N-Q 1 g06062nvq.txt FORM N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-07255 Oppenheimer International Bond Fund (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: September 30 Date of reporting period: 06/30/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- U.S. GOVERNMENT OBLIGATIONS--0.3% U.S. Treasury Bills, 0.144%, 7/8/10(1,2) (Cost $31,199,559) $ 31,200,000 $ 31,199,559 ---------------- FOREIGN GOVERNMENT OBLIGATIONS--74.5% ARGENTINA--1.0% Argentina (Republic of) Bonds: 0.389%, 8/3/12(3) 20,126,250 18,081,880 2.50%, 12/31/38(3) 34,570,000 12,574,838 Series GDP, 2.724%, 12/15/35(3) 26,370,000 2,142,563 Series V, 7%, 3/28/11 14,240,000 14,039,849 Series VII, 7%, 9/12/13 5,230,000 4,539,785 Argentina (Republic of) Sr. Unsec. Nts., 7%, 10/3/15 89,470,000 70,310,994 ---------------- 121,689,909 AUSTRALIA--0.3% Australia (Commonwealth of) Sr. Unsec. Bonds, Series 119, 6.50%, 4/15/15 46,110,000 AUD 41,407,440 ---------------- AUSTRIA--0.6% Austria (Republic of) Unsub. Bonds, 4.15%, 3/15/37(4) 56,210,000 EUR 72,757,156 ---------------- BELGIUM--1.2% Belgium (Kingdom of) Bonds: Series 44, 5%, 3/28/35 28,185,000 EUR 39,677,481 Series 60, 4.25%, 3/28/41 87,160,000 EUR 108,369,011 ---------------- 148,046,492 BELIZE--0.0% Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/29(3,5) 6,100,000 4,544,500 ---------------- BRAZIL--6.1% Brazil (Federal Republic of) Bonds: 6%, 1/17/17 30,595,000 33,807,475 8%, 1/15/18 12,902,222 15,031,089 8.875%, 10/14/19 24,260,000 31,841,250 ---------------- Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: 9.762%, 1/1/12 262,928,000 BRR 141,668,374 9.762%, 1/1/14 59,480,000 BRR 30,912,234 9.762%, 1/1/17 745,675,000 BRR 373,368,768 10%, 1/1/21 106,100,000 BRR 50,997,362 11.377%, 5/15/45 32,095,000 BRR 32,920,504 Brazil (Federal Republic of) Sr. Nts., 5.875%, 1/15/19 29,810,000 32,865,525 ---------------- 743,412,581 CANADA--1.9% Canada (Government of) Nts.: 4%, 6/1/17 101,525,000 CAD 102,850,628 4.25%, 6/1/18 33,330,000 CAD 34,309,346 Ontario (Province of) Nts., 4.50%, 12/2/12 92,080,000 CAD 91,638,867 ---------------- 228,798,841 COLOMBIA--1.2% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28(4) 16,413,000,000 COP 10,035,029 Colombia (Republic of) Bonds: 7.375%, 9/18/37 13,360,000 15,764,800 12%, 10/22/15 34,907,000,000 COP 23,679,208 ----------------
1 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 $ 18,875,000 $ 22,178,125 Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 21,600,000 21,978,000 Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 24,071,000,000 COP 13,614,114 Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 9,320,000 10,857,800 Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 37,684,000,000 COP 25,639,760 ---------------- 143,746,836 DENMARK--0.3% Denmark (Kingdom of) Bonds, 4%, 11/15/17 222,690,000 DKK 40,673,758 ---------------- DOMINICAN REPUBLIC--0.1% Dominican Republic Bonds, 7.50%, 5/6/21(4) 10,100,000 10,453,500 ---------------- EGYPT--1.3% Egypt (The Arab Republic of) Sr. Unsec. Unsub. Nts.: 5.75%, 4/29/20(4) 6,750,000 6,842,813 6.875%, 4/30/40(4) 7,300,000 7,154,000 Egypt (The Arab Republic of) Treasury Bills: 10.382%, 11/16/10(6) 65,850,000 EGP 11,114,153 Series 91, 10.264%, 8/10/10(6) 33,000,000 EGP 5,736,154 Series 182, 10.221%, 7/6/10(6) 61,350,000 EGP 10,762,692 Series 182, 10.603%, 7/13/10(6) 182,450,000 EGP 31,960,941 Series 182, 10.198%, 8/3/10(6) 36,350,000 EGP 6,326,055 Series 182, 9.820%, 8/24/10(6) 62,700,000 EGP 10,856,424 Series 182, 10.380%, 12/14/10(6) 74,650,000 EGP 12,520,388 Series 273, 10.216%, 7/20/10(6) 72,050,000 EGP 12,573,332 Series 273, 10.059%, 10/5/10(6) 107,350,000 EGP 18,369,647 Series 364, 10.438%, 12/21/10(6) 32,950,000 EGP 5,511,721 Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/12(4) 108,205,000 EGP 19,139,139 ---------------- 158,867,459 GERMANY--5.0% Germany (Federal Republic of) Bonds: 0.50%, 6/15/12 82,925,000 EUR 101,229,221 3.50%, 7/4/19(2) 124,810,000 EUR 165,287,323 Series 07, 4.25%, 7/4/39 55,060,000 EUR 79,462,374 Series 157, 2.25%, 4/10/15 210,825,000 EUR 267,229,247 ---------------- 613,208,165 GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17(4) 16,350,000 17,290,125 ---------------- GREECE--0.2% Hellenic Republic Bonds, 4.30%, 3/20/12 7,305,000 EUR 8,202,850 Hellenic Republic Sr. Unsec. Unsub. Bonds: 30 yr., 4.50%, 9/20/37 12,255,000 EUR 7,670,315 30 yr., 4.60%, 9/20/40 4,910,000 EUR 3,102,193 ---------------- 18,975,358
2 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- HUNGARY--0.8% Hungary (Republic of) Bonds: Series 15/A, 8%, 2/12/15 6,174,000,000 HUF $ 27,108,532 Series 17/B, 6.75%, 2/24/17 11,695,500,000 HUF 47,864,040 Series 19/A, 6.50%, 6/24/19 4,959,000,000 HUF 19,594,995 ---------------- 94,567,567 INDONESIA--1.5% Indonesia (Republic of) Nts.: 6.875%, 1/17/18(4) 41,530,000 47,240,375 7.25%, 4/20/15(4) 14,860,000 17,089,000 Indonesia (Republic of) Sr. Unsec. Nts.: 7.75%, 1/17/38(4) 26,915,000 32,028,850 10.375%, 5/4/14(4) 10,600,000 13,091,000 11.625%, 3/4/19(4) 8,400,000 12,117,000 Indonesia (Republic of) Sr. Unsec. Unsub. Bonds: 5.875%, 3/13/20(4) 19,640,000 20,818,400 6.625% 2/17/37(4) 2,070,000 2,194,200 Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35(4) 29,980,000 38,149,550 ---------------- 182,728,375 ISRAEL--1.2% Israel (State of) Bonds: 5%, 1/31/20 278,860,000 ILS 75,880,248 6%, 2/28/19 261,340,000 ILS 75,806,760 ---------------- 151,687,008 ITALY--4.4% Italy (Republic of) Bonds: 4%, 9/1/20 75,905,000 EUR 92,756,029 5%, 9/1/40 76,095,000 EUR 93,247,269 Italy (Republic of) Treasury Bonds: 3.75%, 12/15/13 237,674,000 EUR 301,235,577 5.25%, 8/1/11 35,885,000 EUR 45,545,901 ---------------- 532,784,776 JAPAN--17.3% Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29(7) 36,971,000,000 JPY 439,697,109 Japan (Government of) Sr. Unsec. Bonds: 2 yr., 0.20%, 1/15/12(7) 40,578,000,000 JPY 459,315,056 5 yr., 0.50%, 12/20/14(7) 53,428,000,000 JPY 609,829,724 10 yr., Series 308, 1.30%, 6/20/20(7) 52,752,000,000 JPY 608,839,760 ---------------- 2,117,681,649 KOREA, REPUBLIC OF SOUTH--8.2% Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: 4.18%, 12/2/11 194,730,000,000 KRW 161,127,914 Series 1202, 4.12%, 2/2/12 237,089,000,000 KRW 195,912,330 Series 1204, 3.62%, 4/2/12 269,115,000,000 KRW 220,341,905 Series 1206, 3.68%, 6/2/12 449,671,000,000 KRW 367,849,509
3 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- Korea (Republic of) Treasury Bonds, Series 0475-1112, 4.75%, 12/10/11 65,030,000,000 KRW $ 54,223,908 ---------------- 999,455,566 MALAYSIA--2.2% 1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/15(4) 23,800,000 24,217,714 Malaysia (Government of) Bonds, Series 0110, 3.835%, 8/12/15 74,665,000 MYR 23,341,029 Malaysia (Government of) Sr. Unsec. Bonds: Series 3/03, 3.702%, 2/25/13 275,615,000 MYR 86,316,488 Series 5/06, 3.718%, 6/15/12 26,665,000 MYR 8,349,131 Series 0108, 3.461%, 7/31/13 17,775,000 MYR 5,525,129 Series 0109, 2.509%, 8/27/12 35,570,000 MYR 10,866,347 Series 0309, 2.711%, 2/14/12 102,215,000 MYR 31,473,475 Series 0507, 3.70%, 5/15/13 44,445,000 MYR 13,915,232 Series 0509, 3.21%, 5/31/13 191,130,000 MYR 59,037,533 ---------------- 263,042,078 MEXICO--3.6% United Mexican States Bonds: 5.625%, 1/15/17 32,640,000 35,985,600 Series M20, 7.50%, 6/3/27(3) 1,046,930,000 MXN 81,735,184 Series M10, 7.75%, 12/14/17 1,282,900,000 MXN 105,484,465 Series M10, 8%, 12/17/15 297,000,000 MXN 24,749,904 Series M10, 8.50%, 12/13/18 323,990,000 MXN 27,824,403 Series M20, 10%, 12/5/24 1,731,340,000 MXN 167,484,041 ---------------- 443,263,597 NORWAY--0.1% Norway (Kingdom of) Bonds, 6.50%, 5/15/13 90,295,000 NOK 15,473,866 ---------------- PANAMA--0.4% Panama (Republic of) Bonds: 7.25%, 3/15/15 14,290,000 16,612,125 8.875%, 9/30/27 6,640,000 8,881,000 9.375%, 4/1/29 6,770,000 9,410,300 Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 7,870,000 9,227,575 ---------------- 44,131,000 PERU--0.3% Peru (Republic of) Bonds, 7.35%, 7/21/25 30,020,000 36,099,050 Peru (Republic of) Sr. Nts., 4.533%, 2/28/16(6) 1,426,420 1,184,784 ---------------- 37,283,834 PHILIPPINES--0.3% Philippines (Republic of the) Bonds, 8%, 1/15/16 6,105,000 7,424,901 Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 30,760,000 30,950,712 ---------------- 38,375,613 POLAND--0.3% Poland (Republic of) Bonds, Series 0414, 5.75%, 4/25/14 120,220,000 PLZ 36,017,662
4 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- SOUTH AFRICA--2.8% South Africa (Republic of) Bonds: 5.50%, 3/9/20 $ 14,000,000 $ 14,542,500 Series R208, 6.75%, 3/31/21 308,610,000 ZAR 34,374,490 Series R207, 7.25%, 1/15/20 1,126,260,000 ZAR 132,057,103 Series R157, 13.50%, 9/15/15 1,022,020,000 ZAR 163,661,689 ---------------- 344,635,782 SPAIN--1.5% Spain (Kingdom of) Bonds, 5.50%, 7/30/17 60,935,000 EUR 79,744,702 Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 87,295,000 EUR 103,811,194 ---------------- 183,555,896 SWEDEN--0.2% Sweden (Kingdom of) Bonds, Series 1050, 3%, 7/12/16 216,955,000 SEK 28,880,626 ---------------- THE NETHERLANDS--1.0% Netherlands (Kingdom of the) Bonds: 2.50%, 1/15/12 49,625,000 EUR 62,417,079 4%, 1/15/37 47,065,000 EUR 64,189,889 ---------------- 126,606,968 TURKEY--4.7% Turkey (Republic of) Bonds: 6.75%, 4/3/18 24,225,000 26,647,500 7%, 9/26/16 19,805,000 22,156,844 7%, 3/11/19 9,650,000 10,759,750 10.622%, 8/6/14 183,790,000 TRY 122,286,775 10.673%, 5/11/11(6) 72,630,000 TRY 42,851,218 16%, 3/7/12(3) 389,245,000 TRY 273,492,950 Series CPI, 13.909%, 8/14/13(3) 23,725,000 TRY 21,582,137 Turkey (Republic of) Nts., 7.50%, 7/14/17 12,420,000 14,251,950 Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 15,000,000 17,268,750 Turkey (Republic of) Unsec. Nts.: 6.75%, 5/30/40 10,200,000 10,276,500 7.25%, 3/5/38 10,200,000 10,990,500 ---------------- 572,564,874 UKRAINE--0.2% Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/17(4) 22,470,000 20,899,347 Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/12(4) 8,750,000 8,750,000 ---------------- 29,649,347 UNITED ARAB EMIRATES--0.1% Dubai DOF Sukuk Ltd. Sr. Unsec. Unsub. Nts., 6.396%, 11/3/14 10,860,000 10,384,875 ---------------- UNITED KINGDOM--2.8% United Kingdom Treasury Bonds: 2.25%, 3/7/14 63,120,000 GBP 96,404,790 4.75%, 3/7/20 90,120,000 GBP 150,169,839 4.75%, 12/7/38 62,215,000 GBP 102,035,668 ---------------- 348,610,297
5 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- URUGUAY--0.5% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 $ 20,090,000 $ 23,404,850 Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 13,000,000 14,560,000 Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 23,255,000 28,138,550 ---------------- 66,103,400 VENEZUELA--0.8% Venezuela (Republic of) Bonds: 9%, 5/7/23 46,130,000 28,831,250 9.25%, 9/15/27 12,140,000 8,224,850 Venezuela (Republic of) Sr. Unsec. Unsub. Nts., 7.75%, 10/13/19 4,300,000 2,590,750 Venezuela (Republic of) Unsec. Bonds: 7%, 3/31/38 19,660,000 10,665,550 7.65%, 4/21/25 47,405,000 25,717,213 9.375%, 1/13/34 5,940,000 3,712,500 Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/18(4) 21,165,000 18,651,656 ---------------- 98,393,769 ---------------- Total Foreign Government Obligations (Cost $9,111,209,355) 9,129,750,545 LOAN PARTICIPATIONS--2.6% Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine Nts., 8.625%, 7/15/11(4) 19,720,000 19,453,780 Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec. Bonds, 9/7/11 4,800,000 4,776,000 Gaz Capital SA: 6.212% Sr. Unsec. Unsub. Nts., 11/22/16(4) 13,460,000 13,645,748 7.288% Sr. Sec. Nts., 8/16/37(4) 50,930,000 50,522,560 8.125% Nts., 7/31/14(4) 10,810,000 11,823,978 8.146% Sr. Sec. Nts., 4/11/18(4) 18,820,000 20,631,425 8.625% Sr. Sec. Nts., 4/28/34(4) 11,855,000 13,648,662 9.25% Sr. Unsec. Unsub. Nts., 4/23/19(4) 35,350,000 40,829,250 RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/18(4) 11,140,000 11,663,580 Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/13(4) 26,990,000 28,980,513 TransCapitalInvest Ltd. for OJSC AK Transneft: 5.67% Sec. Bonds, 3/5/14(4) 9,780,000 9,979,766 8.70% Sec. Nts., 8/7/18(4) 5,340,000 6,242,567 UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/12(4) 8,400,000 7,911,750 VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/18(4) 32,440,000 35,075,750 VTB Capital SA: 8,760,000 8,760,000 6.25% Sr. Nts., 6/30/35(4) 6.465% Sr. Sec. Unsub. Nts., 3/4/15(4) 17,600,000 17,688,000 6.875% Sr. Sec. Nts., 5/29/18(4) 10,790,000 11,154,163 ---------------- Total Loan Participations (Cost $297,006,196) 312,787,492
6 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- CORPORATE BONDS AND NOTES--11.5% CONSUMER DISCRETIONARY--0.1% HOTELS, RESTAURANTS & LEISURE--0.1% Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/15(4) $ 7,570,000 $ 7,683,550 ---------------- CONSUMER STAPLES--0.2% BEVERAGES--0.1% AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/17(3) 24,030,000 BRR 12,946,911 ---------------- FOOD PRODUCTS--0.1% MHP SA, 10.25% Sr. Unsec. Nts., 4/29/15(4) 10,755,000 10,378,575 ---------------- ENERGY--2.4% OIL, GAS & CONSUMABLE FUELS--2.4% Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/15(4) 11,200,000 11,144,000 Bumi Capital Pte Ltd., 12% Sr. Sec. Nts., 11/10/16(4) 5,680,000 5,793,600 Kazmunaigaz Finance Sub BV: 9.125% Nts., 7/2/18(4) 30,360,000 34,989,900 11.75% Sr. Unsec. Nts., 1/23/15(4) 53,550,000 65,802,240 KMG Finance Sub BV, 7% Sr. Unsec. Nts., 5/5/20(4) 8,400,000 8,473,920 Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 7,790,000 8,101,834 Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/21(4) 11,200,000 11,256,000 Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 11,890,000 12,190,377 Petrobras International Finance Co.: 5.75% Sr. Unsec. Unsub. Nts., 1/20/20 14,160,000 14,344,094 5.875% Sr. Unsec. Nts., 3/1/18 5,960,000 6,168,624 7.875% Sr. Unsec. Nts., 3/15/19 22,940,000 26,383,661 Petroleos de Venezuela SA, 5.25% Sr. Unsec. Unsub. Nts., 4/12/17 5,920,000 3,182,000 Petroleos Mexicanos: 6% Sr. Unsec. Nts., 3/5/20(4) 14,380,000 15,170,900 8% Unsec. Unsub. Nts., 5/3/19 19,750,000 23,601,250 Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/19(4) 16,160,000 18,503,200 Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11(4) 4,726,377 4,718,002 PT Adaro Indonesia, 7.625% Nts., 10/22/19(4) 13,700,000 13,905,500 Tengizchevroil LLP, 6.124% Nts., 11/15/14(4) 8,271,318 8,560,814 ---------------- 292,289,916 FINANCIALS--5.2% CAPITAL MARKETS--0.0% Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/69(4) 5,300,000 5,909,500 ---------------- COMMERCIAL BANKS--3.0% Banco BMG SA: 9.15% Nts., 1/15/16(4) 9,770,000 10,405,050 9.95% Unsec. Unsub. Nts., 11/5/19(4) 7,900,000 8,526,865 Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21(3,4) 5,410,000 5,328,850 Banco do Brasil SA, 8.50% Jr. Sub. Perpetual Bonds(4,8) 14,850,000 16,446,375 Banco Panamericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/20(4) 10,100,000 10,807,000
7 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- COMMERCIAL BANKS CONTINUED Bank of Scotland plc: 4.375% Sr. Sec. Nts., 7/13/16 94,638,000 EUR $ 119,675,130 4.50% Sr. Sec. Nts., 7/13/21 64,787,000 EUR 79,714,962 HSBK Europe BV: 7.25% Unsec. Unsub. Nts., 5/3/17(4) 3,275,000 3,078,500 9.25% Sr. Nts., 10/16/13(4) 60,130,000 63,136,500 ICICI Bank Ltd.: 5.50% Sr. Unsec. Nts., 3/25/15(4) 21,660,000 22,421,197 6.375% Bonds, 4/30/22(3,4) 22,793,000 21,040,811 Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04(4,9,10) 550,000 -- Salisbury International Investments Ltd., 4.455% Sec. Nts., Series 2006-003, Tranche E, 7/20/11(3,4) 2,400,000 2,212,800 ---------------- 362,794,040 CONSUMER FINANCE--0.0% JSC Astana Finance, 9.16% Nts., 3/14/12(9,10) 14,000,000 3,500,000 ---------------- DIVERSIFIED FINANCIAL SERVICES--0.5% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26(5) 18,487,974 14,790,379 BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 19,477,000 EUR 24,644,159 Banco Invex SA, 28.469% Mtg.-Backed Certificates, Series 062U, 3/13/34(3,11) 27,603,725 MXN 7,428,806 Cloverie plc, 4.789% Sec. Nts., Series 2005-93, 12/20/10(3) 3,600,000 3,461,040 JPMorgan Hipotecaria su Casita: 7.59% Sec. Nts., 8/26/35(5) 34,101,099 MXN 2,373,473 26.924% Mtg.-Backed Certificates, Series 06U, 9/25/35(3) 12,984,564 MXN 2,297,265 Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97(4,12) 5,310,000 2,899,557 TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/20(4) 3,300,000 3,312,540 ---------------- 61,207,219 THRIFTS & MORTGAGE FINANCE--1.7% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16(5) 4,775,000 4,560,125 WM Covered Bond Program: 3.875% Sec. Nts., Series 1, 9/27/11 20,098,000 EUR 25,215,696 4% Sec. Mtg. Nts., Series 2, 9/27/16 124,715,000 EUR 157,731,625 4.375% Sec. Nts., 5/19/14 13,580,000 EUR 17,595,247 ---------------- 205,102,693 INDUSTRIALS--0.3% CONSTRUCTION & ENGINEERING--0.2% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24(4) 15,707,588 17,435,422 Odebrecht Finance Ltd.: 7% Sr. Unsec. Nts., 4/21/20(4) 5,290,000 5,402,148 9.625% Sr. Unsec. Nts., 4/9/14(4) 5,350,000 6,259,500 ---------------- 29,097,070 ROAD & RAIL--0.1% Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/26(4) 9,890,400 7,961,772 Transnet Ltd., 10.80% Sr. Unsec. Nts., 11/6/23 51,000,000 ZAR 6,875,195 ---------------- 14,836,967
8 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- MATERIALS--1.0% CHEMICALS--0.2% Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/18(4) $ 15,030,000 $ 15,480,900 Braskem SA, 7% Sr. Unsec. Nts., 5/7/20(4) 8,400,000 8,526,000 ---------------- 24,006,900 CONSTRUCTION MATERIALS--0.1% CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/20(4) 3,015,000 2,638,125 CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/16(4) 8,150,000 7,905,500 Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/20(4) 6,700,000 6,800,500 ---------------- 17,344,125 METALS & MINING--0.6% CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/19(4) 5,700,000 5,842,500 Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/18(4) 51,960,000 55,467,300 Voto-Votorantim Overseas Trading Operations, 6.625% Sr. Unsec. Nts., 9/25/19(4) 5,000,000 5,100,000 ---------------- 66,409,800 PAPER & FOREST PRODUCTS--0.1% Celulosa Arauco y Constitucion SA, 7.25% Sr. Unsec. Unsub. Nts., 7/29/19 6,070,000 7,055,367 Grupo Papelero Scribe SA, 8.875% Sr. Nts., 4/7/20(4) 8,400,000 7,297,500 ---------------- 14,352,867 TELECOMMUNICATION SERVICES--0.6% DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/19(4) 16,445,000 14,718,275 Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16(5) 26,033,700 PEN 9,398,115 Telmar Norte Leste SA, 9.50% Sr. Unsec. Nts., 4/23/19(4) 12,555,000 15,097,388 ---------------- 39,213,778 WIRELESS TELECOMMUNICATION SERVICES--0.3% America Movil SAB de CV: 6.125% Sr. Nts., 3/30/40(4) 11,200,000 11,775,893 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 140,800,000 MXN 10,296,400 MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/20(4) 11,910,000 12,380,445 ---------------- 34,452,738 UTILITIES--1.7% ELECTRIC UTILITIES--1.4% Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/19(4) 9,400,000 10,234,250 Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/19(4) 8,960,000 10,136,000 Eskom Holdings Ltd.: 9.25% Bonds, Series ES18, 4/20/18 70,000,000 ZAR 9,357,299 10% Nts., Series ES23, 1/25/23 314,000,000 ZAR 42,358,563 Israel Electric Corp. Ltd., 7.25% Nts., 1/15/19(4) 31,120,000 34,484,694
9 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- ELECTRIC UTILITIES CONTINUED Majapahit Holding BV: 7.25% Nts., 10/17/11(4) $ 6,870,000 $ 7,247,850 7.75% Nts., 10/17/16(4) 15,500,000 17,088,750 8% Sr. Unsec. Nts., 8/7/19(4) 11,150,000 12,320,750 National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 665,100,000 PHP 13,609,046 TGI International Ltd., 9.50% Nts., 10/3/17(4) 9,170,000 10,258,938 ---------------- 167,096,140 ENERGY TRADERS--0.3% Colbun SA, 6% Sr. Unsec. Nts., 1/21/20(4) 10,870,000 11,400,597 Power Sector Assets & Liabilities Management Corp.: 7.25% Sr. Gtd. Unsec. Nts., 5/27/19(4) 7,500,000 8,334,000 7.39% Sr. Gtd. Unsec. Nts., 12/2/24(4) 8,120,000 8,891,400 PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/15(4) 8,000,000 8,476,736 ---------------- 37,102,733 ---------------- Total Corporate Bonds and Notes (Cost $1,425,105,452) 1,405,725,522
Shares ---------------- COMMON STOCKS--0.0% MHP SA, GDR(4,10) (Cost $ 11,892) 169,861 2,208,193
Principal Amount ---------------- STRUCTURED SECURITIES--8.5% Barclays Bank plc: Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 100,330,000,000 IDR 11,787,253 Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 134,050,000,000 IDR 15,748,842 Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 100,660,000,000 IDR 12,692,154 Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 27,100,000,000 IDR 3,186,828 Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 53,310,000,000 IDR 6,268,997 Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 67,450,000,000 IDR 8,012,420 Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 69,180,000,000 IDR 8,217,928 Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 69,180,000,000 IDR 8,696,823 Citigroup Funding, Inc.: Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/10(3,5) 13,160,000 GHS 9,107,541 Ghana (Republic of) Credit Linked Bonds, Series 10, 13.95%, 12/15/10(3,5) 3,790,000 GHS 2,622,916 Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 62,980,000,000 IDR 7,433,933 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 100,100,000,000 IDR 13,471,815 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 100,050,000,000 IDR 13,465,085 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 51,890,000,000 IDR 6,983,541 Indonesia (Republic of) Credit Linked Nts., Series 03, 10.50%, 8/19/30 66,900,000,000 IDR 7,859,735 Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 67,110,000,000 IDR 8,532,187
10 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- Indonesia (Republic of) Credit Linked Nts., Series 25, 11%, 9/17/25 101,170,000,000 IDR $ 12,718,370 Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/30 67,710,000,000 IDR 7,954,898 Indonesia (Republic of) Credit Linked Nts., Series 55, 10.50%, 8/19/30 101,170,000,000 IDR 12,018,036 Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 68,100,000,000 IDR 8,561,053 Indonesia (Republic of) Total Return Linked Nts., Series 53, 10.50%, 8/19/30 68,100,000,000 IDR 8,089,634 Citigroup Global Markets Holdings, Inc.: Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18(5) 11,920,000,000 COP 7,495,100 Colombia (Republic of) Credit Linked Nts., 13.351%, 2/26/15(5,11) 10,435,000,000 COP 11,655,947 Colombia (Republic of) Credit Linked Nts., Series 01, 13.351%, 2/26/15(5,11) 3,833,000,000 COP 4,281,480 Colombia (Republic of) Credit Linked Nts., Series 02, 13.351% 2/26/15(5,11) 4,568,000,000 COP 5,102,479 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12(5) 6,942,469,928 COP 4,282,149 Colombia (Republic of) Total Return Linked Bonds, Series B, 9.25%, 5/15/14 26,560,000,000 COP 15,202,489 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12(5) 31,110,000,000 COP 19,188,798 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12(5) 12,430,000,000 COP 7,666,884 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12(5) 11,705,100,000 COP 7,219,762 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12(5) 289,700,000 DOP 8,204,304 Credit Suisse First Boston International: Moitk Total Return Linked Nts., 21%, 3/30/11(9,10) 220,242,600 RUR 704 Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/12(3) 58,446,000 RUR 1,495,285 Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 85,958,000,000 VND 2,251,388 Credit Suisse First Boston, Inc. (Nassau Branch): Russian Oreniz Total Return Linked Nts., Series 009, 9.24%, 2/24/12(3) 67,500,000 RUR 1,726,922 Russian Specialized Construction & Installation Administration Total Return Linked Nts., 5/20/10(9,10) 64,600,000 RUR 207 Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 45,150,000 RUR 1,335,549 Credit Suisse International: OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 106,500,000 RUR 3,830,758 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 155,430,000 RUR 5,590,748 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 144,200,000 RUR 5,186,810 Deutsche Bank AG: Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 21,268,756 MXN 1,585,982 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 14,099,790 MXN 1,051,402 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25(5,6) 5,451,304 3,451,764
11 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/25(5,6) $ 6,924,565 $ 4,384,633 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25(5,6) 5,531,917 3,502,808 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/25(5,6) 5,199,767 3,292,491 Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/10(5) 16,500,000 11,211,750 Coriolanus Ltd. Sec. Credit Linked Nts., 3.138%, 4/30/25(5,6) 4,872,779 3,085,442 Coriolanus Ltd. Sec. Credit Linked Nts., 3.191%, 4/30/25(5,6) 6,067,005 3,841,626 Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11(3,5) 8,755,000 9,378,356 Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 119,230,000,000 IDR 14,073,480 Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 38,920,000,000 IDR 5,726,886 Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 140,400,000,000 IDR 20,582,082 Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 97,410,000,000 IDR 12,319,007 JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 160,790,000 RUR 5,782,259 JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 133,110,000 RUR 4,786,843 Opic Reforma I Credit Linked Nts., Cl. 1A, 7.935%, 9/24/14(3,5) 27,100,000 MXN 2,095,407 Opic Reforma I Credit Linked Nts., Cl. 1B, 7.935%, 9/24/14(3,5) 5,420,000 MXN 419,081 Opic Reforma I Credit Linked Nts., Cl. 1C, 7.935%, 9/24/14(3,5) 9,033,333 MXN 698,469 Opic Reforma I Credit Linked Nts., Cl. 1D, 7.935%, 9/24/14(3,5) 4,516,667 MXN 349,234 Opic Reforma I Credit Linked Nts., Cl. 1E, 7.935%, 9/24/14(3,5) 6,323,333 MXN 488,928 Opic Reforma I Credit Linked Nts., Cl. 2A, 8.453%, 5/22/15(3,5) 2,585,931 MXN 199,947 Opic Reforma I Credit Linked Nts., Cl. 2B, 8.453%, 5/22/15(3,5) 4,524,148 MXN 349,813 Opic Reforma I Credit Linked Nts., Cl. 2C, 8.453%, 5/22/15(3,5) 68,213,181 MXN 5,274,331 Opic Reforma I Credit Linked Nts., Cl. 2D, 8.453%, 5/22/15(3,5) 4,971,283 MXN 384,386 Opic Reforma I Credit Linked Nts., Cl. 2E, 8.453%, 5/22/15(3,5) 3,611,731 MXN 279,264 Opic Reforma I Credit Linked Nts., Cl. 2F, 8.453%, 5/22/15(3,5) 2,306,631 MXN 178,352 Opic Reforma I Credit Linked Nts., Cl. 2G, 8.453%, 5/22/15(3,5) 424,788 MXN 32,845 Ukraine (Republic of) 5 yr. Total Return Linked Nts., 4.05%, 8/27/10 2,505,000 2,428,948 Ukraine (Republic of) 5.5 yr. Total Return Linked Nts., 4.05%, 3/1/11 2,505,000 2,132,782 Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 2,505,000 1,907,883 Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 2,505,000 1,719,908 Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 2,505,000 1,568,681 United Mexican States Credit Linked Nts., 9.52%, 1/5/11 14,041,427 MXN 1,047,050 Eirles Two Ltd. Sec. Nts., Series 335, 2.114%, 4/30/12(3,5) 11,200,000 9,833,600 Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/17(4,6) 129,050,000 TRY 33,733,125 Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37(5,6) 376,977,600,000 COP 12,521,931 Hallertau SPC Credit Linked Nts.: Series 2007-01, 2.805%, 12/20/17(3,5) 42,470,000 34,974,045 Series 2008-01, 9.888%, 8/2/10(5,6,9,10) 63,164,246 BRR 3,499,404 Series 2008-2A, 6.99%, 9/17/13(3,5) 20,588,750 20,759,637
12 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- JPMorgan Chase & Co.: Colombia (Republic of) Credit Linked Bonds, 10.190%, 1/5/16(5,6) 68,635,000,000 COP $ 23,416,073 Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16(5,6) 90,697,000,000 COP 28,503,203 Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/16(5,6) 90,312,000,000 COP 28,382,209 Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/25(4,7) 69,180,000,000 IDR 8,696,823 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 80,430,000,000 IDR 10,671,255 Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/30(5) 66,900,000,000 IDR 7,762,319 Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/30(4,7) 67,450,000,000 IDR 8,012,420 Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/25(4,7) 67,450,000,000 IDR 8,479,339 Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/30(4) 68,100,000,000 IDR 8,089,634 Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/25(4) 68,100,000,000 IDR 8,561,053 JPMorgan Chase & Co., London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/21 120,620,000,000 IDR 17,676,505 JPMorgan Chase Bank NA: Export-Import Bank Total Return Linked Bonds, 6.55%, 3/13/13 2,181,000,000 INR 43,427,469 Indonesia (Republic of) Credit Linked Nts., Series 04, 11.50%, 9/18/19(4) 250,000,000,000 IDR 33,169,388 Indonesia (Republic of) Credit Linked Nts., Series 10, 11.50%, 9/18/19(4) 150,000,000,000 IDR 19,901,633 Indonesia (Republic of) Credit Linked Nts., Series 11, 10.50%, 8/19/30(4) 100,000,000,000 IDR 11,879,051 Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/30(4) 119,230,000,000 IDR 14,163,393 Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/25(4) 46,070,000,000 IDR 5,791,596 Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/25(4) 92,130,000,000 IDR 11,581,935 Indonesia (Republic of) Credit Linked Nts., Series 5, 10.50%, 8/19/30(4) 146,065,000,000 IDR 17,351,136 Russian Federation Credit Linked Bonds, 10%, 9/30/11(3,4) 442,790,000 RUR 15,125,988 Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16(5) 13,289,000,000 COP 6,733,168 Morgan Stanley: Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/17(4) 26,120,000 PEN 7,266,084 Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 375,247,765 RUR 5,901,016 Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/10/12 86,530,188 RUR 2,804,326
13 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
Principal Amount Value ---------------- ---------------- Morgan Stanley Capital Services, Inc.: Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/22(4,6) 173,500,000 BRR $ 10,416,632 Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/17(3,5) 17,600,000 14,080,000 Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/17(3,5) 12,250,000 9,800,000 United Mexican States Credit Linked Nts., 5.64%, 11/20/15(5) 11,760,000 9,946,608 VimpelCom Total Return Linked Nts., 9.25%, 7/26/13(3) 692,500,000 RUR 23,030,965 WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/12 16,609,412 16,464,910 WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/12 22,194,458 21,992,489 Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/10(5,6) 30,050,000 GHS 19,748,631 UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11(5) 7,369,232 GHS 5,070,338 ---------------- Total Structured Securities (Cost $1,057,861,589) 1,033,979,203
Expiration Strike Date Price Contracts ---------- ---------- ------------- OPTIONS PURCHASED--0.0% Australian Dollar (AUD) Call(10) 8/23/10 $ 0.874 52,645,000 383,919 South Korean Won (KRW) Put(10) 8/23/10 12.750JPY 3,309,000,000 221,262 South Korean Won (KRW) Put(10) 8/23/10 12.350JPY 3,309,000,000 45,426 South Korean Won (KRW) Put(10) 8/24/10 12.400JPY 5,296,000,000 129,865 South Korean Won (KRW) Put(10) 11/29/10 12.250JPY 6,765,000,000 863,093 South Korean Won (KRW) Put(10) 11/29/10 12.440JPY 6,765,000,000 918,642 South Korean Won (KRW) Put(10) 11/29/10 12.200JPY 7,217,000,000 672,602 South Korean Won (KRW) Put(10) 11/29/10 11.955JPY 7,217,000,000 567,659 South Korean Won (KRW) Put(10) 11/29/10 12.050JPY 7,217,000,000 549,346 --------- Total Options Purchased (Cost $13,099,154) 4,351,814
Shares ---------------- INVESTMENT COMPANY--1.7% Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%(13,14) (Cost $211,783,003) 211,783,003 211,783,003
14 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) TOTAL INVESTMENTS, AT VALUE (COST $12,147,276,200) 99.1% 12,131,785,331 Other Assets Net of Liabilities 0.9 116,157,516 ----- ---------------- Net Assets 100.0% $ 12,247,942,847 ===== ================
Footnotes to Statement of Investments Principal amount and strike price are reported in U.S. Dollars, except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar COP Colombian Peso DKK Danish Krone DOP Dominican Republic Peso EGP Egyptian Pound EUR Euro GBP British Pound Sterling GHS Ghana Cedi HUF Hungarian Forint IDR Indonesia Rupiah ILS Israeli Shekel INR Indian Rupee JPY Japanese Yen KRW South Korean Won MXN Mexican Nuevo Peso MYR Malaysian Ringgit NOK Norwegian Krone PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona TRY New Turkish Lira VND Vietnam Dong ZAR South African Rand (1.) All or a portion of the security position is held in collateral accounts to cover the Fund's obligations under certain derivative contracts. The aggregate market value of such securities is $4,489,955. See accompanying Notes. (2.) All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $56,818,625. See accompanying Notes. (3.) Represents the current interest rate for a variable or increasing rate security. (4.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,668,226,648 or 13.62% of the Fund's net assets as of June 30, 2010. 15 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) (5.) Restricted security. The aggregate value of restricted securities as of June 30, 2010 was $410,424,045, which represents 3.35% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
Unrealized Acquisition Appreciation Security Date Cost Value (Depreciation) -------- ---------------- ------------ ------------ -------------- Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2/22/06-10/20/09 $ 16,015,125 $ 14,790,379 $ (1,224,746) Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 4/20/06-10/15/09 4,366,227 4,560,125 193,898 Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/29 1/4/10-3/3/10 3,694,741 4,544,500 849,759 Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/10 2/11/10 9,156,044 9,107,541 (48,503) Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, Series 10, 13.95%, 12/15/10 1/27/10 2,631,641 2,622,916 (8,725) Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 12/9/08 5,022,122 7,495,100 2,472,978 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.351%, 2/26/15 7/18/08 9,402,019 11,655,947 2,253,928 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01, 13.351%, 2/26/15 7/31/08 3,494,778 4,281,480 786,702 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.351% 2/26/15 8/8/08 4,202,083 5,102,479 900,396 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 1/6/05 3,109,280 4,282,149 1,172,869 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 9/20/04 12,609,342 19,188,798 6,579,456 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 1/21/05 5,223,260 7,219,762 1,996,502 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 12/16/04 5,537,482 7,666,884 2,129,402 Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 3/7/07 8,695,818 8,204,304 (491,514) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25 5/18/10 3,455,515 3,451,764 (3,751) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/25 9/25/09 4,324,966 4,384,633 59,667 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25 8/18/09 3,446,170 3,502,808 56,638 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/25 4/16/09 3,215,184 3,292,491 77,307 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/10 8/2/07-2/24/09 16,300,000 11,211,750 (5,088,250) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 3.138%, 4/30/25 3/30/10 3,076,426 3,085,442 9,016 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 3.191%, 4/30/25 12/17/09 3,809,281 3,841,626 32,345 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11 12/8/08 8,703,215 9,378,356 675,141 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 7.935%, 9/24/14 12/27/07 2,490,580 2,095,407 (395,173) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 7.935%, 9/24/14 6/12/08 522,536 419,081 (103,455) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 7.935%, 9/24/14 8/12/08 888,889 698,469 (190,420) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1D, 7.935%, 9/24/14 8/6/09 346,616 349,234 2,618 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1E, 7.935%, 9/24/14 9/10/09 472,684 488,928 16,244 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.453%, 5/22/15 5/21/08 249,324 199,947 (49,377) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.453%, 5/22/15 6/12/08 436,168 349,813 (86,355) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.453%, 5/22/15 6/18/08 6,617,724 5,274,331 (1,343,393) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.453%, 5/22/15 7/8/08 481,935 384,386 (97,549) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.453%, 5/22/15 7/15/08 350,722 279,264 (71,458)
16 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.453%, 5/22/15 8/08/08 $ 227,066 $ 178,352 $ (48,714) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.453%, 5/22/15 8/22/08 41,897 32,845 (9,052) Eirles Two Ltd. Sec. Nts., Series 335, 2.114%, 4/30/12 9/17/07-2/24/09 10,865,231 9,833,600 (1,031,631) Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 1/18/07 27,960,792 12,521,931 (15,438,861) Hallertau SPC Credit Linked Nts., Series 2007-01, 2.805%, 12/20/17 12/13/07 42,470,000 34,974,045 (7,495,955) Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 4/18/08-10/01/08 31,666,704 3,499,404 (28,167,300) Hallertau SPC Credit Linked Nts., Series 2008-2A, 6.99%, 9/17/13 10/23/08-2/26/09 20,797,106 20,759,637 (37,469) JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.190%, 1/5/16 12/6/05 11,167,708 23,416,073 12,248,365 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 10/16/06 14,183,697 28,503,203 14,319,506 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/16 10/18/06 14,200,189 28,382,209 14,182,020 JPMorgan Chase & Co., Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/30 5/6/10 7,315,997 7,762,319 446,322 JPMorgan Hipotecaria su Casita, 7.59% Sec. Nts., 8/26/35 3/21/07 3,092,229 2,373,473 (718,756) Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 10/20/06 5,679,060 6,733,168 1,054,108 Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/17 11/2/07 17,600,000 14,080,000 (3,520,000) Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/17 2/4/08 12,250,000 9,800,000 (2,450,000) Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 11/3/05 11,760,000 9,946,608 (1,813,392) Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/10 5/27/10 20,008,090 19,748,631 (259,459) Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 10/3/05 7,764,301 9,398,115 1,633,814 UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 12/22/06 8,066,290 5,070,338 (2,995,952) ------------ ------------ ------------ $419,464,254 $410,424,045 $ (9,040,209) ============ ============ ============
(6.) Zero coupon bond reflects effective yield on the date of purchase. (7.) When-issued security or delayed delivery to be delivered and settled after June 30, 2010. See Note accompanying Notes. (8.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (9.) Issue is in default. See accompanying Notes. (10.) Non-income producing security. (11.) Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. (12.) Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. (13.) Rate shown is the 7-day yield as of June 30, 2010. (14.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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 period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES SEPTEMBER 30, 2009 ADDITIONS REDUCTIONS JUNE 30, 2010 ------------------ ------------- ------------- ------------- Oppenheimer Institutional Money Market Fund, Cl. E 240,101,093 5,440,152,535 5,468,470,625 211,783,003
VALUE INCOME ------------ -------- Oppenheimer Institutional Money Market Fund, Cl. E $211,783,003 $402,028
17 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (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). The table below categorizes amounts as of June 30, 2010 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: U.S. Government Obligations $ -- $ 31,199,559 $ -- $ 31,199,559 Foreign Government Obligations -- 9,128,565,761 1,184,784 9,129,750,545 Loan Participations -- 312,787,492 -- 312,787,492 Corporate Bonds and Notes -- 1,405,725,522 -- 1,405,725,522 Common Stocks 2,208,193 -- -- 2,208,193 Structured Securities -- 1,033,979,203 -- 1,033,979,203 Options Purchased -- 4,351,814 -- 4,351,814 Investment Company 211,783,003 -- -- 211,783,003 ------------ --------------- ---------- --------------- Total Investments, at Value 213,991,196 11,916,609,351 1,184,784 12,131,785,331 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 34,329,191 -- 34,329,191 Depreciated swaps, at value -- 1,543,034 -- 1,543,034 Futures margins 2,592,573 -- -- 2,592,573 Foreign currency exchange contracts -- 48,310,272 -- 48,310,272 ------------ --------------- ---------- --------------- Total Assets $216,583,769 $12,000,791,848 $1,184,784 $12,218,560,401 ------------ --------------- ---------- --------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (15,957,763) $ -- $ (15,957,763) Appreciated options written, at value -- (4,559,007) -- (4,559,007) Depreciated options written, at value -- (6,489,976) -- (6,489,976) Unfunded purchase agreements -- (22,486) -- (22,486) Futures margins (120,475) -- -- (120,475) Foreign currency exchange contracts -- (36,021,700) -- (36,021,700) ------------ --------------- ---------- --------------- Total Liabilities $ (120,475) $ (63,050,932) $ -- $ (63,171,407) ------------ --------------- ---------- ---------------
18 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Currency contracts, forwards, and unfunded agreements if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION METHODOLOGIES, IF ANY, DURING THE REPORTING PERIOD. Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings Value Percent ------------------- --------------- ------- Japan $ 2,117,681,649 17.5% Korea, Republic of South 999,455,566 8.2 Brazil 962,860,020 7.9 Indonesia 673,750,028 5.6 Germany 613,208,165 5.1 Turkey 606,297,999 5.0 Mexico 593,022,010 4.9 United Kingdom 548,000,389 4.5 Italy 532,784,776 4.4 United States 468,169,289 3.9 Russia 404,671,433 3.3 South Africa 403,226,839 3.3 Colombia 345,793,446 2.9 Malaysia 263,042,078 2.2 Canada 228,798,841 1.9 Kazakhstan 187,541,874 1.5 Israel 186,171,702 1.5 Spain 183,555,896 1.5 Egypt 163,585,461 1.4 Ukraine 154,575,080 1.3 Belgium 148,046,492 1.2 India 142,356,777 1.2 Argentina 137,506,034 1.1 The Netherlands 126,606,968 1.0 Philippines 107,083,661 0.9 Peru 104,180,569 0.9 Venezuela 101,575,769 0.8 Hungary 94,567,567 0.8 Austria 72,757,156 0.6 Uruguay 66,103,400 0.5 Ghana 53,839,551 0.4 Panama 52,092,772 0.4 Australia 41,791,359 0.3 Denmark 40,673,758 0.3 Poland 36,017,662 0.3 Dominican Republic 33,448,183 0.3 Sweden 28,880,626 0.2 Supranational 19,475,335 0.2 Greece 18,975,358 0.2 Trinidad & Tobago 18,503,200 0.2
19 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Chile 18,455,964 0.2 Norway 15,473,866 0.1 United Arab Emirates 10,384,875 0.1 Belize 4,544,500 -- Vietnam 2,251,388 -- --------------- ----- Total $12,131,785,331 100.0% =============== =====
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED COUNTERPARTY/CONTRACT DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION DEPRECIATION --------------------------------- -------- ----------- --------------- ------------ ------------ ------------ BANC OF AMERICA: Argentine Peso (ARP) Buy 236,400 ARP 7/16/10 $ 59,869,467 $ 157,418 $ -- Chinese Renminbi (Yuan) (CNY) Buy 446,400 CNY 6/7/11 66,724,169 776,466 -- Euro (EUR) Sell 6,600 EUR 7/6/10 8,071,065 524,181 -- Hong Kong Dollar (HKD) Sell 470,900 HKD 7/19/10 60,478,770 -- 27,924 Indian Rupee (INR) Buy 6,006,000 INR 9/3/10 128,317,535 -- 15,798 Indonesia Rupiah (IDR) Buy 160,960,000 IDR 7/26/10 17,677,593 370,066 -- Japanese Yen (JPY) Buy 25,768,408 JPY 7/6/10 291,476,669 -- 11,269 Japanese Yen (JPY) Sell 23,418,397 JPY 7/6/10 264,894,766 10,241 -- Kazakhstan Tenge (KZT) Buy 1,840,700 KZT 2/28/11-3/10/11 12,389,978 -- 161,680 Malaysian Ringgit (MYR) Buy 116,630 MYR 9/1/10 35,919,594 211,431 -- New Taiwan Dollar (TWD) Sell 1,960,000 TWD 7/15/10 61,030,211 -- 358,489 South Korean Won (KRW) Buy 82,995,000 KRW 9/29/10 67,722,094 301,298 -- South Korean Won (KRW) Sell 142,188,000 KRW 8/2/10 116,224,613 1,940,433 -- ----------- ----------- 4,291,534 575,160 ----------- ----------- BANC OF AMERICA EM Indian Rupee (INR) Buy 779,700 INR 9/3/10 16,658,206 174,062 -- ----------- ----------- BANK PARIBAS ASIA -- FGN: Euro (EUR) Sell 3,850 EUR 11/10/10 4,711,562 174,781 -- South African Rand (ZAR) Buy 465,700 ZAR 7/15/10 60,513,969 566,746 -- ----------- ----------- 741,527 -- ----------- ----------- BARCLAY'S CAPITAL: Euro (EUR) Buy 17,800 EUR 8/16/10 21,772,085 88,941 157,054 Euro (EUR) Sell 152,720 EUR 7/12/10-11/10/10 186,840,834 2,267,701 319,499 Japanese Yen (JPY) Buy 1,668,000 JPY 7/28/10 18,874,126 195,514 -- New Turkish Lira (TRY) Sell 9,530 TRY 7/12/10 $6,006,706 168,374 -- ----------- ----------- 2,720,530 476,553 ----------- ----------- BARCLAY'S CAPITAL EM Indonesia Rupiah (IDR) Sell 157,090,000 IDR 7/12/10 17,293,881 -- 172,355 ----------- ----------- CITIGROUP: British Pound Sterling (GBP) Buy 108,542 GBP 7/2/10 162,172,971 -- 1,324,400 British Pound Sterling (GBP) Sell 89,308 GBP 7/2/10 133,434,462 1,089,705 -- Chinese Renminbi (Yuan) (CNY) Sell 412,900 CNY 7/19/10 60,884,858 -- 306,806 Colombian Peso (COP) Buy 77,449,000 COP 7/7/10 40,770,160 453,138 -- Colombian Peso (COP) Sell 77,449,000 COP 9/1/10 40,687,677 -- 454,431 Euro (EUR) Buy 59,390 EUR 7/28/10 72,635,168 -- 547,565
20 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Euro (EUR) Sell 82,200 EUR 11/10/10 100,594,900 661,255 -- Mexican Nuevo Peso (MXN) Buy 2,748,925 MXN 7/20/10 212,113,499 -- 4,875,489 New Zealand Dollar (NZD) Buy 18,350 NZD 8/16/10 12,542,426 -- 408,270 New Zealand Dollar (NZD) Sell 12,190 NZD 8/16/10 8,331,999 340,451 -- Polish Zloty (PLZ) Buy 410 PLZ 8/16/10 120,465 -- 1,683 Singapore Dollar (SGD) Buy 24,970 SGD 11/10/10 17,855,008 -- 84,451 Swedish Krona (SEK) Buy 205,900 SEK 8/16/10 26,405,939 220,027 169,291 Swedish Krona (SEK) Sell 538,100 SEK 7/12/10-8/16/10 69,010,142 1,708,913 -- ----------- ----------- 4,473,489 8,172,386 ----------- ----------- CITIGROUP EM : Colombian Peso (COP) Sell 77,449,000 COP 7/7/10 40,770,160 -- 2,168,847 Ghanaian Cedi (GHS) Buy 18,646 GHS 7/9/10 12,895,730 -- 25,961 Indonesia Rupiah (IDR) Sell 20,400,000 IDR 7/12/10 2,245,816 -- 30,832 Mexican Nuevo Peso (MXN) Buy 77,015 MXN 7/20/10 5,942,658 138,091 -- Peruvian New Sol (PEN) Sell 76,480 PEN 7/14/10 27,058,841 -- 169,064 ----------- ----------- 138,091 2,394,704 ----------- ----------- CREDIT SUISSE: Euro (EUR) Buy 10,000 EUR 7/1/10 12,228,527 -- 41,473 Euro (EUR) Sell 10,000 EUR 7/1/10 12,228,527 -- 60,527 Hungarian Forint (HUF) Sell 5,690,000 HUF 7/12/10 24,341,473 98,533 -- Japanese Yen (JPY) Sell 5,522,000 JPY 7/12/10 62,467,592 -- 2,031,140 New Turkish Lira (TRY) Buy 134,740 TRY 7/12/10-9/1/10 84,431,896 2,990 316,159 Norwegian Krone (NOK) Buy 114,200 NOK 8/16/10 17,505,143 -- 471,380 Norwegian Krone (NOK) Sell 51,300 NOK 8/16/10 7,863,519 114,042 -- Russian Ruble (RUR) Buy 614,995 RUR 10/7/10 19,527,538 73,003 213,436 South African Rand (ZAR) Buy 144,330 ZAR 9/1/10 $ 18,597,545 -- 106,046 South African Rand (ZAR) Sell 147,040 ZAR 7/1/10 19,158,306 97,104 -- Swedish Krona (SEK) Buy 477,500 SEK 7/12/10 61,238,409 -- 519,606 Swiss Franc (CHF) Buy 20,700 CHF 8/16/10 19,220,587 857,208 -- Swiss Franc (CHF) Sell 13,540 CHF 8/16/10 12,572,307 -- 314,893 ----------- ----------- 1,242,880 4,074,660 ----------- ----------- DEUTSCHE BANK CAPITAL CORP.: Australian Dollar (AUD) Buy 38,385 AUD 7/28/10-8/16/10 32,134,598 -- 1,203,625 Australian Dollar (AUD) Sell 60 AUD 8/16/10 50,220 331 -- British Pound Sterling (GBP) Buy 8,270 GBP 7/28/10 12,356,021 -- 32,274 Canadian Dollar (CAD) Buy 35,590 CAD 7/28/10-8/16/10 33,423,529 -- 1,151,449 Canadian Dollar (CAD) Sell 9,090 CAD 8/16/10 8,536,307 247,652 -- Japanese Yen (JPY) Buy 3,577,000 JPY 11/10/10 40,559,188 1,986,288 -- Kazakhstan Tenge (KZT) Buy 918,400 KZT 2/28/11 6,182,319 -- 86,623 Russian Ruble (RUR) Buy 575,700 RUR 10/7/10 18,279,830 -- 691,994 South Korean Won (KRW) Sell 170,000,000 KRW 7/26/10 138,992,000 9,921,805 -- Swiss Franc (CHF) Buy 3,398 CHF 7/28/10 3,153,938 72,969 -- Thailand Baht (THB) Buy 44,880 THB 8/24/10 1,385,203 11,676 -- ----------- ----------- 12,240,721 3,165,965 ----------- ----------- DEUTSCHE BANK EM :
21 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Indonesia Rupiah (IDR) Buy 277,750,000 IDR 7/12/10 30,577,220 631,128 -- Kazakhstan Tenge (KZT) Sell 210,000 KZT 2/28/11 1,413,640 501 -- Russian Ruble (RUR) Sell 5,900 RUR 10/7/10 187,339 -- 2,704 South Korean Won (KRW) Buy 101,080,000 KRW 7/26/10 82,643,008 -- 6,304,546 South Korean Won (KRW) Sell 90,180,000 KRW 8/18/10 73,673,092 524,703 -- Thailand Baht (THB) Sell 44,880 THB 8/24/10 1,385,203 -- 1,086 ----------- ----------- 1,156,332 6,308,336 ----------- ----------- GOLDMAN SACHS EM Brazilian Real (BRR) Buy 159,105 BRR 8/3/10 87,501,794 -- 1,057,150 HSBC EM Israeli Shekel (ILS) Sell 153,620 ILS 8/31/10 39,506,101 277,913 -- JP MORGAN CHASE: Euro (EUR) Buy 140,285 EUR 11/10/10 171,678,292 3,294,346 -- Euro (EUR) Sell 190,100 EUR 7/12/10 232,477,940 4,646,326 938,380 Japanese Yen (JPY) Sell 10,675,000 JPY 8/2/10-11/10/10 120,882,768 -- 3,259,943 ----------- ----------- 7,940,672 4,198,323 ----------- ----------- JP MORGAN EM : Chinese Renminbi (Yuan) (CNY) Buy 561,040 CNY 6/7/11-6/20/11 $ 83,870,953 968,137 -- Indonesia Rupiah (IDR) Buy 489,035,361 IDR 7/7/10-7/26/10 53,791,947 885,067 -- Peruvian New Sol (PEN) Buy 28,190 PEN 7/14/10 9,973,702 51,139 -- South Korean Won (KRW) Sell 632,269,000 KRW 7/19/10-9/29/10 516,397,808 6,339,517 -- ----------- ----------- 8,243,860 -- ----------- ----------- MORGAN STANLEY & CO., INC. Kazakhstan Tenge (KZT) Buy 917,400 KZT 2/28/11 6,175,587 -- 92,947 ----------- ----------- NOMURA SECURITIES: British Pound Sterling (GBP) Sell 11,280 GBP 8/16/10 16,853,034 71,095 109,698 Euro (EUR) Buy 7,070 EUR 8/16/10 8,647,676 -- 112,266 Japanese Yen (JPY) Buy 23,000 JPY 8/16/10 260,339 9,247 -- Japanese Yen (JPY) Sell 1,510,000 JPY 8/16/10 17,091,796 -- 527,134 ----------- ----------- 80,342 749,098 ----------- ----------- RBS GREENWICH CAPITAL: Australian Dollar (AUD) Buy 71,075 AUD 7/12/10 59,739,935 -- 199,745 Euro (EUR) Buy 10,010 EUR 7/2/10 12,240,755 -- 51,525 Euro (EUR) Sell 10,010 EUR 7/2/10 12,240,755 32,506 -- Hungarian Forint (HUF) Sell 11,258,000 HUF 7/12/10 48,161,037 2,544,715 385,123 Polish Zloty (PLZ) Buy 617,375 PLZ 9/1/10 181,205,894 1,339,037 -- Swiss Franc (CHF) Buy 30,260 CHF 11/10/10 28,156,167 672,061 -- Swiss Franc (CHF) Sell 69,030 CHF 7/12/10 64,056,051 -- 3,875,064 ----------- ----------- 4,588,319 4,511,457 ----------- ----------- STANDARD NY EM South African Rand (ZAR) Buy 147,040 ZAR 7/1/10 19,158,306 -- 72,606 ----------- ----------- Total unrealized appreciation and depreciation $48,310,272 $36,021,700 =========== ===========
22 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) FUTURES CONTRACTS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
NUMBER OF EXPIRATION UNREALIZED CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE APPRECIATION -------------------- -------- --------- ---------- ------------ ------------ Euro-Bundesobligation Buy 2,463 9/8/10 $389,707,946 $ 3,659,897 Japan (Government of) Bonds, 10 yr. Buy 220 9/9/10 352,487,700 2,624,616 New Financial Times Stock Exchange 100 Index Sell 970 9/17/10 70,731,884 4,386,560 NIKKEI 225 Index Sell 760 9/9/10 80,456,936 837,304 U.S. Treasury Nts., 10 yr. Buy 1,744 9/21/10 213,721,750 1,241,385 ----------- $12,749,762 ===========
WRITTEN OPTIONS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXERCISE EXPIRATION PREMIUMS APPRECIATION/ DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE (DEPRECIATION) ----------- ---- ------------- -------- ---------- ----------- ------------ -------------- Australian Dollar (AUD) Put 52,645,000 $ 0.734 8/23/10 $ 580,810 $ (163,142) $ 417,668 Euro (EUR) Put 10,020,000 1.227 7/1/10 86,308 (50,233) 36,075 Euro (EUR) Put 9,980,000 1.230 7/2/10 88,347 (94,367) (6,020) Euro (EUR) Put 10,090,000 1.220 7/6/10 88,471 (42,454) 46,017 Euro (EUR) Call 10,020,000 1.227 7/1/10 86,922 (28,374) 58,548 Euro (EUR) Call 9,980,000 1.230 7/2/10 88,347 (26,691) 61,656 Euro (EUR) Call 10,090,000 1.220 7/6/10 88,471 (127,477) (39,006) South Korean Won (KRW) Call 3,309,000,000 15.250 JPY 8/23/10 875,047 (430,724) 444,323 South Korean Won (KRW) Call 3,309,000,000 16.000 JPY 8/23/10 740,848 (367,873) 372,975 South Korean Won (KRW) Call 7,217,000,000 16.150 JPY 11/29/10 1,587,113 (2,017,805) (430,692) South Korean Won (KRW) Call 7,217,000,000 16.321 JPY 11/29/10 1,900,568 (2,126,408) (225,840) South Korean Won (KRW) Call 7,217,000,000 16.000 JPY 11/29/10 1,587,113 (2,123,919) (536,806) South Korean Won (KRW) Call 6,765,000,000 17.090 JPY 11/29/10 2,053,043 (1,388,041) 665,002 South Korean Won (KRW) Call 6,765,000,000 17.450 JPY 11/29/10 2,045,604 (1,398,667) 646,937 South Korean Won (KRW) Call 5,296,000,000 15.550 JPY 8/24/10 1,198,111 (662,808) 535,303 ----------- ------------ ---------- $13,095,123 $(11,048,983) $2,046,140 =========== ============ ==========
CREDIT DEFAULT SWAP CONTRACTS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT UNREALIZED REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION RECEIVED/ APPRECIATION SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE (PAID) VALUE (DEPRECIATION) ----------------- ---------- -------- ------- ----------------- ----------- ---------- -------------- BOLIVARIAN REPUBLIC OF VENEZUELA Credit Suisse International Buy $ 5,940 5.00% 9/20/15 $(1,556,775) $1,543,034 $ (13,741) ------- ----------- ---------- --------- Total 5,940 (1,556,775) 1,543,034 (13,741) ------- ----------- ---------- --------- DEVELOPMENT BANK OF KAZAKHSTAN JSC Credit Suisse International Sell 7,670 3.75 2/20/13 -- 62,388 62,388 ------- ----------- ---------- --------- Total 7,670 -- 62,388 62,388 ------- ----------- ---------- --------- GOVERNMENT OF HUNGARY Credit Suisse International Sell 15,200 2.70 9/20/10 -- 92,416 92,416 ------- ----------- ---------- --------- Total 15,200 -- 92,416 92,416 ------- ----------- ---------- ---------
23 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) ISLAMIC REPUBLIC OF PAKISTAN Citibank NA, New York Sell 3,010 5.10 3/20/13 -- (159,752) (159,752) ------- ----------- ---------- --------- Total 3,010 -- (159,752) (159,752) ------- ----------- ---------- --------- ISTANBUL BOND CO. SA FOR FINANSBANK AS Morgan Stanley Capital Services, Inc. Sell 10,410 1.30 3/24/13 -- (710,244) (710,244) ------- ----------- ---------- --------- Total 10,410 -- (710,244) (710,244) ----------- ---------- --------- Grand Total Buys (1,556,775) 1,543,034 (13,741) Grand Total Sells -- (715,192) (715,192) ----------- ---------- --------- Total Credit Default Swaps $(1,556,775) $ 827,842 $(728,933) =========== ========== =========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL PAYMENTS FOR SELLING CREDIT PROTECTION REFERENCE ASSET TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RATING RANGE** --------------------------------------------------------- ----------------------- ------------------- --------------- Investment Grade Sovereign Debt $33,280,000 $-- BBB- Non-Investment Grade Sovereign Debt 3,010,000 -- B- ----------- --- Total $36,290,000 $-- =========== ===
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. INTEREST RATE SWAP CONTRACTS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ----------------- --------- -------- ----------- ----------- ----------- BZDI: Banco Santander SA, Inc. 96,790 BRR BZDI 12.320% 1/2/17 $ 610,769 Credit Suisse International 98,450 BRR BZDI 11.480 1/2/12 (24,749) Goldman Sachs Group, Inc. (The) 38,900 BRR BZDI 12.800 1/2/17 963,707 Goldman Sachs Group, Inc. (The) 120,000 BRR BZDI 11.720 1/2/12 1,380,100 Goldman Sachs Group, Inc. (The) 53,700 BRR BZDI 12.920 1/2/14 1,738,006 Goldman Sachs Group, Inc. (The) 26,730 BRR BZDI 12.870 1/2/14 840,048 Goldman Sachs Group, Inc. (The) 273,070 BRR BZDI 11.460 1/2/12 (68,428) Goldman Sachs Group, Inc. (The) 99,100 BRR BZDI 12.260 1/2/15 1,627,436 Goldman Sachs Group, Inc. (The) 45,260 BRR BZDI 12.290 1/2/15 743,267 JPMorgan Chase Bank NA 56,300 BRR BZDI 13.900 1/2/17 2,387,619 Morgan Stanley 279,530 BRR BZDI 12.300 1/2/17 1,792,554 Morgan Stanley 237,030 BRR BZDI 11.490 1/2/12 (59,681) --------- ----------- Total 1,424,860 BRR 11,930,648 --------- -----------
24 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) SIX-MONTH AUD BBR BBSW Six-Month AUD Westpac Banking Corp. 133,360 AUD 6.215% BBR BBSW 11/4/19 (5,505,121) ---------- ----------- SIX-MONTH HUF BUBOR REUTERS: Six-Month HUF BUBOR Barclays Bank plc 5,136,000 HUF Reuters 7.820 9/19/13 2,174,707 Six-Month HUF BUBOR Barclays Bank plc 8,149,000 HUF Reuters 5.720 6/11/12 248,837 Six-Month HUF BUBOR Citibank NA 4,222,000 HUF Reuters 5.800 6/8/12 137,767 Six-Month HUF BUBOR JPMorgan Chase Bank NA 8,018,000 HUF Reuters 5.720 6/10/12 244,837 Six-Month HUF BUBOR JPMorgan Chase Bank NA 2,411,000 HUF Reuters 7.890 9/12/13 1,055,105 Six-Month HUF BUBOR JPMorgan Chase Bank NA 5,319,000 HUF Reuters 8.480 6/6/13 2,202,543 Six-Month HUF BUBOR JPMorgan Chase Bank NA 2,855,000 HUF Reuters 7.880 8/12/13 1,033,807 ---------- ----------- Total 36,110,000 HUF 7,097,603 ---------- ----------- SIX-MONTH JPY BBA LIBOR: Six-Month JPY Citibank NA 3,596,000 JPY 1.391 BBA LIBOR 10/6/19 (195,813) Six-Month JPY JPMorgan Chase Bank NA 3,645,400 JPY 1.484 BBA LIBOR 8/7/19 (655,956) Six-Month JPY JPMorgan Chase Bank NA 3,644,000 JPY 1.563 BBA LIBOR 11/9/19 (779,921) ---------- ----------- Total 10,885,400 JPY (1,631,690) ---------- ----------- THREE-MONTH CAD BA CDOR Three-Month CAD BA JPMorgan Chase Bank NA 128,960 CAD CDOR 3.820 1/4/20 5,193,046 ---------- ----------- THREE-MONTH USD BBA LIBOR Three-Month Goldman Sachs Group, Inc. USD BBA (The) 120,000 LIBOR 3.600 11/3/19 7,260,142 ----------- Total Interest Rate Swaps $24,344,628 ===========
25 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar HUF Hungarian Forint JPY Japanese Yen TOTAL RETURN SWAP CONTRACTS AS OF JUNE 30, 2010 ARE AS FOLLOWS:
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ----------------- --------- ------------------------ ------------------ -------------- ----------- CUSTOM BASKET OF SECURITIES: One-Month CHF BBA LIBOR plus 30 basis points and if negative, If positive, the absolute value of the Total Return the Total Return of a of a custom custom basket of basket of Citibank NA 20,142 CHF securities securities 1/12/11 $ (238,579) One-Month EURIBOR plus 30 basis points and if If positive, negative, the absolute the Total Return value of the Total of a custom Return of a custom basket of Citibank NA 39,480 EUR basket of securities securities 1/12/11 (486,086) One-Month GBP BBA LIBOR plus 30 basis points and if negative, If positive, the absolute value of the Total Return the Total Return of a of a custom custom basket of basket of Citibank NA 11,871 GBP securities securities 1/12/11 634,016 One-Month SEK STIBOR SIDE plus 30 basis points and if negative, If positive, the absolute value of the Total Return the Total Return of a of a custom custom basket of basket of Citibank NA 60,855 SEK securities securities 1/12/11 271,897 One-Month JPY BBA LIBOR plus 53 basis points and if negative, If positive, the absolute value of the Total Return the Total Return of a of a custom custom basket of basket of Citibank NA, New York 6,286,736 JPY securities securities 4/14/11 (3,055,442) One-Month GBP BBA LIBOR plus 50 basis points and if negative, If positive, the absolute value of the Total Return the Total Return of a of a custom custom basket of basket of Morgan Stanley 50,186 GBP securities securities 1/14/11 (2,353,577) ----------- Reference Entity Total (5,227,771) ----------- MSCI DAILY GROSS TR EUROPE EURO INDEX: One-Month EURIBOR minus 60 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Citibank NA 14,530 EUR Gross Europe Euro Index Europe Euro Index 1/12/11 (50,067)
26 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) One-Month EURIBOR minus 3 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Goldman Sachs Group, Inc. (The) 7,295 EUR Gross Europe Euro Index Europe Euro Index 1/12/11 (68,252) One-Month EURIBOR minus 3 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Goldman Sachs Group, Inc. (The) 21,168 EUR Gross Europe Euro Index Europe Euro Index 1/12/11 (192,707) One-Month Europe EURIBOR minus 3 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Goldman Sachs Group, Inc. (The) 12,466 EUR Gross Europe Euro Index Europe Euro Index 1/17/11 (108,230) One-Month EURIBOR minus 30 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Morgan Stanley 21,785 EUR Gross Europe Euro Index Europe Euro Index 1/12/11 232,795 One-Month EURIBOR minus 70 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross UBS AG 7,265 EUR Gross Europe Euro Index Europe Euro Index 1/12/11 (25,450) ----------- Reference Entity Total (211,911) ----------- MSCI DAILY TR GROSS EAFE USD INDEX: One-Month LIBOR plus 15 basis points and if negative the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Citibank NA 22,546 Gross EAFE USD Index EAFE USD Index 10/7/10 259,743 One-Month BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Goldman Sachs Group, Inc. (The) 7,112 Gross EAFE USD Index EAFE USD Index 5/11/11 (190,879)
27 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) One-Month BBA LIBOR minus 5 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Goldman Sachs Group, Inc. (The) 8,875 Gross EAFE USD Index EAFE USD Index 10/7/10 (27,197) One-Month BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross Morgan Stanley 13,523 Gross EAFE USD Index EAFE USD Index 10/7/10 (17,454) One-Month LIBOR minus 10 basis points and if negative, the absolute value of the Total If positive, the Total Return of the Return of the MSCI Daily MSCI Daily Gross UBS AG 17,583 Gross EAFE USD Index EAFE USD Index 10/11/10 169,852 ----------- Reference Entity Total 194,065 ----------- MSCI DAILY TR ITALY USD INDEX: One-Month BBA LIBOR minus 25 basis points If positive, and if negative, the the Total Return absolute value of the of the MSCI Total Return of the MSCI Daily Italy Goldman Sachs Group, Inc. (The) 12,700 Daily Italy USD Index USD Index 3/4/11 7,952 One-Month BBA LIBOR minus 25 basis points If positive, and if negative, the the Total Return absolute value of the of the MSCI Total Return of the MSCI Daily Italy Goldman Sachs Group, Inc. (The) 958 Daily Italy USD Index USD Index 3/4/11 655 ----------- Reference Entity Total 8,607 ----------- MSCI DAILY TR NET BELGIUM INDEX: One-Month BBA LIBOR minus 5 basis points and If positive, if negative, the the Total Return absolute value of the of the MSCI Total Return of the MSCI Daily Net Citibank NA 13,085 Daily Net Belgium Index Belgium Index 4/6/11 (241,195) One-Month BBA LIBOR minus 5 basis points and If positive, if negative, the the Total Return absolute value of the of the MSCI Total Return of the MSCI Daily Net Citibank NA 873 Daily Net Belgium Index Belgium Index 4/6/11 (17,953) ----------- Reference Entity Total (259,148) ----------- MSCI DAILY TR NET EMERGING MARKETS KOREA INDEX One-Month BBA LIBOR plus 90 basis points and If positive, if negative, the the Total Return absolute value of the of the MSCI Total Return of the MSCI Daily Net Daily Net Emerging Emerging Markets Goldman Sachs Group, Inc. (The) 11,655 Markets Korea Index Korea Index 3/9/11 327,956 -----------
28 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) MSCI DAILY TR NET FRANCE USD INDEX One-Month BBA LIBOR minus 35 basis points and if negative, the If positive, absolute value of the the Total Return Total Return of the MSCI of the MSCI Daily Net France USD Daily TR Net Morgan Stanley 12,761 Index France USD Index 3/9/11 (143,186) ----------- MSCI TR HONG KONG NET USD INDEX One-Month BBA LIBOR plus 15 basis points and If positive, if negative, the the Total Return absolute value of the of the MSCI Hong Total Return of the MSCI Kong Net USD UBS AG 12,712 Hong Kong Net USD Index Index 5/10/11 548,247 ----------- ORDINARY SHARES OF NORSK HYDRO ASA One-Month NOK NIBOR If positive, NIBR plus 30 basis the absolute points and if negative, value of the the absolute value of Total Return of the Total Return of the the ordinary ordinary shares of Norsk shares of Norsk Citibank NA 12,418 NOK Hydro ASA Hydro ASA 4/11/11 (411,654) ----------- ORDINARY SHARES OF NOVO NORDISK AS One-Month DKK BBA LIBOR plus 30 basis If positive, points and if negative, the absolute the absolute value of value of the the Total Return of the ordinary shares ordinary shares of Novo of Novo Nordisk Citibank NA 11,945 DKK Nordisk AS AS 4/11/11 86,977 ----------- ORDINARY SHARES OF VESTAS WIND SYSTEMS AS One-Month DKK BBA LIBOR plus 30 basis If positive, points and if negative, the absolute the absolute value of value of the the Total Return of the ordinary shares ordinary shares of of Vestas Wind Citibank NA 11,529 DKK Vestas Wind Systems AS Systems AS 4/11/11 (170,190) ----------- Total of Total Return Swaps $(5,258,008) ===========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: CHF Swiss Franc DKK Danish Krone EUR Euro GBP British Pounds Sterling JPY Japanese Yen NOK Norwegian Krone SEK Swedish Krona Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate EURIBOR Euro Interbank Offered Rate LIBOR London Interbank Offered Rate MSCI Morgan Stanley Capital International MSCI EAFE Morgan Stanley Capital International Europe, Australia and Far East. A stock market index of foreign stocks from the perspective of a North American investor NIBOR Norwegian Interbank Offered Rate STIBOR SIDE Stockholm Interbank Offered Rate TR Total Return 29 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) SWAP SUMMARY AS OF JUNE 30, 2010 IS AS FOLLOWS:
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ----------------- ------------------- ---------- ----------- Banco Santander SA, Inc. Interest Rate 96,790 BRR $ 610,769 ----------- Barclays Bank plc Interest Rate 13,285,000 HUF 2,423,544 ----------- Citibank NA: Interest Rate 4,222,000 HUF 137,767 Interest Rate 3,596,000 JPY (195,813) Total Return 20,142 CHF (238,579) Total Return 23,474 DKK (83,213) Total Return 54,010 EUR (536,153) Total Return 11,871 GBP 634,016 Total Return 12,418 NOK (411,654) Total Return 60,855 SEK 271,897 Total Return 36,504 595 ----------- (421,137) ----------- Citibank NA, New York: Credit Default Sell Protection 3,010 (159,752) Total Return 6,286,736 JPY (3,055,442) ----------- (3,215,194) ----------- Credit Suisse International: Credit Default Buy Protection 5,940 1,543,034 Credit Default Sell Protection 22,870 154,804 Interest Rate 98,450 BRR (24,749) ----------- 1,673,089 ----------- Goldman Sachs Group, Inc. (The): Interest Rate 656,760 BRR 7,224,136 Interest Rate 120,000 7,260,142 Total Return 40,929 EUR (369,189) Total Return 41,300 118,487 ----------- 14,233,576 ----------- JPMorgan Chase Bank NA: Interest Rate 56,300 BRR 2,387,619 Interest Rate 128,960 CAD 5,193,046 Interest Rate 18,603,000 HUF 4,536,292 Interest Rate 7,289,400 JPY (1,435,877) ----------- 10,681,080 ----------- Morgan Stanley: Interest Rate 516,560 BRR 1,732,873 Total Return 21,785 EUR 232,795
30 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Total Return 50,186 GBP (2,353,577) Total Return 26,284 (160,640) ----------- (548,549) ----------- Morgan Stanley Capital Services, Inc. Credit Default Sell Protection 10,410 (710,244) ----------- UBS AG: Total Return 7,265 EUR (25,450) Total Return 30,295 718,099 ----------- 692,649 ----------- Westpac Banking Corp. Interest Rate 133,360 AUD (5,505,121) ----------- Total Swaps $19,914,462 ===========
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar CHF Swiss Franc DKK Danish Krone EUR Euro GBP British Pounds Sterling HUF Hungarian Forint JPY Japanese Yen NOK Norwegian Krone SEK Swedish Krona NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. 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. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability, are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. 31 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. STRUCTURED SECURITIES. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures. 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. As of June 30, 2010, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $317,141,742 Sold securities 264,869,054
32 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. Information concerning securities in default as of June 30, 2010 is as follows: Cost $57,190,931 Market Value $ 7,000,315 Market Value as a % of Net Assets 0.06%
INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This 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. MARKET RISK FACTORS. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 33 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. 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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. 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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 30, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $87,144,097, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk 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 net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $46,558,401 as of June 30, 2010. 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. As of June 30, 2010 the Fund has required certain counterparties to post collateral of $19,385,591. 34 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. As of June 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $21,823,722 for which the Fund has posted collateral of $4,489,955. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of June 30, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities in the annual and semiannual reports; securities posted as collateral, if any, are reported on the Statement of Investments. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into foreign currency exchange contracts ("forward contracts") for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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. 35 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) Futures contracts 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. 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. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk. The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. 36 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the period ended June 30, 2010 was as follows:
CALL OPTIONS PUT OPTIONS ---------------------------- ---------------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS -------------- ----------- -------------- ----------- Options outstanding as of September 30, 2009 -- $ -- -- $ -- Options written 55,079,905,000 20,348,158 8,050,030,000 6,650,878 Options closed or expired (2,990,980,000) (5,970,054) (5,370,485,000) (2,551,153) Options exercised (4,963,835,000) (2,126,917) (2,596,810,000) (3,255,789) -------------- ----------- -------------- ----------- Options outstanding as of June 30, 2010 47,125,090,000 $12,251,187 82,735,000 $ 843,936 ============== =========== ============== ===========
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The values of 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 by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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 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 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). 37 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). 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. 38 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited) The Fund has entered into total return swaps on various equity indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index multiplied by the notional amount of the contract. The Fund has entered into total return swaps on various equity indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same index multiplied by the notional amount of the contract. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. CURRENCY SWAPS. A currency swap is an agreement between counterparties to exchange different currencies equivalent to the notional value at contract inception and reverse the exchange of the same notional values of those currencies at contract termination. The contract may also include periodic exchanges of cash flows based on a specified index or interest rate. The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into currency swap contracts with the obligation to pay an interest rate various foreign currency notional amounts and receive an interest rate on the dollar notional amount in order to take a negative investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to decrease exposure to foreign exchange rate risk. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of June 30, 2010, the Fund had no such currency swap agreements outstanding. RESTRICTED SECURITIES As of June 30, 2010, 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. UNFUNDED PURCHASE AGREEMENTS Pursuant to the terms of certain indenture agreements, the Fund has unfunded purchase agreements of $24,771,232 at June 30, 2010. The following agreements are subject to funding based on the borrower's discretion. The Fund is obligated to fund these agreements at the time of the request by the borrower. These agreements have been excluded from the Statement of Investments. As of June 30, 2010, the Fund had unfunded purchase agreements as follows:
COMMITMENT TERMINATION UNFUNDED DATE AMOUNT ----------- ----------- Deutsche Bank AG, Opic Reforma I Credit Linked Nts. 10/23/13 $16,356,464
39 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS June 30, 2010 (Unaudited)
COMMITMENT INTEREST TERMINATION UNFUNDED UNREALIZED RATE DATE AMOUNT DEPRECIATION ---------- ----------- ---------- ------------ Deutsche Bank AG; An unfunded agreement that the Fund receives 0.125% quarterly; and will pay out, upon request, up to 8,414,768 USD to a Peruvian Trust through Deutsche Bank's Global Note Program. Upon funding requests, the unfunded portion decreases and new structured securities will be created and held by the fund to maintain a consistent exposure level. 0.50% 9/20/10 $8,414,768 $22,486
FEDERAL TAXES. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2010 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $12,149,353,859 Federal tax cost of other investments 572,609,102 --------------- Total federal tax cost $12,721,962,961 =============== Gross unrealized appreciation $ 501,809,403 Gross unrealized depreciation (487,030,113) --------------- Net unrealized appreciation $ 14,779,290 ===============
40 | Oppenheimer International Bond Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 06/30/2010, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer International Bond Fund By: /s/ William F. Glavin, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 08/09/2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ William F. Glavin, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 08/09/2010 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 08/09/2010