UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-3420
Oppenheimer Integrity Funds
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 9/30/2018
Item 1. Schedule of Investments.
STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
Principal Amount | Value | |||||||
Asset-Backed Securities16.4% |
||||||||
Auto Loan9.9% |
||||||||
American Credit Acceptance Receivables Trust: |
||||||||
Series 2015-3, Cl. D, 5.86%, 7/12/221 |
$ | 1,875,000 | $ | 1,893,514 | ||||
Series 2016-4, Cl. B, 2.11%, 2/12/211 |
179,718 | 179,663 | ||||||
Series 2017-3, Cl. B, 2.25%, 1/11/211 |
1,235,000 | 1,233,595 | ||||||
Series 2017-4, Cl. B, 2.61%, 5/10/211 |
1,000,000 | 998,872 | ||||||
Series 2017-4, Cl. C, 2.94%, 1/10/241 |
2,831,000 | 2,815,981 | ||||||
Series 2017-4, Cl. D, 3.57%, 1/10/241 |
3,368,000 | 3,332,712 | ||||||
Series 2018-2, Cl. B, 3.46%, 8/10/221 |
4,330,000 | 4,327,396 | ||||||
Series 2018-2, Cl. C, 3.70%, 7/10/241 |
4,275,000 | 4,267,014 | ||||||
Series 2018-3, Cl. A, 2.92%, 8/12/211 |
2,160,000 | 2,160,286 | ||||||
Series 2018-3, Cl. B, 3.49%, 6/13/221 |
1,295,000 | 1,295,829 | ||||||
AmeriCredit Automobile Receivables Trust: |
||||||||
Series 2015-2, Cl. D, 3.00%, 6/8/21 |
4,152,000 | 4,152,499 | ||||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 |
3,735,000 | 3,713,760 | ||||||
Series 2017-3, Cl. D, 3.18%, 7/18/23 |
4,000,000 | 3,939,438 | ||||||
Series 2017-4, Cl. D, 3.08%, 12/18/23 |
1,895,000 | 1,857,277 | ||||||
Cabelas Credit Card Master Note Trust, Series 2015-2, Cl. A2, 2.828% [US0001M+67], 7/17/232 |
9,110,000 | 9,177,166 | ||||||
Capital Auto Receivables Asset Trust, Series 2017-1, Cl. D, 3.15%, 2/20/251 |
560,000 | 553,973 | ||||||
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/211 |
34,702 | 34,678 | ||||||
CarMax Auto Owner Trust: |
||||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 |
930,000 | 928,047 | ||||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 |
3,045,000 | 3,040,990 | ||||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 |
2,045,000 | 2,035,331 | ||||||
Series 2017-1, Cl. D, 3.43%, 7/17/23 |
2,675,000 | 2,655,025 | ||||||
Series 2017-4, Cl. D, 3.30%, 5/15/24 |
1,435,000 | 1,408,169 | ||||||
Series 2018-1, Cl. D, 3.37%, 7/15/24 |
1,095,000 | 1,074,539 | ||||||
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/231 |
1,016,178 | 1,009,467 | ||||||
CPS Auto Receivables Trust: |
||||||||
Series 2017-C, Cl. A, 1.78%, 9/15/201 |
319,354 | 318,598 | ||||||
Series 2017-C, Cl. B, 2.30%, 7/15/211 |
1,275,000 | 1,267,704 | ||||||
Series 2017-D, Cl. B, 2.43%, 1/18/221 |
2,390,000 | 2,366,660 | ||||||
Series 2018-A, Cl. B, 2.77%, 4/18/221 |
2,080,000 | 2,061,517 | ||||||
Series 2018-B, Cl. B, 3.23%, 7/15/221 |
2,480,000 | 2,470,446 | ||||||
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/211 |
735,000 | 733,437 | ||||||
Credit Acceptance Auto Loan Trust: |
||||||||
Series 2017-3A, Cl. C, 3.48%, 10/15/261 |
2,865,000 | 2,819,749 | ||||||
Series 2018-1A, Cl. B, 3.60%, 4/15/271 |
1,990,000 | 1,974,251 | ||||||
Series 2018-1A, Cl. C, 3.77%, 6/15/271 |
2,840,000 | 2,805,312 | ||||||
Series 2018-2A, Cl. C, 4.16%, 9/15/271 |
1,785,000 | 1,787,335 | ||||||
Drive Auto Receivables Trust: |
||||||||
Series 2015-BA, Cl. D, 3.84%, 7/15/211 |
200,289 | 201,190 | ||||||
Series 2016-CA, Cl. D, 4.18%, 3/15/241 |
1,905,000 | 1,924,860 | ||||||
Series 2017-3, Cl. C, 2.80%, 7/15/22 |
1,590,000 | 1,586,139 | ||||||
Series 2017-AA, Cl. C, 2.98%, 1/18/221 |
4,240,000 | 4,236,895 |
1 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Auto Loan (Continued) |
||||||||
Drive Auto Receivables Trust: (Continued) |
||||||||
Series 2017-BA, Cl. D, 3.72%, 10/17/221 |
$ | 2,685,000 | $ | 2,695,550 | ||||
Series 2018-1, Cl. D, 3.81%, 5/15/24 |
2,545,000 | 2,535,982 | ||||||
Series 2018-2, Cl. D, 4.14%, 8/15/24 |
4,985,000 | 5,007,669 | ||||||
Series 2018-3, Cl. A1, 2.433%, 8/15/19 |
1,250,821 | 1,250,606 | ||||||
Series 2018-3, Cl. D, 4.30%, 9/16/24 |
3,340,000 | 3,369,129 | ||||||
Series 2018-4, Cl. B, 3.36%, 10/17/22 |
2,160,000 | 2,161,384 | ||||||
DT Auto Owner Trust: |
||||||||
Series 2015-2A, Cl. D, 4.25%, 2/15/221 |
970,462 | 976,102 | ||||||
Series 2016-4A, Cl. E, 6.49%, 9/15/231 |
3,005,000 | 3,085,689 | ||||||
Series 2017-1A, Cl. C, 2.70%, 11/15/221 |
1,799,000 | 1,795,907 | ||||||
Series 2017-1A, Cl. D, 3.55%, 11/15/221 |
2,360,000 | 2,359,023 | ||||||
Series 2017-1A, Cl. E, 5.79%, 2/15/241 |
1,815,000 | 1,840,302 | ||||||
Series 2017-2A, Cl. D, 3.89%, 1/15/231 |
2,405,000 | 2,410,480 | ||||||
Series 2017-3A, Cl. B, 2.40%, 5/17/211 |
2,455,000 | 2,448,604 | ||||||
Series 2017-3A, Cl. E, 5.60%, 8/15/241 |
2,710,000 | 2,748,769 | ||||||
Series 2017-4A, Cl. C, 2.86%, 7/17/231 |
1,515,000 | 1,508,735 | ||||||
Series 2017-4A, Cl. D, 3.47%, 7/17/231 |
5,210,000 | 5,189,398 | ||||||
Series 2017-4A, Cl. E, 5.15%, 11/15/241 |
1,995,000 | 2,005,813 | ||||||
Series 2018-1A, Cl. B, 3.04%, 1/18/221 |
2,275,000 | 2,270,387 | ||||||
Series 2018-2A, Cl. B, 3.43%, 5/16/221 |
1,300,000 | 1,298,772 | ||||||
Exeter Automobile Receivables Trust, Series 2018-1A, Cl. B, 2.75%, 4/15/221 |
2,255,000 | 2,241,426 | ||||||
Flagship Credit Auto Trust: |
||||||||
Series 2014-1, Cl. D, 4.83%, 6/15/201 |
360,000 | 360,945 | ||||||
Series 2016-1, Cl. C, 6.22%, 6/15/221 |
4,265,000 | 4,414,034 | ||||||
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, 2.82%, 7/15/221 |
4,124,438 | 4,108,997 | ||||||
GM Financial Automobile Leasing Trust: |
||||||||
Series 2017-3, Cl. C, 2.73%, 9/20/21 |
1,565,000 | 1,546,725 | ||||||
Series 2018-2, Cl. C, 3.50%, 4/20/22 |
2,245,000 | 2,240,052 | ||||||
Navistar Financial Dealer Note Master Owner Trust II: |
||||||||
Series 2017-1, Cl. C, 3.766% [LIBOR01M+155], 6/27/221,2 |
750,000 | 752,677 | ||||||
Series 2017-1, Cl. D, 4.516% [LIBOR01M+230], 6/27/221,2 |
865,000 | 866,026 | ||||||
Series 2018-1, Cl. A, 2.798% [LIBOR01M+63], 9/25/231,2 |
1,830,000 | 1,832,324 | ||||||
Series 2018-1, Cl. B, 2.968% [LIBOR01M+80], 9/25/231,2 |
860,000 | 860,432 | ||||||
Santander Drive Auto Receivables Trust: |
||||||||
Series 2015-5, Cl. D, 3.65%, 12/15/21 |
1,665,000 | 1,671,867 | ||||||
Series 2016-2, Cl. D, 3.39%, 4/15/22 |
1,975,000 | 1,976,562 | ||||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 |
1,900,000 | 1,889,098 | ||||||
Series 2017-1, Cl. E, 5.05%, 7/15/241 |
5,845,000 | 5,990,885 | ||||||
Series 2017-2, Cl. D, 3.49%, 7/17/23 |
2,875,000 | 2,867,931 | ||||||
Series 2017-3, Cl. D, 3.20%, 11/15/23 |
3,750,000 | 3,714,778 | ||||||
Series 2018-1, Cl. D, 3.32%, 3/15/24 |
1,605,000 | 1,574,334 | ||||||
Series 2018-2, Cl. D, 3.88%, 2/15/24 |
2,665,000 | 2,646,201 | ||||||
Series 2018-3, Cl. C, 3.51%, 8/15/23 |
6,900,000 | 6,885,132 | ||||||
Santander Retail Auto Lease Trust, Series 2017-A, Cl. C, 2.96%, 11/21/221 |
2,575,000 | 2,546,604 |
2 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Auto Loan (Continued) |
||||||||
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/221 |
$ | 1,510,000 | $ | 1,504,787 | ||||
United Auto Credit Securitization Trust, Series 2018-1, Cl. C, 3.05%, 9/10/211 |
4,153,000 | 4,132,127 | ||||||
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, 2.84%, 4/17/231 |
940,316 | 936,919 | ||||||
Westlake Automobile Receivables Trust: |
||||||||
Series 2016-1A, Cl. E, 6.52%, 6/15/221 |
3,485,000 | 3,542,010 | ||||||
Series 2017-2A, Cl. E, 4.63%, 7/15/241 |
4,070,000 | 4,082,690 | ||||||
Series 2018-1A, Cl. C, 2.92%, 5/15/231 |
2,340,000 | 2,319,716 | ||||||
Series 2018-1A, Cl. D, 3.41%, 5/15/231 |
4,490,000 | 4,456,857 | ||||||
Series 2018-3A, Cl. B, 3.32%, 10/16/231 |
3,067,000 | 3,062,304 | ||||||
206,622,055 | ||||||||
Credit Card5.8% |
||||||||
Cabelas Credit Card Master Note Trust: |
||||||||
Series 2015-1A, Cl. A2, 2.698% [US0001M+54], 3/15/232 |
7,115,000 | 7,149,384 | ||||||
Series 2015-2, Cl. A1, 2.25%, 7/17/23 |
10,200,000 | 10,045,148 | ||||||
Series 2016-1, Cl. A1, 1.78%, 6/15/22 |
9,723,000 | 9,651,742 | ||||||
Series 2016-1, Cl. A2, 3.008% [US0001M+85], 6/15/222 |
3,220,000 | 3,236,037 | ||||||
Citibank Credit Card Issuance Trust: |
||||||||
Series 2014-A6, Cl. A6, 2.15%, 7/15/21 |
10,621,000 | 10,569,889 | ||||||
Series 2017-A9, Cl. A9, 1.80%, 9/20/21 |
4,175,000 | 4,134,547 | ||||||
Discover Card Execution Note Trust, Series 2016-A4, Cl. A4, 1.39%, 3/15/22 |
7,570,000 | 7,469,320 | ||||||
Evergreen Credit Card Trust, Series 2018-2, Cl. A, 2.508% [US0001M+35], 7/15/221,2 |
6,480,000 | 6,494,084 | ||||||
GE Capital Credit Card Master Note Trust: |
||||||||
Series 2012-7, Cl. A, 1.76%, 9/15/22 |
3,030,000 | 2,997,452 | ||||||
Series 2012-7, Cl. B, 2.21%, 9/15/22 |
2,705,000 | 2,682,047 | ||||||
Synchrony Credit Card Master Note Trust, Series 2015-1, Cl. A, 2.37%, 3/15/23 |
9,990,000 | 9,890,880 | ||||||
World Financial Network Credit Card Master Trust: |
||||||||
Series 2012-D, Cl. A, 2.15%, 4/17/23 |
8,375,000 | 8,332,080 | ||||||
Series 2016-C, Cl. A, 1.72%, 8/15/23 |
4,778,000 | 4,717,817 | ||||||
Series 2017-A, Cl. A, 2.12%, 3/15/24 |
6,215,000 | 6,109,857 | ||||||
Series 2017-B, Cl. A, 1.98%, 6/15/23 |
10,230,000 | 10,158,472 | ||||||
Series 2017-C, Cl. A, 2.31%, 8/15/24 |
5,740,000 | 5,633,215 | ||||||
Series 2018-A, Cl. A, 3.07%, 12/16/24 |
7,965,000 | 7,918,557 | ||||||
Series 2018-B, Cl. A, 3.46%, 7/15/25 |
3,870,000 | 3,868,915 | ||||||
121,059,443 | ||||||||
Equipment0.5% |
||||||||
CCG Receivables Trust: |
||||||||
Series 2017-1, Cl. B, 2.75%, 11/14/231 |
2,915,000 | 2,866,793 | ||||||
Series 2018-1, Cl. B, 3.09%, 6/16/251 |
1,320,000 | 1,302,308 | ||||||
Series 2018-1, Cl. C, 3.42%, 6/16/251 |
381,000 | 375,678 | ||||||
Series 2018-2, Cl. C, 3.87%, 12/15/251 |
980,000 | 974,565 | ||||||
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25 |
960,000 | 934,856 |
3 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Equipment (Continued) |
||||||||
Dell Equipment Finance Trust, Series 2018-1, Cl. B, 3.34%, 6/22/231 |
$ | 1,366,000 | $ | 1,365,614 | ||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431 |
77,767 | 77,402 | ||||||
Verizon Owner Trust, Series 2017-3A, Cl. A1A, 2.06%, 4/20/221 |
2,545,000 | 2,509,257 | ||||||
10,406,473 | ||||||||
Loans: Other0.2% |
||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R5, Cl. M2, 2.906% [US0001M+69], 7/25/352 | 1,912,484 | 1,920,918 | ||||||
Dell Equipment Finance Trust, Series 2017-2, Cl. B, 2.47%, 10/24/221 |
955,000 | 941,101 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/441 |
1,029,619 | 1,017,396 | ||||||
3,879,415 | ||||||||
Total Asset-Backed Securities (Cost $343,305,524) |
341,967,386 | |||||||
Mortgage-Backed Obligations42.2% |
||||||||
Government Agency27.4% |
||||||||
FHLMC/FNMA/FHLB/Sponsored24.0% |
||||||||
Federal Home Loan Mortgage Corp. Gold Pool: |
||||||||
5.50%, 9/1/39 |
1,171,058 | 1,249,778 | ||||||
6.00%, 7/1/24-11/1/37 |
191,983 | 212,146 | ||||||
6.50%, 4/1/21-4/1/34 |
224,967 | 246,472 | ||||||
7.00%, 7/1/21-10/1/37 |
1,928,136 | 2,164,853 | ||||||
9.00%, 8/1/22-5/1/25 |
4,356 | 4,626 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
|
|||||||
Series 183, Cl. IO, 76.169%, 4/1/273 |
197,379 | 44,067 | ||||||
Series 192, Cl. IO, 99.999%, 2/1/283 |
25,957 | 5,265 | ||||||
Series 206, Cl. IO, 0.00%, 12/15/293,4 |
50,148 | 11,770 | ||||||
Series 243, Cl. 6, 0.00%, 12/15/323,4 |
162,708 | 27,636 | ||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 2,800,481 | 2,731,482 | ||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series KC02, Cl. X1, 0.00%, 3/25/243,4 | 76,793,000 | 1,496,864 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.207%, 6/1/265 | 28,301 | 25,909 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series 151, Cl. F, 9.00%, 5/15/21 |
855 | 878 | ||||||
Series 1590, Cl. IA, 3.208% [LIBOR01M+105], 10/15/232 |
399,672 | 407,681 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
3,657 | 3,922 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
542,548 | 592,063 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 |
199,366 | 217,750 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
3,577 | 3,910 | ||||||
Series 2063, Cl. PG, 6.50%, 6/15/28 |
237,857 | 264,542 | ||||||
Series 2145, Cl. MZ, 6.50%, 4/15/29 |
79,354 | 87,244 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 |
120,218 | 128,779 |
4 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) |
||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | $ | 228,027 | $ | 246,467 | ||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 66,629 | 71,179 | ||||||
Series 2341, Cl. FP, 3.058% [LIBOR01M+90], 7/15/312 | 118,811 | 121,987 | ||||||
Series 2423, Cl. MC, 7.00%, 3/15/32 | 417,291 | 461,070 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 463,070 | 498,024 | ||||||
Series 2463, Cl. F, 3.158% [LIBOR01M+100], 6/15/322 | 438,674 | 451,800 | ||||||
Series 2635, Cl. AG, 3.50%, 5/15/32 | 374,672 | 369,852 | ||||||
Series 2676, Cl. KY, 5.00%, 9/15/23 | 452,408 | 466,816 | ||||||
Series 2770, Cl. TW, 4.50%, 3/15/19 | 4,627 | 4,634 | ||||||
Series 3010, Cl. WB, 4.50%, 7/15/20 | 50,456 | 50,851 | ||||||
Series 3025, Cl. SJ, 16.836% [-3.667 x LIBOR01M+2,475], 8/15/352 | 86,569 | 120,497 | ||||||
Series 3030, Cl. FL, 2.558% [LIBOR01M+40], 9/15/352 | 231,003 | 232,064 | ||||||
Series 3645, Cl. EH, 3.00%, 12/15/20 | 3,320 | 3,318 | ||||||
Series 3815, Cl. BD, 3.00%, 10/15/20 | 514 | 514 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 | 170,772 | 174,545 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 | 473,623 | 475,274 | ||||||
Series 3857, Cl. GL, 3.00%, 5/15/40 | 17,741 | 17,717 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 572,439 | 557,094 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series 2129, Cl. S, 56.524%, 2/15/293 | 274,506 | 39,263 | ||||||
Series 2130, Cl. SC, 65.547%, 3/15/293 | 67,937 | 8,235 | ||||||
Series 2134, Cl. SB, 72.997%, 3/15/293 | 77,912 | 8,163 | ||||||
Series 2422, Cl. SJ, 0.00%, 1/15/323,4 | 267,555 | 35,091 | ||||||
Series 2493, Cl. S, 11.242%, 9/15/293 | 19,713 | 3,101 | ||||||
Series 2682, Cl. TQ, 99.999%, 10/15/333 | 553,332 | 70,150 | ||||||
Series 2796, Cl. SD, 75.867%, 7/15/263 | 126,016 | 14,108 | ||||||
Series 2920, Cl. S, 20.308%, 1/15/353 | 568,891 | 70,685 | ||||||
Series 2922, Cl. SE, 19.133%, 2/15/353 | 440,166 | 51,648 | ||||||
Series 2981, Cl. AS, 2.168%, 5/15/353 | 1,162,222 | 114,008 | ||||||
Series 2981, Cl. BS, 99.999%, 5/15/353 | 1,134,255 | 149,255 | ||||||
Series 3005, Cl. WI, 0.00%, 7/15/353,4 | 353,975 | 75,464 | ||||||
Series 3397, Cl. GS, 0.00%, 12/15/373,4 | 217,805 | 31,764 | ||||||
Series 3424, Cl. EI, 0.00%, 4/15/383,4 | 87,604 | 6,804 | ||||||
Series 3450, Cl. BI, 9.427%, 5/15/383 | 2,277,606 | 289,115 | ||||||
Series 3606, Cl. SN, 14.819%, 12/15/393 | 647,354 | 73,719 | ||||||
Series 4057, Cl. QI, 5.314%, 6/15/273 | 10,787,750 | 898,284 | ||||||
Series 4818, Cl. BI, 2.733%, 3/15/453 |
3,804,165 | 710,975 | ||||||
Federal National Mortgage Assn.: | ||||||||
2.50%, 10/1/486 | 29,970,000 | 28,919,298 | ||||||
3.00%, 10/1/33-10/1/486 | 66,080,000 | 64,007,163 | ||||||
3.50%, 10/1/33-10/1/486 | 107,835,000 | 106,956,463 | ||||||
4.00%, 10/1/33-10/1/486 | 69,115,000 | 70,027,353 | ||||||
4.50%, 10/1/486 | 125,615,000 | 129,604,262 | ||||||
5.00%, 10/1/486 | 57,875,000 | 60,764,227 |
5 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) |
||||||||
Federal National Mortgage Assn. Pool: |
||||||||
5.00%, 3/1/21 |
$ | 4,634 | $ | 4,776 | ||||
5.50%, 12/1/18-5/1/36 |
904,201 | 977,825 | ||||||
6.00%, 5/1/20 |
647 | 648 | ||||||
6.50%, 10/1/19-11/1/31 |
1,415,426 | 1,553,602 | ||||||
7.00%, 4/1/33-4/1/34 |
906,042 | 1,015,847 | ||||||
7.50%, 1/1/33-8/1/33 |
1,354,304 | 1,533,142 | ||||||
8.50%, 7/1/32 |
3,593 | 3,646 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 222, Cl. 2, 99.999%, 6/25/233 |
169,703 | 19,802 | ||||||
Series 247, Cl. 2, 0.00%, 10/25/233,4 |
19,491 | 2,359 | ||||||
Series 252, Cl. 2, 99.999%, 11/25/233 |
162,630 | 21,736 | ||||||
Series 254, Cl. 2, 99.999%, 1/25/243 |
319,628 | 45,715 | ||||||
Series 301, Cl. 2, 21.346%, 4/25/293 |
96,326 | 19,878 | ||||||
Series 303, Cl. IO, 52.233%, 11/25/293 |
22,054 | 5,101 | ||||||
Series 319, Cl. 2, 13.667%, 2/25/323 |
79,244 | 17,766 | ||||||
Series 320, Cl. 2, 53.655%, 4/25/323 |
1,600,218 | 388,226 | ||||||
Series 321, Cl. 2, 20.648%, 4/25/323 |
247,482 | 58,569 | ||||||
Series 324, Cl. 2, 12.297%, 7/25/323 |
112,919 | 27,298 | ||||||
Series 331, Cl. 9, 13.646%, 2/25/333 |
894,418 | 177,776 | ||||||
Series 334, Cl. 14, 15.935%, 2/25/333 |
762,437 | 177,585 | ||||||
Series 334, Cl. 15, 0.592%, 2/25/333 |
519,504 | 116,528 | ||||||
Series 334, Cl. 17, 26.115%, 2/25/333 |
27,658 | 6,615 | ||||||
Series 339, Cl. 12, 0.00%, 6/25/333,4 |
600,197 | 117,355 | ||||||
Series 339, Cl. 7, 0.00%, 11/25/333,4 |
603,773 | 133,394 | ||||||
Series 343, Cl. 13, 99.999%, 9/25/333 |
706,077 | 129,657 | ||||||
Series 343, Cl. 18, 99.999%, 5/25/343 |
407,452 | 97,293 | ||||||
Series 345, Cl. 9, 0.00%, 1/25/343,4 |
306,227 | 70,380 | ||||||
Series 351, Cl. 10, 0.00%, 4/25/343,4 |
240,686 | 58,699 | ||||||
Series 351, Cl. 8, 0.00%, 4/25/343,4 |
424,820 | 83,773 | ||||||
Series 356, Cl. 10, 0.00%, 6/25/353,4 |
299,694 | 61,848 | ||||||
Series 356, Cl. 12, 0.00%, 2/25/353,4 |
147,785 | 32,546 | ||||||
Series 362, Cl. 13, 0.00%, 8/25/353,4 |
383,896 | 79,311 | ||||||
Series 364, Cl. 16, 0.00%, 9/25/353,4 |
534,522 | 108,407 | ||||||
Series 365, Cl. 16, 99.999%, 3/25/363 |
334,339 | 68,676 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series 1993-104, Cl. ZB, 6.50%, 7/25/23 |
58,181 | 60,989 | ||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 |
56,215 | 59,132 | ||||||
Series 1996-35, Cl. Z, 7.00%, 7/25/26 |
19,388 | 20,791 | ||||||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 |
127,690 | 137,477 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 |
166,950 | 179,089 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 |
251,405 | 270,561 | ||||||
Series 1999-60, Cl. PG, 7.50%, 12/25/29 |
1,269,622 | 1,406,848 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 |
214,371 | 225,577 | ||||||
Series 2002-56, Cl. FN, 3.216% [LIBOR01M+100], 7/25/322 |
148,564 | 151,311 | ||||||
Series 2003-130, Cl. CS, 9.668% [-2 x LIBOR01M+1,410], 12/25/332 |
254,650 | 260,234 | ||||||
Series 2003-21, Cl. FK, 2.616% [LIBOR01M+40], 3/25/332 |
36,813 | 36,861 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 |
9,055 | 9,080 |
6 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: (Continued) |
| |||||||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 | $ | 874,008 | $ | 915,574 | ||||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,479,044 | 2,563,663 | ||||||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,480,000 | 2,673,891 | ||||||
Series 2005-71, Cl. DB, 4.50%, 8/25/25 | 198,538 | 201,949 | ||||||
Series 2005-73, Cl. DF, 2.466% [LIBOR01M+25], 8/25/352 | 204,283 | 205,007 | ||||||
Series 2006-50, Cl. SK, 16.075% [-3.667 x | ||||||||
LIBOR01M+2,420], 6/25/362 | 316,343 | 426,120 | ||||||
Series 2008-75, Cl. DB, 4.50%, 9/25/23 | 6,275 | 6,272 | ||||||
Series 2009-113, Cl. DB, 3.00%, 12/25/20 | 56,515 | 56,428 | ||||||
Series 2009-36, Cl. FA, 3.156% [LIBOR01M+94], 6/25/372 | 197,871 | 202,483 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 | 1,497 | 1,496 | ||||||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 | 21,552 | 21,530 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 106,586 | 105,199 | ||||||
Series 2011-3, Cl. EL, 3.00%, 5/25/20 | 58,607 | 58,505 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 763,163 | 788,497 | ||||||
Series 2011-38, Cl. AH, 2.75%, 5/25/20 | 53 | 53 | ||||||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 |
71,124 | 71,127 | ||||||
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 | 15,695 | 1,193 | ||||||
Series 2001-61, Cl. SE, 5.68%, 11/18/313 | 124,402 | 19,563 | ||||||
Series 2001-65, Cl. S, 7.252%, 11/25/313 | 255,634 | 46,369 | ||||||
Series 2001-81, Cl. S, 9.955%, 1/25/323 | 38,030 | 6,142 | ||||||
Series 2002-12, Cl. SB, 6.193%, 7/25/313 | 60,750 | 9,644 | ||||||
Series 2002-2, Cl. SW, 0.386%, 2/25/323 | 72,190 | 11,749 | ||||||
Series 2002-38, Cl. SO, 27.623%, 4/25/323 | 43,331 | 5,764 | ||||||
Series 2002-41, Cl. S, 21.999%, 7/25/323 | 399,958 | 63,795 | ||||||
Series 2002-47, Cl. NS, 9.505%, 4/25/323 | 120,569 | 20,351 | ||||||
Series 2002-5, Cl. SD, 99.999%, 2/25/323 | 51,020 | 7,172 | ||||||
Series 2002-51, Cl. S, 9.845%, 8/25/323 | 110,705 | 18,686 | ||||||
Series 2002-52, Cl. SD, 40.613%, 9/25/323 | 172,684 | 27,572 | ||||||
Series 2002-60, Cl. SM, 0.00%, 8/25/323,4 | 347,289 | 44,294 | ||||||
Series 2002-60, Cl. SY, 99.999%, 4/25/323 | 349,298 | 12,035 | ||||||
Series 2002-64, Cl. SD, 11.353%, 4/25/273 | 159,459 | 21,087 | ||||||
Series 2002-7, Cl. SK, 2.591%, 1/25/323 | 211,785 | 29,163 | ||||||
Series 2002-75, Cl. SA, 11.467%, 11/25/323 | 213,558 | 34,041 | ||||||
Series 2002-77, Cl. BS, 11.922%, 12/18/323 | 426,955 | 68,514 | ||||||
Series 2002-77, Cl. IS, 27.029%, 12/18/323 | 73,823 | 12,283 | ||||||
Series 2002-77, Cl. SH, 12.944%, 12/18/323 | 55,434 | 8,278 | ||||||
Series 2002-84, Cl. SA, 3.333%, 12/25/323 | 54,826 | 8,498 | ||||||
Series 2002-89, Cl. S, 14.291%, 1/25/333 | 574,321 | 96,400 | ||||||
Series 2002-9, Cl. MS, 9.591%, 3/25/323 | 3,289 | 575 | ||||||
Series 2002-90, Cl. SN, 0.00%, 8/25/323,4 | 315,987 | 40,301 | ||||||
Series 2002-90, Cl. SY, 0.952%, 9/25/323 | 174,287 | 22,816 | ||||||
Series 2003-14, Cl. OI, 34.791%, 3/25/333 | 794,000 | 177,015 | ||||||
Series 2003-26, Cl. IK, 56.92%, 4/25/333 | 369,485 | 82,536 | ||||||
Series 2003-33, Cl. SP, 5.907%, 5/25/333 | 335,353 | 62,440 |
7 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, Interest-Only Stripped Mtg.-Backed Security: (Continued) |
| |||||||
Series 2003-4, Cl. S, 1.042%, 2/25/333 |
$ | 99,603 | $ | 17,687 | ||||
Series 2003-52, Cl. NS, 0.00%, 6/25/233,4 |
1,051,461 | 53,622 | ||||||
Series 2004-54, Cl. DS, 57.659%, 11/25/303 |
33,765 | 4,510 | ||||||
Series 2004-56, Cl. SE, 5.445%, 10/25/333 |
451,364 | 71,259 | ||||||
Series 2005-12, Cl. SC, 22.615%, 3/25/353 |
200,719 | 26,395 | ||||||
Series 2005-40, Cl. SA, 26.247%, 5/25/353 |
304,279 | 36,944 | ||||||
Series 2005-52, Cl. JH, 28.995%, 5/25/353 |
607,439 | 67,334 | ||||||
Series 2005-6, Cl. SE, 48.244%, 2/25/353 |
596,588 | 73,895 | ||||||
Series 2005-93, Cl. SI, 0.00%, 10/25/353,4 |
388,140 | 49,571 | ||||||
Series 2006-53, Cl. US, 16.151%, 6/25/363 |
30,203 | 3,688 | ||||||
Series 2008-55, Cl. SA, 0.00%, 7/25/383,4 |
238,346 | 18,385 | ||||||
Series 2009-8, Cl. BS, 0.00%, 2/25/243,4 |
10,803 | 536 | ||||||
Series 2011-96, Cl. SA, 6.217%, 10/25/413 |
921,292 | 127,598 | ||||||
Series 2012-121, Cl. IB, 7.776%, 11/25/273 |
4,413,579 | 379,927 | ||||||
Series 2012-134, Cl. SA, 1.603%, 12/25/423 |
2,568,990 | 405,117 | ||||||
Series 2012-40, Cl. PI, 11.409%, 4/25/413 |
1,809,591 | 287,047 | ||||||
Series 2018-16, Cl. NI, 0.00%, 12/25/443,4 |
1,940,803 | 332,789 | ||||||
Series 2018-69, Cl. CI, 22.706%, 10/25/463 |
4,342,621 | 703,062 | ||||||
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 | 54,871 | 50,844 | ||||||
499,179,947 | ||||||||
GNMA/Guaranteed3.4% |
||||||||
Government National Mortgage Assn. II Pool: |
||||||||
2.75% [H15T1Y+150], 7/20/25-7/20/272 |
4,387 | 4,501 | ||||||
3.50%, 10/1/486 |
69,445,000 | 69,058,443 | ||||||
11.00%, 10/20/19 |
25 | 26 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
|
|||||||
Series 2002-15, Cl. SM, 99.999%, 2/16/323 |
192,238 | 2,013 | ||||||
Series 2002-41, Cl. GS, 99.999%, 6/16/323 |
30,633 | 1,201 | ||||||
Series 2002-76, Cl. SY, 10.491%, 12/16/263 |
69,155 | 6,366 | ||||||
Series 2007-17, Cl. AI, 45.878%, 4/16/373 |
1,328,306 | 170,964 | ||||||
Series 2011-52, Cl. HS, 21.597%, 4/16/413 |
4,020,196 | 422,229 | ||||||
Series 2017-136, Cl. LI, 5.278%, 9/16/473 |
7,963,022 | 1,725,212 | ||||||
71,390,955 | ||||||||
Non-Agency14.8% |
||||||||
Commercial7.2% |
||||||||
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 99.999%, 4/14/293 | 1,006,269 | 624 | ||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 3.41% [H15T1Y+210], 9/26/351,2 | 206,515 | 207,526 | ||||||
Benchmark Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2018-B1, Cl. XA, 14.08%, 1/15/513 | 35,462,573 | 1,358,720 | ||||||
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 | 81,806 | 1,649 |
8 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Commercial (Continued) |
||||||||
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-CD6, Cl. XA, 14.67%, 11/13/503 | $ | 11,788,047 | $ | 710,015 | ||||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.67%, 1/25/369 |
1,088,252 | 1,033,992 | ||||||
Citigroup Commercial Mortgage Trust: |
||||||||
Series 2012-GC8, Cl. AAB, 2.608%, 9/10/45 |
1,476,585 | 1,460,057 | ||||||
Series 2014-GC21, Cl. AAB, 3.477%, 5/10/47 |
1,515,000 | 1,522,739 | ||||||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates: |
|
|||||||
Series 2013-GC17, Cl. XA, 8.495%, 11/10/463 |
17,066,191 | 596,834 | ||||||
Series 2017-C4, Cl. XA, 13.843%, 10/12/503 |
31,078,072 | 2,220,513 | ||||||
COMM Mortgage Trust: |
||||||||
Series 2012-CR3, Cl. ASB, 2.372%, 10/15/45 |
278,175 | 273,946 | ||||||
Series 2012-LC4, Cl. A3, 3.069%, 12/10/44 |
584,086 | 583,712 | ||||||
Series 2013-CR13, Cl. ASB, 3.706%, 11/10/46 |
2,890,000 | 2,921,939 | ||||||
Series 2013-CR6, Cl. AM, 3.147%, 3/10/461 |
2,945,000 | 2,887,984 | ||||||
Series 2014-CR17, Cl. ASB, 3.598%, 5/10/47 |
5,065,000 | 5,101,440 | ||||||
Series 2014-CR20, Cl. ASB, 3.305%, 11/10/47 |
1,020,000 | 1,018,588 | ||||||
Series 2014-CR21, Cl. AM, 3.987%, 12/10/47 |
6,135,175 | 6,195,306 | ||||||
Series 2014-LC15, Cl. AM, 4.198%, 4/10/47 |
2,865,000 | 2,926,637 | ||||||
Series 2014-UBS6, Cl. AM, 4.048%, 12/10/47 |
5,720,000 | 5,766,621 | ||||||
Series 2015-CR22, Cl. A2, 2.856%, 3/10/48 |
1,959,000 | 1,953,354 | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 23.117%, 12/10/453 | 12,644,188 | 671,279 | ||||||
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 |
922,994 | 768,167 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 2.866% [US0001M+65], 11/25/352 | 767,524 | 590,884 | ||||||
FREMF Mortgage Trust: |
||||||||
Series 2010-K6, Cl. B, 5.542%, 12/25/461,9 |
900,000 | 921,389 | ||||||
Series 2012-K710, Cl. B, 3.941%, 6/25/471,9 |
1,145,027 | 1,149,172 | ||||||
Series 2012-K711, Cl. B, 3.693%, 8/25/451,9 |
490,000 | 490,707 | ||||||
Series 2012-K711, Cl. C, 3.693%, 8/25/451,9 |
2,155,000 | 2,153,631 | ||||||
Series 2013-K25, Cl. C, 3.744%, 11/25/451,9 |
605,000 | 594,280 | ||||||
Series 2013-K26, Cl. C, 3.721%, 12/25/451,9 |
1,165,000 | 1,130,517 | ||||||
Series 2013-K27, Cl. C, 3.615%, 1/25/461,9 |
650,000 | 625,790 | ||||||
Series 2013-K28, Cl. C, 3.61%, 6/25/461,9 |
2,580,000 | 2,530,526 | ||||||
Series 2013-K712, Cl. C, 3.473%, 5/25/451,9 |
1,185,000 | 1,182,372 | ||||||
Series 2013-K713, Cl. C, 3.263%, 4/25/461,9 |
1,075,000 | 1,067,985 | ||||||
Series 2014-K714, Cl. C, 3.981%, 1/25/471,9 |
815,402 | 815,944 | ||||||
Series 2014-K715, Cl. C, 4.265%, 2/25/461,9 |
230,000 | 232,912 | ||||||
Series 2015-K44, Cl. B, 3.809%, 1/25/481,9 |
1,175,000 | 1,141,371 | ||||||
Series 2017-K62, Cl. B, 4.004%, 1/25/501,9 |
1,040,000 | 1,009,489 | ||||||
Series 2017-K724, Cl. B, 3.601%, 11/25/231,9 |
780,000 | 751,806 | ||||||
GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Cl. A, 2.933%, 6/5/311 |
6,735,000 | 6,739,298 | ||||||
GS Mortgage Securities Trust: |
||||||||
Series 2012-GC6, Cl. A3, 3.482%, 1/10/45 |
1,414,657 | 1,421,811 | ||||||
Series 2012-GC6, Cl. AS, 4.948%, 1/10/451 |
1,666,000 | 1,725,601 | ||||||
Series 2013-GC12, Cl. AAB, 2.678%, 6/10/46 |
508,243 | 501,732 | ||||||
Series 2013-GC16, Cl. AS, 4.649%, 11/10/46 |
974,215 | 1,013,289 | ||||||
Series 2014-GC18, Cl. AAB, 3.648%, 1/10/47 |
1,333,000 | 1,338,445 |
9 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial (Continued) |
||||||||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/371,9 | $ | 1,639,411 | $ | 1,581,116 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2012-C6, Cl. ASB, 3.144%, 5/15/45 | 2,033,613 | 2,031,071 | ||||||
Series 2012-LC9, Cl. A4, 2.611%, 12/15/47 | 335,000 | 329,851 | ||||||
Series 2013-C10, Cl. AS, 3.372%, 12/15/47 | 4,205,000 | 4,154,337 | ||||||
Series 2013-C16, Cl. AS, 4.517%, 12/15/46 | 3,490,000 | 3,601,688 | ||||||
Series 2013-LC11, Cl. AS, 3.216%, 4/15/46 | 1,722,000 | 1,684,541 | ||||||
Series 2013-LC11, Cl. ASB, 2.554%, 4/15/46 | 709,943 | 699,487 | ||||||
Series 2014-C20, Cl. AS, 4.043%, 7/15/47 | 3,950,000 | 3,982,964 | ||||||
Series 2016-JP3, Cl. A2, 2.435%, 8/15/49 | 3,095,000 | 3,017,319 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.919%, 7/25/359 | 894,622 | 921,937 | ||||||
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 4.231%, 7/26/361,9 | 1,225,125 | 1,242,697 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C17, Cl. ASB, 3.705%, 1/15/47 | 1,130,000 | 1,142,606 | ||||||
Series 2014-C18, Cl. A3, 3.578%, 2/15/47 | 1,525,000 | 1,522,893 | ||||||
Series 2014-C19, Cl. ASB, 3.584%, 4/15/47 | 635,000 | 639,684 | ||||||
Series 2014-C24, Cl. B, 4.116%, 11/15/479 | 2,630,000 | 2,638,335 | ||||||
Series 2014-C25, Cl. AS, 4.065%, 11/15/47 | 6,036,000 | 6,093,301 | ||||||
Series 2014-C26, Cl. AS, 3.80%, 1/15/48 | 4,415,000 | 4,398,513 | ||||||
Series 2015-C28, Cl. AS, 3.532%, 10/15/48 | 3,400,000 | 3,327,656 | ||||||
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/303,4 | 47,274 | 4 | ||||||
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 0.00%, 7/26/241,8,9 | 19,145 | 13,565 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2013-C7, Cl. AAB, 2.469%, 2/15/46 | 1,408,930 | 1,385,973 | ||||||
Series 2013-C9, Cl. AS, 3.456%, 5/15/46 | 5,230,000 | 5,148,983 | ||||||
Series 2014-C19, Cl. AS, 3.832%, 12/15/47 | 5,035,000 | 4,976,607 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2011-C1, Cl. A4, 5.033%, 9/15/471,9 | 1,621,912 | 1,669,701 | ||||||
Series 2011-C2, Cl. A4, 4.661%, 6/15/441 | 1,815,000 | 1,868,336 | ||||||
Morgan Stanley Capital I, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-HR2, Cl. XA, 12.831%, 12/15/503 | 13,303,063 | 768,175 | ||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 3.107%, 11/26/361,9 | 2,152,770 | 2,024,565 | ||||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.528%, 6/26/461,9 | 451,652 | 450,854 | ||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 4.184%, 7/26/451,9 | 214,008 | 219,549 | ||||||
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C5, Cl. XA, 14.17%, 11/15/503 | 20,224,460 | 1,303,181 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Cl. ASB, 2.934%, 5/15/48 | 5,135,000 | 5,051,042 | ||||||
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C42, Cl. XA, 12.503%, 12/15/503 | 18,492,449 | 1,215,590 | ||||||
WF-RBS Commercial Mortgage Trust: | ||||||||
Series 2013-C14, Cl. AS, 3.488%, 6/15/46 | 2,330,000 | 2,292,594 | ||||||
Series 2014-C20, Cl. AS, 4.176%, 5/15/47 | 1,693,000 | 1,721,301 | ||||||
Series 2014-C22, Cl. A3, 3.528%, 9/15/57 | 675,000 | 676,921 |
10 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Commercial (Continued) |
||||||||
WF-RBS Commercial Mortgage Trust: (Continued) | ||||||||
Series 2014-C25, Cl. AS, 3.984%, 11/15/47 | $ | 5,225,000 | $ | 5,188,093 | ||||
Series 2014-LC14, Cl. AS, 4.351%, 3/15/479 | 2,174,838 | 2,223,571 | ||||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 32.985%, 3/15/441,3 | 14,342,133 | 401,594 | ||||||
150,920,788 | ||||||||
Multi-Family0.3% | ||||||||
Connecticut Avenue Securities: | ||||||||
Series 2014-C02, Cl. 1M1, 3.166% [US0001M+95], 5/25/242 | 1,124,164 | 1,126,316 | ||||||
Series 2017-C04, Cl. 2M1, 3.066% [US0001M+85], 11/25/292 | 4,295,018 | 4,311,214 | ||||||
5,437,530 | ||||||||
Residential7.3% | ||||||||
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5.00%, 7/25/35 | 671,737 | 586,742 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 | 431,741 | 414,281 | ||||||
Series 2007-C, Cl. 1A4, 3.818%, 5/20/369 | 196,503 | 190,369 | ||||||
Series 2014-R7, Cl. 3A1, 3.964%, 3/26/361,9 | 1,052,477 | 1,058,557 | ||||||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6.00%, 3/25/37 | 507,166 | 480,435 | ||||||
Bear Stearns ARM Trust: | ||||||||
Series 2005-9, Cl. A1, 4.73% [H15T1Y+230], 10/25/352 | 579,487 | 587,677 | ||||||
Series 2006-1, Cl. A1, 3.67% [H15T1Y+225], 2/25/362 | 1,617,175 | 1,635,000 | ||||||
Chase Funding Trust, Series 2003-2, Cl. 2A2, 2.776% [US0001M+56], 2/25/332 | 362,314 | 350,505 | ||||||
CHL Mortgage Pass-Through Trust: | ||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 | 435,048 | 392,140 | ||||||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 | 389,021 | 331,047 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 4.28% [H15T1Y+240], 10/25/352 | 3,039,148 | 3,080,022 | ||||||
Connecticut Avenue Securities: | ||||||||
Series 2014-C03, Cl. 1M2, 5.216% [US0001M+300], 7/25/242 | 4,788,715 | 5,138,405 | ||||||
Series 2016-C03, Cl. 1M1, 4.216% [US0001M+200], 10/25/282 | 1,069,052 | 1,081,957 | ||||||
Series 2016-C07, Cl. 2M1, 3.516% [US0001M+130], 5/25/292 | 1,520,612 | 1,525,820 | ||||||
Series 2017-C02, Cl. 2M1, 3.366% [US0001M+115], 9/25/292 | 5,035,622 | 5,067,705 | ||||||
Series 2017-C03, Cl. 1M1, 3.166% [US0001M+95], 10/25/292 | 5,358,723 | 5,393,846 | ||||||
Series 2017-C05, Cl. 1M1, 2.766% [US0001M+55], 1/25/302 | 1,159,766 | 1,161,123 | ||||||
Series 2017-C06, Cl. 1M1, 2.966% [US0001M+75], 2/25/302 | 2,362,943 | 2,368,210 | ||||||
Series 2017-C07, Cl. 1M1, 2.866% [US0001M+65], 5/25/302 | 4,751,296 | 4,760,125 | ||||||
Series 2017-C07, Cl. 1M2, 4.616% [US0001M+240], 5/25/302 | 2,970,000 | 3,080,157 | ||||||
Series 2017-C07, Cl. 2M1, 2.866% [US0001M+65], 5/25/302 | 3,836,377 | 3,838,512 | ||||||
Series 2018-C01, Cl. 1M1, 2.816% [US0001M+60], 7/25/302 | 4,150,891 | 4,158,370 |
11 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Residential (Continued) |
||||||||
Connecticut Avenue Securities: (Continued) | ||||||||
Series 2018-C02, Cl. 2M1, 2.866% [US0001M+65], 8/25/302 | $ | 1,546,436 | $ | 1,548,959 | ||||
Series 2018-C03, Cl. 1M1, 2.896% [US0001M+68], 10/25/302 | 5,256,277 | 5,267,555 | ||||||
Series 2018-C04, Cl. 2M1, 2.966% [US0001M+75], 12/25/302 | 4,336,378 | 4,344,063 | ||||||
Series 2018-C05, Cl. 1M1, 2.936% [US0001M+72], 1/25/312 | 1,698,012 | 1,701,780 | ||||||
Countrywide Alternative Loan Trust, Series 2005-21CB, Cl. A7, 5.50%, 6/25/35 | 1,214,001 | 1,146,972 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 4.354%, 7/25/359 | 299,303 | 301,885 | ||||||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 2.526% [US0001M+31], 7/25/352 | 357,237 | 356,887 | ||||||
RALI Trust: | ||||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | 110,251 | 98,395 | ||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 569,010 | 524,468 | ||||||
Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6.00%, 6/25/35 | 303,540 | 283,997 | ||||||
STACR Trust: | ||||||||
Series 2018-DNA2, Cl. M1, 3.016% [US0001M+80], 12/25/301,2 | 6,600,000 | 6,623,347 | ||||||
Series 2018-DNA3, Cl. M1, 2.884% [US0001M+75], 9/25/481,2 | 1,165,000 | 1,167,792 | ||||||
Structured Agency Credit Risk Debt Nts.: | ||||||||
Series 2013-DN2, Cl. M2, 6.466% [US0001M+425], 11/25/232 | 4,025,589 | 4,491,848 | ||||||
Series 2014-DN1, Cl. M2, 4.416% [US0001M+220], 2/25/242 | 701,069 | 720,661 | ||||||
Series 2014-DN1, Cl. M3, 6.716% [US0001M+450], 2/25/242 | 3,595,000 | 4,160,579 | ||||||
Series 2014-DN2, Cl. M3, 5.816% [US0001M+360], 4/25/242 | 4,610,000 | 5,127,889 | ||||||
Series 2014-HQ2, Cl. M3, 5.966% [US0001M+375], 9/25/242 | 4,050,000 | 4,650,133 | ||||||
Series 2015-HQA2, Cl. M2, 5.016% [US0001M+280], 5/25/282 | 874,504 | 900,082 | ||||||
Series 2016-DNA1, Cl. M2, 5.116% [US0001M+290], 7/25/282 | 1,307,359 | 1,339,674 | ||||||
Series 2016-DNA4, Cl. M1, 3.016% [US0001M+80], 3/25/292 | 270,069 | 270,217 | ||||||
Series 2016-DNA4, Cl. M3, 6.016% [US0001M+380], 3/25/292 | 4,040,000 | 4,553,904 | ||||||
Series 2016-HQA3, Cl. M1, 3.016% [US0001M+80], 3/25/292 | 1,827,079 | 1,828,839 | ||||||
Series 2016-HQA3, Cl. M3, 6.066% [US0001M+385], 3/25/292 | 2,800,000 | 3,180,685 | ||||||
Series 2016-HQA4, Cl. M1, 3.016% [US0001M+80], 4/25/292 | 1,412,943 | 1,414,173 | ||||||
Series 2016-HQA4, Cl. M3, 6.116% [US0001M+390], 4/25/292 | 3,995,000 | 4,522,676 |
12 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Residential (Continued) |
||||||||
Structured Agency Credit Risk Debt Nts.: (Continued) | ||||||||
Series 2017-HQA1, Cl. M1, 3.416% [US0001M+120], 8/25/292 | $ | 7,814,065 | $ | 7,869,312 | ||||
Series 2017-HQA2, Cl. M1, 3.016% [US0001M+80], 12/25/292 | 2,501,456 | 2,508,143 | ||||||
Series 2017-HQA3, Cl. M1, 2.766% [US0001M+55], 4/25/302 | 7,852,223 | 7,854,251 | ||||||
Series 2018-DNA1, Cl. M1, 2.666% [US0001M+45], 7/25/302 | 9,205,007 | 9,195,322 | ||||||
Series 2018-DNA1, Cl. M2, 4.016% [US0001M+180], 7/25/302 | 6,665,000 | 6,631,433 | ||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||
Series 2003-AR10, Cl. A7, 3.848%, 10/25/339 | 653,128 | 664,281 | ||||||
Series 2005-AR14, Cl. 1A4, 3.538%, 12/25/359 | 899,807 | 909,293 | ||||||
Series 2005-AR16, Cl. 1A1, 3.445%, 12/25/359 | 773,659 | 777,631 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-AR15, Cl. 1A2, 4.676%, 9/25/359 | 1,090,129 | 1,065,898 | ||||||
Series 2005-AR15, Cl. 1A6, 4.676%, 9/25/359 | 90,484 | 87,843 | ||||||
Series 2005-AR4, Cl. 2A2, 4.005%, 4/25/359 | 2,449,600 | 2,473,360 | ||||||
Series 2006-AR10, Cl. 1A1, 4.263%, 7/25/369 | 616,991 | 606,044 | ||||||
Series 2006-AR10, Cl. 5A5, 4.231%, 7/25/369 | 1,679,080 | 1,708,026 | ||||||
Series 2006-AR2, Cl. 2A3, 3.964%, 3/25/369 | 924,958 | 938,015 | ||||||
Series 2006-AR7, Cl. 2A4, 4.323%, 5/25/369 | 368,665 | 378,409 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 | 259,520 | 260,656 | ||||||
151,136,382 | ||||||||
Total Mortgage-Backed Obligations (Cost $881,227,349) | 878,065,602 | |||||||
U.S. Government Obligation0.4% | ||||||||
United States Treasury Nts., 1.50%, 5/31/1910,11 (Cost $7,486,646) | 7,480,000 | 7,431,351 | ||||||
Corporate Bonds and Notes49.6% | ||||||||
Consumer Discretionary8.0% | ||||||||
Automobiles2.1% | ||||||||
Daimler Finance North America LLC: | ||||||||
2.20% Sr. Unsec. Nts., 5/5/201 | 3,529,000 | 3,466,536 | ||||||
3.75% Sr. Unsec. Nts., 2/22/281 | 4,444,000 | 4,344,706 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
3.20% Sr. Unsec. Nts., 1/15/21 | 3,246,000 | 3,199,445 | ||||||
3.664% Sr. Unsec. Nts., 9/8/24 | 3,735,000 | 3,497,511 | ||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,336,000 | 1,372,638 | ||||||
General Motors Financial Co., Inc., 4.15% Sr. Unsec. Nts., 6/19/23 | 4,593,000 | 4,583,632 | ||||||
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. Nts., 6/15/201 | 5,210,000 | 5,107,332 | ||||||
Hyundai Capital America: | ||||||||
1.75% Sr. Unsec. Nts., 9/27/191 | 4,062,000 | 4,005,958 | ||||||
4.125% Sr. Unsec. Nts., 6/8/231 | 5,286,000 | 5,252,814 |
13 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Automobiles (Continued) |
||||||||
Nissan Motor Acceptance Corp., 3.65% Sr. Unsec. Nts., 9/21/211 | $ | 5,177,000 | $ | 5,192,044 | ||||
Volkswagen Group of America Finance LLC, 2.45% Sr. Unsec. Nts., 11/20/191 | 4,600,000 | 4,558,219 | ||||||
44,580,835 | ||||||||
Diversified Consumer Services0.2% | ||||||||
Service Corp. International, 4.625% Sr. Unsec. Nts., 12/15/27 | 5,273,000 | 5,062,080 | ||||||
Entertainment0.2% | ||||||||
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46 | 1,983,000 | 2,127,767 | ||||||
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43 | 1,670,000 | 1,460,389 | ||||||
3,588,156 | ||||||||
Hotels, Restaurants & Leisure0.6% | ||||||||
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/251 | 3,166,000 | 3,185,788 | ||||||
Royal Caribbean Cruises Ltd., 2.65% Sr. Unsec. Nts., 11/28/20 | 4,419,000 | 4,347,311 | ||||||
Starbucks Corp., 3.80% Sr. Unsec. Nts., 8/15/25 | 5,159,000 | 5,131,035 | ||||||
12,664,134 | ||||||||
Household Durables0.9% | ||||||||
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20 | 5,392,000 | 5,284,143 | ||||||
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 | 5,255,000 | 5,143,331 | ||||||
Newell Brands, Inc., 5.00% Sr. Unsec. Nts., 11/15/23 | 1,633,000 | 1,652,288 | ||||||
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27 | 3,310,000 | 3,148,638 | ||||||
Toll Brothers Finance Corp.: | ||||||||
4.375% Sr. Unsec. Nts., 4/15/23 | 2,711,000 | 2,697,445 | ||||||
4.875% Sr. Unsec. Nts., 3/15/27 | 1,445,000 | 1,387,200 | ||||||
19,313,045 | ||||||||
Internet & Catalog Retail0.5% | ||||||||
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 | 2,012,000 | 2,255,054 | ||||||
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 8,575,000 | 8,153,564 | ||||||
10,408,618 | ||||||||
Media1.7% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/47 | 2,229,000 | 2,132,390 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 5,080,000 | 6,194,125 | ||||||
Comcast Corp., 4.00% Sr. Unsec. Nts., 3/1/48 | 2,784,000 | 2,512,946 | ||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
3.75% Sr. Unsec. Nts., 10/1/21 | 4,207,000 | 4,218,136 | ||||||
4.20% Sr. Unsec. Nts., 4/15/24 | 5,050,000 | 5,068,665 | ||||||
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/241 | 2,363,000 | 2,359,470 | ||||||
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | 3,253,000 | 2,781,989 |
14 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Media (Continued) |
||||||||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/261 |
$ | 5,444,000 | $ | 5,343,504 | ||||
WPP Finance 2010, 3.75% Sr. Unsec. Nts., 9/19/24 |
5,833,000 | 5,635,028 | ||||||
36,246,253 | ||||||||
Multiline Retail0.3% |
||||||||
Dollar Tree, Inc., 4.00% Sr. Unsec. Nts., 5/15/25 |
5,305,000 | 5,208,188 | ||||||
Specialty Retail1.1% |
||||||||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 |
689,000 | 684,217 | ||||||
Best Buy Co., Inc.: |
||||||||
4.45% Sr. Unsec. Nts., 10/1/28 |
1,828,000 | 1,822,692 | ||||||
5.50% Sr. Unsec. Nts., 3/15/21 |
4,811,000 | 5,032,079 | ||||||
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22 |
5,136,000 | 5,214,581 | ||||||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 |
5,507,000 | 5,416,946 | ||||||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 |
4,650,000 | 4,409,968 | ||||||
22,580,483 | ||||||||
Textiles, Apparel & Luxury Goods0.4% |
||||||||
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/261 |
5,292,000 | 5,086,935 | ||||||
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25 |
3,148,000 | 3,154,926 | ||||||
8,241,861 | ||||||||
Consumer Staples4.6% |
||||||||
Beverages1.2% |
||||||||
Anheuser-Busch InBev Finance, Inc.: |
||||||||
3.65% Sr. Unsec. Nts., 2/1/26 |
3,032,000 | 2,944,906 | ||||||
4.90% Sr. Unsec. Nts., 2/1/46 |
805,000 | 809,727 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
3,126,000 | 4,395,681 | ||||||
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/281 |
2,674,000 | 2,658,211 | ||||||
Keurig Dr Pepper, Inc.: |
||||||||
4.057% Sr. Unsec. Nts., 5/25/231 |
5,431,000 | 5,443,397 | ||||||
4.597% Sr. Unsec. Nts., 5/25/281 |
2,695,000 | 2,712,309 | ||||||
Molson Coors Brewing Co., 1.45% Sr. Unsec. Nts., 7/15/19 |
1,826,000 | 1,804,955 | ||||||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221 |
4,732,000 | 4,811,907 | ||||||
25,581,093 | ||||||||
Food & Staples Retailing0.5% |
||||||||
Alimentation Couche-Tard, Inc., 2.35% Sr. Unsec. Nts., 12/13/191 |
5,322,000 | 5,272,054 | ||||||
Kroger Co. (The): |
||||||||
2.00% Sr. Unsec. Nts., 1/15/19 |
309,000 | 308,335 | ||||||
4.45% Sr. Unsec. Nts., 2/1/47 |
1,486,000 | 1,372,148 | ||||||
6.80% Sr. Unsec. Nts., 12/15/18 |
346,000 | 348,801 | ||||||
6.90% Sr. Unsec. Nts., 4/15/38 | 1,624,000 | 1,936,583 | ||||||
9,237,921 |
15 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Food Products1.9% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
3.25% Sr. Unsec. Nts., 8/15/26 |
$ | 3,613,000 | $ | 3,273,366 | ||||
3.50% Sr. Unsec. Nts., 11/24/20 |
5,278,000 | 5,263,985 | ||||||
Campbell Soup Co., 3.30% Sr. Unsec. Nts., 3/15/21 |
5,029,000 | 4,983,704 | ||||||
General Mills, Inc., 4.70% Sr. Unsec. Nts., 4/17/48 |
1,701,000 | 1,636,157 | ||||||
Kraft Heinz Foods Co.: |
||||||||
2.80% Sr. Unsec. Nts., 7/2/20 |
5,281,000 | 5,238,141 | ||||||
3.95% Sr. Unsec. Nts., 7/15/25 |
2,959,000 | 2,919,056 | ||||||
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/261 |
5,012,000 | 4,930,555 | ||||||
Smithfield Foods, Inc.: |
||||||||
2.70% Sr. Unsec. Nts., 1/31/201 |
2,252,000 | 2,217,936 | ||||||
3.35% Sr. Unsec. Nts., 2/1/221 |
2,929,000 | 2,833,174 | ||||||
Tyson Foods, Inc.: |
||||||||
3.55% Sr. Unsec. Nts., 6/2/27 |
2,791,000 | 2,637,636 | ||||||
3.90% Sr. Unsec. Nts., 9/28/23 |
4,296,000 | 4,316,684 | ||||||
40,250,394 | ||||||||
Tobacco1.0% |
||||||||
Altria Group, Inc., 4.00% Sr. Unsec. Nts., 1/31/24 |
3,823,000 | 3,880,621 | ||||||
BAT Capital Corp.: |
||||||||
2.297% Sr. Unsec. Nts., 8/14/201 |
5,176,000 | 5,074,449 | ||||||
3.557% Sr. Unsec. Nts., 8/15/271 |
2,912,000 | 2,715,350 | ||||||
Imperial Brands Finance plc, 3.75% Sr. Unsec. Nts., 7/21/221 |
5,217,000 | 5,197,228 | ||||||
Philip Morris International, Inc., 2.50% Sr. Unsec. Nts., 11/2/22 |
4,715,000 | 4,532,234 | ||||||
21,399,882 | ||||||||
Energy3.9% |
||||||||
Energy Equipment & Services0.3% |
||||||||
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45 |
1,193,000 | 1,276,882 | ||||||
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 |
2,440,000 | 2,497,832 | ||||||
Schlumberger Holdings Corp., 4.00% Sr. Unsec. Nts., 12/21/251 |
2,890,000 | 2,892,862 | ||||||
6,667,576 | ||||||||
Oil, Gas & Consumable Fuels3.6% |
||||||||
Anadarko Petroleum Corp.: |
||||||||
4.50% Sr. Unsec. Nts., 7/15/44 |
1,362,000 | 1,250,179 | ||||||
6.20% Sr. Unsec. Nts., 3/15/40 |
814,000 | 904,300 | ||||||
Andeavor, 3.80% Sr. Unsec. Nts., 4/1/28 |
4,448,000 | 4,235,692 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: |
||||||||
4.25% Sr. Unsec. Nts., 12/1/27 |
2,579,000 | 2,523,238 | ||||||
5.25% Sr. Unsec. Nts., 1/15/25 |
2,699,000 | 2,767,636 | ||||||
Apache Corp., 4.375% Sr. Unsec. Nts., 10/15/28 |
3,972,000 | 3,912,915 | ||||||
Columbia Pipeline Group, Inc.: |
||||||||
3.30% Sr. Unsec. Nts., 6/1/20 |
3,820,000 | 3,814,930 | ||||||
4.50% Sr. Unsec. Nts., 6/1/25 |
2,681,000 | 2,713,386 |
16 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels (Continued) |
||||||||
ConocoPhillips Co.: |
||||||||
4.95% Sr. Unsec. Nts., 3/15/26 |
$ | 461,000 | $ | 497,848 | ||||
5.95% Sr. Unsec. Nts., 3/15/46 |
1,080,000 | 1,367,133 | ||||||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 |
1,153,000 | 1,102,816 | ||||||
Energy Transfer Equity LP, 4.25% Sr. Sec. Nts., 3/15/23 |
4,125,000 | 4,109,531 | ||||||
Energy Transfer Partners LP, 5.30% Sr. Unsec. Nts., 4/15/47 |
1,501,000 | 1,457,305 | ||||||
Enterprise Products Operating LLC: |
||||||||
4.85% Sr. Unsec. Nts., 8/15/42 |
987,000 | 1,008,148 | ||||||
4.90% Sr. Unsec. Nts., 5/15/46 |
779,000 | 807,455 | ||||||
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20 |
5,403,000 | 5,276,304 | ||||||
Kinder Morgan Energy Partners LP, 5.80% Sr. Unsec. Nts., 3/1/21 |
2,082,000 | 2,189,057 | ||||||
Kinder Morgan, Inc.: |
||||||||
5.20% Sr. Unsec. Nts., 3/1/48 |
1,282,000 | 1,310,450 | ||||||
5.55% Sr. Unsec. Nts., 6/1/45 |
2,233,000 | 2,365,279 | ||||||
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 |
1,422,000 | 1,380,388 | ||||||
ONEOK Partners LP, 8.625% Sr. Unsec. Nts., 3/1/19 |
3,216,000 | 3,289,034 | ||||||
Pioneer Natural Resources Co., 3.45% Sr. Unsec. Nts., 1/15/21 |
5,100,000 | 5,101,130 | ||||||
Sabine Pass Liquefaction LLC: |
||||||||
4.20% Sr. Sec. Nts., 3/15/28 |
2,699,000 | 2,621,859 | ||||||
5.625% Sr. Sec. Nts., 2/1/21 |
4,074,000 | 4,239,420 | ||||||
Shell International Finance BV, 4.00% Sr. Unsec. Nts., 5/10/46 |
1,860,000 | 1,821,660 | ||||||
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. Nts., 10/1/27 |
3,373,000 | 3,206,817 | ||||||
TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39 |
1,144,000 | 1,525,859 | ||||||
Williams Cos., Inc. (The): |
||||||||
3.70% Sr. Unsec. Unsub. Nts., 1/15/23 |
5,303,000 | 5,249,945 | ||||||
3.75% Sr. Unsec. Nts., 6/15/27 |
2,175,000 | 2,079,374 | ||||||
74,129,088 | ||||||||
Financials14.0% |
||||||||
Capital Markets3.0% |
||||||||
Bank of New York Mellon Corp. (The), 3.00% Sub. Nts., 10/30/28 |
1,759,000 | 1,612,723 | ||||||
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/271 |
1,925,000 | 1,782,937 | ||||||
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25 |
4,078,000 | 4,012,744 | ||||||
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 |
3,175,000 | 3,130,698 | ||||||
Credit Suisse Group AG, 3.869% [US0003M+141] Sr. Unsec. Nts., 1/12/291,2 |
2,980,000 | 2,808,902 | ||||||
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 |
2,435,000 | 2,449,262 | ||||||
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds2,12 |
5,120,000 | 5,248,000 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
3.50% Sr. Unsec. Nts., 11/16/26 |
2,654,000 | 2,519,950 | ||||||
3.691% [US0003M+151] Sr. Unsec. Nts., 6/5/282 |
1,000,000 | 952,319 |
17 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Capital Markets (Continued) | ||||||||
Goldman Sachs Group, Inc. (The): (Continued) | ||||||||
3.75% Sr. Unsec. Nts., 2/25/26 | $ | 2,550,000 | $ | 2,480,594 | ||||
4.017% [ US0003M+ 137.3] Sr. Unsec. Nts., 10/31/382 | 1,903,000 | 1,765,236 | ||||||
Macquarie Bank Ltd., 2.60% Sr. Unsec. Nts., 6/24/191 | 4,251,000 | 4,240,931 | ||||||
Macquarie Group Ltd., 3.763% [US0003M+137.2] Sr. Unsec. Nts., 11/28/281,2 | 4,109,000 | 3,826,371 | ||||||
Morgan Stanley: | ||||||||
3.95% Sub. Nts., 4/23/27 | 1,200,000 | 1,153,146 | ||||||
4.375% Sr. Unsec. Nts., 1/22/47 | 3,662,000 | 3,572,904 | ||||||
5.00% Sub. Nts., 11/24/25 | 4,427,000 | 4,589,808 | ||||||
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/261 | 5,106,000 | 5,080,470 | ||||||
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/322 | 1,993,000 | 1,858,916 | ||||||
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26 | 2,653,000 | 2,540,105 | ||||||
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27 | 3,298,000 | 3,161,304 | ||||||
UBS Group Funding Switzerland AG: | ||||||||
4.125% Sr. Unsec. Nts., 4/15/261 | 2,732,000 | 2,710,582 | ||||||
4.253% Sr. Unsec. Nts., 3/23/281 | 1,954,000 | 1,941,195 | ||||||
63,439,097 | ||||||||
Commercial Banks6.8% | ||||||||
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/282,13 | 6,000,000 | 5,901,006 | ||||||
Bank of America Corp.: | ||||||||
3.248% Sr. Unsec. Nts., 10/21/27 | 4,525,000 | 4,212,516 | ||||||
3.593% [ US0003M+ 137] Sr. Unsec. Nts., 7/21/282 | 600,000 | 572,324 | ||||||
3.824% [ US0003M+ 157.5] Sr. Unsec. Nts., 1/20/282 | 3,221,000 | 3,137,994 | ||||||
4.271% [ US0003M+ 131] Sr. Unsec. Nts., 7/23/292 | 4,245,000 | 4,241,062 | ||||||
7.75% Jr. Sub. Nts., 5/14/38 | 3,847,000 | 5,201,981 | ||||||
Bank of Ireland Group plc, 4.50% Sr. Unsec. Nts., 11/25/231 | 4,179,000 | 4,176,810 | ||||||
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24 | 3,868,000 | 3,703,204 | ||||||
BNP Paribas SA: | ||||||||
4.40% Sr. Unsec. Nts., 8/14/281 | 1,900,000 | 1,867,200 | ||||||
4.625% Sub. Nts., 3/13/271 | 2,974,000 | 2,939,118 | ||||||
BPCE SA, 4.50% Sub. Nts., 3/15/251 | 2,943,000 | 2,881,267 | ||||||
Citigroup, Inc.: | ||||||||
4.075% [ US0003M+ 119.2] Sr. Unsec. Nts., 4/23/292 | 4,219,000 | 4,143,078 | ||||||
4.281% [ US0003M+ 183.9] Sr. Unsec. Nts., 4/24/482 | 4,210,000 | 4,035,314 | ||||||
4.75% Sub. Nts., 5/18/46 | 1,946,000 | 1,909,036 | ||||||
Citizens Bank NA (Providence RI): | ||||||||
2.55% Sr. Unsec. Nts., 5/13/21 | 2,409,000 | 2,348,257 | ||||||
2.65% Sr. Unsec. Nts., 5/26/22 | 1,014,000 | 975,701 | ||||||
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22 | 4,408,000 | 4,254,829 | ||||||
Credit Agricole SA, 4.375% Sub. Nts., 3/17/251 | 4,978,000 | 4,875,349 | ||||||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 2,461,000 | 2,404,722 | ||||||
First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 2,132,000 | 1,984,844 | ||||||
HSBC Holdings plc: | ||||||||
3.95% [US0003M+98.72] Sr. Unsec. Nts., 5/18/242 | 1,709,000 | 1,698,472 |
18 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Commercial Banks (Continued) |
||||||||
HSBC Holdings plc: (Continued) |
||||||||
4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/282 |
$ | 2,142,000 | $ | 2,064,446 | ||||
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/292 |
2,854,000 | 2,860,523 | ||||||
Huntington Bancshares, Inc., 4.00% Sr. Unsec. Nts., 5/15/25 |
5,274,000 | 5,274,022 | ||||||
JPMorgan Chase & Co.: |
||||||||
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/282 |
4,302,000 | 4,106,693 | ||||||
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/282 |
7,898,000 | 7,696,243 | ||||||
3.797% [US0003M+89] Sr. Unsec. Nts., 7/23/242 |
5,275,000 | 5,274,297 | ||||||
4.26% [US0003M+158] Sr. Unsec. Nts., 2/22/482 |
1,665,000 | 1,610,268 | ||||||
KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26 |
3,357,000 | 3,187,033 | ||||||
Lloyds Banking Group plc: |
||||||||
6.413% [US0003M+149.5] Jr. Sub. Perpetual Bonds1,2,12 |
214,000 | 217,478 | ||||||
6.657% [US0003M+127] Jr. Sub. Perpetual Bonds2,7,12 |
2,718,000 | 2,777,470 | ||||||
M&T Bank Corp., 3.55% Sr. Unsec. Nts., 7/26/23 |
2,160,000 | 2,149,355 | ||||||
Nordea Bank AB, 4.625% [USSW5+169] Sub. Nts., 9/13/331,2 |
1,874,000 | 1,854,610 | ||||||
PNC Bank NA, 4.05% Sub. Nts., 7/26/28 |
3,718,000 | 3,735,941 | ||||||
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27 |
3,749,000 | 3,549,263 | ||||||
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22 |
2,893,000 | 2,791,871 | ||||||
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26 |
1,798,000 | 1,694,333 | ||||||
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22 |
2,818,000 | 2,709,986 | ||||||
Toronto-Dominion Bank (The), 3.50% Sr. Unsec. Nts., 7/19/23 |
4,222,000 | 4,216,148 | ||||||
US Bancorp: |
||||||||
3.10% Sub. Nts., 4/27/26 |
3,338,000 | 3,157,634 | ||||||
3.15% Sr. Unsec. Nts., 4/27/27 |
1,004,000 | 958,947 | ||||||
US Bank NA (Cincinnati OH), 3.40% Sr. Unsec. Nts., 7/24/23 |
6,053,000 | 6,030,446 | ||||||
Wells Fargo & Co.: |
||||||||
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/282 |
4,142,000 | 3,975,193 | ||||||
4.75% Sub. Nts., 12/7/46 |
2,512,000 | 2,504,090 | ||||||
141,860,374 | ||||||||
Consumer Finance0.7% |
||||||||
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22 |
1,728,000 | 1,659,478 | ||||||
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27 |
3,103,000 | 2,983,625 | ||||||
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27 |
1,666,000 | 1,574,503 | ||||||
Discover Bank: |
||||||||
3.10% Sr. Unsec. Nts., 6/4/20 |
739,000 | 734,617 | ||||||
4.65% Sr. Unsec. Nts., 9/13/28 |
1,945,000 | 1,952,467 | ||||||
Discover Financial Services, 3.75% Sr. Unsec. Nts., 3/4/25 |
1,743,000 | 1,663,055 | ||||||
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/191 |
2,975,000 | 3,010,491 | ||||||
13,578,236 | ||||||||
Diversified Financial Services0.6% |
||||||||
Berkshire Hathaway Energy Co.: |
||||||||
2.00% Sr. Unsec. Nts., 11/15/18 |
1,134,000 | 1,133,442 | ||||||
3.80% Sr. Unsec. Nts., 7/15/48 |
1,172,000 | 1,060,661 | ||||||
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/251 |
1,973,000 | 1,918,176 | ||||||
Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23 |
2,568,000 | 2,473,433 |
19 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Diversified Financial Services (Continued) |
||||||||
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/532 | $ | 4,857,000 | $ | 4,907,270 | ||||
11,492,982 | ||||||||
Insurance1.6% | ||||||||
AXA Equitable Holdings, Inc., 4.35% Sr. Unsec. Nts., 4/20/281 | 2,823,000 | 2,734,855 | ||||||
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | 2,591,000 | 2,510,002 | ||||||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 2,509,000 | 2,545,056 | ||||||
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/27 | 1,096,000 | 974,554 | ||||||
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27 | 3,950,000 | 3,662,457 | ||||||
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. Nts., 3/15/48 | 3,111,000 | 3,009,458 | ||||||
Lincoln National Corp., 3.80% Sr. Unsec. Nts., 3/1/28 | 3,096,000 | 2,992,932 | ||||||
Manulife Financial Corp., 4.061% [USISDA05+164.7] Sub. Nts., 2/24/322 | 3,321,000 | 3,170,462 | ||||||
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 1,731,000 | 1,658,366 | ||||||
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/241 | 5,270,000 | 5,216,846 | ||||||
Prudential Financial, Inc.: | ||||||||
5.20% [US0003M+304] Jr. Sub. Nts., 3/15/442 | 3,954,000 | 3,939,173 | ||||||
5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/452 | 887,000 | 887,000 | ||||||
33,301,161 | ||||||||
Real Estate Investment Trusts (REITs)1.3% | ||||||||
American Tower Corp.: | ||||||||
2.80% Sr. Unsec. Nts., 6/1/20 | 1,482,000 | 1,468,609 | ||||||
3.00% Sr. Unsec. Nts., 6/15/23 | 4,354,000 | 4,195,327 | ||||||
3.60% Sr. Unsec. Nts., 1/15/28 | 2,903,000 | 2,716,043 | ||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 2,856,000 | 2,946,324 | ||||||
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27 | 2,451,000 | 2,305,996 | ||||||
Digital Realty Trust LP: | ||||||||
3.40% Sr. Unsec. Nts., 10/1/20 | 445,000 | 445,628 | ||||||
5.875% Sr. Unsec. Nts., 2/1/20 | 1,846,000 | 1,893,700 | ||||||
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20 | 5,035,000 | 4,993,316 | ||||||
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26 | 4,926,000 | 5,125,946 | ||||||
VEREIT Operating Partnership LP, 3.00% Sr. Unsec. Nts., 2/6/19 | 1,619,000 | 1,618,935 | ||||||
27,709,824 | ||||||||
Health Care4.6% | ||||||||
Biotechnology1.1% | ||||||||
AbbVie, Inc.: | ||||||||
3.75% Sr. Unsec. Nts., 11/14/23 | 5,223,000 | 5,202,478 | ||||||
4.25% Sr. Unsec. Nts., 11/14/28 | 3,879,000 | 3,828,728 | ||||||
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48 | 1,924,000 | 1,891,723 | ||||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 1,407,000 | 1,496,344 | ||||||
Celgene Corp.: | ||||||||
3.875% Sr. Unsec. Nts., 8/15/25 | 3,247,000 | 3,201,907 | ||||||
5.00% Sr. Unsec. Nts., 8/15/45 | 534,000 | 531,860 |
20 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Biotechnology (Continued) |
||||||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 |
$ | 2,188,000 | $ | 2,257,186 | ||||
Shire Acquisitions Investments Ireland DAC, 2.40% Sr. Unsec. Nts., 9/23/21 |
5,388,000 | 5,209,309 | ||||||
23,619,535 | ||||||||
Health Care Equipment & Supplies0.7% |
||||||||
Abbott Laboratories, 3.75% Sr. Unsec. Nts., 11/30/26 |
4,402,000 | 4,395,770 | ||||||
Becton Dickinson & Co.: |
||||||||
2.404% Sr. Unsec. Nts., 6/5/20 |
4,293,000 | 4,229,405 | ||||||
3.70% Sr. Unsec. Nts., 6/6/27 |
4,151,000 | 3,975,742 | ||||||
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/251 |
179,000 | 171,392 | ||||||
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45 |
907,000 | 961,267 | ||||||
13,733,576 | ||||||||
Health Care Providers & Services1.5% |
||||||||
Cigna Corp., 5.125% Sr. Unsec. Nts., 6/15/20 |
4,432,000 | 4,567,830 | ||||||
CVS Health Corp.: |
||||||||
2.125% Sr. Unsec. Nts., 6/1/21 |
5,164,000 | 4,987,436 | ||||||
5.05% Sr. Unsec. Nts., 3/25/48 |
4,706,000 | 4,826,290 | ||||||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/221 |
6,409,000 | 6,766,601 | ||||||
Halfmoon Parent, Inc.: |
||||||||
3.75% Sr. Sec. Nts., 7/15/231 |
4,052,000 | 4,040,967 | ||||||
4.375% Sr. Sec. Nts., 10/15/281 |
2,620,000 | 2,616,161 | ||||||
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23 |
4,230,000 | 4,104,636 | ||||||
31,909,921 | ||||||||
Life Sciences Tools & Services0.5% |
||||||||
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/261 |
4,298,000 | 4,226,009 | ||||||
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20 |
3,768,000 | 3,904,745 | ||||||
Thermo Fisher Scientific, Inc., 4.15% Sr. Unsec. Nts., 2/1/24 |
2,063,000 | 2,103,286 | ||||||
10,234,040 | ||||||||
Pharmaceuticals0.8% |
||||||||
Allergan Funding SCS, 3.00% Sr. Unsec. Nts., 3/12/20 |
5,175,000 | 5,170,655 | ||||||
Bayer US Finance II LLC: |
||||||||
3.875% Sr. Unsec. Nts., 12/15/231 |
5,258,000 | 5,227,551 | ||||||
4.375% Sr. Unsec. Nts., 12/15/281 |
3,779,000 | 3,707,616 | ||||||
Elanco Animal Health, Inc., 4.90% Sr. Unsec. Nts., 8/28/281 |
2,298,000 | 2,336,377 | ||||||
16,442,199 | ||||||||
Industrials3.5% |
||||||||
Aerospace & Defense0.9% |
||||||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251 |
4,089,000 | 4,015,725 | ||||||
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., 12/1/27 |
3,075,000 | 2,887,733 | ||||||
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 6/15/23 |
5,301,000 | 5,318,512 | ||||||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 |
2,760,000 | 2,870,418 |
21 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Aerospace & Defense (Continued) |
||||||||
United Technologies Corp.: |
||||||||
3.35% Sr. Unsec. Nts., 8/16/21 |
$ | 1,293,000 | $ | 1,292,017 | ||||
3.95% Sr. Unsec. Nts., 8/16/25 |
3,232,000 | 3,216,279 | ||||||
19,600,684 | ||||||||
Air Freight & Couriers0.2% |
||||||||
CH Robinson Worldwide, Inc., 4.20% Sr. Unsec. Nts., 4/15/28 |
2,673,000 | 2,642,658 | ||||||
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47 |
1,054,000 | 1,009,049 | ||||||
3,651,707 | ||||||||
Building Products0.4% |
||||||||
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27 |
4,291,000 | 3,906,559 | ||||||
Fortune Brands Home & Security, Inc., 4.00% Sr. Unsec. Nts., 9/21/23 |
4,958,000 | 4,978,165 | ||||||
8,884,724 | ||||||||
Electrical Equipment0.2% |
||||||||
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/231 |
4,415,000 | 4,437,075 | ||||||
Industrial Conglomerates0.3% |
||||||||
GE Capital International Funding Co. Unlimited Co., 3.373% Sr. Unsec. Nts., 11/15/25 |
1,652,000 | 1,573,443 | ||||||
Roper Technologies, Inc., 3.65% Sr. Unsec. Nts., 9/15/23 |
5,226,000 | 5,196,346 | ||||||
6,769,789 | ||||||||
Machinery0.3% |
||||||||
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19 |
465,000 | 460,653 | ||||||
John Deere Capital Corp., 2.70% Sr. Unsec. Nts., 1/6/23 |
2,224,000 | 2,161,118 | ||||||
Nvent Finance Sarl, 4.55% Sr. Unsec. Nts., 4/15/281 |
2,620,000 | 2,554,159 | ||||||
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 |
921,000 | 920,614 | ||||||
6,096,544 | ||||||||
Professional Services0.2% |
||||||||
IHS Markit Ltd., 4.125% Sr. Unsec. Nts., 8/1/23 |
3,316,000 | 3,313,778 | ||||||
Road & Rail0.5% |
||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/261 |
4,245,000 | 3,956,377 | ||||||
Ryder System, Inc.: |
||||||||
3.50% Sr. Unsec. Nts., 6/1/21 |
1,241,000 | 1,240,602 | ||||||
3.75% Sr. Unsec. Nts., 6/9/23 |
5,250,000 | 5,242,623 | ||||||
10,439,602 | ||||||||
Trading Companies & Distributors0.5% |
||||||||
Air Lease Corp.: |
||||||||
3.25% Sr. Unsec. Nts., 3/1/25 |
1,679,000 | 1,571,049 | ||||||
3.625% Sr. Unsec. Nts., 4/1/27 |
1,765,000 | 1,631,885 | ||||||
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28 |
4,225,000 | 3,888,290 |
22 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Trading Companies & Distributors (Continued) |
||||||||
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25 |
$ | 2,670,000 | $ | 2,596,575 | ||||
9,687,799 | ||||||||
Information Technology3.0% |
||||||||
Communications Equipment0.2% |
||||||||
Motorola Solutions, Inc., 4.60% Sr. Unsec. Nts., 2/23/28 |
3,917,000 | 3,834,966 | ||||||
Electronic Equipment, Instruments, & Components0.4% |
||||||||
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28 |
3,969,000 | 3,702,364 | ||||||
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24 |
631,000 | 656,240 | ||||||
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 |
3,740,000 | 3,662,935 | ||||||
8,021,539 | ||||||||
IT Services0.7% |
||||||||
DXC Technology Co.: |
||||||||
2.875% Sr. Unsec. Nts., 3/27/20 |
2,944,000 | 2,920,499 | ||||||
4.75% Sr. Unsec. Nts., 4/15/27 |
3,922,000 | 4,019,530 | ||||||
Fidelity National Information Services, Inc., 4.25% Sr. Unsec. Nts., 5/15/28 |
2,695,000 | 2,704,067 | ||||||
VeriSign, Inc.: |
||||||||
4.75% Sr. Unsec. Nts., 7/15/27 |
2,683,000 | 2,625,181 | ||||||
5.25% Sr. Unsec. Nts., 4/1/25 |
1,611,000 | 1,647,248 | ||||||
13,916,525 | ||||||||
Semiconductors & Semiconductor Equipment0.3% |
||||||||
Intel Corp., 3.734% Sr. Unsec. Nts., 12/8/47 |
1,479,000 | 1,379,358 | ||||||
Microchip Technology, Inc., 3.922% Sr. Sec. Nts., 6/1/211 |
5,261,000 | 5,233,089 | ||||||
6,612,447 | ||||||||
Software1.0% |
||||||||
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25 |
1,675,000 | 1,685,617 | ||||||
Dell International LLC/EMC Corp.: |
||||||||
4.42% Sr. Sec. Nts., 6/15/211 |
4,891,000 | 4,966,512 | ||||||
6.02% Sr. Sec. Nts., 6/15/261 |
3,118,000 | 3,325,499 | ||||||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231 |
2,188,000 | 2,231,760 | ||||||
Oracle Corp.: |
||||||||
2.40% Sr. Unsec. Nts., 9/15/23 |
3,157,000 | 3,015,044 | ||||||
2.95% Sr. Unsec. Nts., 5/15/25 |
3,127,000 | 3,000,530 | ||||||
VMware, Inc.: |
||||||||
2.30% Sr. Unsec. Nts., 8/21/20 |
1,357,000 | 1,330,835 | ||||||
3.90% Sr. Unsec. Nts., 8/21/27 |
2,677,000 | 2,535,771 | ||||||
22,091,568 | ||||||||
Technology Hardware, Storage & Peripherals0.4% |
||||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 |
3,263,000 | 3,395,649 |
23 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Technology Hardware, Storage & Peripherals (Continued) |
||||||||
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., 10/15/20 |
$ | 5,252,000 | $ | 5,279,259 | ||||
8,674,908 | ||||||||
Materials2.5% |
||||||||
Chemicals1.0% |
||||||||
LyondellBasell Industries NV, 5.00% Sr. Unsec. Nts., 4/15/19 |
3,753,000 | 3,772,094 | ||||||
Nutrien Ltd., 3.375% Sr. Unsec. Nts., 3/15/25 |
4,621,000 | 4,386,106 | ||||||
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 |
3,940,000 | 4,097,718 | ||||||
RPM International, Inc.: |
||||||||
3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
3,050,000 | 3,001,778 | ||||||
3.75% Sr. Unsec. Nts., 3/15/27 |
1,562,000 | 1,486,195 | ||||||
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/281 |
3,988,000 | 4,020,316 | ||||||
20,764,207 | ||||||||
Construction Materials0.3% |
||||||||
James Hardie International Finance DAC, 4.75% Sr. Unsec. Nts., 1/15/251 |
3,252,000 | 3,159,156 | ||||||
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., 12/15/27 |
2,593,000 | 2,380,624 | ||||||
5,539,780 | ||||||||
Containers & Packaging0.6% |
||||||||
International Paper Co.: |
||||||||
3.00% Sr. Unsec. Nts., 2/15/27 |
2,581,000 | 2,372,850 | ||||||
4.80% Sr. Unsec. Nts., 6/15/44 |
2,183,000 | 2,125,318 | ||||||
Packaging Corp. of America: |
||||||||
3.65% Sr. Unsec. Nts., 9/15/24 |
745,000 | 734,025 | ||||||
4.50% Sr. Unsec. Nts., 11/1/23 |
4,011,000 | 4,126,106 | ||||||
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25 |
3,315,000 | 3,194,831 | ||||||
12,553,130 | ||||||||
Metals & Mining0.5% |
||||||||
Anglo American Capital plc: |
||||||||
3.625% Sr. Unsec. Nts., 9/11/241 |
1,368,000 | 1,303,433 | ||||||
4.00% Sr. Unsec. Nts., 9/11/271 |
2,200,000 | 2,029,677 | ||||||
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25 |
4,565,000 | 4,966,596 | ||||||
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 |
1,490,000 | 1,549,261 | ||||||
9,848,967 | ||||||||
Paper & Forest Products0.1% |
||||||||
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/231 |
964,000 | 969,132 | ||||||
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 |
2,196,000 | 2,196,000 | ||||||
3,165,132 | ||||||||
Telecommunication Services2.5% |
||||||||
Diversified Telecommunication Services2.0% |
||||||||
AT&T, Inc.: |
||||||||
4.30% Sr. Unsec. Nts., 2/15/301 |
3,909,000 | 3,764,965 |
24 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Diversified Telecommunication Services (Continued) |
||||||||
AT&T, Inc.: (Continued) |
||||||||
4.35% Sr. Unsec. Nts., 6/15/45 |
$ | 4,857,000 | $ | 4,193,381 | ||||
4.50% Sr. Unsec. Nts., 3/9/48 |
2,268,000 | 1,983,319 | ||||||
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 |
4,509,000 | 6,417,359 | ||||||
Deutsche Telekom International Finance BV, 4.375% Sr. Unsec. Nts., 6/21/281 |
2,515,000 | 2,510,720 | ||||||
Telecom Italia SpA, 5.303% Sr. Unsec. Nts., 5/30/241 |
5,054,000 | 4,927,650 | ||||||
Telefonica Emisiones SAU: |
||||||||
4.103% Sr. Unsec. Nts., 3/8/27 |
1,424,000 | 1,370,433 | ||||||
5.213% Sr. Unsec. Nts., 3/8/47 |
2,144,000 | 2,087,248 | ||||||
7.045% Sr. Unsec. Unsub. Nts., 6/20/36 |
2,031,000 | 2,454,019 | ||||||
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26 |
4,923,000 | 5,170,134 | ||||||
Verizon Communications, Inc.: |
||||||||
4.125% Sr. Unsec. Nts., 8/15/46 |
2,250,000 | 2,021,460 | ||||||
4.522% Sr. Unsec. Nts., 9/15/48 |
3,066,000 | 2,929,088 | ||||||
5.15% Sr. Unsec. Nts., 9/15/23 |
1,995,000 | 2,136,067 | ||||||
41,965,843 | ||||||||
Wireless Telecommunication Services0.5% |
||||||||
Vodafone Group plc: |
||||||||
3.75% Sr. Unsec. Nts., 1/16/24 |
5,215,000 | 5,161,398 | ||||||
4.375% Sr. Unsec. Nts., 5/30/28 |
2,638,000 | 2,602,681 | ||||||
6.15% Sr. Unsec. Nts., 2/27/37 |
1,709,000 | 1,890,528 | ||||||
9,654,607 | ||||||||
Utilities3.0% |
||||||||
Electric Utilities2.3% |
||||||||
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., 6/1/281 |
2,694,000 | 2,680,555 | ||||||
Duke Energy Corp.: |
||||||||
3.15% Sr. Unsec. Nts., 8/15/27 |
2,714,000 | 2,527,448 | ||||||
3.75% Sr. Unsec. Nts., 9/1/46 |
2,562,000 | 2,257,181 | ||||||
Edison International: |
||||||||
2.125% Sr. Unsec. Nts., 4/15/20 |
2,127,000 | 2,086,215 | ||||||
2.95% Sr. Unsec. Nts., 3/15/23 |
3,255,000 | 3,121,909 | ||||||
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/241 |
3,689,000 | 3,529,727 | ||||||
Electricite de France SA, 4.50% Sr. Unsec. Nts., 9/21/281 |
2,675,000 | 2,636,733 | ||||||
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19 |
4,548,000 | 4,519,403 | ||||||
Entergy Texas, Inc., 7.125% Sec. Nts., 2/1/19 |
1,118,000 | 1,133,095 | ||||||
Exelon Corp.: |
||||||||
2.45% Sr. Unsec. Nts., 4/15/21 |
2,432,000 | 2,364,965 | ||||||
4.45% Sr. Unsec. Nts., 4/15/46 |
1,494,000 | 1,451,694 | ||||||
FirstEnergy Corp., 3.90% Sr. Unsec. Nts., 7/15/27 |
2,896,000 | 2,820,843 | ||||||
Indiana Michigan Power Co., 4.25% Sr. Unsec. Nts., 8/15/48 |
1,247,000 | 1,231,589 | ||||||
ITC Holdings Corp.: |
||||||||
3.35% Sr. Unsec. Nts., 11/15/27 |
246,000 | 231,865 | ||||||
5.30% Sr. Unsec. Nts., 7/1/43 |
1,081,000 | 1,187,235 | ||||||
Mid-Atlantic Interstate Transmission LLC, 4.10% Sr. Unsec. Nts., 5/15/281 |
2,698,000 | 2,677,352 |
25 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Electric Utilities (Continued) |
||||||||
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., 9/15/241 |
$ | 386,000 | $ | 379,728 | ||||
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 |
500,000 | 511,623 | ||||||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211 |
4,885,000 | 5,062,979 | ||||||
Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47 |
1,701,000 | 1,623,889 | ||||||
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/251 |
2,876,000 | 2,850,723 | ||||||
46,886,751 | ||||||||
Multi-Utilities0.7% |
||||||||
Black Hills Corp., 2.50% Sr. Unsec. Nts., 1/11/19 |
2,592,000 | 2,589,209 | ||||||
CenterPoint Energy Resources Corp., 4.50% Sr. Unsec. Nts., 1/15/21 |
1,942,000 | 1,977,570 | ||||||
Dominion Energy, Inc.: |
||||||||
2.579% Jr. Sub. Nts., 7/1/20 |
5,060,000 | 4,996,278 | ||||||
4.90% Sr. Unsec. Nts., 8/1/41 |
1,995,000 | 2,051,005 | ||||||
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19 |
3,471,000 | 3,413,552 | ||||||
15,027,614 | ||||||||
Total Corporate Bonds and Notes (Cost $1,052,738,585) |
1,033,920,238 | |||||||
Short-Term Notes15.0% |
||||||||
Aerospace & Defense0.7% |
||||||||
Northrop Grumman Corp., 2.464%, 10/24/181,14,15 |
4,100,000 | 4,092,828 | ||||||
Rockwell Collins, Inc., 2.302%, 10/1/181,14,15 |
1,100,000 | 1,099,783 | ||||||
United Technologies Corp., 2.561%, 11/26/181,14,15 |
9,300,000 | 9,262,003 | ||||||
14,454,614 | ||||||||
Auto Components0.4% |
||||||||
Magna International, Inc., 2.303%, 10/5/181,14,15 |
9,300,000 | 9,295,723 | ||||||
Beverages0.4% |
||||||||
Diageo Capital plc, 2.234%, 10/12/1814,15 |
9,400,000 | 9,391,113 | ||||||
Building Products0.4% |
||||||||
Assa Abloy Financial AB: |
||||||||
2.425%, 10/22/181,14,15 |
4,000,000 | 3,993,544 | ||||||
2.561%, 11/30/181,14,15 |
5,300,000 | 5,276,813 | ||||||
9,270,357 | ||||||||
Chemicals1.7% |
||||||||
Air Liquide US LLC, 2.546%, 12/31/181,14,15 |
9,300,000 | 9,243,808 | ||||||
Albemarle Corp., 2.304%, 10/4/181,14,15 |
9,400,000 | 9,395,922 | ||||||
Cabot Corp., 2.303%, 10/9/181,14,15 |
9,300,000 | 9,293,208 | ||||||
Eastman Chemical, 2.235%, 10/11/1815 |
4,100,000 | 4,096,398 |
26 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Chemicals (Continued) |
||||||||
Nutrien Ltd., 2.461%, 11/14/181,14,15 |
$ | 4,100,000 | $ | 4,085,237 | ||||
36,114,573 | ||||||||
Commercial Services & Supplies0.4% |
||||||||
Waste Management, Inc., 2.265%, 10/16/181,14,15 |
7,300,000 | 7,291,178 | ||||||
Computers & Peripherals0.9% |
||||||||
HP, Inc., 2.636%, 10/15/1815 |
9,440,000 | 9,430,299 | ||||||
NetApp, Inc., 2.234%, 10/10/181,14,15 |
8,300,000 | 8,293,288 | ||||||
17,723,587 | ||||||||
Electric Utilities2.1% |
||||||||
Duke Energy Corp.: |
||||||||
2.213%, 10/3/181,14,15 |
1,900,000 | 1,899,371 | ||||||
2.351%, 10/4/181,14,15 |
2,200,000 | 2,199,124 | ||||||
Eversource Energy, 2.221%, 10/1/1814,15 |
9,300,000 | 9,298,129 | ||||||
Nextera Energy Capital Holdings, 2.307%, 10/10/181,14,15 |
9,400,000 | 9,392,398 | ||||||
Puget Sound Energy, Inc.: |
||||||||
2.304%, 10/10/1815 |
7,500,000 | 7,493,935 | ||||||
2.394%, 10/15/1815 |
1,800,000 | 1,797,924 | ||||||
Sempra Energy, 2.304%, 10/10/1814,15 |
9,300,000 | 9,292,479 | ||||||
Southern Co. (The), 2.401%, 10/4/181,14,15 |
3,100,000 | 3,098,766 | ||||||
44,472,126 | ||||||||
Energy Equipment & Services0.1% |
||||||||
Schlumberger Holdings Corp., 2.304%, 10/10/181,14,15 |
3,100,000 | 3,097,481 | ||||||
Food & Staples Retailing0.5% |
||||||||
Walgreens Boots Alliance, Inc., 2.36%, 10/22/1815 |
9,440,000 | 9,424,638 | ||||||
Food Products0.8% |
||||||||
General Mills, Inc., 2.183%, 10/1/1814,15 |
4,100,000 | 4,099,190 | ||||||
McCormick & Co., Inc., 2.403%, 10/18/181,14,15 |
9,300,000 | 9,287,352 | ||||||
Mondelez International, Inc.: |
||||||||
2.352%, 10/24/1814,15 |
1,300,000 | 1,297,707 | ||||||
2.352%, 10/26/1814,15 |
1,800,000 | 1,796,578 | ||||||
16,480,827 | ||||||||
Hotels, Restaurants & Leisure0.3% |
||||||||
Marriot International, 2.48%, 10/18/181,14,15 |
6,300,000 | 6,291,460 | ||||||
Household Durables0.9% |
||||||||
Leggett & Platt, Inc., 2.264%, 10/4/181,14,15 |
9,400,000 | 9,396,257 | ||||||
Mohawk Industries, Inc., 2.343%, 10/12/181,14,15 |
9,300,000 | 9,291,179 | ||||||
18,687,436 | ||||||||
IT Services0.4% |
||||||||
Western Union Co., 2.252%, 10/2/181,14,15 |
8,300,000 | 8,297,809 |
27 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Leasing & Factoring0.8% |
||||||||
Harley-Davidson Financial Services, Inc., 2.472%, 12/5/1814,15 |
$ | 6,200,000 | $ | 6,170,441 | ||||
Hitachi Capital America Corp., 2.365%, 10/4/1815 |
9,400,000 | 9,396,205 | ||||||
15,566,646 | ||||||||
Machinery0.6% |
||||||||
Snap-on, Inc., 2.291%, 10/1/181,14,15 |
9,300,000 | 9,298,163 | ||||||
Xylem, Inc., 2.224%, 10/11/1814,15 |
4,100,000 | 4,096,398 | ||||||
13,394,561 | ||||||||
Media0.2% |
||||||||
WPP CP LLC, 2.457%, 10/4/181,14,15 |
4,100,000 | 4,098,367 | ||||||
Metals & Mining0.2% |
||||||||
Glencore Funding LLC, 2.597%, 10/15/1814,15 |
4,200,000 | 4,195,145 | ||||||
Paper, Containers & Packaging0.5% |
||||||||
Avery Dennison, 2.36%, 11/5/1814,15 |
9,400,000 | 9,375,750 | ||||||
Personal Products0.5% |
||||||||
Reckitt Benckiser Treasury Services plc, 2.244%, 10/2/1814,15 |
9,400,000 | 9,397,736 | ||||||
Specialty Retail0.5% |
||||||||
Relx, Inc., 2.254%, 10/9/181,14,15 |
9,400,000 | 9,393,050 | ||||||
Telephone Utilities0.9% |
||||||||
Bell Canada, Inc., 2.567%, 12/10/1814,15 |
9,400,000 | 9,351,966 | ||||||
Telus Corp., 2.658%, 12/27/181,15 |
9,350,000 | 9,289,108 | ||||||
18,641,074 | ||||||||
Textiles, Apparel & Luxury Goods0.4% |
||||||||
VF Corp., 2.349%, 10/3/181,14,15 |
8,300,000 | 8,297,210 | ||||||
Water Utilities0.4% |
||||||||
American Water Capital Corp., 2.271%, 10/5/1814,15 |
9,300,000 | 9,295,615 | ||||||
Total Short-Term Notes (Cost $312,009,891) |
311,948,076 | |||||||
Shares | ||||||||
Investment Company1.8% |
||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.95%16,17 (Cost $38,116,242) |
38,116,242 | 38,116,242 | ||||||
Total Investments, at Value (Cost $2,634,884,237) |
125.4% | 2,611,448,895 | ||||||
Net Other Assets (Liabilities) |
(25.4) | (528,614,046 | ) | |||||
Net Assets |
100.0% | $ | 2,082,834,849 | |||||
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 $627,632,868 or 30.13% 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].
28 OPPENHEIMER TOTAL RETURN BOND FUND
Footnotes to Statement of Investments (Continued)
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 $21,555,532 or 1.03% of the Funds net assets at period end.
4. Interest rate is less than 0.0005%.
5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $76,753 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 3 of the accompanying Notes.
7. Restricted security. The aggregate value of restricted securities at period end was $2,779,119, which represents 0.13% of the Funds net assets. See Note 3 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 | $ | 140,732 | $ | 1,649 | $ (139,083) | ||||||||
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. Perpetual Bonds | |
6/20/14- 10/24/14 |
3,040,840 | 2,777,470 | (263,370) | |||||||||
$ | 3,181,572 | $ | 2,779,119 | $ (402,453) | ||||||||||
8. The value of this security was determined using significant unobservable inputs. See Note 2 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 $2,279,080. See Note 5 of the accompanying Notes.
11. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 3 of the accompanying Notes.
12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
13. Represents securities sold under Regulation S, which are exempt from registration under the Securities Act of 1933, as amended. These securities may not be offered or sold in the United States without and exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. These securities amount to $5,901,006 or 0.28% of the Funds net assets at period end.
14. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $261,019,569 or 12.53% of the Funds net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.
15. Current yield as of period end.
16. Rate shown is the 7-day yield at period end.
29 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
17. 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 September 30, 2018 | |||||||||||
Investment Company |
||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 40,200,770 | 1,233,121,604 | 1,235,206,132 | 38,116,242 | ||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) | |||||||||||
Investment Company | ||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 38,116,242 | $ | 553,481 | $ | | $ |
Futures Contracts as of September 30, 2018 |
|
|||||||||||||||||||||
Description | Buy/Sell | Expiration Date |
Number of Contracts |
Notional Amount (000s) |
Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
United States Treasury Long Bonds | Buy | 12/19/18 | 418 | USD 59,274 | $ | 58,729,000 | $ (544,938) | |||||||||||||||
United States Treasury Nts., 10 yr. | Sell | 12/19/18 | 832 | USD 100,113 | 98,826,000 | 1,287,338 | ||||||||||||||||
United States Treasury Nts., 2 yr. | Sell | 12/31/18 | 4,656 | USD 983,633 | 981,179,255 | 2,453,731 | ||||||||||||||||
United States Treasury Nts., 5 yr. | Sell | 12/31/18 | 982 | USD 111,284 | 110,451,985 | 831,949 | ||||||||||||||||
United States Ultra Bonds | Buy | 12/19/18 | 906 | USD 144,971 | 139,778,813 | (5,191,897) | ||||||||||||||||
$ (1,163,817) |
Over-the-Counter Total Return Swaps at September 30, 2018 |
|
|||||||||||||||||||||||||
Reference Asset | Counter- party |
Pay/Receive Total Return* |
Floating Rate | Maturity Date |
Notional (000s) |
Value | Unrealized (Depreciation) | |||||||||||||||||||
IBOXX USD Liquid Investment Grade Series 1 Version 1 | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
12/27/18 | USD 1,000 | $ (2,089 | ) | $ (2,089) |
30 OPPENHEIMER TOTAL RETURN BOND FUND
* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
Glossary:
Counterparty Abbreviations
JPM | JPMorgan Chase Bank NA |
Definitions
BBA LIBOR | British Bankers Association London - Interbank Offered Rate | |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
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 |
31 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
1. Organization
Oppenheimer Total Return Bond Fund (the Fund), is a separate fund of Oppenheimer Integrity Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
2. 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
32 OPPENHEIMER TOTAL RETURN BOND FUND
2. Securities Valuation (Continued)
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 events.
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.
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
33 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
2. Securities Valuation (Continued)
(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 at period end based on valuation input level:
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
|
||||||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 341,967,386 | $ | | $ | 341,967,386 | ||||||||
Mortgage-Backed Obligations |
| 878,050,388 | 15,214 | 878,065,602 | ||||||||||||
U.S. Government Obligation |
| 7,431,351 | | 7,431,351 | ||||||||||||
Corporate Bonds and Notes |
| 1,033,920,238 | | 1,033,920,238 | ||||||||||||
Short-Term Notes |
| 311,948,076 | | 311,948,076 | ||||||||||||
Investment Company |
38,116,242 | | | 38,116,242 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value |
38,116,242 | 2,573,317,439 | 15,214 | 2,611,448,895 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures contracts |
4,573,018 | | | 4,573,018 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 42,689,260 | $ | 2,573,317,439 | $ | 15,214 | $ | 2,616,021,913 | ||||||||
|
|
|||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Swaps, at value |
| (2,089 | ) | | (2,089) | |||||||||||
Futures contracts |
(5,736,835 | ) | | | (5,736,835) | |||||||||||
|
|
|||||||||||||||
Total Liabilities |
$ | (5,736,835 | ) | $ | (2,089 | ) | $ | | $ | (5,738,924) | ||||||
|
|
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.
34 OPPENHEIMER TOTAL RETURN BOND FUND
2. Securities Valuation (Continued)
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.
3. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services 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.
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
35 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Investments and Risks (Continued)
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 |
|
$650,954,337 |
| |
Sold securities |
|
118,904,421 |
|
The Fund may enter into forward roll transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the Fund pledged $3,676,744 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
36 OPPENHEIMER TOTAL RETURN BOND FUND
3. Investments and Risks (Continued)
restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
4. 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 typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
5. 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
37 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
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.
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
38 OPPENHEIMER TOTAL RETURN BOND FUND
5. Use of Derivatives (Continued)
the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund 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 $179,698,806 and $819,543,509 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (centrally cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an
39 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
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 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 $983,000 on credit default swaps to sell protection.
Additional associated risks to the Fund include counterparty risk and liquidity risk.
At period end, the Fund had no credit default swap agreements outstanding.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
40 OPPENHEIMER TOTAL RETURN BOND FUND
5. Use of Derivatives (Continued)
The Fund may enter into total return swaps to increase or decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the related indexes or securities.
The Fund may enter into total return swaps on various commodity indexes to increase or decrease exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay or receive a fixed or a floating reference interest rate, and an amount equal to the opposite price movement of an index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments of a fixed or a floating reference interest rate and an amount equal to the negative price movement of the same index (expressed as a percentage) multiplied by the notional amount of the contract.
For the reporting period, the Fund had ending monthly average notional amounts of $200,000 on total return swaps which are short the reference asset, 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 in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
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,
41 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
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 $24,236 and $10,892 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 payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The 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
42 OPPENHEIMER TOTAL RETURN BOND FUND
5. Use of Derivatives (Continued)
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 in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
43 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Subsequent Event
On October 18, 2018, Massachusetts Mutual Life Insurance Company (MassMutual), an indirect corporate parent of the Sub-Adviser and the Manager announced that it has entered into a definitive agreement, whereby Invesco Ltd. (Invesco), a global investment management company, will acquire the Sub-Adviser. As of the time of the announcement, the transaction is expected to close in the second quarter of 2019, pending necessary regulatory and other third-party approvals. This is subject to change.
44 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
Principal Amount | Value | |||||||||||
Foreign Government Obligations11.7% | ||||||||||||
Brazil4.3% | ||||||||||||
Federative Republic of Brazil, 10.00% Unsec. Nts., 1/1/25 | BRL | 1,800,000 | $ | 420,169 | ||||||||
Greece1.0% | ||||||||||||
Hellenic Republic, 4.00% Bonds, 1/30/371 |
EUR | 100,000 | 101,580 | |||||||||
Mexico4.1% | ||||||||||||
United Mexican States, Series M, 5.75% Bonds, 3/5/26 |
MXN | 8,500,000 | 401,064 | |||||||||
South Africa2.3% | ||||||||||||
Republic of South Africa, Series 2037, 8.50% Bonds, 1/31/37 |
ZAR | 3,500,000 | 220,451 | |||||||||
Total Foreign Government Obligations (Cost $1,248,287) |
1,143,264 | |||||||||||
Corporate Bonds and Notes34.2% | ||||||||||||
Financials34.2% | ||||||||||||
Capital Markets2.2% | ||||||||||||
Credit Suisse Group AG, 7.50% [USSW5+459.8] Jr. Sub. Perpetual Bonds1,2,3 |
200,000 | 210,996 | ||||||||||
Commercial Banks20.7% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA, 8.875% [EUSA5+917.7] Jr. Sub. Perpetual Bonds1,2,3 |
EUR | 200,000 | 260,075 | |||||||||
Banco Santander SA, 6.75% [EUSA5+680.3] Jr. Sub. Perpetual Bonds1,2,3 |
EUR | 200,000 | 250,778 | |||||||||
BNP Paribas SA: |
||||||||||||
6.75% [USSW5+491.6] Jr. Sub. Perpetual Bonds2,3,4 |
200,000 | 202,500 | ||||||||||
7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds2,3,4 |
200,000 | 210,500 | ||||||||||
Caixa Geral de Depositos SA, 5.75% [EUSA5+550] Sub. Nts., 6/28/281,2 |
EUR | 200,000 | 245,016 | |||||||||
CaixaBank SA, 6.75% [EUSA5+649.8] Jr. Sub. Perpetual Bonds1,2,3 |
EUR | 200,000 | 251,285 | |||||||||
Credit Agricole SA, 8.125% [USSW5+618.5] Jr. Sub. Perpetual Bonds2,3,4 |
200,000 | 220,497 | ||||||||||
Dresdner Funding Trust I, 8.151% Jr. Sub. Nts., 6/30/314 |
100,000 | 123,800 | ||||||||||
Societe Generale SA, 7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds2,3,4 |
200,000 | 206,750 | ||||||||||
Standard Chartered plc, 7.014% [US0003M+146] Jr. Sub. Perpetual Bonds2,3,4 |
40,000 | 41,600 | ||||||||||
2,012,801 | ||||||||||||
Diversified Financial Services11.3% | ||||||||||||
Rural Electrification Corp. Ltd., 8.36% Sr. Unsec. Nts., 9/22/20INR |
|
80,000,000 | 1,102,584 | |||||||||
Total Corporate Bonds and Notes (Cost $3,460,120) |
3,326,381 | |||||||||||
Short-Term Notes2.0% | ||||||||||||
Arab Republic of Egypt Treasury Bills, 18.746%, 12/18/185 |
EGP | 2,500,000 | 134,858 | |||||||||
Argentine Republic Treasury Bills, 4.34%, 11/30/185 |
ARS | 2,600,000 | 63,441 | |||||||||
Total Short-Term Notes (Cost $220,609) |
198,299 |
1 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Exercise Price |
Expiration Date |
Notional Amount (000s) |
Contracts (000s) |
Value | ||||||||||||||||||||||||
Exchange-Traded Options Purchased0.2% |
|
|||||||||||||||||||||||||||
USD | ||||||||||||||||||||||||||||
S&P 500 Index Put6 |
|
USD | 2,623.381 | 7/31/19 | USD 545 | 0 | 7 | $ | 12,382 | |||||||||||||||||||
USD | ||||||||||||||||||||||||||||
S&P 500 Index Put6 |
|
USD | 2,607.210 | 7/19/19 | USD 533 | 0 | 7 | 11,243 | ||||||||||||||||||||
Total Exchange-Traded Options Purchased (Cost $34,690) |
|
23,625 | ||||||||||||||||||||||||||
Counter- party |
Exercise Price |
Expiration Date |
Notional Amount (000s) |
|||||||||||||||||||||||||
Over-the-Counter Options Purchased0.1% |
|
|||||||||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call6 |
JPM | BRL | 3.150 | 5/24/19 | BRL 10 | 10 | 318 | |||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call6 |
JPM | BRL | 3.753 | 8/22/19 | BRL 900,600 | 1,876 | 10,029 | |||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call6 |
JPM | BRL | 3.200 | 4/25/19 | BRL 482,560 | 2,560 | 1,011 | |||||||||||||||||||||
BRL | ||||||||||||||||||||||||||||
BRL Currency Call6 |
GSCO-OT | BRL | 3.200 | 4/25/19 | BRL 1,600 | 1,600 | 632 | |||||||||||||||||||||
Total Over-the-Counter Options Purchased (Cost $29,218) |
|
11,990 | ||||||||||||||||||||||||||
Counter -party |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000s) |
|||||||||||||||||||||||
Over-the-Counter Interest Rate Swaption Purchased0.2% |
|
|||||||||||||||||||||||||||
Interest Rate Swap maturing 6/29/48 Call6 (Cost $23,021) | JPM | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
2.500 | % | 6/27/23 | |
EUR 433 |
|
20,394 |
Shares | ||||||||
Investment Companies55.6% | ||||||||
iShares JP Morgan USD Emerging Markets Bond Exchange Traded Fund |
13,720 | 1,479,153 | ||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.95%8,9 |
598,856 | 598,856 | ||||||
Oppenheimer Limited-Term Bond Fund, Cl. I8 |
745,835 | 3,333,883 | ||||||
Total Investment Companies (Cost $5,441,572) |
5,411,892 | |||||||
Total Investments, at Value (Cost $10,457,517) | 104.0% | 10,135,845 | ||||||
Net Other Assets (Liabilities) |
(4.0) | (393,628 | ) | |||||
Net Assets | 100.0% | $ | 9,742,217 | |||||
2 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Footnotes to Statement of Investments
1. Represents securities sold under Regulation S, which are exempt from registration under the Securities Act of 1933, as amended. These securities may not be offered or sold in the United States without and exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. These securities amount to $1,319,730 or 13.55% 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. 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 $1,005,647 or 10.32% of the Funds net assets at period end.
5. Zero coupon bond reflects effective yield on the original acquisition date.
6. Non-income producing security.
7. Number of contracts are less than 500.
8. 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 September 30, 2018 |
|||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E |
| 16,879,628 | 16,280,772 | 598,856 | ||||||||||||
Oppenheimer Limited-Term Bond Fund, Cl. I |
| 1,210,035 | 464,200 | 745,835 | ||||||||||||
Oppenheimer Senior Floating Rate, Cl. I |
| 61,650 | 61,650 | | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y |
| 735,454 | 735,454 | | ||||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E |
$ | 598,856 | $ | 6,281 | $ | | $ | | ||||||||
Oppenheimer Limited-Term Bond Fund, Cl. I |
3,333,883 | 50,801 | (16,248 | ) | (3,706) | |||||||||||
Oppenheimer Senior Floating Rate, Cl. I |
| 1,257 | 617 | | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y |
| 10,906 | (4,848 | ) | | |||||||||||
|
|
|||||||||||||||
Total |
$ | 3,932,739 | $ | 69,245 | $ | (20,479 | ) | $ | (3,706) | |||||||
|
|
9. Rate shown is the 7-day yield at period end.
3 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||||||
United States |
$ | 5,435,517 | 53.6% | |||||||||
India |
1,102,584 | 10.9 | ||||||||||
France |
840,247 | 8.3 | ||||||||||
Spain |
762,138 | 7.5 | ||||||||||
Brazil |
432,159 | 4.3 | ||||||||||
Mexico |
401,063 | 4.0 | ||||||||||
Portugal |
245,016 | 2.4 | ||||||||||
South Africa |
220,451 | 2.2 | ||||||||||
Switzerland |
210,996 | 2.1 | ||||||||||
Egypt |
134,858 | 1.3 | ||||||||||
Germany |
123,800 | 1.2 | ||||||||||
Greece |
101,580 | 1.0 | ||||||||||
Argentina |
63,442 | 0.6 | ||||||||||
United Kingdom |
41,600 | 0.4 | ||||||||||
Eurozone |
20,394 | 0.2 | ||||||||||
|
|
|||||||||||
Total |
$ | 10,135,845 | 100.0% | |||||||||
|
|
Forward Currency Exchange Contracts as of September 30, 2018 |
|
|||||||||||||||||||||||||||
Counter -party |
Settlement Month(s) |
Currency Purchased |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
BAC |
12/2018 | COP | 588,000 | USD | 189 | $ | 8,916 | $ | | |||||||||||||||||||
BAC |
12/2018 | PLN | 720 | USD | 194 | 1,431 | | |||||||||||||||||||||
BAC |
12/2018 | USD | 247 | MXN | 4,720 | | 2,317 | |||||||||||||||||||||
BOA |
02/2019 | CAD | 130 | USD | 99 | 1,710 | | |||||||||||||||||||||
BOA |
02/2019 | EUR | 370 | USD | 435 | 81 | | |||||||||||||||||||||
BOA |
12/2018 | INR | 13,400 | USD | 183 | | 1,057 | |||||||||||||||||||||
BOA |
02/2019 | USD | 1,827 | EUR | 1,583 | 44 | 33,112 | |||||||||||||||||||||
BOA |
12/2018 | USD | 1,137 | INR | 83,000 | 6,546 | | |||||||||||||||||||||
CITNA-B |
02/2019 | AUD | 130 | USD | 95 | | 558 | |||||||||||||||||||||
CITNA-B |
10/2018 - 11/2018 | BRL | 2,500 | USD | 615 | 3,765 | | |||||||||||||||||||||
CITNA-B |
12/2018 | CLP | 65,000 | USD | 93 | 5,913 | | |||||||||||||||||||||
CITNA-B |
10/2018 - 11/2018 | USD | 993 | BRL | 4,070 | | 13,046 | |||||||||||||||||||||
CITNA-B |
12/2018 | USD | 24 | TRY | 160 | | 1,088 | |||||||||||||||||||||
CITNA-B |
12/2018 | USD | 210 | ZAR | 3,160 | | 10,863 | |||||||||||||||||||||
CITNA-B |
12/2018 | ZAR | 1,130 | USD | 75 | 3,885 | | |||||||||||||||||||||
DEU |
02/2019 | EUR | 670 | USD | 787 | 126 | | |||||||||||||||||||||
DEU |
02/2019 | GBP | 110 | USD | 146 | | 1,715 | |||||||||||||||||||||
DEU |
02/2019 | USD | 817 | EUR | 695 | 543 | 252 | |||||||||||||||||||||
DEU |
02/2019 | USD | 141 | GBP | 110 | | 3,220 | |||||||||||||||||||||
GSCO-OT |
02/2019 - 04/2019 | BRL | 1,343 | USD | 375 | | 48,066 | |||||||||||||||||||||
GSCO-OT |
02/2019 | USD | 225 | BRL | 805 | 28,354 | | |||||||||||||||||||||
GSCO-OT |
02/2019 | USD | 101 | CAD | 130 | 72 | 124 | |||||||||||||||||||||
GSCO-OT |
12/2018 | USD | 161 | MXN | 3,080 | | 1,351 | |||||||||||||||||||||
JPM |
10/2018 | IDR | 1,390,000 | USD | 93 | | 45 | |||||||||||||||||||||
JPM |
12/2018 | RUB | 18,650 | USD | 269 | 13,719 | | |||||||||||||||||||||
JPM |
10/2018 | UAH | 1,410 | USD | 50 | | 737 | |||||||||||||||||||||
JPM |
04/2019 - 08/2019 | USD | 350 | BRL | 1,379 | 19,316 | 842 | |||||||||||||||||||||
JPM |
10/2018 - 12/2018 | USD | 174 | TRY | 1,159 | | 10,648 |
4 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Forward Currency Exchange Contracts (Continued) |
|
|||||||||||||||||||||||||
Counter -party |
Settlement Month(s) |
Currency Purchased (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
JPM |
10/2018 | USD | 51 | UAH | 1,410 | $ | 1,909 | $ | | |||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Unrealized Appreciation and Depreciation |
$ | 96,330 | $ | 129,041 | ||||||||||||||||||||||
|
|
Exchange-Traded Options Written at September 30, 2018 |
| |||||||||||||||||||||||
Description | Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional Amount (000s) |
Premiums Received |
Value | ||||||||||||||||||
S&P 500 Index Put |
|
USD 2,256.672 |
|
7/31/19 | USD (0) | 1 | USD 545 | $ | 7,665 | $ | (5,055) | |||||||||||||
S&P 500 Index Put |
|
USD 2,242.760 |
|
7/19/19 | USD (0) | 1 | USD 533 | 7,003 | (4,520) | |||||||||||||||
|
|
|||||||||||||||||||||||
Total Exchange-Traded Options Written |
|
$ | 14,668 | $ | (9,575) | |||||||||||||||||||
|
|
1. Number of contracts are less than 500. | ||||||||||||||||||||||||
Over-the-Counter Options Written at September 30, 2018 | ||||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional (000s) |
Premiums Received |
Value | |||||||||||||||||
BRL | BRL | |||||||||||||||||||||||
BRL Currency Put | JPM | 5.150 | 8/22/19 | (2,575) | BRL 1,236,000 | $ | 11,462 | $ (10,068) | ||||||||||||||||
IDR | IDR | |||||||||||||||||||||||
IDR Currency Put | GSCO-OT | 15000.000 | 7/10/19 | (5,250,000) | IDR 3,005,250,000 | 12,775 | (21,000) | |||||||||||||||||
SEK | SEK | |||||||||||||||||||||||
SEK Currency Put | CITNA-B | 8.802 | 10/23/18 | (3,491) | SEK 3,491 | 7,418 | (5,250) | |||||||||||||||||
TRY | TRY | |||||||||||||||||||||||
TRY Currency Put |
JPM | 5.164 | 10/15/18 | (1,549) | TRY 337,209 | 9,854 | (46,016) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Over-the-Counter Options Written |
|
$ | 41,509 | $ (82,334) | ||||||||||||||||||||
|
|
Over-the-Counter Credit Default Swaps at September 30, 2018 |
| |||||||||||||||||||||||||||||||
Reference Asset |
Counter- party |
Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||
Hellenic Republic Government |
BAC | Sell | 1.000 | % | 6/20/25 | USD 1,000 | $ | 166,370 | $ | (162,450 | ) | $ | 3,920 |
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||||||
Non-Investment Grade |
||||||||||||
Sovereign Debt |
$ 1,000,000 | $ | BB- | |||||||||
|
|
|
|
|||||||||
Total USD |
$ 1,000,000 | $ | ||||||||||
|
|
|
|
5 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
Centrally Cleared Interest Rate Swaps at September 30, 2018 | ||||||||||||||||||||||||||||||
Counter-party | Pay/Receive Floating |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received / (Paid) |
Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
BOA |
Receive | EUR006M | 0.957% | 4/11/28 | EUR 2,000 | $ | | $ | (17,152 | ) | $(17,152) | |||||||||||||||||||
DEU |
Pay | BZDI | 9.595 | 1/2/25 | BRL 2,800 | | (37,808 | ) | (37,808) | |||||||||||||||||||||
GSCOI |
Pay | BZDI | 11.440 | 1/2/25 | BRL 2,000 | | (3,402 | ) | (3,402) | |||||||||||||||||||||
JPM |
Receive | BZDI | 7.880 | 1/2/20 | BRL 7,800 | | 4,875 | 4,875 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps |
|
$ | | $ | (53,487 | ) | $ (53,487) | |||||||||||||||||||||||
|
|
Over-the-Counter Interest Rate Swaptions Written at September 30, 2018 | ||||||||||||||||||||||||||||||||||
Description | Counter- party |
Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Premiums Received |
Value | ||||||||||||||||||||||||||
Interest Rate Swap maturing 8/16/20 Call | JPM | Pay | |
Three- Month USD- LIBOR- BBA |
|
3.010% | 7/12/19 | USD | 25,000 | $ | 51,250 | $(62,298) | ||||||||||||||||||||||
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 | (14,351) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Written |
|
$ | 68,852 | $ (76,649) | ||||||||||||||||||||||||||||||
|
|
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 | |
Currency abbreviations indicate amounts reporting in currencies | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real |
6 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
Currency abbreviations indicate amounts reporting in currencies (Continued) | ||
CAD | Canadian Dollar | |
CLP | Chilean Peso | |
COP | Colombian Peso | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
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 | |
BZDI | Brazil Interbank Deposit Rate | |
EUR006M | EURIBOR 6 Month ACT/360 | |
EURIBOR | Euro Interbank Offered Rate | |
EUSA5 | EUR Swap Annual 5 Year | |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
S&P | Standard & Poors | |
US0003M | ICE LIBOR USD 3 Month | |
USSW5 | USD Swap Semi 30/360 5 Year |
7 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
1. Organization
Oppenheimer Global Unconstrained Bond Fund (the Fund), a series of Oppenheimer Integrity Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI. The Fund commenced operations on January 26, 2018.
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.
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,
8 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
3. Securities Valuation (Continued)
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 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.
9 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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 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 |
$ | | $ | 1,143,264 | $ | | $ | 1,143,264 | ||||||||
Corporate Bonds and Notes |
| 3,326,381 | | 3,326,381 | ||||||||||||
Short-Term Notes |
| 198,299 | | 198,299 | ||||||||||||
Exchange-Traded Options Purchased |
| 23,625 | | 23,625 | ||||||||||||
Over-the-Counter Options Purchased |
| 11,990 | | 11,990 | ||||||||||||
Over-the-Counter Interest Rate |
||||||||||||||||
Swaption Purchased |
| 20,394 | | 20,394 | ||||||||||||
Investment Companies |
5,411,892 | | | 5,411,892 | ||||||||||||
Total Investments, at Value |
5,411,892 | 4,723,953 | | 10,135,845 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Centrally cleared swaps, at value |
| 4,875 | | 4,875 | ||||||||||||
Forward currency exchange contracts |
| 96,330 | | 96,330 | ||||||||||||
Total Assets |
$ | 5,411,892 | $ | 4,825,158 | $ | | $ | 10,237,050 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Swaps, at value |
$ | | $ | (162,450 | ) | $ | | $ | (162,450 | ) | ||||||
Centrally cleared swaps, at value |
| (58,362 | ) | | (58,362 | ) | ||||||||||
Exchange-traded options written, at value |
| (9,575 | ) | | (9,575 | ) | ||||||||||
Over-the-counter options written, at value |
| (82,334 | ) | | (82,334 | ) | ||||||||||
Forward currency exchange contracts |
| (129,041 | ) | | (129,041 | ) |
10 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
3. Securities Valuation (Continued)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Liabilities Table |
||||||||||||||||
Swaptions written, at value |
$ | | $ | (76,649 | ) | $ | | $ | (76,649 | ) | ||||||
Total Liabilities |
$ | | $ | (518,411 | ) | $ | | $ | (518,411 | ) |
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 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
11 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS 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.
Significant Holdings. At period end, the Funds investment in Oppenheimer Limited-Term Bond Fund, accounted for 34.22% of the Funds net assets. Additional information on Oppenheimer Limited-Term Bond Fund, including the audited financials, can be found on the SEC website.
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 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.
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.
12 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
5. Market Risk Factors (Continued)
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 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
13 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 in the annual and semiannual reports as a receivable (or payable) and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
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 $4,274,506 and $7,106,892, 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
14 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund 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.
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 in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.
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.
Index/Security Options. The Fund may purchase or write call and put options on individual
15 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
equity securities and/or equity indexes to increase or decrease exposure to equity 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 $11,163 and $6,977 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The risk in writing a call option is 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 contract. 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 $6,623 and $69,583 on written call options and written put options, respectively.
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 in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the
16 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
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 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.
17 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
For the reporting period, the Fund had ending monthly average notional amounts of $350,000 and $100,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
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 $3,750,292 and $3,214,991 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 in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund 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
18 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
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 $49,936 and $83,921 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 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
19 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or 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
20 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
6. Use of Derivatives (Continued)
amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
7. Subsequent Event
On October 18, 2018, Massachusetts Mutual Life Insurance Company (MassMutual), an indirect corporate parent of the Sub-Adviser and the Manager announced that it has entered into a definitive agreement, whereby Invesco Ltd. (Invesco), a global investment management company, will acquire the Sub-Adviser. As of the time of the announcement, the transaction is expected to close in the second quarter of 2019, pending necessary regulatory and other third-party approvals. This is subject to change.
21 OPPENHEIMER GLOBAL UNCONSTRAINED BOND FUND
STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
Principal Amount | Value | |||||||
Corporate Bonds and Notes64.2% | ||||||||
Energy0.9% | ||||||||
Oil, Gas & Consumable Fuels0.9% | ||||||||
Energy Transfer Partners LP, 6.625% [US0003M+415.5] Jr. Sub. Perpetual Bonds1,2 |
$
|
105,000
|
|
$
|
100,735
|
| ||
Financials56.9% | ||||||||
Capital Markets12.5% | ||||||||
Charles Schwab Corp. (The), 5.00% [US0003M+257.5] Jr. Sub. Perpetual Bonds1,2 |
200,000 | 193,500 | ||||||
Credit Suisse Group AG, 7.125% [USSW5+510.8] Jr. Sub. Perpetual Bonds1,2,3 |
190,000 | 194,988 | ||||||
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds1,2 |
190,000 | 194,750 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
5.00% [US0003M+287.4] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 94,375 | ||||||
5.375% [US0003M+392.2] Jr. Sub. Perpetual Bonds1,2 | 100,000 | 102,125 | ||||||
Macquarie Bank Ltd. (London), 6.125% [USSW5+370.3] Jr. Sub. Perpetual Bonds1,2,4 |
190,000 | 173,850 | ||||||
State Street Corp., 5.625% [US0003M+253.9] Jr. Sub. Perpetual Bonds1,2 |
217,000 | 218,356 | ||||||
UBS Group Funding Switzerland AG, 7.125% [USSW5+588.3] Jr. Sub. Perpetual Bonds1,2,3 |
185,000 | 194,420 | ||||||
|
1,366,364
|
| ||||||
Commercial Banks35.8% | ||||||||
Banco Bilbao Vizcaya Argentaria SA, 6.125% [USSW5+387] Jr. Sub. Perpetual Bonds1,2 |
195,000 | 175,744 | ||||||
Banco Santander SA, 6.375% [USSW5+478.8] Jr. Sub. Perpetual Bonds1,2,3 |
195,000 | 193,814 | ||||||
Bank of America Corp., 6.30% [US0003M+455.3] Jr. Sub. Perpetual Bonds1,2 |
295,000 | 318,600 | ||||||
Barclays plc, 7.875% [USSW5+677.2] Jr. Sub. Perpetual Bonds1,2,3 |
185,000 | 191,757 | ||||||
BNP Paribas SA, 7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds1,2,4 |
180,000 | 189,450 | ||||||
CIT Group, Inc., 5.80% [US0003M+397.2] Jr. Sub. Perpetual Bonds1,2 |
195,000 | 192,562 | ||||||
Citigroup, Inc., 6.125% [US0003M+447.8] Jr. Sub. Perpetual Bonds1,2 |
198,000 | 206,539 | ||||||
Citizens Financial Group, Inc., 6.00% [US0003M+300.3] Jr. Sub. Perpetual Bonds1,2 |
105,000 | 107,362 | ||||||
Credit Agricole SA, 8.125% [USSW5+618.5] Jr. Sub. Perpetual Bonds1,2,4 |
270,000 | 297,671 | ||||||
Fifth Third Bancorp, 5.10% [US0003M+303.33] Jr. Sub. Perpetual Bonds1,2 |
50,000 | 49,125 | ||||||
HSBC Holdings plc, 6.375% [USISDA05+370.5] Jr. Sub. Perpetual Bonds1,2 |
190,000 | 188,868 | ||||||
Huntington Bancshares, Inc., 5.70% [US0003M+288] Jr. Sub. Perpetual Bonds1,2 |
102,000 | 101,299 |
1 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial Banks (Continued) | ||||||||
ING Groep NV, 6.875% [USSW5+512.4] Jr. Sub. Perpetual Bonds1,2,3 |
$ | 190,000 | $ | 193,322 | ||||
JPMorgan Chase & Co.: |
||||||||
6.125% [US0003M+333] Jr. Sub. Perpetual Bonds1,2 |
191,000 | 199,142 | ||||||
5.809% [US0003M+347] Jr. Sub. Perpetual Bonds, Series 11,2 | 245,000 | 246,347 | ||||||
Royal Bank of Scotland Group plc, 7.50% [USSW5+580] Jr. Sub. Perpetual Bonds1,2 |
295,000 | 302,744 | ||||||
Societe Generale SA, 7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds1,2,4 |
185,000 | 191,244 | ||||||
SunTrust Banks, Inc.: |
||||||||
5.05% [US0003M+310.2] Jr. Sub. Perpetual Bonds1,2 |
150,000 | 148,500 | ||||||
5.125% [US0003M+278.6] Jr. Sub. Perpetual Bonds1,2 | 105,000 | 99,684 | ||||||
Wachovia Capital Trust III, 5.57% [US0003M+93] Jr. Sub. Perpetual Bonds1,2 |
200,000 | 198,350 | ||||||
Wells Fargo & Co., 6.104% [US0003M+377] Jr. Sub. Perpetual Bonds, Series K1,2 |
104,000 | 105,528 | ||||||
3,897,652 | ||||||||
Consumer Finance2.2% | ||||||||
American Express Co., 4.90% [US0003M+328.5] Jr. Sub. Perpetual Bonds1,2 |
147,000 | 147,184 | ||||||
Discover Financial Services, 5.50% [US0003M+307.6] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 98,875 | ||||||
246,059 | ||||||||
Diversified Financial Services0.9% | ||||||||
Voya Financial, Inc., 4.70% [US0003M+208.4] Jr. Sub. Nts., 1/23/481,4
|
|
105,000
|
|
|
93,712
|
| ||
Insurance5.5% | ||||||||
Catlin Insurance Co. Ltd., 5.317% [US0003M+297.5] Jr. Sub. Perpetual Bonds1,2,5 |
100,000 | 99,250 | ||||||
Hartford Financial Services Group, Inc. (The), 4.439% [US0003M+212.5] Jr. Sub. Nts., 2/12/471,5 |
100,000 | 94,250 | ||||||
Liberty Mutual Group, Inc., 5.239% [US0003M+290.5] Jr. Sub. Nts., 3/15/371,5 |
102,000 | 99,705 | ||||||
Lincoln National Corp., 4.669% [US0003M+235.75] Jr. Sub. Nts., 5/17/661 |
215,000 | 201,967 | ||||||
MetLife, Inc., 5.25% [US0003M+357.5] Jr. Sub. Perpetual Bonds1,2 |
100,000 | 101,550 | ||||||
596,722 | ||||||||
Industrials4.6% | ||||||||
Industrial Conglomerates2.9% | ||||||||
General Electric Co., 5.00% [US0003M+333] Jr. Sub. Perpetual Bonds1,2 |
325,000 | 317,241 |
2 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Principal Amount | Value | |||||||
Trading Companies & Distributors1.7% | ||||||||
ILFC E-Capital Trust I, 4.78% [30YR CMT+155] Jr. Sub. Nts., 12/21/651,4 |
$ | 205,000 | $ | 187,062 | ||||
Utilities1.8% | ||||||||
Electric Utilities0.9% | ||||||||
NextEra Energy Capital Holdings, Inc., 4.80% [US0003M+240.9] Jr. Sub. Nts., 12/1/771 |
100,000 | 94,693 | ||||||
Multi-Utilities0.9% | ||||||||
WEC Energy Group, Inc., 4.426% [US0003M+211.25] Jr. Sub. Nts., 5/15/671 |
105,000 | 102,239 | ||||||
Total Corporate Bonds and Notes (Cost $7,187,670) |
7,002,479 | |||||||
Shares | ||||||||
Preferred Stocks33.2% | ||||||||
Allstate Corp. (The), 6.625% Non-Cum., Non-Vtg. | 3,904 | 99,162 | ||||||
American Homes 4 Rent, 6.35% Cum., Non-Vtg. | 3,997 | 97,807 | ||||||
AT&T, Inc., 5.625%6 | 4,200 | 103,992 | ||||||
Citigroup Capital XIII, 7.75% Cum., Non-Vtg. [US0003M+637]1 |
9,321 | 250,269 | ||||||
Digital Realty Trust, Inc., 7.375% Cum., Non-Vtg. | 3,836 | 97,588 | ||||||
DTE Energy Co., 5.375% Jr. Sub., Non-Vtg. | 4,150 | 99,185 | ||||||
eBay, Inc., 6.00% Cv. | 3,859 | 101,260 | ||||||
Entergy Texas, Inc., 5.625% First Mortgage Sec. | 4,075 | 104,137 | ||||||
Fifth Third Bancorp, 6.625% Non-Cum., Non-Vtg. [US0003M+371]1 |
5,107 | 140,442 | ||||||
First Republic Bank, 7.00% Non-Cum. | 3,807 | 97,078 | ||||||
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 | 252,104 | ||||||
Huntington Bancshares, Inc., 6.25% Non-Cum., Non-Vtg. | 3,821 | 98,352 | ||||||
KeyCorp, 6.125% Non-Cum., Non-Vtg. [US0003M+389.2]1 | 7,298 | 195,076 | ||||||
Morgan Stanley, 5.85% Non-Cum., Non-Vtg. [US0003M+349.1]1 |
6,232 | 158,480 | ||||||
Morgan Stanley, 6.375% Non-Cum., Non-Vtg. [US0003M+370.8]1 |
8,854 | 236,579 | ||||||
Northern Trust Corp., 5.85% Non-Cum., Non-Vtg. | 2,309 | 58,764 | ||||||
PNC Financial Services Group, Inc. (The), 6.125% Non-Cum., Non-Vtg. [US0003M+406.7]1 |
8,016 | 215,711 | ||||||
Prudential Financial, Inc., 5.75% Jr. Sub. | 2,002 | 50,090 | ||||||
Public Storage, 5.20% Cum., Series X, Non-Vtg. | 4,225 | 100,386 | ||||||
Qwest Corp., 7.00% Sr. Unsec. | 6,950 | 174,792 | ||||||
Senior Housing Properties Trust, 6.25% Sr. Unsec., Non-Vtg. | 3,856 | 100,025 | ||||||
Synovus Financial Corp., 6.30% Non-Cum., Series D, Non-Vtg. [US0003M+335.2]1 |
3,993 | 104,696 | ||||||
US Bancorp, 6.50% Non-Cum., Non-Vtg. [US0003M+446.8]1 | 8,332 | 226,880 | ||||||
Ventas Realty LP/Ventas Capital Corp., 5.45% Sr. Unsec. |
4,056 | 100,467 |
3 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Preferred Stocks (Continued) | ||||||||
Wells Fargo & Co., 6.625% Non-Cum Non-Vtg. [US0003M+369]1 |
3,661 | $ | 101,190 | |||||
Total Preferred Stocks (Cost $3,656,680) |
3,623,199 | |||||||
Investment Company1.7% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.95%7,8 |
||||||||
(Cost $180,282) | 180,282 | 180,282 | ||||||
Total Investments, at Value (Cost $11,024,632) | 99.1% | 10,805,960 | ||||||
Net Other Assets (Liabilities) | 0.9 | 94,201 | ||||||
Net Assets | 100.0% | $ | 10,900,161 | |||||
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 Regulation S, which are exempt from registration under the Securities Act of 1933, as amended. These securities may not be offered or sold in the United States without and exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. These securities amount to $968,301 or 8.88% of the Funds net assets at period end.
4. 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 $1,132,989 or 10.39% of the Funds net assets at period end.
5. Restricted security. The aggregate value of restricted securities at period end was $293,205, which represents 2.69% of the Funds net assets. See Note 3 of the accompanying Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Catlin Insurance Co. Ltd., 5.317% [US0003M+297.5] Jr. Sub. Perpetual Bonds |
2/21/18 | $ | 99,500 | $ | 99,250 | $ | (250) | |||||||||
Hartford Financial Services Group, Inc. (The), 4.439% [US0003M+212.5] Jr. Sub. Nts., 2/12/47 |
2/12/18 | 98,282 | 94,250 | (4,032) | ||||||||||||
Liberty Mutual Group, Inc., 5.239% [US0003M+290.5] Jr. Sub. Nts., 3/15/37 |
2/26/18-3/2/18 | 100,451 | 99,705 | (746) | ||||||||||||
$ | 298,233 | $ | 293,205 | $ | (5,028) | |||||||||||
6. Non-income producing security.
7. Rate shown is the 7-day yield at period end.
8. 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:
4 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Footnotes to Statement of Investments (Continued)
Shares February 12, 2018 |
Gross Additions |
Gross Reductions |
Shares 2018 |
|||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E |
| 18,184,624 | 18,004,342 | 180,282 | ||||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E |
$ | 180,282 | $ | 3,227 | $ | | $ | |
Futures Contracts as of September 30, 2018 |
|
|||||||||||||||||||||
Description | Buy/Sell | Expiration Date |
Number of Contracts |
Notional (000s) |
Value | Unrealized Appreciation / (Depreciation) | ||||||||||||||||
United States Treasury Nts., 10 yr. |
Sell | 12/19/18 | 1 | USD 120 | $ | 118,781 | $ 1,284 |
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 |
5 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO STATEMENT OF INVESTMENTS September 30, 2018 Unaudited
1. Organization
Oppenheimer Preferred Securities and Income Fund (the Fund), is a separate fund of Oppenheimer Integrity Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI. The Fund commenced operations on February 12, 2018.
2. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern Time, on each day the New York Stock Exchange (the Exchange) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The 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:
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.
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
6 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
2. Securities Valuation (Continued)
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 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).
7 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
2. Securities Valuation (Continued)
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 at period end based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||
Assets Table | ||||||||||||||
Investments, at Value: | ||||||||||||||
Corporate Bonds and Notes |
$ | | $ | 7,002,479 | $ | | $ 7,002,479 | |||||||
Preferred Stocks |
3,623,199 | | | 3,623,199 | ||||||||||
Investment Company |
180,282 | | |
|
|
180,282 | ||||||||
|
| |||||||||||||
Total Investments, at Value |
3,803,481 | 7,002,479 | | 10,805,960 | ||||||||||
Other Financial Instruments: | ||||||||||||||
Futures contracts |
1,284 | | | 1,284 | ||||||||||
|
| |||||||||||||
Total Assets |
$ | 3,804,765 | $ | 7,002,479 | $ | | $ 10,807,244 | |||||||
|
|
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.
3. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services 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.
8 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
3. Investments and Risks (Continued)
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.
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.
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.
4. 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
9 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
4. Market Risk Factors (Continued)
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.
5. 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
10 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
5. Use of Derivatives (Continued)
able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
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 $79,858 on futures contracts sold.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the
11 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its
12 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
5. Use of Derivatives (Continued)
counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
6. Subsequent Event
On October 18, 2018, Massachusetts Mutual Life Insurance Company (MassMutual), an indirect corporate parent of the Sub-Adviser and the Manager announced that it has entered into a definitive agreement, whereby Invesco Ltd. (Invesco), a global investment management company, will acquire the Sub-Adviser. As of the time of the announcement, the transaction is expected to close in the second quarter of 2019, pending necessary regulatory and other third-party approvals. This is subject to change.
13 OPPENHEIMER PREFERRED SECURITIES AND INCOME FUND
Item 2. Controls and Procedures.
(a) | Based on their evaluation of the registrants disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/30/2018, 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 the registrants management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
(b) | There have been no significant changes in the registrants internal controls over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3. Exhibits.
Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Integrity Funds | ||
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: 11/16/2018 |
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: 11/16/2018 | ||
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: 11/16/2018 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Arthur P. Steinmetz |
Arthur P. Steinmetz |
Principal Executive Officer |
Date: 11/16/2018
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian S. Petersen, certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian S. Petersen |
Brian S. Petersen |
Principal Financial Officer |
Date: 11/16/2018