||
4.85% Sr. Unsec. Nts., 8/15/42 |
987,000 | 988,101 | ||||||
4.90% Sr. Unsec. Nts., 5/15/46 | 779,000 | 782,852 | ||||||
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20 | 5,403,000 | 5,281,768 | ||||||
Kinder Morgan, Inc.: |
||||||||
5.20% Sr. Unsec. Nts., 3/1/48 |
1,282,000 | 1,243,105 | ||||||
5.55% Sr. Unsec. Nts., 6/1/45 | 2,233,000 | 2,262,324 | ||||||
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 | 1,422,000 | 1,425,184 | ||||||
ONEOK Partners LP, 8.625% Sr. Unsec. Nts., 3/1/19 | 3,216,000 | 3,329,223 | ||||||
Pioneer Natural Resources Co., 3.45% Sr. Unsec. Nts., 1/15/21 | 5,100,000 | 5,113,473 | ||||||
Sabine Pass Liquefaction LLC: |
||||||||
4.20% Sr. Sec. Nts., 3/15/28 |
2,699,000 | 2,599,593 | ||||||
5.625% Sr. Sec. Nts., 2/1/21 | 4,074,000 | 4,262,944 | ||||||
Shell International Finance BV, 4.00% Sr. Unsec. Nts., 5/10/46 |
1,860,000 | 1,804,325 |
25 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. Nts., 10/1/27 | $ | 2,933,000 | $ | 2,745,014 | ||||
TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39 | 1,144,000 | 1,503,726 | ||||||
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23 | 5,303,000 | 5,157,168 | ||||||
Williams Partners LP, 3.75% Sr. Unsec. Nts., 6/15/27 | 2,175,000 | 2,056,761 | ||||||
65,712,447 | ||||||||
Financials13.8% | ||||||||
Capital Markets3.2% | ||||||||
Apollo Management Holdings LP, 4.00% Sr. Unsec. Nts., 5/30/241 | 2,967,000 | 2,949,672 | ||||||
Bank of New York Mellon Corp. (The), 3.00% Sub. Nts., 10/30/28 | 1,759,000 | 1,608,333 | ||||||
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/271 | 1,925,000 | 1,807,808 | ||||||
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25 | 4,078,000 | 4,036,015 | ||||||
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 | 3,175,000 | 3,131,014 | ||||||
Credit Suisse Group AG, 3.869% [US0003M+141] Sr. Unsec. Nts., 1/12/291,2 | 2,980,000 | 2,806,560 | ||||||
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 | 2,435,000 | 2,437,973 | ||||||
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds2,11 | 5,120,000 | 5,222,400 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
3.50% Sr. Unsec. Nts., 11/16/26 |
2,654,000 | 2,502,419 | ||||||
3.691% [US0003M+151] Sr. Unsec. Nts., 6/5/282 |
1,000,000 | 948,691 | ||||||
3.75% Sr. Unsec. Nts., 2/25/26 |
2,550,000 | 2,473,933 | ||||||
4.017% [US0003M+137.3] Sr. Unsec. Nts., 10/31/382 | 1,903,000 | 1,736,127 | ||||||
Macquarie Bank Ltd., 2.60% Sr. Unsec. Nts., 6/24/191 | 4,251,000 | 4,238,660 | ||||||
Macquarie Group Ltd., 3.763% [US0003M+137.2] Sr. Unsec. Nts., 11/28/281,2 | 4,109,000 | 3,804,346 | ||||||
Morgan Stanley: |
||||||||
3.95% Sub. Nts., 4/23/27 |
1,200,000 | 1,145,624 | ||||||
4.375% Sr. Unsec. Nts., 1/22/47 |
3,662,000 | 3,502,560 | ||||||
5.00% Sub. Nts., 11/24/25 | 4,427,000 | 4,594,799 | ||||||
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/261 | 5,106,000 | 4,952,820 | ||||||
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/322 | 1,993,000 | 1,873,666 | ||||||
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26 | 2,653,000 | 2,551,279 | ||||||
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27 | 3,298,000 | 3,149,294 | ||||||
UBS Group Funding Switzerland AG: |
||||||||
4.125% Sr. Unsec. Nts., 4/15/261 |
2,732,000 | 2,705,589 | ||||||
4.253% Sr. Unsec. Nts., 3/23/281 | 1,954,000 | 1,942,847 | ||||||
66,122,429 |
26 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Commercial Banks6.6% | ||||||||
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/282 | $ | 6,000,000 | $ | 5,893,170 | ||||
Australia & New Zealand Banking Group Ltd. (New York), 2.625% Sr. Unsec. Nts., 5/19/22 | 4,175,000 | 4,036,882 | ||||||
Banco Santander SA, 4.379% Sr. Unsec. Nts., 4/12/28 | 4,000,000 | 3,830,485 | ||||||
Bank of America Corp.: |
||||||||
3.248% Sr. Unsec. Nts., 10/21/27 |
4,525,000 | 4,220,486 | ||||||
3.593% [US0003M+137] Sr. Unsec. Nts., 7/21/282 |
600,000 | 573,277 | ||||||
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/282 |
3,221,000 | 3,144,171 | ||||||
7.75% Jr. Sub. Nts., 5/14/38 | 3,035,000 | 4,121,914 | ||||||
Barclays plc, 4.375% Sr. Unsec. Nts., 1/12/26 | 5,209,000 | 5,072,035 | ||||||
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24 | 3,868,000 | 3,671,624 | ||||||
BNP Paribas SA: |
||||||||
3.50% Sr. Unsec. Nts., 11/16/271 |
2,035,000 | 1,890,859 | ||||||
4.625% Sub. Nts., 3/13/271 | 2,974,000 | 2,923,192 | ||||||
BPCE SA, 4.50% Sub. Nts., 3/15/251 | 2,943,000 | 2,872,367 | ||||||
Citigroup, Inc.: |
||||||||
4.075% [US0003M+119.2] Sr. Unsec. Nts., 4/23/292 |
4,219,000 | 4,144,248 | ||||||
4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/482 |
4,210,000 | 3,994,387 | ||||||
4.75% Sub. Nts., 5/18/46 | 1,946,000 | 1,856,024 | ||||||
Citizens Bank NA (Providence RI): |
||||||||
2.55% Sr. Unsec. Nts., 5/13/21 |
2,409,000 | 2,351,072 | ||||||
2.65% Sr. Unsec. Nts., 5/26/22 | 1,014,000 | 981,173 | ||||||
Commonwealth Bank of Australia, 3.15% Sr. Unsec. Nts., 9/19/271 | 3,696,000 | 3,455,382 | ||||||
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22 | 4,408,000 | 4,258,099 | ||||||
Credit Agricole SA, 4.375% Sub. Nts., 3/17/251 | 4,978,000 | 4,822,980 | ||||||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 2,461,000 | 2,423,686 | ||||||
First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 2,132,000 | 2,046,044 | ||||||
HSBC Holdings plc: |
||||||||
3.95% [US0003M+98.72] Sr. Unsec. Nts., 5/18/242 |
1,709,000 | 1,705,373 | ||||||
4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/282 |
2,142,000 | 2,080,945 | ||||||
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/292 | 2,854,000 | 2,884,923 | ||||||
Huntington Bancshares, Inc.: |
||||||||
3.15% Sr. Unsec. Nts., 3/14/21 |
2,425,000 | 2,412,795 | ||||||
4.00% Sr. Unsec. Nts., 5/15/25 | 5,274,000 | 5,296,299 | ||||||
Intesa Sanpaolo SpA, 3.875% Sr. Unsec. Nts., 7/14/271 | 3,698,000 | 3,195,540 | ||||||
JPMorgan Chase & Co.: |
||||||||
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/282 |
4,302,000 | 4,121,776 | ||||||
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/282 |
7,898,000 | 7,700,442 | ||||||
4.26% [US0003M+158] Sr. Unsec. Nts., 2/22/482 | 1,665,000 | 1,569,733 | ||||||
KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26 | 3,357,000 | 3,199,682 | ||||||
Lloyds Banking Group plc: |
||||||||
6.413% [US0003M+149.5] Jr. Sub. Perpetual Bonds1,2,11 |
214,000 | 226,305 | ||||||
6.657% [US0003M+127] Jr. Sub. Perpetual Bonds2,7,11 | 2,718,000 | 2,909,021 | ||||||
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27 | 3,749,000 | 3,566,421 | ||||||
Regions Bank (Birmingham AL), 2.75% Sr. Unsec. Nts., 4/1/21 | 3,781,000 | 3,725,400 | ||||||
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22 |
2,893,000 | 2,793,145 |
27 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial Banks (Continued) |
| |||||||
Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/232 | $ | 3,169,000 | $ | 3,071,733 | ||||
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26 | 1,798,000 | 1,698,917 | ||||||
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22 | 2,818,000 | 2,694,712 | ||||||
US Bancorp: |
||||||||
3.10% Sub. Nts., 4/27/26 |
3,338,000 | 3,150,494 | ||||||
3.15% Sr. Unsec. Nts., 4/27/27 | 1,004,000 | 960,445 | ||||||
Wells Fargo & Co.: |
||||||||
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/282 |
4,142,000 | 3,971,520 | ||||||
4.75% Sub. Nts., 12/7/46 | 2,512,000 | 2,434,463 | ||||||
|
137,953,641
|
| ||||||
Consumer Finance0.6% | ||||||||
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22 | 1,728,000 | 1,658,164 | ||||||
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27 | 3,103,000 | 2,992,392 | ||||||
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27 | 1,666,000 | 1,579,959 | ||||||
Discover Financial Services: |
||||||||
3.75% Sr. Unsec. Nts., 3/4/25 |
1,743,000 | 1,666,233 | ||||||
4.10% Sr. Unsec. Nts., 2/9/27 | 2,286,000 | 2,195,821 | ||||||
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/191 | 2,975,000 | 3,036,490 | ||||||
|
13,129,059
|
| ||||||
Diversified Financial Services0.5% | ||||||||
Berkshire Hathaway Energy Co.: |
||||||||
2.00% Sr. Unsec. Nts., 11/15/18 |
1,134,000 | 1,131,701 | ||||||
3.80% Sr. Unsec. Nts., 7/15/48 | 1,172,000 | 1,077,811 | ||||||
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/251 | 1,973,000 | 1,921,870 | ||||||
Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23 | 2,568,000 | 2,475,922 | ||||||
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/532 | 4,857,000 | 4,893,427 | ||||||
|
11,500,731
|
| ||||||
Insurance1.6% | ||||||||
AXA Equitable Holdings, Inc., 4.35% Sr. Unsec. Nts., 4/20/281 | 2,823,000 | 2,702,927 | ||||||
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | 2,591,000 | 2,549,033 | ||||||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 2,509,000 | 2,556,647 | ||||||
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/27 | 1,096,000 | 977,197 | ||||||
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27 | 3,950,000 | 3,665,069 | ||||||
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. Nts., 3/15/48 | 3,111,000 | 3,004,293 | ||||||
Lincoln National Corp., 3.80% Sr. Unsec. Nts., 3/1/28 | 3,096,000 | 2,963,019 | ||||||
Manulife Financial Corp., 4.061% [USISDA05+164.7] Sub. Nts., 2/24/322 | 3,321,000 | 3,156,024 | ||||||
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 1,731,000 | 1,727,412 | ||||||
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/241 | 5,270,000 | 5,246,051 | ||||||
Prudential Financial, Inc.: |
||||||||
5.20% [US0003M+304] Jr. Sub. Nts., 3/15/442 |
3,954,000 | 3,944,115 |
28 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Insurance (Continued) | ||||||||
Prudential Financial, Inc.: (Continued) |
||||||||
5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/452 | $ | 887,000 | $ | 884,783 | ||||
|
33,376,570
|
| ||||||
Real Estate Investment Trusts (REITs)1.3% | ||||||||
American Tower Corp.: |
||||||||
2.80% Sr. Unsec. Nts., 6/1/20 |
1,482,000 | 1,469,901 | ||||||
3.00% Sr. Unsec. Nts., 6/15/23 |
4,354,000 | 4,178,247 | ||||||
3.60% Sr. Unsec. Nts., 1/15/28 |
2,903,000 | 2,694,077 | ||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 2,856,000 | 2,956,997 | ||||||
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27 | 2,451,000 | 2,283,296 | ||||||
Digital Realty Trust LP: |
||||||||
3.40% Sr. Unsec. Nts., 10/1/20 |
445,000 | 445,526 | ||||||
5.875% Sr. Unsec. Nts., 2/1/20 | 1,846,000 | 1,910,440 | ||||||
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20 | 5,035,000 | 4,976,671 | ||||||
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26 | 4,926,000 | 5,030,678 | ||||||
VEREIT Operating Partnership LP, 3.00% Sr. Unsec. Nts., 2/6/19 | 1,619,000 | 1,618,466 | ||||||
|
27,564,299
|
| ||||||
Health Care4.1% | ||||||||
Biotechnology0.9% | ||||||||
AbbVie, Inc.: |
||||||||
3.60% Sr. Unsec. Nts., 5/14/25 |
3,269,000 | 3,169,854 | ||||||
4.70% Sr. Unsec. Nts., 5/14/45 | 849,000 | 844,767 | ||||||
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48 | 1,924,000 | 1,889,530 | ||||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 1,407,000 | 1,494,618 | ||||||
Celgene Corp.: |
||||||||
3.875% Sr. Unsec. Nts., 8/15/25 |
3,247,000 | 3,159,181 | ||||||
5.00% Sr. Unsec. Nts., 8/15/45 | 534,000 | 524,408 | ||||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 | 2,188,000 | 2,261,851 | ||||||
Shire Acquisitions Investments Ireland DAC, 1.90% Sr. Unsec. Nts., 9/23/19 | 5,313,000 | 5,233,328 | ||||||
|
18,577,537
|
| ||||||
Health Care Equipment & Supplies0.9% | ||||||||
Abbott Laboratories: |
||||||||
2.35% Sr. Unsec. Nts., 11/22/19 |
916,000 | 910,919 | ||||||
3.75% Sr. Unsec. Nts., 11/30/26 | 4,402,000 | 4,332,996 | ||||||
Becton Dickinson & Co.: |
||||||||
2.404% Sr. Unsec. Nts., 6/5/20 |
4,293,000 | 4,217,751 | ||||||
3.70% Sr. Unsec. Nts., 6/6/27 | 4,151,000 | 3,932,080 | ||||||
Edwards Lifesciences Corp., 4.30% Sr. Unsec. Nts., 6/15/28 | 2,706,000 | 2,705,959 | ||||||
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/251 | 179,000 | 171,393 | ||||||
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45 | 2,218,000 | 2,354,785 | ||||||
18,625,883 |
29 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Health Care Providers & Services1.2% | ||||||||
Cigna Corp., 5.125% Sr. Unsec. Nts., 6/15/20 | $ | 4,432,000 | $ | 4,574,873 | ||||
CVS Health Corp.: |
||||||||
2.125% Sr. Unsec. Nts., 6/1/21 |
5,164,000 | 4,967,189 | ||||||
5.05% Sr. Unsec. Nts., 3/25/48 | 4,706,000 | 4,771,237 | ||||||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/221 | 6,409,000 | 6,798,630 | ||||||
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23 | 4,230,000 | 4,096,178 | ||||||
|
25,208,107
|
| ||||||
Life Sciences Tools & Services0.5% | ||||||||
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/261 | 4,298,000 | 4,201,295 | ||||||
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20 | 3,768,000 | 3,928,982 | ||||||
Thermo Fisher Scientific, Inc., 4.15% Sr. Unsec. Nts., 2/1/24 | 2,063,000 | 2,095,648 | ||||||
|
10,225,925
|
| ||||||
Pharmaceuticals0.6% | ||||||||
Allergan Funding SCS, 3.00% Sr. Unsec. Nts., 3/12/20 | 5,175,000 | 5,151,209 | ||||||
Bayer US Finance II LLC: |
||||||||
3.875% Sr. Unsec. Nts., 12/15/231 |
5,258,000 | 5,262,656 | ||||||
4.375% Sr. Unsec. Nts., 12/15/281 | 3,779,000 | 3,792,486 | ||||||
|
14,206,351
|
| ||||||
Industrials3.1% | ||||||||
Aerospace & Defense0.7% | ||||||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251 | 4,089,000 | 4,047,026 | ||||||
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., 12/1/27 | 3,075,000 | 2,897,573 | ||||||
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 6/15/23 | 5,301,000 | 5,294,070 | ||||||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | 2,760,000 | 2,881,384 | ||||||
|
15,120,053
|
| ||||||
Air Freight & Couriers0.2% | ||||||||
CH Robinson Worldwide, Inc., 4.20% Sr. Unsec. Nts., 4/15/28 | 2,673,000 | 2,629,953 | ||||||
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47 | 1,054,000 | 1,001,096 | ||||||
|
3,631,049
|
| ||||||
Building Products0.2% | ||||||||
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27 |
4,291,000 | 3,976,470 | ||||||
Electrical Equipment0.2% | ||||||||
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/231 |
4,415,000 | 4,453,631 | ||||||
Industrial Conglomerates0.3% | ||||||||
GE Capital International Funding Co. Unlimited Co., 3.373% Sr. Unsec. Nts., 11/15/25 | 1,652,000 | 1,588,381 | ||||||
Roper Technologies, Inc., 3.00% Sr. Unsec. Nts., 12/15/20 | 4,191,000 | 4,164,725 | ||||||
5,753,106 |
30 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Machinery0.7% | ||||||||
CNH Industrial NV, 3.85% Sr. Unsec. Nts., 11/15/27 | $ | 2,727,000 | $ | 2,544,096 | ||||
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19 | 4,025,000 | 3,981,429 | ||||||
John Deere Capital Corp., 2.70% Sr. Unsec. Nts., 1/6/23 | 2,224,000 | 2,171,022 | ||||||
Nvent Finance Sarl, 4.55% Sr. Unsec. Nts., 4/15/281 | 2,620,000 | 2,574,681 | ||||||
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 | 921,000 | 919,901 | ||||||
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26 | 2,172,000 | 2,009,852 | ||||||
|
14,200,981
|
| ||||||
Road & Rail0.4% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/261 | 4,245,000 | 3,964,120 | ||||||
Ryder System, Inc., 3.75% Sr. Unsec. Nts., 6/9/23 | 5,250,000 | 5,249,922 | ||||||
|
9,214,042
|
| ||||||
Trading Companies & Distributors0.4% | ||||||||
Air Lease Corp.: |
||||||||
3.25% Sr. Unsec. Nts., 3/1/25 |
1,679,000 | 1,555,842 | ||||||
3.625% Sr. Unsec. Nts., 4/1/27 | 1,765,000 | 1,620,618 | ||||||
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28 | 4,225,000 | 3,909,194 | ||||||
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25 | 2,670,000 | 2,549,850 | ||||||
|
9,635,504
|
| ||||||
Information Technology3.1% | ||||||||
Communications Equipment0.2% | ||||||||
Motorola Solutions, Inc., 4.60% Sr. Unsec. Nts., 2/23/28 |
3,917,000 | 3,901,751 | ||||||
Electronic Equipment, Instruments, & Components0.4% | ||||||||
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28 | 3,969,000 | 3,725,151 | ||||||
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24 | 631,000 | 646,775 | ||||||
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 | 3,740,000 | 3,675,891 | ||||||
|
8,047,817
|
| ||||||
Internet Software & Services0.2% | ||||||||
VeriSign, Inc.: |
||||||||
4.75% Sr. Unsec. Nts., 7/15/27 |
2,683,000 | 2,571,522 | ||||||
5.25% Sr. Unsec. Nts., 4/1/25 | 1,611,000 | 1,638,709 | ||||||
|
4,210,231
|
| ||||||
IT Services0.5% | ||||||||
DXC Technology Co.: |
||||||||
2.875% Sr. Unsec. Nts., 3/27/20 |
2,944,000 | 2,924,035 | ||||||
4.75% Sr. Unsec. Nts., 4/15/27 | 3,922,000 | 3,968,014 | ||||||
Fidelity National Information Services, Inc., 4.25% Sr. Unsec. Nts., 5/15/28 | 2,695,000 | 2,706,508 | ||||||
|
9,598,557
|
| ||||||
Semiconductors & Semiconductor Equipment0.3% | ||||||||
Intel Corp., 3.734% Sr. Unsec. Nts., 12/8/47 |
1,479,000 | 1,395,808 |
31 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Semiconductors & Semiconductor Equipment (Continued) | ||||||||
Microchip Technology, Inc., 3.922% Sr. Sec. Nts., 6/1/211 | $ | 5,261,000 | $ | 5,272,935 | ||||
6,668,743 | ||||||||
Software1.0% | ||||||||
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25 | 1,675,000 | 1,688,664 | ||||||
Dell International LLC/EMC Corp.: |
||||||||
4.42% Sr. Sec. Nts., 6/15/211 |
4,891,000 | 4,963,731 | ||||||
6.02% Sr. Sec. Nts., 6/15/261 | 3,118,000 | 3,282,917 | ||||||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231 | 2,188,000 | 2,248,236 | ||||||
Oracle Corp.: |
||||||||
2.40% Sr. Unsec. Nts., 9/15/23 |
3,157,000 | 2,979,065 | ||||||
2.95% Sr. Unsec. Nts., 5/15/25 | 3,127,000 | 2,987,880 | ||||||
VMware, Inc.: |
||||||||
2.30% Sr. Unsec. Nts., 8/21/20 |
1,357,000 | 1,328,362 | ||||||
3.90% Sr. Unsec. Nts., 8/21/27 | 2,677,000 | 2,475,600 | ||||||
21,954,455 | ||||||||
Technology Hardware, Storage & Peripherals0.5% | ||||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 | 3,263,000 | 3,381,382 | ||||||
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., 10/15/20 | 5,252,000 | 5,279,899 | ||||||
NetApp, Inc., 2.00% Sr. Unsec. Nts., 9/27/19 | 2,106,000 | 2,077,174 | ||||||
10,738,455 | ||||||||
Materials2.6% | ||||||||
Chemicals1.0% | ||||||||
LyondellBasell Industries NV, 5.00% Sr. Unsec. Nts., 4/15/19 | 3,753,000 | 3,790,628 | ||||||
Nutrien Ltd.: |
||||||||
3.375% Sr. Unsec. Nts., 3/15/25 |
1,681,000 | 1,584,094 | ||||||
4.125% Sr. Unsec. Nts., 3/15/35 | 1,496,000 | 1,390,000 | ||||||
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 | 3,940,000 | 4,028,650 | ||||||
RPM International, Inc.: |
||||||||
3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
3,050,000 | 3,006,714 | ||||||
3.75% Sr. Unsec. Nts., 3/15/27 | 1,026,000 | 979,498 | ||||||
Sherwin-Williams Co. (The), 3.45% Sr. Unsec. Nts., 6/1/27 | 2,085,000 | 1,971,655 | ||||||
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/281 | 3,988,000 | 4,015,222 | ||||||
20,766,461 | ||||||||
Construction Materials0.3% | ||||||||
James Hardie International Finance DAC, 4.75% Sr. Unsec. Nts., 1/15/251 | 3,252,000 | 3,186,960 | ||||||
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/261 | 1,172,000 | 1,093,578 | ||||||
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., 12/15/27 | 2,593,000 | 2,409,848 | ||||||
6,690,386 |
32 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Containers & Packaging0.7% | ||||||||
International Paper Co.: |
||||||||
3.00% Sr. Unsec. Nts., 2/15/27 |
$ | 2,581,000 | $ | 2,339,819 | ||||
4.80% Sr. Unsec. Nts., 6/15/44 | 2,183,000 | 2,122,227 | ||||||
Packaging Corp. of America: |
||||||||
3.65% Sr. Unsec. Nts., 9/15/24 |
745,000 | 732,581 | ||||||
4.50% Sr. Unsec. Nts., 11/1/23 | 4,011,000 | 4,147,959 | ||||||
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25 | 3,315,000 | 3,165,825 | ||||||
WestRock Co., 4.00% Sr. Unsec. Nts., 3/15/281 | 2,547,000 | 2,514,385 | ||||||
15,022,796 | ||||||||
Metals & Mining0.5% | ||||||||
Anglo American Capital plc: |
||||||||
3.625% Sr. Unsec. Nts., 9/11/241 |
1,368,000 | 1,296,106 | ||||||
4.00% Sr. Unsec. Nts., 9/11/271 | 2,200,000 | 2,050,561 | ||||||
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25 | 4,565,000 | 4,941,613 | ||||||
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 | 1,490,000 | 1,580,011 | ||||||
9,868,291 | ||||||||
Paper & Forest Products0.1% | ||||||||
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/231 | 964,000 | 968,635 | ||||||
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 | 2,196,000 | 2,163,060 | ||||||
3,131,695 | ||||||||
Telecommunication Services2.7% | ||||||||
Diversified Telecommunication Services2.2% | ||||||||
AT&T, Inc.: |
||||||||
4.30% Sr. Unsec. Nts., 2/15/301 |
3,909,000 | 3,704,304 | ||||||
4.35% Sr. Unsec. Nts., 6/15/45 |
4,374,000 | 3,720,502 | ||||||
4.50% Sr. Unsec. Nts., 3/9/48 | 2,268,000 | 1,954,122 | ||||||
British Telecommunications plc, 9.125% Sr. Unsec. Nts., 12/15/30 | 4,509,000 | 6,455,113 | ||||||
Deutsche Telekom International Finance BV: |
||||||||
2.225% Sr. Unsec. Nts., 1/17/201 |
5,326,000 | 5,252,278 | ||||||
4.375% Sr. Unsec. Nts., 6/21/281 | 2,515,000 | 2,499,091 | ||||||
Telecom Italia SpA, 5.303% Sr. Unsec. Nts., 5/30/241 | 5,054,000 | 5,003,460 | ||||||
Telefonica Emisiones SAU: |
||||||||
4.103% Sr. Unsec. Nts., 3/8/27 |
1,424,000 | 1,379,112 | ||||||
5.213% Sr. Unsec. Nts., 3/8/47 |
2,144,000 | 2,072,602 | ||||||
7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 2,031,000 | 2,446,623 | ||||||
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26 | 4,923,000 | 5,081,521 | ||||||
Verizon Communications, Inc.: |
||||||||
4.125% Sr. Unsec. Nts., 8/15/46 |
2,250,000 | 1,927,983 | ||||||
4.522% Sr. Unsec. Nts., 9/15/48 |
3,066,000 | 2,804,031 | ||||||
5.15% Sr. Unsec. Nts., 9/15/23 | 1,995,000 | 2,128,291 | ||||||
46,429,033 | ||||||||
Wireless Telecommunication Services0.5% | ||||||||
Vodafone Group plc: |
||||||||
3.75% Sr. Unsec. Nts., 1/16/24 |
5,215,000 | 5,174,869 |
33 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Wireless Telecommunication Services (Continued) | ||||||||
Vodafone Group plc: (Continued) |
||||||||
4.375% Sr. Unsec. Nts., 5/30/28 |
$ | 2,638,000 | $ | 2,608,872 | ||||
6.15% Sr. Unsec. Nts., 2/27/37 | 1,709,000 | 1,883,431 | ||||||
9,667,172 | ||||||||
Utilities3.2% | ||||||||
Electric Utilities2.3% | ||||||||
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., 6/1/281 | 2,694,000 | 2,689,896 | ||||||
Duke Energy Corp.: |
||||||||
3.15% Sr. Unsec. Nts., 8/15/27 |
2,714,000 | 2,523,071 | ||||||
3.75% Sr. Unsec. Nts., 9/1/46 | 2,562,000 | 2,277,291 | ||||||
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23 | 3,255,000 | 3,129,351 | ||||||
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/241 | 3,689,000 | 3,540,451 | ||||||
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19 | 4,548,000 | 4,501,606 | ||||||
Enel Finance International NV, 3.625% Sr. Unsec. Nts., 5/25/271 | 2,855,000 | 2,615,395 | ||||||
Entergy Texas, Inc., 7.125% Sec. Nts., 2/1/19 | 1,118,000 | 1,143,917 | ||||||
Exelon Corp.: |
||||||||
2.45% Sr. Unsec. Nts., 4/15/21 |
2,432,000 | 2,364,931 | ||||||
4.45% Sr. Unsec. Nts., 4/15/46 | 1,494,000 | 1,456,004 | ||||||
FirstEnergy Corp., 3.90% Sr. Unsec. Nts., 7/15/27 | 2,896,000 | 2,813,659 | ||||||
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46 | 1,245,000 | 1,293,958 | ||||||
ITC Holdings Corp.: |
||||||||
3.35% Sr. Unsec. Nts., 11/15/27 |
246,000 | 230,887 | ||||||
5.30% Sr. Unsec. Nts., 7/1/43 | 1,081,000 | 1,212,901 | ||||||
Mid-Atlantic Interstate Transmission LLC, 4.10% Sr. Unsec. Nts., 5/15/281 | 2,698,000 | 2,701,958 | ||||||
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., 9/15/241 | 386,000 | 372,490 | ||||||
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 | 500,000 | 513,806 | ||||||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211 | 4,885,000 | 5,084,197 | ||||||
Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47 | 1,701,000 | 1,688,217 | ||||||
Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19 | 3,668,000 | 3,606,984 | ||||||
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/251 | 2,876,000 | 2,870,097 | ||||||
48,631,067 | ||||||||
Multi-Utilities0.9% | ||||||||
Black Hills Corp., 2.50% Sr. Unsec. Nts., 1/11/19 | 2,592,000 | 2,586,170 | ||||||
Dominion Energy, Inc.: |
||||||||
2.579% Jr. Sub. Nts., 7/1/20 |
5,060,000 | 4,986,954 | ||||||
4.90% Sr. Unsec. Nts., 8/1/41 | 1,995,000 | 2,069,930 | ||||||
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19 |
3,471,000 | 3,395,782 |
34 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Multi-Utilities (Continued) | ||||||||
Virginia Electric & Power Co., 2.95% Sr. Unsec. Nts., 1/15/22 | $ | 4,568,000 | $ | 4,520,867 | ||||
17,559,703 | ||||||||
Total Corporate Bonds and Notes (Cost $1,030,396,291) |
1,005,438,723 | |||||||
Short-Term Notes17.9% | ||||||||
Auto Components0.7% | ||||||||
Magna International, Inc., 2.283%, 7/5/181,12,13 | 9,400,000 | 9,396,492 | ||||||
Rockwell Collins, Inc., 2.274%, 7/11/181,12,13 | 5,200,000 | 5,196,065 | ||||||
14,592,557 | ||||||||
Chemicals1.8% | ||||||||
Air Liquide US LLC, 2.405%, 9/13/181,12,13 | 9,500,000 | 9,458,124 | ||||||
Albemarle Corp., 2.294%, 7/19/181,12,13 | 9,400,000 | 9,387,492 | ||||||
Cabot Corp., 2.292%, 7/12/181,12,13 | 9,500,000 | 9,492,171 | ||||||
Eastman Chemical, 2.345%, 7/17/1812,13 | 4,200,000 | 4,195,176 | ||||||
Nutrien Ltd., 2.437%, 8/1/181,12,13 | 4,100,000 | 4,090,450 | ||||||
36,623,413 | ||||||||
Commercial Services & Supplies0.4% | ||||||||
Waste Management, Inc., 2.274%, 7/5/181,12,13 |
7,500,000 | 7,497,201 | ||||||
Computers & Peripherals1.2% | ||||||||
Hewlett Packard Enterprise Co., 2.352%, 7/10/1813 | 8,000,000 | 7,995,270 | ||||||
HP, Inc., 2.497%, 7/23/1813 | 9,400,000 | 9,387,661 | ||||||
NetApp, Inc., 2.254%, 7/17/181,12,13 | 8,300,000 | 8,290,467 | ||||||
25,673,398 | ||||||||
Electric Utilities2.0% | ||||||||
Commonwealth Edison Co., 2.334%, 7/10/1812,13 | 4,200,000 | 4,197,087 | ||||||
Duke Energy Corp., 2.305%, 8/2/181,12,13 | 4,100,000 | 4,090,861 | ||||||
Eversource Energy, 2.252%, 7/9/1812,13 | 9,400,000 | 9,394,303 | ||||||
NextEra Energy Capital Holdings, 2.254%, 7/9/181,12,13 | 9,400,000 | 9,394,099 | ||||||
Puget Sound Energy, Inc., 2.301%, 7/9/1813 | 9,440,000 | 9,434,074 | ||||||
Southern Company Funding Corp, 2.354%, 7/25/1812,13 | 3,100,000 | 3,094,785 | ||||||
39,605,209 | ||||||||
Electrical Equipment0.4% | ||||||||
Eaton Corp., 2.303%, 7/18/181,12,13 |
9,400,000 | 9,388,585 | ||||||
Electronic Equipment & Instruments0.8% | ||||||||
Amphenol Corp., 2.304%, 7/11/1813 | 9,400,000 | 9,392,887 | ||||||
Tyco Electronics Group SA, 2.28%, 7/2/181,12,13 | 9,000,000 | 8,998,331 | ||||||
18,391,218 | ||||||||
Energy Equipment & Services0.1% | ||||||||
Schlumberger Holdings Corp., 2.455%, 9/11/181,12,13 |
3,100,000 | 3,084,668 |
35 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Food & Staples Retailing0.4% | ||||||||
Walgreens Boots Alliance, Inc., 2.324%, 7/12/1813 |
$ | 9,400,000 | $ | 9,392,278 | ||||
Food Products1.5% | ||||||||
Campbell Soup Co., 2.276%, 7/9/181,12,13 | 8,400,000 | 8,394,717 | ||||||
General Mills, Inc., 2.234%, 7/24/1812,13 | 4,100,000 | 4,093,380 | ||||||
J.M. Smucker Co., 2.231%, 7/3/181,12,13 | 4,100,000 | 4,098,984 | ||||||
McCormick & Co., Inc., 2.242%, 7/11/181,12,13 | 9,400,000 | 9,393,145 | ||||||
Mondelez International, Inc., 2.408%, 8/9/1812,13 | 3,100,000 | 3,091,580 | ||||||
Tyson Foods, Inc., 2.264%, 7/13/181,12,13 | 4,100,000 | 4,096,350 | ||||||
33,168,156 | ||||||||
Health Care Providers & Services0.5% | ||||||||
McKesson Corp., 2.354%, 7/11/181,12,13 |
9,440,000 | 9,432,857 | ||||||
Hotels, Restaurants & Leisure0.3% | ||||||||
Marriott International, Inc., 2.264%, 7/2/181,12,13 |
6,300,000 | 6,298,832 | ||||||
Household Durables1.0% | ||||||||
Leggett & Platt, Inc., 2.252%, 7/11/181,12,13 | 9,440,000 | 9,432,857 | ||||||
Mohawk Industries, Inc., 2.254%, 7/6/181,12,13 | 9,400,000 | 9,395,897 | ||||||
18,828,754 | ||||||||
Household Products0.5% | ||||||||
Clorox Co. (The), 2.202%, 7/6/181,12,13 |
9,400,000 | 9,396,079 | ||||||
Industrial Conglomerates0.4% | ||||||||
Johnson Controls International plc, 2.241%, 7/2/181,12,13 |
8,300,000 | 8,298,513 | ||||||
Leasing & Factoring0.8% | ||||||||
Harley-Davidson Financial Services, Inc., 2.516%, 9/18/1812,13 | 6,200,000 | 6,164,916 | ||||||
Hitachi Capital America Corp., 2.445%, 7/11/1813 | 9,440,000 | 9,432,892 | ||||||
15,597,808 | ||||||||
Machinery0.2% | ||||||||
Xylem, Inc., 2.262%, 7/2/1812,13 |
4,100,000 | 4,099,240 | ||||||
Media0.6% | ||||||||
Interpublic Group of Cos., Inc. (The), 2.323%, 7/6/181,12,13 | 4,100,000 | 4,098,210 | ||||||
WPP LLC, 2.82%, 7/16/1813 | 9,400,000 | 9,389,822 | ||||||
13,488,032 | ||||||||
Multiline Retail0.0% | ||||||||
Dollar General Corp., 2.211%, 7/2/181,12,13 |
400,000 | 399,926 | ||||||
Multi-Utilities0.8% | ||||||||
CenterPoint Energy Resources Corp., 2.577%, 9/10/181,12,13 | 9,440,000 | 9,392,374 | ||||||
Xcel Energy Inc, 2.454%, 9/5/1812,13 | 9,400,000 | 9,356,109 | ||||||
18,748,483 |
36 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Paper, Containers & Packaging0.5% | ||||||||
Avery Dennison, 2.272%, 7/5/1812,13 |
$ | 9,400,000 | $ | 9,396,531 | ||||
Personal Products0.5% | ||||||||
Reckitt Benckiser Treasury Services plc, 2.41%, 7/2/1812,13 |
9,500,000 | 9,498,484 | ||||||
Semiconductor Equipment & Products0.2% | ||||||||
Qualcomm, Inc., 2.414%, 9/11/181,12,13 |
4,100,000 | 4,080,793 | ||||||
Specialty Retail0.4% | ||||||||
Relx, Inc., 2.324%, 7/20/181,12,13 |
9,400,000 | 9,387,339 | ||||||
Telephone Utilities0.6% | ||||||||
Bell Canada Inc., 2.566%, 9/10/1812,13 | 9,400,000 | 9,354,234 | ||||||
Deutsche Telekom International Finance BV, 2.248%, 7/6/1812,13 | 4,200,000 | 4,198,142 | ||||||
13,552,376 | ||||||||
Textiles, Apparel & Luxury Goods0.4% | ||||||||
VF Corp., 2.394%, 7/11/181,12,13 |
8,400,000 | 8,393,874 | ||||||
Transportation Infrastructure0.4% | ||||||||
ERAC USA Finance Co., 2.395%, 7/23/181,12,13 |
9,400,000 | 9,385,455 | ||||||
Water Utilities0.5% | ||||||||
American Water Capital Corp., 2.255%, 7/9/1812,13 | 9,400,000 | 9,394,303 | ||||||
Total Short-Term Notes (Cost $375,123,787) |
375,094,362 | |||||||
Shares | ||||||||
Investment Company1.6% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.85%14,15 (Cost $33,932,842) | 33,932,842 | 33,932,842 | ||||||
Total Investments, at Value (Cost $2,985,606,694) | 141.4% | 2,959,556,587 | ||||||
Net Other Assets (Liabilities) |
(41.4) | (866,430,071 | ) | |||||
Net Assets |
100.0% | $ | 2,093,126,516 | |||||
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 $659,295,916 or 31.50% of the Funds net assets at period end.
2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $17,370,889 or 0.83% of the Funds net assets at period end.
4. Interest rate is less than 0.0005%.
37 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $82,415 or less than 0.005% of the Funds net assets at period end.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
7. Restricted security. The aggregate value of restricted securities at period end was $2,910,907, which represents 0.14% of the Funds net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/24 | 4/21/97 | $ | 141,018 | $ | 1,886 | $ | (139,132) | |||||||||
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. Perpetual Bonds | 6/20/14-10/24/14 | 3,040,840 | 2,909,021 | (131,819) | ||||||||||||
|
|
|||||||||||||||
$ | 3,181,858 | $ | 2,910,907 | $ | (270,951) | |||||||||||
|
|
8. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Notes.
9. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
10. 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 $2,574,393. See Note 6 of the accompanying Notes.
11. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
12. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $310,669,478 or 14.84% of the Funds net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.
13. Current yield as of period end.
14. Rate shown is the 7-day yield at period end.
15. 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, 2017 |
Gross Additions |
Gross Reductions |
Shares June 30, 2018 | |||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 40,200,770 | 667,113,187 | 673,381,115 | 33,932,842 |
38 OPPENHEIMER TOTAL RETURN BOND FUND
Footnotes to Statement of Investments (Continued)
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) | |||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 33,932,842 | $ | 354,328 | $ | | $ | |
Futures Contracts as of June 30, 2018 | ||||||||||||||||||||||||
Expiration | Number | Notional Amount | Unrealized Appreciation/ | |||||||||||||||||||||
Description | Buy/Sell | Date | of Contracts | (000s) | Value | (Depreciation) | ||||||||||||||||||
United States Treasury Long Bonds | Buy | 9/19/18 | 154 | USD 22,182 | $ | 22,330,000 | $ | 147,574 | ||||||||||||||||
United States Treasury Nts., 10 yr. | Sell | 9/19/18 | 1,917 | USD 229,852 | 230,399,438 | (547,223 | ) | |||||||||||||||||
United States Treasury Nts., 2 yr. | Sell | 9/28/18 | 5,074 | USD 1,074,901 | 1,074,815,911 | 85,572 | ||||||||||||||||||
United States Treasury Nts., 5 yr. | Sell | 9/28/18 | 555 | USD 62,987 | 63,057,539 | (70,192 | ) | |||||||||||||||||
United States Ultra Bonds | Buy | 9/19/18 | 776 | USD 121,716 | 123,820,500 | 2,104,587 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
$ | 1,720,318 | |||||||||||||||||||||||
|
|
|
Glossary: Definitions |
||
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
LIBOR01M | ICE LIBOR USD 1 Month | |
US0001M | ICE LIBOR USD 1 Month | |
US0003M | ICE LIBOR USD 3 Month | |
USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | |
USSW5 | USD Swap Semi 30/360 5 Year |
See accompanying Notes to Financial Statements.
39 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES June 30, 2018 Unaudited
Assets | ||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $2,951,673,852) |
$ | 2,925,623,745 | ||
Affiliated companies (cost $33,932,842) |
33,932,842 | |||
|
|
| ||
2,959,556,587 | ||||
Cash | 2,000,001 | |||
Cash used for collateral on forward roll transactions | 277,000 | |||
Receivables and other assets: |
||||
Investments sold (including $718,144,980 sold on a when-issued or delayed delivery basis) | 739,820,512 | |||
Interest, dividends and principal paydowns |
11,378,073 | |||
Shares of beneficial interest sold |
2,150,995 | |||
Variation margin receivable |
177,176 | |||
Other |
208,009 | |||
|
|
| ||
Total assets
|
|
3,715,568,353
|
| |
Liabilities | ||||
Payables and other liabilities: |
||||
Investments purchased (including $1,609,015,982 purchased on a when-issued or delayed delivery basis) | 1,618,823,014 | |||
Shares of beneficial interest redeemed |
1,931,492 | |||
Dividends |
969,226 | |||
Distribution and service plan fees |
136,929 | |||
Trustees compensation |
124,121 | |||
Variation margin payable |
49,650 | |||
Shareholder communications |
1,434 | |||
Other |
405,971 | |||
|
|
| ||
Total liabilities
|
|
1,622,441,837
|
| |
Net Assets |
$ | 2,093,126,516 | ||
|
|
| ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 317,381 | ||
Additional paid-in capital | 2,159,791,980 | |||
Accumulated net investment loss | (1,841 | ) | ||
Accumulated net realized loss on investments | (42,651,215 | ) | ||
Net unrealized depreciation on investments |
(24,329,789 | ) | ||
|
|
| ||
Net Assets | $ | 2,093,126,516 | ||
|
|
|
40 OPPENHEIMER TOTAL RETURN BOND FUND
Net Asset Value Per Share | ||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of $508,249,400 and 76,942,345 shares of beneficial interest outstanding) | $ | 6.61 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $ | 6.94 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $99,694,696 and 15,077,973 shares of beneficial interest outstanding) | $ | 6.61 | ||
Class I Shares: |
||||
Net asset value, redemption price and offering price per share (based on net assets of $1,019,236,435 and 154,444,224 shares of beneficial interest outstanding) | $ | 6.60 | ||
Class R Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $57,309,990 and 8,679,483 shares of beneficial interest outstanding) | $ | 6.60 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net assets of $408,635,995 and 62,237,189 shares of beneficial interest outstanding) | $ | 6.57 |
See accompanying Notes to Financial Statements.
41 OPPENHEIMER TOTAL RETURN BOND FUND
OF OPERATIONS For the Six Months Ended June 30, 2018 Unaudited
Investment Income | ||||
Interest (net of foreign withholding taxes of $23,902) | $ | 34,693,706 | ||
Fee income on when-issued securities | 4,697,526 | |||
Dividends from affiliated companies | 354,328 | |||
Total investment income |
39,745,560 | |||
Expenses | ||||
Management fees | 3,629,012 | |||
Distribution and service plan fees: |
||||
Class A |
638,054 | |||
Class B1 |
3,067 | |||
Class C |
515,244 | |||
Class R | 144,807 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
445,628 | |||
Class B1 |
525 | |||
Class C |
88,006 | |||
Class I |
148,854 | |||
Class R |
49,691 | |||
Class Y | 327,176 | |||
Shareholder communications: |
||||
Class A |
16,389 | |||
Class B1 |
164 | |||
Class C |
3,535 | |||
Class I |
847 | |||
Class R |
1,125 | |||
Class Y | 3,367 | |||
Trustees compensation | 47,170 | |||
Borrowing fees | 34,667 | |||
Custodian fees and expenses | 32,583 | |||
Other | 150,207 | |||
Total expenses |
6,280,118 | |||
Less reduction to custodian expenses |
(867 | ) | ||
Less waivers and reimbursements of expenses | (376,155 | ) | ||
Net expenses |
5,903,096 | |||
Net Investment Income |
33,842,464 |
42 OPPENHEIMER TOTAL RETURN BOND FUND
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: |
||||
Investment transactions in unaffiliated companies |
$ | (25,059,909 | ) | |
Futures contracts |
(3,932,008 | ) | ||
Swap contracts |
(50,683 | ) | ||
Swaption contracts written | 141,938 | |||
Net realized loss | (28,900,662 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investment transactions in unaffiliated companies |
(50,093,647 | ) | ||
Futures contracts | (11,022 | ) | ||
Net change in unrealized appreciation/depreciation |
|
(50,104,669
|
)
| |
Net Decrease in Net Assets Resulting from Operations |
$ | (45,162,867 | ) | |
|
|
|
1. Effective June 1, 2018, all Class B shares converted to Class A shares.
See accompanying Notes to Financial Statements.
43 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 | |||||||
Operations | ||||||||
Net investment income | $ | 33,842,464 | $ | 48,617,934 | ||||
Net realized gain (loss) | (28,900,662 | ) | 5,526,752 | |||||
Net change in unrealized appreciation/depreciation |
(50,104,669 | ) | 21,751,540 | |||||
|
|
| ||||||
Net increase (decrease) in net assets resulting from operations |
(45,162,867 | ) | 75,896,226 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: |
||||||||
Class A |
(8,144,948 | ) | (16,718,573 | ) | ||||
Class B1 |
(6,451 | ) | (57,323 | ) | ||||
Class C |
(1,195,587 | ) | (2,214,788 | ) | ||||
Class I |
(17,200,496 | ) | (23,512,132 | ) | ||||
Class R |
(822,174 | ) | (1,547,383 | ) | ||||
Class Y |
(6,596,062 | ) | (6,706,714 | ) | ||||
|
|
| ||||||
(33,965,718 | ) | (50,756,913 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: |
||||||||
Class A |
(32,767,828 | ) | (57,873,340 | ) | ||||
Class B1 |
(1,501,890 | ) | (3,889,996 | ) | ||||
Class C |
(6,128,260 | ) | (19,436,187 | ) | ||||
Class I |
63,343,147 | 368,769,334 | ||||||
Class R |
(2,110,739 | ) | (3,088,015 | ) | ||||
Class Y |
79,148,811 | 163,984,247 | ||||||
|
|
| ||||||
99,983,241 | 448,466,043 | |||||||
Net Assets | ||||||||
Total increase | 20,854,656 | 473,605,356 | ||||||
Beginning of period |
2,072,271,860 | 1,598,666,504 | ||||||
|
|
| ||||||
End of period (including accumulated net investment income (loss) of $(1,841) and $121,413, respectively) | $ | 2,093,126,516 | $ | 2,072,271,860 | ||||
|
|
|
1. Effective June 1, 2018, all Class B shares converted to Class A shares.
See accompanying Notes to Financial Statements.
44 OPPENHEIMER TOTAL RETURN BOND FUND
Class A | Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
Year Ended December 31, 2014 |
Year Ended December 31, 2013 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $6.86 | $6.76 | $6.74 | $6.92 | $6.70 | $7.00 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
0.10 | 0.18 | 0.17 | 0.21 | 0.22 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.25) | 0.11 | 0.02 | (0.17) | 0.23 | (0.27) | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total from investment operations | (0.15) | 0.29 | 0.19 | 0.04 | 0.45 | (0.02) | ||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income | (0.10) | (0.19) | (0.17) | (0.22) | (0.23) | (0.28) | ||||||||||||||||||
Net asset value, end of period |
$6.61 | $6.86 | $6.76 | $6.74 | $6.92 | $6.70 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total Return, at Net Asset Value2 | (2.14)% | 4.29% | 2.75% | 0.51% | 6.76% | (0.35)% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $508,249 | $561,713 | $610,368 | $508,179 | $480,765 | $361,838 | ||||||||||||||||||
Average net assets (in thousands) | $528,069 | $612,318 | $596,259 | $493,868 | $412,758 | $411,494 | ||||||||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
3.10% | 2.62% | 2.41% | 3.02% | 3.23% | 3.64% | ||||||||||||||||||
Expenses excluding specific expenses listed below |
0.80% | 0.87% | 0.94% | 0.95% | 0.97% | 0.99% | ||||||||||||||||||
Interest and fees from borrowings |
0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 | 0.00% | 0.00% | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total expenses5 |
0.80% | 0.87% | 0.94% | 0.95% | 0.97% | 0.99% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75% | 0.77% | 0.85% | 0.85% | 0.88% | 0.90% | ||||||||||||||||||
Portfolio turnover rate6 |
34% | 86% | 80% | 85% | 137% | 113% |
45 OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Less than 0.005%.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended June 30, 2018 | 0.80 | % | ||||||
Year Ended December 31, 2017 | 0.87 | % | ||||||
Year Ended December 31, 2016 | 0.95 | % | ||||||
Year Ended December 31, 2015 | 0.96 | % | ||||||
Year Ended December 31, 2014 | 0.98 | % | ||||||
Year Ended December 31, 2013 | 1.00 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2018 |
$6,062,441,355 | $5,962,869,919 | ||||||
Year Ended December 31, 2017 |
$9,083,844,819 | $8,679,566,809 | ||||||
Year Ended December 31, 2016 |
$7,572,160,629 | $7,520,146,688 | ||||||
Year Ended December 31, 2015 |
$6,548,843,476 | $6,610,174,477 | ||||||
Year Ended December 31, 2014 |
$4,283,386,232 | $4,071,806,805 | ||||||
Year Ended December 31, 2013 |
$5,199,766,296 | $5,409,021,681 |
See accompanying Notes to Financial Statements.
46 OPPENHEIMER TOTAL RETURN BOND FUND
Class C | Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
Year Ended December 31, 2014 |
Year Ended December 31, 2013 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $6.87 | $6.77 | $6.75 | $6.93 | $6.71 | $7.01 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
0.08 | 0.12 | 0.11 | 0.15 | 0.17 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.26) | 0.11 | 0.02 | (0.17) | 0.23 | (0.28) | ||||||||||||||||||
Total from investment operations | (0.18) | 0.23 | 0.13 | (0.02) | 0.40 | (0.08) | ||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income | (0.08) | (0.13) | (0.11) | (0.16) | (0.18) | (0.22) | ||||||||||||||||||
Net asset value, end of period |
$6.61 | $6.87 | $6.77 | $6.75 | $6.93 | $6.71 | ||||||||||||||||||
Total Return, at Net Asset Value2 | (2.67)% | 3.43% | 1.92% | (0.30)% | 5.95% | (1.09)% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $99,695 | $109,888 | $127,465 | $123,612 | $111,342 | $97,196 | ||||||||||||||||||
Average net assets (in thousands) | $104,311 | $116,477 | $136,900 | $117,611 | $99,536 | $112,710 | ||||||||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
2.30% | 1.79% | 1.60% | 2.20% | 2.47% | 2.89% | ||||||||||||||||||
Expenses excluding specific expenses listed below |
1.55% | 1.63% | 1.69% | 1.71% | 1.72% | 1.74% | ||||||||||||||||||
Interest and fees from borrowings |
0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 | 0.00% | 0.00% | ||||||||||||||||||
Total expenses5 |
1.55% | 1.63% | 1.69% | 1.71% | 1.72% | 1.74% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.55%6 | 1.60% | 1.65% | 1.65% | 1.65% | 1.65% | ||||||||||||||||||
Portfolio turnover rate7 |
34% | 86% | 80% | 85% | 137% | 113% |
47 OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Less than 0.005%.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended June 30, 2018 |
1.55 | % | ||||
Year Ended December 31, 2017 |
1.63 | % | ||||
Year Ended December 31, 2016 |
1.70 | % | ||||
Year Ended December 31, 2015 |
1.72 | % | ||||
Year Ended December 31, 2014 |
1.73 | % | ||||
Year Ended December 31, 2013 |
1.75 | % |
6. Waiver was less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2018 |
$6,062,441,355 | $5,962,869,919 | ||||||
Year Ended December 31, 2017 |
$9,083,844,819 | $8,679,566,809 | ||||||
Year Ended December 31, 2016 |
$7,572,160,629 | $7,520,146,688 | ||||||
Year Ended December 31, 2015 |
$6,548,843,476 | $6,610,174,477 | ||||||
Year Ended December 31, 2014 |
$4,283,386,232 | $4,071,806,805 | ||||||
Year Ended December 31, 2013 |
$5,199,766,296 | $5,409,021,681 |
See accompanying Notes to Financial Statements.
48 OPPENHEIMER TOTAL RETURN BOND FUND
Class I | Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
Year Ended December 31, 2014 |
Year Ended December 31, 2013 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $6.86 | $6.75 | $6.74 | $6.92 | $6.70 | $7.00 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
0.11 | 0.20 | 0.19 | 0.23 | 0.25 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.26) | 0.12 | 0.01 | (0.17) | 0.22 | (0.27) | ||||||||||||||||||
Total from investment operations | (0.15) | 0.32 | 0.20 | 0.06 | 0.47 | 0.00 | ||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income | (0.11) | (0.21) | (0.19) | (0.24) | (0.25) | (0.30) | ||||||||||||||||||
Net asset value, end of period |
$6.60 | $6.86 | $6.75 | $6.74 | $6.92 | $6.70 | ||||||||||||||||||
Total Return, at Net Asset Value2 | (2.12)% | 4.81% | 2.96% | 0.85% | 7.16% | 0.02% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,019,237 | $993,755 | $614,674 | $598,204 | $581,836 | $506,455 | ||||||||||||||||||
Average net assets (in thousands) | $1,000,876 | $757,851 | $621,576 | $592,163 | $559,118 | $304,290 | ||||||||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
3.45% | 2.98% | 2.77% | 3.35% | 3.60% | 3.97% | ||||||||||||||||||
Expenses excluding specific expenses listed below |
0.41% | 0.43% | 0.50% | 0.51% | 0.53% | 0.54% | ||||||||||||||||||
Interest and fees from borrowings |
0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 | 0.00% | 0.00% | ||||||||||||||||||
Total expenses5 |
0.41% | 0.43% | 0.50% | 0.51% | 0.53% | 0.54% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.40% | 0.42% | 0.49% | 0.50% | 0.52% | 0.53% | ||||||||||||||||||
Portfolio turnover rate6 |
34% | 86% | 80% | 85% | 137% | 113% |
49 OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Less than 0.005%.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended June 30, 2018 |
0.41 | % | ||||
Year Ended December 31, 2017 |
0.43 | % | ||||
Year Ended December 31, 2016 |
0.51 | % | ||||
Year Ended December 31, 2015 |
0.52 | % | ||||
Year Ended December 31, 2014 |
0.54 | % | ||||
Year Ended December 31, 2013 |
0.55 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2018 |
$6,062,441,355 | $5,962,869,919 | ||||||
Year Ended December 31, 2017 |
$9,083,844,819 | $8,679,566,809 | ||||||
Year Ended December 31, 2016 |
$7,572,160,629 | $7,520,146,688 | ||||||
Year Ended December 31, 2015 |
$6,548,843,476 | $6,610,174,477 | ||||||
Year Ended December 31, 2014 |
$4,283,386,232 | $4,071,806,805 | ||||||
Year Ended December 31, 2013 |
$5,199,766,296 | $5,409,021,681 |
See accompanying Notes to Financial Statements.
50 OPPENHEIMER TOTAL RETURN BOND FUND
Class R | Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
Year Ended December 31, 2014 |
Year Ended December 31, 2013 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period | $6.86 | $6.76 | $6.74 | $6.92 | $6.70 | $7.00 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
0.09 | 0.16 | 0.14 | 0.19 | 0.20 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.26) | 0.10 | 0.02 | (0.17) | 0.23 | (0.27) | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total from investment operations | (0.17) | 0.26 | 0.16 | 0.02 | 0.43 | (0.04) | ||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income | (0.09) | (0.16) | (0.14) | (0.20) | (0.21) | (0.26) | ||||||||||||||||||
Net asset value, end of period |
$6.60 | $6.86 | $6.76 | $6.74 | $6.92 | $6.70 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total Return, at Net Asset Value2 | (2.44)% | 3.95% | 2.43% | 0.20% | 6.49% | (0.60)% | ||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) | $57,310 | $61,691 | $63,752 | $46,588 | $36,272 | $30,989 | ||||||||||||||||||
Average net assets (in thousands) | $58,894 | $64,342 | $59,580 | $42,837 | $32,383 | $35,063 | ||||||||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
2.81% | 2.29% | 2.09% | 2.70% | 2.97% | 3.39% | ||||||||||||||||||
Expenses excluding specific expenses listed below |
1.05% | 1.12% | 1.19% | 1.20% | 1.22% | 1.25% | ||||||||||||||||||
Interest and fees from borrowings |
0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 | 0.00% | 0.00% | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total expenses5 |
1.05% | 1.12% | 1.19% | 1.20% | 1.22% | 1.25% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05%6 | 1.10% | 1.15% | 1.15% | 1.15% | 1.15% | ||||||||||||||||||
Portfolio turnover rate7 |
34% | 86% | 80% | 85% | 137% | 113% |
51 OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Less than 0.005%.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended June 30, 2018 |
1.05 | % | ||||||
Year Ended December 31, 2017 |
1.12 | % | ||||||
Year Ended December 31, 2016 |
1.20 | % | ||||||
Year Ended December 31, 2015 |
1.21 | % | ||||||
Year Ended December 31, 2014 |
1.23 | % | ||||||
Year Ended December 31, 2013 |
1.26 | % |
6. Waiver was less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2018 |
$6,062,441,355 | $5,962,869,919 | ||||||
Year Ended December 31, 2017 |
$9,083,844,819 | $8,679,566,809 | ||||||
Year Ended December 31, 2016 |
$7,572,160,629 | $7,520,146,688 | ||||||
Year Ended December 31, 2015 |
$6,548,843,476 | $6,610,174,477 | ||||||
Year Ended December 31, 2014 |
$4,283,386,232 | $4,071,806,805 | ||||||
Year Ended December 31, 2013 |
$5,199,766,296 | $5,409,021,681 |
See accompanying Notes to Financial Statements.
52 OPPENHEIMER TOTAL RETURN BOND FUND
Class Y | Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December |
Year Ended December |
Year Ended December | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $6.82 | $6.72 | $6.70 | $6.88 | $6.66 | $6.99 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
0.11 | 0.20 | 0.18 | 0.22 | 0.24 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.25) | 0.11 | 0.02 | (0.17) | 0.22 | (0.32) | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total from investment operations | (0.14) | 0.31 | 0.20 | 0.05 | 0.46 | (0.04) | ||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income | (0.11) | (0.21) | (0.18) | (0.23) | (0.24) | (0.29) | ||||||||||||||||||
Net asset value, end of period |
$6.57 | $6.82 | $6.72 | $6.70 | $6.88 | $6.66 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total Return, at Net Asset Value2 |
(2.02)% | 4.60% | 3.01% | 0.75% | 7.06% | (0.59)% | ||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) | $408,636 | $343,689 | $177,047 | $86,801 | $54,531 | $10,093 | ||||||||||||||||||
Average net assets (in thousands) | $388,698 | $218,842 | $158,960 | $73,372 | $16,845 | $218,707 | ||||||||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
3.40% | 2.93% | 2.64% | 3.25% | 3.48% | 4.04% | ||||||||||||||||||
Expenses excluding specific expenses listed below |
0.55% | 0.62% | 0.69% | 0.70% | 0.71% | 0.59% | ||||||||||||||||||
Interest and fees from borrowings |
0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 | 0.00% | 0.00% | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total expenses5 |
0.55% | 0.62% | 0.69% | 0.70% | 0.71% | 0.59% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.45% | 0.48% | 0.60% | 0.60% | 0.62% | 0.58% | ||||||||||||||||||
Portfolio turnover rate6 |
34% | 86% | 80% | 85% | 137% | 113% |
53 OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Less than 0.005%.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended June 30, 2018 |
0.55 | % | ||||||
Year Ended December 31, 2017 |
0.62 | % | ||||||
Year Ended December 31, 2016 |
0.70 | % | ||||||
Year Ended December 31, 2015 |
0.71 | % | ||||||
Year Ended December 31, 2014 |
0.72 | % | ||||||
Year Ended December 31, 2013 |
0.60 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2018 |
$6,062,441,355 | $5,962,869,919 | ||||||
Year Ended December 31, 2017 |
$9,083,844,819 | $8,679,566,809 | ||||||
Year Ended December 31, 2016 |
$7,572,160,629 | $7,520,146,688 | ||||||
Year Ended December 31, 2015 |
$6,548,843,476 | $6,610,174,477 | ||||||
Year Ended December 31, 2014 |
$4,283,386,232 | $4,071,806,805 | ||||||
Year Ended December 31, 2013 |
$5,199,766,296 | $5,409,021,681 |
See accompanying Notes to Financial Statements.
54 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS June 30, 2018 Unaudited
1. Organization
Oppenheimer Total Return Bond Fund (the Fund), a series of Oppenheimer Integrity Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares were permitted. Reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds were permitted through May 31, 2018. Effective June 1, 2018 (the Conversion Date), all Class B shares converted to Class A shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, C and R shares have, and Class B shares had, separate distribution and/or service plans under which they pay, and Class B shares paid, fees. Class I and Class Y shares do not pay such fees. Previously issued Class B shares automatically converted to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Funds preparation of financial statements in accordance with accounting principles generally accepted in the United States (U.S. GAAP).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
55 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as determined necessary by the Manager.
The tax character of distributions is determined as of the Funds fiscal year end. Therefore, a portion of the Funds distributions made to shareholders prior to the Funds fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Funds understanding of the applicable tax rules and regulations. Interest income, if any, is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. Custodian fees and expenses in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 2.00%. The Reduction to custodian expenses line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Funds organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state
56 OPPENHEIMER TOTAL RETURN BOND FUND
2. Significant Accounting Policies (Continued)
jurisdictions. The statute of limitations on the Funds tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended December 31, 2017, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Funds financial statements.
During the fiscal year ended December 31, 2017, the Fund utilized $5,211,992 capital loss carryforwards to offset capital gains realized in that fiscal year. For the fiscal year ended December 31, 2017, the Fund had capital loss carryforwards of $11,962,409 with no expiration. Capital losses will be carried forward to future years if not offset by gains.
At period end, it is estimated that the capital loss carryforwards would be $40,863,071. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The 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 in the following table. 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 or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities |
$ | 2,985,871,703 | ||
Federal tax cost of other investments |
(1,223,842,706 | ) | ||
|
|
| ||
Total federal tax cost |
$ | 1,762,028,997 | ||
|
|
| ||
Gross unrealized appreciation |
$ | 14,938,126 | ||
Gross unrealized depreciation |
(39,532,924 | ) | ||
|
|
| ||
Net unrealized depreciation |
$ | (24,594,798 | ) | |
|
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern Time, on each day
57 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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 Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, 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. Pricing services generally price debt securities assuming orderly transactions of an institutional round lot size, but some trades may occur in smaller, odd lot sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation 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
58 OPPENHEIMER TOTAL RETURN BOND FUND
3. Securities Valuation (Continued)
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 regularly compares prior day prices 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 may be used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts that are included in the Funds Statement of Assets and Liabilities at period end based on valuation input level:
59 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities |
$ | | $ | 298,176,885 | $ | | $ | 298,176,885 | ||||||||
Mortgage-Backed Obligations |
| 1,239,473,841 | 16,472 | 1,239,490,313 | ||||||||||||
U.S. Government Obligation |
| 7,423,462 | | 7,423,462 | ||||||||||||
Corporate Bonds and Notes |
| 1,005,438,723 | | 1,005,438,723 | ||||||||||||
Short-Term Notes |
| 375,094,362 | | 375,094,362 | ||||||||||||
Investment Company |
33,932,842 | | | 33,932,842 | ||||||||||||
|
|
| ||||||||||||||
Total Investments, at Value |
33,932,842 | 2,925,607,273 | 16,472 | 2,959,556,587 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures contracts |
2,337,733 | | | 2,337,733 | ||||||||||||
|
|
| ||||||||||||||
Total Assets |
$ | 36,270,575 | $ | 2,925,607,273 | $ | 16,472 | $ | 2,961,894,320 | ||||||||
|
|
| ||||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures contracts |
$ | (617,415 | ) | $ | | $ | | $ | (617,415 | ) | ||||||
|
|
| ||||||||||||||
Total Liabilities |
$ | (617,415 | ) | $ | | $ | | $ | (617,415 | ) | ||||||
|
|
|
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 2 and Level 3. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfers into Level 2* |
Transfers out of Level 3* | |||||||
Assets Table |
||||||||
Investments, at Value: | ||||||||
Mortgage-Backed Obligations |
$ | 1,783,948 | $ | (1,783,948) | ||||
Total Assets |
$ | 1,783,948 | $ | (1,783,948) |
*Transferred from Level 3 to Level 2 due to the availability of market data for this security.
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Funds investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net
60 OPPENHEIMER TOTAL RETURN BOND FUND
4. Investments and Risks (Continued)
asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds expenses, including their management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
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), 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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
When-Issued or Delayed Delivery Basis Transactions |
||||
Purchased securities |
$1,609,015,982 | |||
Sold securities |
718,144,980 |
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
61 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the counterparty pledged $2,407,997 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $277,000 of collateral to the counterparty for forward roll transactions.
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Shareholder Concentration. At period end, one shareholder owned 20% or more of the Funds total outstanding shares.
The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 27% of the Funds total outstanding shares at period end.
5. Market Risk Factors
The Funds 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
62 OPPENHEIMER TOTAL RETURN BOND FUND
5. Market Risk Factors (Continued)
assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC ) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is
63 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $182,244,348 and $652,077,019 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include
64 OPPENHEIMER TOTAL RETURN BOND FUND
6. Use of Derivatives (Continued)
the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
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. 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. 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.
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.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference
65 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
For the reporting period, the Fund had ending monthly average notional amounts of $1,404,286 on credit default swaps to sell protection.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
At period end, the Fund had no credit default swap agreements outstanding.
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. 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. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations. 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 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.
66 OPPENHEIMER TOTAL RETURN BOND FUND
6. Use of Derivatives (Continued)
The Fund may purchase swaptions which give it the option to buy or sell credit protection through credit default swaps in order to decrease or increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.
At period end, the Fund had no purchased swaption contracts outstanding.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection 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 $34,622 and $15,559 on purchased and written swaptions, respectively.
At period end, the Fund had no written swaption contracts outstanding.
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 Funds 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 Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds 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
67 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or 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 as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in
68 OPPENHEIMER TOTAL RETURN BOND FUND
6. Use of Derivatives (Continued)
the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Statement of Assets and Liabilities Location |
Value | Statement of Assets and Liabilities Location |
Value | ||||||||
Equity contracts |
Variation margin receivable | $ | 177,176 | * | Variation margin payable | $ | 49,650 | * |
*Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investment transactions in unaffiliated companies* |
Swaption contracts written |
Futures contracts |
Swap contracts | Total | |||||||||||||||
Credit contracts |
$ | (299,268 | ) | $ | 141,938 | $ | | $ | (50,683 | ) | $ | (208,013) | ||||||||
Interest rate contracts |
| | (3,932,008 | ) | | (3,932,008) | ||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | (299,268 | ) | $ | 141,938 | $ | (3,932,008 | ) | $ | (50,683 | ) | $ | (4,140,021) | |||||||
|
|
*Includes purchased option contracts and purchased swaption contracts, if any.
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as Hedging Instruments |
Futures contracts |
|||
Interest rate contracts |
$ | (11,022) |
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
69 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
7. Shares of Beneficial Interest (Continued)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold1 |
7,654,708 | $ | 51,208,004 | 29,192,515 | $ | 199,859,305 | ||||||||||
Dividends and/or distributions reinvested |
1,051,603 | 7,012,836 | 2,109,844 | 14,450,494 | ||||||||||||
Redeemed |
(13,611,241 | ) | (90,988,668 | ) | (39,757,874 | ) | (272,183,139 | ) | ||||||||
|
|
| ||||||||||||||
Net decrease |
(4,904,930 | ) | $ | (32,767,828 | ) | (8,455,515 | ) | $ | (57,873,340 | ) | ||||||
|
|
| ||||||||||||||
Class B | ||||||||||||||||
Sold |
3,299 | $ | 22,040 | 36,270 | $ | 248,153 | ||||||||||
Dividends and/or distributions reinvested |
937 | 6,281 | 8,115 | 55,491 | ||||||||||||
Redeemed1 |
(228,150 | ) | (1,530,211 | ) | (613,942 | ) | (4,193,640 | ) | ||||||||
|
|
| ||||||||||||||
Net decrease |
(223,914 | ) | $ | (1,501,890 | ) | (569,557 | ) | $ | (3,889,996 | ) | ||||||
|
|
| ||||||||||||||
Class C | ||||||||||||||||
Sold |
1,185,707 | $ | 7,947,392 | 2,490,916 | $ | 17,059,039 | ||||||||||
Dividends and/or distributions reinvested |
167,956 | 1,121,185 | 298,480 | 2,046,591 | ||||||||||||
Redeemed |
(2,272,125 | ) | (15,196,837 | ) | (5,632,824 | ) | (38,541,817 | ) | ||||||||
|
|
| ||||||||||||||
Net decrease |
(918,462 | ) | $ | (6,128,260 | ) | (2,843,428 | ) | $ | (19,436,187 | ) | ||||||
|
|
| ||||||||||||||
Class I | ||||||||||||||||
Sold |
30,608,933 | $ | 204,183,683 | 67,052,245 | $ | 458,608,265 | ||||||||||
Dividends and/or distributions reinvested |
2,030,265 | 13,523,566 | 2,844,023 | 19,464,417 | ||||||||||||
Redeemed |
(23,130,615 | ) | (154,364,102 | ) | (15,983,317 | ) | (109,303,348 | ) | ||||||||
|
|
| ||||||||||||||
Net increase |
9,508,583 | $ | 63,343,147 | 53,912,951 | $ | 368,769,334 | ||||||||||
|
|
| ||||||||||||||
Class R | ||||||||||||||||
Sold |
1,222,100 | $ | 8,170,294 | 3,041,345 | $ | 20,753,130 | ||||||||||
Dividends and/or distributions reinvested |
110,240 | 734,791 | 197,783 | 1,354,194 | ||||||||||||
Redeemed |
(1,645,415 | ) | (11,015,824 | ) | (3,682,284 | ) | (25,195,339 | ) | ||||||||
|
|
| ||||||||||||||
Net decrease |
(313,075 | ) | $ | (2,110,739 | ) | (443,156 | ) | $ | (3,088,015 | ) | ||||||
|
|
| ||||||||||||||
Class Y | ||||||||||||||||
Sold |
24,791,578 | $ | 164,935,774 | 39,044,407 | $ | 266,113,686 | ||||||||||
Dividends and/or distributions reinvested |
875,697 | 5,800,297 | 789,486 | 5,376,972 | ||||||||||||
Redeemed |
(13,812,664 | ) | (91,587,260 | ) | (15,806,011 | ) | (107,506,411 | ) | ||||||||
|
|
| ||||||||||||||
Net increase |
11,854,611 | $ | 79,148,811 | 24,027,882 | $ | 163,984,247 | ||||||||||
|
|
|
1. All outstanding Class B shares converted to Class A shares on June 1, 2018.
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
70 OPPENHEIMER TOTAL RETURN BOND FUND
8. Purchases and Sales of Securities (Continued)
Purchases | Sales | |||||||
Investment securities |
|
$655,267,710 |
|
|
$566,573,512 |
| ||
U.S. government and government agency obligations |
|
|
|
|
1,490,615 |
| ||
To Be Announced (TBA) mortgage-related securities |
|
6,062,441,355 |
|
|
5,962,869,919 |
|
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $500 million |
0.40 | % | ||
Next $500 million |
0.35 | |||
Next $4 billion |
0.33 | |||
Over $5 billion |
0.31 |
The Funds effective management fee for the reporting period was 0.35% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the Transfer Agent) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets, which shall be calculated after any applicable fee waivers. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the Sub-Transfer Agent), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees Compensation. The Funds Board of Trustees (Board) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred
71 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of Other within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees fees under the plan will not affect the net assets of the Fund and will not materially affect the Funds assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributors Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Funds principal underwriter in the continuous public offering of the Funds classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the Plan) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the Plans) for Class C and Class R shares, and had previously adopted a similar plan for Class B shares, pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class C shares daily net assets and 0.25% on Class R shares daily net assets. The Fund paid the Distributor an annual asset-based sales charge of 0.75% on Class B shares prior to their Conversion Date. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets and previously paid this fee for Class B prior to their Conversion Date. The Plans continue in effect from year to year only if the Funds Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the
72 OPPENHEIMER TOTAL RETURN BOND FUND
9. Fees and Other Transactions with Affiliates (Continued)
redemption of shares is shown in the following table for the period indicated.
Six Months Ended | Class A Front-End Sales Charges Retained by Distributor |
Class A Contingent Deferred Sales Charges Retained by Distributor |
Class B Contingent Deferred Sales Charges Retained by Distributor1 |
Class C Contingent Deferred Sales Charges Retained by Distributor |
Class R Contingent Deferred Sales Charges Retained by Distributor |
|||||||||||||||
June 30, 2018 |
$56,521 | $5,612 | $740 | $3,279 | $ |
1. Effective June 1, 2018, all Class B shares converted to Class A shares.
Waivers and Reimbursements of Expenses. After discussions with the Funds Board, the Manager has contractually agreed to waive fees and/or reimburse the Fund for certain expenses in order to limit Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement to annual rates of 0.75% for Class A, 0.40% for Class I and 0.45% for Class Y shares. In addition, the Manager has contractually agreed to waive fees and/ or reimburse the Fund for certain expenses in order to limit Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement (excluding any applicable interest and fees from borrowing, interest and related expenses from inverse floaters, dividend expense, taxes, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses and certain other Fund expenses) to annual rates of 1.65% for Class C shares, and 1.15% for Class R shares, as calculated on the daily net assets of the Fund.
During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:
Class A |
$ | 122,797 | ||
Class I |
38,535 | |||
Class Y |
191,782 |
This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $23,041 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
Cross-Trades. The Fund is permitted to purchase and sell securities from and to other Funds managed by the Manager (cross-trade) pursuant to Cross-Trading Procedures adopted by the Funds Board of Trustees. These procedures are designed to ensure that any cross-trade of securities between Funds or between a Fund and another account or private fund that is an affiliate of the Fund solely by virtue of having a common investment adviser, common trustee/ director or common officer complies with Rule 17a-7 under the 1940 Act. Further, as defined
73 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
under these procedures, each cross-trade is effected at the current market price.
During the period, the Fund had $38,370,465 in purchases and $1,715,121 in sales considered cross-trades, resulting in $28,000 of realized gain/(loss).
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the Facility) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Effective July 17, 2018, the Facility was increased to $1.95 billion. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.
74 OPPENHEIMER TOTAL RETURN BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;
UPDATES TO STATEMENT OF INVESTMENTS
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (portfolio proxies) held by the Fund. A description of the Funds Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Funds website at www.oppenheimerfunds.com, and (iii) on the SECs website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Funds voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SECs website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Funds Form N-Q filings are available on the SECs website at www.sec.gov. Those forms may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
HouseholdingDelivery of Shareholder Documents
This is to inform you about OppenheimerFunds householding policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the funds prospectus (or, if available, the funds summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
75 OPPENHEIMER TOTAL RETURN BOND FUND
OPPENHEIMER TOTAL RETURN BOND FUND
© 2018 OppenheimerFunds, Inc. All rights reserved.
76 OPPENHEIMER TOTAL RETURN BOND FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain non-public personal information about our shareholders from the following sources:
· | Applications or other forms. |
· | When you create a user ID and password for online account access. |
· | When you enroll in eDocs Direct,SM our electronic document delivery service. |
· | Your transactions with us, our affiliates or others. |
· | Technologies on our website, including: cookies and web beacons, which are used to collect data on the pages you visit and the features you use. |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to opt in or opt out of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or opt out of such disclosure.
77 OPPENHEIMER TOTAL RETURN BOND FUND
PRIVACY NOTICE Continued
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/ or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
· | All transactions conducted via our websites, including redemptions, exchanges and purchases, are secured by the highest encryption standards available. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. |
· | Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
· | You can exit the secure area by closing your browser or, for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Strengthening your online credentialsyour online security profiletypically your user name, password, and security questions and answers, can be one of your most important lines of defense on the Internet. For additional information on how you can help prevent identity theft, visit https://www. oppenheimerfunds.com/security.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security numberwhether or not you remain a shareholder of our funds. This notice was last updated as of November 2017. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com, write to us at P.O. Box 5270, Denver, CO 80217-5270, or call us at 800 CALL OPP (225 5677).
78 OPPENHEIMER TOTAL RETURN BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
79 OPPENHEIMER TOTAL RETURN BOND FUND
![]() |
||||
Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available MonFri 8am-8pm ET. |
||||
Visit Us oppenheimerfunds.com
Call Us 800 225 5677
Follow Us |
||||
|
Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2018 OppenheimerFunds Distributor, Inc. All rights reserved.
RS0285.001.0618 August 24, 2018 |
Semiannual Report |
6/30/2018 | |||||||
|
Class A Shares
CUMULATIVE TOTAL RETURNS AT 6/30/18
Class A Shares of the Fund |
||||||
Without Sales Charge | With Sales Charge | Bloomberg Barclays Global Aggregate Index (Hedged)
| ||||
Since Inception (1/26/18) | -5.34% | -9.84% | 0.63% |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where without sales charge is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Since the Funds inception on January 26, 2018 through June 30, 2018, its Class A shares (without sales charge) produced a cumulative total return of -5.34%. In comparison, the Bloomberg Barclays Global Aggregate Index (Hedged) (the Index) returned 0.63%. Relative performance during this period can be largely explained by the Funds allocation to non-U.S. fixed income and currency exposure. International economic and geopolitical concerns were noticeable during the reporting period, and caused some market turbulence, especially in foreign bond and currency markets. Trade tensions were on the rise, and there were pockets of political issues, such as the elections in Mexico and Turkey, the new Italian government, and issues around immigration in the Eurozone.
INVESTMENT PHILOSOPHY AND PROCESS
3 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
4 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
5 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Share Class Performance
CUMULATIVE TOTAL RETURNS WITHOUT SALES CHARGE AS OF 6/30/18
Inception Date |
Since Inception | |||||
Class A (OGUAX) | 1/26/18 | -5.34% | ||||
Class I (OGUIX) | 1/26/18 | -5.15 | ||||
Class Y (OGUYX) | 1/26/18 | -5.21 |
CUMULATIVE TOTAL RETURNS WITH SALES CHARGE AS OF 6/30/18
Inception Date |
Since Inception | |||||
Class A (OGUAX) | 1/26/18 | -9.84% | ||||
Class I (OGUIX) | 1/26/18 | -5.15 | ||||
Class Y (OGUYX) | 1/26/18 | -5.21 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge for Class A shares, except where without sales charge is indicated. There is no sales charge for Class I and Class Y shares. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on an SEC-standardized formula designed to approximate the Funds annualized hypothetical current income from securities less expenses for the 30-day period ended June 30, 2018 and that dates maximum offering price (for Class A shares) or net asset value (for all other share classes). Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under an SEC-standardized formula based on net income earned for the 30-day period ended June 30, 2018. The calculation excludes any expense reimbursements and thus may result in a lower yield.
The Funds performance is compared to the performance of the Bloomberg Barclays Global Aggregate Bond Index (Hedged). The Bloomberg Barclays Global Aggregate Bond Index (Hedged) provides a broad-based measure of global investment grade fixed-rate debt
6 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
markets. The index is comprised of several other Barclays indexes that measure fixed income performance of regions around the world while hedging the currency back to the US dollar. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Funds performance, it must be noted that the Funds investments are not limited to the investments comprising the Index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Funds performance, and does not predict or depict performance of the Fund. The Funds performance reflects the effects of the Funds business and operating expenses.
The views in the Fund Performance Discussion represent the opinions of this Funds portfolio managers and are not intended as investment advice or to predict or depict the performance of any investment. These views are as of the close of business on June 30, 2018, and are subject to change based on subsequent developments. The Funds portfolio and strategies are subject to change.
Before investing in any of the Oppenheimer funds, investors should carefully consider a funds investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
7 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples for Actual Expenses are based on an investment of $1,000.00 invested at the beginning of the period, January 26, 2018 (commencement of operations) and held for the period ended June 30, 2018.
The Hypothetical Examples for Comparison Purposes are based on an investment of $1,000.00 invested on January 1, 2018 and held for the entire 6-month period ended June 30, 2018.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
8 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2018 | June 30, 2018 | June 30, 20181,2 | |||||||||
Class A | $ | 1,000.00 | $ | 946.60 | $ | 3.83 | ||||||
Class I | 1,000.00 | 948.50 | 2.84 | |||||||||
Class Y | 1,000.00 | 947.90 | 3.21 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,020.23 | 4.62 | |||||||||
Class I | 1,000.00 | 1,021.42 | 3.41 | |||||||||
Class Y | 1,000.00 | 1,020.98 | 3.87 |
1. Actual expenses paid are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 156/365 to reflect the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. Hypothetical expenses paid are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Those annualized expense ratios, excluding indirect expenses from affiliated funds, for the period January 26, 2018 (commencement of operations) to June 30, 2018 are as follows:
Class | Expense Ratios | |||||
Class A | 0.92% | |||||
Class I | 0.68 | |||||
Class Y | 0.77 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Funds Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Funds prospectus. The Financial Highlights tables in the Funds financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
9 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS June 30, 2018 Unaudited
Principal Amount | Value | |||||||||||
Foreign Government Obligations30.5% | ||||||||||||
Brazil3.5% | ||||||||||||
Federative Republic of Brazil, 10.00% Unsec. Nts., 1/1/25 | BRL | 1,400,000 | $ | 340,403 | ||||||||
Greece4.4% | ||||||||||||
Hellenic Republic, 3.90% Bonds, 1/30/33 | EUR | 400,000 | 436,424 | |||||||||
India12.0% | ||||||||||||
Republic of India: | ||||||||||||
7.80% Sr. Unsec. Nts., 5/3/20 | INR | 40,000,000 | 586,547 | |||||||||
8.12% Sr. Unsec. Nts., 12/10/20 | INR | 40,000,000 | 587,115 | |||||||||
1,173,662 | ||||||||||||
Indonesia4.4% | ||||||||||||
Republic of Indonesia: | ||||||||||||
Series FR56, 8.375% Sr. Unsec. Nts., 9/15/26 | IDR | 5,000,000,000 | 356,774 | |||||||||
Series FR73, 8.75% Sr. Unsec. Nts., 5/15/31 | IDR | 1,000,000,000 | 72,464 | |||||||||
429,238 | ||||||||||||
Mexico3.9% | ||||||||||||
United Mexican States, Series M, 5.75% Bonds, 3/5/26 | MXN | 8,500,000 | 382,585 | |||||||||
South Africa2.3% | ||||||||||||
Republic of South Africa, Series 2037, 8.50% Bonds, 1/31/37 | ZAR | 3,500,000 | 231,449 | |||||||||
Total Foreign Government Obligations (Cost $3,251,137) | 2,993,761 | |||||||||||
Corporate Bonds and Notes23.0% | ||||||||||||
Energy1.1% | ||||||||||||
Oil, Gas & Consumable Fuels1.1% | ||||||||||||
Petrobras Global Finance BV, 5.999% Sr. Unsec. Nts., 1/27/281 | 116,000 | 105,183 | ||||||||||
Financials19.4% | ||||||||||||
Capital Markets4.2% | ||||||||||||
Credit Suisse Group AG, 7.50% [USSW5+459.8] Jr. Sub. Perpetual Bonds2,3 | 200,000 | 206,981 | ||||||||||
UBS Group Funding Switzerland AG, 7.125% [USSW5+546.4] Jr. Sub. Perpetual Bonds2,3 | 200,000 | 205,759 | ||||||||||
412,740 | ||||||||||||
Commercial Banks15.2% | ||||||||||||
Banco Santander SA, 6.75% [EUSA5+680.3] Jr. Sub. Perpetual Bonds2,3 | EUR | 200,000 | 251,369 | |||||||||
BNP Paribas SA, 7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds1,2,3 | 200,000 | 209,250 | ||||||||||
CaixaBank SA, 6.75% [EUSA5+649.8] Jr. Sub. Perpetual Bonds2,3 | EUR | 200,000 | 248,882 | |||||||||
Credit Agricole SA, 7.875% [USSW5+489.8] Jr. Sub. Perpetual Bonds2,3 | 200,000 | 204,302 | ||||||||||
Dresdner Funding Trust I, 8.151% Jr. Sub. Nts., 6/30/311 | 100,000 | 124,997 |
10 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Principal Amount | Value | |||||||||||
Commercial Banks (Continued) | ||||||||||||
HSBC Holdings plc, 6.875% [USISDA05+551.4] Jr. Sub. Perpetual Bonds2,3 | $ | 200,000 | $ | 207,250 | ||||||||
Societe Generale SA, 7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds1,2,3 | 200,000 | 204,000 | ||||||||||
Standard Chartered plc, 7.014% [US0003M+146] Jr. Sub. Perpetual Bonds1,2,3 |
40,000 | 42,500 | ||||||||||
1,492,550 | ||||||||||||
Telecommunication Services1.0% | ||||||||||||
Wireless Telecommunication Services1.0% | ||||||||||||
Comunicaciones Celulares SA Via Comcel Trust, 6.875% Sr. Unsec. Nts., 2/6/241 |
100,000 | 102,858 | ||||||||||
Utilities1.5% | ||||||||||||
Electric Utilities1.5% | ||||||||||||
NGG Finance plc, 5.625% [BPSW12+348] Sub. Nts., 6/18/732 |
GBP | 100,000 | 144,287 | |||||||||
Total Corporate Bonds and Notes (Cost $2,412,061) |
2,257,618 | |||||||||||
Short-Term Notes2.3% | ||||||||||||
Arab Republic of Egypt Treasury Bills, 18.746%, 12/18/188 | EGP | 2,500,000 | 128,968 | |||||||||
Argentine Republic Treasury Bills, 46.50%, 7/18/184 |
ARS | 2,700,000 | 91,508 | |||||||||
Total Short-Term Notes (Cost $223,796) |
220,476 |
Notional | ||||||||||||||||||||||||||||
Counter- | Exercise | Expiration | Amount | Contracts | ||||||||||||||||||||||||
party | Price | Date | (000s) | (000s) | ||||||||||||||||||||||||
Over-the-Counter Options Purchased0.1% |
|
|||||||||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call5 | GSCO-OT | BRL | 3.200 | 4/25/19 | BRL 1,600 | 1,600 | 1,658 | |||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call5 | JPM | BRL | 3.150 | 5/24/19 | BRL 10 | 10 | 1,010 | |||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call5 | JPM | BRL | 3.200 | 4/25/19 | BRL 482,560 | 2,560 | 2,652 | |||||||||||||||||||||
IDR | ||||||||||||||||||||||||||||
IDR Currency Call5 | GSCO-OT | IDR | 13500.000 | 2/1/19 | |
IDR 2,704,725,000 |
|
4,725,000 | | |||||||||||||||||||
Total Over-the-Counter Options Purchased (Cost $24,599) |
|
5,320 | ||||||||||||||||||||||||||
Pay/Receive | Notional | |||||||||||||||||||||||||||
Counter | Floating | Floating | Fixed | Expiration | Amount | |||||||||||||||||||||||
-party | Rate | Rate | Rate | Date | (000s) | |||||||||||||||||||||||
Over-the-Counter Interest Rate Swaption Purchased0.2% |
|
|||||||||||||||||||||||||||
Interest Rate Swap maturing 6/29/48 Call5 (Cost $23,021) |
JPM | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
2.500% | 6/27/23 | |
EUR 433 |
|
22,539 |
11 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Investment Companies49.3% | ||||||||
iShares JP Morgan USD Emerging Markets Bond ETF | 13,720 | $ | 1,464,883 | |||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.85%6,7 | 910,384 | 910,384 | ||||||
Oppenheimer Limited-Term Bond Fund, Cl. I6 | 552,166 | 2,462,659 | ||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y6 | 209 | 1,044 | ||||||
Total Investment Companies (Cost $4,889,489) | 4,838,970 | |||||||
Total Investments, at Value (Cost $10,824,103) | 105.4% | 10,338,684 | ||||||
Net Other Assets (Liabilities) |
(5.4) | (525,530 | ) | |||||
Net Assets | 100.0% | $ | 9,813,154 | |||||
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 $788,788 or 8.04% of the Funds net assets at period end.
2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
3. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
4. Current yield as of period end.
5. Non-income producing security.
6. 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 January 26, 2018 (Commencement of Operations) |
Gross Additions |
Gross Reductions |
Shares June 30, 2018 |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | | 12,012,470 | 11,102,086 | 910,384 | ||||||||||||
Oppenheimer Limited-Term Bond Fund, Cl. I | | 981,366 | 429,200 | 552,166 | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | | 735,454 | 735,245 | 209 | ||||||||||||
Oppenheimer Senior Floating Rate, Cl. I | | 61,650 | 61,650 | | ||||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 910,384 | $ | 4,643 | $ | | $ | | ||||||||
Oppenheimer Limited-Term Bond Fund, Cl. I | 2,462,659 | 29,928 | (15,198 | ) | (10,278) | |||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 1,044 | 11,948 | (4,850 | ) | 2 | |||||||||||
Oppenheimer Senior Floating Rate, Cl. I | | 1,257 | 617 | | ||||||||||||
|
|
| ||||||||||||||
Total |
$ | 3,374,087 | $ | 47,776 | $ | (19,431 | ) | $ | (10,276) | |||||||
|
|
|
12 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Footnotes to Statement of Investments (Continued)
7. Rate shown is the 7-day yield at period end.
8. Zero coupon bond reflects effective yield on the original acquisition date.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||||||
United States |
$ | 4,838,971 | 46.8 | % | ||||||||
India |
1,173,662 | 11.4 | ||||||||||
France |
617,552 | 6.0 | ||||||||||
Spain |
500,250 | 4.8 | ||||||||||
Brazil |
450,906 | 4.4 | ||||||||||
Greece |
436,424 | 4.2 | ||||||||||
Indonesia |
429,238 | 4.2 | ||||||||||
Switzerland |
412,740 | 4.0 | ||||||||||
United Kingdom |
394,037 | 3.8 | ||||||||||
Mexico |
382,585 | 3.7 | ||||||||||
South Africa |
231,449 | 2.2 | ||||||||||
Egypt |
128,968 | 1.2 | ||||||||||
Germany |
124,997 | 1.2 | ||||||||||
Guatemala |
102,858 | 1.0 | ||||||||||
Argentina |
91,508 | 0.9 | ||||||||||
Eurozone |
22,539 | 0.2 | ||||||||||
Total |
$ | 10,338,684 | 100.0 | % | ||||||||
Forward Currency Exchange Contracts as of June 30, 2018 | ||||||||||||||||||||||||
Counter -party |
Settlement Month(s) |
Currency Purchased (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
BAC |
09/2018 | USD | 257 | ZAR | 3,430 | $ | 9,795 | $ | | |||||||||||||||
BAC |
09/2018 | ZAR | 2,530 | USD | 190 | | 7,225 | |||||||||||||||||
BOA |
09/2018 | COP | 588,000 | USD | 205 | | 5,511 | |||||||||||||||||
BOA |
08/2018 | EUR | 130 | USD | 162 | | 9,755 | |||||||||||||||||
BOA |
09/2018 | INR | 13,400 | USD | 196 | | 2,206 | |||||||||||||||||
BOA |
08/2018 | JPY | 21,000 | USD | 199 | | 8,405 | |||||||||||||||||
BOA |
08/2018 | USD | 449 | EUR | 365 | 20,570 | | |||||||||||||||||
BOA |
08/2018 | USD | 300 | GBP | 215 | 15,619 | | |||||||||||||||||
BOA |
07/2018 | USD | 377 | IDR | 5,253,000 | 9,716 | | |||||||||||||||||
BOA |
09/2018 | USD | 594 | INR | 41,000 | 1,889 | | |||||||||||||||||
CITNA-B |
07/2018 | EGP | 1,897 | USD | 105 | 858 | | |||||||||||||||||
CITNA-B |
08/2018 | EUR | 445 | USD | 555 | | 32,810 | |||||||||||||||||
CITNA-B |
08/2018 | JPY | 21,000 | USD | 200 | | 9,142 | |||||||||||||||||
CITNA-B |
09/2018 | RUB | 73,700 | USD | 1,155 | 11,771 | 2,641 | |||||||||||||||||
CITNA-B |
07/2018 | USD | 203 | EGP | 3,660 | | 1,457 | |||||||||||||||||
CITNA-B |
08/2018 | USD | 569 | EUR | 455 | 35,600 | | |||||||||||||||||
CITNA-B |
09/2018 | USD | 196 | TRY | 930 | 433 | | |||||||||||||||||
GSCO-OT |
02/2019 - 04/2019 | BRL | 1,343 | USD | 375 | | 37,356 | |||||||||||||||||
GSCO-OT |
08/2018 | CAD | 100 | USD | 78 | | 1,429 | |||||||||||||||||
GSCO-OT |
08/2018 | KZT | 35,000 | USD | 107 | | 4,842 | |||||||||||||||||
GSCO-OT |
08/2018 | PLN | 720 | USD | 202 | | 9,893 | |||||||||||||||||
GSCO-OT |
02/2019 | USD | 225 | BRL | 805 | 21,995 | | |||||||||||||||||
GSCO-OT |
08/2018 | USD | 80 | CAD | 100 | 3,686 | |
13 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Forward Currency Exchange Contracts (Continued) |
|
|||||||||||||||||||||||||
Counter -party |
Settlement Month(s) |
Currency Purchased (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
GSCO-OT |
08/2018 | USD | 106 | EUR | 90 | $ | 743 | $ | | |||||||||||||||||
GSCO-OT |
09/2018 | USD | 595 | INR | 41,000 | 2,492 | | |||||||||||||||||||
GSCO-OT |
08/2018 | USD | 385 | JPY | 42,000 | 4,179 | | |||||||||||||||||||
GSCO-OT |
08/2018 | USD | 105 | KZT | 35,000 | 3,111 | | |||||||||||||||||||
JPM |
07/2018 - 08/2018 | BRL | 3,359 | USD | 882 | | 16,128 | |||||||||||||||||||
JPM |
07/2018 | EGP | 1,763 | USD | 98 | 626 | | |||||||||||||||||||
JPM |
08/2018 | EUR | 195 | USD | 239 | | 9,952 | |||||||||||||||||||
JPM |
08/2018 | GBP | 105 | USD | 146 | | 6,964 | |||||||||||||||||||
JPM |
08/2018 | GHS | 250 | USD | 54 | | 2,408 | |||||||||||||||||||
JPM |
09/2018 | RUB | 22,450 | USD | 357 | | 2,516 | |||||||||||||||||||
JPM |
10/2018 | UAH | 1,410 | USD | 50 | 1,224 | | |||||||||||||||||||
JPM |
07/2018 - 04/2019 | USD | 1,338 | BRL | 5,038 | 44,075 | | |||||||||||||||||||
JPM |
08/2018 | USD | 624 | EUR | 513 | 22,692 | 171 | |||||||||||||||||||
JPM |
09/2018 | USD | 421 | MXN | 8,800 | | 16,416 | |||||||||||||||||||
JPM |
09/2018 | USD | 1,174 | RUB | 73,800 | 8,271 | | |||||||||||||||||||
TDB |
08/2018 | USD | 526 | EUR | 425 | 27,563 | | |||||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Unrealized Appreciation and Depreciation |
$ | 246,908 | $ | 187,227 | ||||||||||||||||||||||
|
|
Over-the-Counter Options Written at June 30, 2018 |
|
|||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||
USD | EUR | |||||||||||||||||||||||
EUR Currency Call | BOA | 1.220 | 7/26/18 | (600) | EUR 600 | $ | 9,985 | $ (134) | ||||||||||||||||
USD | GBP | |||||||||||||||||||||||
GBP Currency Call | GSCO-OT | 1.397 | 7/27/18 | (290) | GBP 290 | 6,419 | (50) | |||||||||||||||||
IDR | IDR | |||||||||||||||||||||||
IDR Currency Put | GSCO-OT | 14000.000 | 2/1/19 | (4,900,000) | IDR 2,804,900,000 | 7,233 | (19,600) | |||||||||||||||||
IDR | IDR | |||||||||||||||||||||||
IDR Currency Call | GSCO-OT | 12700.000 | 2/1/19 | (4,445,000) | IDR 2,544,445,000 | 1,709 | | |||||||||||||||||
MXN | MXN | |||||||||||||||||||||||
MXN Currency Put | JPM | 20.200 | 8/2/18 | (5,050) | MXN 2,020,000 | 2,892 | (3,697) | |||||||||||||||||
SEK | SEK | |||||||||||||||||||||||
SEK Currency Put | CITNA-B | 8.727 | 7/27/18 | (3,491) | SEK 3,491 | 4,290 | (10,598) | |||||||||||||||||
TRY | TRY | |||||||||||||||||||||||
TRY Currency Put |
GSCO-OT | 4.251 | 7/19/18 | (1,275) | TRY 213,825 | 4,894 | (24,609) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Over-the-Counter Options Written |
|
$ | 37,422 | $ (58,688) | ||||||||||||||||||||
|
|
14 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Centrally Cleared Credit Default Swap at June 30, 2018 |
|
|||||||||||||||||||||||||
Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
CDX.HY.30 |
Buy | 5.000% | 6/20/23 | USD 500 | $ | 27,572 | $ | (29,690 | ) | $ (2,118) |
Centrally Cleared Interest Rate Swaps at June 30, 2018 |
|
|||||||||||||||||||||||||||||
Counter- party |
Pay/Receive |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received / (Paid) |
Value |
Unrealized | ||||||||||||||||||||||
BOA | Receive | EUR006M | 0.957% | 4/11/28 | EUR 2,000 | $ | | $ | (27,827 | ) | $ (27,827) | |||||||||||||||||||
DEU | Pay | BZDI | 9.595 | 1/2/25 | BRL 2,800 | | (37,454 | ) | (37,454) | |||||||||||||||||||||
Six-Month CHF | ||||||||||||||||||||||||||||||
GSCOI | Pay | BBA LIBOR | 0.884 | 4/4/28 | CHF 480 | | (760 | ) | (760) | |||||||||||||||||||||
Six-Month EUR | ||||||||||||||||||||||||||||||
GSCOI |
Receive | EURIBOR | 1.596 | 4/4/28 | EUR 430 | | (2,723 | ) | (2,723) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps |
|
$ | | $ | (68,764 | ) | $ (68,764) | |||||||||||||||||||||||
|
|
Over-the-Counter Interest Rate Swap at June 30, 2018 | ||||||||||||||||||||||||||||||
Counter- party |
Pay/Receive Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional (000s) |
Premiums |
Value |
Unrealized | ||||||||||||||||||||||
GSCOI | Receive | CNY | 3.785% | 3/27/23 | CNY 1,250 | $ | | $ | (4,231 | ) | $ (4,231) |
Over-the-Counter Interest Rate Swaptions Written at June 30, 2018 |
|
|||||||||||||||||||||||||||||||||
Description | Counter- party |
Pay/ |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Premiums Received |
Value | ||||||||||||||||||||||||||
Interest Rate Swap maturing 5/31/20 Call | BOA | Pay | |
Three-Month USD BBA LIBOR |
|
2.718% | 5/29/19 | USD | 25,000 | $ | 50,000 | $ (86,679) | ||||||||||||||||||||||
Interest Rate Swap maturing 6/30/31 Call | JPM | Pay | |
Six-Month EUR EURIBOR Reuters |
|
2.750 | 6/28/21 | EUR | 2,200 | 17,602 | (19,177) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Written |
|
$ | 67,602 | $ (105,856) | ||||||||||||||||||||||||||||||
|
|
Glossary: | ||
Counterparty Abbreviations | ||
BAC | Barclays Bank plc | |
BOA | Bank of America NA | |
CITNA-B | Citibank NA | |
DEU | Deutsche Bank AG | |
GSCOI | Goldman Sachs International | |
GSCO-OT | Goldman Sachs Bank USA | |
JPM | JPMorgan Chase Bank NA | |
TDB | Toronto Dominion Bank |
15 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Currency abbreviations indicate amounts reporting in currencies
ARS | Argentine Peso | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNY | Chinese Renminbi | |
COP | Colombian Peso | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghanaian Cedi | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KZT | Kazakhstan Tenge | |
MXN | Mexican Nuevo Peso | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
ZAR | South African Rand | |
Definitions | ||
BBA LIBOR | British Bankers Association London - Interbank Offered Rate | |
BPSW12 | GBP Swap SA (vs 6M) 12Y | |
BZDI | Brazil Interbank Deposit Rate | |
CDX.HY.30 | Markit CDX High Yield Index | |
EUR006M | EURIBOR 6 Month ACT/360 | |
CNREPOFIX=CFXS | Repurchase Fixing Rates | |
ETF | Exchange Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
EUSA5 | EUR Swap Annual 5 Year | |
US0003M | ICE LIBOR USD 3 Month | |
USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | |
USSW5 | USD Swap Semi 30/360 5 Year |
See accompanying Notes to Financial Statements.
16 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES June 30, 2018 Unaudited
Assets | ||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $7,439,740) |
$ | 6,964,597 | ||
Affiliated companies (cost $3,384,363) |
3,374,087 | |||
|
|
| ||
10,338,684 | ||||
Cash used for collateral on centrally cleared swaps | 238,379 | |||
Unrealized appreciation on forward currency exchange contracts | 246,908 | |||
Receivables and other assets: |
||||
Investments sold |
131,588 | |||
Interest and dividends |
97,761 | |||
Other |
9,121 | |||
|
|
| ||
Total assets |
11,062,441 | |||
Liabilities | ||||
Bank overdraft | 595,858 | |||
Bank overdraft-foreign | 73,607 | |||
Unrealized depreciation on forward currency exchange contracts | 187,227 | |||
Options written, at value (premiums received $37,422) | 58,688 | |||
Swaps, at value | 4,231 | |||
Centrally cleared swaps, at value (premiums received $27,572) | 98,454 | |||
Swaptions written, at value (premiums received $67,602) | 105,856 | |||
Payables and other liabilities: |
||||
Dividends |
38,455 | |||
Investments purchased |
29,673 | |||
Shareholder communications |
1,410 | |||
Trustees compensation |
873 | |||
Distribution and service plan fees |
20 | |||
Other |
54,935 | |||
|
|
| ||
Total liabilities
|
|
1,249,287
|
| |
Net Assets |
$ | 9,813,154 | ||
|
|
| ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 1,054 | ||
Additional paid-in capital | 10,536,944 | |||
Accumulated net investment income | 4,738 | |||
Accumulated net realized loss on investments and foreign currency transactions | (153,213 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies |
(576,369 | ) | ||
|
|
| ||
Net Assets |
$ | 9,813,154 | ||
|
|
|
17 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
Net Asset Value Per Share | ||||
Class A Shares:
|
||||
Net asset value and redemption price per share (based on net assets of $106,557 and 11,451 shares of beneficial interest outstanding) |
$9.31 | |||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) |
$9.77 | |||
Class I Shares:
|
||||
Net asset value, redemption price and offering price per share (based on net assets of $9,553,672 and 1,026,553 shares of beneficial interest outstanding) | $9.31 | |||
Class Y Shares:
|
||||
Net asset value, redemption price and offering price per share (based on net assets of $152,925 and 16,436 shares of beneficial interest outstanding) | $9.30 |
See accompanying Notes to Financial Statements.
18 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
OF OPERATIONS For the Period Ended June 30, 20181 Unaudited
Investment Income | ||||
Interest (net of foreign withholding taxes of $3,966) | $ | 163,175 | ||
Dividends: |
||||
Unaffiliated companies |
10,056 | |||
Affiliated companies |
47,776 | |||
|
|
| ||
Total investment income |
221,007 | |||
Expenses | ||||
Management fees | 25,484 | |||
Distribution and service plan feesClass A | 56 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
48 | |||
Class I |
1,256 | |||
Class Y | 56 | |||
Shareholder communications: |
||||
Class A |
44 | |||
Class I |
1,562 | |||
Class Y | 14 | |||
Legal, auditing and other professional fees | 21,289 | |||
Registration fees | 2,269 | |||
Custodian fees and expenses | 2,176 | |||
Trustees compensation | 1,562 | |||
Other |
186 | |||
|
|
| ||
Total expenses |
56,002 | |||
Less waivers and reimbursements of expenses |
(27,031 | ) | ||
|
|
| ||
Net expenses
|
|
28,971
|
| |
Net Investment Income |
192,036 |
19 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: |
||||
Investment transactions in: |
||||
Unaffiliated companies |
$ | (316,308 | ) | |
Affiliated companies |
(19,431 | ) | ||
Option contracts written |
7,901 | |||
Futures contracts |
(16,868 | ) | ||
Foreign currency transactions |
19,974 | |||
Forward currency exchange contracts |
135,536 | |||
Swap contracts |
(6,744 | ) | ||
Swaption contracts written |
42,727 | |||
|
|
| ||
Net realized loss | (153,213 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investment transactions in: |
||||
Unaffiliated companies |
(475,144 | ) | ||
Affiliated companies |
(10,276 | ) | ||
Translation of assets and liabilities denominated in foreign currencies |
(15,997 | ) | ||
Forward currency exchange contracts |
59,681 | |||
Option contracts written |
(21,266 | ) | ||
Swap contracts |
(75,113 | ) | ||
Swaption contracts written |
(38,254 | ) | ||
|
|
| ||
Net change in unrealized appreciation/depreciation
|
|
(576,369
|
)
| |
Net Decrease in Net Assets Resulting from Operations |
$ | (537,546 | ) | |
|
|
|
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
See accompanying Notes to Financial Statements.
20 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF CHANGES IN NET ASSETS Unaudited
Period Ended June 30, 20181 | ||||
Operations | ||||
Net investment income | $ | 192,036 | ||
Net realized loss | (153,213 | ) | ||
Net change in unrealized appreciation/depreciation |
(576,369 | ) | ||
|
|
| ||
Net decrease in net assets resulting from operations |
(537,546 | ) | ||
Dividends and/or Distributions to Shareholders | ||||
Dividends from net investment income: |
||||
Class A |
(1,290 | ) | ||
Class I |
(184,418 | ) | ||
Class Y |
(1,590 | ) | ||
|
|
| ||
(187,298 | ) | |||
Beneficial Interest Transactions | ||||
Net increase in net assets resulting from beneficial interest transactions: |
||||
Class A |
111,965 | |||
Class I |
10,264,351 | |||
Class Y |
161,652 | |||
|
|
| ||
10,537,968 | ||||
Net Assets | ||||
Total increase | 9,813,124 | |||
Beginning of period |
302 | |||
|
|
| ||
End of period (including accumulated net investment income of $ 4,738) |
$ | 9,813,154 | ||
|
|
|
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. Reflects the value of the Managers seed money invested on January 8, 2018.
See accompanying Notes to Financial Statements.
21 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Class A | Period Ended June 30, 2018 (Unaudited)1 | |||
Per Share Operating Data | ||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.18 | |||
Net realized and unrealized loss |
(0.70) | |||
|
|
| ||
Total from investment operations | (0.52) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.17) | |||
Net asset value, end of period |
$9.31 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (5.34)% | |||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $106 | |||
Average net assets (in thousands) | $67 | |||
Ratios to average net assets:4 |
||||
Net investment income |
4.28% | |||
Total expenses5 |
1.83% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.92% | |||
Portfolio turnover rate |
159% |
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.94 | % |
See accompanying Notes to Financial Statements.
22 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Class I | Period Ended June 30, 2018 (Unaudited)1 | |||
Per Share Operating Data | ||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.19 | |||
Net realized and unrealized loss |
(0.70) | |||
|
|
| ||
Total from investment operations | (0.51) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.18) | |||
Net asset value, end of period |
$9.31 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (5.15)% | |||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $9,554 | |||
Average net assets (in thousands) | $9,791 | |||
Ratios to average net assets:4 |
||||
Net investment income |
4.52% | |||
Total expenses5 |
1.31% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.68% | |||
Portfolio turnover rate |
159% |
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.42 | % |
See accompanying Notes to Financial Statements.
23 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
FINANCIAL HIGHLIGHTS Continued
Class Y | Period Ended June 30, 2018 (Unaudited)1 | |||
Per Share Operating Data | ||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.18 | |||
Net realized and unrealized loss |
(0.70) | |||
|
|
| ||
Total from investment operations | (0.52) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.18) | |||
Net asset value, end of period |
$9.30 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (5.21)% | |||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $153 | |||
Average net assets (in thousands) | $78 | |||
Ratios to average net assets:4 |
||||
Net investment income |
4.44% | |||
Total expenses5 |
1.61% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.77% | |||
Portfolio turnover rate |
159% |
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.72 | % |
See accompanying Notes to Financial Statements.
24 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS June 30, 2018 Unaudited
1. Organization
Oppenheimer Global Unconstrained Bond Fund (the Fund), a series of Oppenheimer Integrity Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class I and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a contingent deferred sales charge (CDSC), however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees.
The following is a summary of significant accounting policies followed in the Funds preparation of financial statements in accordance with accounting principles generally accepted in the United States (U.S. GAAP).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Value of investment securities, other assets and liabilities at the exchange rates prevailing at market close as described in Note 3.
(2) Purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the values are presented at the foreign exchange rates at market close, the Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments shown in the Statement of Operations.
For securities, which are subject to foreign withholding tax upon disposition, realized and unrealized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on
25 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as determined necessary by the Manager.
The tax character of distributions is determined as of the Funds fiscal year end. Therefore, a portion of the Funds distributions made to shareholders prior to the Funds fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Funds understanding of the applicable tax rules and regulations. Interest income, if any, is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. Custodian fees and expenses in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 2.00%. The Reduction to custodian expenses line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
26 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
2. Significant Accounting Policies (Continued)
Indemnifications. The Funds organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Funds tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions since commencement of operations on January 26, 2018, and does not believe there are any uncertain tax positions requiring recognition in the Funds financial statements.
Capital losses will be carried forward to future years if not offset by gains.
At period end, it is estimated that the capital loss carryforwards would be $153,213. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The 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 in the following table. 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 or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities |
$ | 10,839,301 | ||
Federal tax cost of other investments |
(194,021 | ) | ||
|
|
| ||
Total federal tax cost |
$ | 10,645,280 | ||
|
|
| ||
Gross unrealized appreciation |
$ | 286,123 | ||
Gross unrealized depreciation |
(877,690 | ) | ||
|
|
| ||
Net unrealized depreciation |
$ | (591,567 | ) | |
|
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts
27 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
3. 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 Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, 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. Pricing services generally price debt securities assuming orderly transactions of an institutional round lot size, but some trades may occur in smaller, odd lot sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include market information relevant to the underlying reference asset such as the price of financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates, or the occurrence of other specific
28 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
3. Securities Valuation (Continued)
events.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation 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.
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 may be used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
29 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
The table below categorizes amounts that are included in the Funds Statement of Assets and Liabilities 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: |
||||||||||||||||
Foreign Government Obligations |
$ | | $ | 2,993,761 | $ | | $ | 2,993,761 | ||||||||
Corporate Bonds and Notes |
| 2,257,618 | | 2,257,618 | ||||||||||||
Short-Term Notes |
| 220,476 | | 220,476 | ||||||||||||
Over-the-Counter Options Purchased |
| 5,320 | | 5,320 | ||||||||||||
Over-the-Counter Interest Rate Swaption Purchased |
| 22,539 | | 22,539 | ||||||||||||
Investment Companies |
4,838,970 | | | 4,838,970 | ||||||||||||
Total Investments, at Value |
4,838,970 | 5,499,714 | | 10,338,684 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward currency exchange contracts |
| 246,908 | | 246,908 | ||||||||||||
Total Assets |
$ | 4,838,970 | $ | 5,746,622 | $ | | $ | 10,585,592 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Swaps, at value |
$ | | $ | (4,231 | ) | $ | | $ | (4,231 | ) | ||||||
Centrally cleared swaps, at value |
| (98,454 | ) | | (98,454 | ) | ||||||||||
Options written, at value |
| (58,688 | ) | | (58,688 | ) | ||||||||||
Forward currency exchange contracts |
| (187,227 | ) | | (187,227 | ) | ||||||||||
Swaptions written, at value |
| (105,856 | ) | | (105,856 | ) | ||||||||||
Total Liabilities |
$ | | $ | (454,456 | ) | $ | | $ | (454,456 | ) |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign companys operations or financial condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments may be affected by exchange control regulations, foreign taxes, higher transaction and other
30 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
4. Investments and Risks (Continued)
costs, delays in the settlement of transactions, changes in economic or monetary policy in the United States or abroad, expropriation or nationalization of a companys assets, or other political and economic factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Funds investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds expenses, including their management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Significant Holdings. At period end, the Funds investment in Oppenheimer Limited-Term Bond Fund, accounted for 25.10% of the Funds net assets. Additional information on Oppenheimer Limited-Term Bond Fund, including the audited financials, can be found on the website of the Securities and Exchange Commission.
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), 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.
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on
31 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
Shareholder Concentration. At period end, one shareholder owned 20% or more of the Funds total outstanding shares.
The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 97% of the Funds total outstanding shares at period end.
5. Market Risk Factors
The Funds 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 securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period
32 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
5. Market Risk Factors (Continued)
typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Statement of Investments. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable (or payable) and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the
33 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $3,377,876 and $6,150,211, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
At period end, the Fund had no futures contracts outstanding.
34 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
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 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. 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.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put, or written call 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 $11,568 and $393 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. 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 the market price of the underlying security increasing above the strike price and the option being exercised. The Fund must then purchase the underlying security at the higher market price and deliver it for the strike price or, if it owns the underlying security, deliver it at the strike price and forego any benefit from the increase in the price of the underlying security above the strike price. The risk in writing a put option is the market price of the underlying security decreasing below the strike price and the option being exercised. The Fund must then purchase the underlying security at the strike price when the market price of the underlying security is below the strike price. Alternatively, the Fund could also close out a written option position, in which case the risk is that the closing transaction will require a premium to be paid by the Fund that is greater than the premium the Fund received. When writing options, the Fund has the additional risk that there may be an illiquid market where the Fund is unable to close the contact. The risk in buying an option is that the Fund pays a premium for the option, and the option may be worth less than the premium paid or expire worthless.
During the reporting period, the Fund had an ending monthly average market value of $9,462 and $62,573 on written call options and written put options, respectively.
35 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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. 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. 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.
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.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized
36 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports.
The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
For the reporting period, the Fund had ending monthly average notional amounts of $428,571 on credit default swaps to buy protection.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund may enter into interest rate swaps in which it pays the fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Typically, if relative interest rates rise, floating payments under a swap agreement will be greater than the fixed payments.
For the reporting period, the Fund had ending monthly average notional amounts of $3,784,446 and $4,148,128 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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. 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. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations. 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
37 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
swaption contract, a gain or loss is reported in the Statement of Operations 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 may purchase swaptions which give it the option to enter into an interest rate swap in which it pays a floating or fixed interest rate and receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion of this swaption becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection 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 $62,315 and $76,586 on purchased and written swaptions, respectively.
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 Funds 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
38 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds 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. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or
39 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
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 as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Funds OTC derivative assets net of the related collateral pledged by the Fund at period end:
Gross Amounts Not Offset in the Statement of | ||||||||||||||||||||
Assets & Liabilities | ||||||||||||||||||||
Gross Amounts | ||||||||||||||||||||
Not Offset in | Financial | Financial | ||||||||||||||||||
the Statement | Instruments | Instruments | ||||||||||||||||||
of Assets & | Available for | Collateral | Cash Collateral | |||||||||||||||||
Counterparty | Liabilities* | Offset | Received** | Received** | Net Amount | |||||||||||||||
Bank of America NA |
$ | 47,794 | $ | (47,794) | $ | | $ | | $ | | ||||||||||
Barclays Bank plc |
9,795 | (7,225) | | | 2,570 | |||||||||||||||
Citibank NA |
48,662 | (48,662) | | | | |||||||||||||||
Goldman Sachs Bank USA |
37,864 | (37,864) | | | | |||||||||||||||
JPMorgan Chase Bank NA |
103,089 | (77,429) | | | 25,660 | |||||||||||||||
Toronto dominion Bank |
27,563 | | | | 27,563 | |||||||||||||||
$ |
274,767 |
|
$ | (218,974) | $ | | $ | | $ | 55,793 | ||||||||||
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
40 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
The following table presents by counterparty the Funds OTC derivative liabilities net of the related collateral pledged by the Fund at period end:
Gross Amounts Not Offset in the Statement of Assets & Liabilities |
||||||||||||||||||
Counterparty | Gross Amounts Not Offset in the Statement of Assets & Liabilities* |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledged** |
Cash Collateral Pledged** |
Net Amount | |||||||||||||
Bank of America NA |
$ | (112,690) | $ | 47,794 | $ | | $ | | $ (64,896) | |||||||||
Barclays Bank plc |
(7,225) | 7,225 | | | | |||||||||||||
Citibank NA |
(56,648) | 48,662 | | | (7,986) | |||||||||||||
Goldman Sachs Bank USA |
(97,779) | 37,864 | | | (59,915) | |||||||||||||
Goldman Sachs International |
(4,231) | | | | (4,231) | |||||||||||||
JPMorgan Chase Bank NA |
(77,429) | 77,429 | | | | |||||||||||||
|
| |||||||||||||||||
$ | (356,002) | $ | 218,974 | $ | | $ | | $ (137,028) | ||||||||||
|
|
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:
Asset Derivatives |
Liability Derivatives | |||||||
Derivatives Not Accounted for as Hedging Instruments |
Statement of Assets and Liabilities Location |
Value | Statement of Assets and Liabilities Location |
Value | ||||
Interest rate contracts | Swaps, at value | $ 4,231 | ||||||
Credit contracts | Centrally cleared swaps, at value | 29,690 | ||||||
Interest rate contracts | Centrally cleared swaps, at value | 68,764 | ||||||
Forward currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | $ 246,908 | Unrealized depreciation on foreign currency exchange contracts | 187,227 | ||||
Forward currency exchange contracts | Options written, at value | 58,688 | ||||||
Interest rate contracts | Swaptions written, at value | 105,856 | ||||||
Forward currency exchange contracts | Investments, at value | 5,320* | ||||||
Interest rate contracts | Investments, at value | 22,539* | ||||||
|
| |||||||
Total |
$ 274,767 | $ 454,456 | ||||||
|
|
*Amounts relate to purchased option contracts and purchased swaption contracts, if any.
41 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives |
| |||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investment in unaffiliated |
Swaption contracts written |
Option contracts written |
Futures contracts |
||||||||||||
Credit contracts |
$ | | $ | 6,825 | $ | | $ | | ||||||||
Forward currency exchange contracts |
(1,358 | ) | | 7,901 | | |||||||||||
Interest rate contracts |
(81,302 | ) | 35,902 | | (16,868 | ) | ||||||||||
Total |
$ | (82,660 | ) | $ | 42,727 | $ | 7,901 | $ | (16,868 | ) | ||||||
Amount of Realized Gain or (Loss) Recognized on Derivatives (Continued) |
| |||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Forward currency exchange contracts |
Swap contracts | Total | |||||||||||||
Credit contracts |
$ | | $ | 3,957 | $ | 10,782 | ||||||||||
Forward currency exchange contracts |
135,536 | | 142,079 | |||||||||||||
Interest rate contracts |
| (10,701 | ) | (72,969 | ) | |||||||||||
Total |
$ | 135,536 | $ | (6,744 | ) | $ | 79,892 | |||||||||
*Includes purchased option contracts and purchased swaption contracts, if any. | ||||||||||||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives |
| |||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investment transactions in unaffiliated companies* |
Option contracts written |
Swaption contracts written |
|||||||||||||
Credit contracts |
$ | | $ | | $ | | ||||||||||
Forward currency exchange contracts |
(19,279 | ) | (21,266 | ) | | |||||||||||
Interest rate contracts |
(482 | ) | | (38,254 | ) | |||||||||||
Total |
$ | (19,761 | ) | $ | (21,266 | ) | $ | (38,254 | ) | |||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives (Continued) |
| |||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Forward currency exchange contracts |
Swap contracts | Total | |||||||||||||
Credit contracts |
$ | | $ | (2,118 | ) | $ | (2,118 | ) | ||||||||
Forward currency exchange contracts |
59,681 | | 19,136 | |||||||||||||
Interest rate contracts |
| (72,995 | ) | (111,731 | ) | |||||||||||
Total |
$ | 59,681 | $ | (75,113 | ) | $ | (94,713 | ) | ||||||||
*Includes purchased option contracts and purchased swaption contracts, if any.
42 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Period Ended June 30, 20181,2 | ||||||||
Shares | Amount | |||||||
Class A | ||||||||
Sold | 12,471 | $ | 122,128 | |||||
Dividends and/or distributions reinvested | 117 | 1,117 | ||||||
Redeemed | (1,138 | ) | (11,280 | ) | ||||
Net increase | 11,450 | $ | 111,965 | |||||
Class I | ||||||||
Sold | 1,027,653 | $ | 10,275,345 | |||||
Dividends and/or distributions reinvested | | | ||||||
Redeemed | (1,101 | ) | (10,994 | ) | ||||
Net increase | 1,026,552 | $ | 10,264,351 | |||||
Class Y | ||||||||
Sold | 16,512 | $ | 162,352 | |||||
Dividends and/or distributions reinvested | 149 | 1,407 | ||||||
Redeemed | (226 | ) | (2,107 | ) | ||||
Net increase | 16,435 | $ | 161,652 | |||||
1. For the period from January 26, 2018 (commencement of operations) to June 30, 2018.
2. The Fund sold one share of Class A, Class I, and Class Y, at a value of $10 to the Manager upon seeding the Fund on January 8, 2018. These amounts are not reflected in the table above.
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
Purchases | Sales | |||||||
Investment securities |
$22,357,822 | $12,525,585 |
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $500 million |
0.60 | % | ||
Next $500 million |
0.55 | |||
Next $4 billion |
0.50 | |||
Over $5 billion |
0.48 |
The Funds effective management fee for the reporting period was 0.60% of average annual net assets before any applicable waivers.
43 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the Transfer Agent) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets, which shall be calculated after any applicable fee waivers. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the Sub-Transfer Agent), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Offering and Organizational Costs. The Manager paid all initial offering and organizational costs associated with the registration and seeding of the Fund.
Trustees Compensation. The Funds Board of Trustees (Board) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of Other within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees fees under the plan will not affect the net assets of the Fund and will not materially affect the Funds assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributors Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Funds principal underwriter in the continuous public offering of the Funds classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the Plan)
44 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
9. Fees and Other Transactions with Affiliates (Continued)
for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
Period Ended | Class A Front-End Sales Charges Retained by Distributor |
Class A Contingent Deferred Sales Charges Retained by Distributor |
||||||
June 30, 2018 |
$173 | $ |
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive fees and/or reimburse expenses to limit the Funds Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses (excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses, interest and fees from borrowing, and certain other Fund expenses) so that, as percentages of average daily net assets, those expenses will not exceed the annual rate of 1.00% for Class A shares, 0.75% for Class I shares and 0.85% for Class Y shares.
During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:
Class A |
$230 | |||
Class I |
21,962 | |||
Class Y |
249 |
This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investments in Affiliated Funds. During the reporting period, the Manager waived fees and/or reimbursed the Fund $4,590 for these management fees. This fee waiver and/or expense reimbursement may not be amended or
45 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the Facility) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Effective July 17, 2018, the Facility was increased to $1.95 billion. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.
46 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (OFI Global or the Adviser), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser) (OFI Global and OFI together the Managers) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the Agreements). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. The Board received information regarding the proposed services, fees, and expenses of the Fund.
The Managers provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers proposed services, (ii) the proposed fees and projected expenses of the Fund, including estimated and comparative fee and expense information, (iii) the estimated cost to the Manager and its affiliates of providing services, (iv) whether economies of scale are expected to be realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors, and (v) other benefits that are expected to accrue to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Boards conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services to be provided to the Fund and information regarding the Managers key personnel who provide such services. The Board also considered that the Managers duties will include providing the Fund with the services of the portfolio manager and the Sub-Advisers investment team, who provide research, analysis and other advisory services in regard to the Funds investments; and securities trading services. OFI Global will be responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Funds investment restrictions; risk management; and oversight of the Sub-Adviser. The Board took into account that OFI Global will be responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Funds operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Funds shares. OFI Global will also provide the Fund with office space, facilities and equipment.
The Board also considered the quality of the services to be provided and the quality of the Managers resources that will be available to the Fund. The Board considered the history, reputation, qualification and background of the Sub-Adviser, and the fact that the Sub-Adviser had over 50 years of experience as an investment adviser and that its assets
47 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers advisory, administrative, accounting, legal, compliance and risk management services, among other services, and information the Board has received regarding the experience and professional qualifications of the Managers personnel and the size and functions of their staff. In its evaluation of the quality of the portfolio management services to be provided, the Board considered the experience of Hemant Baijal, the proposed portfolio manager for the Fund, and the Managers investment team and analysts. The Board members also considered the totality of their experiences with the Managers as trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services to be provided by affiliates of the Managers, which its members have become knowledgeable about in connection with other funds advised by the Managers. The Board concluded, in light of the Managers experience, reputation, personnel, operations and resources that the Fund should benefit from the services to be provided under the Agreements.
Investment Performance. Because the Fund has no operating history, the Board was unable to consider the Funds performance. However, the Board considered that OFI Global had been managing a similar investment strategy as a separate account since October 2016 with positive results.
Costs of Services to be Provided by the Manager. The Board reviewed the fees to be paid to the Adviser and the other expenses to be borne by the Fund. The Adviser provided comparative data in regard to the proposed fees and expenses of the Fund based on a subset of other funds classified by an independent service provider as being in the same category as the Fund. Based on this information, the Funds contractual management fee is expected to be lower than the selected peer group median and above the peer group average. The Funds net expense ratio for Class A shares is expected to be lower than the selected peer group median and the selected peer group average. The Board also considered that the Adviser proposed to contractually waive a portion of its management fees and/or reimburse the Fund for certain of its expenses so that total annual fund operating expenses after any fee waiver and/or expense reimbursement (excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, acquired fund fees and expenses, brokerage commissions, extraordinary expenses and certain other Fund expenses) will not exceed 1.00% of average annual net assets for Class A Shares, 0.85% for Class Y shares, and 0.75% for Class I Shares.
Economies of Scale. The Board considered information regarding the Managers anticipated costs in serving as the Funds investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that it is proposed that the Fund will have management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Funds assets grow.
48 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Other Benefits to the Managers. In evaluating other benefits that accrue to the Managers from their relationship with the Fund, the Board noted that OFI Global is the Transfer Agent for the Fund through its operating division, Shareholder Services, Inc., and that OppenheimerFunds Distributor, Inc., an affiliate of OFI, is the Funds Distributor. The Fund compensates the Transfer Agent and the Distributor in connection with the provision of those services. The Board reviewed and approved the written contracts for each which set forth the anticipated services to be provided by those entities and their estimated costs in so doing. The Board also considered information that was provided regarding the direct and indirect benefits the Managers are expected to receive as a result of their relationship with the Fund and research that may be provided to the Managers in connection with permissible brokerage arrangements (soft dollar arrangements).
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission rules.
The Board, including the independent Trustees members, considered the data provided by the Managers and concluded that sufficient information had been provided to allow them to evaluate the terms of the Advisory Agreement and Sub-Advisory Agreement and the reasonableness of the proposed investment advisory fee and sub-advisory fee. It also considered that the Managers and their affiliates have been the investment advisers for other Oppenheimer funds for a number of years and that it has found the performance of the Managers to be satisfactory. They concluded that the Funds proposed management fees are reasonable in light of the services to be provided to the Fund.
The Board, including the independent Board members, concluded that the Board should approve the Agreements through August 31, 2019. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
49 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;
UPDATES TO STATEMENT OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (portfolio proxies) held by the Fund. A description of the Funds Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800. CALL OPP (225.5677), (ii) on the Funds website at www.oppenheimerfunds.com, and (iii) on the SECs website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Funds voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800. CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SECs website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Funds Form N-Q filings are available on the SECs website at www.sec.gov. Those forms may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
HouseholdingDelivery of Shareholder Documents
This is to inform you about OppenheimerFunds householding policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the funds prospectus (or, if available, the funds summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
50 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over the last six months of the Funds reporting period, the table below details on a per-share basis the percentage of the Funds total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. Other capital sources represent a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income. You should not draw any conclusions about the Funds investment performance from the amounts of these distributions. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. If the Fund (or an underlying fund in which the Fund invests) invests in real estate investment trusts (REITs) and/or master limited partnerships (MLPs), the percentages attributed to each category are estimated using historical information because the character of the amounts received from the REITs and/or MLPs in which the Fund (or underlying fund) invests is unknown until after the end of the calendar year. Because the Fund is actively managed, the relative amount of the Funds total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.
For the most current information, please go to oppenheimerfunds.com. Select your Fund, and scroll down to the Dividends table under Analytics. The Funds latest distribution information will be followed by the sources of any distribution, updated daily.
Fund Name | Pay Date |
Net Income | Net Profit from Sale |
Other Capital Sources |
||||||||||||
Oppenheimer Global Unconstrained Bond Fund |
1/31/18 | 0.0% | 0.0% | 100.0% |
51 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Trustees and Officers | Robert J. Malone, Chairman of the Board of Trustees and Trustee | |
Andrew J. Donohue, Trustee | ||
Richard F. Grabish, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Victoria J. Herget, Trustee | ||
Karen L. Stuckey, Trustee | ||
James D. Vaughn, Trustee | ||
Arthur P. Steinmetz, Trustee, President and Principal Executive Officer | ||
Hemant Baijal, Vice President | ||
Cynthia Lo Bessette, Secretary and Chief Legal Officer | ||
Jennifer Foxson, Vice President and Chief Business Officer | ||
Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money | ||
Laundering Officer | ||
Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer | ||
Manager | OFI Global Asset Management, Inc. | |
Sub-Adviser | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder | OFI Global Asset Management, Inc. | |
Servicing Agent | ||
Sub-Transfer Agent | Shareholder Services, Inc. | |
DBA OppenheimerFunds Services | ||
Independent Registered | KPMG LLP | |
Public Accounting Firm | ||
Legal Counsel | Ropes & Gray LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2018 OppenheimerFunds, Inc. All rights reserved.
52 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain non-public personal information about our shareholders from the following sources:
· | Applications or other forms. |
· | When you create a user ID and password for online account access. |
· | When you enroll in eDocs Direct,SM our electronic document delivery service. |
· | Your transactions with us, our affiliates or others. |
· | Technologies on our website, including: cookies and web beacons, which are used to collect data on the pages you visit and the features you use. |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to opt in or opt out of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or opt out of such disclosure.
53 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
PRIVACY NOTICE Continued
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/ or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
· | All transactions conducted via our websites, including redemptions, exchanges and purchases, are secured by the highest encryption standards available. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. |
· | Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
· | You can exit the secure area by closing your browser or, for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Strengthening your online credentialsyour online security profiletypically your user name, password, and security questions and answers, can be one of your most important lines of defense on the Internet. For additional information on how you can help prevent identity theft, visit https://www.oppenheimerfunds.com/security.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security numberwhether or not you remain a shareholder of our funds. This notice was last updated as of November 2017. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com, write to us at P.O. Box 5270, Denver, CO 80217-5270, or call us at 800 CALL OPP (225 5677).
54 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
55 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
![]() |
||||||
Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available MonFri 8am-8pm ET. | ||||||
Visit Us | ||||||
oppenheimerfunds.com | ||||||
Call Us | ||||||
800 225 5677 | ||||||
Follow Us | ||||||
![]() |
Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2018 OppenheimerFunds Distributor, Inc. All rights reserved.
RS4823.001.0618 August 24, 2018 |
Semiannual Report | 6/30/2018 | |||||
|
||||||
![]() |
Class A Shares
CUMULATIVE TOTAL RETURNS AT 6/30/18
Class A Shares of the Fund |
||||||
Without Sales Charge | With Sales Charge | ICE BofAML Fixed Rate Preferred Securities Index | ||||
Since Inception (2/12/18) |
-0.68% |
-5.40% |
2.55% |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where without sales charge is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Since the Funds inception on February 12, 2018 through June 30, 2018, its Class A shares (without sales charge) produced a cumulative total return of -0.68%. In comparison, the ICE BofA Merrill Lynch Fixed Rate Preferred Securities Index (the Index) returned 2.55%. Relative underperformance during this period can be largely explained by the Funds allocation to non-U.S. preferred securities and underweight position to fixed-rate preferred securities.
3 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
4 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
5 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge for Class A shares, except where without sales charge is indicated. There is no sales charge for Class I and Class Y shares. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on an SEC-standardized formula designed to approximate the Funds annualized hypothetical current income from securities less expenses for the 30-day period ended June 30, 2018 and that dates maximum offering price (for Class A shares) or net asset value (for all other share classes). Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under an SEC-standardized formula based on net income earned for the 30-day period ended June 30, 2018. The calculation excludes any expense reimbursements and thus may result in a lower yield.
The Funds performance is compared to the performance of the ICE BofA Merrill Lynch Fixed Rate Preferred Securities Index. Qualifying securities must have an investment grade rating (based on an average rating of nationally recognized statistical rating organizations). In
6 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
addition, qualifying securities must be issued as public securities or through a Rule 144A filing, must be issued in $25, $50, or $100 par/liquidation preference increments, must have a fixed coupon or dividend schedule and must have a minimum amount outstanding of $100 million. The Index includes preference shares (perpetual preferred securities), American Depository Shares/Receipts (ADS/R), domestic and Yankee trust preferred securities having a minimum remaining term of at least one year, both dividends received deduction eligible and non-dividends received deduction eligible preferred stock and senior debt. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Funds performance, it must be noted that the Funds investments are not limited to the investments comprising the Index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Funds performance, and does not predict or depict performance of the Fund. The Funds performance reflects the effects of the Funds business and operating expenses.
The views in the Fund Performance Discussion represent the opinions of this Funds portfolio managers and are not intended as investment advice or to predict or depict the performance of any investment. These views are as of the close of business on June 30, 2018, and are subject to change based on subsequent developments. The Funds portfolio and strategies are subject to change.
Before investing in any of the Oppenheimer funds, investors should carefully consider a funds investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
7 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples for Actual Expenses are based on an investment of $1,000.00 invested at the beginning of the period, February 12, 2018 (commencement of operations) and held for the period ended June 30, 2018.
The Hypothetical Examples for Comparison Purposes are based on an investment of $1,000.00 invested on January 1, 2018 and held for the entire 6-month period ended June 30, 2018.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
8 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Actual | Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During 6 Months Ended June 30, 20181,2 | |||||||||
Class A | $ | 1,000.00 | $ | 993.20 | $ | 4.37 | ||||||
Class I | 1,000.00 | 994.70 | 2.85 | |||||||||
Class Y | 1,000.00 | 994.00 | 3.58 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,019.09 | 5.77 | |||||||||
Class I | 1,000.00 | 1,021.08 | 3.77 | |||||||||
Class Y | 1,000.00 | 1,020.13 | 4.72 |
1. Actual expenses paid are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 139/365 to reflect the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. Hypothetical expenses paid are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Those annualized expense ratios, excluding indirect expenses from affiliated funds, for the period February 12, 2018 (commencement of operations) to June 30, 2018 are as follows:
Class | Expense Ratios | |||
Class A | 1.15% | |||
Class I | 0.75 | |||
Class Y | 0.94 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Funds Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Funds prospectus. The Financial Highlights tables in the Funds financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
9 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF INVESTMENTS June 30, 2018 Unaudited
Principal Amount | Value | |||||||
Corporate Bonds and Notes63.2% | ||||||||
Energy0.9% | ||||||||
Oil, Gas & Consumable Fuels0.9% | ||||||||
Energy Transfer Partners LP, 6.625% [US0003M+415.5] Jr. Sub. Perpetual Bonds1,2 |
$ | 105,000 | $ | 96,009 | ||||
Financials56.6% | ||||||||
Capital Markets11.0% | ||||||||
Charles Schwab Corp. (The), 5.00% [US0003M+257.5] Jr. Sub. Perpetual Bonds1,2 | 200,000 | 191,750 | ||||||
Credit Suisse Group AG, 7.125% [USSW5+510.8] Jr. Sub. Perpetual Bonds1,2 | 190,000 | 193,705 | ||||||
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds1,2 | 190,000 | 193,800 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
5.00% [US0003M+287.4] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 94,060 | ||||||
5.375% [US0003M+392.2] Jr. Sub. Perpetual Bonds1,2 | 100,000 | 101,625 | ||||||
Macquarie Bank Ltd. (London), 6.125% [USSW5+370.3] Jr. Sub. Perpetual Bonds1,2,3 | 190,000 | 171,000 | ||||||
UBS Group Funding Switzerland AG, 7.125% [USSW5+588.3] Jr. Sub. Perpetual Bonds1,2 |
185,000 | 191,017 | ||||||
|
|
| ||||||
1,136,957 | ||||||||
Commercial Banks36.5% | ||||||||
Banco Bilbao Vizcaya Argentaria SA, 6.125% [USSW5+387] Jr. Sub. Perpetual Bonds1,2 | 195,000 | 172,575 | ||||||
Banco Santander SA, 6.375% [USSW5+478.8] Jr. Sub. Perpetual Bonds1,2 | 195,000 | 195,933 | ||||||
Bank of America Corp.: |
||||||||
6.30% [US0003M+455.3] Jr. Sub. Perpetual Bonds1,2 |
225,000 | 238,455 | ||||||
5.989% [US0003M+363] Jr. Sub. Perpetual Bonds, Series K1,2 | 48,000 | 48,264 | ||||||
Barclays plc, 7.875% [USSW5+677.2] Jr. Sub. Perpetual Bonds1,2 | 185,000 | 191,595 | ||||||
BNP Paribas SA, 7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds1,2,3 | 180,000 | 188,325 | ||||||
CIT Group, Inc., 5.80% [US0003M+397.2] Jr. Sub. Perpetual Bonds1,2 | 195,000 | 193,050 | ||||||
Citigroup, Inc., 6.125% [US0003M+447.8] Jr. Sub. Perpetual Bonds1,2 | 145,000 | 151,525 | ||||||
Citizens Financial Group, Inc., 6.00% [US0003M+300.3] Jr. Sub. Perpetual Bonds1,2 | 105,000 | 106,050 | ||||||
Credit Agricole SA, 8.125% [USSW5+618.5] Jr. Sub. Perpetual Bonds1,2,3 | 270,000 | 286,538 | ||||||
Fifth Third Bancorp, 5.10% [US0003M+303.33] Jr. Sub. Perpetual Bonds1,2 | 50,000 | 49,349 | ||||||
HSBC Holdings plc, 6.375% [USISDA05+370.5] Jr. Sub. Perpetual Bonds1,2 | 190,000 | 188,421 | ||||||
Huntington Bancshares, Inc., 5.70% [US0003M+288] Jr. Sub. Perpetual Bonds1,2 | 102,000 | 100,916 | ||||||
ING Groep NV, 6.875% [USSW5+512.4] Jr. Sub. Perpetual Bonds1,2 |
190,000 | 194,157 |
10 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Principal Amount | Value | |||||||
Commercial Banks (Continued) | ||||||||
JPMorgan Chase & Co.: |
||||||||
6.125% [US0003M+333] Jr. Sub. Perpetual Bonds1,2 |
$ | 191,000 | $ | 196,491 | ||||
5.829% [US0003M+347] Jr. Sub. Perpetual Bonds, Series 11,2 | 245,000 | 247,646 | ||||||
Royal Bank of Scotland Group plc, 7.50% [USSW5+580] Jr. Sub. Perpetual Bonds1,2 | 295,000 | 301,490 | ||||||
Societe Generale SA, 7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds1,2,3 | 185,000 | 188,700 | ||||||
SunTrust Banks, Inc.: |
||||||||
5.05% [US0003M+310.2] Jr. Sub. Perpetual Bonds1,2 |
150,000 | 147,555 | ||||||
5.125% [US0003M+278.6] Jr. Sub. Perpetual Bonds1,2 | 105,000 | 99,947 | ||||||
Wachovia Capital Trust III, 5.57% [US0003M+93] Jr. Sub. Perpetual Bonds1,2 | 200,000 | 198,250 | ||||||
Wells Fargo & Co., 6.111% [US0003M+377] Jr. Sub. Perpetual Bonds, Series K1,2 |
104,000 | 105,495 | ||||||
|
|
| ||||||
3,790,727 | ||||||||
Consumer Finance2.4% | ||||||||
American Express Co., 4.90% [US0003M+328.5] Jr. Sub. Perpetual Bonds1,2 | 147,000 | 147,625 | ||||||
Discover Financial Services, 5.50% [US0003M+307.6] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 97,750 | ||||||
|
|
| ||||||
245,375 | ||||||||
Diversified Financial Services0.9% | ||||||||
Voya Financial, Inc., 4.70% [US0003M+208.4] Jr. Sub. Nts., 1/23/481,3 |
105,000 | 93,581 | ||||||
Insurance5.8% | ||||||||
Catlin Insurance Co. Ltd., 5.33% [US0003M+297.5] Jr. Sub. Perpetual Bonds1,2,3 | 100,000 | 99,750 | ||||||
Hartford Financial Services Group, Inc. (The), 4.468% [US0003M+212.5] Jr. Sub. Nts., 2/12/471,3 | 100,000 | 94,750 | ||||||
Liberty Mutual Group, Inc., 5.246% [US0003M+290.5] Jr. Sub. Nts., 3/15/371,3 | 102,000 | 99,705 | ||||||
Lincoln National Corp., 4.678% [US0003M+235.75] Jr. Sub. Nts., 5/17/661 | 215,000 | 205,183 | ||||||
MetLife, Inc., 5.25% [US0003M+357.5] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 101,980 | ||||||
|
|
| ||||||
601,368 | ||||||||
Industrials3.8% | ||||||||
Industrial Conglomerates1.9% | ||||||||
General Electric Co., 5.00% Jr. Sub. Perpetual Bonds2,4 |
200,000 | 197,550 | ||||||
Trading Companies & Distributors1.9% | ||||||||
ILFC E-Capital Trust I, 4.57% [30YR CMT+155] Jr. Sub. Nts., 12/21/651,3 |
205,000 | 192,188 |
11 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Utilities1.9% | ||||||||
Electric Utilities0.9% | ||||||||
NextEra Energy Capital Holdings, Inc., 4.80% [US0003M+240.9] Jr. Sub. Nts., 12/1/771 |
$ | 100,000 | $ | 93,434 | ||||
Multi-Utilities1.0% | ||||||||
WEC Energy Group, Inc., 4.455% [US0003M+211.25] Jr. Sub. Nts., 5/15/671 |
105,000 | 104,086 | ||||||
|
|
| ||||||
Total Corporate Bonds and Notes (Cost $6,766,049) |
6,551,275 | |||||||
Shares | ||||||||
Preferred Stocks34.9% | ||||||||
Allstate Corp. (The), 6.625% Non-Cum., Non-Vtg. | 3,904 | 100,918 | ||||||
American Homes 4 Rent, 6.35% Cum., Non-Vtg. | 3,997 | 100,445 | ||||||
Citigroup Capital XIII, 7.75% Cum., Non-Vtg. [US0003M+637]1 | 9,321 | 252,599 | ||||||
Digital Realty Trust, Inc., 7.375% Cum., Non-Vtg. | 3,836 | 99,889 | ||||||
DTE Energy Co., 5.375% Jr. Sub., Non-Vtg. | 4,150 | 104,746 | ||||||
eBay, Inc., 6.00% Cv. | 3,859 | 101,492 | ||||||
Entergy Texas, Inc., 5.625% First Mortgage | 4,075 | 105,828 | ||||||
Fifth Third Bancorp, 6.625% Non-Cum., Non-Vtg. [US0003M+371]1 | 5,107 | 138,451 | ||||||
First Republic Bank, 7.00% Non-Cum. | 3,807 | 97,878 | ||||||
GMAC Capital Trust I, 7.20% Jr. Sub., Non-Vtg. [US0003M+578.5]1 | 9,836 | 258,687 | ||||||
Goldman Sachs Group, Inc. (The), 6.30% Non-Cum., Series N, Non-Vtg. | 9,674 | 257,715 | ||||||
Huntington Bancshares, Inc., 6.25% Non-Cum., Non-Vtg. | 3,821 | 99,805 | ||||||
KeyCorp, 6.125% Non-Cum., Non-Vtg. [US0003M+389.2]1 | 7,298 | 194,711 | ||||||
Morgan Stanley, 5.85% Non-Cum., Non-Vtg. [US0003M+349.1]1 | 6,232 | 160,100 | ||||||
Morgan Stanley, 6.375% Non-Cum., Non-Vtg. [US0003M+370.8]1 | 5,649 | 151,732 | ||||||
Northern Trust Corp., 5.85% Non-Cum., Non-Vtg. | 2,309 | 62,966 | ||||||
PNC Financial Services Group, Inc. (The), 6.125% Non-Cum., Non-Vtg. [US0003M+406.7]1 | 8,016 | 220,039 | ||||||
Prudential Financial, Inc., 5.75% Jr. Sub. | 2,002 | 51,271 | ||||||
Public Storage, 5.20% Cum., Series X, Non-Vtg. | 4,225 | 106,090 | ||||||
Qwest Corp., 7.00% Sr. Unsec. | 6,950 | 169,997 | ||||||
Senior Housing Properties Trust, 6.25% Sr. Unsec., Non-Vtg. | 3,856 | 99,176 | ||||||
State Street Corp., 6.00% Non-Cum., Non-Vtg. | 5,879 | 153,442 | ||||||
Synovus Financial Corp., 6.30% Non-Cum., Series D, Non-Vtg. [US0003M+335.2]1,5 | 3,993 | 102,381 | ||||||
US Bancorp, 6.50% Non-Cum., Non-Vtg. [US0003M+446.8]1 | 8,332 | 230,796 | ||||||
Ventas Realty LP/Ventas Capital Corp., 5.45% Sr. Unsec. | 4,056 | 101,603 | ||||||
Wells Fargo & Co., 6.625% Non-Cum Non-Vtg. [US0003M+369]1 |
3,661 | 100,678 | ||||||
|
|
| ||||||
Total Preferred Stocks (Cost $3,616,520) |
3,623,435 |
12 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Shares | Value | |||||||
Investment Company3.9% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.85%6,7 (Cost $409,412) |
409,412 | $ | 409,412 | |||||
Total Investments, at Value (Cost $10,791,981) | 102.0% | 10,584,122 | ||||||
Net Other Assets (Liabilities) | (2.0) | (207,070 | ) | |||||
|
|
| ||||||
Net Assets | 100.0% | $ | 10,377,052 | |||||
|
|
|
Footnotes to Statement of Investments
1. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
2. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
3. 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 $1,414,537 or 13.63% of the Funds net assets at period end.
4. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
5. Non-income producing security.
6. Rate shown is the 7-day yield at period end.
7. 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 February 12, 2018 (Commencement of Operations) |
Gross Additions |
Gross Reductions |
Shares June 30, 2018 |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | | 17,265,675 | 16,856,263 | 409,412 | ||||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 409,412 | $ | 2,231 | $ | | $ | |
Futures Contracts as of June 30, 2018 |
|
|||||||||||||||||||||||
Description | Buy/Sell | Expiration Date |
Number of Contracts |
Notional Amount (000s) |
Value | Unrealized Appreciation / (Depreciation) |
||||||||||||||||||
United States Treasury Nts., 10 yr. | Sell | 9/19/18 | 1 | USD 120 | $ | 120,188 | $ | 109 |
13 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Glossary: | ||
Definitions |
||
30YR CMT |
30 Year Constant Maturity Treasury | |
ICE LIBOR |
Intercontinental Exchange London Interbank Offered Rate | |
US0003M |
ICE LIBOR USD 3 Month | |
USISDA05 |
USD ICE Swap Rate 11:00am NY 5 Year | |
USSW5 |
USD Swap Semi 30/360 5 Year |
See accompanying Notes to Financial Statements.
14 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES June 30, 2018 Unaudited
Assets | ||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $10,382,569) |
$ | 10,174,710 | ||
Affiliated companies (cost $409,412) | 409,412 | |||
|
|
| ||
10,584,122 | ||||
Cash used for collateral on futures | 2,000 | |||
Receivables and other assets: |
||||
Investments sold |
193,132 | |||
Interest and dividends |
94,796 | |||
Other |
8,050 | |||
|
|
| ||
Total assets |
10,882,100 | |||
Liabilities | ||||
Bank overdraft | 242,104 | |||
Payables and other liabilities: |
||||
Investments purchased |
258,767 | |||
Shareholder communications |
1,205 | |||
Trustees compensation |
873 | |||
Distribution and service plan fees |
53 | |||
Other |
2,046 | |||
|
|
| ||
Total liabilities |
505,048 | |||
Net Assets | $ | 10,377,052 | ||
|
|
| ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest |
$ |
1,063 |
| |
Additional paid-in capital | 10,629,180 | |||
Accumulated net investment income | 11,569 | |||
Accumulated net realized loss on investments | (57,010 | ) | ||
Net unrealized depreciation on investments |
(207,750 | ) | ||
|
|
| ||
Net Assets | $ | 10,377,052 | ||
|
|
| ||
Net Asset Value Per Share | ||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of $332,224 and 34,046 shares of beneficial interest outstanding) | $9.76 | |||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $10.24 | |||
Class I Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $9,739,086 and 997,998 shares of beneficial interest outstanding) | $9.76 | |||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $305,742 and 31,327 shares of beneficial interest outstanding) | $9.76 |
See accompanying Notes to Financial Statements.
15 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
OF OPERATIONS For the Period Ended June 30, 20181 Unaudited
Investment Income | ||||
Interest | $ | 153,931 | ||
Dividends: |
||||
Unaffiliated companies |
79,788 | |||
Affiliated companies |
2,231 | |||
|
|
| ||
Total investment income |
235,950 | |||
Expenses | ||||
Management fees | 25,298 | |||
Distribution and service plan feesClass A | 99 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
81 | |||
Class I |
1,125 | |||
Class Y | 162 | |||
Shareholder communications: |
||||
Class A |
45 | |||
Class I |
1,357 | |||
Class Y | 13 | |||
Legal, auditing and other professional fees | 19,007 | |||
Custodian fees and expenses | 3,737 | |||
Trustees compensation | 1,561 | |||
Other |
1,974 | |||
|
|
| ||
Total expenses |
54,459 | |||
Less waivers and reimbursements of expenses |
(25,084 | ) | ||
|
|
| ||
Net expenses |
29,375 | |||
Net Investment Income |
206,575 | |||
Realized and Unrealized Gain (Loss) |
||||
Net realized loss on: |
||||
Investment transactions in unaffiliated companies |
(55,476 | ) | ||
Futures contracts |
(1,534 | ) | ||
|
|
| ||
Net realized loss | (57,010 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investment transactions in unaffiliated companies |
(207,859 | ) | ||
Futures contracts |
109 | |||
|
|
| ||
Net change in unrealized appreciation/depreciation |
(207,750 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (58,185 | ) | |
|
|
|
1. For the period February 12, 2018 (commencement of operations) to June 30, 2018.
See accompanying Notes to Financial Statements.
16 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF CHANGES IN NET ASSETS Unaudited
Period Ended June 30, 20181 | ||||
Operations |
||||
Net investment income | $ | 206,575 | ||
Net realized loss | (57,010 | ) | ||
Net change in unrealized appreciation/depreciation | (207,750 | ) | ||
|
|
| ||
Net decrease in net assets resulting from operations |
(58,185 | ) | ||
Dividends and/or Distributions to Shareholders | ||||
Dividends from net investment income: |
||||
Class A |
(2,709 | ) | ||
Class I |
(187,234 | ) | ||
Class Y |
(5,063 | ) | ||
|
|
| ||
(195,006 | ) | |||
Beneficial Interest Transactions | ||||
Net increase in net assets resulting from beneficial interest transactions: | ||||
Class A |
337,045 | |||
Class I |
9,979,970 | |||
Class Y | 313,198 | |||
|
|
| ||
10,630,213 | ||||
Net Assets | ||||
Total increase | 10,377,022 | |||
Beginning of period |
302 | |||
|
|
| ||
End of period (including accumulated net investment income of $11,569) |
$ | 10,377,052 | ||
|
|
|
1. For the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. Reflects the value of the Managers seed money invested on February 6, 2018.
See accompanying Notes to Financial Statements.
17 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Class A | Period Ended June 30, 20181 (Unaudited) | |||
Per Share Operating Data |
||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.19 | |||
Net realized and unrealized loss | (0.26) | |||
|
|
| ||
Total from investment operations | (0.07) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.17) | |||
Net asset value, end of period |
$9.76 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (0.68)% | |||
Ratios/Supplemental Data |
||||
Net assets, end of period (in thousands) | $332 | |||
Average net assets (in thousands) | $129 | |||
Ratios to average net assets:4 |
||||
Net investment income |
4.91% | |||
Total expenses5 |
1.96% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.15% | |||
Portfolio turnover rate |
16% |
1. For the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.96% |
See accompanying Notes to Financial Statements.
18 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Class I | Period Ended June 30, 20181 (Unaudited) | |||
Per Share Operating Data |
||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.20 | |||
Net realized and unrealized loss |
(0.25) | |||
|
|
| ||
Total from investment operations | (0.05) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.19) | |||
Net asset value, end of period |
$9.76 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (0.53)% | |||
Ratios/Supplemental Data |
||||
Net assets, end of period (in thousands) | $9,739 | |||
Average net assets (in thousands) | $9,844 | |||
Ratios to average net assets:4 |
||||
Net investment income |
5.31% | |||
Total expenses5 |
1.39% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75% | |||
Portfolio turnover rate |
16% |
1. For the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.39% |
See accompanying Notes to Financial Statements.
19 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
FINANCIAL HIGHLIGHTS Continued
Class Y | Period Ended June 30, 20181 (Unaudited) | |||
Per Share Operating Data |
||||
Net asset value, beginning of period | $10.00 | |||
Income (loss) from investment operations: |
||||
Net investment income2 |
0.19 | |||
Net realized and unrealized loss |
(0.25) | |||
|
|
| ||
Total from investment operations | (0.06) | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income | (0.18) | |||
Net asset value, end of period |
$9.76 | |||
|
|
| ||
Total Return, at Net Asset Value3 | (0.60)% | |||
Ratios/Supplemental Data |
||||
Net assets, end of period (in thousands) | $306 | |||
Average net assets (in thousands) | $252 | |||
Ratios to average net assets:4 |
||||
Net investment income |
5.13% | |||
Total expenses5 |
1.55% | |||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.94% | |||
Portfolio turnover rate |
16% |
1. For the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Period Ended June 30, 2018 |
1.55% |
See accompanying Notes to Financial Statements.
20 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS June 30, 2018 Unaudited
1. Organization
Oppenheimer Preferred Securities and Income Fund (the Fund), a series of Oppenheimer Integrity Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class I and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a contingent deferred sales charge (CDSC), however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees.
The following is a summary of significant accounting policies followed in the Funds preparation of financial statements in accordance with accounting principles generally accepted in the United States (U.S. GAAP).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as determined necessary by the Manager.
The tax character of distributions is determined as of the Funds fiscal year end. Therefore, a portion of the Funds distributions made to shareholders prior to the Funds fiscal year end may ultimately be categorized as a tax return of capital.
21 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Funds understanding of the applicable tax rules and regulations. Interest income, if any, is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. Custodian fees and expenses in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 2.00%. The Reduction to custodian expenses line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Funds organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Funds tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions since commencement of operations on February 12, 2018 and does not believe there are any uncertain tax positions requiring recognition in the Funds financial statements.
Capital losses will be carried forward to future years if not offset by gains.
At period end, it is estimated that the capital loss carryforwards would be $57,010. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement
22 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
2. Significant Accounting Policies (Continued)
and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The 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 in the following table. 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 or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities |
$ | 10,791,981 | ||
Federal tax cost of other investments |
(120,297 | ) | ||
|
|
| ||
Total federal tax cost |
$ | 10,671,684 | ||
|
|
| ||
Gross unrealized appreciation |
$ | 37,574 | ||
Gross unrealized depreciation |
(245,324 | ) | ||
|
|
| ||
Net unrealized depreciation |
$ | (207,750 | ) | |
|
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
3. 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 Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
23 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Funds assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Funds assets are valued.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation 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.
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 may be used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
24 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
3. Securities Valuation (Continued)
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts that are included in the Funds Statement of Assets and Liabilities 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: | ||||||||||||||
Corporate Bonds and Notes |
$ | | $ | 6,551,275 | $ | | $ 6,551,275 | |||||||
Preferred Stocks |
3,623,435 | | | 3,623,435 | ||||||||||
Investment Company |
409,412 | | | 409,412 | ||||||||||
|
| |||||||||||||
Total Investments, at Value |
4,032,847 | 6,551,275 | | 10,584,122 | ||||||||||
Other Financial Instruments: | ||||||||||||||
Futures Contracts |
109 | | | 109 | ||||||||||
|
| |||||||||||||
Total Assets |
$ | 4,032,956 | $ | 6,551,275 | $ | | $ 10,584,231 | |||||||
|
|
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Funds investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the
25 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
Affiliated Funds expenses, including their management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
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), 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Funds portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular companys securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the companys sector or industry, or changes in government regulations affecting the company or its industry.
Shareholder Concentration. At period end, one shareholder owned 20% or more of the Funds total outstanding shares.
The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 94% of the Funds total outstanding shares at period end.
5. Market Risk Factors
The Funds 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
26 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
5. Market Risk Factors (Continued)
assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is
27 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $60,042 on futures contracts sold.
Additional associated risks of entering into futures contracts (and related options) include
28 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
6. Use of Derivatives (Continued)
the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or 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.
29 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
||||
Derivatives Not Accounted for as Hedging Instruments
|
Futures contracts |
|||
Interest rate contracts |
$ | (1,534 | ) | |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
||||
Derivatives Not Accounted for as Hedging Instruments
|
Futures contracts |
|||
Interest rate contracts |
$ | 109 |
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Period Ended June 30, 20181,2 | ||||||||
Shares | Amount | |||||||
Class A |
||||||||
Sold |
33,877 | $ | 335,401 | |||||
Dividends and/or distributions reinvested |
256 | 2,511 | ||||||
Redeemed |
(88 | ) | (867 | ) | ||||
Net increase |
34,045 | $ | 337,045 | |||||
Class I | ||||||||
Sold |
997,997 | $ | 9,979,970 | |||||
Dividends and/or distributions reinvested |
| | ||||||
Redeemed |
| | ||||||
Net increase |
997,997 | $ | 9,979,970 | |||||
Class Y | ||||||||
Sold |
31,011 | $ | 310,105 | |||||
Dividends and/or distributions reinvested |
315 | 3,093 | ||||||
Redeemed |
| | ||||||
Net increase |
31,326 | $ | 313,198 | |||||
1. For the period from February 12, 2018 (commencement of operations) to June 30, 2018.
2. The Fund sold one share of Class A, Class I and Class Y at a value of $10 to the Manager upon seeding the Fund
30 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
7. Shares of Beneficial Interest (Continued)
on February 6, 2018. These amounts are not reflected in the table above.
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
Purchases | Sales | |||||||
Investment securities |
$ | 11,624,624 | $ | 1,185,018 |
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $500 million |
0.65 | % | ||
Next $500 million |
0.60 | |||
Next $4 billion |
0.55 | |||
Over $5 billion |
0.53 |
The Funds effective management fee for the reporting period was 0.65% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the Transfer Agent) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets, which shall be calculated after any applicable fee waivers. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the Sub-Transfer Agent), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
31 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
Offering and Organizational Costs. The Manager paid all initial offering and organizational costs associated with the registration and seeding of the Fund.
Trustees Compensation. The Funds Board of Trustees (Board) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of Other within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees fees under the plan will not affect the net assets of the Fund and will not materially affect the Funds assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributors Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Funds principal underwriter in the continuous public offering of the Funds classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the Plan) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
Period Ended | Class A Front-End Sales Charges Retained by Distributor |
Class A Contingent Deferred Sales Charges Retained by Distributor |
||||||
June 30, 2018 |
$732 | $ |
32 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
9. Fees and Other Transactions with Affiliates (Continued)
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive fees and/or reimburse expenses to limit the Funds Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses (excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses and certain other Fund expenses) so that, as percentages of average daily net assets, those expenses will not exceed the annual rate of 1.19% for Class A shares, 0.75% for Class I shares and 0.94% for Class Y shares.
During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:
Class A |
$402 | |||||
Class I |
23,944 | |||||
Class Y |
591 |
This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $147 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the Facility) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Effective July 17, 2018, the Facility was increased to $1.95 billion. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.
33 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (OFI Global or the Adviser), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser) (OFI Global and OFI together the Managers) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the Agreements). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. The Board received information regarding the proposed services, fees, and expenses of the Fund.
The Managers provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers proposed services, (ii) the proposed fees and projected expenses of the Fund, including estimated and comparative fee and expense information, (iii) the estimated cost to the Manager and its affiliates of providing services, (iv) whether economies of scale are expected to be realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors, and (v) other benefits that are expected to accrue to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Boards conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services to be provided to the Fund and information regarding the Managers key personnel who provide such services. The Board also considered that the Managers duties will include providing the Fund with the services of the portfolio manager and the Sub-Advisers investment team, who provide research, analysis and other advisory services in regard to the Funds investments; and securities trading services. OFI Global will be responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Funds investment restrictions; risk management; and oversight of the Sub-Adviser. The Board took into account that OFI Global will be responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Funds operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Funds shares. OFI Global will also provide the Fund with office space, facilities and equipment.
The Board also considered the quality of the services to be provided and the quality of the Managers resources that will be available to the Fund. The Board considered the history, reputation, qualification and background of the Sub-Adviser, and the fact that the Sub-Adviser had over 50 years of experience as an investment adviser and that its assets
34 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers advisory, administrative, accounting, legal, compliance and risk management services, among other services, and information the Board has received regarding the experience and professional qualifications of the Managers personnel and the size and functions of their staff. In its evaluation of the quality of the portfolio management services to be provided, the Board considered the experience of Helena Lee, the portfolio manager OFI plans to have manage the Fund, and the Managers investment team and analysts. The Board members also considered the totality of their experiences with the Managers as trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services to be provided by affiliates of the Managers, which its members have become knowledgeable about in connection with other funds advised by the Managers. The Board concluded, in light of the Managers experience, reputation, personnel, operations and resources that the Fund should benefit from the services to be provided under the Agreements.
Investment Performance. Because the Fund has no operating history, the Board was unable to consider the Funds performance. However, the Board considered that OFI had been managing a similar investment strategy as a sleeve of two other Oppenheimer funds.
Costs of Services to be Provided by the Manager. The Board reviewed the fees to be paid to the Managers and the other expenses to be borne by the Fund. The Managers provided comparative data in regard to the proposed fees and expenses of the Fund based on a subset of other funds classified by an independent service provider as being in the same category as the Fund. Based on this information, the Funds contractual management fee is expected to be lower than the median and average of the selected peer group of mutual funds. The Funds net expense ratio for Class A shares is expected to be higher by 0.01% than the median of the selected peer group of mutual funds median and lower than the average of the selected peer group of mutual funds. The Board also considered that the Adviser proposed to contractually waive a portion of its management fees and/or reimburse the Fund for certain of its expenses so that total annual fund operating expenses after any fee waiver and/or expense reimbursement (excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, acquired fund fees and expenses, brokerage commissions, extraordinary expenses and certain other Fund expenses) will not exceed 1.19% of average annual net assets for Class A Shares, 0.94% for Class Y shares, and 0.75% for Class I Shares.
Economies of Scale. The Board considered information regarding the Managers anticipated costs in serving as the Funds investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that it is proposed that the Fund will have management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Funds assets grow.
35 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
Other Benefits to the Managers. In evaluating other benefits that accrue to the Managers from their relationship with the Fund, the Board noted that OFI Global is the Transfer Agent for the Fund through it operating division, Shareholder Services, Inc., an affiliate of the Managers, is the sub-transfer agent and that OppenheimerFunds Distributor, Inc., an affiliate of the Managers, is the Funds Distributor. The Fund compensates the Transfer Agent and the Distributor in connection with the provision of those services. The Board reviewed and approved the written contracts for each which set forth the anticipated services to be provided by those entities and their estimated costs in so doing. The Board also considered information that was provided regarding the direct and indirect benefits the Managers are expected to receive as a result of their relationship with the Fund and research that may be provided to OFI in connection with permissible brokerage arrangements (soft dollar arrangements).
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission rules.
The Board, including the independent Trustees members, considered the data provided by the Managers and concluded that sufficient information had been provided to allow them to evaluate the terms of the Advisory Agreement and Sub-Advisory Agreement and the reasonableness of the proposed investment advisory fee and sub-advisory fee. It also considered that the Managers and their affiliates have been the investment advisers for other Oppenheimer funds for a number of years and that it has found the performance of the Managers to be satisfactory. They concluded that the Funds proposed management fees are reasonable in light of the services to be provided to the Fund.
The Board, including the independent Board members, concluded that the Board should approve the Agreements through November 30, 2019. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
36 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;
UPDATES TO STATEMENT OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (portfolio proxies) held by the Fund. A description of the Funds Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Funds website at www.oppenheimerfunds.com, and (iii) on the SECs website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Funds voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SECs website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Funds Form N-Q filings are available on the SECs website at www.sec.gov. Those forms may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
HouseholdingDelivery of Shareholder Documents
This is to inform you about OppenheimerFunds householding policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the funds prospectus (or, if available, the funds summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
37 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over the last six months of the Funds reporting period, the table below details on a per-share basis the percentage of the Funds total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. Other capital sources represent a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income. You should not draw any conclusions about the Funds investment performance from the amounts of these distributions. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. If the Fund (or an underlying fund in which the Fund invests) invests in real estate investment trusts (REITs) and/or master limited partnerships (MLPs), the percentages attributed to each category are estimated using historical information because the character of the amounts received from the REITs and/or MLPs in which the Fund (or underlying fund) invests is unknown until after the end of the calendar year. Because the Fund is actively managed, the relative amount of the Funds total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.
For the most current information, please go to oppenheimerfunds.com. Select your Fund, and scroll down to the Dividends table under Analytics. The Funds latest distribution information will be followed by the sources of any distribution, updated daily.
Fund Name | Pay Date |
Net Income | Net Profit from Sale |
Other Capital Sources |
||||||||||||
Oppenheimer Preferred Securities and Income Fund | 4/27/18 | 91.7% | 0.0% | 8.3% | ||||||||||||
Oppenheimer Preferred Securities and Income Fund | 5/30/18 | 93.3% | 0.0% | 6.7% |
38 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Trustees and Officers |
Robert J. Malone, Chairman of the Board of Trustees and Trustee | |
Andrew J. Donohue, Trustee | ||
Richard F. Grabish, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Victoria J. Herget, Trustee | ||
Karen L. Stuckey, Trustee | ||
James D. Vaughn, Trustee | ||
Arthur P. Steinmetz, Trustee, President and Principal Executive Officer | ||
Helena Lee, Vice President | ||
Cynthia Lo Bessette, Secretary and Chief Legal Officer | ||
Jennifer Foxson, Vice President and Chief Business Officer | ||
Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money | ||
Laundering Officer | ||
Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer | ||
Manager |
OFI Global Asset Management, Inc. | |
Sub-Adviser |
OppenheimerFunds, Inc. | |
Distributor |
OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder |
OFI Global Asset Management, Inc. | |
Servicing Agent |
||
Sub-Transfer Agent |
Shareholder Services, Inc. | |
DBA OppenheimerFunds Services | ||
Independent Registered |
KPMG LLP | |
Public Accounting Firm |
||
Legal Counsel |
Ropes & Gray LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2018 OppenheimerFunds, Inc. All rights reserved.
39 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain non-public personal information about our shareholders from the following sources:
· | Applications or other forms. |
· | When you create a user ID and password for online account access. |
· | When you enroll in eDocs Direct,SM our electronic document delivery service. |
· | Your transactions with us, our affiliates or others. |
· | Technologies on our website, including: cookies and web beacons, which are used to collect data on the pages you visit and the features you use. |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to opt in or opt out of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or opt out of such disclosure.
40 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/ or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
· | All transactions conducted via our websites, including redemptions, exchanges and purchases, are secured by the highest encryption standards available. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. |
· | Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
· | You can exit the secure area by closing your browser or, for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Strengthening your online credentialsyour online security profiletypically your user name, password, and security questions and answers, can be one of your most important lines of defense on the Internet. For additional information on how you can help prevent identity theft, visit https://www. oppenheimerfunds.com/security.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security numberwhether or not you remain a shareholder of our funds. This notice was last updated as of November 2017. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com, write to us at P.O. Box 5270, Denver, CO 80217-5270, or call us at 800 CALL OPP (225 5677).
41 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
42 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
43 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
44 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
45 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
46 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
47 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
![]() |
||||||
Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available MonFri 8am-8pm ET. | ||||||
Visit Us | ||||||
oppenheimerfunds.com | ||||||
Call Us | ||||||
800 225 5677 | ||||||
Follow Us | ||||||
|
Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2018 OppenheimerFunds Distributor, Inc. All rights reserved.
RS4917.001.0618 August 24, 2018 |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Funds Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrants disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 6/30/2018, the registrants principal executive officer and principal financial officer found the registrants disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrants management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrants internal controls over financial reporting that occurred during the registrants second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) | (1) Exhibit attached hereto. |
(2) Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Integrity Fund
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 8/17/2018 |
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: | 8/17/2018 | |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 8/17/2018 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, certify that:
1. | I have reviewed this report on Form N-CSR of Oppenheimer Integrity Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: 8/17/2018
/s/ Arthur P. Steinmetz |
Arthur P. Steinmetz |
Principal Executive Officer |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian S. Petersen, certify that:
1. | I have reviewed this report on Form N-CSR of Oppenheimer Integrity Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: 8/17/2018
/s/ Brian S. Petersen |
Brian S. Petersen |
Principal Financial Officer |
EX-99.906CERT
Section 906 Certifications
CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
Arthur P. Steinmetz, Principal Executive Officer, and Brian S. Petersen, Principal Financial Officer, of Oppenheimer Integrity Fund (the Registrant), each certify to the best of his knowledge that:
1. | The Registrants periodic report on Form N-CSR for the period ended 6/30/2018 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer | Principal Financial Officer | |||
Oppenheimer Integrity Fund | Oppenheimer Integrity Fund | |||
/s/ Arthur P. Steinmetz | /s/ Brian S. Petersen | |||
Arthur P. Steinmetz | Brian S. Petersen | |||
Date: 8/17/2018 | Date: 8/17/2018 |
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end
<@T =!X5U.[UKP_!J=VB1_:F:6%%4C$18 M^7G/K7$4LC-J4WG2!L8 M4[0N!QTP* *T7A2SA\/:5HRSS鯚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end
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
M[A&S\P('RY H T!XR\+^'?#E[-HME)$RP->10-9RQ?:0>/,#%
D!
M\@'Z @,"# (4 AT")@(O C@"00)+ E0"70)G G$">@*$ HX"F *B JP"M@+!
M LL"U0+@ NL"]0, PL#%@,A RT#. -# T\#6@-F W(#?@.* Y8#H@.N [H#
MQP/3 ^ #[ /Y! 8$$P0@!"T$.P1(!%4$8P1Q!'X$C 2:!*@$M@3$!-,$X03P
M!/X%#044%]@8&!A8&)P8W!D@&
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M',P<]1T>'4<=:AZ4'KX>Z1\3'SX?:1^4'[\?ZB 5($$@
M;""8(,0@\"$<(4@A=2&A( &YXS'DJ>8EYYWI&
M>J5[!'MC>\)\(7R!?.%]07VA?@%^8G["?R-_A'_E@$> J($*@6N!S8(P@I*"
M](-7@[J$'82 A..%1X6KA@Z& *[N(.:G"O.&;N
MH[O]VG5UN[..ONZ+?I9'!P[:I.A"IDRIJR_>-4M+*ZEI[VK2MUNS%UG]CCQ9
MH7[-L7Q4FO/#K>&IH8)UA2YF-]MFG2!,H80F0S@G]YTR1D\'CO@Y\*-4^.7Q
M-TGPGHTUA!JFLM*L$E[(\=NICADF;AAZV,?%-:EBV^7
MFJ*HG\/LK2OIMRJ.L>FS70\_$T,$N$:-7!I<_+3=-KXO:WBEKOSN>DNOQ)Z7
M(/V$O#%QI?@[X@_$G3O#]UXD\1>$;&"V\.V45DUX1>W)9?/$2 NS1#8>/X'D
MY'WAR&JZ!\>=<\2-K%WI7QFFU9G\S[6--U..1&Z_)M0! ,G"J !T KOOV!M
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M
+F&*K4:JC!V5O+
MS/-[5T<2YKHW^9ZU&"J86,'U7Z';
MZC;6OB_1(VM)U61#N7/\)[JWI7N8BC'&TU*F_0\&A4GE]9J:T_K5>!+PW
M:&^DB6W4Y8(Q)8>@KBHY7)2O5>AZ%;-:?)^[3N9OB*+2++48H-,3>(N93O+!
MCZ?Y]:Y,1["G62IJZ6_F=6#=>I3