N-Q 1 g07686nvq.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: 12/31/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- U.S. GOVERNMENT OBLIGATIONS--0.2% U.S. Treasury Bills, 0.165%, 3/3/11(1,2) (Cost $31,191,541) $ 31,200,000 $ 31,194,259 FOREIGN GOVERNMENT OBLIGATIONS--77.2% ARGENTINA--1.4% Argentina (Republic of) Bonds: 2.50%, 12/31/38(3) 42,430,000 19,199,575 Series GDP, 0%, 12/15/35(3,4) 35,740,000 5,593,310 Series VII, 7%, 9/12/13 21,385,000 21,007,792 Argentina (Republic of) Sr. Unsec. Bonds, 0%, 12/15/35(3,4) 50,640,000 EUR 8,594,176 Argentina (Republic of) Sr. Unsec. Nts., 6.976%, 10/3/15 89,470,000 84,720,634 Argentina (Republic of) Sr. Unsec. Unsub. Nts., 7.267%, 12/31/33(3) 123,797,464 ARP 48,370,470 Argentina (Republic of) Sr. Unsecured Nts., 13.625%, 1/30/14(3) 12,980,000 ARP 3,168,110 ----------------- 190,654,067 AUSTRALIA--2.1% Australia (Commonwealth of) Sr. Unsec. Bonds: Series 119, 6.25%, 4/15/15 33,375,000 AUD 35,329,143 Series 120, 6%, 2/15/17 18,370,000 AUD 19,348,972 Queensland Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/21/16 220,945,000 AUD 226,264,394 ----------------- 280,942,509 AUSTRIA--0.7% Austria (Republic of) Bonds, 4.35%, 3/15/19(5) 29,235,000 EUR 42,185,394 Austria (Republic of) Sr. Unsec. Unsub. Bonds, Series 2, 4.65%, 1/15/18 30,645,000 EUR 45,231,525 ----------------- 87,416,919 BELGIUM--1.0% Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 89,435,000 EUR 132,798,301 BELIZE--0.0% Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/29(3,6) 6,100,000 5,398,500 BRAZIL--5.2% Brazil (Federal Republic of) Bonds, 7.125%, 1/20/37 4,090,000 4,897,775 Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: 10%, 1/1/17 883,992,000 BRR 488,142,807 10%, 1/1/21 279,002,000 BRR 148,439,148 11.433%, 5/15/45(11) 32,095,000 BRR 41,145,039 Brazil (Federal Republic of) Sr. Unsec. Unsub. Nts., 5.625%, 1/7/41 14,035,000 13,999,913 ----------------- 696,624,682 CANADA--2.7% Canada (Government of) Nts.: 3%, 12/1/15 211,305,000 CAD 218,254,284 3.75%, 6/1/19 54,210,000 CAD 57,470,342 4%, 6/1/17 81,085,000 CAD 87,744,359 ----------------- 363,468,985
1 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- COLOMBIA--1.1% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28(5) 16,413,000,000 COP $ 11,552,273 Colombia (Republic of) Bonds: 7.375%, 9/18/37 13,360,000 15,898,400 12%, 10/22/15 34,907,000,000 COP 24,311,271 Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 18,875,000 22,744,375 Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 21,600,000 22,248,000 Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 24,071,000,000 COP 14,950,348 Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 9,320,000 11,044,200 Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 37,684,000,000 COP 27,821,391 ----------------- 150,570,258 DENMARK--0.3% Denmark (Kingdom of) Bonds, 4%, 11/15/19 234,150,000 DKK 45,355,557 DOMINICAN REPUBLIC--0.1% Dominican Republic Bonds, 7.50%, 5/6/21(5) 10,100,000 10,933,250 EGYPT--1.3% Egypt (The Arab Republic of) Sr. Unsec. Unsub. Nts.: 5.75%, 4/29/20(5) 7,215,000 7,467,525 6.875%, 4/30/40(5) 7,805,000 8,273,300 Egypt (The Arab Republic of) Treasury Bills: Series 182, 8.729%, 2/15/11(7) 36,225,000 EGP 6,177,782 Series 182, 9.494%, 2/1/11(7) 69,650,000 EGP 11,910,270 Series 182, 9.819%, 3/22/11(7) 66,625,000 EGP 11,242,581 Series 182, 10.031%, 1/18/11(7) 46,325,000 EGP 7,949,067 Series 273, 9.845%, 7/5/11(7) 68,400,000 EGP 11,225,141 Series 273, 10.19%, 4/5/11(7) 165,150,000 EGP 27,774,788 Series 364, 9.008%, 2/8/11(7) 49,000,000 EGP 8,370,939 Series 364, 9.027%, 3/29/11(7) 117,175,000 EGP 19,751,809 Series 364, 10.046%, 5/10/11(7) 46,175,000 EGP 7,707,606 Series 364, 10.064%, 7/12/11(7) 111,875,000 EGP 18,298,934 Series 364, 10.508%, 3/8/11(7) 163,550,000 EGP 27,697,707 ----------------- 173,847,449 FINLAND--0.2% Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 19,035,000 EUR 27,440,970 FRANCE--0.2% France (Government of) Bonds, 4%, 4/25/60 18,570,000 EUR 25,191,827 GERMANY--3.9% Germany (Federal Republic of) Bonds: 0.50%, 6/15/12 69,175,000 EUR 92,188,747 3.50%, 7/4/19 130,970,000 EUR 183,811,642 Series 07, 4.25%, 7/4/39 34,030,000 EUR 51,967,134 Series 157, 2.25%, 4/10/15 138,745,000 EUR 189,701,476 ----------------- 517,668,999 GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17(5) 17,490,000 19,719,975
2 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- GREECE--0.5% Hellenic Republic Bonds, 4.30%, 3/20/12 7,305,000 EUR $ 8,997,392 Hellenic Republic Sr. Unsec. Unsub. Bonds: 30 yr., 4.50%, 9/20/37 52,895,000 EUR 38,406,182 30 yr., 4.60%, 9/20/40 31,355,000 EUR 22,684,640 ----------------- 70,088,214 HUNGARY--0.3% Hungary (Republic of) Bonds: Series 17/B, 6.75%, 2/24/17 5,022,200,000 HUF 22,843,524 Series 19/A, 6.50%, 6/24/19 4,959,000,000 HUF 21,619,250 ----------------- 44,462,774 INDONESIA--0.9% Indonesia (Republic of) Nts., 6.875%, 1/17/18(5) 38,065,000 44,536,050 Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/38(5) 15,030,000 18,411,750 Indonesia (Republic of) Sr. Unsec. Unsub. Bonds: 5.875%, 3/13/20(5) 13,065,000 14,404,163 6.625% 2/17/37(5) 8,990,000 9,889,000 Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35(5) 19,610,000 25,885,200 ----------------- 113,126,163 IRELAND--0.2% Ireland (Republic of) Treasury Nts., 5.90%, 10/18/19 24,775,000 EUR 27,129,574 ISRAEL--1.2% Israel (State of) Bonds: 5%, 1/31/20 278,860,000 ILS 80,423,945 6%, 2/28/19 261,340,000 ILS 81,242,351 ----------------- 161,666,296 ITALY--3.8% Italy (Republic of) Bonds: 3.75%, 3/1/21 85,020,000 EUR 104,626,192 4%, 9/1/20 131,800,000 EUR 167,027,215 5%, 9/1/40 34,345,000 EUR 43,225,693 Italy (Republic of) Treasury Bonds, 3.75%, 12/15/13 135,975,000 EUR 183,942,106 ----------------- 498,821,206 JAPAN--22.7% Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29 34,990,000,000 JPY 450,136,287 Japan (Government of) Sr. Unsec. Bonds: 2 yr., 0.20%, 1/15/12 39,117,000,000 JPY 481,938,399 5 yr., 0.50%, 12/20/14 60,544,000,000 JPY 751,201,227 10 yr., Series 308, 1.30%, 6/20/20 39,533,000,000 JPY 497,466,736 Japan (Government of) Sr. Unsec. Unsub. Bonds: 5 yr., Series 91, 0.40%, 9/20/15 53,949,000,000 JPY 665,242,534 10 yr., Series 311, 0.80%, 9/20/20 14,367,000,000 JPY 172,225,275 ----------------- 3,018,210,458 KOREA, REPUBLIC OF SOUTH--1.5% Korea (Republic of) Sr. Unsec. Bonds, Series 2006, 5%, 6/10/20 110,821,000,000 KRW 101,584,061
3 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: Series 1208, 3.81%, 8/2/12 32,639,000,000 KRW $ 29,045,230 Series 1210, 3.28%, 10/2/12 35,050,000,000 KRW 30,906,015 Korea (Republic of) Sr. Unsec. Unsub. Nts.: 5.125%, 12/7/16 11,887,000 12,812,237 7.125%, 4/16/19 18,555,000 22,168,549 ----------------- 196,516,092 MALAYSIA--0.5% 1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/15(5) 17,925,000 18,644,438 Malaysia (Government of) Bonds, Series 0110, 3.835%, 8/12/15 144,300,000 MYR 47,601,591 ----------------- 66,246,029 MEXICO--3.9% United Mexican States Bonds: 5.625%, 1/15/17 29,880,000 33,196,680 Series M10, 7.25%, 12/15/16(3) 286,060,000 MXN 24,098,528 Series M20, 7.50%, 6/3/27 1,046,930,000 MXN 84,941,203 Series M10, 7.75%, 12/14/17 1,560,260,000 MXN 134,586,638 Series M10, 8%, 12/17/15 297,000,000 MXN 25,694,709 Series M10, 8.50%, 12/13/18 323,990,000 MXN 29,023,103 Series M20, 10%, 12/5/24 1,731,340,000 MXN 175,110,672 United Mexican States Sr. Nts., 5.75%, 10/12/2110 8,860,000 7,907,550 ----------------- 514,559,083 NEW ZEALAND--1.7% New Zealand (Government of) Sr. Unsec. Bonds, Series 415, 6%, 4/15/15 272,645,000 NZD 222,537,184 NORWAY--0.1% Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 71,755,000 NOK 13,326,160 PANAMA--0.3% Panama (Republic of) Bonds: 7.25%, 3/15/15 14,290,000 16,576,400 8.875%, 9/30/27 6,640,000 9,130,000 9.375%, 4/1/29 6,770,000 9,528,775 Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 7,870,000 9,503,025 ----------------- 44,738,200 PERU--0.6% Peru (Republic of) Bonds, 7.35%, 7/21/25 30,020,000 36,669,430 Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/20(6) 65,640,000 PEN 26,665,336 Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50(5) 12,030,000 11,187,900 ----------------- 74,522,666 PHILIPPINES--0.2% Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 7,515,000 8,003,475 Philippines (Republic of the) Sr. Unsec. Unsub. Nts., 4.95%, 1/31/21 652,000,000 PHP 15,730,642 ----------------- 23,734,117
4 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- POLAND--2.7% Poland (Republic of) Bonds: 5.25%, 10/25/20 193,570,000 PLZ $ 62,055,649 Series 0415, 5.50%, 4/25/15 667,630,000 PLZ 227,379,163 Series 1015, 6.25%, 10/24/15 161,235,000 PLZ 56,472,771 Series 1017, 5.25%, 10/25/17 18,090,000 PLZ 5,974,485 ----------------- 351,882,068 QATAR--0.1% Qatar (State of) Sr. Nts., 5.25%, 1/20/20(5) 11,640,000 12,338,400 SOUTH AFRICA--3.2% South Africa (Republic of) Bonds: 5.50%, 3/9/20 21,495,000 22,972,781 Series R208, 6.75%, 3/31/21 320,500,000 ZAR 44,057,061 Series R207, 7.25%, 1/15/20 1,108,960,000 ZAR 159,265,510 Series R204, 8%, 12/21/18 430,290,000 ZAR 65,221,382 Series R186, 10.50%, 12/21/26 728,890,000 ZAR 132,070,995 ----------------- 423,587,729 SPAIN--1.5% Spain (Kingdom of) Bonds, 5.50%, 7/30/17 96,140,000 EUR 132,637,819 Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 57,810,000 EUR 72,253,809 ----------------- 204,891,628 SRI LANKA--0.1% Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/20(5) 9,970,000 10,156,938 SWEDEN--0.3% Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 216,000,000 SEK 33,475,608 THE NETHERLANDS--0.9% Netherlands (Kingdom of the) Bonds, 4%, 7/15/18 46,720,000 EUR 67,393,286 Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 35,305,000 EUR 52,545,727 ----------------- 119,939,013 TURKEY--4.5% Turkey (Republic of) Bonds: 6.75%, 4/3/18 24,225,000 27,737,625 6.875%, 3/17/36 3,425,000 3,836,000 7%, 3/11/19 9,650,000 11,194,000 10.50%, 1/15/20(3) 72,940,000 TRY 52,886,224 11%, 8/6/14 183,790,000 TRY 131,136,070 16%, 3/7/12(3) 389,245,000 TRY 278,453,873 Series CPI, 14.047%, 8/14/13(3) 23,725,000 TRY 23,193,472 Turkey (Republic of) Nts.: 7%, 6/5/20 6,870,000 7,969,200 7.50%, 7/14/17 12,420,000 14,748,750 Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 15,000,000 17,925,000 Turkey (Republic of) Unsec. Nts.: 6.75%, 5/30/40 10,200,000 11,169,000 7.25%, 3/5/38 10,200,000 11,921,250 ----------------- 592,170,464
5 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- UKRAINE--0.5% Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/17(5) $ 15,050,000 $ 15,805,962 Ukraine (Republic of) Bonds, 7.75%, 9/23/20(5) 14,640,000 14,969,400 Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/17(5) 22,470,000 22,514,940 Ukraine (Republic of) Sr. Unsec. Unsub. Bonds, 6.58%, 11/21/16(5) 5,865,000 5,894,325 Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/12(5) 8,750,000 8,967,000 ----------------- 68,151,627 UNITED KINGDOM--3.0% United Kingdom Treasury Bonds: 2.25%, 3/7/14 71,650,000 GBP 114,088,829 4.75%, 3/7/20 95,460,000 GBP 164,685,764 4.75%, 12/7/38 69,015,000 GBP 117,690,481 ----------------- 396,465,074 URUGUAY--0.5% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 20,090,000 23,957,325 Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 13,000,000 14,885,000 Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 23,255,000 28,894,338 ----------------- 67,736,663 VENEZUELA--1.2% Venezuela (Republic of) Bonds: 9%, 5/7/23 52,010,000 36,276,975 9.25%, 9/15/27 12,140,000 9,105,000 Venezuela (Republic of) Nts.: 8.25%, 10/13/24 8,895,000 5,826,225 8.50%, 10/8/14 13,230,000 11,245,500 Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: 7.75%, 10/13/19 7,220,000 4,927,650 12.75%, 8/23/22 2,950,000 2,610,750 Venezuela (Republic of) Unsec. Bonds: 7%, 3/31/38 43,250,000 24,976,875 7.65%, 4/21/25 47,405,000 29,983,663 9.375%, 1/13/34 15,475,000 10,561,688 Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/18(5) 21,165,000 20,635,875 ----------------- 156,150,201 ----------------- Total Foreign Government Obligations (Cost $9,645,003,130) 10,254,661,877 CORPORATE BONDS AND NOTES--14.1% CONSUMER DISCRETIONARY--0.1% HOTELS, RESTAURANTS & LEISURE--0.1% Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/15(5) 8,400,000 7,770,000 CONSUMER STAPLES--0.2% BEVERAGES--0.1% AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/17(3) 11,985,000 BRR 7,093,532
6 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- FOOD PRODUCTS--0.1% Arcor, 7.25% Sr. Unsec. Nts., 11/9/17(5) $ 6,040,000 $ 6,462,800 MHP SA, 10.25% Sr. Unsec. Nts., 4/29/15(5) 10,755,000 11,387,394 ----------------- 17,850,194 ENERGY--3.4% OIL, GAS & CONSUMABLE FUELS--3.4% Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/15(5) 11,200,000 11,829,440 Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/20(5) 5,965,000 5,985,657 Gaz Capital SA: 6.212% Sr. Unsec. Unsub. Nts., 11/22/16(5) 13,460,000 14,334,900 7.288% Sr. Sec. Nts., 8/16/37(5) 39,135,000 40,896,075 8.125% Nts., 7/31/14(5) 10,810,000 12,269,350 8.146% Sr. Sec. Nts., 4/11/18(5) 18,820,000 21,878,250 8.625% Sr. Sec. Nts., 4/28/34(5) 11,855,000 14,285,275 9.25% Sr. Unsec. Unsub. Nts., 4/23/19(5) 25,645,000 31,640,801 KMG Finance Sub BV: 7% Sr. Unsec. Bonds, 5/5/20(5) 8,400,000 8,778,000 9.125% Sr. Unsec. Unsub. Nts., 7/2/18(5) 30,360,000 35,673,000 11.75% Sr. Unsec. Bonds, 1/23/15(5) 15,390,000 19,179,018 Lukoil International Finance BV: 6.125% Sr. Unsec. Nts., 11/9/20(5) 27,090,000 27,257,958 6.656% Sr. Unsec. Unsub. Bonds, 6/7/22(5) 5,525,000 5,621,688 7.25% Sr. Unsec. Unsub. Nts., 11/5/19(5) 4,390,000 4,763,150 Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 20,240,000 22,162,800 Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/21(5) 9,020,000 9,425,900 Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/21(5) 11,930,000 12,735,275 Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 11,890,000 12,136,433 Petrobras International Finance Co.: 5.75% Sr. Unsec. Unsub. Nts., 1/20/20 14,160,000 14,762,763 5.875% Sr. Unsec. Nts., 3/1/18 5,960,000 6,376,115 7.875% Sr. Unsec. Nts., 3/15/19 22,940,000 27,233,680 Petroleos de Venezuela SA, 5.25% Sr. Unsec. Unsub. Nts., 4/12/17 5,920,000 3,404,000 Petroleos Mexicanos: 5.50% Sr. Unsec. Unsub. Nts., 1/21/21 11,900,000 12,108,250 6% Sr. Unsec. Unsub. Nts., 3/5/20 14,380,000 15,314,700 8% Unsec. Unsub. Nts., 5/3/19 7,820,000 9,462,200 Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/19(5) 17,320,000 20,870,600 Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11(5) 2,322,480 2,318,506 PT Adaro Indonesia, 7.625% Nts., 10/22/19(5) 14,950,000 16,407,625 Tengizchevroil LLP, 6.124% Nts., 11/15/14(6) 7,353,582 7,739,645 TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67% Sec. Bonds, 3/5/14(5) 7,200,000 7,640,568 ----------------- 454,491,622
7 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- FINANCIALS--6.2% CAPITAL MARKETS--0.1% Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec. Bonds, 9/7/11 $ 4,800,000 $ 4,884,000 IPIC GMTN Ltd., 5% Nts., 11/15/20(5) 12,050,000 11,853,272 ----------------- 16,737,272 COMMERCIAL BANKS--4.0% Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15(5) 14,880,000 15,103,200 Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/17(5) 11,700,000 11,963,250 Banco BMG SA: 9.15% Nts., 1/15/16(6) 10,630,000 11,432,565 9.95% Unsec. Unsub. Nts., 11/5/19(5) 8,380,000 8,945,650 Banco Cruzeiro do Sul SA, 8.875% Sub. Nts., 9/22/20(5) 5,870,000 5,875,870 Banco de Credito del Peru: 5.375% Sr. Nts., 9/16/20(5) 8,740,000 8,652,600 6.95% Sub. Nts., 11/7/21(3,6) 5,410,000 5,680,500 9.75% Jr. Sub. Nts., 11/6/69(6) 5,300,000 6,174,500 Banco do Brasil SA: 5.375% Unsec. Sub. Nts., 1/15/21(5) 10,590,000 10,431,150 8.50% Jr. Sub. Perpetual Bonds(5,8) 10,135,000 11,718,087 Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/20(5) 8,650,000 8,546,200 Bank of Scotland plc: 4.375% Sr. Sec. Nts., 7/13/16 97,683,000 EUR 133,945,919 4.50% Sr. Sec. Nts., 7/13/21 66,867,000 EUR 88,111,857 HSBK Europe BV: 7.25% Unsec. Unsub. Nts., 5/3/17(5) 3,275,000 3,340,500 9.25% Sr. Nts., 10/16/13(6) 60,130,000 65,992,675 ICICI Bank Ltd.: 5.50% Sr. Unsec. Nts., 3/25/15(5) 21,660,000 22,562,312 6.375% Bonds, 4/30/22(3,5) 22,793,000 22,910,179 Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04(5,9,10) 550,000 -- PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/12(5) 8,980,000 8,912,650 Salisbury International Investments Ltd., 4.439% Sec. Nts., Series 2006-003, Tranche E, 7/20/11(3,6) 2,400,000 2,180,640 VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/20(5) 25,215,000 26,475,750 VTB Capital SA: 6.465% Sr. Sec. Unsub. Nts., 3/4/15(5) 17,600,000 18,413,120 6.551% Sr. Unsec. Nts., 10/13/20(5) 11,820,000 11,672,250 6.875% Sr. Sec. Nts., 5/29/18(5) 4,960,000 5,270,000 Yapi ve Kredit Bankasi/Unicredit Luxembourg SA, 5.188% Sr. Unsec. Nts., 10/13/15(6) 8,870,000 9,182,224 ----------------- 523,493,648 CONSUMER FINANCE--0.0% JSC Astana Finance, 9.16% Nts., 3/14/12(9,10) 14,000,000 1,808,800
8 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- DIVERSIFIED FINANCIAL SERVICES--0.6% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26(6) $ 18,487,974 $ 16,731,617 BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 20,112,000 EUR 27,333,109 Banco Invex SA, 29.174% Mtg.-Backed Certificates, Series 062U, 3/13/34(3,11) 27,603,725 MXN 7,051,698 BM&F BOVESPA SA, 5.50% Sr. Unsec. Nts., 7/16/20(5) 11,910,000 12,178,737 JPMorgan Hipotecaria su Casita: 7.555% Sec. Nts., 8/26/35(6) 34,101,099 MXN 2,692,192 27.591% Mtg.-Backed Certificates, Series 06U, 9/25/35(3) 12,143,398 MXN 1,967,757 Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97(5,12) 5,310,000 2,982,335 TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/20(5) 3,300,000 3,605,250 ----------------- 74,542,695 THRIFTS & MORTGAGE FINANCE--1.5% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16(5) 5,360,000 5,547,600 WM Covered Bond Program: 4% Sec. Mtg. Nts., Series 2, 9/27/16 128,735,000 EUR 175,193,518 4.375% Sec. Nts., 5/19/14 16,755,000 EUR 23,396,458 ----------------- 204,137,576 INDUSTRIALS--0.4% CONSTRUCTION & ENGINEERING--0.2% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24(5) 15,383,182 17,190,706 Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/20(5) 5,290,000 5,713,200 ----------------- 22,903,906 ROAD & RAIL--0.2% Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/20(5) 5,795,000 6,077,796 Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/26(6) 9,755,200 8,828,456 Transnet Ltd., 10.80% Sr. Unsec. Nts., 11/6/23 51,000,000 ZAR 8,493,598 ----------------- 23,399,850 TRANSPORTATION INFRASTRUCTURE--0.0% Aeropuertos Argentina 2000 SA, 10.75% Sr. Sec. Nts., 12/1/20(6) 4,250,000 4,441,250 MATERIALS--1.3% CHEMICALS--0.2% Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/18(5) 15,030,000 15,856,650 Braskem SA, 7% Sr. Unsec. Nts., 5/7/20(5) 8,400,000 8,715,000 ----------------- 24,571,650 CONSTRUCTION MATERIALS--0.2% CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/20(5) 8,115,000 8,013,563 CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/16(5) 8,940,000 9,264,075 Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/20(5) 7,170,000 7,600,200 ----------------- 24,877,838 METALS & MINING--0.8% Alrosa Finance SA, 7.75% Nts., 11/3/20(5) 12,010,000 12,655,538 CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/19(5) 5,700,000 6,184,500 JSC Severstal, 6.70% Nts., 10/25/17(5) 14,820,000 14,708,850
9 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- METALS & MINING CONTINUED Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/13(5) $ 15,360,000 $ 17,184,768 Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/18(5) 51,960,000 57,091,050 ----------------- 107,824,706 PAPER & FOREST PRODUCTS--0.1% Grupo Papelero Scribe SA, 8.875% Sr. Nts., 4/7/20(5) 8,940,000 8,850,600 TELECOMMUNICATION SERVICES--0.8% DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/19(5) 17,935,000 17,127,925 Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/20(5) 30,216,000 29,233,980 ----------------- 46,361,905 WIRELESS TELECOMMUNICATION SERVICES--0.5% America Movil SAB de CV: 6.125% Sr. Unsec. Unsub. Nts., 3/30/40 4,600,000 4,901,208 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 140,800,000 MXN 10,561,254 MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/20(5) 11,910,000 13,591,692 VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/18(5) 32,440,000 37,062,700 ----------------- 66,116,854 UTILITIES--1.7% ELECTRIC UTILITIES--1.3% Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/19(5) 9,400,000 10,669,000 Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/19(5) 10,125,000 11,643,750 Eskom Holdings Ltd., 10% Nts., Series ES23, 1/25/23 314,000,000 ZAR 52,014,988 Eskom Holdings Ltd., 9.25% Bonds, Series ES18, 4/20/18 70,000,000 ZAR 10,980,027 Israel Electric Corp. Ltd., 7.25% Nts., 1/15/19(5) 31,120,000 34,301,584 Majapahit Holding BV: 7.75% Nts., 10/17/16(5) 15,500,000 17,980,000 8% Sr. Unsec. Nts., 8/7/19(5) 11,150,000 13,087,313 National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 665,100,000 PHP 16,780,863 TGI International Ltd., 9.50% Nts., 10/3/17(5) 10,420,000 11,748,550 ----------------- 179,206,075 ENERGY TRADERS--0.3% Colbun SA, 6% Sr. Unsec. Nts., 1/21/20(5) 12,290,000 12,826,987 Power Sector Assets & Liabilities Management Corp.: 7.25% Sr. Gtd. Unsec. Nts., 5/27/19(5) 7,500,000 8,850,000 7.39% Sr. Gtd. Unsec. Nts., 12/2/24(5) 8,120,000 9,662,800 PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/15(5) 8,410,000 9,493,511 ----------------- 40,833,298 WATER UTILITIES--0.1% Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/20(5) 7,885,000 8,019,045 ----------------- Total Corporate Bonds and Notes (Cost $1,800,721,166) 1,865,332,316
10 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Shares Value -------------------- ----------------- COMMON STOCKS--0.0% MHP SA, GDR(5,10) (Cost $ 15,289) 169,861 $ 2,904,623
Principal Amount -------------------- STRUCTURED SECURITIES--6.5% Barclays Bank plc: Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 134,050,000,000 IDR 16,497,345 Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 100,330,000,000 IDR 12,347,472 Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 100,660,000,000 IDR 13,057,747 Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 53,310,000,000 IDR 6,482,768 Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 27,100,000,000 IDR 3,295,498 Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 67,450,000,000 IDR 8,300,976 Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 69,180,000,000 IDR 8,513,885 Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 69,180,000,000 IDR 8,974,120 Citigroup Funding, Inc.: Ghana (Republic of) Credit Linked Bonds, 14%, 3/9/11(3,6) 8,710,000 GHS 5,879,543 Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 62,980,000,000 IDR 7,658,690 Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 67,110,000,000 IDR 8,705,597 Indonesia (Republic of) Credit Linked Nts., Series 25, 11%, 9/17/25 101,170,000,000 IDR 13,123,905 Indonesia (Republic of) Credit Linked Nts., Series 55, 10.50%, 8/19/30 101,170,000,000 IDR 12,450,849 Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 68,100,000,000 IDR 8,834,021 Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.288%, 10/25/11(3) 14,720,000 14,780,210 Kenya (Republic of) Credit Linked Bonds, Series 5, 14%, 3/9/11(6) 7,600,000 GHS 5,130,256 Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15(3,6) 188,735,000 UAH 20,440,468 Citigroup Global Markets Holdings, Inc.: Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18(6) 11,920,000,000 COP 7,484,047 Colombia (Republic of) Credit Linked Nts., 13.37%, 2/26/15(6,11) 10,435,000,000 COP 12,179,728 Colombia (Republic of) Credit Linked Nts., Series 01, 13.37%, 2/26/15(6,11) 3,833,000,000 COP 4,473,876 Colombia (Republic of) Credit Linked Nts., Series 02, 13.37%, 2/26/15(6,11) 4,568,000,000 COP 5,331,768 Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 26,964,000,000 COP 17,087,815 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12(6) 289,700,000 DOP 7,971,939 Credit Suisse First Boston International: Moitk Total Return Linked Nts., 21%, 3/30/11(10,15) 220,242,600 RUR 21,630 Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/12(3) 58,446,000 RUR 1,800,907 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 2,079,889
11 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- Russian Specialized Construction & Installation Administration Total Return Linked Nts., 5/20/10(10,15) 64,600,000 RUR $ 211 Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 45,150,000 RUR 1,352,416 Credit Suisse International: OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 106,500,000 RUR 3,812,412 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 155,430,000 RUR 5,563,974 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 144,200,000 RUR 5,161,970 Deutsche Bank AG: Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/7/11 3,120,098 MXN 241,902 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/7/11 2,070,243 MXN 160,507 Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.01%, 4/30/25(6,7) 4,790,419 3,083,711 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/25(6,7) 6,103,731 3,929,122 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25(6,7) 5,269,594 3,392,168 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/25(6,7) 4,710,353 3,032,171 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/25(6,7) 5,864,772 3,775,298 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/25(6,7) 6,693,746 4,308,930 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25(6,7) 5,347,520 3,442,331 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/25(6,7) 5,026,441 3,235,645 Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11(3,6) 8,755,000 9,591,978 Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 119,230,000,000 IDR 14,673,468 Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 38,920,000,000 IDR 5,818,324 Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 140,400,000,000 IDR 20,989,021 Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 97,410,000,000 IDR 12,636,153 JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/12(3) 133,110,000 RUR 4,764,978 Opic Reforma I Credit Linked Nts., Cl. 1A, 7.905%, 9/24/14(3,6) 27,100,000 MXN 2,199,230 Opic Reforma I Credit Linked Nts., Cl. 1B, 7.905%, 9/24/14(3,6) 5,420,000 MXN 439,846 Opic Reforma I Credit Linked Nts., Cl. 1C, 7.905%, 9/24/14(3,6) 9,033,333 MXN 733,077 Opic Reforma I Credit Linked Nts., Cl. 1D, 7.905%, 9/24/14(3,6) 4,516,667 MXN 366,538 Opic Reforma I Credit Linked Nts., Cl. 1E, 7.905%, 9/24/14(3,6) 6,323,333 MXN 513,154 Opic Reforma I Credit Linked Nts., Cl. 2A, 8.405%, 5/22/15(3,6) 2,585,931 MXN 209,854 Opic Reforma I Credit Linked Nts., Cl. 2B, 8.405%, 5/22/15(3,6) 4,524,148 MXN 367,145 Opic Reforma I Credit Linked Nts., Cl. 2C, 8.405%, 5/22/15(3,6) 68,213,181 MXN 5,535,663 Opic Reforma I Credit Linked Nts., Cl. 2D, 8.405%, 5/22/15(3,6) 4,971,283 MXN 403,432 Opic Reforma I Credit Linked Nts., Cl. 2E, 8.405%, 5/22/15(3,6) 3,611,731 MXN 293,101 Opic Reforma I Credit Linked Nts., Cl. 2F, 8.405%, 5/22/15(3,6) 2,306,631 MXN 187,189 Opic Reforma I Credit Linked Nts., Cl. 2G, 8.405%, 5/22/15(3,6) 424,788 MXN 34,473 Ukraine (Republic of) 5.5 yr. Total Return Linked Nts., 4.05%, 3/1/11 2,505,000 2,430,977 Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 2,505,000 2,152,521 Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 2,505,000 1,909,010
12 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 $ 2,505,000 $ 1,720,384 United Mexican States Credit Linked Nts., 9.52%, 1/7/11 2,060,034 MXN 159,715 Eirles Two Ltd. Sec. Nts., Series 335, 2.103%, 4/30/12(3,6) 11,200,000 10,654,560 Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/17(5,7) 129,050,000 TRY 44,243,756 Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37(6,7) 376,977,600,000 COP 11,564,573 Hallertau SPC Credit Linked Nts.: Series 2007-01, 2.51%, 12/20/17(3,6) 42,470,000 38,223,000 Series 2008-01, 9.888%, 8/2/10(6,7,9,10) 63,164,246 BRR 3,805,075 Series 2008-2A, 6.752%, 9/17/13(3,6) 17,421,250 17,806,260 JPMorgan Chase & Co.: Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16(6,7) 68,635,000,000 COP 26,617,511 Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16(6,7) 90,697,000,000 COP 32,603,682 Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20(6) 12,645,000,000 COP 8,013,110 Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/20(6) 45,193,500,000 COP 28,639,027 Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/21(5) 136,330,000,000 IDR 15,565,648 Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/25(5) 69,180,000,000 IDR 8,974,120 Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/30(5) 66,900,000,000 IDR 8,233,289 Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/30(5) 67,450,000,000 IDR 8,300,976 Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/25(5) 67,450,000,000 IDR 8,749,702 Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/30(5) 19,010,000,000 IDR 2,339,534 Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/25(5) 68,100,000,000 IDR 8,834,021 JSC Gazprom Credit Linked Nts., Series 4, 13.12%, 6/28/12(3) 160,790,000 RUR 5,755,847 JPMorgan Chase Bank NA: Export-Import Bank Total Return Linked Bonds, 6.55%, 3/13/13 2,181,000,000 INR 46,595,310 Indonesia (Republic of) Credit Linked Nts., Series 11, 10.50%, 8/19/30(5) 100,000,000,000 IDR 12,306,859 Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/30(5) 119,230,000,000 IDR 14,673,468 Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/25(5) 46,070,000,000 IDR 5,976,261 Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/25(5) 92,130,000,000 IDR 11,951,224 Russian Federation Credit Linked Bonds, 10%, 9/30/11(3,5) 442,790,000 RUR 15,034,784 LB Peru Trust II Certificates, Series 1998-A, 2/28/16(15) 1,426,420 142,642 Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16(6) 13,289,000,000 COP 7,448,069
13 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited)
Principal Amount Value -------------------- ----------------- Morgan Stanley: Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/17(5) 26,120,000 PEN $ 7,998,737 Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 354,276,793 RUR 5,475,163 Morgan Stanley Capital Services, Inc.: Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/22(5,7) 173,500,000 BRR 15,518,634 United Mexican States Credit Linked Nts., 5.64%, 11/20/15(6) 11,760,000 10,602,816 VimpelCom Total Return Linked Nts., 9.25%, 7/26/13(3) 692,500,000 RUR 23,489,980 Standard Bank Group Ltd.: Ghana (Republic of) Credit Linked Bonds, Series 02, 12.606%, 1/5/11(6,7) 9,890,000 GHS 6,644,802 Ghana (Republic of) Credit Linked Bonds, 10.915%, 3/23/11(6,7) 15,655,000 GHS 10,254,762 Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 14%, 3/9/11(3,6) 7,170,000 GHS 4,838,628 UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11(6) 7,369,232 GHS 5,058,288 ----------------- Total Structured Securities (Cost $882,375,861) 858,461,066
Expiration Strike Date Price Contracts ---------- ------ ----------- OPTIONS PURCHASED--0.0% Euro (EUR) Call(10) 1/10/11 $1.34 250,000,000 2,155,590 Euro (EUR) Call(10) 1/7/11 $1.36 250,000,000 534,240 Euro (EUR) Call(10) 1/7/11 $1.36 250,000,000 740,665 ------------------ Total Options Purchased (Cost $9,677,406) 3,430,495
Shares ---------------- INVESTMENT COMPANIES--0.4% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (4,13) 4,186,217 4,186,217 Oppenheimer Institutional Money Market Fund, Cl. E, 0.21% (13,14) 48,458,581 48,458,581 ------------------ Total Investment Companies (Cost $52,644,798) 52,644,798 TOTAL INVESTMENTS, AT VALUE (COST $12,421,629,191) 98.4% 13,068,629,434 OTHER ASSETS NET OF LIABILITIES 1.6 206,626,901 ---------- ------------------ Net Assets 100.0% $ 13,275,256,335 ========== ==================
Footnotes to Statement of Investments Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso 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 14 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) NOK Norwegian Krone NZD New Zealand Dollar PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona TRY New Turkish Lira UAH Ukraine Hryvnia ZAR South African Rand (1.) 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 $6,998,712. See accompanying Notes. (2.) 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 $4,469,178. See accompanying Notes. (3.) Represents the current interest rate for a variable or increasing rate security. (4.) Interest rate is less than 0.0005%. (5.) 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 $1,572,755,219 or 11.85% of the Fund's net assets as of December 31, 2010. (6.) Restricted security. The aggregate value of restricted securities as of December 31, 2010 was $513,879,944, which represents 3.87% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATE COST VALUE (DEPRECIATION) -------- ----------------- ------------ ------------ -------------- Aeropuertos Argentina 2000 SA, 10.75% Sr. Sec. Nts., 12/1/20 12/15/10 $ 4,250,000 $ 4,441,250 $ 191,250 Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2/22/06-10/20/09 16,038,302 16,731,617 693,315 Banco BMG SA, 9.15% Nts., 1/15/16 12/15/05-7/20/10 10,600,921 11,432,565 831,644 Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 10/31/06-11/18/09 5,284,961 5,680,500 395,539 Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/69 10/30/09 5,300,000 6,174,500 874,500 Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/29 1/4/10-3/3/10 3,715,341 5,398,500 1,683,159 Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, 14%, 3/9/11 8/5/10 6,100,684 5,879,543 (221,141) Citigroup Funding, Inc., Kenya (Republic of) Credit Linked Bonds, Series 5, 14%, 3/9/11 9/28/10 5,392,754 5,130,256 (262,498) Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 9/7/10 19,480,703 20,440,468 959,765 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 12/9/08 5,028,554 7,484,047 2,455,493 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.37%, 2/26/15 7/18/08 9,042,906 12,179,728 3,136,822 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01,13.37%, 2/26/15 7/31/08 3,360,386 4,473,876 1,113,490 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.37%, 2/26/15 8/8/08 4,035,160 5,331,768 1,296,608 Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 3/7/07 8,695,818 7,971,939 (723,879) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.01%, 4/30/25 10/8/10 3,127,104 3,083,711 (43,393)
15 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/25 7/16/10 3,960,450 3,929,122 (31,328) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25 5/18/10 3,405,862 3,392,168 (13,694) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/25 3/30/10 3,032,862 3,032,171 (691) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/25 12/17/09 3,756,437 3,775,298 18,861 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/25 9/25/09 4,266,158 4,308,930 42,772 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25 8/18/09 3,399,783 3,442,331 42,548 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/25 4/16/09 3,173,174 3,235,645 62,471 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11 12/8/08 8,734,559 9,591,978 857,419 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 7.905%, 9/24/14 12/27/07 2,490,580 2,199,230 (291,350) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 7.905%, 9/24/14 6/12/08 522,536 439,846 (82,690) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 7.905%, 9/24/14 8/12/08 888,889 733,077 (155,812) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1D, 7.905%, 9/24/14 8/6/09 346,616 366,538 19,922 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1E, 7.905%, 9/24/14 9/10/09 472,684 513,154 40,470 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.405%, 5/22/15 5/21/08 249,324 209,854 (39,470) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.405%, 5/22/15 6/12/08 436,168 367,145 (69,023) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.405%, 5/22/15 6/18/08 6,617,724 5,535,663 (1,082,061) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.405%, 5/22/15 7/8/08 481,935 403,432 (78,503) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.405%, 5/22/15 7/15/08 350,722 293,101 (57,621) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.405%, 5/22/15 8/8/08 227,066 187,189 (39,877) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.405%, 5/22/15 8/22/08 41,897 34,473 (7,424) Eirles Two Ltd. Sec. Nts., Series 335, 2.103%, 4/30/12 9/17/07-2/24/09 10,944,150 10,654,560 (289,590) Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 1/18/07 31,226,442 11,564,573 (19,661,869) Hallertau SPC Credit Linked Nts., Series 2007-01, 2.51%, 12/20/17 12/13/07 42,470,000 38,223,000 (4,247,000) Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 4/18/08-10/1/08 31,666,704 3,805,075 (27,861,629) Hallertau SPC Credit Linked Nts., Series 2008-2A, 6.752%, 9/17/13 10/23/08-2/26/09 17,573,068 17,806,260 233,192 HSBK Europe BV, 9.25% Sr. Nts., 10/16/13 4/9/08-1/11/10 60,036,337 65,992,675 5,956,338
16 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 12/6/05 11,167,708 26,617,511 15,449,803 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 10/16/06 14,183,697 32,603,682 18,419,985 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 8/24/10 8,817,892 8,013,110 (804,782) JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/20 10/6/10 31,915,851 28,639,027 (3,276,824) JPMorgan Hipotecaria su Casita, 7.555% Sec. Nts., 8/26/35 3/21/07 3,092,229 2,692,192 (400,037) Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 10/20/06 5,679,060 7,448,069 1,769,009 Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 11/3/05 11,760,000 10,602,816 (1,157,184) Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/26 10/29/07-10/22/09 9,004,197 8,828,456 (175,741) Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/20 11/10/10 26,880,827 26,665,336 (215,491) Salisbury International Investments Ltd., 4.439% Sec. Nts., Series 2006-003, Tranche E, 7/20/11 7/12/06 2,400,000 2,180,640 (219,360) Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, Series 02, 12.606%, 1/5/11 7/6/10 6,811,197 6,644,802 (166,395) Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.915%, 3/23/11 9/22/10 10,703,804 10,254,762 (449,042) Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 14%, 3/9/11 9/23/10 5,054,885 4,838,628 (216,257) Tengizchevroil LLP, 6.124% Nts., 11/15/14 11/16/04-3/16/10 7,546,397 7,739,645 193,248 UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 12/22/06 8,056,069 5,058,288 (2,997,781) Yapi ve Kredit Bankasi/Unicredit Luxembourg SA, 5.188% Sr. Unsec. Nts., 10/13/15 10/4/10 8,870,000 9,182,224 312,224 ---------------- ------------ ------------ ------------ $522,169,534 $513,879,944 $ (8,289,590) ============ ============ ============
(7.) Zero coupon bond reflects effective yield on the date of purchase. (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 December 31, 2010. (14.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 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, 2010 ADDITIONS REDUCTIONS DECEMBER 31, 2010 ------------------- ----------- ----------- ----------------- Oppenheimer Institutional Money Market Fund, Cl. E 30,173,589 593,976,671 575,691,679 48,458,581
VALUE INCOME ----------- -------- Oppenheimer Institutional Money Market Fund, Cl. E $48,458,581 $66,366
(15.) The reference asset underlying the structured security is in default. See accompanying Notes. 17 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of December 31, 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 $ -- $ 31,194,259 $ -- $ 31,194,259 Foreign Government Obligations -- 10,254,661,877 -- 10,254,661,877 Corporate Bonds and Notes -- 1,863,151,676 2,180,640 1,865,332,316 Common Stocks 2,904,623 -- -- 2,904,623 Structured Securities -- 858,296,583 164,483 858,461,066 Options Purchased -- 3,430,495 -- 3,430,495 Investment Companies 52,644,798 -- -- 52,644,798 ----------- --------------- ---------- --------------- Total Investments, at Value 55,549,421 13,010,734,890 2,345,123 13,068,629,434 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 22,655,134 -- 22,655,134 Depreciated swaps, at value -- 1,179,108 -- 1,179,108 Futures margins 1,407,716 -- -- 1,407,716 Foreign currency exchange contracts -- 62,900,138 -- 62,900,138 ----------- --------------- ---------- --------------- Total Assets $56,957,137 $13,097,469,270 $2,345,123 $13,156,771,530 ----------- --------------- ---------- --------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (17,802,376) $ -- $ (17,802,376) Futures margins (1,429,156) -- -- (1,429,156) Foreign currency exchange contracts -- (52,442,205) -- (52,442,205) ----------- --------------- ---------- --------------- Total Liabilities $(1,429,156) $ (70,244,581) $ -- $ (71,673,737) ----------- --------------- ---------- ---------------
Currency contracts and forwards, 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. 18 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings Value Percent ------------------------ --------------- ------- Japan $ 3,018,210,458 23.1% Brazil 959,766,475 7.3 Mexico 664,228,580 5.1 Turkey 660,699,644 5.1 United Kingdom 618,522,850 4.7 Germany 517,668,999 4.0 Italy 498,821,206 3.8 South Africa 495,076,342 3.8 Indonesia 458,359,553 3.5 Russia 448,926,762 3.4 Canada 363,468,985 2.8 Poland 351,882,068 2.7 Colombia 335,405,764 2.6 United States 309,762,142 2.4 Australia 280,942,509 2.2 New Zealand 222,537,184 1.7 Argentina 219,840,992 1.7 Spain 204,891,628 1.6 Korea, Republic of South 196,516,092 1.5 Israel 195,967,880 1.5 Egypt 176,165,955 1.4 Venezuela 159,554,201 1.2 India 149,158,851 1.1 Kazakhstan 148,589,434 1.1 Peru 148,561,727 1.1 Ukraine 147,056,454 1.1 Belgium 132,798,301 1.0 The Netherlands 119,939,013 0.9 Philippines 100,233,115 0.8 Austria 87,416,919 0.7 Greece 70,088,214 0.5 Uruguay 67,736,663 0.5 Malaysia 66,246,029 0.5 Ghana 57,526,254 0.4 Panama 53,566,656 0.4 Denmark 45,355,557 0.4 Hungary 44,462,774 0.3 Dominican Republic 35,636,806 0.3 Sweden 33,475,608 0.3 Finland 27,440,970 0.2 Ireland 27,129,574 0.2 France 25,191,827 0.2 Trinidad & Tobago 20,870,600 0.2 Chile 18,812,644 0.1 Costa Rica 14,780,210 0.1 Norway 13,326,160 0.1 Supranational 12,835,200 0.1 Qatar 12,338,400 0.1 United Arab Emirates 11,853,272 0.1
19 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Sri Lanka 10,156,938 0.1 Belize 5,398,500 -- European Union 3,430,495 -- --------------- ------- Total $13,068,629,434 100.0% =============== =======
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF DECEMBER 31, 2010 ARE AS FOLLOWS:
CONTRACT COUNTERPARTY/CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION DEPRECIATION ------------------------------ -------- --------------- --------------- ------------ ------------ ------------ BANC OF AMERICA: Argentine Peso (ARP) Buy 331,680 ARP 1/18/11-3/29/11 $ 82,907,595 $ 672,063 $ -- Chinese Renminbi (Yuan) (CNY) Buy 446,400 CNY 6/7/11 67,812,208 1,864,505 -- Euro (EUR) Sell 17,235 EUR 4/6/11 23,023,182 561,020 -- Indian Rupee (INR) Buy 3,051,000 INR 1/13/11 68,069,381 57,790 -- Indonesia Rupiah (IDR) Buy 207,133,000 IDR 1/10/11 22,952,822 489 54,408 Malaysian Ringgit (MYR) Buy 238,140 MYR 2/18/11 76,979,154 1,613,624 -- Philippines Peso (PHP) Sell 2,880,000 PHP 1/13/11 65,748,174 -- 619,273 South Korean Won (KRW) Buy 47,361,000 KRW 1/24/11 41,671,239 -- 113,577 Swedish Krona (SEK) Buy 347,300 SEK 2/22/11 51,543,541 958,013 -- ----------- ----------- 5,727,504 787,258 ----------- ----------- BARCLAY'S CAPITAL: Australian Dollar (AUD) Buy 32,470 AUD 2/4/11 33,055,580 185,225 -- British Pound Sterling (GBP) Sell 32,770 GBP 2/22/11 51,070,263 114,511 -- Colombian Peso (COP) Buy 18,743,000 COP 7/5/11 9,828,511 -- 62,255 Euro (EUR) Buy 76,180 EUR 2/22/11 101,784,140 1,127,506 -- Hong Kong Dollar (HKD) Buy 494,600 HKD 1/3/11 63,634,037 90,175 -- Hong Kong Dollar (HKD) Sell 494,600 HKD 2/28/11 63,663,660 -- 90,395 Hungarian Forint (HUF) Buy 5,701,000 HUF 2/10/11 27,285,123 -- 1,305,650 Japanese Yen (JPY) Sell 1,684,000 JPY 1/7/11 20,743,185 -- 750,285 Norwegian Krone (NOK) Buy 320,500 NOK 2/22/11 54,783,514 1,383,668 -- ----------- ----------- 2,901,085 2,208,585 ----------- ----------- CITIGROUP: Chilean Peso (CLP) Buy 39,940,000 CLP 2/3/11-2/4/11 85,103,573 -- 161,119 Chilean Peso (CLP) Sell 11,399,000 CLP 1/7/11-1/14/11 24,342,109 13,133 12,423 Colombian Peso (COP) Buy 12,397,000 COP 7/5/11 6,500,776 -- 75,882 Euro (EUR) Sell 79,235 EUR 1/7/11-5/10/11 105,867,564 591,214 1,607,638 Swiss Franc (CHF) Sell 65,140 CHF 1/14/11 69,682,016 -- 4,432,397 ----------- ----------- 604,347 6,289,459 ----------- ----------- CITIGROUP EM: Chilean Peso (CLP) Buy 11,499,000 CLP 1/14/11 24,542,408 384,845 -- Colombian Peso (COP) Sell 118,918,000 COP 2/18/11 62,523,874 444,306 -- Indian Rupee (INR) Buy 3,393,000 INR 3/3/11 75,031,139 541,568 -- Indonesia Rupiah (IDR) Buy 456,120,000 IDR 2/18/11 50,244,811 -- 222,107 Mexican Nuevo Peso (MXN) Buy 1,275,530 MXN 1/18/11 103,155,342 -- 613,776 ----------- ----------- 1,370,719 835,883 ----------- ----------- CREDIT SUISSE: Chilean Peso (CLP) Sell 8,129,000 CLP 1/6/11 17,361,138 -- 166,003 Euro (EUR) Buy 200,000 EUR 2/16/11 267,227,251 10,087,251 --
20 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Euro (EUR) Sell 75,105 EUR 2/10/11 100,353,195 3,615,176 -- Hungarian Forint (HUF) Buy 10,800,000 HUF 2/10/11 51,689,059 170,898 2,247,128 Japanese Yen (JPY) Sell 5,522,000 JPY 1/12/11 68,022,939 -- 868,607 New Turkish Lira (TRY) Sell 143,595 TRY 2/10/11 92,547,129 1,038,856 447,691 South African Rand (ZAR) Buy 315,660 ZAR 1/7/11 47,866,582 2,115,686 -- Swedish Krona (SEK) Buy 520,700 SEK 2/22/11 77,278,208 1,406,381 -- Swedish Krona (SEK) Sell 471,100 SEK 2/22/11 69,916,965 -- 1,272,415 Swiss Franc (CHF) Buy 95,130 CHF 2/22/11 101,811,664 2,794,033 -- Swiss Franc (CHF) Sell 158,830 CHF 2/22/11 169,985,773 -- 6,243,505 ----------- ----------- 21,228,281 11,245,349 ----------- ----------- CREDIT SUISSE EM: Chilean Peso (CLP) Buy 8,129,000 CLP 1/6/11 17,361,138 636,521 -- Egyptian Pounds (EGP) Buy 380,900 EGP 1/10/11 65,460,967 134,336 -- ----------- ----------- 770,857 -- ----------- ----------- DEUTSCHE BANK CAPITAL CORP.: Australian Dollar (AUD) Sell 3,501 AUD 1/7/11 3,577,412 -- 228,355 British Pound Sterling (GBP) Sell 8,710 GBP 1/7/11 13,578,929 -- 21,814 Canadian Dollar (CAD) Buy 65,840 CAD 2/22/11 66,145,708 782,857 -- Canadian Dollar (CAD) Sell 178,435 CAD 1/7/11-2/22/11 179,276,985 -- 2,790,355 Kazakhstan Tenge (KZT) Buy 918,400 KZT 2/28/11 6,243,620 -- 25,322 Swiss Franc (CHF) Sell 3,366 CHF 1/7/11 3,600,351 -- 241,572 ----------- ----------- 782,857 3,307,418 ----------- ----------- DEUTSCHE BANK EM: Kazakhstan Tenge (KZT) Sell 918,400 KZT 2/28/11 6,243,620 -- 30,021 Russian Ruble (RUR) Buy 1,611,775 RUR 1/12/11 52,710,363 -- 466,859 ----------- ----------- -- 496,880 ----------- ----------- GOLDMAN SACHS EM: Brazilian Real (BRR) Buy 148,370 BRR 2/2/11 88,689,533 1,258,773 -- Brazilian Real (BRR) Sell 241,855 BRR 2/2/11 144,571,053 -- 1,165,309 Mexican Nuevo Peso (MXN) Buy 1,458,315 MXN 2/16/11 117,686,480 102,506 443,835 South African Rand (ZAR) Buy 98,490 ZAR 2/1/11 14,878,347 56,008 -- ----------- ----------- 1,417,287 1,609,144 ----------- ----------- HSBC EM: Brazilian Real (BRR) Sell 111,875 BRR 2/2/11 66,874,311 -- 63,323 Israeli Shekel (ILS) Sell 153,620 ILS 1/31/11 43,270,396 -- 1,159,650 ----------- ----------- -- 1,222,973 ----------- ----------- JP MORGAN CHASE: Chilean Peso (CLP) Buy 10,746,000 CLP 1/7/11 22,948,405 665,357 -- Euro (EUR) Sell 69,125 EUR 2/10/11 92,362,887 3,291,693 -- Malaysian Ringgit (MYR) Buy 61,665 MYR 2/18/11 19,933,315 -- 39,155 Malaysian Ringgit (MYR) Sell 2,625 MYR 2/10/11 848,902 -- 13,978 Mexican Nuevo Peso (MXN) Buy 1,618,400 MXN 2/22/11 130,544,768 1,176,263 -- New Taiwan Dollar (TWD) Sell 1,960,000 TWD 1/12/11 67,248,355 -- 2,012,874 Norwegian Krone (NOK) Sell 320,500 NOK 2/22/11 54,783,514 -- 1,357,498 Philippines Peso (PHP) Buy 876,000 PHP 1/4/11 19,996,348 91,781 -- Singapore Dollar (SGD) Buy 26,350 SGD 5/10/11 20,532,823 85,426 -- ----------- ----------- 5,310,520 3,423,505 ----------- ----------- JP MORGAN EM:
21 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Argentine Peso (ARP) Buy 66,930 ARP 3/29/11 16,517,550 370,385 -- Chinese Renminbi (Yuan)(CNY) Buy 561,040 CNY 6/7/11-6/20/11 85,231,263 2,328,448 -- Indonesia Rupiah (IDR) Buy 414,578,000 IDR 1/13/11 45,918,659 53,187 -- Malaysian Ringgit (MYR) Buy 243,780 MYR 2/18/11 78,802,293 1,320,807 -- Malaysian Ringgit (MYR) Sell 60,925 MYR 2/10/11 19,702,600 30,193 -- Philippines Peso (PHP) Buy 3,765,000 PHP 3/4/11 85,937,322 621,211 -- Philippines Peso (PHP) Sell 876,000 PHP 1/4/11 19,996,348 -- 181,826 ----------- ----------- 4,724,231 181,826 ----------- ----------- MORGAN STANLEY & CO., INC. Kazakhstan Tenge (KZT) Buy 917,400 KZT 2/28/11 6,236,822 -- 31,712 ----------- ----------- MORGAN STANLEY EM: Indian Rupee (INR) Buy 3,392,700 INR 2/1/11 75,429,506 178,313 -- Kazakhstan Tenge (KZT) Sell 917,400 KZT 2/28/11 6,236,822 -- 23,480 ----------- ----------- 178,313 23,480 ----------- ----------- NOMURA SECURITIES: Euro (EUR) Sell 110,000 EUR 2/16/11 146,974,988 -- 3,122,488 Japanese Yen (JPY) Sell 6,732,000 JPY 2/22/11 82,963,344 -- 2,924,666 New Zealand Dollar (NZD) Buy 54,700 NZD 2/22/11 42,440,962 2,318,165 -- New Zealand Dollar (NZD) Sell 98,470 NZD 2/22/11 76,401,491 -- 4,173,746 Polish Zloty (PLZ) Sell 87,020 PLZ 2/2/11 29,331,591 -- 112,109 South African Rand (ZAR) Buy 108,910 ZAR 2/1/11 16,452,440 67,874 -- ----------- ----------- 2,386,039 10,333,009 ----------- ----------- RBS GREENWICH CAPITAL Swiss Franc (CHF) Buy 26,835 CHF 5/10/11 28,750,739 884,695 -- ----------- ----------- STANDARD NY EM South African Rand (ZAR) Sell 191,620 ZAR 2/1/11 28,946,988 -- 2,206,995 ----------- ----------- STATE STREET: Australian Dollar (AUD) Buy 235,740 AUD 2/22/11 239,485,436 9,122,665 -- Australian Dollar (AUD) Sell 75,050 AUD 2/22/11 76,242,394 -- 2,904,284 British Pound Sterling (GBP) Sell 32,700 GBP 2/22/11 50,961,172 13,556 126,701 Hong Kong Dollar (HKD) Sell 494,600 HKD 1/3/11 63,634,037 194,378 -- Polish Zloty (PLZ) Buy 270,560 PLZ 2/2/11 91,196,912 -- 3,104,437 South African Rand (ZAR) Buy 463,700 ZAR 2/1/11 70,048,630 5,282,804 -- South African Rand (ZAR) Sell 181,710 ZAR 2/1/11 27,449,939 -- 2,103,307 ----------- ----------- 14,613,403 8,238,729 ----------- ----------- Total unrealized appreciation and depreciation $62,900,138 $52,442,205 ============ ===========
FUTURES CONTRACTS AS OF DECEMBER 31, 2010 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ------------ -------------- Euro-Bundesobligation Buy 1,116 3/8/11 $186,877,394 $(1,081,350) Euro-Bundesobligation Sell 349 3/8/11 58,441,049 323,985 Japan (Government of) Bonds, 10 yr. Buy 126 3/10/11 218,214,805 724,161 New Financial Times Stock Exchange 100 Index Sell 786 3/18/11 72,215,435 (806,607) NIKKEI 225 Index Sell 686 3/10/11 86,267,521 (21,028)
22 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) U.S. Treasury Nts., 10 yr. Buy 2,079 3/22/11 250,389,563 (7,848,434) U.S. Treasury Nts., 10 yr. Sell 3,154 3/22/11 379,859,875 3,990,933 ----------- $(4,718,340) ===========
CREDIT DEFAULT SWAP CONTRACTS AS OF DECEMBER 31, 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) $1,179,108 $(377,667) Total 5,940 (1,556,775) 1,179,108 (377,667) DEVELOPMENT BANK OF KAZAKHSTAN JSC Credit Suisse International Sell 7,670 3.75 2/20/13 -- 318,781 318,781 Total 7,670 -- 318,781 318,781 ISTANBUL BOND CO. SA FOR FINANSBANK AS Morgan Stanley & Co. International Ltd. Sell 10,410 1.30 3/24/13 -- (646,820) (646,820) Total 10,410 -- (646,820) (646,820) MORGAN STANLEY Credit Suisse International Buy 1,500 1.00 9/20/11 708 12,459 13,167 Total 1,500 708 12,459 13,167 REPUBLIC OF PERU Citibank NA, New York Sell 3,010 5.10 3/20/13 -- (70,643) (70,643) Total 3,010 -- (70,643) (70,643) ----------- ---------- --------- Grand Total Buys (1,556,067) 1,191,567 (364,500) Grand Total Sells -- (398,682) (398,682) ----------- ---------- --------- Total Credit Default Swaps $(1,556,067) $ 792,885 $(763,182) =========== ========== =========
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 TYPE OF REFERENCE ASSET ON WHICH THE CREDIT PROTECTION AMOUNT REFERENCE ASSET FUND SOLD PROTECTION (UNDISCOUNTED) RECOVERABLE* RATING RANGE** ------------------------------------ ------------------ ------------ --------------- Investment Grade Sovereign Debt $18,080,000 $-- BBB to BBB- Non-Investment Grade Sovereign Debt 3,010,000 -- B- ----------- --- Total $21,090,000 $-- =========== ===
* 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. 23 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) INTEREST RATE SWAP CONTRACTS AS OF DECEMBER 31, 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 $ 1,052,387 Goldman Sachs Group, Inc. (The) 106,930 BRR BZDI 11.390 1/5/15 (964,979) Goldman Sachs Group, Inc. (The) 38,900 BRR BZDI 12.800 1/2/17 1,223,147 Goldman Sachs Group, Inc. (The) 99,940 BRR BZDI 11.420 1/3/14 (773,961) JPMorgan Chase Bank NA 56,300 BRR BZDI 13.900 1/2/17 3,136,215 Morgan Stanley 242,460 BRR BZDI 12.300 1/2/17 2,625,871 ---------- ----------- Total 641,320 BRR 6,298,680 ---------- ----------- MXN TIIE BANXICO: Bank of America Merrill Lynch 872,000 MXN MXN TIIE BANXICO 5.875 12/6/12 (86,448) Bank of America Merrill Lynch 2,173,500 MXN MXN TIIE BANXICO 5.735 11/29/12 (319,219) Bank of America Merrill Lynch 1,341,500 MXN MXN TIIE BANXICO 5.750 12/5/12 (175,823) Goldman Sachs Group, Inc. (The) 2,141,500 MXN MXN TIIE BANXICO 5.880 12/14/12 (182,650) ---------- ----------- Total 6,528,500 MXN (764,140) ---------- ----------- SIX-MONTH AUD BBR BBSW Westpac Banking Corp. 140,135 AUD 5.660% Six-Month AUD BBR BBSW 8/6/20 3,698,394 SIX-MONTH CZK PRIBOR PRBO: Barclays Bank plc 1,806,900 CZK 3.200 Six-Month CZK PRIBOR PRBO 12/21/15 (138,222) Morgan Stanley 1,713,400 CZK 3.060 Six-Month CZK PRIBOR PRBO 12/16/15 94,711 ---------- ----------- Total 3,520,300 CZK (43,511) ---------- ----------- SIX-MONTH EUR EURIBOR: Barclays Bank plc 70,270 EUR Six-Month EUR EURIBOR 3.580 12/21/15 220,201 Morgan Stanley 68,260 EUR Six-Month EUR EURIBOR 3.410 12/16/15 (55,716) ---------- ----------- Total 138,530 EUR 164,485 ---------- ----------- SIX-MONTH GBP BBA LIBOR Barclays Bank plc 80,540 GBP Six-Month GBP BBA LIBOR 3.328 8/3/20 (557,369) SIX-MONTH JPY BBA LIBOR: Citibank NA 3,596,000 JPY 1.391 Six-Month JPY BBA LIBOR 10/6/19 (864,534) JPMorgan Chase Bank NA 3,823,000 JPY 1.077 Six-Month JPY BBA LIBOR 8/7/20 669,390 JPMorgan Chase Bank NA 3,644,000 JPY 1.563 Six-Month JPY BBA LIBOR 11/9/19 (1,514,588) ---------- ----------- Total 11,063,000 JPY (1,709,732) ---------- ----------- THREE-MONTH USD BBA LIBOR Three-Month USD Barclays Bank plc 128,000 BBA LIBOR 2.500 9/2/20 (7,578,246) ----------- Total Interest Rate Swaps $ (491,439) ===========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CZK Czech Koruna 24 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) EUR Euro GBP British Pound Sterling JPY Japanese Yen MXN Mexican Nuevo Peso Abbreviations/Definitions are as follows: BANIXCO Banco de Mexico BBA LIBOR British Bankers' Association London-Interbank Offered Rate BBR BBSW Bank Bill Swap Reference Rate (Australian Financial Market) BZDI Brazil Interbank Deposit Rate EURIBOR Euro Interbank Offered Rate PRIBOR PRBO Prague Interbank Offering Rate TIIE Interbank Equilibrium Interest Rate TOTAL RETURN SWAP CONTRACTS AS OF DECEMBER 31, 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: Citibank NA 21,098 CHF One-Month CHF BBA LIBOR If positive, the Total 1/12/11 $ 58,741 plus 30 basis points and Return of a custom if negative, the basket of securities absolute value of the Total Return of a custom basket of securities Citibank NA 35,299 EUR One-Month EURIBOR plus If positive, the Total 1/12/11 668,641 30 basis points and if Return of a custom negative, the absolute basket of securities value of the Total Return of a custom basket of securities Citibank NA 17,669 GBP One-Month GBP BBA LIBOR If positive, the Total 1/12/11 1,103,054 plus 30 basis points Return of a custom and if negative, the basket of securities absolute value of the Total Return of a custom basket of securities Citibank NA 58,661 SEK One-Month SEK STIBOR If positive, the Total 1/12/11 96,515 SIDE plus 30 basis Return of a custom points and if negative, basket of securities the absolute value of the Total Return of a custom basket of securities Citibank NA, New York 6,365,310 JPY One-Month JPY BBA LIBOR If positive, the Total 4/14/11 1,530,012 plus 53 basis points Return of a custom and if negative, the basket of securities absolute value of the Total Return of a custom basket of securities
25 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Morgan Stanley 51,050 GBP One-Month GBP BBA LIBOR If positive, the Total 1/14/11 2,957,053 plus 50 basis points Return of a custom and if negative, the basket of securities absolute value of the Total Return of a custom basket of securities ----------- Reference Entity Total 6,414,016 ----------- MSCI DAILY TR GROSS EAFE USD INDEX: Citibank NA 7,648 If positive, the Total One-Month USD BBA LIBOR 10/7/11 (611,126) Return of the MSCI Daily plus 15 basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index Goldman Sachs Group, Inc. 788 If positive, the Total One-Month USD LIBOR minus 5 7/8/11 (32,112) (The) Return of the MSCI Daily basis points and If Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index Goldman Sachs Group, Inc. 7,112 If positive, the Total One-Month USD BBA LIBOR 5/11/11 (215,620) (The) Return of the MSCI Daily plus 10 basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index Goldman Sachs Group, Inc. 6,028 If positive, the Total One-Month USD LIBOR minus 5 7/8/11 (269,289) (The) Return of the MSCI Daily basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index Goldman Sachs Group, Inc. 955 If positive, the Total One-Month USD BBA LIBOR 11/5/11 (34,929) (The) Return of the MSCI Daily minus 5 basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index Morgan Stanley 14,510 If positive, the Total One-Month USD BBA LIBOR 10/7/11 (541,932) Return of the MSCI Daily minus 35 basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index UBS AG 18,866 If positive, the Total One-Month USD BBA LIBOR 10/7/11 (1,199,939) Return of the MSCI Daily minus 10 basis points and if Gross EAFE USD Index negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index ----------- Reference Entity Total (2,904,947) ----------- MSCI DAILY TR GROSS EUROPE EURO INDEX: Citibank NA 3,754 EUR If positive, the Total One-Month EURIBOR minus 60 1/12/11 (35,658) Return of the MSCI Daily basis points and if Gross Europe Euro Index negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index
26 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Goldman Sachs Group, Inc. 7,295 EUR If positive, the Total One-Month EURIBOR minus 3 1/12/11 (43,290) (The) Return of the MSCI Daily basis points and if Gross Europe Euro Index negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index Goldman Sachs Group, Inc. 20,598 EUR If positive, the Total One-Month EURIBOR minus 3 1/12/11 (122,229) (The) Return of the MSCI Daily basis points and if Gross Europe Euro Index negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index Goldman Sachs Group, Inc. 12,466 EUR If positive, the Total One-Month Europe EURIBOR 1/17/11 (68,647) (The) Return of the MSCI Daily minus 3 basis points and if Gross Europe Euro Index negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index Morgan Stanley 21,785 EUR If positive, the Total One-Month EURIBOR minus 30 1/12/11 (407,118) Return of the MSCI Daily basis points and if Gross Europe Euro Index negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index ----------- Reference Entity Total (676,942) ----------- MSCI DAILY TR ITALY USD INDEX: Goldman Sachs Group, Inc. 1,428 One-Month USD BBA LIBOR If positive, the Total 3/4/11 85,452 (The) minus 25 basis points Return of the MSCI Daily and if negative, the Italy USD Index absolute value of the Total Return of the MSCI Daily Italy USD Index Goldman Sachs Group, Inc. 11,816 One-Month USD BBA LIBOR If positive, the Total 3/4/11 656,585 (The) minus 25 basis points Return of the MSCI Daily and if negative, the Italy USD Index absolute value of the Total Return of the MSCI Daily Italy USD Index Goldman Sachs Group, Inc. 958 One-Month USD BBA LIBOR If positive, the Total 3/4/11 58,171 (The) minus 25 basis points Return of the MSCI Daily and if negative, the Italy USD Index absolute value of the Total Return of the MSCI Daily Italy USD Index ----------- Reference Entity Total 800,208 ----------- MSCI DAILY TR NET EMERGING MARKETS KOREA PRICE RETURN INDEX
27 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) UBS AG 12,137 One-Month USD BBA LIBOR If positive, the Total 8/8/11 1,185,714 plus 30 basis points Return of the MSCI Daily and if negative, the Net Emerging Markets Korea absolute value of the Price Return Index Total Return of the MSCI Daily Net Emerging Markets Korea Price Return Index MSCI DAILY TR NET HONG KONG USD INDEX UBS AG 13,403 One-Month USD BBA LIBOR If positive, the Total 12/7/11 (291,269) plus 46 basis points Return of the MSCI Daily and if negative, the Net Hong Kong USD Index absolute value of the Total Return of the MSCI Daily Net Hong Kong USD Index MSCI DAILY TR NET JAPAN USD INDEX Deutsche Bank AG 13,295 One-Month USD BBA LIBOR If positive, the Total 12/12/11 720,953 plus 20 basis points Return of the MSCI Daily and if negative, the Net Japan USD Index absolute value of the Total Return of the MSCI Daily Net Japan USD Index MSCI DAILY TR NET SINGAPORE USD INDEX Morgan Stanley 13,390 One-Month USD BBA LIBOR If positive, the Total 12/7/11 289,774 plus 39 basis points Return of the MSCI Daily and if negative, the Net Singapore USD Index absolute value of the Total Return of the MSCI Daily Net Singapore USD Index ORDINARY SHARES OF NOVO NORDISK AS Citibank NA 11,871 DKK One-Month DKK BBA LIBOR If positive, the absolute 4/11/11 192,913 plus 30 basis points value of the Ordinary and if negative, the shares of Novo Nordisk AS absolute value of the Total Return of the Ordinary shares of Novo Nordisk AS ------------ Total of Total Return Swaps $ 5,730,420 ===========
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 Pound Sterling JPY Japanese Yen SEK Swedish Krona Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate EAFE Europe, Australasia, Far East EURIBOR Euro Interbank Offered Rate 28 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) MSCI Morgan Stanley Capital International STIBOR SIDE Stockholm Interbank Offered Rate TR Total Return The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables. SWAP SUMMARY AS OF DECEMBER 31, 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 $ 1,052,387 Bank of America Merrill Lynch Interest Rate 4,387,000 MXN (581,490) Barclays Bank plc: Interest Rate 1,806,900 CZK (138,222) Interest Rate 70,270 EUR 220,201 Interest Rate 80,540 GBP (557,369) Interest Rate 128,000 (7,578,246) ----------- (8,053,636) Citibank NA: Interest Rate 3,596,000 JPY (864,534) Total Return 21,098 CHF 58,741 Total Return 11,871 DKK 192,913 Total Return 39,053 EUR 632,983 Total Return 17,669 GBP 1,103,054 Total Return 58,661 SEK 96,515 Total Return 7,648 (611,126) ----------- 608,546 Citibank NA, New York: Credit Default Sell Protection 3,010 (70,643) Total Return 6,365,310 JPY 1,530,012 ----------- 1,459,369 Credit Suisse International: Credit Default Buy Protection 7,440 1,191,567 Credit Default Sell Protection 7,670 318,781 ----------- 1,510,348 Deutsche Bank AG Total Return 13,295 720,953 Goldman Sachs Group, Inc. (The): Interest Rate 245,770 BRR (515,793) Interest Rate 2,141,500 MXN (182,650) Total Return 40,359 EUR (234,166) Total Return 29,085 248,258 ----------- (684,351) JPMorgan Chase Bank NA: Interest Rate 56,300 BRR 3,136,215 Interest Rate 7,467,000 JPY (845,198) ----------- 2,291,017
29 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) Morgan Stanley: Interest Rate 242,460 BRR 2,625,871 Interest Rate 1,713,400 CZK 94,711 Interest Rate 68,260 EUR (55,716) Total Return 21,785 EUR (407,118) Total Return 51,050 GBP 2,957,053 Total Return 27,900 (252,158) ----------- 4,962,643 Morgan Stanley & Co. International Ltd. Credit Default Sell Protection 10,410 (646,820) UBS AG Total Return 44,406 (305,494) Westpac Banking Corp. Interest Rate 140,135 AUD 3,698,394 ----------- Total Swaps $ 6,031,866 ===========
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CHF Swiss Franc CZK Czech Koruna DKK Danish Krone EUR Euro GBP British Pound Sterling JPY Japanese Yen MXN Mexican Nuevo Peso 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. 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. 30 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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. Structured securities are valued utilizing price quotations obtained from broker-dealers or independent pricing services. Values are determined based upon market inputs which typically include the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. Swap contracts are valued utilizing price quotations obtained from broker-dealer counterparties or independent pricing services. Values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from independent pricing services. "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. 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 or underlying obligors subsequently default. Information concerning securities in default as of December 31, 2010 is as follows: Cost $58,321,715 Market Value $ 5,778,358 Market Value as a % of Net Assets 0.04%
31 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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. 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 32 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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 December 31, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $108,242,782, 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. 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 $36,044,899 as of December 31, 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 International Swap and Derivatives Association, Inc. 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 December 31, 2010 the Fund has required certain counterparties to post collateral of $4,204,739. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 33 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) As of December 31, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $21,178,464 for which the Fund has posted collateral of $4,469,178. If a contingent feature would have been triggered as of December 31, 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 purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. 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 Fund. 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 Fund. During the period ended December 31, 2010, the Fund had average contract amounts on forward foreign currency contracts to buy and sell of $802,053,698 and $649,675,630, respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. FUTURES CONTRACTS 34 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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. 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. During the period ended December 31, 2010, the Fund had an average market value of $742,805,411 and $518,754,922 on futures contracts purchased and sold, respectively. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security 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. 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. 35 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 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 Fund has purchased call options on treasury futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. During the period ended December 31, 2010, the Fund had an average market value of $33,757,497 and $113,471 on purchased call options and purchased put options, respectively. During the period ended December 31, 2010, the Fund had an average market value of $373,268 and $188,527 on written call options and written put options, respectively. Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. The risk in writing a call option is that the 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 December 31, 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, 2010 35,181,000,000 $ 9,173,441 -- $ -- Options written 3,415,740,000 3,425,310 3,415,740,000 3,439,280 Options closed or expired (37,670,555,000) (10,971,764) (926,185,000) (1,625,974) Options exercised (926,185,000) (1,626,987) (2,489,555,000) (1,813,306) --------------- ------------ -------------- ----------- Options outstanding as of December 31, 2010 -- $ -- -- $ -- =============== ============ ============== ===========
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 36 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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"). 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. For the period ended December 31, 2010, the Fund had average notional amounts of $7,065,000 and $21,090,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified 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. 37 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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. For the period ended December 31, 2010, the Fund, had average notional amounts of $319,161,799 and $954,138,572 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 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. The Fund has entered into total return swaps on various equity securities or 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 securities or an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract. The Fund has entered into total return swaps on various equity securities or 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 securities or 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 securities or index multiplied by the notional amount of the contract. For the period ended December 31, 2010, the Fund had average notional amounts of $330,549,205 and $162,731,796 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. RESTRICTED SECURITIES As of December 31, 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 $15,833,304 at December 31, 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 December 31, 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 $15,833,304
38 | Oppenheimer International Bond Fund Oppenheimer International Bond Fund STATEMENT OF INVESTMENTS December 31, 2010 (Unaudited) 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 December 31, 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 $12,424,664,460 Federal tax cost of other investments 71,184,138 --------------- Total federal tax cost $12,495,848,598 =============== Gross unrealized appreciation $ 902,908,416 Gross unrealized depreciation (259,753,022) --------------- Net unrealized appreciation $ 643,155,394 ===============
39 | 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 12/31/2010, 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: 02/08/2011 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: 02/08/2011 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 02/08/2011