STATEMENT OF INVESTMENTS March 31, 2019 Unaudited | ||||
Principal Amount | Value | |||
Asset-Backed Securities13.2% | ||||
Auto Loan11.3% | ||||
American Credit Acceptance Receivables Trust: | ||||
Series 2015-3, Cl. D, 5.86%, 7/12/221 | $ | 1,875,000$ | 1,876,958 | |
Series 2017-4, Cl. B, 2.61%, 5/10/211 | 611,264 | 611,047 | ||
Series 2017-4, Cl. C, 2.94%, 1/10/241 | 2,831,000 | 2,827,060 | ||
Series 2017-4, Cl. D, 3.57%, 1/10/241 | 3,368,000 | 3,370,775 | ||
Series 2018-2, Cl. C, 3.70%, 7/10/241 | 4,275,000 | 4,295,919 | ||
Series 2018-3, Cl. B, 3.49%, 6/13/221 | 1,295,000 | 1,298,564 | ||
Series 2018-4, Cl. C, 3.97%, 1/13/251 | 2,935,000 | 2,976,109 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 | 3,735,000 | 3,756,570 | ||
Series 2017-3, Cl. D, 3.18%, 7/18/23 | 4,000,000 | 4,011,303 | ||
Series 2017-4, Cl. D, 3.08%, 12/18/23 | 2,885,000 | 2,888,169 | ||
Series 2018-3, Cl. C, 3.74%, 10/18/24 | 4,225,000 | 4,325,845 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2017-1, Cl. D, 3.15%, 2/20/251 | 560,000 | 557,224 | ||
Series 2018-2, Cl. B, 3.48%, 10/20/231 | 2,025,000 | 2,043,320 | ||
Series 2018-2, Cl. C, 3.69%, 12/20/231 | 1,950,000 | 1,966,593 | ||
CarMax Auto Owner Trust: | ||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 | 930,000 | 930,140 | ||
Series 2015-3, Cl. D, 3.27%, 3/15/22 | 3,045,000 | 3,039,903 | ||
Series 2016-1, Cl. D, 3.11%, 8/15/22 | 2,045,000 | 2,039,189 | ||
Series 2017-1, Cl. D, 3.43%, 7/17/23 | 2,675,000 | 2,684,221 | ||
Series 2017-4, Cl. D, 3.30%, 5/15/24 | 1,435,000 | 1,430,002 | ||
Series 2018-1, Cl. D, 3.37%, 7/15/24 | 1,095,000 | 1,096,549 | ||
Series 2018-4, Cl. C, 3.85%, 7/15/24 | 1,470,000 | 1,505,698 | ||
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, | ||||
5/15/231 | 659,056 | 657,735 | ||
CPS Auto Receivables Trust: | ||||
Series 2018-A, Cl. B, 2.77%, 4/18/221 | 2,080,000 | 2,073,724 | ||
Series 2018-B, Cl. B, 3.23%, 7/15/221 | 2,480,000 | 2,485,572 | ||
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/211 | 627,208 | 626,621 | ||
Credit Acceptance Auto Loan Trust: | ||||
Series 2017-3A, Cl. C, 3.48%, 10/15/261 | 2,865,000 | 2,866,504 | ||
Series 2018-1A, Cl. B, 3.60%, 4/15/271 | 1,990,000 | 2,005,844 | ||
Series 2018-1A, Cl. C, 3.77%, 6/15/271 | 2,840,000 | 2,862,140 | ||
Series 2018-2A, Cl. C, 4.16%, 9/15/271 | 2,530,000 | 2,588,235 | ||
Series 2018-3A, Cl. C, 4.04%, 12/15/271 | 3,585,000 | 3,641,770 | ||
Drive Auto Receivables Trust: | ||||
Series 2015-BA, Cl. D, 3.84%, 7/15/211 | 108,158 | 108,298 | ||
Series 2016-CA, Cl. D, 4.18%, 3/15/241 | 1,905,000 | 1,929,562 | ||
Series 2017-1, Cl. D, 3.84%, 3/15/23 | 3,675,000 | 3,704,599 | ||
Series 2018-1, Cl. D, 3.81%, 5/15/24 | 2,545,000 | 2,567,072 | ||
Series 2018-2, Cl. D, 4.14%, 8/15/24 | 4,985,000 | 5,071,502 | ||
Series 2018-3, Cl. C, 3.72%, 9/16/24 | 1,912,000 | 1,930,413 | ||
Series 2018-3, Cl. D, 4.30%, 9/16/24 | 3,340,000 | 3,411,976 | ||
Series 2018-5, Cl. C, 3.99%, 1/15/25 | 3,380,000 | 3,453,304 | ||
Series 2019-1, Cl. C, 3.78%, 4/15/25 | 5,345,000 | 5,427,275 |
1 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Auto Loan (Continued) | ||||
DT Auto Owner Trust: | ||||
Series 2016-4A, Cl. E, 6.49%, 9/15/231 | $ | 3,005,000$ | 3,077,360 | |
Series 2017-1A, Cl. D, 3.55%, 11/15/221 | 2,360,000 | 2,367,437 | ||
Series 2017-1A, Cl. E, 5.79%, 2/15/241 | 4,310,000 | 4,424,169 | ||
Series 2017-2A, Cl. D, 3.89%, 1/15/231 | 2,405,000 | 2,419,567 | ||
Series 2017-3A, Cl. D, 3.58%, 5/15/231 | 1,180,000 | 1,186,323 | ||
Series 2017-3A, Cl. E, 5.60%, 8/15/241 | 2,710,000 | 2,799,998 | ||
Series 2017-4A, Cl. D, 3.47%, 7/17/231 | 5,210,000 | 5,224,071 | ||
Series 2017-4A, Cl. E, 5.15%, 11/15/241 | 1,995,000 | 2,038,144 | ||
Series 2018-3A, Cl. B, 3.56%, 9/15/221 | 4,280,000 | 4,312,929 | ||
Series 2018-3A, Cl. C, 3.79%, 7/15/241 | 1,720,000 | 1,739,423 | ||
Exeter Automobile Receivables Trust: | ||||
Series 2018-1A, Cl. B, 2.75%, 4/15/221 | 2,255,000 | 2,252,531 | ||
Series 2018-4A, Cl. B, 3.64%, 11/15/221 | 3,575,000 | 3,605,966 | ||
Series 2019-1A, Cl. D, 4.13%, 12/16/241 | 3,000,000 | 3,068,552 | ||
Flagship Credit Auto Trust, Series 2016-1, Cl. C, 6.22%, | ||||
6/15/221 | 4,265,000 | 4,415,402 | ||
GLS Auto Receivables Trust: | ||||
Series 2018-1A, Cl. A, 2.82%, 7/15/222 | 3,026,065 | 3,021,700 | ||
Series 2018-3A, Cl. A, 3.35%, 8/15/221 | 1,678,967 | 1,681,669 | ||
GM Financial Automobile Leasing Trust: | ||||
Series 2017-3, Cl. C, 2.73%, 9/20/21 | 1,565,000 | 1,557,417 | ||
Series 2018-2, Cl. C, 3.50%, 4/20/22 | 2,245,000 | 2,256,289 | ||
GMF Floorplan Owner Revolving Trust: | ||||
Series 2018-3, Cl. B, 3.49%, 9/15/221 | 4,056,000 | 4,091,978 | ||
Series 2018-3, Cl. C, 3.68%, 9/15/221 | 3,435,000 | 3,466,177 | ||
Series 2018-4, Cl. B, 3.68%, 9/15/231 | 3,435,000 | 3,494,996 | ||
Series 2018-4, Cl. C, 3.88%, 9/15/231 | 4,295,000 | 4,370,649 | ||
Navistar Financial Dealer Note Master Owner Trust II: | ||||
Series 2017-1, Cl. C, 4.036% [US0001M+155], 6/27/221,3 | 750,000 | 750,923 | ||
Series 2017-1, Cl. D, 4.786% [US0001M+230], 6/27/221,3 | 865,000 | 865,437 | ||
Series 2018-1, Cl. A, 3.116% [US0001M+63], 9/25/231,3 | 1,830,000 | 1,833,394 | ||
Series 2018-1, Cl. B, 3.286% [US0001M+80], 9/25/231,3 | 2,165,000 | 2,167,840 | ||
Santander Drive Auto Receivables Trust: | ||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 | 1,900,000 | 1,902,380 | ||
Series 2017-1, Cl. E, 5.05%, 7/15/241 | 5,845,000 | 5,980,045 | ||
Series 2017-2, Cl. D, 3.49%, 7/17/23 | 2,875,000 | 2,891,136 | ||
Series 2017-3, Cl. D, 3.20%, 11/15/23 | 3,750,000 | 3,748,294 | ||
Series 2018-1, Cl. D, 3.32%, 3/15/24 | 1,605,000 | 1,610,596 | ||
Series 2018-2, Cl. D, 3.88%, 2/15/24 | 2,665,000 | 2,704,672 | ||
Series 2018-3, Cl. C, 3.51%, 8/15/23 | 6,900,000 | 6,943,095 | ||
Series 2018-4, Cl. C, 3.56%, 7/15/24 | 4,880,000 | 4,930,464 | ||
Series 2018-5, Cl. C, 3.81%, 12/16/24 | 3,645,000 | 3,701,801 | ||
Santander Retail Auto Lease Trust, Series 2017-A, Cl. C, | ||||
2.96%, 11/21/221 | 2,575,000 | 2,570,422 | ||
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, | ||||
3.53%, 3/15/221 | 1,510,000 | 1,509,907 | ||
United Auto Credit Securitization Trust, Series 2018-1, Cl. C, | ||||
3.05%, 9/10/211 | 4,153,000 | 4,155,395 |
2 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Auto Loan (Continued) | ||||
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, | ||||
2.84%, 4/17/231 | $ | 450,459$ | 449,773 | |
Westlake Automobile Receivables Trust: | ||||
Series 2016-1A, Cl. E, 6.52%, 6/15/221 | 3,485,000 | 3,500,868 | ||
Series 2017-2A, Cl. E, 4.63%, 7/15/241 | 4,070,000 | 4,100,586 | ||
Series 2018-1A, Cl. D, 3.41%, 5/15/231 | 4,490,000 | 4,502,193 | ||
Series 2018-3A, Cl. B, 3.32%, 10/16/231 | 3,067,000 | 3,077,715 | ||
227,712,987 | ||||
Credit Card1.2% | ||||
GE Capital Credit Card Master Note Trust, Series 2012-7, Cl. | ||||
B, 2.21%, 9/15/22 | 2,705,000 | 2,694,649 | ||
World Financial Network Credit Card Master Trust: | ||||
Series 2018-A, Cl. A, 3.07%, 12/16/24 | 7,965,000 | 8,010,741 | ||
Series 2018-B, Cl. A, 3.46%, 7/15/25 | 3,870,000 | 3,939,407 | ||
Series 2018-C, Cl. A, 3.55%, 8/15/25 | 7,920,000 | 8,067,160 | ||
Series 2019-A, Cl. A, 3.14%, 12/15/25 | 2,490,000 | 2,515,502 | ||
25,227,459 | ||||
Equipment0.5% | ||||
CCG Receivables Trust: | ||||
Series 2017-1, Cl. B, 2.75%, 11/14/231 | 2,915,000 | 2,906,754 | ||
Series 2018-1, Cl. B, 3.09%, 6/16/251 | 1,320,000 | 1,324,045 | ||
Series 2018-1, Cl. C, 3.42%, 6/16/251 | 381,000 | 382,240 | ||
Series 2018-2, Cl. C, 3.87%, 12/15/251 | 980,000 | 996,848 | ||
CNH Equipment Trust: | ||||
Series 2017-C, Cl. B, 2.54%, 5/15/25 | 960,000 | 952,794 | ||
Series 2019-A, Cl. A4, 3.22%, 1/15/26 | 1,910,000 | 1,936,655 | ||
Dell Equipment Finance Trust, Series 2018-1, Cl. B, 3.34%, | ||||
6/22/231 | 1,366,000 | 1,377,410 | ||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431 | 11,200 | 11,191 | ||
9,887,937 | ||||
Loans: Other0.2% | ||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass- | ||||
Through Certificates, Series 2005-R5, Cl. M2, 3.176% | ||||
[US0001M+69], 7/25/353 | 1,243,520 | 1,248,087 | ||
Dell Equipment Finance Trust, Series 2017-2, Cl. B, 2.47%, | ||||
10/24/221 | 955,000 | 950,883 | ||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, | ||||
4/19/441 | 800,021 | 797,576 | ||
2,996,546 | ||||
Total Asset-Backed Securities (Cost $263,741,685) | 265,824,929 | |||
Mortgage-Backed Obligations43.5% | ||||
Government Agency28.6% | ||||
FHLMC/FNMA/FHLB/Sponsored24.9% | ||||
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Cl. M1, 3.236% | ||||
[US0001M+75], 10/25/481,3 | 6,435,000 | 6,432,450 |
3 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||
5.50%, 9/1/39 | $ | 1,108,176$ | 1,205,345 | |
6.00%, 7/1/24-11/1/37 | 163,512 | 179,236 | ||
6.50%, 4/1/21-4/1/34 | 202,005 | 221,844 | ||
7.00%, 7/1/21-10/1/37 | 1,726,761 | 1,971,546 | ||
9.00%, 8/1/22-5/1/25 | 3,577 | 3,832 | ||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||
Series 183, Cl. IO, 88.913%, 4/1/274 | 178,562 | 38,128 | ||
Series 192, Cl. IO, 99.999%, 2/1/284 | 21,304 | 4,166 | ||
Series 206, Cl. IO, 3.111%, 12/15/294 | 45,648 | 12,655 | ||
Series 243, Cl. 6, 2.908%, 12/15/324 | 146,789 | 27,575 | ||
Series 304, Cl. C31, 9.481%, 12/15/274 | 2,883,013 | 234,044 | ||
Series 304, Cl. C45, 6.833%, 12/15/274 | 1,422,529 | 114,715 | ||
Series 304, Cl. C47, 5.55%, 12/15/274 | 1,383,688 | 116,695 | ||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt | ||||
Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 2,527,645 | 2,504,136 | ||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, Interest-Only Stripped Mtg.- | ||||
Backed Security: | ||||
Series KC02, Cl. X1, 0.00%, 3/25/244,5 | 76,738,142 | 1,339,081 | ||
Series KC03, Cl. X1, 0.00%, 11/25/244,5 | 42,775,000 | 1,086,241 | ||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed | ||||
Security, Series 176, Cl. PO, 4.207%, 6/1/266 | 25,268 | 23,200 | ||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||
Series 151, Cl. F, 9.00%, 5/15/21 | 474 | 482 | ||
Series 1590, Cl. IA, 3.534% [LIBOR01M+105], 10/15/233 | 332,754 | 337,850 | ||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 3,332 | 3,629 | ||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 499,384 | 553,664 | ||
Series 2046, Cl. G, 6.50%, 4/15/28 | 153,471 | 170,029 | ||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 3,026 | 3,363 | ||
Series 2063, Cl. PG, 6.50%, 6/15/28 | 218,863 | 243,502 | ||
Series 2145, Cl. MZ, 6.50%, 4/15/29 | 70,643 | 79,143 | ||
Series 2148, Cl. ZA, 6.00%, 4/15/29 | 106,120 | 115,692 | ||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 199,272 | 219,545 | ||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 52,252 | 57,117 | ||
Series 2341, Cl. FP, 3.384% [LIBOR01M+90], 7/15/313 | 111,778 | 114,383 | ||
Series 2423, Cl. MC, 7.00%, 3/15/32 | 383,356 | 434,151 | ||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 422,974 | 466,082 | ||
Series 2463, Cl. F, 3.484% [LIBOR01M+100], 6/15/323 | 401,801 | 412,923 | ||
Series 2635, Cl. AG, 3.50%, 5/15/32 | 339,971 | 344,215 | ||
Series 2676, Cl. KY, 5.00%, 9/15/23 | 379,230 | 392,077 | ||
Series 3010, Cl. WB, 4.50%, 7/15/20 | 23,383 | 23,419 | ||
Series 3025, Cl. SJ, 15.643% [-3.667 x LIBOR01M+2,475], | ||||
8/15/353 | 80,655 | 117,165 | ||
Series 3030, Cl. FL, 2.884% [LIBOR01M+40], 9/15/353 | 218,382 | 218,482 | ||
Series 3645, Cl. EH, 3.00%, 12/15/20 | 1,678 | 1,674 | ||
Series 3822, Cl. JA, 5.00%, 6/15/40 | 128,249 | 130,628 | ||
Series 3848, Cl. WL, 4.00%, 4/15/40 | 412,407 | 417,820 | ||
Series 3857, Cl. GL, 3.00%, 5/15/40 | 15,739 | 16,039 | ||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 484,014 | 475,183 |
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, | ||||
Interest-Only Stripped Mtg.-Backed Security: | ||||
Series 2129, Cl. S, 53.451%, 2/15/294 | $ | 239,332$ | 37,418 | |
Series 2130, Cl. SC, 59.504%, 3/15/294 | 57,052 | 7,557 | ||
Series 2134, Cl. SB, 72.911%, 3/15/294 | 70,330 | 8,992 | ||
Series 2422, Cl. SJ, 0.00%, 1/15/324,5 | 245,247 | 43,875 | ||
Series 2493, Cl. S, 13.317%, 9/15/294 | 17,998 | 3,010 | ||
Series 2682, Cl. TQ, 99.999%, 10/15/334 | 518,369 | 78,975 | ||
Series 2796, Cl. SD, 73.153%, 7/15/264 | 113,616 | 13,123 | ||
Series 2920, Cl. S, 16.813%, 1/15/354 | 504,854 | 81,120 | ||
Series 2922, Cl. SE, 16.13%, 2/15/354 | 392,484 | 64,619 | ||
Series 2981, Cl. AS, 0.668%, 5/15/354 | 1,028,209 | 142,713 | ||
Series 2981, Cl. BS, 99.999%, 5/15/354 | 1,056,091 | 165,043 | ||
Series 3005, Cl. WI, 0.00%, 7/15/354,5 | 351,976 | 90,901 | ||
Series 3397, Cl. GS, 0.00%, 12/15/374,5 | 199,199 | 34,823 | ||
Series 3424, Cl. EI, 0.00%, 4/15/384,5 | 71,979 | 7,150 | ||
Series 3450, Cl. BI, 8.323%, 5/15/384 | 2,127,126 | 311,740 | ||
Series 3606, Cl. SN, 12.37%, 12/15/394 | 587,748 | 76,366 | ||
Series 4057, Cl. QI, 4.56%, 6/15/274 | 9,588,409 | 723,445 | ||
Series 4146, Cl. AI, 10.738%, 12/15/274 | 3,667,115 | 285,071 | ||
Series 4205, Cl. AI, 8.248%, 5/15/284 | 2,388,777 | 176,549 | ||
Series 4818, Cl. BI, 0.00%, 3/15/454,5 | 3,691,414 | 617,980 | ||
Federal Home Loan Mortgage Corp., STACR Trust, Series 2019-DNA1, Cl. | ||||
M2, 5.136% [US0001M+265], 1/25/491,3 | 4,380,000 | 4,457,798 | ||
Federal National Mortgage Assn.: | ||||
2.50%, 4/1/347 | 24,920,000 | 24,776,091 | ||
3.00%, 4/1/34-4/1/497 | 23,680,000 | 23,862,060 | ||
3.50%, 4/1/497 | 135,440,000 | 137,328,754 | ||
4.00%, 4/1/497 | 163,300,000 | 167,994,873 | ||
4.50%, 4/1/497 | 53,835,000 | 56,100,644 | ||
5.00%, 4/1/497 | 38,200,000 | 40,395,754 | ||
Federal National Mortgage Assn. Pool: | ||||
5.00%, 3/1/21 | 1,624 | 1,662 | ||
5.50%, 2/1/35-5/1/36 | 833,134 | 917,039 | ||
6.00%, 5/1/20 | 146 | 146 | ||
6.50%, 10/1/19-11/1/31 | 1,274,858 | 1,420,214 | ||
7.00%, 4/1/33-4/1/34 | 815,995 | 932,100 | ||
7.50%, 1/1/33-8/1/33 | 1,238,207 | 1,429,599 | ||
8.50%, 7/1/32 | 3,281 | 3,319 | ||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||
Series 222, Cl. 2, 99.999%, 6/25/234 | 147,038 | 15,516 | ||
Series 247, Cl. 2, 0.00%, 10/25/234,5 | 16,303 | 1,803 | ||
Series 252, Cl. 2, 99.999%, 11/25/234 | 138,117 | 16,493 | ||
Series 254, Cl. 2, 99.999%, 1/25/244 | 273,177 | 34,743 | ||
Series 301, Cl. 2, 22.863%, 4/25/294 | 84,232 | 16,876 | ||
Series 303, Cl. IO, 55.842%, 11/25/294 | 19,534 | 4,413 | ||
Series 319, Cl. 2, 19.364%, 2/25/324 | 72,073 | 15,916 | ||
Series 320, Cl. 2, 63.38%, 4/25/324 | 1,480,006 | 342,221 | ||
Series 321, Cl. 2, 26.704%, 4/25/324 | 226,710 | 52,384 |
5 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||
Series 324, Cl. 2, 17.54%, 7/25/324 | $ | 101,152$ | 23,154 | |
Series 331, Cl. 9, 9.169%, 2/25/334 | 820,170 | 166,823 | ||
Series 334, Cl. 14, 29.952%, 2/25/334 | 710,643 | 176,595 | ||
Series 334, Cl. 15, 11.377%, 2/25/334 | 472,191 | 100,784 | ||
Series 334, Cl. 17, 33.271%, 2/25/334 | 25,562 | 5,418 | ||
Series 339, Cl. 12, 0.00%, 6/25/334,5 | 540,468 | 121,638 | ||
Series 339, Cl. 7, 0.00%, 11/25/334,5 | 553,626 | 120,908 | ||
Series 343, Cl. 13, 99.999%, 9/25/334 | 639,413 | 135,271 | ||
Series 343, Cl. 18, 99.999%, 5/25/344 | 377,829 | 73,213 | ||
Series 345, Cl. 9, 0.00%, 1/25/344,5 | 283,953 | 59,765 | ||
Series 351, Cl. 10, 0.00%, 4/25/344,5 | 222,063 | 49,907 | ||
Series 351, Cl. 8, 0.00%, 4/25/344,5 | 394,390 | 88,529 | ||
Series 356, Cl. 10, 0.00%, 6/25/354,5 | 274,820 | 56,131 | ||
Series 356, Cl. 12, 0.00%, 2/25/354,5 | 135,749 | 28,034 | ||
Series 362, Cl. 13, 0.00%, 8/25/354,5 | 352,614 | 78,839 | ||
Series 364, Cl. 16, 0.00%, 9/25/354,5 | 491,544 | 100,152 | ||
Series 365, Cl. 16, 99.999%, 3/25/364,8 | 299,889 | 60,220 | ||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||
Series 1993-104, Cl. ZB, 6.50%, 7/25/23 | 49,881 | 52,548 | ||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 | 48,707 | 51,393 | ||
Series 1996-35, Cl. Z, 7.00%, 7/25/26 | 17,539 | 19,023 | ||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 | 114,422 | 125,393 | ||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 | 155,029 | 169,520 | ||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 | 233,895 | 256,362 | ||
Series 1999-60, Cl. PG, 7.50%, 12/25/29 | 1,144,208 | 1,289,214 | ||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 | 186,553 | 197,666 | ||
Series 2002-56, Cl. FN, 3.486% [LIBOR01M+100], 7/25/323 | 133,083 | 136,759 | ||
Series 2003-130, Cl. CS, 9.129% [-2 x LIBOR01M+1,410], | ||||
12/25/333 | 114,623 | 117,812 | ||
Series 2003-21, Cl. FK, 2.886% [LIBOR01M+40], 3/25/333 | 35,280 | 35,407 | ||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 | 734,057 | 762,580 | ||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,120,233 | 2,181,905 | ||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,480,000 | 2,733,339 | ||
Series 2005-71, Cl. DB, 4.50%, 8/25/25 | 164,677 | 167,148 | ||
Series 2005-73, Cl. DF, 2.736% [LIBOR01M+25], 8/25/353 | 173,614 | 173,421 | ||
Series 2006-50, Cl. SK, 15.087% [-3.667 x | ||||
LIBOR01M+2,420], 6/25/363 | 295,813 | 423,885 | ||
Series 2008-75, Cl. DB, 4.50%, 9/25/23 | 12 | 12 | ||
Series 2009-113, Cl. DB, 3.00%, 12/25/20 | 19,688 | 19,609 | ||
Series 2009-36, Cl. FA, 3.426% [LIBOR01M+94], 6/25/373 | 152,828 | 156,655 | ||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 | 110 | 110 | ||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 | 10,091 | 10,078 | ||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 92,742 | 94,648 | ||
Series 2011-3, Cl. EL, 3.00%, 5/25/20 | 15,900 | 15,843 | ||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 689,255 | 721,541 | ||
Series 2011-38, Cl. AH, 2.75%, 5/25/20 | 4 | 4 | ||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 | 42,151 | 42,169 |
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, Interest- | ||||
Only Stripped Mtg.-Backed Security: | ||||
Series 2001-15, Cl. SA, 99.999%, 3/17/314 | $ | 9,156$ | 871 | |
Series 2001-61, Cl. SE, 7.845%, 11/18/314 | 112,236 | 19,216 | ||
Series 2001-65, Cl. S, 10.941%, 11/25/314 | 238,477 | 45,069 | ||
Series 2001-81, Cl. S, 12.659%, 1/25/324 | 34,311 | 6,013 | ||
Series 2002-12, Cl. SB, 25.858%, 7/25/314 | 54,809 | 9,346 | ||
Series 2002-2, Cl. SW, 28.374%, 2/25/324 | 65,658 | 11,814 | ||
Series 2002-38, Cl. SO, 40.541%, 4/25/324 | 40,076 | 6,820 | ||
Series 2002-41, Cl. S, 20.151%, 7/25/324 | 345,134 | 56,992 | ||
Series 2002-47, Cl. NS, 12.163%, 4/25/324 | 110,449 | 20,372 | ||
Series 2002-5, Cl. SD, 99.999%, 2/25/324 | 45,925 | 6,826 | ||
Series 2002-51, Cl. S, 12.461%, 8/25/324 | 101,414 | 18,706 | ||
Series 2002-52, Cl. SD, 44.617%, 9/25/324 | 159,711 | 30,808 | ||
Series 2002-60, Cl. SM, 0.932%, 8/25/324 | 319,870 | 47,499 | ||
Series 2002-60, Cl. SY, 99.999%, 4/25/324 | 313,390 | 10,284 | ||
Series 2002-64, Cl. SD, 11.307%, 4/25/274 | 141,268 | 20,043 | ||
Series 2002-7, Cl. SK, 4.51%, 1/25/324 | 193,805 | 31,968 | ||
Series 2002-75, Cl. SA, 12.319%, 11/25/324 | 191,604 | 34,651 | ||
Series 2002-77, Cl. BS, 12.342%, 12/18/324 | 383,063 | 66,249 | ||
Series 2002-77, Cl. IS, 29.582%, 12/18/324 | 68,278 | 13,425 | ||
Series 2002-77, Cl. SH, 11.995%, 12/18/324 | 48,475 | 8,031 | ||
Series 2002-84, Cl. SA, 5.062%, 12/25/324 | 50,097 | 9,824 | ||
Series 2002-89, Cl. S, 37.478%, 1/25/334 | 478,189 | 94,074 | ||
Series 2002-9, Cl. MS, 12.311%, 3/25/324 | 2,991 | 573 | ||
Series 2002-90, Cl. SN, 0.00%, 8/25/324,5 | 291,039 | 47,179 | ||
Series 2002-90, Cl. SY, 2.465%, 9/25/324 | 159,254 | 25,777 | ||
Series 2003-14, Cl. OI, 37.678%, 3/25/334 | 715,578 | 158,080 | ||
Series 2003-26, Cl. IK, 61.633%, 4/25/334 | 316,139 | 70,227 | ||
Series 2003-33, Cl. SP, 7.403%, 5/25/334 | 310,060 | 60,465 | ||
Series 2003-4, Cl. S, 3.138%, 2/25/334 | 91,579 | 18,285 | ||
Series 2003-52, Cl. NS, 0.00%, 6/25/234,5 | 858,007 | 48,302 | ||
Series 2004-54, Cl. DS, 56.176%, 11/25/304 | 30,729 | 4,484 | ||
Series 2004-56, Cl. SE, 6.041%, 10/25/334 | 417,821 | 78,125 | ||
Series 2005-12, Cl. SC, 20.795%, 3/25/354 | 180,923 | 27,211 | ||
Series 2005-40, Cl. SA, 25.617%, 5/25/354 | 280,850 | 44,969 | ||
Series 2005-52, Cl. JH, 29.408%, 5/25/354 | 581,383 | 87,347 | ||
Series 2005-6, Cl. SE, 45.727%, 2/25/354 | 553,573 | 91,846 | ||
Series 2005-93, Cl. SI, 0.00%, 10/25/354,5 | 364,088 | 54,744 | ||
Series 2006-53, Cl. US, 16.151%, 6/25/364 | 27,855 | 4,475 | ||
Series 2008-55, Cl. SA, 0.00%, 7/25/384,5 | 222,981 | 26,965 | ||
Series 2009-8, Cl. BS, 0.00%, 2/25/244,5 | 7,829 | 410 | ||
Series 2011-96, Cl. SA, 5.038%, 10/25/414 | 840,563 | 134,051 | ||
Series 2012-121, Cl. IB, 8.077%, 11/25/274 | 3,975,299 | 322,611 | ||
Series 2012-134, Cl. SA, 0.00%, 12/25/424,5 | 2,411,282 | 455,806 | ||
Series 2012-40, Cl. PI, 26.585%, 4/25/414 | 1,658,645 | 206,192 | ||
Series 2015-57, Cl. LI, 5.983%, 8/25/354 | 8,401,977 | 1,222,316 | ||
Series 2016-45, Cl. MI, 8.547%, 7/25/464 | 2,435,579 | 546,577 | ||
Series 2017-66, Cl. AS, 0.00%, 9/25/474,5 | 20,298,060 | 2,971,821 |
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 2018-16, Cl. NI, 0.156%, 12/25/444 | $ | 1,870,964$ | 284,709 | |
Series 2018-69, Cl. CI, 0.00%, 10/25/464,5 | 4,207,749 | 426,487 | ||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit | ||||
Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed | ||||
Security, Series 1993-184, Cl. M, 5.334%, 9/25/236 | 47,081 | 44,409 | ||
503,386,803 | ||||
GNMA/Guaranteed3.7% | ||||
Government National Mortgage Assn. II Pool: | ||||
3.50%, 4/1/497 | 69,445,000 | 70,980,386 | ||
3.75% [H15T1Y+150], 7/20/25-7/20/273 | 3,913 | 4,030 | ||
11.00%, 10/20/19 | 8 | 8 | ||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||
Series 2002-15, Cl. SM, 99.999%, 2/16/324 | 162,832 | 1,098 | ||
Series 2002-41, Cl. GS, 99.999%, 6/16/324 | 14,960 | 231 | ||
Series 2002-76, Cl. SY, 8.628%, 12/16/264 | 60,573 | 149 | ||
Series 2007-17, Cl. AI, 41.99%, 4/16/374 | 1,235,294 | 180,878 | ||
Series 2011-52, Cl. HS, 18.885%, 4/16/414 | 3,728,398 | 545,727 | ||
Series 2017-136, Cl. LI, 6.988%, 9/16/474 | 7,519,473 | 1,461,617 | ||
Series 2017-149, Cl. GS, 0.00%, 10/16/474,5 | 7,865,016 | 1,207,067 | ||
74,381,191 | ||||
Non-Agency14.9% | ||||
Commercial7.2% | ||||
BANK, Interest-Only Stripped Mtg.-Backed Security, Series 2019-BN16, Cl. | ||||
XA, 10.805%, 2/15/524 | 24,725,317 | 1,831,132 | ||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 4.69% [H15T1Y+210], | ||||
9/26/351,3 | 79,608 | 79,951 | ||
Benchmark Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | ||||
Certificates, Series 2018-B1, Cl. XA, 10.646%, 1/15/514 | 35,411,180 | 1,299,056 | ||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. | ||||
Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/241,4,5,9 | 67,862 | 1,227 | ||
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | ||||
Certificates, Series 2017-CD6, Cl. XA, 12.622%, 11/13/504 | 11,731,469 | 672,596 | ||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 4.349%, 1/25/3610 | 997,843 | 975,855 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2012-GC8, Cl. AAB, 2.608%, 9/10/45 | 1,282,523 | 1,278,428 | ||
Series 2014-GC21, Cl. AAB, 3.477%, 5/10/47 | 1,515,000 | 1,542,454 | ||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates: | ||||
Series 2013-GC17, Cl. XA, 0.00%, 11/10/464,5 | 13,228,950 | 540,225 | ||
Series 2017-C4, Cl. XA, 11.938%, 10/12/504 | 30,978,551 | 2,126,724 | ||
COMM Mortgage Trust: | ||||
Series 2013-CR6, Cl. AM, 3.147%, 3/10/461 | 2,945,000 | 2,952,650 | ||
Series 2014-CR17, Cl. ASB, 3.598%, 5/10/47 | 5,065,000 | 5,169,188 | ||
Series 2014-CR20, Cl. ASB, 3.305%, 11/10/47 | 1,020,000 | 1,036,129 | ||
Series 2014-CR21, Cl. AM, 3.987%, 12/10/47 | 6,135,175 | 6,316,564 | ||
Series 2014-LC15, Cl. AM, 4.198%, 4/10/47 | 2,865,000 | 2,984,511 |
8 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Commercial (Continued) | ||||
COMM Mortgage Trust: (Continued) | ||||
Series 2014-UBS6, Cl. AM, 4.048%, 12/10/47 | $ | 5,720,000$ | 5,846,725 | |
Series 2015-CR22, Cl. A2, 2.856%, 3/10/48 | 1,948,722 | 1,947,224 | ||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series | ||||
2012-CR5, Cl. XA, 21.535%, 12/10/454 | 12,464,529 | 588,794 | ||
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 | 868,302 | 711,299 | ||
Federal Home Loan Mortgage Corp., Series 2019-HQA1, Cl. M2, 4.836% | ||||
[US0001M+235], 2/25/491,3 | 3,150,000 | 3,175,447 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. | ||||
1A6, 3.136% [US0001M+65], 11/25/353 | 726,018 | 520,534 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K6, Cl. B, 5.375%, 12/25/461,10 | 900,000 | 914,549 | ||
Series 2012-K710, Cl. B, 3.933%, 6/25/471,10 | 1,145,027 | 1,143,042 | ||
Series 2012-K711, Cl. B, 3.519%, 8/25/451,10 | 490,000 | 489,658 | ||
Series 2012-K711, Cl. C, 3.519%, 8/25/451,10 | 2,155,000 | 2,152,353 | ||
Series 2013-K25, Cl. C, 3.623%, 11/25/451,10 | 605,000 | 608,895 | ||
Series 2013-K26, Cl. C, 3.598%, 12/25/451,10 | 1,165,000 | 1,171,910 | ||
Series 2013-K27, Cl. C, 3.496%, 1/25/461,10 | 650,000 | 651,834 | ||
Series 2013-K28, Cl. C, 3.49%, 6/25/461,10 | 2,580,000 | 2,588,118 | ||
Series 2013-K712, Cl. C, 3.359%, 5/25/451,10 | 1,185,000 | 1,184,005 | ||
Series 2013-K713, Cl. C, 3.155%, 4/25/461,10 | 3,220,000 | 3,213,870 | ||
Series 2014-K714, Cl. C, 3.855%, 1/25/471,10 | 815,402 | 823,604 | ||
Series 2014-K715, Cl. C, 4.122%, 2/25/461,10 | 2,603,236 | 2,635,668 | ||
Series 2015-K44, Cl. B, 3.683%, 1/25/481,10 | 1,175,000 | 1,188,584 | ||
Series 2017-K62, Cl. B, 3.875%, 1/25/501,10 | 1,040,000 | 1,049,158 | ||
Series 2017-K724, Cl. B, 3.487%, 11/25/231,10 | 780,000 | 771,810 | ||
GS Mortgage Securities Trust: | ||||
Series 2012-GC6, Cl. A3, 3.482%, 1/10/45 | 1,414,657 | 1,435,608 | ||
Series 2012-GC6, Cl. AS, 4.948%, 1/10/451 | 1,666,000 | 1,746,516 | ||
Series 2013-GC12, Cl. AAB, 2.678%, 6/10/46 | 450,617 | 448,571 | ||
Series 2013-GC16, Cl. AS, 4.649%, 11/10/46 | 974,215 | 1,040,082 | ||
Series 2014-GC18, Cl. AAB, 3.648%, 1/10/47 | 1,287,822 | 1,310,510 | ||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/371,10 | 1,480,239 | 1,417,923 | ||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||
Series 2012-LC9, Cl. A4, 2.611%, 12/15/47 | 159,915 | 159,765 | ||
Series 2013-C10, Cl. AS, 3.372%, 12/15/47 | 4,205,000 | 4,246,772 | ||
Series 2013-C16, Cl. AS, 4.517%, 12/15/46 | 3,490,000 | 3,693,043 | ||
Series 2013-LC11, Cl. AS, 3.216%, 4/15/46 | 1,722,000 | 1,727,422 | ||
Series 2014-C20, Cl. AS, 4.043%, 7/15/47 | 3,950,000 | 4,101,229 | ||
Series 2016-JP3, Cl. A2, 2.435%, 8/15/49 | 2,733,522 | 2,708,828 | ||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 4.687%, 7/25/3510 | 797,576 | 822,059 | ||
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 4.542%, | ||||
7/26/361,10 | 1,078,257 | 1,079,585 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C18, Cl. A3, 3.578%, 2/15/47 | 875,710 | 883,972 | ||
Series 2014-C19, Cl. ASB, 3.584%, 4/15/47 | 603,522 | 614,738 | ||
Series 2014-C24, Cl. B, 4.116%, 11/15/4710 | 2,630,000 | 2,692,454 | ||
Series 2014-C25, Cl. AS, 4.065%, 11/15/47 | 6,036,000 | 6,261,312 | ||
Series 2015-C28, Cl. AS, 3.532%, 10/15/48 | 3,400,000 | 3,445,183 |
9 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Commercial (Continued) | ||||
JPMBB Commercial Mortgage Securities Trust., Interest-Only Stripped Mtg.- | ||||
Backed Security, Series 2015-C27, Cl. XA, 24.311%, 2/15/484 | $ | 47,930,110$ | 2,232,915 | |
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed | ||||
Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/304,5 | 43,007 | 3 | ||
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 0.00%, | ||||
7/26/241,9,10 | 16,875 | 11,731 | ||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||
Series 2013-C7, Cl. AAB, 2.469%, 2/15/46 | 1,260,586 | 1,253,976 | ||
Series 2013-C9, Cl. AS, 3.456%, 5/15/46 | 5,230,000 | 5,305,493 | ||
Series 2014-C19, Cl. AS, 3.832%, 12/15/47 | 5,035,000 | 5,163,752 | ||
Morgan Stanley Capital I Trust: | ||||
Series 2011-C1, Cl. A4, 5.033%, 9/15/471,10 | 1,488,816 | 1,526,549 | ||
Series 2011-C2, Cl. A4, 4.661%, 6/15/441 | 1,815,000 | 1,869,994 | ||
Morgan Stanley Capital I, Inc., Interest-Only Commercial Mtg. Pass-Through | ||||
Certificates, Series 2017-HR2, Cl. XA, 10.363%, 12/15/504 | 13,246,664 | 736,683 | ||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 3.644%, | ||||
11/26/361,10 | 2,148,155 | 2,000,120 | ||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.912%, | ||||
6/26/461,10 | 333,886 | 334,521 | ||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 4.433%, 7/26/451,10 | 180,564 | 185,537 | ||
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- | ||||
Through Certificates, Series 2017-C5, Cl. XA, 12.272%, 11/15/504 | 20,151,867 | 1,241,387 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Cl. ASB, | ||||
2.934%, 5/15/48 | 5,135,000 | 5,144,245 | ||
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. | ||||
Pass-Through Certificates, Series 2017-C42, Cl. XA, 10.338%, 12/15/504 | 18,450,264 | 1,170,896 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-1, Cl. A7, | ||||
4.00%, 11/25/481,10 | 2,398,866 | 2,442,098 | ||
WF-RBS Commercial Mortgage Trust: | ||||
Series 2013-C14, Cl. AS, 3.488%, 6/15/46 | 2,330,000 | 2,353,718 | ||
Series 2014-C20, Cl. AS, 4.176%, 5/15/47 | 1,693,000 | 1,756,661 | ||
Series 2014-C22, Cl. A3, 3.528%, 9/15/57 | 675,000 | 685,668 | ||
Series 2014-C25, Cl. AS, 3.984%, 11/15/47 | 5,225,000 | 5,363,574 | ||
Series 2014-LC14, Cl. AS, 4.351%, 3/15/4710 | 2,174,838 | 2,283,111 | ||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- | ||||
Through Certificates, Series 2011-C3, Cl. XA, 29.685%, 3/15/441,4 | 14,085,926 | 304,598 | ||
145,386,573 | ||||
Residential7.7% | ||||
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5.00%, 7/25/35 | 595,968 | 511,731 | ||
Banc of America Funding Trust: | ||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 | 398,228 | 370,839 | ||
Series 2007-C, Cl. 1A4, 4.622%, 5/20/3610 | 170,496 | 169,246 | ||
Series 2014-R7, Cl. 3A1, 4.954%, 3/26/361,10 | 567,363 | 568,845 | ||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6.00%, 3/25/37 | 450,654 | 418,969 | ||
Bear Stearns ARM Trust: | ||||
Series 2005-9, Cl. A1, 4.73% [H15T1Y+230], 10/25/353 | 491,660 | 499,014 | ||
Series 2006-1, Cl. A1, 4.91% [H15T1Y+225], 2/25/363 | 1,369,669 | 1,384,991 |
10 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Residential (Continued) | ||||
Chase Funding Trust, Series 2003-2, Cl. 2A2, 3.046% [US0001M+56], | ||||
2/25/333 | $ | 362,314$ | 352,464 | |
CHL Mortgage Pass-Through Trust: | ||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 | 399,279 | 360,407 | ||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 | 354,581 | 289,606 | ||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 4.97% | ||||
[H15T1Y+240], 10/25/353 | 2,558,198 | 2,596,454 | ||
Connecticut Avenue Securities: | ||||
Series 2014-C02, Cl. 1M2, 5.086% [US0001M+260], | ||||
5/25/243 | 4,594,135 | 4,820,286 | ||
Series 2014-C03, Cl. 1M2, 5.486% [US0001M+300], | ||||
7/25/243 | 4,511,321 | 4,793,023 | ||
Series 2014-C03, Cl. 2M2, 5.386% [US0001M+290], | ||||
7/25/243 | 1,493,825 | 1,565,292 | ||
Series 2016-C02, Cl. 1M2, 8.486% [US0001M+600], | ||||
9/25/283 | 2,063,474 | 2,353,069 | ||
Series 2016-C03, Cl. 1M1, 4.486% [US0001M+200], | ||||
10/25/283 | 753,349 | 759,251 | ||
Series 2017-C02, Cl. 2M1, 3.636% [US0001M+115], | ||||
9/25/293 | 3,804,891 | 3,816,829 | ||
Series 2017-C03, Cl. 1M1, 3.436% [US0001M+95], | ||||
10/25/293 | 4,415,191 | 4,424,507 | ||
Series 2017-C07, Cl. 1M2, 4.886% [US0001M+240], | ||||
5/25/303 | 2,970,000 | 3,036,251 | ||
Series 2018-C01, Cl. 1M1, 3.086% [US0001M+60], 7/25/303 | 6,250,507 | 6,238,604 | ||
Series 2018-C02, Cl. 2M2, 4.686% [US0001M+220], | ||||
8/25/303 | 3,930,000 | 3,923,550 | ||
Series 2018-C03, Cl. 1M1, 3.166% [US0001M+68], | ||||
10/25/303 | 5,025,337 | 5,024,962 | ||
Series 2018-C03, Cl. 1M2, 4.636% [US0001M+215], | ||||
10/25/303 | 4,558,000 | 4,557,831 | ||
Series 2018-C04, Cl. 2M2, 5.036% [US0001M+255], | ||||
12/25/303 | 4,450,000 | 4,484,464 | ||
Series 2018-C05, Cl. 1M1, 3.206% [US0001M+72], 1/25/313 | 1,615,798 | 1,615,975 | ||
Series 2018-C05, Cl. 1M2, 4.836% [US0001M+235], | ||||
1/25/313 | 1,950,000 | 1,960,891 | ||
Series 2018-C06, Cl. 2M1, 3.036% [US0001M+55], 3/25/313 | 682,751 | 681,947 | ||
Series 2018-C06, Cl. 2M2, 4.586% [US0001M+210], | ||||
3/25/313 | 5,200,000 | 5,140,853 | ||
Connecticut Avenue Securities Trust: | ||||
Series 2019-R01, Cl. 2M2, 4.936% [US0001M+245], | ||||
7/25/311,3 | 4,570,000 | 4,583,385 | ||
Series 2019-R02, Cl. 1M1, 3.336% [US0001M+85], | ||||
8/25/311,3 | 4,935,000 | 4,947,793 | ||
Countrywide Alternative Loan Trust, Series 2005-21CB, Cl. A7, 5.50%, | ||||
6/25/35 | 1,105,425 | 1,043,980 | ||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 4.329%, 7/25/3510 | 262,858 | 265,541 | ||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 2.796% [US0001M+31], | ||||
7/25/353 | 278,101 | 276,990 |
11 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Residential (Continued) | ||||
RALI Trust: | ||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | $ | 104,614$ | 93,020 | |
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 532,224 | 491,373 | ||
Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6.00%, | ||||
6/25/35 | 287,203 | 263,846 | ||
STACR Trust: | ||||
Series 2018-DNA2, Cl. M1, 3.286% [US0001M+80], | ||||
12/25/301,3 | 6,600,000 | 6,600,910 | ||
Series 2018-DNA3, Cl. M1, 3.236% [US0001M+75], | ||||
9/25/481,3 | 1,165,000 | 1,164,277 | ||
Series 2018-DNA3, Cl. M2, 4.586% [US0001M+210], | ||||
9/25/481,3 | 4,835,000 | 4,777,927 | ||
Series 2018-HRP2, Cl. M2, 3.736% [US0001M+125], | ||||
2/25/471,3 | 3,480,000 | 3,496,229 | ||
Structured Agency Credit Risk Debt Nts.: | ||||
Series 2013-DN2, Cl. M2, 6.736% [US0001M+425], | ||||
11/25/233 | 3,836,787 | 4,193,425 | ||
Series 2014-DN1, Cl. M2, 4.686% [US0001M+220], | ||||
2/25/243 | 606,549 | 617,120 | ||
Series 2014-DN1, Cl. M3, 6.986% [US0001M+450], | ||||
2/25/243 | 3,595,000 | 4,009,671 | ||
Series 2014-DN2, Cl. M3, 6.086% [US0001M+360], | ||||
4/25/243 | 4,610,000 | 4,982,242 | ||
Series 2014-HQ2, Cl. M3, 6.236% [US0001M+375], | ||||
9/25/243 | 4,050,000 | 4,485,235 | ||
Series 2015-HQA2, Cl. M2, 5.286% [US0001M+280], | ||||
5/25/283 | 702,066 | 716,219 | ||
Series 2016-DNA1, Cl. M2, 5.39% [US0001M+290], | ||||
7/25/283 | 1,022,928 | 1,041,003 | ||
Series 2016-DNA4, Cl. M3, 6.286% [US0001M+380], | ||||
3/25/293 | 4,040,000 | 4,445,128 | ||
Series 2016-HQA3, Cl. M3, 6.336% [US0001M+385], | ||||
3/25/293 | 2,800,000 | 3,093,160 | ||
Series 2016-HQA4, Cl. M3, 6.386% [US0001M+390], | ||||
4/25/293 | 3,995,000 | 4,416,026 | ||
Series 2017-HQA1, Cl. M1, 3.686% [US0001M+120], | ||||
8/25/293 | 6,071,068 | 6,088,179 | ||
Series 2018-DNA1, Cl. M1, 2.936% [US0001M+45], | ||||
7/25/303 | 8,819,455 | 8,782,598 | ||
Series 2018-DNA1, Cl. M2, 4.286% [US0001M+180], | ||||
7/25/303 | 6,665,000 | 6,516,618 | ||
WaMu Mortgage Pass-Through Certificates Trust: | ||||
Series 2003-AR10, Cl. A7, 4.481%, 10/25/3310 | 561,228 | 571,267 | ||
Series 2005-AR14, Cl. 1A4, 4.193%, 12/25/3510 | 742,705 | 736,875 | ||
Series 2005-AR16, Cl. 1A1, 4.256%, 12/25/3510 | 686,603 | 685,966 | ||
Wells Fargo Mortgage-Backed Securities Trust: | ||||
Series 2005-AR15, Cl. 1A2, 4.667%, 9/25/3510 | 954,737 | 935,464 | ||
Series 2005-AR15, Cl. 1A6, 4.667%, 9/25/3510 | 79,246 | 76,974 | ||
Series 2005-AR4, Cl. 2A2, 5.086%, 4/25/3510 | 1,972,605 | 1,997,222 | ||
Series 2006-AR10, Cl. 1A1, 4.704%, 7/25/3610 | 531,386 | 535,101 |
12 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Residential (Continued) | ||||
Wells Fargo Mortgage-Backed Securities Trust: (Continued) | ||||
Series 2006-AR10, Cl. 5A5, 4.542%, 7/25/3610 | $ | 1,477,791$ | 1,485,177 | |
Series 2006-AR2, Cl. 2A3, 4.954%, 3/25/3610 | 750,285 | 763,776 | ||
Series 2006-AR7, Cl. 2A4, 4.42%, 5/25/3610 | 313,644 | 322,674 | ||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 | 218,927 | 217,769 | ||
156,440,311 | ||||
Total Mortgage-Backed Obligations (Cost $874,378,673) | 879,594,878 | |||
U.S. Government Obligation0.4% | ||||
United States Treasury Nts., 1.50%, 5/31/1911 (Cost | ||||
$7,481,653) | 7,480,000 | 7,468,183 | ||
Corporate Bonds and Notes48.6% | ||||
Consumer Discretionary8.0% | ||||
Automobiles2.0% | ||||
Daimler Finance North America LLC, 3.75% Sr. Unsec. Nts., | ||||
11/5/211 | 4,549,000 | 4,630,939 | ||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,336,000 | 1,338,931 | ||
General Motors Financial Co., Inc.: | ||||
4.15% Sr. Unsec. Nts., 6/19/23 | 4,949,000 | 5,000,452 | ||
4.20% Sr. Unsec. Nts., 11/6/21 | 4,217,000 | 4,299,389 | ||
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. | ||||
Nts., 6/15/201 | 5,210,000 | 5,151,744 | ||
Hyundai Capital America: | ||||
1.75% Sr. Unsec. Nts., 9/27/191 | 4,062,000 | 4,041,918 | ||
4.125% Sr. Unsec. Nts., 6/8/231 | 5,286,000 | 5,390,535 | ||
Nissan Motor Acceptance Corp., 3.65% Sr. Unsec. Nts., | ||||
9/21/211 | 5,177,000 | 5,207,302 | ||
Volkswagen Group of America Finance LLC, 4.00% Sr. Unsec. | ||||
Nts., 11/12/211 | 4,990,000 | 5,093,986 | ||
40,155,196 | ||||
Diversified Consumer Services0.3% | ||||
Service Corp. International, 4.625% Sr. Unsec. Nts., 12/15/27 | 5,228,000 | 5,214,930 | ||
Entertainment0.3% | ||||
Fox Corp., 3.666% Sr. Unsec. Nts., 1/25/221 | 3,885,000 | 3,964,422 | ||
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43 | 1,670,000 | 1,501,577 | ||
Walt Disney Co. (The), 4.75% Sr. Unsec. Nts., 11/15/461 | 1,464,000 | 1,706,285 | ||
7,172,284 | ||||
Hotels, Restaurants & Leisure0.6% | ||||
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/251 | 4,805,000 | 4,932,333 | ||
Marriott International, Inc., 3.245% [US0003M+65] Sr. | ||||
Unsec. Nts., 3/8/213 | 3,251,000 | 3,260,058 | ||
Royal Caribbean Cruises Ltd., 2.65% Sr. Unsec. Nts., 11/28/20 | 4,419,000 | 4,416,015 | ||
12,608,406 |
13 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Household Durables1.1% | ||||
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20 | $ | 5,392,000$ | 5,359,395 | |
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 | 5,255,000 | 5,392,944 | ||
Newell Brands, Inc.: | ||||
5.00% Sr. Unsec. Nts., 11/15/23 | 1,633,000 | 1,639,012 | ||
5.50% Sr. Unsec. Nts., 4/1/46 | 1,681,000 | 1,520,935 | ||
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27 | 3,727,000 | 3,731,659 | ||
Toll Brothers Finance Corp.: | ||||
4.375% Sr. Unsec. Nts., 4/15/23 | 2,711,000 | 2,727,944 | ||
4.875% Sr. Unsec. Nts., 3/15/27 | 1,445,000 | 1,426,490 | ||
21,798,379 | ||||
Internet & Catalog Retail0.5% | ||||
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 | 1,691,000 | 2,027,149 | ||
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 8,060,000 | 8,058,969 | ||
10,086,118 | ||||
Media1.6% | ||||
CBS Corp., 4.20% Sr. Unsec. Nts., 6/1/29 | 2,505,000 | 2,527,177 | ||
Charter Communications Operating LLC/Charter | ||||
Communications Operating Capital, 5.375% Sr. Sec. Nts., | ||||
5/1/47 | 1,011,000 | 1,008,825 | ||
Comcast Corp.: | ||||
3.95% Sr. Unsec. Nts., 10/15/25 | 3,497,000 | 3,662,072 | ||
4.00% Sr. Unsec. Nts., 3/1/48 | 1,434,000 | 1,410,528 | ||
Interpublic Group of Cos., Inc. (The): | ||||
3.75% Sr. Unsec. Nts., 10/1/21 | 4,207,000 | 4,282,893 | ||
4.20% Sr. Unsec. Nts., 4/15/24 | 5,050,000 | 5,200,062 | ||
Sky Ltd., 3.75% Sr. Unsec. Nts., 9/16/241 | 2,363,000 | 2,450,121 | ||
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., | ||||
9/15/42 | 1,811,000 | 1,592,008 | ||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., | ||||
1/15/261 | 5,176,000 | 5,227,760 | ||
WPP Finance 2010, 3.75% Sr. Unsec. Nts., 9/19/24 | 5,208,000 | 5,142,185 | ||
32,503,631 | ||||
Specialty Retail1.1% | ||||
AutoNation, Inc., 5.50% Sr. Unsec. Nts., 2/1/20 | 4,973,000 | 5,072,799 | ||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 | 689,000 | 688,354 | ||
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22 | 4,781,000 | 4,984,193 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.65% Sr. | ||||
Unsec. Nts., 7/29/211 | 1,715,000 | 1,739,124 | ||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | 5,507,000 | 5,610,815 | ||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | 4,650,000 | 3,975,750 | ||
22,071,035 | ||||
Textiles, Apparel & Luxury Goods0.5% | ||||
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/261 | 5,153,000 | 5,109,715 |
14 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Textiles, Apparel & Luxury Goods (Continued) | ||||
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25 | $ | 4,854,000$ | 5,023,890 | |
10,133,605 | ||||
Consumer Staples4.9% | ||||
Beverages1.1% | ||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. | ||||
Unsub. Nts., 1/15/39 | 3,126,000 | 4,357,613 | ||
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/281 | 2,674,000 | 2,680,387 | ||
Keurig Dr Pepper, Inc., 4.057% Sr. Unsec. Nts., 5/25/231 | 4,929,000 | 5,074,838 | ||
Molson Coors Brewing Co., 2.10% Sr. Unsec. Nts., 7/15/21 | 5,266,000 | 5,167,849 | ||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221 | 4,732,000 | 4,914,780 | ||
22,195,467 | ||||
Food & Staples Retailing0.0% | ||||
Kroger Co. (The), 4.45% Sr. Unsec. Nts., 2/1/47 | 1,486,000 | 1,354,446 | ||
Food Products2.8% | ||||
Bunge Ltd. Finance Corp.: | ||||
3.25% Sr. Unsec. Nts., 8/15/26 | 3,613,000 | 3,249,762 | ||
3.50% Sr. Unsec. Nts., 11/24/20 | 4,884,000 | 4,910,087 | ||
Campbell Soup Co., 3.30% Sr. Unsec. Nts., 3/15/21 | 5,029,000 | 5,063,096 | ||
Conagra Brands, Inc.: | ||||
3.80% Sr. Unsec. Nts., 10/22/21 | 4,101,000 | 4,179,002 | ||
4.60% Sr. Unsec. Nts., 11/1/25 | 5,142,000 | 5,415,447 | ||
Kraft Heinz Foods Co.: | ||||
2.80% Sr. Unsec. Nts., 7/2/20 | 5,281,000 | 5,274,119 | ||
4.375% Sr. Unsec. Nts., 6/1/46 | 3,223,000 | 2,805,295 | ||
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/261 | 4,920,000 | 5,012,250 | ||
Mondelez International Holdings Netherlands BV, 2.00% Sr. | ||||
Unsec. Nts., 10/28/211 | 5,392,000 | 5,259,163 | ||
Smithfield Foods, Inc.: | ||||
2.70% Sr. Unsec. Nts., 1/31/201 | 2,252,000 | 2,236,675 | ||
3.35% Sr. Unsec. Nts., 2/1/221 | 2,929,000 | 2,868,048 | ||
5.20% Sr. Unsec. Nts., 4/1/291 | 4,076,000 | 4,103,661 | ||
Tyson Foods, Inc.: | ||||
3.90% Sr. Unsec. Nts., 9/28/23 | 4,296,000 | 4,430,235 | ||
5.10% Sr. Unsec. Nts., 9/28/48 | 1,389,000 | 1,418,515 | ||
56,225,355 | ||||
Tobacco1.0% | ||||
Altria Group, Inc., 3.49% Sr. Unsec. Nts., 2/14/22 | 3,238,000 | 3,291,614 | ||
BAT Capital Corp.: | ||||
2.297% Sr. Unsec. Nts., 8/14/20 | 5,176,000 | 5,126,293 | ||
3.557% Sr. Unsec. Nts., 8/15/27 | 2,912,000 | 2,762,348 | ||
Imperial Brands Finance plc, 3.75% Sr. Unsec. Nts., 7/21/221 | 5,217,000 | 5,290,338 | ||
Imperial Tobacco Finance plc, 2.95% Sr. Unsec. Nts., 7/21/201 | 3,937,000 | 3,926,159 | ||
20,396,752 |
15 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Energy3.6% | ||||
Energy Equipment & Services0.2% | ||||
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45 | $ | 1,193,000$ | 1,273,098 | |
Schlumberger Holdings Corp., 4.00% Sr. Unsec. Nts., | ||||
12/21/251 | 2,890,000 | 2,984,169 | ||
4,257,267 | ||||
Oil, Gas & Consumable Fuels3.4% | ||||
Anadarko Petroleum Corp., 4.50% Sr. Unsec. Nts., 7/15/44 | 1,362,000 | 1,287,890 | ||
Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25% | ||||
Sr. Unsec. Nts., 12/1/27 | 3,040,000 | 3,067,980 | ||
Apache Corp., 4.375% Sr. Unsec. Nts., 10/15/28 | 3,972,000 | 4,008,974 | ||
Cimarex Energy Co., 4.375% Sr. Unsec. Nts., 3/15/29 | 2,513,000 | 2,593,026 | ||
Columbia Pipeline Group, Inc., 3.30% Sr. Unsec. Nts., 6/1/20 | 4,870,000 | 4,891,677 | ||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | 1,000,000 | 1,011,490 | ||
Energy Transfer Operating LP: | ||||
4.25% Sr. Unsec. Nts., 3/15/23 | 4,125,000 | 4,240,345 | ||
5.30% Sr. Unsec. Nts., 4/15/47 | 1,501,000 | 1,481,789 | ||
Enterprise Products Operating LLC: | ||||
4.85% Sr. Unsec. Nts., 8/15/42 | 987,000 | 1,039,017 | ||
4.90% Sr. Unsec. Nts., 5/15/46 | 779,000 | 838,168 | ||
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20 | 5,403,000 | 5,333,929 | ||
Kinder Morgan Energy Partners LP, 5.80% Sr. Unsec. Nts., | ||||
3/1/21 | 2,082,000 | 2,192,231 | ||
Kinder Morgan, Inc., 5.20% Sr. Unsec. Nts., 3/1/48 | 3,434,000 | 3,627,224 | ||
Marathon Petroleum Corp., 3.80% Sr. Unsec. Nts., 4/1/282 | 2,170,000 | 2,152,544 | ||
Midwest Connector Capital Co. LLC, 3.625% Sr. Unsec. Nts., | ||||
4/1/221 | 4,948,000 | 5,022,795 | ||
ONEOK, Inc., 4.35% Sr. Unsec. Nts., 3/15/29 | 2,522,000 | 2,572,108 | ||
Pioneer Natural Resources Co., 3.45% Sr. Unsec. Nts., | ||||
1/15/21 | 5,100,000 | 5,155,399 | ||
Sabine Pass Liquefaction LLC: | ||||
4.20% Sr. Sec. Nts., 3/15/28 | 2,699,000 | 2,725,853 | ||
5.625% Sr. Sec. Nts., 2/1/21 | 4,074,000 | 4,234,332 | ||
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. | ||||
Nts., 10/1/27 | 3,243,000 | 3,222,041 | ||
Valero Energy Corp., 4.00% Sr. Unsec. Nts., 4/1/29 | 2,462,000 | 2,487,425 | ||
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., | ||||
1/15/23 | 5,303,000 | 5,403,665 | ||
68,589,902 | ||||
Financials14.1% | ||||
Capital Markets3.0% | ||||
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., | ||||
10/2/271 | 1,925,000 | 1,873,152 | ||
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., | ||||
1/15/25 | 4,078,000 | 4,122,456 | ||
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 | 3,175,000 | 3,235,196 | ||
Credit Suisse Group AG, 3.869% [US0003M+141] Sr. Unsec. | ||||
Nts., 1/12/291,3 | 2,980,000 | 2,926,153 |
16 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Capital Markets (Continued) | ||||
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. | ||||
Nts., 4/17/26 | $ | 2,435,000$ | 2,547,499 | |
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. | ||||
Perpetual Bonds3,12 | 4,826,000 | 4,892,358 | ||
Goldman Sachs Group, Inc. (The): | ||||
3.50% Sr. Unsec. Nts., 11/16/26 | 2,654,000 | 2,623,234 | ||
3.691% [US0003M+151] Sr. Unsec. Nts., 6/5/283 | 1,000,000 | 991,032 | ||
3.75% Sr. Unsec. Nts., 2/25/26 | 2,550,000 | 2,563,670 | ||
4.017% [US0003M+137.3] Sr. Unsec. Nts., 10/31/383 | 1,903,000 | 1,828,087 | ||
Macquarie Group Ltd., 3.763% [US0003M+137.2] Sr. Unsec. | ||||
Nts., 11/28/281,3 | 3,899,000 | 3,818,622 | ||
Morgan Stanley: | ||||
3.95% Sub. Nts., 4/23/27 | 1,200,000 | 1,203,341 | ||
4.431% [US0003M+162.8] Sr. Unsec. Nts., 1/23/303 | 3,796,000 | 4,010,017 | ||
5.00% Sub. Nts., 11/24/25 | 4,060,000 | 4,358,524 | ||
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/261 | 4,926,000 | 5,073,780 | ||
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., | ||||
5/8/323 | 1,803,000 | 1,769,339 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.50% Sr. | ||||
Unsec. Nts., 12/15/26 | 2,998,000 | 3,076,652 | ||
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., | ||||
9/15/26 | 2,395,000 | 2,374,494 | ||
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27 | 2,944,000 | 2,960,836 | ||
UBS Group Funding Switzerland AG: | ||||
4.125% Sr. Unsec. Nts., 4/15/261 | 2,732,000 | 2,829,856 | ||
4.253% Sr. Unsec. Nts., 3/23/281 | 1,954,000 | 2,035,452 | ||
61,113,750 | ||||
Commercial Banks7.2% | ||||
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., | ||||
3/27/283,13 | 5,800,000 | 5,855,958 | ||
Bank of America Corp.: | ||||
3.248% Sr. Unsec. Nts., 10/21/27 | 4,073,000 | 3,995,137 | ||
3.593% [US0003M+137] Sr. Unsec. Nts., 7/21/283 | 600,000 | 598,182 | ||
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/283 | 3,221,000 | 3,271,057 | ||
4.271% [US0003M+131] Sr. Unsec. Nts., 7/23/293 | 4,245,000 | 4,427,942 | ||
7.75% Jr. Sub. Nts., 5/14/38 | 3,570,000 | 4,968,940 | ||
Bank of Ireland Group plc, 4.50% Sr. Unsec. Nts., 11/25/231 | 4,179,000 | 4,255,396 | ||
Bank of Montreal, Series E, 3.30% Sr. Unsec. Nts., 2/5/24 | 3,842,000 | 3,886,173 | ||
BNP Paribas SA: | ||||
4.375% [USSW5+148.3] Sub. Nts., 3/1/331,3 | 2,839,000 | 2,789,354 | ||
4.40% Sr. Unsec. Nts., 8/14/281 | 1,900,000 | 1,958,507 | ||
BPCE SA, 4.50% Sub. Nts., 3/15/251 | 2,943,000 | 2,963,869 | ||
Canadian Imperial Bank of Commerce, 3.10% Sr. Unsec. Nts., | ||||
4/2/247 | 5,020,000 | 5,009,609 | ||
Citigroup, Inc.: | ||||
4.075% [US0003M+119.2] Sr. Unsec. Nts., 4/23/293 | 4,219,000 | 4,333,147 | ||
4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/483 | 3,855,000 | 3,956,388 | ||
4.75% Sub. Nts., 5/18/46 | 1,946,000 | 2,015,972 |
17 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Commercial Banks (Continued) | ||||
Citizens Bank NA (Providence RI), 2.65% Sr. Unsec. Nts., | ||||
5/26/22 | $ | 1,014,000$ | 1,006,251 | |
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22 | 4,408,000 | 4,365,404 | ||
Credit Agricole SA, 4.375% Sub. Nts., 3/17/251 | 4,782,000 | 4,877,927 | ||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 2,461,000 | 2,508,738 | ||
First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 2,132,000 | 2,093,945 | ||
Fortis, Inc., 3.055% Sr. Unsec. Nts., 10/4/26 | 3,102,000 | 2,972,353 | ||
HSBC Holdings plc: | ||||
3.95% [US0003M+98.72] Sr. Unsec. Nts., 5/18/243 | 1,709,000 | 1,744,779 | ||
4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/283 | 2,142,000 | 2,162,001 | ||
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/293 | 2,854,000 | 3,005,859 | ||
Huntington Bancshares, Inc., 4.00% Sr. Unsec. Nts., 5/15/25 | 5,274,000 | 5,493,196 | ||
JPMorgan Chase & Co.: | ||||
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/283 | 3,969,000 | 3,978,617 | ||
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/283 | 5,368,000 | 5,477,593 | ||
3.797% [US0003M+89] Sr. Unsec. Nts., 7/23/243 | 5,275,000 | 5,421,416 | ||
4.26% [US0003M+158] Sr. Unsec. Nts., 2/22/483 | 1,665,000 | 1,713,201 | ||
KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26 | 3,162,000 | 3,139,077 | ||
KeyCorp, 4.15% Sr. Unsec. Nts., 10/29/25 | 1,722,000 | 1,815,640 | ||
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. | ||||
Perpetual Bonds1,3,12 | 4,718,000 | 4,835,950 | ||
Nordea Bank Abp, 4.625% [USSW5+169] Sub. Nts., | ||||
9/13/331,3 | 1,874,000 | 1,895,187 | ||
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. | ||||
Nts., 5/19/27 | 3,749,000 | 3,761,861 | ||
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22 | 2,893,000 | 2,873,114 | ||
Royal Bank of Canada, 3.70% Sr. Unsec. Nts., 10/5/23 | 4,593,000 | 4,750,272 | ||
Societe Generale SA, 3.875% Sr. Unsec. Nts., 3/28/241 | 4,001,000 | 4,018,012 | ||
SunTrust Bank (Atlanta GA): | ||||
3.30% Sub. Nts., 5/15/26 | 1,798,000 | 1,785,112 | ||
4.05% Sr. Unsec. Nts., 11/3/25 | 2,281,000 | 2,406,900 | ||
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22 | 2,818,000 | 2,787,707 | ||
US Bancorp, 3.10% Sub. Nts., 4/27/26 | 3,200,000 | 3,199,581 | ||
Wells Fargo & Co.: | ||||
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/283 | 3,927,000 | 3,950,412 | ||
4.75% Sub. Nts., 12/7/46 | 2,512,000 | 2,635,097 | ||
144,960,833 | ||||
Consumer Finance0.6% | ||||
Capital One Financial Corp.: | ||||
3.75% Sr. Unsec. Nts., 3/9/27 | 1,666,000 | 1,641,765 | ||
3.90% Sr. Unsec. Nts., 1/29/24 | 2,443,000 | 2,499,027 | ||
Discover Bank, 4.65% Sr. Unsec. Nts., 9/13/28 | 1,945,000 | 2,039,540 | ||
Discover Financial Services, 3.75% Sr. Unsec. Nts., 3/4/25 | 1,743,000 | 1,739,515 | ||
Synchrony Financial, 4.25% Sr. Unsec. Nts., 8/15/24 | 3,914,000 | 3,941,964 | ||
11,861,811 |
18 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Diversified Financial Services0.4% | ||||
Berkshire Hathaway Energy Co., 3.80% Sr. Unsec. Nts., | ||||
7/15/48 | $ | 1,172,000$ | 1,124,287 | |
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., | ||||
2/15/251 | 1,973,000 | 2,003,627 | ||
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., | ||||
5/15/533 | 4,857,000 | 4,791,309 | ||
7,919,223 | ||||
Insurance1.8% | ||||
Aflac, Inc., 4.75% Sr. Unsec. Nts., 1/15/49 | 1,786,000 | 1,979,894 | ||
AXA Equitable Holdings, Inc., 4.35% Sr. Unsec. Nts., 4/20/28 | 2,560,000 | 2,603,668 | ||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 2,509,000 | 2,605,813 | ||
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/27 | 1,096,000 | 989,596 | ||
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27 | 3,639,000 | 3,558,663 | ||
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. | ||||
Nts., 3/15/48 | 3,018,000 | 3,061,338 | ||
Lincoln National Corp., 3.80% Sr. Unsec. Nts., 3/1/28 | 2,961,000 | 3,006,238 | ||
Manulife Financial Corp., 4.061% [USISDA05+164.7] Sub. | ||||
Nts., 2/24/323 | 3,001,000 | 2,921,666 | ||
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 1,731,000 | 1,760,388 | ||
Prudential Financial, Inc.: | ||||
4.35% Sr. Unsec. Nts., 2/25/50 | 1,955,000 | 2,027,038 | ||
5.20% [US0003M+304] Jr. Sub. Nts., 3/15/443 | 3,888,000 | 3,935,822 | ||
5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/453 | 887,000 | 898,358 | ||
Swiss Re Finance Luxembourg SA, 5.00% [H15T5Y+358.2] | ||||
Sub. Nts., 4/2/491,3,7 | 6,167,000 | 6,241,491 | ||
35,589,973 | ||||
Real Estate Investment Trusts (REITs)1.1% | ||||
American Tower Corp.: | ||||
3.00% Sr. Unsec. Nts., 6/15/23 | 4,354,000 | 4,343,718 | ||
4.00% Sr. Unsec. Nts., 6/1/25 | 2,732,000 | 2,815,132 | ||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 2,856,000 | 2,943,817 | ||
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., | ||||
9/1/27 | 2,451,000 | 2,414,595 | ||
Digital Realty Trust LP, 3.40% Sr. Unsec. Nts., 10/1/20 | 445,000 | 448,364 | ||
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26 | 4,625,000 | 4,850,469 | ||
VEREIT Operating Partnership LP, 4.625% Sr. Unsec. Nts., | ||||
11/1/25 | 4,739,000 | 4,908,891 | ||
22,724,986 | ||||
Health Care4.3% | ||||
Biotechnology0.9% | ||||
AbbVie, Inc.: | ||||
3.75% Sr. Unsec. Nts., 11/14/23 | 5,223,000 | 5,367,217 | ||
4.875% Sr. Unsec. Nts., 11/14/48 | 2,117,000 | 2,088,870 | ||
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48 | 1,437,000 | 1,446,458 | ||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 1,527,000 | 1,622,427 | ||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 | 2,009,000 | 2,109,737 |
19 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Biotechnology (Continued) | ||||
Shire Acquisitions Investments Ireland DAC, 2.40% Sr. Unsec. | ||||
Nts., 9/23/21 | $ | 5,388,000$ | 5,328,988 | |
17,963,697 | ||||
Health Care Equipment & Supplies0.7% | ||||
Becton Dickinson & Co., 3.70% Sr. Unsec. Nts., 6/6/27 | 4,151,000 | 4,143,278 | ||
Boston Scientific Corp., 4.00% Sr. Unsec. Nts., 3/1/28 | 4,752,000 | 4,893,868 | ||
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/251 | 4,959,000 | 4,958,008 | ||
13,995,154 | ||||
Health Care Providers & Services1.2% | ||||
Cigna Corp., 4.125% Sr. Unsec. Nts., 11/15/251 | 3,980,000 | 4,124,329 | ||
CVS Health Corp.: | ||||
2.125% Sr. Unsec. Nts., 6/1/21 | 5,164,000 | 5,075,315 | ||
5.05% Sr. Unsec. Nts., 3/25/48 | 4,578,000 | 4,621,285 | ||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. | ||||
Nts., 1/31/221 | 4,578,000 | 4,845,653 | ||
McKesson Corp., 3.65% Sr. Unsec. Nts., 11/30/20 | 4,633,000 | 4,691,368 | ||
23,357,950 | ||||
Life Sciences Tools & Services0.5% | ||||
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/261 | 4,833,000 | 4,962,911 | ||
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20 | 3,768,000 | 3,870,950 | ||
Thermo Fisher Scientific, Inc., 4.15% Sr. Unsec. Nts., 2/1/24 | 2,063,000 | 2,158,107 | ||
10,991,968 | ||||
Pharmaceuticals1.0% | ||||
Bayer US Finance II LLC, 3.875% Sr. Unsec. Nts., 12/15/231 | 5,258,000 | 5,303,432 | ||
Elanco Animal Health, Inc., 4.90% Sr. Unsec. Nts., 8/28/281 | 2,298,000 | 2,444,036 | ||
Mylan NV, 3.15% Sr. Unsec. Nts., 6/15/21 | 5,188,000 | 5,178,671 | ||
Takeda Pharmaceutical Co. Ltd.: | ||||
4.00% Sr. Unsec. Nts., 11/26/211 | 4,523,000 | 4,640,956 | ||
5.00% Sr. Unsec. Nts., 11/26/281 | 2,587,000 | 2,809,515 | ||
20,376,610 | ||||
Industrials3.4% | ||||
Aerospace & Defense1.0% | ||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251 | 3,983,000 | 4,030,111 | ||
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., | ||||
12/1/27 | 2,822,000 | 2,766,689 | ||
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 6/15/23 | 5,301,000 | 5,468,592 | ||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | 2,760,000 | 2,993,533 | ||
United Technologies Corp.: | ||||
3.35% Sr. Unsec. Nts., 8/16/21 | 1,293,000 | 1,311,126 | ||
3.95% Sr. Unsec. Nts., 8/16/25 | 3,232,000 | 3,361,910 | ||
19,931,961 |
20 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Air Freight & Couriers0.1% | ||||
FedEx Corp., 3.40% Sr. Unsec. Nts., 1/14/22 | $ | 1,645,000$ | 1,668,201 | |
Building Products0.4% | ||||
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27 | 4,291,000 | 4,085,599 | ||
Fortune Brands Home & Security, Inc., 4.00% Sr. Unsec. Nts., | ||||
9/21/23 | 4,958,000 | 5,100,010 | ||
9,185,609 | ||||
Electrical Equipment0.2% | ||||
Sensata Technologies BV: | ||||
5.00% Sr. Unsec. Nts., 10/1/251 | 2,715,000 | 2,796,450 | ||
5.625% Sr. Unsec. Nts., 11/1/241 | 1,987,000 | 2,126,090 | ||
4,922,540 | ||||
Industrial Conglomerates0.1% | ||||
GE Capital International Funding Co. Unlimited Co., 3.373% | ||||
Sr. Unsec. Nts., 11/15/25 | 1,652,000 | 1,605,646 | ||
Machinery0.3% | ||||
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19 | 465,000 | 463,082 | ||
Ingersoll-Rand Luxembourg Finance SA, 3.80% Sr. Unsec. | ||||
Nts., 3/21/29 | 2,458,000 | 2,495,796 | ||
Nvent Finance Sarl, 4.55% Sr. Unsec. Nts., 4/15/28 | 2,620,000 | 2,637,443 | ||
5,596,321 | ||||
Professional Services0.2% | ||||
IHS Markit Ltd., 4.125% Sr. Unsec. Nts., 8/1/23 | 3,316,000 | 3,385,934 | ||
Road & Rail0.5% | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. | ||||
Unsec. Nts., 11/15/261 | 4,245,000 | 4,069,468 | ||
Ryder System, Inc.: | ||||
3.50% Sr. Unsec. Nts., 6/1/21 | 1,241,000 | 1,256,729 | ||
3.75% Sr. Unsec. Nts., 6/9/23 | 5,250,000 | 5,380,556 | ||
10,706,753 | ||||
Trading Companies & Distributors0.6% | ||||
Air Lease Corp.: | ||||
3.25% Sr. Unsec. Nts., 3/1/25 | 1,679,000 | 1,616,975 | ||
3.625% Sr. Unsec. Nts., 4/1/27 | 1,765,000 | 1,663,884 | ||
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28 | 3,090,000 | 2,950,208 | ||
Mitsubishi UFJ Financial Group, Inc., 3.741% Sr. Unsec. Nts., | ||||
3/7/29 | 3,054,000 | 3,139,579 | ||
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., | ||||
10/15/25 | 2,670,000 | 2,643,300 | ||
12,013,946 |
21 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Information Technology3.6% | ||||
Communications Equipment0.2% | ||||
Motorola Solutions, Inc., 4.60% Sr. Unsec. Nts., 2/23/28 | $ | 3,917,000$ | 3,956,087 | |
Electronic Equipment, Instruments, & Components0.4% | ||||
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28 | 3,969,000 | 3,828,155 | ||
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24 | 631,000 | 666,494 | ||
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 | 3,740,000 | 3,789,747 | ||
8,284,396 | ||||
IT Services0.7% | ||||
DXC Technology Co.: | ||||
2.875% Sr. Unsec. Nts., 3/27/20 | 2,944,000 | 2,943,053 | ||
4.75% Sr. Unsec. Nts., 4/15/27 | 3,922,000 | 3,990,349 | ||
Fidelity National Information Services, Inc., 4.25% Sr. Unsec. | ||||
Nts., 5/15/28 | 2,579,000 | 2,656,462 | ||
VeriSign, Inc.: | ||||
4.75% Sr. Unsec. Nts., 7/15/27 | 2,683,000 | 2,693,383 | ||
5.25% Sr. Unsec. Nts., 4/1/25 | 1,611,000 | 1,693,564 | ||
13,976,811 | ||||
Semiconductors & Semiconductor Equipment1.3% | ||||
Broadcom, Inc.: | ||||
3.125% Sr. Unsec. Nts., 4/15/211,7 | 7,199,000 | 7,190,505 | ||
4.25% Sr. Unsec. Nts., 4/15/261,7 | 5,890,000 | 5,846,473 | ||
4.75% Sr. Unsec. Nts., 4/15/291,7 | 2,291,000 | 2,280,118 | ||
Microchip Technology, Inc., 3.922% Sr. Sec. Nts., 6/1/211 | 5,261,000 | 5,310,110 | ||
NXP BV/NXP Funding LLC, 4.125% Sr. Unsec. Nts., 6/1/211 | 4,874,000 | 4,977,621 | ||
25,604,827 | ||||
Software0.3% | ||||
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25 | 1,675,000 | 1,732,397 | ||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231 | 2,458,000 | 2,531,740 | ||
VMware, Inc., 3.90% Sr. Unsec. Nts., 8/21/27 | 2,677,000 | 2,577,950 | ||
6,842,087 | ||||
Technology Hardware, Storage & Peripherals0.7% | ||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 | 2,911,000 | 3,177,232 | ||
Dell International LLC/EMC Corp., 5.30% Sr. Sec. Nts., | ||||
10/1/291 | 4,963,000 | 5,004,939 | ||
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., | ||||
10/15/20 | 5,252,000 | 5,302,824 | ||
13,484,995 | ||||
Materials2.2% | ||||
Chemicals1.0% | ||||
Dow Chemical Co. (The), 4.55% Sr. Unsec. Nts., 11/30/251 | 3,353,000 | 3,543,576 | ||
DowDuPont, Inc., 5.419% Sr. Unsec. Nts., 11/15/48 | 2,045,000 | 2,325,291 | ||
Eastman Chemical Co., 3.50% Sr. Unsec. Nts., 12/1/21 | 2,135,000 | 2,168,544 |
22 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Chemicals (Continued) | ||||
Nutrien Ltd.: | ||||
4.875% Sr. Unsec. Nts., 3/30/20 | $ | 780,000$ | 795,612 | |
5.00% Sr. Unsec. Nts., 4/1/497 | 1,352,000 | 1,415,332 | ||
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 | 4,665,000 | 4,839,937 | ||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., | ||||
11/15/22 | 3,318,000 | 3,322,656 | ||
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/281 | 2,688,000 | 2,809,740 | ||
21,220,688 | ||||
Construction Materials0.3% | ||||
James Hardie International Finance DAC, 4.75% Sr. Unsec. | ||||
Nts., 1/15/251 | 3,024,000 | 2,993,760 | ||
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., | ||||
12/15/27 | 2,593,000 | 2,503,271 | ||
5,497,031 | ||||
Containers & Packaging0.2% | ||||
Packaging Corp. of America, 3.65% Sr. Unsec. Nts., 9/15/24 | 745,000 | 749,932 | ||
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25 | 3,315,000 | 3,269,419 | ||
4,019,351 | ||||
Metals & Mining0.6% | ||||
Anglo American Capital plc, 3.625% Sr. Unsec. Nts., 9/11/241 | 1,368,000 | 1,357,165 | ||
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25 | 4,430,000 | 4,917,379 | ||
Steel Dynamics, Inc., 4.125% Sr. Unsec. Nts., 9/15/25 | 5,066,000 | 4,977,345 | ||
11,251,889 | ||||
Paper & Forest Products0.1% | ||||
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 | 2,196,000 | 2,196,000 | ||
Telecommunication Services2.0% | ||||
Diversified Telecommunication Services1.6% | ||||
AT&T, Inc.: | ||||
4.30% Sr. Unsec. Nts., 2/15/30 | 3,909,000 | 3,962,956 | ||
4.35% Sr. Unsec. Nts., 6/15/45 | 1,635,000 | 1,505,510 | ||
4.50% Sr. Unsec. Nts., 3/9/48 | 2,268,000 | 2,139,484 | ||
British Telecommunications plc: | ||||
4.50% Sr. Unsec. Nts., 12/4/23 | 3,235,000 | 3,386,615 | ||
9.625% Sr. Unsec. Nts., 12/15/30 | 4,310,000 | 6,170,218 | ||
Deutsche Telekom International Finance BV, 4.375% Sr. | ||||
Unsec. Nts., 6/21/281 | 2,309,000 | 2,405,073 | ||
Telefonica Emisiones SA: | ||||
4.103% Sr. Unsec. Nts., 3/8/27 | 1,341,000 | 1,360,104 | ||
5.213% Sr. Unsec. Nts., 3/8/47 | 2,144,000 | 2,180,938 | ||
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26 | 4,494,000 | 4,808,580 | ||
Verizon Communications, Inc.: | ||||
4.125% Sr. Unsec. Nts., 8/15/46 | 2,250,000 | 2,187,890 |
23 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Diversified Telecommunication Services (Continued) | ||||
Verizon Communications, Inc.: (Continued) | ||||
4.522% Sr. Unsec. Nts., 9/15/48 | $ | 2,733,000$ | 2,812,907 | |
32,920,275 | ||||
Wireless Telecommunication Services0.4% | ||||
Vodafone Group plc: | ||||
3.75% Sr. Unsec. Nts., 1/16/24 | 5,215,000 | 5,264,560 | ||
7.00% [USSW5+487.3] Sub. Nts., 4/4/793,7 | 1,944,000 | 1,977,928 | ||
7,242,488 | ||||
Utilities2.5% | ||||
Electric Utilities1.8% | ||||
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., 6/1/281 | 2,694,000 | 2,811,818 | ||
Duke Energy Corp., 3.75% Sr. Unsec. Nts., 9/1/46 | 1,111,000 | 1,042,942 | ||
Edison International: | ||||
2.125% Sr. Unsec. Nts., 4/15/20 | 2,127,000 | 2,111,241 | ||
2.95% Sr. Unsec. Nts., 3/15/23 | 3,255,000 | 3,025,359 | ||
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/241 | 3,689,000 | 3,668,187 | ||
Emera US Finance LP, 2.70% Sr. Unsec. Nts., 6/15/21 | 2,866,000 | 2,841,604 | ||
Exelon Corp.: | ||||
2.45% Sr. Unsec. Nts., 4/15/21 | 2,432,000 | 2,405,101 | ||
4.45% Sr. Unsec. Nts., 4/15/46 | 1,380,000 | 1,426,889 | ||
FirstEnergy Corp., 3.90% Sr. Unsec. Nts., 7/15/27 | 2,896,000 | 2,943,397 | ||
Mid-Atlantic Interstate Transmission LLC, 4.10% Sr. Unsec. | ||||
Nts., 5/15/281 | 2,698,000 | 2,772,199 | ||
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., | ||||
9/15/241 | 5,031,000 | 5,012,134 | ||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. | ||||
Unsec. Unsub. Nts., 5/1/211 | 4,885,000 | 5,045,482 | ||
TECO Finance, Inc., 5.15% Sr. Unsec. Nts., 3/15/20 | 2,620,000 | 2,674,319 | ||
37,780,672 | ||||
Independent Power and Renewable Electricity Producers0.1% | ||||
PSEG Power LLC, 3.00% Sr. Unsec. Nts., 6/15/21 | 1,440,000 | 1,434,076 | ||
Multi-Utilities0.6% | ||||
CenterPoint Energy, Inc.: | ||||
3.60% Sr. Unsec. Nts., 11/1/21 | 3,241,000 | 3,291,065 | ||
4.25% Sr. Unsec. Nts., 11/1/28 | 2,296,000 | 2,382,425 | ||
Dominion Energy, Inc.: | ||||
2.579% Jr. Sub. Nts., 7/1/20 | 5,060,000 | 5,033,542 | ||
4.60% Sr. Unsec. Nts., 3/15/49 | 1,230,000 | 1,282,718 | ||
11,989,750 | ||||
Total Corporate Bonds and Notes (Cost $970,410,370) | 982,337,062 | |||
Short-Term Notes18.1% | ||||
Auto Components0.5% | ||||
Magna International, Inc., 2.651%, 4/1/191,14,15 | 9,000,000 | 8,998,031 |
24 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||
Building Products0.4% | ||||
Assa Abloy Financial AB, 2.681%, 4/2/191,14,15 | $ | 8,500,000$ | 8,497,518 | |
Chemicals2.3% | ||||
Air Liquide US LLC, 2.602%, 4/4/191,14,15 | 9,000,000 | 8,996,397 | ||
Albemarle Corp., 2.664%, 4/8/191,14,15 | 8,900,000 | 8,892,949 | ||
Alliant Energy Corp., 2.671%, 4/3/1915 | 9,000,000 | 8,996,712 | ||
Eastman Chemical Co., 2.706%, 4/2/1914,15 | 5,900,000 | 5,898,271 | ||
Ecolab, Inc., 2.603%, 4/9/1915 | 9,000,000 | 8,992,699 | ||
Nutrien Ltd., 2.682%, 4/1/191,14,15 | 2,900,000 | 2,899,288 | ||
44,676,316 | ||||
Commercial Services & Supplies0.4% | ||||
Cintas Executive Service, 2.622%, 4/10/191,14,15 | 9,000,000 | 8,991,966 | ||
Computers & Peripherals0.4% | ||||
NetApp, Inc., 2.635%, 4/16/191,14,15 | 7,900,000 | 7,889,378 | ||
Containers & Packaging0.3% | ||||
International Paper Co., 2.653%, 4/9/191,14,15 | 5,000,000 | 4,995,944 | ||
Electric Utilities2.3% | ||||
Ameren Illinois Co., 2.651%, 4/1/1915 | 9,000,000 | 8,998,024 | ||
Commonwealth Edison Co., 2.704%, 4/9/1914,15 | 3,900,000 | 3,896,848 | ||
Duke Energy Corp., 2.703%, 4/9/191,14,15 | 4,000,000 | 3,996,755 | ||
Eversource Energy, 2.633%, 4/10/1914,15 | 9,000,000 | 8,991,966 | ||
Nextera Energy Capital Holdings, 2.671%, 4/4/191,14,15 | 9,000,000 | 8,996,036 | ||
Southern Company Funding Corp., 2.777%, 4/8/191,14,15 | 8,900,000 | 8,893,443 | ||
43,773,072 | ||||
Electrical Equipment0.5% | ||||
Eaton Corp., 2.642%, 4/5/191,14,15 | 9,000,000 | 8,995,371 | ||
Electronic Equipment & Instruments0.8% | ||||
Amphenol Corp., 2.601%, 4/1/1915 | 9,000,000 | 8,998,046 | ||
Tyco Electronics Group SA, 2.571%, 4/1/191,14,15 | 6,800,000 | 6,798,507 | ||
15,796,553 | ||||
Energy Equipment & Services0.5% | ||||
Schlumberger Holdings Corp., 2.644%, 4/2/191,14,15 | 2,900,000 | 2,899,144 | ||
TransCanada PipeLines Ltd, 2.746%, 4/24/191,14,15 | 7,000,000 | 6,986,223 | ||
9,885,367 | ||||
Food Products0.5% | ||||
General Mills, Inc., 2.601%, 4/3/1914,15 | 4,000,000 | 3,998,533 | ||
McCormick & Co, Inc., 2.654%, 4/1/191,14,15 | 3,900,000 | 3,899,137 | ||
Mondelez International, Inc, 2.665%, 4/4/1914,15 | 2,900,000 | 2,898,723 | ||
10,796,393 |
25 OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Principal Amount | Value | |||
Hotels, Restaurants & Leisure0.5% | ||||
Marriott International, Inc., 2.717%, 5/3/191,14,15 | $ | 6,000,000$ | 5,984,005 | |
Starbucks Corp., 2.591%, 4/2/191,14,15 | 4,000,000 | 3,998,823 | ||
9,982,828 | ||||
Household Durables0.8% | ||||
Leggett & Platt, Inc., 2.724%, 4/12/191,14,15 | 8,900,000 | 8,890,783 | ||
Mohawk Industries, Inc., 2.737%, 4/22/191,14,15 | 8,900,000 | 8,883,862 | ||
17,774,645 | ||||
Household Products0.9% | ||||
Church & Dwight Co, Inc., 2.571%, 4/3/191,14,15 | 9,000,000 | 8,996,700 | ||
Clorox Co. (The), 2.685%, 4/22/191,14,15 | 9,000,000 | 8,983,680 | ||
17,980,380 | ||||
Industrial Conglomerates0.4% | ||||
Johnson Controls International plc, 2.701%, 4/1/191,14,15 | 8,000,000 | 7,998,243 | ||
Leasing & Factoring0.7% | ||||
Harley-Davidson Financial Services, Inc., 2.636%, 4/25/1914,15 | 6,000,000 | 5,987,724 | ||
Hitachi Capital America Corp., 2.706%, 4/17/1915 | 8,900,000 | 8,887,332 | ||
14,875,056 | ||||
Machinery1.1% | ||||
Parker-Hannifin Corp., 2.656%, 4/25/191,14,15 | 9,000,000 | 8,983,456 | ||
Snap-on, Inc., 2.551%, 4/2/191,14,15 | 9,000,000 | 8,997,362 | ||
Xylem, Inc., 2.684%, 4/10/1914,15 | 3,900,000 | 3,896,545 | ||
21,877,363 | ||||
Metals & Mining0.4% | ||||
Glencore Funding, 3.109%, 4/8/1914,15 | 8,800,000 | 8,793,388 | ||
Multiline Retail0.4% | ||||
Dollar General Corp., 2.727%, 4/22/191,14,15 | 8,900,000 | 8,883,862 | ||
Multi-Utilities0.7% | ||||
CenterPoint Energy Resources Corp., 2.704%, 4/15/191,14,15 | 5,000,000 | 4,993,765 | ||
Xcel Energy, Inc., 2.663%, 4/12/1914,15 | 9,000,000 | 8,990,680 | ||
13,984,445 | ||||
Oil, Gas & Consumable Fuels0.5% | ||||
ENI Finance USA, Inc., 2.777%, 4/15/1914,15 | 8,900,000 | 8,888,703 | ||
Paper, Containers & Packaging0.4% | ||||
Avery Dennison, 2.613%, 4/3/1914,15 | 8,900,000 | 8,896,844 | ||
Specialty Retail0.4% | ||||
Relx, Inc., 2.633%, 4/3/191,14,15 | 8,900,000 | 8,896,736 |
26 OPPENHEIMER TOTAL RETURN BOND FUND
Principal Amount | Value | |||||||
Telephone Utilities0.8% | ||||||||
Bell Canada, Inc., 2.686%, 4/8/1914,15 | $ | 8,900,000 | $ | 8,893,395 | ||||
Telus Corp., 2.706%, 4/18/191,15 | 8,900,000 | 8,886,625 | ||||||
17,780,020 | ||||||||
Textiles, Apparel & Luxury Goods0.4% | ||||||||
VF Corp., 2.694%, 4/12/191,14,15 | 7,900,000 | 7,891,757 | ||||||
Transportation Infrastructure0.4% | ||||||||
ERAC USA Finance Co., 2.776%, 4/24/191,14,15 | 9,000,000 | 8,982,287 | ||||||
Water Utilities0.4% | ||||||||
American Water Capital Corp., 2.666%, 4/5/1914,15 | 8,900,000 | 8,895,388 | ||||||
Total Short-Term Notes (Cost $365,757,337) | 365,677,854 | |||||||
Shares | ||||||||
Investment Company1.7% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, | ||||||||
2.42%16,17 (Cost $35,221,491) | 35,221,491 | 35,221,491 | ||||||
Total Investments, at Value (Cost $2,516,991,209) | 125.5% | 2,536,124,397 | ||||||
Net Other Assets (Liabilities) | (25.5) | (514,962,115) | ||||||
Net Assets | 100.0% | $ | 2,021,162,282 |
27 OPPENHEIMER TOTAL RETURN BOND FUND
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 $727,628,893 or 36.00% of the Fund's net assets at period end.
2. Restricted security. The aggregate value of restricted securities at period end was $5,174,244, which represents
0.26% of the Fund's net assets. See Note 3 of the accompanying Notes. Information concerning restricted securities
is as follows:
Unrealized | ||||||||
Acquisition | Appreciation/ | |||||||
Security | Dates | Cost | Value | (Depreciation) | ||||
GLS Auto Receivables Trust, Series | ||||||||
2018-1A, Cl. A, 2.82%, 7/15/22 | 1/30/18 $ | 3,025,867 | $ | 3,021,700 | $ | (4,167) | ||
Marathon Petroleum Corp., 3.80% Sr. | ||||||||
Unsec. Nts., 4/1/28 | 7/25/18 | 2,070,905 | 2,152,544 | 81,639 | ||||
$ | 5,096,772 | $ | 5,174,244 | $ | 77,472 | |||
3. Represents the current interest rate for a variable or increasing rate security, which may be fixed for a
predetermined period. The interest rate is, or will be as of an established date, determined as [Referenced Rate +
Basis-point spread].
4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage
loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase
in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on
which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment
rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed
represent current yields based upon the current cost basis and estimated timing and amount of future cash flows.
These securities amount to $32,021,454 or 1.58% of the Funds net assets at period end.
5. Interest rate is less than 0.0005%.
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of
mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise.
The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest
rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $67,609 or less than 0.005% of the Fund's net assets at period end.
7. 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.
8. The current amortization rate of the securitys cost basis exceeds the future interest payments currently estimated
to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment
speeds and are therefore subject to change.
9. The value of this security was determined using significant unobservable inputs. See Note 2 of the accompanying
Notes.
10. 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.
11. 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 $4,869,295. See Note 5 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
$5,855,958 or 0.29% of the Fund's net assets at period end.
14. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities
amount to $311,918,416 or 15.43% 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.
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, | Gross | Gross | Shares | |||||
2018 | Additions | Reductions March 31, 2019 | ||||||
Investment Company | ||||||||
Oppenheimer Institutional | ||||||||
Government Money Market Fund, | ||||||||
Cl. E | 37,424,899 | 546,542,900 | 548,746,308 | 35,221,491 | ||||
Change in | ||||||||
Realized | Unrealized | |||||||
Value | Income | Gain (Loss) | Gain (Loss) | |||||
Investment Company | ||||||||
Oppenheimer Institutional | ||||||||
Government Money Market Fund, | ||||||||
Cl. E | $ | 35,221,491 | $ | 54,773 | $ | $ | | |
a |
28 OPPENHEIMER TOTAL RETURN BOND FUND
Futures Contracts as of March 31, 2019 | |||||||||||
Unrealized | |||||||||||
Expiration | Number Notional Amount | Appreciation/ | |||||||||
Description | Buy/Sell | Date | of Contracts | (000 | 's) | Value (Depreciation) | |||||
United States | |||||||||||
Treasury Long | |||||||||||
Bonds | Buy | 6/19/19 | 565 | USD 82,721 $ | 84,555,781 | $ | 1,834,971 | ||||
United States | |||||||||||
Treasury Nts., 10 yr. | Buy | 6/19/19 | 246 | USD 30,547 | 30,557,813 | 10,486 | |||||
United States | |||||||||||
Treasury Nts., 2 yr. | Buy | 6/28/19 | 341 | USD 72,563 | 72,664,969 | 101,834 | |||||
United States | |||||||||||
Treasury Nts., 5 yr. | Sell | 6/28/19 | 587 | USD 67,523 | 67,991,109 | (467,944 | ) | ||||
United States Ultra | |||||||||||
Bonds | Buy | 6/19/19 | 977 | USD 158,171 164,136,000 | 5,964,887 | ||||||
$ | 7,444,234 | ||||||||||
Over-the-Counter Total Return Swaps at March 31, 2019 | |||||||||||
Pay/Receive | Notional | Unrealized | |||||||||
Counter- | Total | Maturity | Amount | Appreciation/ | |||||||
Reference Asset | party | Return* | Floating Rate | Date | (000's) | Value (Depreciation) | |||||
iBoxx USD Liquid IG | |||||||||||
Series 1 Version 1 | GSCO-OT | Pay | USD-LIBOR-BBA | 9/26/19 | USD 83,679 $ (1,812,855) $ (1,812,855) |
* 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: | ||
GSCO-OT | Goldman Sachs Bank USA | |
Definitions | ||
BBA LIBOR | British Bankers' Association London - Interbank Offered Rat | |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 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 |
29 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS March 31, 2019 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" or "NYSE") 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
30 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 Fund's 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
31 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 Manager’s own judgments about
assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated
with investing in those securities.
The Fund classifies each of its investments in 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 | $ | — $ | 265,824,929$ | — $ | 265,824,929 | ||||
Mortgage-Backed Obligations | — | 879,581,920 | 12,958 | 879,594,878 | |||||
U.S. Government Obligation | — | 7,468,183 | — | 7,468,183 | |||||
Corporate Bonds and Notes | — | 982,337,062 | — | 982,337,062 | |||||
Short-Term Notes | — | 365,677,854 | — | 365,677,854 | |||||
Investment Company | 35,221,491 | — | — | 35,221,491 | |||||
Total Investments, at Value | 35,221,491 | 2,500,889,948 | 12,958 | 2,536,124,397 | |||||
Other Financial Instruments: | |||||||||
Futures contracts | 7,912,178 | — | — | 7,912,178 | |||||
Total Assets | $ | 43,133,669$ $ 2,500,889,948 | 12,958 |
$ 2,544,036,575 |
|||||
Liabilities Table | |||||||||
Other Financial Instruments: | |||||||||
Swaps, at value | $ | — $ | (1,812,855) $ | — $ | (1,812,855) | ||||
Futures contracts | (467,944) | — | — | (467,944) | |||||
Total Liabilities | $ | (467,944) $ | (1,812,855) $ | — $ | (2,280,799) |
Forward currency exchange contracts and futures contracts, if any, are reported at their
unrealized appreciation/depreciation at measurement date, which represents the change in
the contract’s value from trade date. All additional assets and liabilities included in the above
table are reported at their market value at measurement date.
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 management investment
32 OPPENHEIMER TOTAL RETURN BOND FUND
3. Investments and Risks (Continued)
companies registered under the 1940 Act, as amended. The Manager is the investment
adviser of, and the Sub-Adviser provides investment and related advisory services to, the
Affiliated Funds. When applicable, the Fund's investments in Affiliated Funds are included in
the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per
share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds
expenses, including their management fee. The Manager will waive fees and/or reimburse
Fund expenses in an amount equal to the indirect management fees incurred through the
Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and
those risks can affect the value of the Funds investments and therefore the value of the
Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund
than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investments in Money Market Instruments. The Fund is permitted to invest its free
cash balances in money market instruments to provide liquidity or for defensive purposes. The
Fund may invest in money market instruments by investing in Class E shares of Oppenheimer
Institutional Government Money Market Fund ("IGMMF"), which is an Affiliated Fund. IGMMF
is regulated as a money market fund under the 1940 Act, as amended. The Fund may also
invest in money market instruments directly or in other affiliated or unaffiliated money market
funds.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase
securities on a when-issued basis, and may purchase or sell securities on a delayed
delivery basis. When-issued or delayed delivery refers to securities whose terms
and indenture are available and for which a market exists, but which are not available for
immediate delivery. Delivery and payment for securities that have been purchased by the Fund
on a when-issued basis normally takes place within six months and possibly as long as two
years or more after the trade date. During this period, such securities do not earn interest, are
subject to market fluctuation and may increase or decrease in value prior to their delivery. The
purchase of securities on a when-issued basis may increase the volatility of the Fund's net
asset value to the extent the Fund executes such transactions while remaining substantially
fully invested. When the Fund engages in when-issued or delayed delivery transactions, it
relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do
so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price
and yield it considers advantageous. The Fund may also sell securities that it purchased on a
when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery
basis and sold securities issued on a delayed delivery basis as follows:
33 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Investments and Risks (Continued) | ||
When-Issued or | ||
Delayed Delivery | ||
Basis Transactions | ||
Purchased securities | $ | 750,588,106 |
Sold securities | 204,498,304 |
The Fund may enter into forward roll transactions with respect to mortgage-related
securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and
simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at
a later date at a set price. During the period between the sale and the repurchase, the Fund
will not be entitled to receive interest and principal payments on the securities that have been
sold. The Fund records the incremental difference between the forward purchase and sale of
each forward roll as realized gain (loss) on investments or as fee income in the case of such
transactions that have an associated fee in lieu of a difference in the forward purchase and
sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund
purchases mortgage-related securities with extended settlement dates rather than paying for
the securities under a normal settlement cycle. This embedded leverage increases the Funds
market value of investments relative to its net assets which can incrementally increase the
volatility of the Funds performance. Forward roll transactions can be replicated over multiple
settlement periods.
Risks of entering into forward roll transactions include the potential inability of the
counterparty to meet the terms of the agreement; the potential of the Fund to receive
inferior securities at redelivery as compared to the securities sold to the counterparty; and
counterparty credit risk.
At period end, the counterparty pledged $5,251,813 of collateral to the Fund for forward
roll transactions.
At period end, the Fund pledged $277,000 of collateral to the counterparty for forward roll
transactions.
Restricted Securities. At period end, investments in securities included issues that are
restricted. A restricted security may have a contractual restriction on its resale and is valued
under methods approved by the Board of Trustees as reflecting fair value. Securities that are
restricted are marked with an applicable footnote on the Statement of Investments. Restricted
securities are reported on a schedule following the Statement of Investments.
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
34 OPPENHEIMER TOTAL RETURN BOND FUND
4. Market Risk Factors (Continued)
assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and
principal payments, or both, as they come due. In general, lower-grade, higher-yield debt
securities are subject to credit risk to a greater extent than lower-yield, higher-quality
securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to
increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the
U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar
value of a foreign currency denominated security will decrease as the dollar appreciates
against the currency, while the U.S. dollar value will increase as the dollar depreciates
against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income
securities resulting from the inverse relationship between price and yield. For example, an
increase in general interest rates will tend to reduce the market value of already issued
fixed-income investments, and a decline in general interest rates will tend to increase their
value. In addition, debt securities with longer maturities, which tend to have higher yields,
are subject to potentially greater fluctuations in value from changes in interest rates than
obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the
direction of the movement, in a financial instruments price over a defined time period.
Large increases or decreases in a financial instruments price over a relative time period
typically indicate greater volatility risk, while small increases or decreases in its price
typically indicate lower volatility risk.
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
35 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
using derivatives to decrease, or hedge, exposures to market risk factors for securities held by
the Fund, there are also risks that those derivatives may not perform as expected resulting in
losses for the combined or hedged positions. Some derivatives have the potential for unlimited
loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could
have significant effects on the valuation of the derivative and the Fund. Typically, the
associated risks are not the risks that the Fund is attempting to increase or decrease exposure
to, per its investment objectives, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be
able to sell the derivative in the open market in a timely manner, and counterparty credit risk,
which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund's actual exposures to these market risk factors and associated risks during the
period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial
instrument or currency at a negotiated price on a stipulated future date. The Fund may buy
and sell futures contracts and may also buy or write put or call options on these futures
contracts. Futures contracts and options thereon are generally entered into on a regulated
futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or
securities (initial margin) in an amount equal to a certain percentage of the contract value
in an account registered in the futures commission 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
36 OPPENHEIMER TOTAL RETURN BOND FUND
5. Use of Derivatives (Continued)
$227,844,953 and $224,752,611 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.
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.
37 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
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.
For the reporting period, the Fund had ending monthly average notional amounts of
$20,919,676 on total return swaps which are short the reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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 Fund's International Swap and
Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to
have an entitlement to receive) a single net payment in the event of default (close-out netting)
for outstanding payables and receivables with respect to certain OTC positions in swaps,
options, swaptions, and forward currency exchange contracts for each individual counterparty.
In addition, the Fund may require that certain counterparties post cash and/or securities
in collateral accounts to cover their net payment obligations for those derivative contracts
subject to ISDA master agreements. If the counterparty fails to perform under these contracts
and agreements, the cash and/or securities will be made available to the Fund.
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 as
compared to OTC derivatives. However, counterparty credit risk exists with respect to initial
38 OPPENHEIMER TOTAL RETURN BOND FUND
5. Use of Derivatives (Continued)
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.
39 OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Pending Acquisition
On October 18, 2018, Massachusetts Mutual Life Insurance Company, an indirect corporate
parent of the Sub-Adviser and the Manager, announced that it has entered into an agreement
whereby Invesco Ltd. (Invesco), a global investment management company, will acquire
the Sub-Adviser (the Transaction). In connection with the Transaction, on January 11, 2019,
the Funds Board unanimously approved an Agreement and Plan of Reorganization (the
Agreement), which provides for the transfer of the assets and liabilities of the Fund to a
corresponding, newly formed fund (the Acquiring Fund) in the Invesco family of funds (the
Reorganization) in exchange for shares of the corresponding Acquiring Fund of equal value
to the value of the shares of the Fund as of the close of business on the closing date. Although
the Acquiring Fund will be managed by Invesco Advisers, Inc., the Acquiring Fund will, as
of the closing date, have the same investment objective and substantially similar principal
investment strategies and risks as the Fund. After the Reorganization, Invesco Advisers, Inc.
will be the investment adviser to the Acquiring Fund, and the Fund will be liquidated and
dissolved under applicable law and terminate its registration under the Investment Company
Act of 1940, as amended. The Reorganization is expected to be a tax-free reorganization for
U.S. federal income tax purposes.
As of 5 p.m. Eastern Standard Time on April 12, 2019, the Reorganization has been
approved by shareholders of record of the Fund as of January 14, 2019. Accordingly, if certain
other closing conditions are satisfied or waived, the Reorganization is currently expected to
close on or about May 24, 2019, or as soon as practicable thereafter. This is subject to change.
40 OPPENHEIMER TOTAL RETURN BOND FUND