0000950123-11-101033.txt : 20111130 0000950123-11-101033.hdr.sgml : 20111130 20111129200226 ACCESSION NUMBER: 0000950123-11-101033 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111130 DATE AS OF CHANGE: 20111129 EFFECTIVENESS DATE: 20111130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTERNATIONAL BOND FUND CENTRAL INDEX KEY: 0000939800 IRS NUMBER: 841308320 STATE OF INCORPORATION: MA FISCAL YEAR END: 0931 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07255 FILM NUMBER: 111232492 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 3037683200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 0000939800 S000007072 OPPENHEIMER INTERNATIONAL BOND FUND C000019293 A C000019294 B C000019295 C C000019296 N C000019297 Y N-CSR 1 g59858nvcsr.htm FORM N-CSR nvcsr
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07255
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: 9/30/2011
 
 

 


 

Item 1. Reports to Stockholders.
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TOP HOLDINGS AND ALLOCATIONS
         
Top Ten Geographical Holdings        
 
Japan
    17.6 %
Brazil
    6.8  
United Kingdom
    6.4  
Mexico
    6.3  
United States
    5.9  
Indonesia
    5.2  
South Africa
    4.7  
Russia
    4.2  
Korea, Republic of South
    3.3  
Germany
    2.8  
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2011, and are based on the total market value of investments.
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6 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FUND PERFORMANCE DISCUSSION
How has the Fund performed? Below is a discussion of the Fund’s performance during its fiscal year ended September 30, 2011, followed by a graphical comparison of the Fund’s performance to an appropriate broad-based market index.
Management’s Discussion of Fund Performance. For the 12-month period ended September 30, 2011, Oppenheimer International Bond Fund’s Class A shares (without sales charge) returned -2.88%, underperforming the Citigroup Non-U.S. Dollar World Government Bond Index, which returned 4.14%. We attribute the Fund’s underperformance primarily to overweight exposure to emerging-market currencies, which suffered during a “flight to quality” over the reporting period’s second half.
     The Fund’s currency positions favored the emerging markets and placed less emphasis on developed markets, but this posture proved counterproductive when heightened economic and geopolitical uncertainty sparked substantial capital outflows from the emerging markets despite their generally healthy economies and low debt levels. The Fund also was hurt by its duration management strategy, as we shifted its average duration during the summer of 2011 to a range we considered shorter-than-average in order to guard against the risks of potentially rising interest rates stemming from widespread credit concerns in the United States and Europe. This positioning impaired performance when interest rates defied our expectations and continued to fall.
     The Fund achieved better relative results from its security selection strategies. Among bonds denominated in local currencies, our security selection process proved effective in Brazil, Korea, Indonesia and Russia. In contrast, unhedged positions in Turkish and South African bonds hindered relative performance. Our security selection strategy in developed markets also detracted from returns compared to the benchmark, mainly due to weakness among European covered bonds and Spanish sovereign bonds.
     As of the reporting period’s end, we have reduced the Fund’s emerging-market currency exposure to a less overweight position, emphasizing the Brazilian real and Mexican peso. We also have attempted to increase portfolio yield through positions in emerging market corporate bonds from issuers that, in our analysis, are likely to maintain healthy balance sheets even if the economic slowdown persists. With interest rates near historical lows in developed markets, we believe that rising rates are more likely than further declines, and we have kept the Fund’s average duration in a moderately short position. We believe this positioning will be of benefit to the Fund when the market’s strong reaction to current fiscal, political, and macroeconomic concerns likely begins to lessen, particularly if the market begins to witness more clarity regarding the sovereign debt crisis in Europe.
7 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FUND PERFORMANCE DISCUSSION
Comparing the Fund’s Performance to the Market. The graphs that follow show the performance of a hypothetical $10,000 investment in each Class of shares of the Fund held until September 30, 2011. In the case of Class A, Class B, Class C and Class N shares, performance is measured over a ten-fiscal-year period. In the case of Class Y shares, performance is measured from the inception of the Class on September 27, 2004. The Fund’s performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C and Class N shares, and reinvestments of all dividends and capital gains distributions.
     The Fund’s performance is compared to the Citigroup Non-U.S. Dollar World Government Bond Index, an index of fixed rate government bonds with maturities of one year or longer. Index performance reflects the reinvestment of dividends but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund’s performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the securities comprising the index.
8 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Class A Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
(IMAGE)
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month end, visit us at oppenheimerfunds.com, or call us at 1.800.525.7048. Fund returns include changes in share price, reinvested distributions, and the applicable sales charge (unless otherwise indicated): for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C and N shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. See page 14 for further information.
9 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FUND PERFORMANCE DISCUSSION
Class B Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
(IMAGE)
10 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Class C Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
(IMAGE)
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month end, visit us at oppenheimerfunds.com, or call us at 1.800.525.7048. Fund returns include changes in share price, reinvested distributions, and the applicable sales charge (unless otherwise indicated): for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C and N shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. See page 14 for further information.
11 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FUND PERFORMANCE DISCUSSION
Class N Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
(IMAGE)
12 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Class Y Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
(IMAGE)
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month end, visit us at oppenheimerfunds.com, or call us at 1.800.525.7048. Fund returns include changes in share price, reinvested distributions, and the applicable sales charge (unless otherwise indicated): for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C and N shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. See page 14 for further information.
13 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

NOTES
Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns shown do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.
Investors should consider the Fund’s investment objectives, risks, expenses and other charges carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor, calling us at 1.800.525.7048 or visiting our website at oppenheimerfunds.com. Read the prospectus and, if available, the summary prospectus carefully before investing.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.

Class A shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%.
Class B shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge.
Class C shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge.
Class N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period. Class N shares are subject to an annual 0.25% asset-based sales charge.
Class Y shares of the Fund were first publicly offered on 9/27/04. Class Y shares are offered only to fee-based clients of dealers that have a special agreement with the Distributor, to certain institutional investors under a special agreement with the Distributor, and to present or former officers, directors, trustees or employees (and their eligible family members) of the Fund, the Manager, its affiliates, its parent company and the subsidiaries of its parent company, and retirement plans established for the benefit of such individuals. There is no sales charge for Class Y shares.
An explanation of the calculation of performance is in the Fund’s Statement of Additional Information.
14 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 


FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2011.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in the Statement of Additional Information). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
15 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FUND EXPENSES Continued
                         
    Beginning     Ending     Expenses  
    Account     Account     Paid During  
    Value     Value     6 Months Ended  
Actual   April 1, 2011     September 30, 2011     September 30, 2011  
 
Class A
  $ 1,000.00     $ 978.60     $ 4.82  
Class B
    1,000.00       975.70       9.16  
Class C
    1,000.00       976.50       8.36  
Class N
    1,000.00       977.90       6.97  
Class Y
    1,000.00       979.80       3.58  
 
                       
Hypothetical
(5% return before expenses)
                       
Class A
    1,000.00       1,020.21       4.92  
Class B
    1,000.00       1,015.84       9.34  
Class C
    1,000.00       1,016.65       8.53  
Class N
    1,000.00       1,018.05       7.11  
Class Y
    1,000.00       1,021.46       3.66  
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended September 30, 2011 are as follows:
         
Class   Expense Ratios  
 
Class A
    0.97 %
Class B
    1.84  
Class C
    1.68  
Class N
    1.40  
Class Y
    0.72  
The expense ratios reflect voluntary waivers and/or reimbursements of expenses by the Fund’s Manager and Transfer Agent. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
16 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS September 30, 2011
                 
    Principal        
    Amount     Value  
 
U.S. Government Obligations—1.6%
               
U.S. Treasury Bills:
               
0.01%, 12/1/111,2
  $ 91,200,000     $ 91,198,176  
0.062%, 12/29/111,2
    20,000,000       19,999,060  
0.087%, 12/22/112
    30,000,000       29,999,040  
0.09%, 11/17/112
    60,000,000       59,999,608  
0.10%, 11/3/112
    2,000,000       1,999,881  
 
             
 
               
Total U.S. Government Obligations (Cost $203,190,303)
            203,195,765  
 
               
Foreign Government Obligations—71.4%
               
Argentina—0.9%
               
Argentina (Republic of) Bonds:
               
2.50%, 12/31/383
    28,590,000       9,720,600  
7%, 10/3/15
    83,545,000       71,430,975  
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17
    26,020,000       20,340,412  
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/214
    12,010,000       10,820,349  
 
             
 
            112,312,336  
 
               
Australia—2.4%
               
New South Wales Treasury Corp., Series 22, 6%, 3/1/22
  21,540,000  AUD     22,727,954  
Queensland Treasury Corp.:
               
Series 20, 6.25%, 2/21/20
  106,440,000  AUD     111,585,043  
Series 22, 6%, 7/21/22
  62,360,000  AUD     64,370,235  
Series 24, 5.75%, 7/22/24
  37,780,000  AUD     38,193,416  
Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24
  63,970,000  AUD     65,018,586  
 
             
 
            301,895,234  
 
               
Austria—0.6%
               
Austria (Republic of) Bonds, 4.35%, 3/15/194
  53,290,000  EUR     80,495,237  
Belgium—1.0%
               
Belgium (Kingdom of) Bonds, Series 52, 4%, 3/28/18
  83,400,000  EUR     116,387,476  
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17
  8,125,000  EUR     12,215,073  
 
             
 
            128,602,549  
 
               
Brazil—4.7%
               
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.:
               
9.762%, 1/1/175
  749,637,000  BRR     364,163,508  
9.762%, 1/1/215
  279,002,000  BRR     129,837,389  
12.065%, 5/15/455
  32,095,000  BRR     36,687,559  
Series NTNB, 12.12%, 5/15/155
  59,470,000  BRR     68,232,752  
 
             
 
            598,921,208  
 
               
Canada—1.1%
               
Canada (Government of) Nts.:
               
3.75%, 6/1/19
  66,760,000  CAD     72,220,444  
4%, 6/1/17
  57,860,000  CAD     62,591,390  
 
             
 
            134,811,834  
17 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Colombia—0.8%
               
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/284
  16,413,000,000  COP   $ 10,715,223  
Colombia (Republic of) Bonds:
               
4.375%, 7/12/21
    15,240,000       15,582,900  
7.375%, 9/18/37
    17,650,000       23,147,975  
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19
    11,285,000       13,976,473  
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41
    29,570,000       33,650,660  
 
             
 
            97,073,231  
 
               
Denmark—0.3%
               
Denmark (Kingdom of) Bonds, 4%, 11/15/19
  200,885,000  DKK     42,105,795  
Dominican Republic—0.1%
               
Dominican Republic Bonds, 7.50%, 5/6/214
    12,570,000       12,381,450  
Finland—0.2%
               
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17
  21,660,000  EUR     32,338,579  
France—0.6%
               
France (Government of) Bonds:
               
3.75% 10/25/19
  34,990,000  EUR     51,644,482  
4%, 4/25/60
  18,705,000  EUR     27,912,478  
 
             
 
            79,556,960  
 
               
Germany—2.8%
               
Germany (Federal Republic of) Bonds:
               
3.25%, 7/4/42
  16,385,000  EUR     24,756,736  
3.50%, 7/4/191
  22,625,000  EUR     34,489,962  
Series 07, 4.25%, 7/4/39
  36,390,000  EUR     63,728,499  
Series 157, 2.25%, 4/10/15
  93,925,000  EUR     132,080,639  
Germany (Federal Republic of) Treasury Bills:
               
0.193%, 10/12/116
  18,700,000  EUR     25,051,777  
0.306% 1/25/126
  53,570,000  EUR     71,563,221  
 
             
 
            351,670,834  
 
               
Ghana—0.1%
               
Ghana (Republic of) Bonds, 8.50%, 10/4/174
    10,185,000       10,694,250  
Greece—0.0%
               
Hellenic Republic Sr. Unsec. Unsub. Bonds, 30 yr., 4.50%, 9/20/37
  7,265,000  EUR     3,232,414  
Hungary—2.4%
               
Hungary (Republic of) Bonds:
               
Series 12/B, 7.25%, 6/12/12
  25,282,000,000  HUF     116,219,716  
Series 19/A, 6.50%, 6/24/19
  10,117,000,000  HUF     42,122,363  
Series 20/A, 7.50%, 11/12/20
  12,584,000,000  HUF     55,416,671  
Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41
    10,835,000       10,618,300  
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21
    41,925,000       41,002,650  
Hungary (Republic of) Treasury Bills, Series 3M, 5.736%, 11/2/116
  10,000,000,000  HUF     45,527,251  
 
             
 
            310,906,951  
18 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Indonesia—1.1%
               
Indonesia (Republic of) Nts., 6.875%, 1/17/184
  $ 33,390,000     $ 37,647,225  
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/214
    27,140,000       27,547,100  
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/384
    35,555,000       44,799,300  
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/374
    8,990,000       10,136,225  
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/354
    19,610,000       26,571,550  
 
             
 
            146,701,400  
 
               
Italy—2.3%
               
Italy (Republic of) Bonds:
               
3.10%, 9/15/265
  27,245,000  EUR     30,144,024  
4%, 9/1/205
  83,005,000  EUR     100,761,871  
5%, 9/1/405
  36,870,000  EUR     40,945,207  
Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/235
  98,915,000  EUR     116,837,131  
 
             
 
            288,688,233  
 
               
Ivory Coast—0.0%
               
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/324,7
    3,030,000       1,530,150  
Japan—17.5%
               
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29
  48,413,000,000  JPY     671,757,522  
Japan (Government of) Sr. Unsec. Unsub. Bonds:
               
2 yr., Series 304, 0.20%, 5/15/138
  28,082,000,000  JPY     364,482,005  
5 yr., Series 96, 0.50%, 3/20/16
  59,720,000,000  JPY     779,900,770  
10 yr., Series 307, 1.30%, 3/20/20
  30,726,000,000  JPY     414,360,407  
 
             
 
            2,230,500,704  
 
               
Korea, Republic of South—3.2%
               
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds:
               
Series 1208, 3.81%, 8/2/12
  32,639,000,000  KRW     27,767,656  
Series 1210, 3.28%, 10/2/12
  35,050,000,000  KRW     29,668,685  
Korea (Republic of) Sr. Unsec. Treasury Bonds:
               
Series 1406, 3.50%, 6/10/14
  248,165,000,000  KRW     210,580,131  
Series 1603, 4%, 3/10/16
  148,498,000,000  KRW     128,051,399  
Korea (Republic of) Sr. Unsec. Unsub. Nts., 5.125%, 12/7/16
    11,887,000       12,920,884  
 
             
 
            408,988,755  
 
               
Malaysia—0.8%
               
Malaysia (Government of) Sr. Unsec. Bonds:
               
Series 1/06, 4.262%, 9/15/16
  79,670,000  MYR     25,904,691  
Series 0309, 2.711%, 2/14/12
  200,330,000  MYR     62,776,802  
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/214
    15,175,000       15,834,126  
 
             
 
            104,515,619  
 
               
Mexico—5.0%
               
United Mexican States Bonds:
               
5.625%, 1/15/17
    9,315,000       10,423,485  
Series M, 6.50%, 6/10/213
  2,147,200,000  MXN     155,581,794  
19 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Mexico Continued
               
United Mexican States Bonds: Continued
               
Series M20, 7.50%, 6/3/273
  1,046,930,000  MXN   $ 77,808,200  
Series M10, 7.75%, 12/14/17
  504,755,000  MXN     40,549,495  
Series M10, 8%, 12/17/15
  297,000,000  MXN     23,671,725  
Series M20, 8.50%, 5/31/293
  524,150,000  MXN     41,705,422  
Series MI10, 9%, 12/20/123
  1,518,400,000  MXN     115,265,024  
Series M20, 10%, 12/5/243
  1,731,340,000  MXN     159,520,551  
United Mexican States Nts., 6.75%, 9/27/34
    4,420,000       5,458,700  
United Mexican States Sr. Nts., 5.75%, 10/12/2110
    8,860,000       8,771,400  
 
             
 
            638,755,796  
 
               
New Zealand—2.3%
               
New Zealand (Government of) Sr. Unsec. Bonds:
               
Series 413, 6.50%, 4/15/13
  256,180,000  NZD     205,923,231  
Series 415, 6%, 4/15/15
  101,970,000  NZD     84,560,402  
 
             
 
            290,483,633  
 
               
Norway—0.1%
               
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15
  76,640,000  NOK     14,575,361  
Panama—0.3%
               
Panama (Republic of) Bonds:
               
7.25%, 3/15/15
    9,010,000       10,347,985  
8.875%, 9/30/27
    6,640,000       9,528,400  
9.375%, 4/1/29
    6,770,000       10,205,775  
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26
    7,870,000       9,888,655  
 
             
 
            39,970,815  
 
               
Peru—1.1%
               
Peru (Republic of) Bonds, 7.35%, 7/21/25
    30,020,000       37,525,000  
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/204
  212,250,000  PEN     86,820,849  
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50
    13,630,000       13,698,150  
 
             
 
            138,043,999  
 
               
Philippines—0.1%
               
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34
    7,515,000       8,642,250  
Poland—2.5%
               
Poland (Republic of) Bonds:
               
5.25%, 10/25/20
  143,750,000  PLZ     41,626,891  
Series 0415, 5.50%, 4/25/15
  78,195,000  PLZ     24,012,758  
Series 0416, 5%, 4/25/16
  520,525,000  PLZ     156,201,189  
Series 1015, 6.25%, 10/24/15
  161,235,000  PLZ     50,605,295  
Series 1017, 5.25%, 10/25/17
  42,280,000  PLZ     12,585,568  
Poland (Republic of) Sr. Unsec. Nts.:
               
5.125%, 4/21/21
    23,580,000       23,580,000  
6.375%, 7/15/19
    15,070,000       16,614,675  
 
             
 
            325,226,376  
20 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Qatar—0.1%
               
Qatar (State of) Sr. Nts., 5.25%, 1/20/204
  $ 11,640,000     $ 12,862,200  
Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/404
    5,400,000       6,601,500  
 
             
 
            19,463,700  
 
               
Russia—0.1%
               
Russian Federation Bonds, 5%, 4/29/204
    9,040,000       8,904,400  
Singapore—0.1%
               
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17
  24,145,000  SGD     20,079,579  
South Africa—3.9%
               
South Africa (Republic of) Bonds:
               
5.50%, 3/9/20
    13,080,000       14,371,650  
Series R209, 6.25%, 3/31/36
  608,540,000  ZAR     55,273,173  
Series R208, 6.75%, 3/31/21
  715,300,000  ZAR     79,421,997  
Series R213, 7%, 2/28/31
  779,580,000  ZAR     78,822,108  
Series R207, 7.25%, 1/15/20
  1,108,960,000  ZAR     129,078,989  
Series R186, 10.50%, 12/21/26
  939,885,000  ZAR     134,672,035  
 
             
 
            491,639,952  
 
               
Spain—1.5%
               
Spain (Kingdom of) Sr. Unsec. Bonds, 4.65%, 7/30/25
  57,315,000  EUR     69,895,873  
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41
  40,900,000  EUR     45,231,594  
Spain (Kingdom of) Treasury Bills, 1.71%, 12/16/116
  53,875,000  EUR     72,001,991  
 
             
 
            187,129,458  
 
               
Sri Lanka—0.2%
               
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.:
               
6.25%, 10/4/204
    9,970,000       9,720,750  
6.25% 7/27/214
    12,515,000       12,054,874  
 
             
 
            21,775,624  
 
               
Sweden—0.3%
               
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17
  208,710,000  SEK     34,080,322  
The Netherlands—2.7%
               
Netherlands (Kingdom of the) Bonds:
               
2.50%, 1/15/17
  45,540,000  EUR     63,709,265  
3.25%, 7/15/21
  68,275,000  EUR     99,156,584  
4%, 7/15/18
  28,025,000  EUR     42,586,653  
4%, 7/15/19
  89,800,000  EUR     137,469,157  
 
             
 
            342,921,659  
 
               
Turkey—1.6%
               
Turkey (Republic of) Bonds:
               
6.875%, 3/17/36
    17,955,000       19,211,850  
7%, 3/11/19
    9,650,000       10,856,250  
8.68%, 2/20/136
  166,045,000  TRY     79,951,507  
10.50%, 1/15/203
  10,760,000  TRY     6,203,907  
11%, 8/6/14
  63,670,000  TRY     36,538,988  
21 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Turkey Continued
               
Turkey (Republic of) Bonds: Continued
               
14.689%, 8/14/13,3,5
  21,120,000  TRY   $ 16,245,579  
Turkey (Republic of) Nts., 7.50%, 7/14/17
    12,420,000       14,189,850  
Turkey (Republic of) Unsec. Nts., 6%, 1/14/41
    18,230,000       17,455,225  
 
             
 
            200,653,156  
 
               
Ukraine—0.6%
               
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/169
    7,295,000       6,346,650  
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/174
    15,050,000       13,996,500  
Ukraine (Republic of) Bonds, 7.75%, 9/23/204
    14,640,000       13,249,200  
Ukraine (Republic of) Sr. Unsec. Nts.:
               
6.25%, 6/17/164
    18,260,000       16,274,225  
6.75%, 11/14/174
    14,490,000       13,127,940  
7.95%, 2/23/214
    10,420,000       9,482,200  
 
             
 
            72,476,715  
 
               
United Kingdom—4.5%
               
United Kingdom Treasury Bonds:
               
3.25%, 12/7/11
  77,515,000  GBP     121,466,719  
4.25%, 3/7/36
  100,290,000  GBP     177,285,608  
4.75%, 3/7/20
  32,320,000  GBP     60,528,067  
4.75%, 12/7/38
  111,625,000  GBP     212,886,475  
 
             
 
            572,166,869  
 
               
Uruguay—0.5%
               
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36
    20,090,000       24,911,600  
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25
    13,000,000       15,340,000  
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22
    23,255,000       29,068,750  
 
             
 
            69,320,350  
 
               
Venezuela—1.0%
               
Venezuela (Republic of) Bonds:
               
9%, 5/7/23
    52,010,000       32,506,250  
11.95%, 8/5/31
    23,290,000       17,118,150  
Venezuela (Republic of) Nts., 8.25%, 10/13/24
    8,895,000       5,292,525  
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.:
               
7.75%, 10/13/19
    19,205,000       12,291,200  
12.75%, 8/23/22
    2,950,000       2,352,625  
Venezuela (Republic of) Unsec. Bonds:
               
7%, 3/31/38
    32,485,000       17,298,263  
7.65%, 4/21/25
    36,370,000       20,730,900  
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/184
    21,165,000       19,260,150  
 
             
 
            126,850,063  
 
             
 
               
Total Foreign Government Obligations (Cost $9,237,217,881)
            9,101,083,800  
22 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Corporate Bonds and Notes—15.9%
               
Consumer Discretionary—0.1%
               
Hotels, Restaurants & Leisure—0.1%
               
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/154
  $ 9,895,000     $ 8,954,975  
Consumer Staples—0.3%
               
Beverages—0.1%
               
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/173
  11,985,000  BRR     6,514,702  
Food & Staples Retailing—0.1%
               
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/214
    15,075,000       15,194,680  
Food Products—0.1%
               
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/154
    15,005,000       13,354,450  
Energy—3.4%
               
Oil, Gas & Consumable Fuels—3.4%
               
Afren plc, 11.50% Sr. Sec. Nts., 2/1/164
    12,325,000       11,708,750  
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/154
    11,200,000       10,416,000  
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/204
    5,965,000       6,204,358  
Gaz Capital SA:
               
7.288% Sr. Sec. Nts., 8/16/374
    36,720,000       35,939,700  
8.146% Sr. Sec. Nts., 4/11/184
    18,820,000       20,843,150  
8.625% Sr. Sec. Nts., 4/28/344
    11,855,000       13,751,800  
9.25% Sr. Unsec. Unsub. Nts., 4/23/194
    25,645,000       30,004,650  
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/214
    10,940,000       10,639,150  
KMG Finance Sub BV:
               
7% Sr. Unsec. Bonds, 5/5/204
    8,400,000       8,431,500  
9.125% Sr. Unsec. Unsub. Nts., 7/2/184
    30,360,000       34,458,600  
Lukoil International Finance BV:
               
6.125% Sr. Unsec. Nts., 11/9/204
    27,090,000       25,464,600  
6.656% Sr. Unsec. Unsub. Bonds, 6/7/224
    5,525,000       5,234,938  
7.25% Sr. Unsec. Unsub. Nts., 11/5/194
    4,390,000       4,477,800  
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14
    34,615,000       33,230,400  
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/214
    9,020,000       9,020,000  
Pemex Project Funding Master Trust:
               
6.625% Sr. Unsec. Unsub. Nts., 6/15/38
    5,855,000       6,352,675  
6.625% Unsec. Unsub. Bonds, 6/15/35
    29,590,000       32,031,175  
Pertamina PT (Persero):
               
5.25% Nts., 5/23/214
    16,255,000       15,767,350  
6.50% Sr. Unsec. Nts., 5/27/414
    7,240,000       6,950,400  
Petrobras International Finance Co.:
               
5.75% Sr. Unsec. Unsub. Nts., 1/20/20
    14,160,000       14,839,680  
7.875% Sr. Unsec. Nts., 3/15/19
    15,275,000       17,871,750  
Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/174
    23,970,000       15,999,975  
Petroleos Mexicanos:
               
5.50% Sr. Unsec. Unsub. Nts., 1/21/21
    11,900,000       12,614,000  
6% Sr. Unsec. Unsub. Nts., 3/5/20
    14,380,000       15,875,520  
23 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Oil, Gas & Consumable Fuels Continued
               
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/194
  $ 17,320,000     $ 20,654,100  
PT Adaro Indonesia, 7.625% Nts., 10/22/194
    14,950,000       14,800,500  
Tengizchevroil LLP, 6.124% Nts., 11/15/144
    6,435,846       6,524,339  
 
             
 
            440,106,860  
 
               
Financials—7.1%
               
Capital Markets—0.0%
               
Credit Suisse First Boston International, 6.80% Export-Import Bank of Ukraine Nts., 10/4/12
    6,035,000       5,959,563  
Commercial Banks—4.4%
               
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/154
    14,880,000       14,508,000  
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/174
    11,700,000       10,647,000  
Banco BMG SA:
               
9.15% Nts., 1/15/164
    10,630,000       10,417,400  
9.95% Unsec. Unsub. Nts., 11/5/194
    8,380,000       8,170,500  
Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/164
    6,025,000       5,362,250  
Banco de Credito del Peru:
               
5.375% Sr. Nts., 9/16/204
    7,160,000       6,837,800  
6.95% Sub. Nts., 11/7/213,4
    5,410,000       5,639,925  
9.75% Jr. Sub. Nts., 11/6/694
    5,300,000       5,989,000  
Banco Do Brasil SA:
               
5.875% Unsec. Sub. Nts., 1/26/224
    6,065,000       5,837,563  
8.50% Jr. Sub. Perpetual Bonds4,10
    7,905,000       8,873,363  
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/204
    8,650,000       9,082,500  
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/164
    6,015,000       5,999,963  
Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/164
    12,150,000       12,028,500  
Bank of Scotland plc:
               
4.375% Sr. Sec. Nts., 7/13/16
  96,578,000  EUR     136,222,194  
4.50% Sr. Sec. Nts., 7/13/21
  66,157,000  EUR     92,217,581  
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/154
    26,205,000       25,156,800  
Halyk Savings Bank of Kazakhstan JSC:
               
7.25% Unsec. Unsub. Nts., 5/3/174
    3,275,000       3,085,116  
9.25% Sr. Nts., 10/16/134
    60,130,000       62,535,200  
ICICI Bank Ltd.:
               
5.50% Sr. Unsec. Nts., 3/25/154
    21,660,000       21,600,153  
6.375% Bonds, 4/30/223,4
    22,793,000       19,032,155  
Lloyds TSB Bank plc, 4.875% Sec. Nts., 1/13/23
  8,180,000  EUR     11,708,564  
PrivatBank JSC/UK SPV Credit Finance plc,
               
8% Sr. Sec. Nts., 2/6/124
    8,980,000       8,727,438  
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/164
    9,045,000       8,751,038  
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/204
    25,215,000       24,836,775  
24 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Commercial Banks Continued
               
VTB Capital SA:
               
6.315% Nts., 2/22/184
  $ 15,040,000     $ 14,088,645  
6.465% Sr. Sec. Unsub. Nts., 3/4/154
    8,300,000       8,362,250  
6.551% Sr. Unsec. Nts., 10/13/204
    8,755,000       8,098,375  
 
             
 
            553,816,048  
 
               
Consumer Finance—0.0%
               
JSC Astana Finance, 9.16% Nts., 3/14/127
    14,000,000       1,680,000  
Diversified Financial Services—0.5%
               
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264
    18,487,974       16,824,056  
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17
  20,982,000  EUR     29,027,888  
Banco Invex SA, 29.582% Mtg.-Backed Certificates, Series 062U, 3/13/343,5
  27,603,725  MXN     2,666,586  
JPMorgan Hipotecaria su Casita:
               
7.809% Sec. Nts., 8/26/353,9
  34,101,099  MXN     2,704,785  
27.977% Mtg.-Backed Certificates, Series 06U, 9/25/353
  11,041,999  MXN     1,543,315  
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16
    10,500,000       10,444,434  
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/974,11
    5,310,000       3,556,319  
 
             
 
            66,767,383  
 
               
Real Estate Management & Development—0.1%
               
Country Garden Holdings Co., 11.125% Sr. Unsec. Nts., 2/23/184
    12,055,000       9,282,350  
Thrifts & Mortgage Finance—2.1%
               
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/164
    5,360,000       4,984,800  
WM Covered Bond Program:
               
4% Sec. Mtg. Nts., Series 2, 9/27/16
  152,385,000  EUR     213,961,884  
4.375% Sec. Nts., 5/19/14
  35,655,000  EUR     49,904,150  
 
             
 
            268,850,834  
 
               
Industrials—0.2%
               
Construction & Engineering—0.2%
               
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/244
    15,044,584       17,376,494  
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/204
    5,290,000       5,567,725  
 
             
 
            22,944,219  
 
               
Road & Rail—0.0%
               
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/204
    5,795,000       5,751,538  
Materials—1.4%
               
Chemicals—0.2%
               
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/414
    4,260,000       3,929,850  
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/214
    18,065,000       16,666,769  
 
             
 
            20,596,619  
25 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Construction Materials—0.3%
               
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/204
  $ 8,115,000     $ 5,355,900  
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/164
    8,940,000       6,570,900  
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/184
    13,150,000       9,040,625  
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/204
    7,170,000       7,026,600  
West China Cement Ltd., 7.50% Sr. Nts., 1/25/164
    7,840,000       5,409,600  
 
             
 
            33,403,625  
 
               
Metals & Mining—0.9%
               
Alrosa Finance SA, 7.75% Nts., 11/3/204
    12,010,000       11,439,525  
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/164
    9,050,000       7,760,375  
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/194
    5,700,000       6,056,250  
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/164
    15,670,000       13,711,250  
JSC Severstal, 6.70% Nts., 10/25/174
    14,820,000       12,634,050  
Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/184
    12,030,000       10,155,726  
Vedanta Resources plc:
               
8.25% Sr. Unsec. Nts., 6/7/214
    18,100,000       14,118,000  
9.50% Sr. Unsec. Nts., 7/18/184
    51,960,000       45,724,800  
 
             
 
            121,599,976  
 
               
Telecommunication Services—1.1%
               
Diversified Telecommunication Services—0.5%
               
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/194
    17,935,000       15,244,750  
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/164
  30,440,000  BRR     14,732,296  
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/204
    30,216,000       29,007,360  
 
             
 
            58,984,406  
 
               
Wireless Telecommunication Services—0.6%
               
America Movil SAB de CV:
               
6.125% Sr. Unsec. Unsub. Nts., 3/30/40
    4,600,000       4,830,000  
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36
  140,800,000  MXN     9,607,290  
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/204
    15,235,000       15,235,000  
Vimpel Communications/VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/214
    9,040,000       7,604,448  
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/224
    15,210,000       12,282,075  
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/184
    32,440,000       31,629,000  
 
             
 
            81,187,813  
 
               
Utilities—2.3%
               
Electric Utilities—1.7%
               
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/194
    15,405,000       17,407,650  
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/224
    6,005,000       5,104,250  
26 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Electric Utilities Continued
               
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/194
  $ 10,125,000     $ 11,669,063  
Eskom Holdings Ltd.:
               
5.75% Sr. Unsec. Bonds, 1/26/214
    21,105,000       21,527,100  
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26
  294,000,000  ZAR     33,248,161  
10% Nts., Series ES23, 1/25/23
  368,000,000  ZAR     49,809,412  
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/194
    31,120,000       33,189,542  
Majapahit Holding BV:
               
7.75% Nts., 10/17/164
    15,500,000       17,263,125  
8% Sr. Unsec. Nts., 8/7/194
    11,150,000       12,599,500  
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16
  665,100,000  PHP     16,762,680  
 
             
 
            218,580,483  
 
               
Energy Traders—0.4%
               
Colbun SA, 6% Sr. Unsec. Nts., 1/21/204
    12,290,000       12,625,419  
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/214
    12,050,000       12,230,750  
Power Sector Assets & Liabilities Management Corp.:
               
7.25% Sr. Gtd. Unsec. Nts., 5/27/194
    7,500,000       8,587,500  
7.39% Sr. Gtd. Unsec. Nts., 12/2/244
    8,120,000       9,338,000  
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/154
    8,410,000       8,260,008  
 
             
 
            51,041,677  
 
               
Gas Utilities—0.1%
               
TGI International Ltd., 9.50% Nts., 10/3/174
    10,420,000       11,253,600  
Water Utilities—0.1%
               
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/204
    10,885,000       10,939,425  
 
             
Total Corporate Bonds and Notes (Cost $2,092,303,846)
            2,026,765,226  
                 
    Shares          
 
Common Stocks—0.0%
               
MHP SA, GDR4,12 (Cost $15,289)
    169,861       2,080,513  
                 
    Principal          
    Amount          
 
Structured Securities—8.2%
               
Barclays Bank plc:
               
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30
  134,050,000,000  IDR     19,077,342  
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25
  100,660,000,000  IDR     14,539,315  
Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30
  67,450,000,000  IDR     9,599,155  
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30
  69,180,000,000  IDR     9,845,360  
27 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Structured Securities Continued
               
Barclays Bank plc: Continued
               
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25
  69,180,000,000  IDR   $ 9,992,349  
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/133
  550,300,000  RUR     17,090,593  
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/133
  563,400,000  RUR     17,436,197  
Russian Federation Total Return Linked Bonds, Series 3, 6.85%, 8/3/123
  565,000,000  RUR     17,775,241  
Citigroup Funding, Inc.:
               
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/153,9
  182,270,000  RUR     5,816,405  
Indonesia (Republic of) Credit Linked Nts., Series 8, 8.25%, 7/19/214
  194,290,000,000  IDR     23,438,923  
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25
  68,100,000,000  IDR     9,836,353  
Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.253%, 10/25/113
    14,720,000       14,791,431  
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,9
  377,910,000  RUR     11,832,941  
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/153,9
  150,988,000  UAH     15,429,362  
Citigroup Global Markets Holdings, Inc.:
               
Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/129
  334,600,000,000  IDR     36,562,252  
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/189
  11,920,000,000  COP     7,572,768  
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24
  86,317,000,000  COP     53,338,489  
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20
  26,964,000,000  COP     17,086,086  
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/129
  289,700,000  DOP     7,645,177  
Credit Suisse First Boston International:
               
Moitk Total Return Linked Nts., 21%, 3/30/117
  220,242,600  RUR     20,520  
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/123
  45,458,000  RUR     1,376,630  
Credit Suisse First Boston, Inc. (Nassau Branch):
               
Russian Oreniz Total Return Linked Nts., Series 009, 9.24%, 2/24/123
  52,500,000  RUR     1,589,886  
Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/20/107
  64,600,000  RUR     201  
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12
  25,800,000  RUR     777,229  
Credit Suisse International:
               
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123
  106,500,000  RUR     3,439,858  
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123
  155,430,000  RUR     5,020,255  
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123
  144,200,000  RUR     4,657,536  
Deutsche Bank AG:
               
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/256,9
    4,625,232       3,230,341  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/256,9
    5,893,257       4,115,951  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/256,9
    5,087,884       3,553,465  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/256,9
    4,547,927       3,176,350  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/256,9
    5,662,538       3,954,813  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/256,9
    6,462,927       4,513,819  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/256,9
    5,163,123       3,606,013  
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/256,9
    4,853,116       3,389,499  
Indonesia (Republic of) Credit Linked Nts., Series 4, 8.25%, 7/19/21
  130,430,000,000  IDR     15,734,925  
28 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
    Principal        
    Amount     Value  
 
Structured Securities Continued
               
Deutsche Bank AG: Continued
               
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/123
  133,110,000  RUR   $ 4,336,544  
JSC Gazprom Total Return Linked Nts., Series 4, 13.12%, 6/28/123
  160,790,000  RUR     5,238,321  
JSC VTB Bank Credit Linked Nts., 12%, 6/19/123,9
  201,100,000  UAH     24,462,111  
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/153,9
  1,273,571  MXN     89,483  
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/153,9
  2,228,143  MXN     156,553  
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/153,9
  33,594,990  MXN     2,360,434  
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/153,9
  2,448,357  MXN     172,025  
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/153,9
  1,778,777  MXN     124,980  
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/153,9
  1,136,016  MXN     79,818  
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/153,9
  209,208  MXN     14,699  
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12
    2,505,000       2,248,638  
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12
    2,505,000       1,989,671  
Eirles Two Ltd. Sec. Nts., Series 335, 2.085%, 4/30/123,9
    11,200,000       10,653,440  
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/376,9
  376,977,600,000  COP     6,660,589  
Hallertau SPC Credit Linked Nts.:
               
Series 2007-01, 2.445%, 12/20/173,9
    42,470,000       32,765,605  
Series 2008-01, 9.888%, 8/2/106,7,9
  63,164,246  BRR     3,359,354  
Series 2008-2A, 7.937%, 9/17/133,9
    15,837,500       16,122,575  
HSBC Bank USA NA:
               
Indonesia (Republic of) Credit Linked Nts., Series 2, 8.25%, 7/15/214
  134,910,000,000  IDR     16,275,388  
Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/314
  132,561,000,000  IDR     17,337,838  
JPMorgan Chase & Co.:
               
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/166,9
  68,635,000,000  COP     26,788,987  
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/166,9
  90,697,000,000  COP     32,735,508  
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/209
  12,645,000,000  COP     8,014,833  
Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/209
  45,193,500,000  COP     28,645,186  
Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/214
  61,910,000,000  IDR     7,468,751  
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/254
  69,180,000,000  IDR     9,992,349  
Indonesia (Republic of) Credit Linked Bonds, Series 10, 8.25%, 7/19/214
  77,600,000,000  IDR     9,361,575  
Indonesia (Republic of) Credit Linked Bonds, Series 11, 8.25%, 7/19/214,8
  80,075,000,000  IDR     9,660,156  
Indonesia (Republic of) Credit Linked Bonds, Series 6, 8.25%, 7/19/214
  145,110,000,000  IDR     17,505,904  
Indonesia (Republic of) Credit Linked Bonds, Series 7, 8.25%, 7/19/214,8
  32,000,000,000  IDR     3,860,443  
Indonesia (Republic of) Credit Linked Bonds, Series 9, 8.25%, 7/19/214,8
  57,560,000,000  IDR     6,943,972  
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/304
  66,900,000,000  IDR     9,520,882  
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/304
  67,450,000,000  IDR     9,599,155  
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/254
  67,450,000,000  IDR     9,742,468  
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/304
  19,010,000,000  IDR     2,705,410  
29 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                 
    Principal        
    Amount     Value  
 
Structured Securities Continued
               
JPMorgan Chase & Co.: Continued
               
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/254
  68,100,000,000  IDR   $ 9,836,353  
JPMorgan Chase Bank NA:
               
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/304,8
  39,740,000,000  IDR     5,655,603  
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/254
  46,070,000,000  IDR     6,654,344  
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/254
  92,130,000,000  IDR     13,307,243  
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,9
  377,810,000  RUR     11,733,594  
Russian Federation Credit Linked Bonds, 6.851%, 8/3/123,9
  565,000,000  RUR     17,503,261  
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/133,9
  464,490,000  RUR     14,353,475  
Russian Federation Credit Linked Bonds, Series 2, 6.851%, 8/3/123,9
  900,000,000  RUR     27,881,301  
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/166,7
    1,426,420       142,642  
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/169
  13,289,000,000  COP     6,512,299  
Morgan Stanley:
               
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/174
  26,120,000  PEN     7,589,887  
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34
  313,879,378  RUR     4,599,561  
Morgan Stanley Capital Services, Inc.:
               
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/224,6
  173,500,000  BRR     16,214,833  
United Mexican States Credit Linked Nts., 5.64%, 11/20/159
    11,760,000       9,996,000  
VimpelCom Total Return Linked Nts., 9.25%, 7/26/133
  692,500,000  RUR     21,291,810  
Standard Bank Group Ltd.:
               
Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/126,9
  17,255,000  GHS     10,428,326  
Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/116,9
  20,740,000  GHS     12,713,031  
UBS AG:
               
Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/119
  7,369,232  GHS     4,584,228  
Indonesia (Republic of) Total Return Linked Nts., 8.25%, 7/19/21
  300,190,000,000  IDR     36,214,577  
Indonesia (Republic of) Total Return Linked Nts., Series 1, 9.50%, 7/17/31
  273,675,000,000  IDR     35,794,334  
Indonesia (Republic of) Total Return Linked Nts., Series 3, 8.25%, 7/19/21
  78,630,000,000  IDR     9,485,833  
Indonesia (Republic of) Total Return Linked Nts., Series 5, 8.25%, 7/19/21
  103,265,000,000  IDR     12,457,771  
Indonesia (Republic of) Total Return Linked Nts., Series 999, 9.50%, 7/17/31
  214,719,000,000  IDR     28,083,397  
 
             
 
               
Total Structured Securities (Cost $1,144,277,457)
            1,040,890,378  
                                 
    Expiration     Strike                
    Date     Price     Contracts          
 
Options Purchased—0.3%
                               
Australian Dollar (AUD) Call12
    11/10/11     $ 1.050       45,510,000       97,315  
Australian Dollar (AUD) Call12
    1/13/12       1.040       90,940,000       727,972  
Australian Dollar (AUD) Call12
    1/13/12       1.040       90,945,000       805,363  
Australian Dollar (AUD) Call12
    1/13/12       1.040       140,100,000       1,113,047  
30 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                                 
    Expiration     Strike              
    Date     Price     Contracts     Value  
 
Options Purchased Continued
                               
Australian Dollar (AUD) Call12
    1/17/12     $ 1.040       45,475,000     $ 426,252  
Brazilian Real (BRR) Put12
    11/22/11       1.700       57,620,000       3,439,135  
Brazilian Real (BRR) Put12
    11/22/11       1.700       172,870,000       9,892,980  
Brazilian Real (BRR) Put12
    11/28/11       1.700       57,720,000       3,345,805  
Canadian Dollar (CAD) Futures, 12/20/11 Put12
    10/10/11       95.500       21       17,010  
Euro (EUR) Call12
    1/13/12       1.390       45,475,000       1,163,050  
Euro (EUR) Call12
    1/18/12       1.400       45,465,000       1,032,921  
Euro (EUR) Put12
    11/2/11       1.350       38,610,000       1,135,332  
Euro (EUR) Put12
    11/2/11       1.350       69,750,000       2,006,851  
Euro-Bundesobligation Futures, 12/8/11 Call12
    10/3/11     138.500  EUR     271       3,631  
Euro-Bundesobligation Futures, 12/8/11 Call12
    10/3/11     137.500  EUR     407       5,453  
Euro-Bundesobligation Futures, 12/8/11 Call12
    10/3/11     140.500  EUR     136       1,822  
Japanese Yen (JPY) Futures, 12/19/11 Put12
    10/10/11       127.000       123       29,213  
Japanese Yen (JPY) Futures, 12/19/11 Put12
    10/10/11       129.000       78       51,675  
Japanese Yen (JPY) Put12
    11/17/11       78.900       4,183,200,000       390,376  
Mexican Nuevo Peso (MXN) Call12
    11/18/11       12.000       1,017,100,000       65,939  
Mexican Nuevo Peso (MXN) Call12
    11/18/11       12.000       1,017,100,000       45,414  
Mexican Nuevo Peso (MXN) Call12
    1/18/12       12.950       655,180,000       940,865  
Mexican Nuevo Peso (MXN) Call12
    1/18/12       12.950       655,180,000       731,594  
New Zealand Dollar (NZD) Call12
    1/13/12       0.840       136,405,000       823,563  
New Zealand Dollar (NZD) Call12
    1/17/12       0.840       133,655,000       763,079  
New Zealand Dollar (NZD) Call12
    1/17/12       0.840       136,420,000       786,325  
South Korean Won (KRW) Call12
    1/19/12       120.000       58,008,000,000       748,883  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    10/3/11       130.000       1,356       21,188  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    10/24/11       120.000       2,203       34,422  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    10/24/11       122.000       2,203       34,422  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    10/24/11       127.000       217       23,734  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    11/28/11       127.500       11,359       5,856,984  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    11/28/11       123.500       1,358       148,531  
31 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
                                 
    Expiration     Strike              
    Date     Price     Contracts     Value  
 
Options Purchased Continued
                               
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    11/28/11     $ 125.500       1,358     $ 318,281  
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put12
    11/28/11       129.000       909       852,188  
 
                             
 
                               
Total Options Purchased (Cost $50,999,565)
                            37,880,615  
                 
    Shares          
 
Investment Company—1.9%
               
Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%13,14 (Cost $236,989,845)
    236,989,845       236,989,845  
Total Investments, at Value (Cost $12,964,994,186)
    99.3 %     12,648,886,142  
Other Assets Net of Liabilities
    0.7       90,832,737  
     
Net Assets
    100.0 %   $ 12,739,718,879  
     
Footnotes to Statement of Investments
Principal amount and strike price are reported in U.S. Dollars, except for those denoted in the following currencies:
     
AUD
  Australian Dollar
BRR
  Brazilian Real
CAD
  Canadian Dollar
COP
  Colombian Peso
DKK
  Danish Krone
DOP
  Dominican Republic Peso
EUR
  Euro
GBP
  British Pound Sterling
GHS
  Ghana Cedi
HUF
  Hungarian Forint
IDR
  Indonesia Rupiah
JPY
  Japanese Yen
KRW
  South Korean Won
 
MXN   Mexican Nuevo Peso
MYR   Malaysian Ringgit
NOK   Norwegian Krone
NZD   New Zealand Dollar
PEN   Peruvian New Sol
PHP   Philippines Peso
PLZ   Polish Zloty
RUR   Russian Ruble
SEK   Swedish Krona
SGD   Singapore Dollar
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 $47,301,715. See Note 5 of the 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 $130,535,226. See Note 5 of the accompanying Notes.
 
3.   Represents the current interest rate for a variable or increasing rate security.
 
4.   Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,941,415,800 or 15.24% of the Fund’s net assets as of September 30, 2011.
 
5.   Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
 
6.   Zero coupon bond reflects effective yield on the date of purchase.
 
7.   This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes.
 
8.   When-issued security or delayed delivery to be delivered and settled after September 30, 2011. See Note 1 of the accompanying Notes.
32 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

 
9.   Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $432,362,286, which represents 3.39% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows:
                                 
                            Unrealized  
    Acquisition                     Appreciation  
Security   Dates     Cost     Value     (Depreciation)  
 
Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15
    3/1/11     $ 6,446,479     $ 5,816,405     $ (630,074 )
Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13
    3/2/11       13,408,489       11,832,941       (1,575,548 )
Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15
    9/7/10       16,025,508       15,429,362       (596,146 )
Citigroup Global Markets Holdings, Inc., Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/12
    6/17/11       38,861,789       36,562,252       (2,299,537 )
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18
    12/9/08       5,038,939       7,572,768       2,533,829  
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12
    3/7/07       8,695,818       7,645,177       (1,050,641 )
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/16
    6/30/11       7,295,000       6,346,650       (948,350 )
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25
    10/8/10       3,102,934       3,230,341       127,407  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25
    4/16/09       3,156,790       3,389,499       232,709  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25
    8/18/09       3,380,368       3,606,013       225,645  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25
    9/25/09       4,240,988       4,513,819       272,831  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25
    12/17/09       3,732,838       3,954,813       221,975  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25
    3/30/10       3,012,594       3,176,350       163,756  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25
    5/18/10       3,382,109       3,553,465       171,356  
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25
    7/16/10       3,931,653       4,115,951       184,298  
Deutsche Bank AG, JSC VTB Bank Credit Linked Nts., 12%, 6/19/12
    6/30/11       25,473,227       24,462,111       (1,011,116 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/15
    5/21/08       122,792       89,483       (33,309 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/15
    6/12/08       214,813       156,553       (58,260 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/15
    6/18/08       3,259,229       2,360,434       (898,795 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/15
    7/8/08       237,353       172,025       (65,328 )
33 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
                                 
                            Unrealized  
    Acquisition                     Appreciation  
Security   Dates     Cost     Value     (Depreciation)  
 
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/15
    7/15/08     $ 172,730     $ 124,980     $ (47,750 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/15
    8/8/08       111,830       79,818       (32,012 )
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/15
    8/22/08       20,634       14,699       (5,935 )
Eirles Two Ltd. Sec. Nts., Series 335, 2.085%, 4/30/12
    9/17/07-2/24/09       11,078,547       10,653,440       (425,107 )
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37
    1/18/07       36,141,215       6,660,589       (29,480,626 )
Hallertau SPC Credit Linked Nts., Series 2007-01,2.445%, 12/20/17
    12/13/07       42,470,000       32,765,605       (9,704,395 )
Hallertau SPC Credit Linked Nts., Series 2008-2A, 9.888%, 8/2/10
    4/18/08-10/1/08       31,666,704       3,359,354       (28,307,350 )
Hallertau SPC Credit Linked Nts., Series 2008-01, 7.937%, 9/17/13
    10/23/08-2/26/09       15,940,687       16,122,575       181,888  
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16
    12/6/05       11,167,708       26,788,987       15,621,279  
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16
    10/16/06       14,183,697       32,735,508       18,551,811  
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20
    8/24/10       8,711,885       8,014,833       (697,052 )
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/20
    10/6/10       31,545,289       28,645,186       (2,900,103 )
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.851%, 8/3/12
    6/6/11       20,576,111       17,503,261       (3,072,850 )
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.70%, 2/8/13
    3/1/11       13,238,509       11,733,594       (1,504,915 )
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 2.715%, 1/25/13
    2/28/11       16,297,676       14,353,475       (1,944,201 )
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 6.851%, 8/3/12
    6/2/11       32,739,355       27,881,301       (4,858,054 )
JPMorgan Hipotecaria su Casita, 7.809% Sec. Nts., 8/26/35
    3/21/07       3,092,229       2,704,785       (387,444 )
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16
    10/20/06       5,679,060       6,512,299       833,239  
34 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                                 
                            Unrealized  
    Acquisition                     Appreciation  
Security   Dates     Cost     Value     (Depreciation)  
 
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15
    11/3/05     $ 11,760,000     $ 9,996,000     $ (1,764,000 )
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/12
    9/16/11       10,697,165       10,428,326       (268,839 )
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/11
    9/5/11       13,319,662       12,713,031       (606,631 )
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11
    12/22/06       8,040,378       4,584,228       (3,456,150 )
             
 
          $ 491,670,781     $ 432,362,286     $ (59,308,495 )
             
 
10.   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.
 
11.   Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
 
12.   Non-income producing security.
 
13.   Rate shown is the 7-day yield as of September 30, 2011.
 
14.   Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, 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     September 30, 2011  
 
Oppenheimer Institutional Money Market Fund, Cl. E
    30,173,589       3,697,187,263       3,490,371,007       236,989,845  
                 
    Value     Income  
 
Oppenheimer Institutional Money Market Fund, Cl. E
  $ 236,989,845     $ 530,839  
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).
35 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of September 30, 2011 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
  $     $ 203,195,765     $     $ 203,195,765  
Foreign Government Obligations
          9,101,083,800             9,101,083,800  
Corporate Bonds and Notes
          2,026,765,226             2,026,765,226  
Common Stocks
          2,080,513             2,080,513  
Structured Securities
          1,024,604,440       16,285,938       1,040,890,378  
Options Purchased
    7,398,554       30,482,061             37,880,615  
Investment Company
    236,989,845                   236,989,845  
     
Total Investments, at Value
    244,388,399       12,388,211,805       16,285,938       12,648,886,142  
Other Financial Instruments:
                               
Appreciated swaps, at value
          75,020,402             75,020,402  
Futures margins
    1,972,978                   1,972,978  
Foreign currency exchange contracts
          302,952,286             302,952,286  
     
Total Assets
  $ 246,361,377     $ 12,766,184,493     $ 16,285,938     $ 13,028,831,808  
     
Liabilities Table
                               
Other Financial Instruments:
                               
Appreciated swaps, at value
  $     $ (9,553,477 )   $     $ (9,553,477 )
Depreciated swaps, at value
          (49,840,170 )           (49,840,170 )
Appreciated options written, at value
    (571,879 )     (3,360,541 )           (3,932,420 )
Depreciated options written, at value
    (427,751 )     (46,636,503 )           (47,064,254 )
Futures margins
    (2,022,798 )                 (2,022,798 )
Foreign currency exchange contracts
          (211,772,766 )           (211,772,766 )
Depreciated swaptions written, at value
          (24,133,449 )           (24,133,449 )
     
Total Liabilities
  $ (3,022,428 )   $ (345,296,906 )   $     $ (348,319,334 )
     
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.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
                 
Geographic Holdings   Value     Percent  
 
Japan
  $ 2,230,971,968       17.6 %
Brazil
    864,619,486       6.8  
United Kingdom
    812,315,208       6.4  
Mexico
    799,156,846       6.3  
United States
    740,369,282       5.9  
Indonesia
    658,432,003       5.2  
South Africa
    596,224,625       4.7  
Russia
    530,822,340       4.2  
Korea, Republic of South
    420,182,072       3.3  
Germany
    351,681,740       2.8  
The Netherlands
    342,921,659       2.7  
Poland
    325,226,376       2.6  
Colombia
    319,379,139       2.5  
36 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

                 
Geographic Holdings   Value     Percent  
 
Hungary
  $ 310,906,951       2.5  %
Australia
    305,065,183       2.4  
New Zealand
    292,856,600       2.3  
Italy
    288,688,233       2.3  
Turkey
    223,912,194       1.8  
Peru
    211,159,998       1.7  
Ukraine
    203,825,837       1.6  
Spain
    187,129,458       1.5  
Venezuela
    142,850,038       1.1  
Canada
    134,828,844       1.1  
Kazakhstan
    133,105,443       1.1  
Belgium
    128,602,549       1.0  
Argentina
    122,401,386       1.0  
Malaysia
    104,515,619       0.8  
India
    100,475,108       0.8  
Austria
    80,495,237       0.6  
Philippines
    79,652,354       0.6  
France
    79,556,960       0.6  
Uruguay
    69,320,350       0.5  
Denmark
    42,105,795       0.3  
Panama
    39,970,815       0.3  
Ghana
    38,419,835       0.3  
Dominican Republic
    36,850,683       0.3  
Sweden
    34,080,322       0.3  
Chile
    34,024,457       0.3  
Israel
    33,189,542       0.3  
Finland
    32,338,579       0.3  
Sri Lanka
    21,775,624       0.2  
Trinidad & Tobago
    20,654,100       0.2  
Singapore
    20,079,579       0.2  
Qatar
    19,463,700       0.2  
Supranational
    18,413,815       0.1  
Costa Rica
    14,791,431       0.1  
China
    14,691,950       0.1  
Norway
    14,575,361       0.1  
Nigeria
    11,708,750       0.1  
European Union
    5,338,154        
Greece
    3,232,414        
Ivory Coast
    1,530,150        
     
Total
  $ 12,648,886,142       100.0  %
     
Foreign Currency Exchange Contracts as of September 30, 2011 are as follows:
                                                 
            Contract                            
Counterparty/           Amount     Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)     Dates     Value     Appreciation     Depreciation  
 
Banc of America:
                                               
Brazilian Real (BRR)
  Sell     48,000  BRR     10/4/11     $ 25,502,294     $ 2,091,843     $  
British Pound Sterling (GBP)
  Buy     2,610  GBP     10/3/11       4,069,922             27,778  
British Pound Sterling (GBP)
  Sell     2,610  GBP     10/3/11       4,069,922             64,877  
Canadian Dollar (CAD)
  Sell     16,150  CAD     11/22/11       15,392,368       753,090        
Chilean Peso (CLP)
  Buy     8,163,000  CLP      10/5/11       15,697,212             1,891,669  
Chinese Renminbi (Yuan) (CNY)
  Buy     649,560  CNY      8/15/12-8/16/12       102,489,995             1,150,725  
Chinese Renminbi (Yuan) (CNY)
  Sell     410,400  CNY     11/30/11       64,309,824             24,110  
37 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
                                                   
            Contract                              
Counterparty/           Amount       Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)       Dates     Value     Appreciation     Depreciation  
   
Banc of America: Continued
                                                 
Euro (EUR)
  Buy     9,630   EUR     10/3/11     $ 12,901,463     $     $ 233,857  
Euro (EUR)
  Sell     256,790   EUR     10/3/11-12/9/11       343,953,337       6,622,401        
Hungarian Forint (HUF)
  Sell     13,785,000   HUF     10/11/11       62,960,327       4,614,281        
Indonesia Rupiah (IDR)
  Sell     186,399,000   IDR     10/17/11       21,172,317             552,958  
Japanese Yen (JPY)
  Buy     686,000   JPY     10/3/11       8,894,449             90,489  
Japanese Yen (JPY)
  Sell     686,000   JPY     10/3/11       8,894,449       28,548        
Malaysian Ringgit (MYR)
  Buy     350,360   MYR     10/11/11       109,693,102             6,690,103  
Malaysian Ringgit (MYR)
  Sell     96,140   MYR     10/19/11       30,089,868       963,104        
Mexican Nuevo Peso (MXN)
  Buy     37,400   MXN     11/22/11       2,682,517             331,182  
Mexican Nuevo Peso (MXN)
  Sell     2,247,130   MXN     12/15/11       160,859,462       18,247,778        
New Zealand Dollar (NZD)
  Sell     136,450   NZD     10/26/11       103,826,112       8,237,544        
Peruvian New Sol (PEN)
  Sell     41,010   PEN     10/17/11       14,751,772       220,846        
Philippines Peso (PHP)
  Buy     1,547,750   PHP     10/17/11-10/24/11       35,359,989             86,693  
Philippines Peso (PHP)
  Sell     1,812,000   PHP     11/29/11       41,310,915       296,433        
Polish Zloty (PLZ)
  Sell     57,020   PLZ     10/11/11       17,194,737             82,919  
Singapore Dollar (SGD)
  Buy     160,190   SGD     10/11/11       122,481,186             8,585,742  
Singapore Dollar (SGD)
  Sell     160,190   SGD     8/15/12-8/16/12       122,960,838       10,130,194        
South African Rand (ZAR)
  Sell     309,580   ZAR     11/15/11       38,079,192       3,313,489        
South Korean Won (KRW)
  Sell     279,474,000   KRW     10/26/11-1/25/12       236,476,703       2,248,545       1,774,179  
                                       
 
                                      57,768,096       21,587,281  
Banc of America EM
                                                 
Peruvian New Sol (PEN)
  Sell     114,140   PEN     10/26/11       41,006,500             369,206  
Barclay’s Capital:
                                                 
Australian Dollar (AUD)
  Sell     100,755   AUD     10/26/11-11/22/11       97,122,374       6,320,157        
British Pound Sterling (GBP)
  Buy     2,280   GBP     10/4/11       3,555,297       6,477        
British Pound Sterling (GBP)
  Sell     2,280   GBP     10/4/11       3,555,297             32,697  
Euro (EUR)
  Buy     8,440   EUR     10/4/11       11,307,115             78,445  
Euro (EUR)
  Sell     34,240   EUR     10/4/11-11/22/11       45,862,214       1,092,848       3,528  
Hungarian Forint (HUF)
  Buy     6,503,000   HUF     10/11/11       29,701,197             5,045,187  
Hungarian Forint (HUF)
  Sell     26,178,000   HUF     11/2/11-6/12/12       117,737,556       16,466,493        
Japanese Yen (JPY)
  Buy     12,912,000   JPY     11/1/11       167,481,100             869,683  
Japanese Yen (JPY)
  Sell     1,569,000   JPY     10/11/11       20,345,414       6,866        
New Turkish Lira (TRY)
  Buy     87,695   TRY     10/19/11       47,045,520       23,440       1,377,693  
New Turkish Lira (TRY)
  Sell     27,725   TRY     10/4/11       14,909,235             26,525  
New Zealand Dollar (NZD)
  Sell     267,775   NZD     10/26/11       203,752,561       16,639,966        
Polish Zloty (PLZ)
  Sell     203,980   PLZ     10/11/11       61,511,441       5,551,057        
Russian Ruble (RUR)
  Buy     791,055   RUR     10/7/11-10/24/11       24,500,250             3,425,512  
Russian Ruble (RUR)
  Sell     449,430   RUR     12/15/11       13,757,456       847,467        
South African Rand (ZAR)
  Sell     1,320,670   ZAR     10/11/11       163,288,137       24,399,674        
South Korean Won (KRW)
  Buy     12,913,000   KRW     11/8/11       10,933,127             1,169,016  
Swedish Krona (SEK)
  Buy     140,400   SEK     11/22/11       20,406,023             1,386,759  
                                       
 
                                      71,354,445       13,415,045  
Citigroup:
                                                 
Australian Dollar (AUD)
  Sell     165,185   AUD     10/26/11       159,277,818       9,342,508        
Canadian Dollar (CAD)
  Sell     13,300   CAD     10/11/11       12,688,501       717,636        
38 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Foreign Currency Exchange Contracts: Continued
                                                     
            Contract                                
Counterparty/           Amount         Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)         Dates     Value     Appreciation     Depreciation  
 
Citigroup: Continued
                                                   
Chilean Peso (CLP)
  Buy     7,596,000     CLP     11/22/11     $ 14,509,811     $     $ 1,459,915  
Chilean Peso (CLP)
  Sell     4,199,000     CLP     11/22/11       8,020,892       934,109        
Colombian Peso (COP)
  Buy     192,000     COP     10/7/11       99,440             7,378  
Euro (EUR)
  Sell     24,849     EUR     10/3/11-11/10/11       33,284,210       2,157,844        
Hungarian Forint (HUF)
  Sell     9,830,000     HUF     6/12/12       43,859,582       6,552,550        
Mexican Nuevo Peso (MXN)
  Buy     614,900     MXN     12/15/11       44,017,250             252,888  
Philippines Peso (PHP)
  Sell     1,049,750     PHP     10/24/11-11/29/11       23,935,682       221,217        
Russian Ruble (RUR)
  Sell     416,940     RUR     10/24/11       12,895,399       2,070,143        
                                         
 
                                        21,996,007       1,720,181  
Citigroup EM:
                                                   
Brazilian Real (BRR)
  Sell     164,060     BRR     1/4/12       85,533,285       3,994,683        
Chilean Peso (CLP)
  Buy     17,480,000     CLP     11/22/11-12/5/11       33,348,954             1,239,930  
Chilean Peso (CLP)
  Sell     36,932,000     CLP     10/5/11-11/22/11       70,788,217       3,393,692       26  
Colombian Peso (COP)
  Buy     57,883,000     COP     10/7/11-11/22/11       29,933,678             2,109,364  
Colombian Peso (COP)
  Sell     8,840,000     COP     10/14/11       4,576,441       356,594        
Egyptian Pounds (EGP)
  Buy     179,840     EGP     10/11/11       30,061,707       103,925        
Indonesia Rupiah (IDR)
  Buy     474,644,000     IDR     10/11/11       53,943,291             1,492,822  
Mexican Nuevo Peso (MXN)
  Sell     702,400     MXN     10/18/11       50,554,492       3,514,958        
                                         
 
                                        11,363,852       4,842,142  
Credit Suisse:
                                                   
Australian Dollar (AUD)
  Sell     90,965     AUD     10/26/11       87,712,000       5,929,190        
Chilean Peso (CLP)
  Buy     23,132,000     CLP     10/5/11-11/22/11       44,384,999             5,314,923  
Chilean Peso (CLP)
  Sell     4,840,000     CLP     10/24/11       9,281,411             9,381  
Colombian Peso (COP)
  Sell     29,164,000     COP     11/22/11       15,059,648       1,097,693        
Euro (EUR)
  Sell     2,238     EUR     10/4/11-10/5/11       2,998,000       15,929        
Japanese Yen (JPY)
  Buy     669,000     JPY     10/4/11       8,674,154             105,374  
Japanese Yen (JPY)
  Sell     5,551,054     JPY     10/4/11-10/5/11       71,975,018       282,580        
Malaysian Ringgit (MYR)
  Buy     276,310     MYR     10/31/11       86,436,104             5,633,470  
Mexican Nuevo Peso (MXN)
  Sell     587,670     MXN     10/18/11       42,296,922       5,041,790        
New Turkish Lira (TRY)
  Buy     27,725     TRY     10/4/11       14,909,235             640,183  
New Zealand Dollar (NZD)
  Buy     166,560     NZD     10/26/11       126,737,099             17,367,282  
Russian Ruble (RUR)
  Sell     3,873,600     RUR     11/7/11       119,493,425       12,609,909        
South African Rand (ZAR)
  Sell     787,960     ZAR     10/11/11       97,423,671       10,692,485        
Swedish Krona (SEK)
  Buy     96,300     SEK     11/22/11       13,996,439       6,279       1,204,654  
Swiss Franc (CHF)
  Sell     31,070     CHF     11/22/11       34,314,988       419,040       23,961  
                                         
 
                                        36,094,895       30,299,228  
Credit Suisse EM
                                                   
Chilean Peso (CLP)
  Sell     8,621,000     CLP     10/5/11       16,577,933       1,363,794        
Deutsche Bank Capital Corp.:
                                                   
Australian Dollar (AUD)
  Buy     94,900     AUD     10/26/11       91,506,280             8,143,370  
Australian Dollar (AUD)
  Sell     3,195     AUD     10/11/11       3,087,120       250,633        
British Pound Sterling (GBP)
  Sell     8,295     GBP     10/11/11       12,933,790       299,090        
Chinese Renminbi (Yuan) (CNY)
  Buy     305,460     CNY     1/6/12       47,898,716       486,814        
Danish Krone (DKK)
  Sell     22,397     DKK     10/4/11       4,032,245       72,387        
Euro (EUR)
  Sell     56,280     EUR     10/11/11       75,394,624       3,592,724        
39 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
                                                     
            Contract                                
Counterparty/           Amount         Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)         Dates     Value     Appreciation     Depreciation  
 
Deutsche Bank Capital Corp.: Continued
                                                   
Japanese Yen (JPY)
  Buy     6,960,000     JPY     10/26/11     $ 90,270,128     $     $ 300,624  
Japanese Yen (JPY)
  Sell     6,960,000     JPY     10/26/11       90,270,128             5,711,238  
New Zealand Dollar (NZD)
  Sell     136,450     NZD     10/26/11       103,826,112       7,978,289        
Norwegian Krone (NOK)
  Sell     376,500     NOK     11/28/11       63,947,927       1,451,286        
Philippines Peso (PHP)
  Buy     1,399,000     PHP     10/17/11       31,962,314       43,537        
Swiss Franc (CHF)
  Sell     265,760     CHF     10/11/11-10/26/11       293,348,871       15,536,798        
                                         
 
                                        29,711,558       14,155,232  
Deutsche Bank EM:
                                                   
Chinese Renminbi (Yuan) (CNY)
  Buy     198,485     CNY     9/28/12       31,351,256       211,469        
Chinese Renminbi (Yuan) (CNY)
  Sell     305,460     CNY     1/6/12       47,898,716             172,312  
Russian Ruble (RUR)
  Sell     286,890     RUR     12/15/11       8,781,961       132,409       2,758  
Singapore Dollar (SGD)
  Sell     82,420     SGD     10/31/11       63,020,503       1,073,188        
                                         
 
                                        1,417,066       175,070  
Goldman Sachs EM:
                                                   
Brazilian Real (BRR)
  Sell     171,500     BRR     11/3/11-1/4/12       89,460,615       4,321,516        
Chinese Renminbi (Yuan) (CNY)
  Buy     186,140     CNY     9/28/12       29,401,329       166,210        
Hungarian Forint (HUF)
  Sell     6,532,000     HUF     10/11/11       29,833,649       4,743,663        
Malaysian Ringgit (MYR)
  Buy     350,355     MYR     10/12/11       109,686,845             6,787,557  
Mexican Nuevo Peso (MXN)
  Sell     16,625     MXN     10/18/11       1,196,567       60,570        
New Turkish Lira (TRY)
  Sell     31,780     TRY     10/19/11       17,048,938       629,865        
Polish Zloty (PLZ)
  Sell     109,820     PLZ     10/11/11       33,116,906       1,144,563        
South African Rand (ZAR)
  Buy     291,900     ZAR     10/14/11       36,074,203             1,212,919  
South African Rand (ZAR)
  Sell     757,350     ZAR     11/15/11       93,156,133       8,895,683        
                                         
 
                                        19,962,070       8,000,476  
Goldman, Sachs & Co.:
                                                   
British Pound Sterling (GBP)
  Sell     114,465     GBP     10/26/11       178,449,125       6,320,817       400,973  
Canadian Dollar (CAD)
  Buy     37,770     CAD     11/10/11       36,007,462             2,640,227  
Canadian Dollar (CAD)
  Sell     9,376     CAD     10/3/11       8,946,403       163,007        
Hungarian Forint (HUF)
  Buy     1,151,000     HUF     10/11/11       5,256,970             754,104  
Japanese Yen (JPY)
  Buy     2,152,000     JPY     11/22/11       27,922,404             262,998  
Norwegian Krone (NOK)
  Buy     376,500     NOK     11/28/11       63,947,927             572,846  
Norwegian Krone (NOK)
  Sell     133,600     NOK     11/22/11       22,698,618       713,283        
                                         
 
                                        7,197,107       4,631,148  
HSBC EM:
                                                   
Brazilian Real (BRR)
  Buy     138,120     BRR     11/3/11-1/4/12       72,702,617             3,787,672  
Chinese Renminbi (Yuan) (CNY)
  Buy     208,830     CNY     9/28/12       32,985,277       191,622        
                                         
 
                                        191,622       3,787,672  
JP Morgan Chase:
                                                   
Philippines Peso (PHP)
  Sell     749,000     PHP     1/23/12       17,031,672             28,267  
Swiss Franc (CHF)
  Buy     262,985     CHF     10/26/11       290,286,664             50,186,659  
                                         
 
                                              50,214,926  
40 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Foreign Currency Exchange Contracts: Continued
                                                   
            Contract                              
Counterparty/           Amount       Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)       Dates     Value     Appreciation     Depreciation  
 
JP Morgan EM:
                                                 
Chilean Peso (CLP)
  Buy     17,616,000   CLP     11/14/11     $ 33,685,298     $     $ 2,911,773  
Chinese Renminbi (Yuan) (CNY)
  Buy     423,430   CNY     9/28/12       66,881,942       430,279        
Colombian Peso (COP)
  Sell     176,395,000   COP     10/7/11-10/14/11       91,325,494       7,398,239        
Egyptian Pounds (EGP)
  Sell     113,275   EGP     10/11/11       18,934,830             165,154  
Indonesia Rupiah (IDR)
  Buy     429,610,351   IDR     10/3/11-12/19/11       48,481,287       319,995        
Indonesia Rupiah (IDR)
  Sell     625,652,777   IDR     10/3/11-10/17/11       71,065,406             2,084,849  
Malaysian Ringgit (MYR)
  Sell     316,450   MYR     12/20/11       98,859,586       3,221,059        
Russian Ruble (RUR)
  Buy     41,900   RUR     10/7/11       1,299,716             157,093  
Russian Ruble (RUR)
  Sell     2,931,400   RUR     10/11/11       90,867,854       12,093,669        
South Korean Won (KRW)
  Sell     216,047,000   KRW     10/26/11-1/25/12       182,677,616       10,093,142       1,560,313  
                                       
 
                                      33,556,383       6,879,182  
Nomura Securities:
                                                 
Australian Dollar (AUD)
  Buy     64,840   AUD     11/30/11       62,269,618             1,390,943  
Chinese Renminbi (Yuan) (CNY)
  Buy     207,920   CNY     2/19/13       32,791,973             119,780  
Mexican Nuevo Peso (MXN)
  Sell     37,400   MXN     11/22/11       2,682,517       15,783       140  
South Korean Won (KRW)
  Buy     70,060,000   KRW     1/25/12       59,190,822             6,393,077  
Swiss Franc (CHF)
  Sell     640   CHF     11/22/11       706,842       77,664        
                                       
 
                                      93,447       7,903,940  
RBS Greenwich Capital:
                                                 
Australian Dollar (AUD)
  Buy     20   AUD     10/14/11       19,317             464  
Euro (EUR)
  Sell     90,940   EUR     10/26/11       121,812,480       2,596,168        
Swiss Franc (CHF)
  Buy     24,005   CHF     11/10/11       26,505,320             1,009,624  
                                       
 
                                      2,596,168       1,010,088  
Standard Chartered Bank EM:
                                                 
Chinese Renminbi (Yuan) (CNY)
  Buy     208,830   CNY     9/28/12       32,985,277       191,622        
Malaysian Ringgit (MYR)
  Sell     104,430   MYR     10/19/11       32,684,470       1,057,049        
                                       
 
                                      1,248,671        
Standard NY EM
                                                 
Egyptian Pounds (EGP)
  Buy     113,230   EGP     11/10/11       18,784,150       14,154        
State Street:
                                                 
New Turkish Lira (TRY)
  Buy     118,550   TRY     11/29/11       63,197,343             477,253  
Polish Zloty (PLZ)
  Sell     57,140   PLZ     10/11/11       17,230,923             119,040  
South African Rand (ZAR)
  Buy     214,400   ZAR     10/14/11       26,496,434             823,324  
South African Rand (ZAR)
  Sell     353,300   ZAR     10/11/11-11/22/11       43,627,596       204,581       691,469  
Swedish Krona (SEK)
  Buy     2,174,310   SEK     10/26/11       316,450,062             35,163,125  
                                       
 
                                      204,581       37,274,211  
UBS Inv Bank EM:
                                                 
Brazilian Real (BRR)
  Buy     48,000   BRR     10/4/11       25,502,294             1,194,036  
Brazilian Real (BRR)
  Sell     127,150   BRR     11/3/11       67,052,698       3,242,526        
Hong Kong Dollar (HKD)
  Sell     500,330   HKD     11/30/11       64,295,169             72,901  
Indonesia Rupiah (IDR)
  Sell     200,663,000   IDR     10/20/11       22,786,287             152,235  
New Taiwan Dollar (TWD)
  Sell     1,950,000   TWD     10/31/11       64,026,936       223,476        
41 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
                                                   
            Contract                              
Counterparty/           Amount       Expiration             Unrealized     Unrealized  
Contract Description   Buy/Sell     (000’s)       Dates     Value     Appreciation     Depreciation  
 
UBS Inv Bank EM: Continued
                                                 
Philippines Peso (PHP)
  Sell     2,870,000   PHP     10/17/11     $ 65,569,578     $ 286,319     $  
                                       
 
                                      3,752,321       1,419,172  
UBS Investment Bank
                                                 
Japanese Yen (JPY)
  Buy     13,294,000   JPY     11/1/11       172,436,009             965,499  
Westpac:
                                                 
Australian Dollar (AUD)
  Sell     6,330   AUD     11/22/11       6,084,542       171,244        
New Zealand Dollar (NZD)
  Buy     29,460   NZD     10/26/11       22,416,396             3,123,067  
New Zealand Dollar (NZD)
  Sell     45,360   NZD     10/26/11       34,514,858       2,894,805        
                                       
 
                                      3,066,049       3,123,067  
                                       
Total unrealized appreciation and depreciation
                                    $ 302,952,286     $ 211,772,766  
                                       
Futures Contracts as of September 30, 2011 are as follows:
                                         
                                    Unrealized  
            Number of     Expiration             Appreciation  
Contract Description   Buy/Sell     Contracts     Date     Value     (Depreciation)  
 
Euro-BOBL
  Sell     617       12/8/11     $ 100,955,520     $ 564,147  
Euro-Bundesobligation
  Sell     937       12/8/11       171,341,662       (998,092 )
FTSE 100 Index
  Sell     872       12/16/11       69,220,703       1,772,351  
NIKKEI 225 Index
  Sell     708       12/8/11       79,859,977       (79,570 )
U.S. Treasury Long Bonds, 20 yr.
  Buy     1,127       12/20/11       160,738,375       (1,168,152 )
U.S. Treasury Nts., 5 yr.
  Sell     12,365       12/30/11       1,514,519,297       (319,754 )
U.S. Treasury Nts., 10 yr.
  Sell     181       12/20/11       23,546,969       (90,705 )
 
                                     
 
                                  $ (319,775 )
 
                                     
Written Options as of September 30, 2011 are as follows:
                                                         
                                                    Unrealized  
            Number of     Exercise     Expiration     Premiums             Appreciation/  
Description   Type     Contracts     Price     Date     Received     Value     (Depreciation)  
 
Australian Dollar (AUD)
  Call     140,100,000     $ 1.100       1/13/12     $ 887,735     $ (304,652 )   $ 583,083  
Australian Dollar (AUD)
  Call     90,945,000       1.100       1/13/12       727,560       (205,646 )     521,914  
Australian Dollar (AUD)
  Call     90,940,000       1.100       1/13/12       774,263       (354,129 )     420,134  
Australian Dollar (AUD)
  Call     45,475,000       1.100       1/17/12       300,135       (112,113 )     188,022  
Australian Dollar (AUD)
  Call     45,510,000       1.100       11/10/11       220,268       (14,819 )     205,449  
Australian Dollar (AUD)
  Put     140,100,000       0.920       1/13/12       2,391,143       (3,883,681 )     (1,492,538 )
Australian Dollar (AUD)
  Put     90,945,000       0.959       1/13/12       1,909,845       (3,541,117 )     (1,631,272 )
Australian Dollar (AUD)
  Put     90,940,000       0.949       1/13/12       1,818,001       (3,158,822 )     (1,340,821 )
Australian Dollar (AUD)
  Put     45,475,000       0.923       1/17/12       811,274       (1,217,335 )     (406,061 )
Australian Dollar (AUD)
  Put     45,510,000       0.980       11/10/11       1,114,995       (1,410,963 )     (295,968 )
Brazilian Real (BRR)
  Put     188,120,000       1.850       11/22/11       795,697       (4,582,895 )     (3,787,198 )
Brazilian Real (BRR)
  Put     62,810,000       1.850       11/28/11       314,050       (1,601,083 )     (1,287,033 )
Brazilian Real (BRR)
  Put     62,710,000       1.850       11/22/11       81,354       (1,785,951 )     (1,704,597 )
British Pound Sterling (GBP)
  Call     2,495,000       1.561       10/4/11       24,926       (17,280 )     7,646  
British Pound Sterling (GBP)
  Call     2,445,000       1.555       10/3/11       26,443       (23,619 )     2,824  
42 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Written Options: Continued
                                                             
                                                        Unrealized  
            Number of     Exercise         Expiration     Premiums             Appreciation/  
Description   Type     Contracts     Price         Date     Received     Value     (Depreciation)  
 
British Pound Sterling (GBP)
  Call     2,395,000     $ 1.563           10/5/11     $ 23,239     $ (17,674 )   $ 5,565  
British Pound Sterling (GBP)
  Put     2,495,000       1.561           10/4/11       24,926       (11,312 )     13,614  
British Pound Sterling (GBP)
  Put     2,445,000       1.555           10/3/11       26,443       (3,592 )     22,851  
British Pound Sterling (GBP)
  Put     2,395,000       1.563           10/5/11       23,239       (15,240 )     7,999  
Canadian Dollar (CAD) Futures
  Put     80       92.500           10/10/11       20,215       (10,400 )     9,815  
Euro (EUR)
  Call     9,420,000       1.362           10/6/11       116,510       (36,846 )     79,664  
Euro (EUR)
  Call     45,475,000       1.450           1/13/12       751,042       (448,898 )     302,144  
Euro (EUR)
  Call     45,465,000       1.460           1/18/12       799,866       (398,071 )     401,795  
Euro (EUR)
  Call     10,250,000       1.357           10/4/11       127,548       (22,153 )     105,395  
Euro (EUR)
  Call     9,440,000       1.350           10/3/11       123,189       (25,705 )     97,484  
Euro (EUR)
  Call     9,280,000       1.364           10/5/11       111,137       (19,060 )     92,077  
Euro (EUR)
  Call     10,050,000       1.350           10/7/11       121,565       (98,599 )     22,966  
Euro (EUR)
  Put     9,420,000       1.362           10/6/11       116,510       (214,939 )     (98,429 )
Euro (EUR)
  Put     45,475,000       1.275           1/13/12       906,817       (1,085,750 )     (178,933 )
Euro (EUR)
  Put     45,465,000       1.290           1/18/12       847,490       (1,283,187 )     (435,697 )
Euro (EUR)
  Put     104,630,000       1.250           11/2/11       431,795       (457,770 )     (25,975 )
Euro (EUR)
  Put     57,920,000       1.250           11/2/11       234,815       (284,657 )     (49,842 )
Euro (EUR)
  Put     10,250,000       1.357           10/4/11       127,548       (171,032 )     (43,484 )
Euro (EUR)
  Put     9,440,000       1.350           10/3/11       123,189       (85,330 )     37,859  
Euro (EUR)
  Put     9,280,000       1.364           10/5/11       111,137       (215,763 )     (104,626 )
Euro (EUR)
  Put     10,050,000       1.350           10/7/11       119,817       (155,957 )     (36,140 )
Euro-Bundesobligation Futures
  Call     814       138.000     EUR     10/3/11       21,041       (10,906 )     10,135  
Euro-Bundesobligation Futures
  Call     682       140.000     EUR     10/3/11       26,963       (9,137 )     17,826  
Euro-Bundesobligation Futures
  Call     534       142.000     EUR     10/3/11       43,204       (7,154 )     36,050  
Euro FX Futures
  Put     299       1.285           11/7/11       372,043       (384,963 )     (12,920 )
British Pound Sterling (GBP)
  Call     2,670,000       1.558           10/7/11       25,771       (33,201 )     (7,430 )
British Pound Sterling (GBP)
  Call     2,505,000       1.565           10/6/11       23,044       (18,215 )     4,829  
British Pound Sterling (GBP)
  Put     2,670,000       1.558           10/7/11       25,015       (22,020 )     2,995  
British Pound Sterling (GBP)
  Put     2,505,000       1.565           10/6/11       23,523       (26,510 )     (2,987 )
Japanese Yen (JPY)
  Call     4,183,200,000       73.000           11/17/11       544,289       (186,152 )     358,137  
Japanese Yen (JPY)
  Call     681,000,000       76.400           10/3/11       58,340       (5,128 )     53,212  
Japanese Yen (JPY)
  Put     681,000,000       76.400           10/3/11       58,340       (72,275 )     (13,935 )
Japanese Yen (JPY) Futures
  Put     655       123.500           10/10/11       63,065       (40,938 )     22,127  
Japanese Yen (JPY) Futures
  Put     163       126.500           10/10/11       31,456       (32,600 )     (1,144 )
Mexican Nuevo Peso (MXN)
  Call     623,800,000       12.330           1/18/12       879,796       (406,699 )     473,097  
Mexican Nuevo Peso (MXN)
  Call     623,055,000       12.315           1/18/12       556,525       (373,042 )     183,483  
Mexican Nuevo Peso (MXN)
  Call     987,400,000       11.650           11/18/11       585,660       (21,624 )     564,036  
Mexican Nuevo Peso (MXN)
  Put     708,300,000       14.000           1/18/12       1,052,333       (2,662,003 )     (1,609,670 )
Mexican Nuevo Peso (MXN)
  Put     708,300,000       14.000           1/18/12       848,948       (2,541,125 )     (1,692,177 )
New Zealand Dollar (NZD)
  Put     136,420,000       0.740           1/17/12       1,886,689       (3,527,889 )     (1,641,200 )
43 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Written Options: Continued
                                                             
                                                        Unrealized  
            Number of     Exercise         Expiration     Premiums             Appreciation/  
Description   Type     Contracts     Price         Date     Received     Value     (Depreciation)  
 
New Zealand Dollar (NZD)
  Put     136,405,000     $ 0.753           1/13/12     $ 2,032,366$       (3,977,485 )   $ (1,945,119 )
New Zealand Dollar (NZD)
  Put     133,655,000       0.737           1/17/12       1,781,708       (3,233,973 )     (1,452,265 )
South Korean Won (KRW)
  Call     54,552,000,000       1,050.000           1/19/12       321,077       (112,923 )     208,154  
South Korean Won (KRW)
  Put     65,918,000,000       1,272.000           1/19/12       1,123,503       (1,266,944 )     (143,441 )
South Korean Won (KRW)
  Put     58,839,000,000       14.400     JPY     12/13/11       1,760,222       (4,244,196 )     (2,483,974 )
U.S. Treasury Nts. Futures, 10 yr.
  Put     4,404       121.000           10/24/11       819,672       (68,813 )     750,859  
U.S. Treasury Nts. Futures, 10 yr.
  Put     652       124.000           10/24/11       9,288       (10,188 )     (900 )
U.S. Treasury Nts. Futures, 10 yr.
  Put     2,717       124.500           11/28/11       463,235       (424,531 )     38,704  
                                         
 
                                      $ 32,922,842     $ (50,996,674 )   $ (18,073,832 )
                                         
Exercise price is reported in U.S. Dollars (USD), except for those denotedin the following currencies:
     
EUR
  Euro
 
   
JPY
  Japanese Yen
Credit Default Swap Contracts as of September 30, 2011 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)  
 
CDX Emerging Market
                                                       
Index, Series 16:
                                                       
Bank of America NA
  Buy   $ 30,605       5.0 %     12/20/16     $ 2,755,640     $ (2,388,146 )   $ 367,494  
Barclays Bank plc
  Buy     30,605       5.0       12/20/16       2,743,398       (2,388,146 )     355,252  
HSBC Bank USA NA
  Buy     61,180       5.0       12/20/16       4,911,395       (4,777,185 )     134,210  
                                   
 
  Total     122,390                       10,410,433       (9,553,477 )     856,956  
Federative Republic of Brazil:
                                                       
Barclays Bank plc
  Buy     30,790       1.0       9/20/16       (545,761 )     1,323,847       778,086  
Barclays Bank plc
  Sell     10,510       1.0       3/20/16       47,865       (410,264 )     (362,399 )
Credit Suisse International
  Sell     16,750       1.0       6/20/16       114,593       (687,270 )     (572,677 )
JPMorgan Chase Bank NA
  Buy     15,405       1.0       9/20/16       (272,372 )     662,353       389,981  
Merrill Lynch International
  Buy     15,390       1.0       9/20/16       (272,792 )     661,708       388,916  
                                   
 
  Total     88,845                       (928,467 )     1,550,374       621,907  
Istanbul Bond Co. SA for Finansbank AS
                                                       
Morgan Stanley Capital Services, Inc.
  Sell     10,410       1.3       3/24/13             (280,266 )     (280,266 )
 
  Total     10,410                             (280,266 )     (280,266 )
                                   
Japan:
                                                       
JPMorgan Chase Bank NA
  Sell     22,760       1.0       9/20/16       88,332       (161,677 )     (73,345 )
JPMorgan Chase Bank NA
  Sell     22,740       1.0       9/20/16       78,800       (161,535 )     (82,735 )
JPMorgan Chase Bank NA
  Sell     22,735       1.0       9/20/16       119,882       (161,499 )     (41,617 )
                                   
 
  Total     68,235                       287,014       (484,711 )     (197,697 )
44 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Credit Default Swap Contracts: Continued
                                                         
                    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)  
 
Republic of Hungary:
                                                       
Barclays Bank plc
  Sell   $ 9,030       1.0 %     3/20/16     $ 760,081     $ (1,394,148 )   $ (634,067 )
Barclays Bank plc
  Sell     18,565       1.0       6/20/16       1,497,143       (2,994,428 )     (1,497,285 )
Merrill Lynch Capital Services, Inc.
  Sell     15,020       1.0       3/20/16       1,309,655       (2,318,948 )     (1,009,293 )
                                   
 
  Total     42,615                       3,566,879       (6,707,524 )     (3,140,645 )
Russian Federation:
                                                       
Barclays Bank plc
  Buy     24,630       1.0       9/20/16       (984,924 )     2,144,460       1,159,536  
Citibank NA
  Buy     9,240       1.0       9/20/16       (529,759 )     804,499       274,740  
Credit Suisse International
  Buy     6,160       1.0       9/20/16       (353,173 )     536,333       183,160  
Credit Suisse International
  Buy     15,420       1.0       9/20/16       (768,312 )     1,342,573       574,261  
Goldman Sachs Bank USA
  Buy     30,790       1.0       9/20/16       (1,209,942 )     2,680,793       1,470,851  
HSBC Bank USA NA
  Buy     15,420       1.0       9/20/16       (761,336 )     1,342,573       581,237  
Merrill Lynch International
  Buy     15,390       1.0       9/20/16       (611,877 )     1,339,961       728,084  
UBS AG
  Buy     15,400       1.0       9/20/16       (896,809 )     1,340,832       444,023  
UBS AG
  Buy     21,565       1.0       9/20/16       (885,819 )     1,877,600       991,781  
                                   
 
  Total     154,015                       (7,001,951 )     13,409,624       6,407,673  
Ukraine:
                                                       
Citibank NA
  Buy     6,170       5.0       9/20/16       (11,601 )     774,218       762,617  
HSBC Bank USA NA
  Buy     12,315       5.0       9/20/16       (2,256 )     1,545,299       1,543,043  
UBS AG
  Buy     6,155       5.0       9/20/16       9,317       772,336       781,653  
UBS AG
  Buy     6,160       5.0       9/20/16       16,294       772,963       789,257  
                                   
 
  Total     30,800                       11,754       3,864,816       3,876,570  
United Mexican States:
                                                       
Goldman Sachs Bank USA
  Buy     15,390       1.0       9/20/16       (272,792 )     695,351       422,559  
Goldman Sachs Bank USA
  Buy     15,405       1.0       9/20/16       (272,372 )     696,029       423,657  
JPMorgan Chase Bank NA
  Buy     30,790       1.0       9/20/16       (553,092 )     1,391,154       838,062  
                                   
 
  Total     61,585                       (1,098,256 )     2,782,534       1,684,278  
                                     
            Grand Total Buys
    1,231,055       13,151,405       14,382,460  
            Grand Total Sells
    4,016,351       (8,570,035 )     (4,553,684 )
                                     
            Total Credit Default Swaps
  $ 5,247,406     $ 4,581,370     $ 9,828,776  
                                     
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
                         
Type of Reference   Total Maximum Potential                
Asset on which   Payments for Selling             Reference  
the Fund Sold   Credit Protection     Amount     Asset Rating  
Protection   (Undiscounted)     Recoverable*     Range**  
 
Investment Grade Single
                       
Name Corporate Debt
  $ 10,410,000     $     BBB-
Investment Grade Sovereign Debt
    138,110,000           AA- to BBB-
             
Total
  $ 148,520,000     $          
             
 
*   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.
45 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts as of September 30, 2011 are as follows:
                                   
Interest Rate/   Notional       Paid by   Received by     Termination      
Swap Counterparty   Amount (000’s)       the Fund   the Fund     Date   Value  
 
BZDI:
                                 
Citibank NA
    98,220   BRR   BZDI     11.540 %   1/2/14   $ 1,458,216  
Goldman Sachs International
    106,930   BRR   BZDI     11.390     1/5/15     1,320,922  
Goldman Sachs International
    136,790   BRR   BZDI     10.970     1/2/17     517,114  
Goldman Sachs International
    88,060   BRR   BZDI     11.520     1/2/14     1,287,940  
Goldman Sachs International
    99,940   BRR   BZDI     11.420     1/3/14     1,351,137  
JPMorgan Chase Bank NA
    56,300   BRR   BZDI     12.200     1/2/17     1,685,811  
Morgan Stanley Capital Services, Inc.
    242,460   BRR   BZDI     10.950     1/2/17     812,133  
 
                             
Total
    828,700   BRR                     8,433,273  
ICP Average Nominal Rate:
                                 
Bank of America NA
    41,360,000   CLP   ICP Average
Nominal Rate
    4.620     8/23/13     401,701  
Citibank NA
    16,960,000   CLP   ICP Average
Nominal Rate
    4.620     8/26/13     169,682  
Credit Suisse International
    9,165,000   CLP   ICP Average
Nominal Rate
    4.590     8/26/13     81,482  
Deutsche Bank AG
    16,620,000   CLP   ICP Average
Nominal Rate
    4.620     8/23/13     161,419  
 
                             
Total
    84,105,000   CLP                     814,284  
MXN TIIE BANXICO:
                                 
Barclays Bank plc
    829,100   MXN   MXN TIIE
BANXICO
    5.630     1/21/13     684,039  
Citibank NA
    829,200   MXN   MXN TIIE
BANXICO
    5.640     1/16/13     688,606  
Credit Suisse International
    135,500   MXN   MXN TIIE
BANXICO
    7.010     7/24/31     (616,903 )
Deutsche Bank AG
    1,731,500   MXN   MXN TIIE
BANXICO
    5.890     1/10/13     1,507,210  
Goldman Sachs International
    105,000   MXN   MXN TIIE
BANXICO
    7.000     7/24/31     (486,132 )
Goldman Sachs International
    2,141,500   MXN   MXN TIIE
BANXICO
    5.880     12/14/12     1,715,399  
Goldman Sachs International
    483,400   MXN   MXN TIIE
BANXICO
    5.080     9/23/13     175,222  
Merrill Lynch Capital Services, Inc.
    872,000   MXN   MXN TIIE
BANXICO
    5.875     12/6/12     696,672  
Merrill Lynch Capital Services, Inc.
    2,173,500   MXN   MXN TIIE
BANXICO
    5.735     11/29/12     1,528,516  
Merrill Lynch Capital Services, Inc.
    172,700   MXN   MXN TIIE
BANXICO
    6.990     7/24/31     (812,877 )
Merrill Lynch Capital Services, Inc.
    1,341,500   MXN   MXN TIIE
BANXICO
    5.750     12/5/12     955,696  
 
                             
Total
    10,814,900   MXN                     6,035,448  
46 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Interest Rate Swap Contracts: Continued
                                         
Interest Rate/   Notional         Paid by     Received by     Termination      
Swap Counterparty   Amount (000’s)         the Fund     the Fund     Date   Value  
 
Six-Month AUD BBR BBSW:
                                       
Westpac Banking Corp.
    124,370     AUD     5.540 %   Six-Month AUD BBR BBSW   8/3/21   $ (6,664,126 )
Six-Month EUR EURIBOR:
                                       
Bank of America NA
    22,755     EUR   Six-Month EUR EURIBOR     1.945 %   9/8/16     (52,801 )
Barclays Bank plc
    28,200     EUR   Six-Month EUR EURIBOR     3.260     8/29/31     2,283,436  
Goldman Sachs Capital Markets LP
    45,485     EUR   Six-Month EUR EURIBOR     1.883     9/13/16     (265,021 )
Goldman Sachs Capital Markets LP
    22,740     EUR   Six-Month EUR EURIBOR     2.990     8/11/21     1,241,483  
Goldman Sachs International
    27,600     EUR   Six-Month EUR EURIBOR     3.265     8/29/31     2,263,288  
Goldman Sachs International
    30,090     EUR   Six-Month EUR EURIBOR     2.585     9/27/41     (1,328,213 )
Goldman Sachs International
    29,250     EUR   Six-Month EUR EURIBOR     3.234     8/30/31     2,174,871  
Merrill Lynch International
    22,700     EUR   Six-Month EUR EURIBOR     2.710     8/22/21     447,394  
 
                                   
Total
    228,820     EUR                         6,764,437  
Six-Month PLZ WIBOR WIBO:
                                       
JPMorgan Chase Bank NA
    111,880     PLZ     4.575     Six-Month PLZ WIBOR WIBO   8/23/16     269,723  
JPMorgan Chase Bank NA
    111,880     PLZ     4.590     Six-Month PLZ WIBOR WIBO   8/23/16     247,496  
 
                                   
Total
    223,760     PLZ                         517,219  
Three-Month CAD BACDOR:
                                       
Merrill Lynch Capital Services, Inc.
    136,560     CAD     1.183     Three-Month CAD BACDOR   8/18/14     (177,444 )
JPMorgan Chase Bank NA
    181,770     CAD     1.320     Three-Month CAD BACDOR   8/8/14     (751,059 )
JPMorgan Chase Bank NA
    363,510     CAD     1.585     Three-Month CAD BACDOR   8/4/14     (1,659,767 )
 
                                   
Total
    681,840     CAD                         (2,588,270 )
Three-Month NZD BBR FRA
                                       
Barclays Bank plc
    157,105     NZD   Three-Month NZD BBR FRA     5.150     8/3/21     7,031,656  
Three-Month SEK STIBOR SIDE
                                       
Goldman Sachs International
    862,540     SEK     3.215     Three-Month SEK STIBOR SIDE   8/3/21     (7,905,847 )
Three-Month USD BBA LIBOR
                                       
Barclays Bank plc
    137,000         Three-Month USD BBA LIBOR     2.360     9/2/21     3,692,150  
Three-Month ZAR JIBAR SAFEX:
                                       
Barclays Bank plc
    438,580     ZAR     7.040     Three-Month ZAR JIBAR SAFEX   1/21/14     (1,670,729 )
47 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts: Continued
                                         
Interest Rate/   Notional         Paid by     Received by     Termination      
Swap Counterparty   Amount (000’s)         the Fund     the Fund     Date   Value  
 
Three-Month ZAR JIBAR SAFEX: Continued
                                       
Barclays Bank plc
    434,700     ZAR     7.050 %   Three-Month ZAR JIBAR SAFEX   1/24/14   $ (1,661,492 )
 
                                   
Total where Fund pays a fixed rate
    873,280     ZAR                         (3,332,221 )
Barclays Bank plc
    135,500     ZAR   Three-Month ZAR JIBAR SAFEX     7.480 %   8/17/21     (334,480 )
Barclays Bank plc
    171,750     ZAR   Three-Month ZAR JIBAR SAFEX     8.350     1/24/21     960,647  
Barclays Bank plc
    173,030     ZAR   Three-Month ZAR JIBAR SAFEX     8.310     1/21/21     915,434  
Goldman Sachs International
    1,383,820     ZAR   Three-Month ZAR JIBAR SAFEX     8.700     3/11/14     4,204,845  
Goldman Sachs International
    137,600     ZAR   Three-Month ZAR JIBAR SAFEX     7.480     8/17/21     (339,664 )
HSBC Bank USA NA
    135,500     ZAR   Three-Month ZAR JIBAR SAFEX     7.470     8/17/21     (334,480 )
JPMorgan Chase Bank NA
    1,392,320     ZAR   Three-Month ZAR JIBAR SAFEX     8.390     3/2/14     3,784,586  
 
                                   
Total where Fund pays a variable rate
    3,529,520     ZAR                         8,856,888  
 
                                   
Total
    4,402,800     ZAR                         5,524,667  
 
                                     
                        Total Interest Rate Swaps   $ 21,654,891  
 
                                     
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
     
AUD
  Australian Dollar
BRR
  Brazilian Real
CAD
  Canadian Dollar
CLP
  Chilean Peso
EUR
  Euro
MXN
  Mexican Nuevo Peso
NZD
  New Zealand Dollar
PLZ
  Polish Zloty
SEK
  Swedish Krona
ZAR
  South African Rand
48 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Interest Rate Swap Contracts: Continued
Abbreviations/Definitions are as follows:
     
BACDOR
  Canada Bankers Acceptances Deposit Offering Rate
BANXICO
  Banco de Mexico
BBA
  British Bankers’ Association
BBA LIBOR
  British Bankers’ Association London-Interbank Offered Rate
BBR
  Bank Bill Rate
BBR BBSW
  Bank Bill Swap Reference Rate (Australian Financial Market)
BZDI
  Brazil Interbank Deposit Rate
EURIBOR
  Euro Interbank Offered Rate
FRA
  Forward Rate Agreement
ICP
  Indice Camara Promedio
JIBAR
  South Africa Johannesburg Interbank Agreed Rate
LIBOR
  London Interbank Offered Rate
SAFEX
  South African Futures Exchange
STIBOR SIDE
  Stockholm Interbank Offered Rate
TIIE
  Interbank Equilibrium Interest Rate
WIBOR WIBO
  Poland Warsaw Interbank Offer Bid Rate
Total Return Swap Contracts as of September 30, 2011 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
    11,905   CHF   One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/11/12   $ (211,819 )
Citibank NA
    54,946   SEK   One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/11/12     (145,911 )
Citibank NA
    30,280   EUR   One-Month EUR EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/11/12     (2,640,260 )
Citibank NA
    22,806   GBP   One-Month GBP BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/11/12     (2,273,210 )
49 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Total Return Swap Contracts: Continued
                               
    Notional                      
Reference Entity/   Amount       Paid by   Received by   Termination      
Swap Counterparty   (000’s)       the Fund   the Fund   Date   Value  
 
Custom basket of securities: Continued
                             
Citibank NA
    22,783   DKK   One-Month DKK BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/11/12   $ (2,123 )
Citibank NA
    6,198,123   JPY   One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   4/16/12     (356,429 )
Morgan Stanley & Co. International Ltd.
    50,582   GBP   One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities   If positive, the Total Return of a custom basket of securities   1/1/12     (1,010,666 )
 
                           
 
                Reference Entity Total         (6,640,418 )
MSCI Daily TR Gross EAFE USD Index:
                             
Citibank NA
    10,997       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index   1/9/12     981,516  
Goldman Sachs International
    8,913       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   7/10/12     160,090  
Goldman Sachs International
    17,232       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   5/10/12     306,771  
50 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Total Return Swap Contracts: Continued
                               
    Notional                      
Reference Entity/   Amount       Paid by   Received by   Termination      
Swap Counterparty   (000’s)       the Fund   the Fund   Date   Value  
 
MSCI Daily TR Gross EAFE USD Index: Continued
                         
Goldman Sachs International
  $ 19,176       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR plus 28 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   9/7/12   $ 1,415,031  
Goldman Sachs International
    955       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   11/5/11     65,908  
Morgan Stanley & Co. International Ltd.
    11,882       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   10/7/11     832,557  
UBS AG
    18,866       If positive, the Total Return of the MSCI Daily Gross EAFE USD Index   One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index   10/7/11     1,787,376  
 
                           
 
                Reference Entity Total         5,549,249  
MSCI Daily TR Gross Europe Euro Index:
                             
Citibank NA
    4,214   EUR   If positive, the Total Return of the MSCI Daily Gross Europe Euro Index   One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index   1/6/12     50,345  
Goldman Sachs International
    55,387   EUR   If positive, the Total Return of the MSCI Daily Gross Europe Euro Index   One-Month EUR EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index   1/12/12     (483,175 )
51 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Total Return Swap Contracts: Continued
                                 
    Notional                        
Reference Entity/   Amount         Paid by   Received by   Termination      
Swap Counterparty   (000’s)         the Fund   the Fund   Date   Value  
 
MSCI Daily TR Gross Europe Euro Index: Continued
                           
Goldman Sachs International
    10,983     EUR   If positive, the Total Return of the MSCI Daily Gross Europe Euro Index   One-Month EUR EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index   1/12/12   $ (103,795 )
 
                             
                    Reference Entity Total     (536,625 )
MSCI Daily TR Net Brazil USD Index
                               
UBS AG
    13,964         One-Month USD BBA LIBOR plus 155 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Brazil USD Index   If positive, the Total Return of the MSCI Daily Net Brazil USD Index   9/7/12     (2,933,681 )
 
                             
MSCI Daily TR Net Emerging Markets Korea USD Index
                               
UBS AG
    13,638         One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Emerging Markets Korea USD Index   If positive, the Total Return of the MSCI Daily Net Emerging Markets Korea USD Index   9/7/12     (1,715,650 )
 
                             
MSCI Daily TR Net France USD Index:
                               
Goldman Sachs International
    13,702         One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index   If positive, the Total Return of the MSCI Daily Net France USD Index   7/6/12     (1,533,842 )
Goldman Sachs International
    1,444         One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index   If positive, the Total Return of the MSCI Daily Net France USD Index   7/6/12     (199,926 )
 
                             
Goldman Sachs International
    1,158         One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index   If positive, the Total Return of the MSCI Daily Net France USD Index   7/6/12     (146,720 )
 
                             
 
                  Reference Entity Total         (1,880,488 )
52 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Total Return Swap Contracts: Continued
                             
    Notional                    
Reference Entity/   Amount     Paid by   Received by   Termination      
Swap Counterparty   (000’s)     the Fund   the Fund   Date   Value  
 
MSCI Daily TR Net Italy USD Index
                           
Morgan Stanley & Co. International Ltd.
  $ 13,653     One-Month USD BBA LIBOR plus 29 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Italy USD Index   If positive, the Total Return of the MSCI Daily Net Italy USD Index   9/12/12   $ (1,440,213 )
MSCI Daily TR Net Spain USD Index
                           
Morgan Stanley & Co. International Ltd.
    13,624     One-Month USD BBA LIBOR minus 2 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index   If positive, the Total Return of the MSCI Daily Net Spain USD Index   9/12/12     (1,011,680 )
 
                         
               
Total of Total Return Swaps
  $ (10,609,506 )
 
                         
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
     
CHF
  Swiss Franc
DKK
  Danish Krone
EUR
  Euro
GBP
  British Pounds Sterling
JPY
  Japanese Yen
SEK
  Swedish Krona
Abbreviations are as follows:
     
BBA LIBOR
  British Bankers’ Association London-Interbank Offered Rate
EURIBOR
  Euro Interbank Offered Rate
MSCI EAFE
  Morgan Stanley Capital International Europe, Australia and Far East. A stock market index of foreign stocks from the perspective of a North American investor
STIBOR SIDE
  Stockholm Interbank Offered Rate
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 September 30, 2011 is as follows:
                       
        Notional          
    Swap Type from   Amount          
Swap Counterparty   Fund Perspective   (000’s)       Value  
Bank of America NA:
                     
 
  Credit Default Buy Protection   $ 30,605       $ (2,388,146 )
 
  Interest Rate     41,360,000   CLP     401,701  
 
  Interest Rate     22,755   EUR     (52,801 )
 
                   
 
                  (2,039,246 )
53 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Swap Summary: Continued
                       
        Notional          
    Swap Type from   Amount          
Swap Counterparty   Fund Perspective   (000’s)       Value  
Barclays Bank plc:
                     
 
  Credit Default Buy Protection   $ 86,025       $ 1,080,161  
 
  Credit Default Sell Protection     38,105         (4,798,840 )
 
  Interest Rate     28,200   EUR     2,283,436  
 
  Interest Rate     829,100   MXN     684,039  
 
  Interest Rate     157,105   NZD     7,031,656  
 
  Interest Rate     137,000         3,692,150  
 
  Interest Rate     1,353,560   ZAR     (1,790,620 )
 
                   
 
                  8,181,982  
Citibank NA:
                     
 
  Credit Default Buy Protection     15,410         1,578,717  
 
  Interest Rate     98,220   BRR     1,458,216  
 
  Interest Rate     16,960,000   CLP     169,682  
 
  Interest Rate     829,200   MXN     688,606  
 
  Total Return     11,905   CHF     (211,819 )
 
  Total Return     22,783   DKK     (2,123 )
 
  Total Return     34,494   EUR     (2,589,915 )
 
  Total Return     22,806   GBP     (2,273,210 )
 
  Total Return     6,198,123   JPY     (356,429 )
 
  Total Return     54,946   SEK     (145,911 )
 
  Total Return     10,997         981,516  
 
                   
 
                  (702,670 )
Credit Suisse International:
                     
 
  Credit Default Buy Protection     21,580         1,878,906  
 
  Credit Default Sell Protection     16,750         (687,270 )
 
  Interest Rate     9,165,000   CLP     81,482  
 
  Interest Rate     135,500   MXN     (616,903 )
 
                   
 
                  656,215  
Deutsche Bank AG:
                     
 
  Interest Rate     16,620,000   CLP     161,419  
 
  Interest Rate     1,731,500   MXN     1,507,210  
 
                   
 
                  1,668,629  
Goldman Sachs Bank USA
  Credit Default Buy Protection     61,585         4,072,173  
Goldman Sachs Capital Markets LP
  Interest Rate     68,225   EUR     976,462  
Goldman Sachs International:
                     
 
  Interest Rate     431,720   BRR     4,477,113  
 
  Interest Rate     86,940   EUR     3,109,946  
 
  Interest Rate     2,729,900   MXN     1,404,489  
 
  Interest Rate     862,540   SEK     (7,905,847 )
 
  Interest Rate     1,521,420   ZAR     3,865,181  
 
  Total Return     66,370   EUR     (586,970 )
 
  Total Return     62,580         67,312  
 
                   
 
                  4,431,224  
HSBC Bank USA NA:
                     
 
  Credit Default Buy Protection     88,915         (1,889,313 )
 
  Interest Rate     135,500   ZAR     (334,480 )
 
                   
 
                  (2,223,793 )
54 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Swap Summary: Continued
                         
        Notional            
    Swap Type from   Amount            
Swap Counterparty   Fund Perspective   (000’s)         Value  
JPMorgan Chase Bank NA:
                       
 
  Credit Default Buy Protection   $ 46,195         $ 2,053,507  
 
  Credit Default Sell Protection     68,235           (484,711 )
 
  Interest Rate     56,300     BRR     1,685,811  
 
  Interest Rate     363,510     CAD     (2,410,826 )
 
  Interest Rate     223,760     PLZ     517,219  
 
  Interest Rate     1,392,320     ZAR     3,784,586  
 
                     
 
                    5,145,586  
Merrill Lynch Capital Services, Inc.:
                       
 
  Credit Default Sell Protection     15,020           (2,318,948 )
 
  Interest Rate     136,560     CAD     (177,444 )
 
  Interest Rate     4,559,700     MXN     2,368,007  
 
                     
 
                    (128,385 )
Merrill Lynch International:
                       
 
  Credit Default Buy Protection     30,780           2,001,669  
 
  Interest Rate     22,700     EUR     447,394  
 
                     
 
                    2,449,063  
Morgan Stanley & Co. International Ltd.:
                       
 
  Total Return     50,582     GBP     (1,010,666 )
 
  Total Return     39,159           (1,619,336 )
 
                     
 
                    (2,630,002 )
Morgan Stanley Capital Services, Inc.:
                       
 
  Credit Default Sell Protection     10,410           (280,266 )
 
  Interest Rate     242,460     BRR     812,133  
 
                     
 
                    531,867  
UBS AG:
                       
 
  Credit Default Buy Protection     49,280           4,763,731  
 
  Total Return     46,468           (2,861,955 )
 
                     
 
                    1,901,776  
Westpac Banking Corp.
  Interest Rate     124,370     AUD     (6,664,126 )
 
                     
 
      Total   Swaps   $ 15,626,755  
 
                     
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currencies:
     
AUD
  Australian Dollar
BRR
  Brazilian Real
CAD
  Canadian Dollar
CHF
  Swiss Franc
CLP
  Chilean Peso
DKK
  Danish Krone
EUR
  Euro
GBP   British Pounds Sterling
JPY   Japanese Yen
MXN   Mexican Nuevo Peso
NZD   New Zealand Dollar
PLZ   Polish Zloty
SEK   Swedish Krona
ZAR   South African Rand
As of September 30, 2011, the Fund had entered into the following written swaption contract:
                                                 
    Underlying   Notional     Strike                          
Reference   Swap Type from   Amount     Price/     Expiration   Premium             Unrealized  
Entity   Fund Perspective   (000’s)     Rate     Date   Received     Value     Depreciation  
Goldman Sachs Group, Inc. (The), European Swaption, Fund Pays Fixed, Termination Date 11/29/23
  Interest Rate
Pay Fixed
  $ 901,220       2.44 %   11/25/11   $ 11,094,018     $ (24,133,449 )   $ 13,039,431  
See accompanying Notes to Financial Statements.
55 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF ASSETS AND LIABILITIES September 30, 2011
         
Assets
       
Investments, at value—see accompanying statement of investments:
       
Unaffiliated companies (cost $12,728,004,341)
  $ 12,411,896,297  
Affiliated companies (cost $236,989,845)
    236,989,845  
 
     
 
    12,648,886,142  
Cash
    15,689,906  
Cash—foreign currencies (cost $4,947,636)
    4,799,384  
Unrealized appreciation on foreign currency exchange contracts
    302,952,286  
Appreciated swaps, at value (net upfront payments paid $9,179,378)
    75,020,402  
Receivables and other assets:
       
Investments sold (including $83,966,404 sold on a when-issued or delayed delivery basis)
    285,079,926  
Interest, dividends and principal paydowns
    157,887,414  
Closed foreign currency contracts
    63,611,477  
Shares of beneficial interest sold
    20,545,433  
Futures margins
    1,972,978  
Other
    214,133  
 
     
Total assets
    13,576,659,481  
 
       
Liabilities
       
Appreciated options written, at value (premiums received $9,784,364)
    3,932,420  
Depreciated options written, at value (premiums received $23,138,478)
    47,064,254  
Depreciated swaptions written, at value (premiums received $11,094,018)
    24,133,449  
Unrealized depreciation on foreign currency exchange contracts
    211,772,766  
Appreciated swaps, at value (upfront payments received $10,410,433)
    9,553,477  
Depreciated swaps, at value (upfront payments received $4,016,351)
    49,840,170  
Payables and other liabilities:
       
Closed foreign currency contracts
    228,697,025  
Investments purchased (including $20,907,116 purchased on a when-issued or delayed delivery basis)
    221,055,701  
Shares of beneficial interest redeemed
    28,505,815  
Dividends
    3,760,503  
Transfer and shareholder servicing agent fees
    2,136,382  
Futures margins
    2,022,798  
Distribution and service plan fees
    1,662,079  
Shareholder communications
    814,770  
Foreign capital gains tax
    224,828  
Trustees’ compensation
    128,404  
Other
    1,635,761  
 
     
Total liabilities
    836,940,602  
 
       
Net Assets
  $ 12,739,718,879  
 
     
56 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

         
Composition of Net Assets
       
Par value of shares of beneficial interest
  $ 2,025,588  
Additional paid-in capital
    12,757,520,806  
Accumulated net investment income
    229,213,339  
Accumulated net realized loss on investments and foreign currency transactions
    (1,804,111 )
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies
    (247,236,743 )
 
     
Net Assets
  $ 12,739,718,879  
 
     
 
       
Net Asset Value Per Share
       
Class A Shares:
       
Net asset value and redemption price per share (based on net assets of $6,382,275,913 and 1,014,035,163 shares of beneficial interest outstanding)
  $ 6.29  
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price)
  $ 6.60  
Class B Shares:
       
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $226,660,074 and 36,147,011 shares of beneficial interest outstanding)
  $ 6.27  
Class C Shares:
       
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,724,712,205 and 275,014,900 shares of beneficial interest outstanding)
  $ 6.27  
Class N Shares:
       
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $322,069,731 and 51,317,824 shares of beneficial interest outstanding)
  $ 6.28  
Class Y Shares:
       
Net asset value, redemption price and offering price per share (based on net assets of $4,084,000,956 and 649,072,691 shares of beneficial interest outstanding)
  $ 6.29  
See accompanying Notes to Financial Statements.
57 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENT OF OPERATIONS For the Year Ended September 30, 2011
         
Investment Income
       
Interest (net of foreign withholding taxes of $1,364,855)
  $ 635,787,943  
Dividends:
       
Unaffiliated companies
    951  
Affiliated companies
    530,839  
Other income
    25,972  
 
     
Total investment income
    636,345,705  
 
       
Expenses
       
Management fees
    66,886,992  
Distribution and service plan fees:
       
Class A
    16,836,809  
Class B
    2,576,524  
Class C
    18,922,413  
Class N
    1,628,956  
Transfer and shareholder servicing agent fees:
       
Class A
    13,832,497  
Class B
    751,989  
Class C
    2,710,490  
Class N
    1,322,297  
Class Y
    7,818,466  
Shareholder communications:
       
Class A
    748,507  
Class B
    62,995  
Class C
    188,284  
Class N
    21,257  
Class Y
    415,816  
Custodian fees and expenses
    2,621,995  
Trustees’ compensation
    241,931  
Administration service fees
    1,500  
Other
    569,353  
 
     
Total expenses
    138,159,071  
Less waivers and reimbursements of expenses
    (1,054,854 )
 
     
Net expenses
    137,104,217  
 
       
Net Investment Income
    499,241,488  
58 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

         
Realized and Unrealized Gain (Loss)
       
Net realized gain (loss) on:
       
Investments from unaffiliated companies (including premiums on options exercised)
  $ 109,848,921  
Closing and expiration of option contracts written
    26,152,372  
Closing and expiration of futures contracts
    (169,308,627 )
Foreign currency transactions
    440,474,188  
Swap contracts
    21,920,232  
 
     
Net realized gain
    429,087,086  
Net change in unrealized appreciation/depreciation on:
       
Investments
    (458,581,485 )
Translation of assets and liabilities denominated in foreign currencies
    (825,054,847 )
Futures contracts
    1,182,380  
Option contracts written
    (26,517,002 )
Swaption contracts written
    (13,039,431 )
Swap contracts
    (7,553,167 )
 
     
Net change in unrealized appreciation/depreciation
    (1,329,563,552 )
 
       
Net Decrease in Net Assets Resulting from Operations
  $ (401,234,978 )
 
     
See accompanying Notes to Financial Statements.
59 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

STATEMENTS OF CHANGES IN NET ASSETS
                 
Year Ended September 30,   2011     2010  
 
Operations
               
Net investment income
  $ 499,241,488     $ 500,647,351  
Net realized gain
    429,087,086       98,041,754  
Net change in unrealized appreciation/depreciation
    (1,329,563,552 )     482,610,389  
     
Net increase (decrease) in net assets resulting from operations
    (401,234,978 )     1,081,299,494  
 
               
Dividends and/or Distributions to Shareholders
               
Dividends from net investment income:
               
Class A
    (273,559,292 )     (296,432,756 )
Class B
    (7,831,778 )     (8,864,193 )
Class C
    (60,588,582 )     (65,570,834 )
Class N
    (11,364,173 )     (10,206,685 )
Class Y
    (159,472,734 )     (119,575,884 )
     
 
    (512,816,559 )     (500,650,352 )
 
               
Distributions from net realized gain:
               
Class A
    (67,640,498 )     (55,884,772 )
Class B
    (2,573,295 )     (2,086,033 )
Class C
    (18,386,099 )     (14,369,469 )
Class N
    (2,982,092 )     (1,990,184 )
Class Y
    (33,433,111 )     (15,689,901 )
     
 
    (125,015,095 )     (90,020,359 )
 
               
Beneficial Interest Transactions
               
Net increase (decrease) in net assets resulting from beneficial interest transactions:
               
Class A
    (481,762,050 )     (110,452,426 )
Class B
    (39,838,753 )     (8,501,080 )
Class C
    (158,114,001 )     146,052,684  
Class N
    37,467,579       41,033,889  
Class Y
    1,000,192,004       1,347,593,402  
     
 
    357,944,779       1,415,726,469  
 
               
Net Assets
               
Total increase (decrease)
    (681,121,853 )     1,906,355,252  
Beginning of period
    13,420,840,732       11,514,485,480  
     
 
               
End of period (including accumulated net investment income of $229,213,339 and $117,756,497, respectively)
  $ 12,739,718,879     $ 13,420,840,732  
     
See accompanying Notes to Financial Statements.
60 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FINANCIAL HIGHLIGHTS
                                         
Class A Year Ended September 30,   2011     2010     2009     2008     2007  
 
Per Share Operating Data
                                       
Net asset value, beginning of period
  $ 6.80     $ 6.54     $ 5.96     $ 6.41     $ 5.80  
 
Income (loss) from investment operations:
                                       
Net investment income1
    .25       .26       .22       .26       .24  
Net realized and unrealized gain (loss)
    (.44 )     .31       .74       (.23 )     .62  
     
Total from investment operations
    (.19 )     .57       .96       .03       .86  
 
Dividends and/or distributions to shareholders:
                                       
Dividends from net investment income
    (.26 )     (.26 )     (.33 )     (.45 )     (.24 )
Distributions from net realized gain
    (.06 )     (.05 )     (.05 )     (.03 )     (.01 )
     
Total dividends and/or distributions to shareholders
    (.32 )     (.31 )     (.38 )     (.48 )     (.25 )
 
Net asset value, end of period
  $ 6.29     $ 6.80     $ 6.54     $ 5.96     $ 6.41  
     
 
                                       
Total Return, at Net Asset Value2
    (2.88 )%     9.04 %     16.83 %     (0.01 )%     15.18 %
 
                                       
Ratios/Supplemental Data
                                       
Net assets, end of period (in thousands)
  $ 6,382,276     $ 7,406,875     $ 7,268,308     $ 8,241,801     $ 6,300,320  
 
Average net assets (in thousands)
  $ 7,004,799     $ 7,345,330     $ 6,632,191     $ 8,331,255     $ 4,988,412  
 
Ratios to average net assets:3
                                       
Net investment income
    3.80 %     4.04 %     3.77 %     4.02 %     3.97 %
Total expenses4
    0.98 %     0.98 %     0.99 %     0.92 %     0.94 %
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
    0.98 %     0.98 %     0.98 %     0.91 %     0.93 %
 
Portfolio turnover rate
    80 %     146 %     112 %     105 %     68 %
 
1.   Per share amounts calculated based on the average shares outstanding during the period.
 
2.   Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
 
3.   Annualized for periods less than one full year.
 
4.   Total expenses including indirect expenses from affiliated fund were as follows:
         
Year Ended September 30, 2011
    0.98 %
Year Ended September 30, 2010
    0.98 %
Year Ended September 30, 2009
    1.00 %
Year Ended September 30, 2008
    0.93 %
Year Ended September 30, 2007
    0.95 %
See accompanying Notes to Financial Statements.
61 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

FINANCIAL HIGHLIGHTS Continued
                                         
Class B Year Ended September 30,   2011     2010     2009     2008     2007  
 
Per Share Operating Data
                                       
Net asset value, beginning of period
  $ 6.78     $ 6.52     $ 5.94     $ 6.39     $ 5.78  
 
Income (loss) from investment operations:
                                       
Net investment income1
    .19       .20       .17       .21       .19  
Net realized and unrealized gain (loss)
    (.44 )     .31       .74       (.24 )     .62  
     
Total from investment operations
    (.25 )     .51       .91       (.03 )     .81  
 
Dividends and/or distributions to shareholders:
                                       
Dividends from net investment income
    (.20 )     (.20 )     (.28 )     (.39 )     (.19 )
Distributions from net realized gain
    (.06 )     (.05 )     (.05 )     (.03 )     (.01 )
     
Total dividends and/or distributions to shareholders
    (.26 )     (.25 )     (.33 )     (.42 )     (.20 )
 
Net asset value, end of period
  $ 6.27     $ 6.78     $ 6.52     $ 5.94     $ 6.39  
     
 
                                       
Total Return, at Net Asset Value2
    (3.74 )%     8.13 %     15.87 %     (0.84 )%     14.26 %
 
                                       
Ratios/Supplemental Data
                                       
Net assets, end of period (in thousands)
  $ 226,660     $ 286,029     $ 284,424     $ 314,676     $ 259,285  
 
Average net assets (in thousands)
  $ 257,491     $ 279,115     $ 269,970     $ 311,097     $ 240,238  
 
Ratios to average net assets:3
                                       
Net investment income
    2.93 %     3.18 %     2.89 %     3.19 %     3.12 %
Total expenses4
    1.84 %     1.85 %     1.86 %     1.74 %     1.79 %
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
    1.84 %     1.85 %     1.85 %     1.73 %     1.78 %
 
Portfolio turnover rate
    80 %     146 %     112 %     105 %     68 %
 
1.   Per share amounts calculated based on the average shares outstanding during the period.
 
2.   Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
 
3.   Annualized for periods less than one full year.
 
4.   Total expenses including indirect expenses from affiliated fund were as follows:
         
Year Ended September 30, 2011
    1.84 %
Year Ended September 30, 2010
    1.85 %
Year Ended September 30, 2009
    1.87 %
Year Ended September 30, 2008
    1.75 %
Year Ended September 30, 2007
    1.80 %
See accompanying Notes to Financial Statements.
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Class C Year Ended September 30,   2011     2010     2009     2008     2007  
 
Per Share Operating Data
                                       
Net asset value, beginning of period
  $ 6.78     $ 6.52     $ 5.94     $ 6.39     $ 5.78  
 
Income (loss) from investment operations:
                                       
Net investment income1
    .21       .21       .18       .21       .20  
Net realized and unrealized gain (loss)
    (.45 )     .31       .74       (.23 )     .62  
     
Total from investment operations
    (.24 )     .52       .92       (.02 )     .82  
 
Dividends and/or distributions to shareholders:
                                       
Dividends from net investment income
    (.21 )     (.21 )     (.29 )     (.40 )     (.20 )
Distributions from net realized gain
    (.06 )     (.05 )     (.05 )     (.03 )     (.01 )
     
Total dividends and/or distributions to shareholders
    (.27 )     (.26 )     (.34 )     (.43 )     (.21 )
 
Net asset value, end of period
  $ 6.27     $ 6.78     $ 6.52     $ 5.94     $ 6.39  
     
 
                                       
Total Return, at Net Asset Value2
    (3.58 )%     8.29 %     16.04 %     (0.74 )%     14.39 %
 
                                       
Ratios/Supplemental Data
                                       
Net assets, end of period (in thousands)
  $ 1,724,712     $ 2,029,424     $ 1,812,805     $ 1,835,312     $ 1,357,937  
 
Average net assets (in thousands)
  $ 1,891,414     $ 1,965,153     $ 1,594,278     $ 1,833,929     $ 1,078,601  
 
Ratios to average net assets:3
                                       
Net investment income
    3.10 %     3.34 %     3.05 %     3.29 %     3.24 %
Total expenses4
    1.68 %     1.69 %     1.71 %     1.64 %     1.67 %
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
    1.68 %     1.69 %     1.70 %     1.63 %     1.66 %
 
Portfolio turnover rate
    80 %     146 %     112 %     105 %     68 %
 
1.   Per share amounts calculated based on the average shares outstanding during the period.
 
2.   Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
 
3.   Annualized for periods less than one full year.
 
4.   Total expenses including indirect expenses from affiliated fund were as follows:
         
Year Ended September 30, 2011
    1.68 %
Year Ended September 30, 2010
    1.69 %
Year Ended September 30, 2009
    1.72 %
Year Ended September 30, 2008
    1.65 %
Year Ended September 30, 2007
    1.68 %
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS Continued
                                         
Class N Year Ended September 30,   2011     2010     2009     2008     2007  
 
Per Share Operating Data
                                       
Net asset value, beginning of period
  $ 6.79     $ 6.52     $ 5.95     $ 6.40     $ 5.79  
 
Income (loss) from investment operations:
                                       
Net investment income1
    .22       .23       .20       .23       .22  
Net realized and unrealized gain (loss)
    (.44 )     .32       .72       (.23 )     .61  
     
Total from investment operations
    (.22 )     .55       .92             .83  
 
Dividends and/or distributions to shareholders:
                                       
Dividends from net investment income
    (.23 )     (.23 )     (.30 )     (.42 )     (.21 )
Distributions from net realized gain
    (.06 )     (.05 )     (.05 )     (.03 )     (.01 )
     
Total dividends and/or distributions to shareholders
    (.29 )     (.28 )     (.35 )     (.45 )     (.22 )
 
Net asset value, end of period
  $ 6.28     $ 6.79     $ 6.52     $ 5.95     $ 6.40  
     
 
                                       
Total Return, at Net Asset Value2
    (3.28 )%     8.80 %     16.23 %     (0.44 )%     14.71 %
 
                                       
Ratios/Supplemental Data
                                       
Net assets, end of period (in thousands)
  $ 322,070     $ 310,338     $ 258,219     $ 258,223     $ 153,181  
 
Average net assets (in thousands)
  $ 325,834     $ 279,336     $ 233,767     $ 223,531     $ 112,319  
 
Ratios to average net assets:3
                                       
Net investment income
    3.39 %     3.65 %     3.37 %     3.59 %     3.56 %
Total expenses4
    1.44 %     1.65 %     1.68 %     1.49 %     1.61 %
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
    1.38 %     1.38 %     1.38 %     1.34 %     1.37 %
 
Portfolio turnover rate
    80 %     146 %     112 %     105 %     68 %
 
1.   Per share amounts calculated based on the average shares outstanding during the period.
 
2.   Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
 
3.   Annualized for periods less than one full year.
 
4.   Total expenses including indirect expenses from affiliated fund were as follows:
         
Year Ended September 30, 2011
    1.44 %
Year Ended September 30, 2010
    1.65 %
Year Ended September 30, 2009
    1.69 %
Year Ended September 30, 2008
    1.50 %
Year Ended September 30, 2007
    1.62 %
See accompanying Notes to Financial Statements.
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Class Y Year Ended September 30,   2011     2010     2009     2008     2007  
 
Per Share Operating Data
                                       
Net asset value, beginning of period
  $ 6.80     $ 6.54     $ 5.96     $ 6.41     $ 5.80  
 
Income (loss) from investment operations:
                                       
Net investment income1
    .27       .28       .25       .28       .27  
Net realized and unrealized gain (loss)
    (.44 )     .31       .73       (.23 )     .62  
     
Total from investment operations
    (.17 )     .59       .98       .05       .89  
 
Dividends and/or distributions to shareholders:
                                       
Dividends from net investment income
    (.28 )     (.28 )     (.35 )     (.47 )     (.27 )
Distributions from net realized gain
    (.06 )     (.05 )     (.05 )     (.03 )     (.01 )
     
Total dividends and/or distributions to shareholders
    (.34 )     (.33 )     (.40 )     (.50 )     (.28 )
 
Net asset value, end of period
  $ 6.29     $ 6.80     $ 6.54     $ 5.96     $ 6.41  
     
 
                                       
Total Return, at Net Asset Value2
    (2.64 )%     9.38 %     17.26 %     0.38 %     15.63 %
 
                                       
Ratios/Supplemental Data
                                       
Net assets, end of period (in thousands)
  $ 4,084,001     $ 3,388,175     $ 1,890,729     $ 1,372,959     $ 454,240  
 
Average net assets (in thousands)
  $ 3,861,749     $ 2,732,256     $ 1,317,017     $ 932,774     $ 299,298  
 
Ratios to average net assets:3
                                       
Net investment income
    4.04 %     4.38 %     4.16 %     4.39 %     4.38 %
Total expenses4
    0.74 %     0.67 %     0.62 %     0.55 %     0.55 %
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
    0.73 %     0.67 %     0.61 %     0.54 %     0.54 %
 
Portfolio turnover rate
    80 %     146 %     112 %     105 %     68 %
 
1.   Per share amounts calculated based on the average shares outstanding during the period.
 
2.   Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
 
3.   Annualized for periods less than one full year.
 
4.   Total expenses including indirect expenses from affiliated fund were as follows:
         
Year Ended September 30, 2011
    0.74 %
Year Ended September 30, 2010
    0.67 %
Year Ended September 30, 2009
    0.63 %
Year Ended September 30, 2008
    0.56 %
Year Ended September 30, 2007
    0.56 %
See accompanying Notes to Financial Statements.
65 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
Oppenheimer International Bond Fund (the “Fund”) is a registered investment company organized as a Massachusetts Business Trust. The Fund is registered as a non-diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund’s primary objective is to seek total return. As a secondary objective, the Fund seeks income when consistent with total return. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
     The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N shares have separate distribution and/or service plans under which they pay fees. Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
     The following is a summary of significant accounting policies consistently followed by the Fund.
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,” observable market inputs other than unadjusted quoted prices 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®
66 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

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.
     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 current price quotation obtained from an independent pricing service or broker-dealer, 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,
67 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
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. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

As of September 30, 2011, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
         
    When-Issued or  
    Delayed Delivery  
    Basis Transactions  
 
Purchased securities
  $ 20,907,116  
Sold securities
    83,966,404  
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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 that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2011 is as follows:
         
Cost
  $ 58,600,450  
Market Value
  $ 6,732,867  
Market Value as a % of Net Assets
    0.05 %
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.
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NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
                         
                    Net Unrealized  
                    Depreciation  
                    Based on Cost of  
                    Securities and  
Undistributed   Undistributed     Accumulated     Other Investments  
Net Investment   Long-Term     Loss     for Federal Income  
Income   Gain     Carryforward1,2,3,4     Tax Purposes  
 
$373,165,208
  $     $ 6,746,652     $ 382,735,982  
 
1.   As of September 30, 2011, the Fund had $6,741,190 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2020.
 
2.   The Fund had $5,462 of straddle losses which were deferred.
 
3.   During the fiscal year ended September 30, 2011, the Fund did not utilize any capital loss carryforward.
 
4.   During the fiscal year ended September 30, 2010, the Fund did not utilize any capital loss carryforward.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
Accordingly, the following amounts have been reclassified for September 30, 2011. Net assets of the Fund were unaffected by the reclassifications.
                 
    Reduction to     Reduction to  
    Accumulated     Accumulated Net  
Increase to   Net Investment     Realized Gain  
Paid-in Capital   Loss     on Investments  
 
$988
  $ 360,544,907     $ 360,545,895  
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The tax character of distributions paid during the years ended September 30, 2011 and September 30, 2010 was as follows:
                 
    Year Ended     Year Ended  
    September 30,     September 30,  
    2011     2010  
 
Distributions paid from:
               
Ordinary income
  $ 512,816,559     $ 590,670,711  
Long-term capital gain
    125,015,095        
     
Total
  $ 637,831,564     $ 590,670,711  
     
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2011 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
         
Federal tax cost of securities
  $ 12,966,192,342  
Federal tax cost of other investments
    (4,014,162,225 )
 
     
Total federal tax cost
  $ 8,952,030,117  
 
     
 
       
Gross unrealized appreciation
  $ 422,230,462  
Gross unrealized depreciation
    (804,966,444 )
 
     
Net unrealized depreciation
  $ (382,735,982 )
 
     
Certain foreign countries impose a tax on capital gains which is accrued by the Fund based on unrealized appreciation, if any, on affected securities. The tax is paid when the gain is realized.
     The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Although the Act provides a number of benefits, including the unlimited carryover of future capital losses, there may be a greater likelihood that all or a portion of a fund’s prior year capital loss carryovers will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending 2012. Specific information regarding the impact of the Act on the Fund will be contained within the “Federal Taxes” section of the financial statement notes for the fiscal year ending 2012.
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets
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NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
                                 
    Year Ended September 30, 2011     Year Ended September 30, 2010  
    Shares     Amount     Shares     Amount  
 
Class A
                               
Sold
    273,364,245     $ 1,819,236,327       413,552,195     $ 2,683,284,275  
Dividends and/or distributions reinvested
    44,438,120       293,359,356       44,899,820       288,851,058  
Redeemed
    (392,346,555 )     (2,594,357,733 )     (481,006,084 )     (3,082,587,759 )
     
Net decrease
    (74,544,190 )   $ (481,762,050 )     (22,554,069 )   $ (110,452,426 )
     
 
                               
Class B
                               
Sold
    6,672,499     $ 44,337,990       12,119,738     $ 78,314,631  
Dividends and/or distributions reinvested
    1,261,350       8,289,774       1,328,034       8,511,119  
Redeemed
    (13,978,048 )     (92,466,517 )     (14,895,865 )     (95,326,830 )
     
Net decrease
    (6,044,199 )   $ (39,838,753 )     (1,448,093 )   $ (8,501,080 )
     
 
                               
Class C
                               
Sold
    44,047,956     $ 292,656,415       92,547,734     $ 599,983,342  
Dividends and/or distributions reinvested
    8,546,898       56,182,612       8,559,194       54,852,181  
Redeemed
    (76,899,754 )     (506,953,028 )     (79,888,240 )     (508,782,839 )
     
Net increase (decrease)
    (24,304,900 )   $ (158,114,001 )     21,218,688     $ 146,052,684  
     
 
                               
Class N
                               
Sold
    18,942,054     $ 125,803,560       22,530,911     $ 145,064,683  
Dividends and/or distributions reinvested
    2,020,338       13,294,335       1,750,642       11,237,134  
Redeemed
    (15,382,930 )     (101,630,316 )     (18,125,733 )     (115,267,928 )
     
Net increase
    5,579,462     $ 37,467,579       6,155,820     $ 41,033,889  
     
 
                               
Class Y
                               
Sold
    296,157,714     $ 1,962,914,197       353,980,672     $ 2,279,546,391  
Dividends and/or distributions reinvested
    23,570,728       155,676,226       17,207,750       110,715,751  
Redeemed
    (168,760,932 )     (1,118,398,419 )     (162,208,516 )     (1,042,668,740 )
     
Net increase
    150,967,510     $ 1,000,192,004       208,979,906     $ 1,347,593,402  
     
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the year ended September 30, 2011, were as follows:
                 
    Purchases     Sales  
 
Investment securities
  $ 9,352,137,456     $ 10,404,131,402  
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NOTES TO FINANCIAL STATEMENTS Continued
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
                 
Fee Schedule                
 
Up to $200 million
            0.75 %
Next $200 million
            0.72  
Next $200 million
            0.69  
Next $200 million
            0.66  
Next $200 million
            0.60  
Next $4 billion
            0.50  
Next $10 billion
            0.48  
Over $15 billion
            0.45  
Administration Service Fees. The Fund pays the Manager a fee of $1,500 per year for preparing and filing the Fund’s tax returns.
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the year ended September 30, 2011, the Fund paid $25,397,509 to OFS for services to the Fund.
     Additionally, Class Y shares are subject to minimum fees of $10,000 annually for assets of $10 million or more. The Class Y shares are subject to the minimum fees in the event that the per account fee does not equal or exceed the applicable minimum fees. OFS may voluntarily waive the minimum fees.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the
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Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations. The Distributor determines its uncompensated expenses under the Plans at calendar quarter ends. The Distributor’s aggregate uncompensated expenses under the Plans at September 30, 2011 were as follows:
         
Class B
  $ 6,793,558  
Class C
    34,259,062  
Class N
    6,066,697  
Sales Charges. Front-end sales charges and contingent deferred sales charges (“CDSC”) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
                                         
            Class A     Class B     Class C     Class N  
    Class A     Contingent     Contingent     Contingent     Contingent  
    Front-End     Deferred     Deferred     Deferred     Deferred  
    Sales Charges     Sales Charges     Sales Charges     Sales Charges     Sales Charges  
    Retained by     Retained by     Retained by     Retained by     Retained by  
Year Ended   Distributor     Distributor     Distributor     Distributor     Distributor  
 
September 30, 2011
  $ 1,054,829     $ 162,465     $ 581,593     $ 190,828     $ 8,931  
Waivers and Reimbursements of Expenses. 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. During the year ended September 30, 2011, the Manager waived fees and/or reimbursed the Fund $297,450 for IMMF management fees.
     OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
During the year ended September 30, 2011, OFS waived transfer and shareholder servicing agent fees as follows:
         
Class N
  $ 193,659  
Class Y
    563,745  
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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NOTES TO FINANCIAL STATEMENTS Continued
5. 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 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.
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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 September 30, 2011, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $474,064,356, 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 $101,430,204 as of September 30, 2011. 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.
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NOTES TO FINANCIAL STATEMENTS Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
     As of September 30, 2011 the Fund has required certain counterparties to post collateral of $46,367,455.
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.
     As of September 30, 2011, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $141,222,517, for which the Fund has posted collateral of $130,535,226. If a contingent feature would have been triggered as of September 30, 2011, 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; securities posted as collateral, if any, are reported on the Statement of Investments.
Valuations of derivative instruments as of September 30, 2011 are as follows:
                         
    Asset Derivatives   Liability Derivatives
    Statement of           Statement of    
Derivatives   Assets and           Assets and    
Not Accounted for as   Liabilities           Liabilities    
Hedging Instruments   Location   Value     Location   Value    
 
Credit contracts
  Appreciated swaps,
at value
  $ 22,704,882     Depreciated swaps,
at value
  $ 8,570,035  
Credit contracts
              Appreciated swaps,
at value
    9,553,477  
Equity contracts
  Appreciated swaps,
at value
    5,599,594     Depreciated swaps,
at value
    16,209,100  
Interest rate contracts
  Appreciated swaps,
at value
    46,715,926     Depreciated swaps,
at value
    25,061,035  
Equity contracts
  Futures margins     1,084,448 *            
Interest rate contracts
  Futures margins     888,530 *   Futures margins     2,022,798  
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    Asset Derivatives   Liability Derivatives
    Statement of           Statement of    
Derivatives   Assets and           Assets and    
Not Accounted for as   Liabilities           Liabilities    
Hedging Instruments   Location   Value     Location   Value    
 
Foreign exchange contracts
  Unrealized appreciation on foreign currency exchange contracts   $302,952,286     Unrealized depreciation on foreign currency exchange contracts   $211,772,766  
Foreign exchange contracts
  Investments, at value     30,579,959 **   Appreciated options written, at value     3,411,879  
Foreign exchange contracts
              Depreciated options written, at value     47,054,066  
Interest rate contracts
  Investments, at value     7,300,656 **   Appreciated options written, at value     520,541  
Interest rate contracts
              Depreciated options written, at value     10,188  
Interest rate contracts
              Depreciated swaptions written, at value     24,133,449  
 
                       
Total
      $ 417,826,281         $ 348,319,334  
 
                       
 
*   Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
 
**   Amounts relate to purchased options.
The effect of derivative instruments on the Statement of Operations is as follows:
                                                 
Amount of Realized Gain or (Loss) Recognized on Derivatives  
    Investments                                  
    from                                  
    unaffiliated     Closing                            
    companies     and     Closing                      
Derivatives Not   (including     expiration     and                      
Accounted for   premiums on     of option     expiration     Foreign                
as Hedging   options     contracts     of futures     currency     Swap          
Instruments   exercised)*     written     contracts     transactions     contracts     Total  
 
Credit contracts
  $     $     $     $     $ 1,841,736     $ 1,841,736  
Equity contracts
                3,101,174             (23,292,922 )     (20,191,748 )
Foreign exchange contracts
    (12,924,795 )     23,896,377       1,935,525       (115,300,848 )         (102,393,741 )
Interest rate contracts
    (30,687,455 )     2,255,995       (174,345,326 )           43,371,418     (159,405,368 )
     
Total
  $ (43,612,250 )   $ 26,152,372     $ (169,308,627 )   $ (115,300,848 )   $ 21,920,232   $ (280,149,121 )
     
 
*   Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any.
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NOTES TO FINANCIAL STATEMENTS Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
                                                         
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives  
                                    Translation of              
                                    assets and              
Derivatives Not                                   liabilities              
Accounted           Option     Swaption             denominated              
for as Hedging           contracts     contracts     Futures     in foreign     Swap        
Instruments   Investments*     written     written     contracts     currencies     contracts     Total  
 
Credit contracts
  $     $     $     $     $     $ 11,127,049     $ 11,127,049  
Equity contracts
                      4,221,586             (17,965,894 )     (13,744,308 )
Foreign exchange
                                                       
contracts
    (19,068,069 )     (27,369,676 )                   37,390,994             (9,046,751 )
Interest rate
                                                       
contracts
    (6,085,020 )     852,674       (13,039,431 )     (3,039,206 )           (714,322 )     (22,025,305 )
     
Total
  $ (25,153,089 )   $ (26,517,002 )   $ (13,039,431 )   $ 1,182,380     $ 37,390,994     $ (7,553,167 )   $ (33,689,315 )
     
 
*   Includes purchased option contracts and purchased swaption contracts, if any.
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 as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
     The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities 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.
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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 year ended September 30, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $5,123,372,809 and $3,989,307,517, 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
A futures contract is a commitment to buy or sell a specific amount of a financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.
     Futures contracts 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. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
     The Fund 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.
     The Fund has purchased futures contracts on various currencies to increase exposure to foreign exchange rate risk.
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NOTES TO FINANCIAL STATEMENTS Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
     During the year ended September 30, 2011, the Fund had an ending monthly average market value of $554,249,115 and $1,286,368,719 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. 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.
     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.
     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.
     The Fund has purchased put options on treasury futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
     During the year ended September 30, 2011, the Fund had an ending monthly average market value of $11,632,797 and $3,558,884 on purchased call options and purchased put options, respectively.
     Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
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     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.
     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.
     During the year ended September 30, 2011, the Fund had an ending monthly average market value of $1,252,975 and $3,908,939 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
Written option activity for the year ended September 30, 2011 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
    89,252,852,286       29,982,305       151,521,024,182       38,474,438  
Options closed or expired
    (52,747,939,980 )     (25,098,338 )     (9,686,280,212 )     (8,387,383 )
Options exercised
    (9,470,595,276 )     (5,836,270 )     (13,532,605,000 )     (5,385,351 )
     
Options outstanding as of September 30, 2011
    62,215,317,030     $ 8,221,138       128,302,138,970     $ 24,701,704  
     
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 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
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NOTES TO FINANCIAL STATEMENTS Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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. 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. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
     Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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.
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     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 year ended September 30, 2011, the Fund had ending monthly average notional amounts of $74,120,769 and $103,168,846 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.
     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 year ended September 30, 2011, the Fund had ending monthly average notional amounts of $608,628,627 and $1,953,300,424 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.
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NOTES TO FINANCIAL STATEMENTS Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
     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 year ended September 30, 2011, the Fund had ending monthly average notional amounts of $333,028,256 and $169,482,056 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.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
     Swaptions are marked to market daily using primarily portfolio pricing services or quotations from counterparties and brokers. Purchased swaptions are reported as a component of investments in the Statement of Investments, the Statement of Assets and Liabilities and the Statement of Operations. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations for the amount of the premium paid or received.
     The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
     The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual securities and/or, indexes. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
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During the year ended September 30, 2011, the Fund had an ending monthly average market value of $2,774,748 on written swaptions.
Written swaption activity for the year ended September 30, 2011 was as follows:
                 
      Swaptions  
    Notional     Amount of  
    Amount     Premiums  
 
Swaptions outstanding as of September 30, 2010
  $     $  
Swaptions written
    901,220,000       11,094,018  
     
Swaptions outstanding as of September 30, 2011
  $ 901,220,000     $ 11,094,018  
     
6. Restricted Securities
As of September 30, 2011, 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.
7. Pending Litigation
Since 2009, a number of class action, derivative and individual lawsuits have been pending in federal and state courts against OppenheimerFunds, Inc., the Fund’s investment advisor (the “Manager”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by the Manager and distributed by the Distributor (the “Defendant Funds”). Several of these lawsuits also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raise claims under federal securities laws and various states’ securities, consumer protection and common law and allege, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. On June 1, 2011, the U.S. District Court for the District of Colorado gave preliminary approval to stipulations and agreements of settlement in certain putative class action lawsuits involving two Defendant Funds, Oppenheimer Champion Income Fund and Oppenheimer Core Bond Fund. On September 30, 2011, the court entered orders and final judgments approving the settlements as fair, reasonable and adequate. Those orders are not subject to further appeal. These settlements do not resolve other outstanding lawsuits relating to Oppenheimer Champion Income Fund and Oppenheimer Core Bond Fund, nor do the settlements affect certain other putative class action lawsuits pending in federal court against the Manager, the Distributor, and other Defendant Funds and their independent trustees.
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NOTES TO FINANCIAL STATEMENTS Continued
7. Pending Litigation Continued
     In 2009, what are claimed to be derivative lawsuits were filed in New Mexico state court against the Manager and a subsidiary (but not against the Fund) on behalf of the New Mexico Education Plan Trust challenging a settlement reached in 2010 between the Manager, its subsidiary and the Distributor and the board of the New Mexico section 529 college savings plan. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses. On September 9, 2011, the court denied plaintiffs’ request for a hearing to determine the fairness of the settlement, finding that plaintiffs lacked standing to pursue derivative claims on behalf of the Trust. On October 27, 2011, the parties to these actions filed a joint motion to dismiss the lawsuits with prejudice, which the court granted on October 28, 2011.
     Other class action and individual lawsuits have been filed since 2008 in various state and federal courts against the Manager and certain of its affiliates by investors seeking to recover investments they allegedly lost as a result of the “Ponzi” scheme run by Bernard L. Madoff and his firm, Bernard L. Madoff Investment Securities, LLC (“BLMIS”). Plaintiffs in these suits allege that they suffered losses as a result of their investments in several funds managed by an affiliate of the Manager and assert a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. Neither the Distributor, nor any of the Oppenheimer mutual funds, their independent trustees or directors are named as defendants in these lawsuits. None of the Oppenheimer mutual funds invested in any funds or accounts managed by Madoff or BLMIS. On February 28, 2011, a stipulation of partial settlement of three groups of consolidated putative class action lawsuits relating to these matters was filed in the U.S. District Court for the Southern District of New York. On August 19, 2011, the court entered an order and final judgment approving the settlement as fair, reasonable and adequate. In September 2011, certain parties filed notices of appeal from the court’s order approving the settlement. On July 29, 2011, a stipulation of settlement between certain affiliates of the Manager and the Trustee appointed under the Securities Investor Protection Act to liquidate BLMIS was filed in the U.S. Bankruptcy Court for the Southern District of New York to resolve purported preference and fraudulent transfer claims by the Trustee. On September 22, 2011, the court entered an order approving the settlement as fair, reasonable and adequate. In October 2011, certain parties filed notices of appeal from the court’s order approving the settlement. The aforementioned settlements do not resolve other outstanding lawsuits against the Manager and its affiliates relating to BLMIS.
     On April 16, 2010, a lawsuit was filed in New York state court against the Manager, an affiliate of the Manager and AAArdvark IV Funding Limited (“AAArdvark IV”), an entity advised by the Manager’s affiliate, in connection with investments made by the plaintiffs in AAArdvark IV. Plaintiffs allege breach of contract against the defendants and seek
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compensatory damages, costs and disbursements, including attorney fees. On July 15, 2011, a lawsuit was filed in New York state court against the Manager, an affiliate of the Manager and AAArdvark Funding Limited (“AAArdvark I”), an entity advised by the Manager’s affiliate, in connection with investments made by the plaintiffs in AAArdvark I. The complaint alleges breach of contract against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees. On November 9, 2011, a lawsuit was filed in New York state court against the Manager, an affiliate of the Manager and AAArdvark XS Funding Limited (“AAArdvark XS”), an entity advised by the Manager’s affiliate, in connection with investments made by the plaintiffs in AAArdvark XS. The complaint alleges breach of contract against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees.
     The Manager believes the lawsuits and appeals described above are without legal merit and, with the exception of actions it has settled, is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to represent the Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer mutual funds.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer International Bond Fund:
We have audited the accompanying statement of assets and liabilities of Oppenheimer International Bond Fund, including the statement of investments, as of September 30, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The accompanying financial highlights of Oppenheimer International Bond Fund for the years ended prior to October 1, 2008 were audited by other auditors whose report dated November 18, 2008 expressed an unqualified opinion on those financial highlights.
     We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2011, by correspondence with the custodian, transfer agent and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
     In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer International Bond Fund as of September 30, 2011, the results of its operations for the year then ended, and the changes in its net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG llp
Denver, Colorado
November 18, 2011
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FEDERAL INCOME TAX INFORMATION Unaudited
In early 2011, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2010. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service.
     Capital gain distributions of $0.06246 per share were paid to Class A, Class B, Class C, Class N and Class Y shareholders, respectively, on December 30, 2010. Whether received in stock or in cash, the capital gain distribution should be treated by shareholders as a gain from the sale of the capital assets held for more than one year (long-term capital gains).
     None of the dividends paid by the Fund during the fiscal year ended September 30, 2011 are eligible for the corporate dividend-received deduction.
     Dividends, if any, paid by the Fund during the fiscal year ended September 30, 2011 which are not designated as capital gain distributions, may be eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. In early 2011, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates. The amount will be the maximum amount allowed.
     Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal year ended September 30, 2011, the maximum amount allowable but not less than $92,867,429 or 18.11% of the ordinary distributions paid by the Fund qualifies as an interest related dividend.
     The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
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BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AGREEMENT Unaudited
Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to renew the Fund’s investment advisory agreement (the “Agreement”). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Manager provide, such information as may be reasonably necessary to evaluate the terms of the Agreement. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
     The Manager and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Manager’s services, (ii) the investment performance of the Fund and the Manager, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Manager and its affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Manager from its relationship with the Fund. The Board was aware that there are alternatives to retaining the Manager.
     Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
     Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Manager’s key personnel who provide such services. The Manager’s duties include providing the Fund with the services of the portfolio managers and the Manager’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; securities trading services; oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions. The Manager is responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of the Fund’s shares. The Manager also provides the Fund with office space, facilities and equipment.
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     The Board also considered the quality of the services provided and the quality of the Manager’s resources that are available to the Fund. The Board took account of the fact that the Manager has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Manager’s advisory, administrative, accounting, legal and compliance services, and information the Board has received regarding the experience and professional qualifications of the Manager’s key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Arthur Steinmetz and Sara Zervos, the portfolio managers for the Fund, and the Manager’s investment team and analysts. The Board members also considered the totality of their experiences with the Manager as directors or trustees of the Fund and other funds advised by the Manager. The Board considered information regarding the quality of services provided by affiliates of the Manager, which its members have become knowledgeable about in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Manager’s experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreement.
     Investment Performance of the Manager and the Fund. Throughout the year, the Manager provided information on the investment performance of the Fund and the Manager, including comparative performance information. The Board also reviewed information, prepared by the Manager and by the independent consultant, comparing the Fund’s historical performance to relevant market indices and to the performance of other retail front-end load and no-load international income funds. The Board considered that the Fund outperformed its performance universe median during its one-, three-, five-, and ten-year periods.
     Costs of Services by the Manager. The Board reviewed the fees paid to the Manager and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Manager. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail front-end load international income funds and global income funds with comparable asset levels and distribution features. The Board considered that the Fund’s actual management fees and total expenses were lower than its expense group median.
     Economies of Scale and Profits Realized by the Manager. The Board considered information regarding the Manager’s costs in serving as the Fund’s investment adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Manager’s profitability from its relationship with
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BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AGREEMENT Unaudited / Continued
the Fund. The Board reviewed whether the Manager may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.
     Other Benefits to the Manager. In addition to considering the profits realized by the Manager, the Board considered information that was provided regarding the direct and indirect benefits the Manager receives as a result of its relationship with the Fund, including compensation paid to the Manager’s affiliates The Board also considered that the Manager must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund.
     Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules.
     Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreement through August 31, 2012. In arriving at this decision, the Board did not single out any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreement, including the management fee, in light of all of the surrounding circumstances.
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PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
     The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
     Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
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TRUSTEES AND OFFICERS Unaudited
     
Name, Position(s) Held with the Fund, Length of Service, Age
  Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen
 
   
INDEPENDENT
TRUSTEES
  The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal.
 
   
William L. Armstrong,
Chairman of the Board of
Trustees (since 2003),
Trustee (since 1999)
Age: 74
  President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following:
 
  UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
 
   
Edward L. Cameron,
Trustee (since 1999)
Age: 73
  Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
 
   
Jon S. Fossel,
Trustee (since 1995)
Age: 69
  Chairman of the Board (since 2006) and Director (since June 2002) of UNUM- Provident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
 
   
Sam Freedman,
Trustee (since 1996)
Age: 70
  Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
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Beverly L. Hamilton,
Trustee (since 2002)
Age: 64
  Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
 
   
Robert J. Malone,
Trustee (since 2002)
Age: 67
  Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
 
   
F. William Marshall, Jr.,
Trustee (since 2000)
Age: 69
  Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
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TRUSTEES AND OFFICERS Unaudited / Continued
     
INTERESTED TRUSTEE AND
OFFICER
  The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates.
 
   
William F. Glavin, Jr.,
Trustee, President and
Principal Executive Officer
(since 2009)
Age: 53
  Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005- March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005- March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 66 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex.
 
   
OTHER OFFICERS OF THE
FUND
  The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Gabinet, Zack and Mss. Zervos and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal.
 
   
Arthur P. Steinmetz,
Vice President
(since 2004)
Age: 52
  Chief Investment Officer of the Manager (since October 2010); Executive Vice President of the Manager (since October 2009). Chief Investment Officer of Fixed- Income Investments of the Manager (April 2009-October 2010); Director of Fixed-Income Investments of the Manager (January 2009-April 2009) and a Senior Vice President of the Manager (March 1993-September 2009). A portfolio manager and an officer of 5 portfolios in the OppenheimerFunds complex.
 
   
Sara J. Zervos, Ph.D.
Vice President
(since 2009)
Age: 42
  Head of the Global Debt Team (since October 2010); Senior Vice President of the Manager (since January 2011); Vice President of the Manager (April 2008- December 2010). Prior to joining the Manager, a portfolio manager with Sailfish Capital Management (May 2007-February 2008) and a portfolio manager for
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Sara J. Zervos, Ph.D.
Continued
  emerging market debt at Dillon Read Capital Management and OTA Asset Management (June 2004-April 2007). A portfolio manager and officer of 4 portfolios in the OppenheimerFunds complex.
 
   
Arthur S. Gabinet,
Secretary (since 2011)
Age: 53
  Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex.
 
   
Christina M. Nasta,
Vice President and Chief
Business Officer (since 2011)
Age: 38
  Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex.
 
   
Mark S. Vandehey,
Vice President and Chief
Compliance Officer
(since 2004)
Age: 61
  Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex.
 
   
Brian W. Wixted,
Treasurer and Principal
Financial & Accounting
Officer (since 1999)
Age: 51
  Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex.
 
   
Robert G. Zack,
Vice President
(since 2001)
Age: 63
  Vice President, Secretary and General Counsel of OAC (since November 2001); Executive Vice President (since January 2004) and General Counsel (March 2002 - December 2010) of the Manager; Executive Vice President, General Counsel and Director of OFI Trust Company (since November 2001); General Counsel of the Distributor (December 2001-December 2010); General Counsel of Centennial Asset Management Corporation (December 2001-December 2010); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (December 2001-December 2010); Assistant Secretary (September 1997-December 2010) and Director (November 2001-December 2010) of OppenheimerFunds International Ltd.
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TRUSTEES AND OFFICERS Unaudited / Continued
     
Robert G. Zack,
Continued
  and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (December 2002-December 2010); Director of Oppenheimer Real Asset Management, Inc. (November 2001-December 2010); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (December 2001-December 2010); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. (November 2001-December 2010); Vice President of OppenheimerFunds Legacy Program (June 2003-December 2010); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (November 2001-December 2010). An officer of 96 portfolios in the OppenheimerFunds complex.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge, upon request, by calling 1.800.525.7048.
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OPPENHEIMER INTERNATIONAL BOND FUND
     
Manager
  OppenheimerFunds, Inc.
 
   
Distributor
  OppenheimerFunds Distributor, Inc.
 
   
Transfer and Shareholder
Servicing Agent
  OppenheimerFunds Services
 
   
Independent
Registered Public
Accounting Firm
  KPMG llp
 
   
Counsel
  K&L Gates LLP
©2011 OppenheimerFunds, Inc. All rights reserved.
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PRIVACY POLICY NOTICE
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
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  When you set up challenge questions to reset your password online
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
We send your financial advisor (as designated by you) copies of confirmations, account statements and other documents reporting activity in your fund accounts. We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
102 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
  All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format.
 
  Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data.
 
  You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser.
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds Distributor, Inc., the trustee of OppenheimerFunds Individual Retirement Accounts (IRAs) and the custodian of the OppenheimerFunds 403(b)(7) tax sheltered custodial accounts. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated January 16, 2004. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about these privacy policies, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.525.7048.
103 | OPPENHEIMER INTERNATIONAL BOND FUND

 


 

Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that F. William Marshall, Jr., the Chairman of the Board’s Audit Committee, is the audit committee financial expert and that Mr. Marshall is “independent” for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a)   Audit Fees
The principal accountant for the audit of the registrant’s annual financial statements billed $60,700 in fiscal 2011 and $60,700 in fiscal 2010.
(b)   Audit-Related Fees
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years.
The principal accountant for the audit of the registrant’s annual financial statements billed $153,900 in fiscal 2011 and $400,900in fiscal 2010 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: internal control reviews, professional services for FIN 45 and capital accumulation plan.
(c)   Tax Fees
The principal accountant for the audit of the registrant’s annual financial statements billed $5,100 in fiscal 2011 and $6,933 in fiscal 2010.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-

 


 

planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d)   All Other Fees
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
(e)   (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant.
 
    The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.
 
    Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.
 
  (2)    100%
(f)   Not applicable as less than 50%.
 
(g)   The principal accountant for the audit of the registrant’s annual financial statements billed $159,000 in fiscal 2011 and $407,833 in fiscal 2011 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934.
 
(h)   The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment

 


 

    adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered.
Item 5. Audit Committee of Listed Registrants
Not applicable.

 


 

Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
1.   The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection.
 
2.   The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will

 


 

    contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder.
3.   The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following:
    the name, address, and business, educational, and/or other pertinent background of the person being recommended;
 
    a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940;
 
    any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and
 
    the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares.
    The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation.
4.   Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.”
 
5.   Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company.
Item 11. Controls and Procedures.
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 9/30/2011, 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 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.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)   (1) Exhibit attached hereto.
(2) Exhibits attached hereto.
(3) Not applicable.
(b)   Exhibit 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:
  11/9/2011    
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:
  11/9/2011    
 
       
By:
  /s/ Brian W. Wixted
 
   
 
  Brian W. Wixted    
 
  Principal Financial Officer    
Date:
  11/9/2011    

 

EX-99.CODE ETH 2 g59858exv99wcodeeth.htm EX-99.CODE ETH exv99wcodeeth
CODE OF ETHICS
FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS
OF THE OPPENHEIMER FUNDS
AND OPPENHEIMERFUNDS, INC.
     This Code of Ethics for Principal Executive and Financial Officers (referred to in this document as the “Code”) has been adopted by each of the investment companies for which OppenheimerFunds, Inc. or one of its subsidiaries or affiliates (referred to collectively in this document as “OFI”) acts as investment adviser (individually, a “Fund” and collectively, the “Funds”), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406.
     This Code applies to OFI’s and each Fund’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Covered Officers”). A listing of positions currently within the ambit of Covered Officers is attached as Exhibit A.1
1.   Purpose of the Code
     This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and promote:
    honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
 
    full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (“SEC”) and in other public communications made by the Fund;
 
    compliance with applicable governmental laws, rules and regulations;
 
    the prompt internal reporting of violations of this Code to the Code Administrator identified below; and
 
    accountability for adherence to this Code.
     In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Fund’s financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the
 
1   The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code.

 


 

Funds’ business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
     It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFI’s fiduciary duties to each Fund, the Covered Officers will, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds.
2.   Prohibitions
     The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest in personal and professional relationships. No Covered Officer may use information concerning the business and affairs of a Fund, including the investment intentions of a Fund, or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders.
     No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders.
     No Covered Officer shall intentionally for any reason take any action or fail to take any action in connection with his or her official acts on behalf of a Fund that causes the Fund to violate applicable laws, rules and regulations.
     No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund:
  (i)   employ any device, scheme or artifice to defraud a Fund or its shareholders;
 
  (ii)   intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public;
 
  (iii)   engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders;
 
  (iv)   engage in any manipulative practice with respect to any Fund;
 
  (v)   use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders;
 
  (vi)   intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair,

 


 

      accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund;
 
  (vii)   intentionally mislead or omit to provide material information to the Fund’s independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters;
 
  (viii)   fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws;
 
  (ix)   retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or
 
  (x)   fails to acknowledge or certify compliance with this Code if requested to do so.
3.   Reports of Conflicts of Interests
     If a Covered Officer becomes aware of a conflict of interest under this Code or, to the Covered Officer’s reasonable belief, the appearance of one, he or she must immediately report the matter to the Code’s Administrator. If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to the OFI’s Chief Executive Officer.
     Upon receipt of a report of a conflict, the Code Administrator will take prompt steps to determine whether a conflict of interest exists. If the Code Administrator determines that an actual conflict of interest exists, the Code Administrator will take steps to resolve the conflict. If the Code Administrator determines that the appearance of a conflict exists, the Code Administrator will take appropriate steps to remedy such appearance. If the Code Administrator determines that no conflict or appearance of a conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the Fund’s Board of Trustees/Directors.
4.   Waivers
     Any Covered Officer requesting a waiver of any of the provisions of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon, which shall be binding. The Code Administrator may in reviewing such request, consult at his discretion with legal counsel to OFI or to the Fund.
     In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed waiver:
  (i)   is prohibited by this Code;
 
  (ii)   is consistent with honest and ethical conduct; and
 
  (iii)   will result in a conflict of interest between the Covered Officer’s personal and

 


 

      professional obligations to a Fund.
     In lieu of determining whether to grant a waiver, the Code Administrator in his or her discretion may refer the matter to the appropriate Fund’s Board of Trustees/Directors.
5.   Reporting Requirements
     (a) Each Covered Officer shall, upon becoming subject to this Code, be provided with a copy of this Code and shall affirm in writing that he or she has received, read, understands and shall adhere to this Code.
     (b) At least annually, all Covered Officers shall be provided with a copy of this Code and shall certify that they have read and understand this Code and recognize that they are subject thereto.
     (c) At least annually, all Covered Officers shall certify that they have complied with the requirements of this Code and that they have disclosed or reported any violations of this Code to the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser.
     (d) The Code Administrator shall submit a quarterly report to the Board of Trustees/Directors of each Fund containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; (iv) interpretations issued under the Code by the Code Administrator; and (v) any other significant information arising under the Code including any proposed amendments.
     (e) Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code.
     (f) Any changes to or waivers of this Code, including “implicit” waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Code Administrator or his or her designee as provided by applicable SEC rules.2
6.   Annual Review
     At least annually, the Board of Trustees/Directors of each Fund shall review the Code and consider whether any amendments are necessary or desirable.
7.   Sanctions
     Any violation of this Code of Ethics shall be subject to the imposition of such sanctions by OFI as may be deemed appropriate under the circumstances to achieve the purposes of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of OFI.
 
2   An “implicit waiver” is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, and an executive officer of the Fund or OFI.

 


 

8.   Administration and Construction
     (a) The administration of this Code of Ethics shall be the responsibility of OFI’s General Counsel or his designee as the “Code Administrator” of this Code, acting under the terms of this Code and the oversight of the Trustees/Directors of the Funds.
     (b) The duties of such Code Administrator will include:
  (i)   Continuous maintenance of a current list of the names of all Covered Officers;
 
  (ii)   Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder;(iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations;
 
  (v)   Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, to the Chief Executive Officer of OFI and to the Trustees/Directors of the affected Fund(s) or any committee appointed by them to deal with such information; and Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code.
     (c) In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with legal counsel, who may include legal counsel to the applicable Funds, and such other persons as the Administrator shall deem necessary or desirable. The Code Administrator shall be protected from any liability hereunder or under any applicable law, rule or regulation, for decisions made in good faith based upon his or her reasonable judgment.
9.   Required Records
     The Administrator shall maintain and cause to be maintained in an easily accessible place, the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of OFI in which the applicable event or report occurred):
  (a)   A copy of any Code which has been in effect during the period;
 
  (b)   A record of any violation of any such Code and of any action taken as a result of such violation, during the period;
 
  (c)   A copy of each annual report pursuant to the Code made by a Covered Officer during the period;
 
  (d)   A copy of each report made by the Code Administrator pursuant to this Code during the period;
 
  (e)   A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports;

 


 

  (f)   A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and
 
  (g)   A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision.
10.   Amendments and Modifications
     Other than non-substantive or administrative changes, this Code may not be amended or modified unless approved or ratified by the Board of Trustees/Directors of each Fund.
11.   Confidentiality.
     This Code is identified for the internal use of the Funds and OFI. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trustees/Directors of the affected Fund(s) and their counsel, the independent auditors of the affected Funds and/or OFI, and to OFI, except as such disclosure may be required pursuant to applicable judicial or regulatory process.
 
Dated as of: June 25, 2003, as revised August 30, 2006 and further revised as of March 5, 2010.    

 


 

Exhibit A
Positions Covered by this Code of Ethics for Principal Executive and Financial Officers*
Each Oppenheimer fund
President (Principal Executive Officer)
Treasurer (Principal Financial Officer)
OFI
President and Chief Executive Officer (Principal Executive Officer)
Chief Financial Officer and Treasurer (Principal Financial Officer)
 
*   There are no other positions with the Funds or OFI who perform similar functions to those listed above.

 

EX-99.CERT 3 g59858exv99wcert.htm EX-99.CERT exv99wcert
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, William F. Glavin, Jr., certify that:
1.   I have reviewed this report on Form N-CSR of Oppenheimer International Bond Fund;
 
2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3.   Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
 
4.   The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
  (a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
  (b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
  (c)   Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
 
  (d)   Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 


 

5.   The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):
  (a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
  (b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: 11/9/2011
     
/s/ William F. Glavin, Jr.
 
   
William F. Glavin, Jr.
   
Principal Executive Officer
   

 


 

Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian W. Wixted, certify that:
1.   I have reviewed this report on Form N-CSR of Oppenheimer International Bond Fund;
 
2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3.   Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
 
4.   The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
  (a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
  (b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
  (c)   Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
 
  (d)   Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 


 

5.   The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):
  (a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
  (b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: 11/9/2011
     
/s/ Brian W. Wixted
 
   
Brian W. Wixted
   
Principal Financial Officer
   

 

EX-99.906CERT 4 g59858exv99w906cert.htm EX-99.906CERT exv99w906cert
EX-99.906CERT
Section 906 Certifications
CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
William F. Glavin, Jr., Principal Executive Officer, and Brian W. Wixted, Principal Financial Officer, of Oppenheimer International Bond Fund (the “Registrant”), each certify to the best of his knowledge that:
1.   The Registrant’s periodic report on Form N-CSR for the period ended 9/30/2011 (the “Form N-CSR”) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and
 
2.   The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.
     
Principal Executive Officer
  Principal Financial Officer
 
   
Oppenheimer International Bond Fund
  Oppenheimer International Bond Fund
 
   
/s/ William F. Glavin, Jr.
  /s/ Brian W. Wixted
 
   
William F. Glavin, Jr.
  Brian W. Wixted
 
   
Date: 11/9/2011
  Date: 11/9/2011

 

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