UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07255
Oppenheimer International Bond Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way,
Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Arthur S. Gabinet
OppenheimerFunds, Inc.
Two World Financial Center,
New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 6/29/2012
Item 1. | Schedule of Investments. |
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Principal Amount |
Value | |||||||||||
U.S. Government Obligations1.2% |
||||||||||||
U.S. Treasury Nts., 2%, 2/15/221,2 (Cost $143,658,217) |
$ | 143,500,000 | $ | 148,466,535 | ||||||||
Foreign Government Obligations68.2% |
||||||||||||
Argentina0.2% |
||||||||||||
Argentina (Republic of) Bonds: |
||||||||||||
2.50%, 12/31/383 |
31,950,000 | 10,383,750 | ||||||||||
6.976%, 10/3/15 |
6,405,000 | 4,865,510 | ||||||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 6.976%, 4/17/17 |
5,875,000 | 4,000,025 | ||||||||||
|
|
|||||||||||
19,249,285 | ||||||||||||
Australia5.7% |
||||||||||||
New South Wales Treasury Corp. Bonds: |
||||||||||||
Series 14, 5.50%, 8/1/14 |
30,995,000 | AUD | 33,397,189 | |||||||||
Series 15, 6%, 4/1/25 |
22,680,000 | AUD | 24,897,814 | |||||||||
Series 17, 5.50%, 3/1/17 |
22,140,000 | AUD | 24,791,978 | |||||||||
Queensland Treasury Corp. Nts.: |
||||||||||||
Series 15, 6%, 10/14/15 |
45,325,000 | AUD | 50,484,184 | |||||||||
Series 17, 6%, 9/14/17 |
36,260,000 | AUD | 41,408,635 | |||||||||
Series 20, 6.25%, 2/21/20 |
106,440,000 | AUD | 122,312,746 | |||||||||
Series 21, 6%, 6/14/21 |
148,060,000 | AUD | 175,311,169 | |||||||||
Series 22, 6%, 7/21/22 |
62,360,000 | AUD | 71,159,804 | |||||||||
Series 24, 5.75%, 7/22/24 |
37,780,000 | AUD | 42,372,383 | |||||||||
Victoria Treasury Corp. Nts.: |
||||||||||||
5.50%, 11/17/26 |
22,680,000 | AUD | 26,130,004 | |||||||||
Series 1116, 5.75%, 11/15/16 |
55,175,000 | AUD | 61,794,712 | |||||||||
Western Australia Treasury Corp. Nts., |
||||||||||||
Series 15, 7%, 4/15/15 |
22,685,000 | AUD | 25,561,024 | |||||||||
|
|
|||||||||||
699,621,642 | ||||||||||||
Austria0.4% |
||||||||||||
Austria (Republic of) Bonds, 6.25%, 7/15/27 |
29,215,000 | EUR | 51,835,625 | |||||||||
Belgium1.0% |
||||||||||||
Belgium (Kingdom of) Bonds, Series 58, 3.75%, 9/28/20 |
90,955,000 | EUR | 122,110,828 | |||||||||
Brazil5.1% |
||||||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: |
||||||||||||
9.762%, 1/1/17 |
561,732,000 | BRR | 286,550,949 | |||||||||
9.762%, 1/1/21 |
279,002,000 | BRR | 139,375,194 | |||||||||
12.681%, 5/15/454 |
32,095,000 | BRR | 41,672,301 | |||||||||
Series NTNB, 12.205%, 8/15/504 |
29,690,000 | BRR | 39,072,673 | |||||||||
Series NTNB, 12.681%, 5/15/154 |
108,275,000 | BRR | 124,161,492 | |||||||||
|
|
|||||||||||
630,832,609 | ||||||||||||
Canada1.1% |
||||||||||||
Canada (Government of) Nts., 3.75%, 6/1/19 |
66,760,000 | CAD | 75,414,341 | |||||||||
Canada (Government of) Treasury Bills, Series 364, 0.896%, 7/5/125 |
65,495,000 | CAD | 64,321,610 | |||||||||
|
|
|||||||||||
139,735,951 | ||||||||||||
1 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Colombia0.7% |
||||||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/286 |
16,413,000,000 | COP | 12,837,852 | |||||||||
Principal Amount |
Value | |||||||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 |
$ | 59,935,000 | $ | 78,215,175 | ||||||||
|
|
|||||||||||
91,053,027 | ||||||||||||
Croatia0.2% |
||||||||||||
Croatia (Republic of) Unsec. Nts., 6.25%, 4/27/176 |
21,510,000 | 21,482,897 | ||||||||||
Denmark0.3% |
||||||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 |
200,885,000 | DKK | 41,350,530 | |||||||||
Finland0.2% |
||||||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 |
20,860,000 | EUR | 30,022,614 | |||||||||
France3.1% |
||||||||||||
Caisse DAmortissement de la Dette Sociale Bonds, 1.625%, 7/6/157,8 |
22,075,000 | 22,069,261 | ||||||||||
France (Republic of) Bonds: |
||||||||||||
3.25%, 10/25/21 |
59,100,000 | EUR | 78,956,239 | |||||||||
3.75%, 4/25/17 |
70,440,000 | EUR | 98,514,913 | |||||||||
3.75% 10/25/19 |
87,635,000 | EUR | 122,768,406 | |||||||||
4%, 4/25/60 |
18,705,000 | EUR | 25,595,148 | |||||||||
4.50%, 4/25/41 |
22,660,000 | EUR | 33,511,077 | |||||||||
|
|
|||||||||||
381,415,044 | ||||||||||||
Germany0.5% |
||||||||||||
Germany (Federal Republic of) Bonds: |
||||||||||||
2.25%, 9/4/21 |
21,845,000 | EUR | 29,473,389 | |||||||||
2.50%, 7/4/44 |
25,250,000 | EUR | 33,075,359 | |||||||||
|
|
|||||||||||
62,548,748 | ||||||||||||
Ghana0.1% |
||||||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/176 |
8,935,000 | 9,940,188 | ||||||||||
Hungary1.7% |
||||||||||||
Hungary (Republic of) Bonds: |
||||||||||||
4.75%, 2/3/15 |
6,935,000 | 6,692,275 | ||||||||||
6.75%, 11/24/17 |
6,798,000,000 | HUF | 29,000,879 | |||||||||
Sereis 23A, 6%, 11/24/23 |
654,000,000 | HUF | 2,519,355 | |||||||||
Series 14/D, 6.75%, 8/22/14 |
4,068,000,000 | HUF | 17,817,801 | |||||||||
Series 15C, 7.75%, 8/24/15 |
5,234,000,000 | HUF | 23,402,425 |
2 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Series 15/A, 8%, 2/12/15 |
2,023,000,000 | HUF | 9,107,706 | |||||||||
Series 16/C, 5.50%, 2/12/16 |
2,751,000,000 | HUF | 11,492,819 | |||||||||
Series 17/B, 6.75%, 2/24/17 |
6,121,000,000 | HUF | 26,223,544 | |||||||||
Series 19/A, 6.50%, 6/24/19 |
3,289,000,000 | HUF | 13,713,368 | |||||||||
Series 20/A, 7.50%, 11/12/20 |
4,079,000,000 | HUF | 17,851,675 | |||||||||
Series 22A, 7%, 6/24/22 |
1,701,000,000 | HUF | 7,169,482 | |||||||||
Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41 |
5,690,000 | 5,590,425 | ||||||||||
Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 |
6,220,000 | EUR | 7,330,658 | |||||||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 |
15,635,000 | 15,306,665 | ||||||||||
Hungary (Republic of) Treasury Bills: |
||||||||||||
7.195%, 8/22/125 |
1,645,000,000 | HUF | 7,219,734 | |||||||||
7.293%, 12/27/125 |
2,632,000,000 | HUF | 11,309,749 | |||||||||
|
|
|||||||||||
211,748,560 | ||||||||||||
Indonesia0.7% |
||||||||||||
Indonesia (Republic of) Nts., 5.25%, 1/17/426 |
27,445,000 | 28,851,556 | ||||||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/216 |
13,225,000 | 14,464,844 |
Principal Amount |
Value | |||||||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/386 |
$ | 13,195,000 | $ | 18,242,088 | ||||||||
Indonesia (Republic of) Unsec. Nts.: |
||||||||||||
3.75%, 4/25/226 |
18,895,000 | 18,942,238 | ||||||||||
8.50%, 10/12/356 |
8,020,000 | 11,809,450 | ||||||||||
|
|
|||||||||||
92,310,176 | ||||||||||||
Israel0.2% |
||||||||||||
Israel (State of) Sr. Unsec. Bonds, 4%, 6/30/22 |
29,405,000 | 30,515,068 | ||||||||||
Italy3.3% |
||||||||||||
Buoni Poliennali Del Tesoro Bonds, 4.50%, 3/1/19 |
97,345,000 | EUR | 117,582,338 | |||||||||
Italy (Republic of) Bonds: |
||||||||||||
3%, 4/1/14 |
22,125,000 | EUR | 27,757,047 | |||||||||
4%, 9/1/20 |
55,750,000 | EUR | 64,134,159 | |||||||||
5%, 3/1/22 |
17,715,000 | EUR | 21,444,521 | |||||||||
5%, 9/1/40 |
36,870,000 | EUR | 39,293,146 | |||||||||
Series EU, 1.853%, 10/15/173 |
22,685,000 | EUR | 23,786,695 | |||||||||
Italy (Republic of) Nts., 1.50%, 3/1/143 |
9,080,000 | EUR | 11,054,113 |
3 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 |
4,428,000,000 | JPY | 55,634,426 | |||||||||
Italy (Republic of) Treasury Bonds: |
||||||||||||
4.75%, 9/15/16 |
17,660,000 | EUR | 22,354,538 | |||||||||
5.75%, 2/1/33 |
15,815,000 | EUR | 18,907,711 | |||||||||
|
|
|||||||||||
401,948,694 | ||||||||||||
Ivory Coast0.0% |
||||||||||||
Ivory Coast Bonds, 3.75%, 12/31/32 |
6,005,000 | 4,503,750 | ||||||||||
Japan13.8% |
||||||||||||
Japan Bonds: |
||||||||||||
2 yr., 0.10%, 5/15/14 |
35,000,000,000 | JPY | 437,838,244 | |||||||||
5 yr., 0.30%, 3/20/17 |
19,752,000,000 | JPY | 248,265,602 | |||||||||
10 yr., 1.10%, 3/20/21 |
8,329,000,000 | JPY | 107,919,500 | |||||||||
20 yr., Series 112, 2.10%, 6/20/29 |
25,351,000,000 | JPY | 344,944,224 | |||||||||
30 yr., 2%, 3/20/42 |
15,372,000,000 | JPY | 196,477,756 | |||||||||
Japan Sr. Unsec. Bonds, Series 134, 1.80%, 3/20/32 |
12,268,000,000 | JPY | 157,115,578 | |||||||||
Japan Sr. Unsec. Unsub. Bonds, 10 yr., Series 307, 1.30%, 3/20/20 |
15,488,000,000 | JPY | 204,848,297 | |||||||||
|
|
|||||||||||
1,697,409,201 | ||||||||||||
Latvia0.2% |
||||||||||||
Latvia (Republic of) Nts., 5.25%, 2/22/176 |
22,605,000 | 23,396,175 | ||||||||||
Lithuanua0.2% |
||||||||||||
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/226 |
20,965,000 | 24,083,544 | ||||||||||
Malaysia0.4% |
||||||||||||
Malaysia (Government of) Sr. Unsec. Bonds, Series 1/06, 4.262%, 9/15/16 |
79,670,000 | MYR | 26,195,662 | |||||||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/216 |
21,115,000 | 23,257,814 | ||||||||||
|
|
|||||||||||
49,453,476 | ||||||||||||
Mexico4.8% |
||||||||||||
United Mexican States Bonds: |
||||||||||||
21.301%, 12/18/144 |
173,030,000 | MXN | 67,584,033 | |||||||||
Series M, 6.50%, 6/10/213 |
1,176,700,000 | MXN | 95,845,870 | |||||||||
Series M20, 7.50%, 6/3/273 |
1,529,850,000 | MXN | 130,486,639 |
Principal Amount |
Value | |||||||||||
Series M10, 7.75%, 12/14/17 |
1,306,705,000 | MXN | $ | 111,259,029 | ||||||||
Series M, 8%, 6/11/20 |
739,000,000 | MXN | 65,699,685 | |||||||||
Series M20, 8.50%, 5/31/293 |
491,100,000 | MXN | 45,037,460 |
4 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
United Mexican States Treasury Bills: |
||||||||||||
4.534%, 12/13/125 |
518,800,000 | MXN | 38,099,600 | |||||||||
4.54%, 10/18/125 |
515,400,000 | MXN | 38,115,730 | |||||||||
|
|
|||||||||||
592,128,046 | ||||||||||||
Nigeria0.2% |
||||||||||||
Nigeria (Federal Republic of) Treasury Bills: |
||||||||||||
15.149%, 3/7/135 |
368,000,000 | NGN | 2,020,994 | |||||||||
15.205%, 3/28/135 |
1,320,000,000 | NGN | 7,171,635 | |||||||||
Series 364, 15.455%, 2/21/135 |
1,651,000,000 | NGN | 9,125,724 | |||||||||
Series 364, 15.572%, 4/25/135 |
989,000,000 | NGN | 5,313,859 | |||||||||
|
|
|||||||||||
23,632,212 | ||||||||||||
Panama0.4% |
||||||||||||
Panama (Republic of) Bonds: |
||||||||||||
6.70%, 1/26/36 |
12,062,000 | 16,344,010 | ||||||||||
8.875%, 9/30/27 |
9,385,000 | 14,617,138 | ||||||||||
9.375%, 4/1/29 |
9,505,000 | 15,588,200 | ||||||||||
|
|
|||||||||||
46,549,348 | ||||||||||||
Peru1.8% |
||||||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 |
31,555,000 | 44,492,550 | ||||||||||
Peru (Republic of) Sr. Unsec. Bonds: |
||||||||||||
6.95%, 8/12/316 |
130,550,000 | PEN | 56,887,573 | |||||||||
8.20%, 8/12/266 |
84,500,000 | PEN | 40,585,678 | |||||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/206 |
117,220,000 | PEN | 52,253,162 | |||||||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 |
21,550,000 | 26,237,125 | ||||||||||
|
|
|||||||||||
220,456,088 | ||||||||||||
Philippines0.1% |
||||||||||||
Philippines (Republic of the) Sr. Unsec. Bonds, 5%, 1/13/37 |
9,340,000 | 10,203,950 | ||||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 |
6,605,000 | 8,470,913 | ||||||||||
|
|
|||||||||||
18,674,863 | ||||||||||||
Poland2.1% |
||||||||||||
Poland (Republic of) Bonds: |
||||||||||||
5.25%, 10/25/20 |
139,210,000 | PLZ | 42,347,016 | |||||||||
Series WS0922, 5.75%, 9/23/22 |
117,260,000 | PLZ | 36,737,349 | |||||||||
Series 0415, 5.50%, 4/25/15 |
78,195,000 | PLZ | 24,026,459 | |||||||||
Series 0416, 5%, 4/25/16 |
154,065,000 | PLZ | 46,867,131 | |||||||||
Series 1017, 5.25%, 10/25/17 |
221,610,000 | PLZ | 68,006,563 | |||||||||
Poland (Republic of) Sr. Unsec. Nts.: |
||||||||||||
5%, 3/23/22 |
7,360,000 | 8,070,240 | ||||||||||
5.125%, 4/21/21 |
27,415,000 | 30,375,820 | ||||||||||
|
|
|||||||||||
256,430,578 |
5 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Qatar0.4% |
||||||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/206 |
16,450,000 | 19,049,100 | ||||||||||
Principal Amount |
Value | |||||||||||
Qatar (State of) Sr. Unsec. Nts.: |
||||||||||||
5.75%, 1/20/426 |
$ | 12,605,000 | $ | 15,094,488 | ||||||||
6.40%, 1/20/406 |
7,360,000 | 9,402,400 | ||||||||||
|
|
|||||||||||
43,545,988 | ||||||||||||
Romania0.4% |
||||||||||||
Romania Sr. Unsec. Bonds, 6.75%, 2/7/226 |
46,330,000 | 48,472,763 | ||||||||||
Russia2.4% |
||||||||||||
Russian Federation Bonds: |
||||||||||||
7.50%, 3/15/183 |
788,600,000 | RUR | 23,826,318 | |||||||||
7.50%, 2/27/193 |
863,600,000 | RUR | 25,879,001 | |||||||||
7.60%, 4/14/213 |
1,168,000,000 | RUR | 34,838,489 | |||||||||
Series 6206, 7.40%, 6/14/17 |
3,794,300,000 | RUR | 115,340,979 | |||||||||
Russian Federation Unsec. Bonds: |
||||||||||||
4.50%, 4/4/226 |
14,375,000 | 15,095,331 | ||||||||||
5.625%, 4/4/426 |
28,810,000 | 30,892,963 | ||||||||||
Series 9, 7.90%, 3/18/213 |
398,800,000 | RUR | 11,925,981 | |||||||||
Vnesheconombank Via VEB Finance plc Sr. Unsec. Nts., 6.025%, 7/15/207,8 |
39,150,000 | 39,468,094 | ||||||||||
|
|
|||||||||||
297,267,156 | ||||||||||||
Singapore0.2% |
||||||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 |
24,145,000 | SGD | 20,808,349 | |||||||||
Slovakia0.2% |
||||||||||||
Slovakia (Republic of) Bonds, 4.375%, 5/21/226 |
21,500,000 | 21,285,000 | ||||||||||
South Africa4.3% |
||||||||||||
South Africa (Republic of) Bonds: |
||||||||||||
Series R209, 6.25%, 3/31/36 |
608,540,000 | ZAR | 57,035,621 | |||||||||
Series R208, 6.75%, 3/31/21 |
798,480,000 | ZAR | 94,415,392 | |||||||||
Series R213, 7%, 2/28/31 |
779,580,000 | ZAR | 83,365,505 | |||||||||
Series R207, 7.25%, 1/15/20 |
1,108,960,000 | ZAR | 136,513,607 | |||||||||
Series R186, 10.50%, 12/21/26 |
939,885,000 | ZAR | 139,755,143 | |||||||||
South Africa (Republic of) Sr. Unsec. Nts., 4.665%, 1/17/24 |
19,275,000 | 20,961,563 | ||||||||||
|
|
|||||||||||
532,046,831 |
6 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Spain0.4% |
||||||||||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.30%, 10/31/19 |
27,205,000 | EUR | 30,901,878 | |||||||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 |
18,140,000 | EUR | 16,799,357 | |||||||||
|
|
|||||||||||
47,701,235 | ||||||||||||
Sri Lanka0.2% |
||||||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: |
||||||||||||
6.25%, 10/4/206 |
8,755,000 | 9,017,650 | ||||||||||
6.25% 7/27/216 |
10,990,000 | 11,109,220 | ||||||||||
|
|
|||||||||||
20,126,870 | ||||||||||||
The Netherlands1.5% |
||||||||||||
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 |
123,845,000 | EUR | 181,483,548 | |||||||||
Principal Amount |
Value | |||||||||||
Turkey5.1% |
||||||||||||
Turkey (Republic of) Bonds: |
||||||||||||
6.875%, 3/17/36 |
$ | 18,150,000 | $ | 21,376,163 | ||||||||
7%, 3/11/19 |
8,515,000 | 9,930,619 | ||||||||||
9%, 3/5/14 |
277,965,000 | TRY | 155,774,137 | |||||||||
9%, 3/8/17 |
314,705,000 | TRY | 177,581,671 | |||||||||
9.50%, 1/12/223 |
109,235,000 | TRY | 64,115,539 | |||||||||
10.012%, 7/17/135 |
216,275,000 | TRY | 109,448,185 | |||||||||
10.50%, 1/15/203 |
10,760,000 | TRY | 6,553,575 | |||||||||
15.577%, 8/14/134 |
21,120,000 | TRY | 17,165,169 | |||||||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 |
10,900,000 | 12,739,375 | ||||||||||
Turkey (Republic of) Unsec. Bonds, 6.25%, 9/26/22 |
29,780,000 | 33,800,300 | ||||||||||
Turkey (Republic of) Unsec. Nts.: |
||||||||||||
5.125%, 3/25/22 |
7,625,000 | 7,958,594 | ||||||||||
6%, 1/14/41 |
16,050,000 | 16,952,813 | ||||||||||
|
|
|||||||||||
633,396,140 | ||||||||||||
Ukraine0.2% |
||||||||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/206 |
5,710,000 | 5,201,810 | ||||||||||
Ukraine (Republic of) Sr. Unsec. Nts.: |
||||||||||||
6.75%, 11/14/176 |
12,595,000 | 11,252,373 | ||||||||||
7.95%, 2/23/216 |
8,455,000 | 7,753,235 | ||||||||||
|
|
|||||||||||
24,207,418 | ||||||||||||
United Kingdom3.0% |
||||||||||||
United Kingdom Treasury Bonds: |
||||||||||||
3.75%, 9/7/21 |
44,135,000 | GBP | 81,395,554 | |||||||||
4%, 9/7/16 |
67,260,000 | GBP | 119,981,323 | |||||||||
4.75%, 12/7/38 |
83,395,000 | GBP | 174,076,402 | |||||||||
|
|
|||||||||||
375,453,279 |
7 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Uruguay0.5% |
||||||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 |
22,250,000 | 32,262,500 | ||||||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 |
19,366,250 | 27,354,828 | ||||||||||
|
|
|||||||||||
59,617,328 | ||||||||||||
Venezuela0.9% |
||||||||||||
Venezuela (Republic of) Bonds: |
||||||||||||
9%, 5/7/23 |
38,995,000 | 30,221,125 | ||||||||||
11.95%, 8/5/31 |
10,205,000 | 9,133,475 | ||||||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 |
15,200,000 | 11,058,000 | ||||||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||||||
7.75%, 10/13/19 |
11,135,000 | 8,601,788 | ||||||||||
12.75%, 8/23/22 |
7,900,000 | 7,623,500 | ||||||||||
Venezuela (Republic of) Unsec. Bonds: |
||||||||||||
7%, 3/31/38 |
15,685,000 | 10,352,100 | ||||||||||
7.65%, 4/21/25 |
25,680,000 | 17,847,600 | ||||||||||
|
|
|||||||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/186 |
21,165,000 | 20,635,875 | ||||||||||
|
|
|||||||||||
115,473,463 | ||||||||||||
|
|
|||||||||||
Total Foreign Government Obligations (Cost $8,340,101,385) |
|
8,415,324,135 | ||||||||||
Principal Amount |
Value | |||||||||||
Corporate Bonds and Notes22.5% |
||||||||||||
Consumer Discretionary0.1% |
||||||||||||
Automobiles0.1% |
||||||||||||
Jaguar Land Rover plc, 8.25% Sr. Nts., 3/15/206 |
8,855,000 | GBP | $ | 14,166,391 | ||||||||
Consumer Staples0.3% |
||||||||||||
Beverages0.1% |
||||||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/173 |
11,985,000 | BRR | 6,539,239 | |||||||||
Food & Staples Retailing0.1% |
||||||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/216 |
19,520,000 | 20,357,584 | ||||||||||
Food Products0.1% |
||||||||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/156 |
16,260,000 | 15,752,038 | ||||||||||
Energy5.2% |
||||||||||||
Oil, Gas & Consumable Fuels5.2% |
||||||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/156 |
12,125,000 | 12,549,375 |
8 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Gaz Capital SA: |
||||||||
7.288% Sr. Sec. Nts., 8/16/376 |
47,500,000 | 54,150,000 | ||||||
8.146% Sr. Sec. Nts., 4/11/186 |
24,310,000 | 29,068,002 | ||||||
8.625% Sr. Sec. Nts., 4/28/346 |
15,325,000 | 19,577,688 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/196 |
43,260,000 | 54,174,065 | ||||||
Gazprom Via Gaz Capital SA, 5.999% Sr. Unsec. Nts., 1/23/216 |
10,000,000 | 10,770,200 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/216 |
15,750,000 | 17,403,750 | ||||||
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/186 |
38,535,000 | 47,831,569 | ||||||
Lukoil International Finance BV: |
||||||||
6.125% Sr. Unsec. Nts., 11/9/206 |
34,700,000 | 36,563,390 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/226 |
27,285,000 | 30,037,784 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/196 |
5,560,000 | 6,282,800 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/216 |
11,446,400 | 12,047,336 | ||||||
Pemex Project Funding Master Trust, 6.625% Unsec. Unsub. Bonds, 6/15/35 |
36,620,000 | 43,760,900 | ||||||
Pertamina Persero PT: |
||||||||
5.25% Nts., 5/23/216 |
13,125,000 | 13,781,250 | ||||||
6% Sr. Unsec. Nts., 5/3/426 |
13,430,000 | 13,329,275 | ||||||
6.50% Sr. Unsec. Nts., 5/27/416 |
9,810,000 | 10,398,600 | ||||||
Petrobras International Finance Co.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 1/27/21 |
33,700,000 | 36,514,422 | ||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 |
11,585,000 | 12,738,310 | ||||||
Petroleos de Venezuela SA: |
||||||||
4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 |
21,535,000 | 18,573,938 | ||||||
8.50% Sr. Nts., 11/2/176 |
24,460,000 | 19,934,900 | ||||||
12.75% Sr. Unsec. Nts., 2/17/226 |
11,725,000 | 11,050,813 | ||||||
Petroleos Mexicanos: |
||||||||
4.875% Sr. Unsec. Unsub. Nts., 1/24/226 |
24,000,000 | 25,980,000 | ||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 |
16,700,000 | 18,954,500 | ||||||
5.50% Sr. Unsec. Unsub. Nts., 6/27/446 |
16,025,000 | 16,425,625 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 |
20,260,000 | 23,531,990 | ||||||
Principal Amount |
Value | |||||||
Oil, Gas & Consumable Fuels Continued |
| |||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/196 |
$ | 23,960,000 | $ | 29,626,540 | ||||
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/226 |
15,160,000 | 15,235,800 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/147 |
4,600,373 | 4,810,150 | ||||||
|
|
|||||||
645,102,972 |
9 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Financials10.4% |
| |||||||||
Capital Markets0.4% |
| |||||||||
Credit Suisse AG (Guernsey), 1.625% Sec. Bonds, 3/6/156 |
13,597,500 | 13,672,177 | ||||||||
Korea Development Bank (The), 3.875% Sr. Unsec. Nts., 5/4/17 |
12,705,000 | 13,544,559 | ||||||||
UBS AG (London), 2.25% Sec. Nts., 3/30/176 |
17,705,000 | 17,787,240 | ||||||||
|
|
|||||||||
45,003,976 | ||||||||||
Commercial Banks8.4% |
||||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/157 |
18,710,000 | 19,155,298 | ||||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/176 |
12,715,000 | 12,861,223 | ||||||||
Australia & New Zealand Banking Group Ltd., 2.40% Sec. Bonds, 11/23/166 |
22,720,000 | 23,297,088 | ||||||||
Banco BMG SA: |
||||||||||
9.15% Nts., 1/15/167 |
9,220,000 | 8,436,300 | ||||||||
9.95% Unsec. Unsub. Nts., 11/5/196 |
9,060,000 | 8,289,900 | ||||||||
Banco de Credito del Peru, 5.375% Sr. Nts., 9/16/206 |
9,260,000 | 9,653,550 | ||||||||
Banco de Credito del Peru/Panama, 6.875% Sub. Nts., 9/16/263,6 |
6,104,000 | 6,668,620 | ||||||||
Banco del Estado de Chile, 3.875% Sr. Unsec. Nts., 2/8/226 |
14,085,000 | 14,407,293 | ||||||||
Banco do Brasil SA, 5.875% Unsec. Sub. Nts., 1/26/226 |
7,790,000 | 8,033,827 | ||||||||
Banco do Brasil SA (Cayman), 9.25% Perpetual Jr. Sub. Bonds6,9 |
55,990,000 | 62,361,662 | ||||||||
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/226 |
15,140,000 | 15,594,200 | ||||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/206 |
9,350,000 | 10,051,250 | ||||||||
Bank of Scotland plc: |
||||||||||
4.875% Sr. Sec. Nts., 12/20/24 |
7,625,000 | GBP | 13,014,244 | |||||||
4.875% Sr. Sec. Unsub. Nts., 11/8/16 |
4,535,000 | GBP | 7,862,878 | |||||||
Barclays Bank plc, 2.25% Sr. Sec. Bonds, 5/10/176 |
31,010,000 | 31,057,786 | ||||||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/156 |
28,435,000 | 29,501,313 | ||||||||
BPCE SFH SA, 3.75% Sr. Sec. Nts., 9/13/21 |
20,715,000 | EUR | 27,839,445 | |||||||
Compagnie de Financement Foncier: |
||||||||||
4.875% Sec. Nts., 5/25/21 |
13,605,000 | EUR | 19,526,481 | |||||||
5.75% Sec. Nts., 10/4/21 |
5,440,000 | EUR | 8,327,923 | |||||||
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/226 |
14,700,000 | 15,435,000 | ||||||||
EUROFIMA Bonds, 6.25%, 12/28/18 |
31,010,000 | AUD | 34,331,933 |
10 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Grupo Aval Ltd., 5.25% Sr. Unsec. Nts., 2/1/176 |
16,005,000 | 16,845,263 | ||||||||||
Halyk Savings Bank of Kazakhstan JSC: |
||||||||||||
7.25% Unsec. Unsub. Nts., 5/3/176 |
4,165,000 | 4,165,000 | ||||||||||
9.25% Sr. Nts., 10/16/137 |
60,130,000 | 63,025,680 | ||||||||||
ICICI Bank Ltd., 6.375% Bonds, 4/30/223,6 |
24,738,000 | 22,264,200 | ||||||||||
Principal Amount |
Value | |||||||||||
Commercial Banks Continued |
| |||||||||||
Lloyds TSB Bank plc, 6% Sr. Sec. Nts., 2/8/29 |
13,525,000 | GBP | $ | 25,309,126 | ||||||||
National Australia Bank Ltd., 2% Sec. Bonds, 6/20/176 |
26,540,000 | 26,532,038 | ||||||||||
Sberbank of Russia Via SB Capital SA: |
||||||||||||
4.95% Sr. Nts., 2/7/176 |
10,000,000 | 10,200,000 | ||||||||||
5.40% Sr. Unsec. Nts., 3/24/17 |
23,200,000 | 24,156,304 | ||||||||||
6.125% Sr. Nts., 2/7/226 |
38,995,000 | 40,785,650 | ||||||||||
Societe Generale SCF SA, 2.018% Sec. Unsub. Nts., 6/19/173 |
4,500,000 | 4,280,850 | ||||||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/176 |
22,130,000 | 22,269,419 | ||||||||||
Stadshypotek AB: |
||||||||||||
6% Sec. Unsub. Bonds, 6/21/17 |
1,138,000,000 | SEK | 189,758,574 | |||||||||
6% Sec. Unsub. Bonds, 9/21/16 |
226,000,000 | SEK | 37,218,050 | |||||||||
Swedbank Hypotek AB: |
||||||||||||
2.375% Sec. Nts., 4/5/176 |
16,820,000 | 17,023,522 | ||||||||||
3.75% Bonds, 3/15/17 |
458,000,000 | SEK | 69,307,173 | |||||||||
Toronto-Dominion Bank (The), 1.50% Sec. Bonds, 3/13/176 |
18,130,000 | 18,314,926 | ||||||||||
Turkiye Vakiflar Bankasi TAO, 5.75% Sr. Unsec. Nts., 4/24/176 |
9,085,000 | 9,221,275 | ||||||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/206 |
17,470,000 | 18,967,528 | ||||||||||
VTB Capital SA: |
||||||||||||
6.315% Nts., 2/22/186 |
18,500,000 | 18,800,625 | ||||||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/156 |
5,635,000 | 5,923,794 | ||||||||||
Yapi ve Kredi Bankasi AS, 6.75% Sr. Unsec. Nts., 2/8/176 |
7,905,000 | 8,092,744 | ||||||||||
|
|
|||||||||||
1,038,168,955 | ||||||||||||
Consumer Finance0.0% |
||||||||||||
JSC Astana Finance, 9.16% Nts., 3/14/1210 |
14,000,000 | 1,400,000 | ||||||||||
Diversified Financial Services1.6% |
||||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/266 |
18,487,974 | 18,047,960 | ||||||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 |
30,082,000 | EUR | 40,469,350 |
11 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Banco Invex SA, 30.555% Mtg.-Backed Certificates, Series 062U, 3/13/343,4 |
27,603,725 | MXN | 2,690,427 | |||||||
Bank of America Corp., 4.75% Sr. Unsec. Nts., 4/3/17 |
9,065,000 | EUR | 11,953,686 | |||||||
Caisse Centrale Desjardins du Quebec, 1.60% Sec. Bonds, 3/6/176 |
18,125,000 | 18,357,000 | ||||||||
Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/196 |
12,020,000 | 12,395,625 | ||||||||
Instituto de Credito Oficial: |
||||||||||
1.95% Sr. Unsec. Unsub. Nts., 12/20/22 |
8,850,000 | GBP | 13,206,488 | |||||||
5% Sr. Unsec. Unsub. Nts., 11/14/16 |
18,130,000 | 17,021,296 | ||||||||
5% Sr. Unsec. Unsub. Nts., 4/10/17 |
44,235,000 | 40,143,528 | ||||||||
JPMorgan Hipotecaria su Casita: |
||||||||||
8.066% Sec. Nts., 8/26/354,7 |
34,101,099 | MXN | 306,763 | |||||||
28.897% Mtg.-Backed Certificates, Series 06U, 9/25/353,4 |
10,161,973 | MXN | 1,437,154 | |||||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 |
15,360,000 | 16,426,675 | ||||||||
|
|
|||||||||
192,455,952 | ||||||||||
Thrifts & Mortgage Finance0.0% |
||||||||||
Compagnie de Financement Foncier, 5.625% Sr. Sec. Nts., 6/19/17 |
3,175,000 | 3,509,963 | ||||||||
Principal Amount |
Value | |||||||||
Industrials0.7% |
| |||||||||
Aerospace & Defense0.1% |
| |||||||||
Embraer SA, 5.15% Sr. Unsec. Unsub. Nts., 6/15/22 |
$ | 8,755,000 | $ | 9,008,895 | ||||||
Construction & Engineering0.3% |
||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/247 |
14,322,298 | 17,258,369 | ||||||||
Odebrecht Finance Ltd.: |
||||||||||
5.125% Sr. Nts., 6/26/227 |
11,655,000 | 11,567,588 | ||||||||
7% Sr. Unsec. Nts., 4/21/206 |
6,815,000 | 7,496,500 | ||||||||
7.125% Sr. Nts., 6/26/427 |
8,745,000 | 8,745,000 | ||||||||
|
|
|||||||||
45,067,457 | ||||||||||
Industrial Conglomerates0.2% |
||||||||||
GE Capital Australia Funding Pty Ltd., 7% Bonds, 10/8/15 |
20,805,000 | AUD | 22,846,064 | |||||||
Road & Rail0.1% |
||||||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/206 |
8,215,000 | 9,077,575 | ||||||||
Materials1.1% |
||||||||||
Chemicals0.3% |
||||||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/416 |
5,500,000 | 5,513,750 | ||||||||
Braskem Finance Ltd.: |
||||||||||
5.375% Sr. Unsec. Nts., 5/2/226 |
11,710,000 | 11,797,825 | ||||||||
5.75% Sr. Unsec. Nts., 4/15/216 |
11,725,000 | 12,106,063 | ||||||||
|
|
|||||||||
29,417,638 |
12 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Metals & Mining0.8% |
| |||||||||
Alrosa Co. Ltd., 8.25% Sr. Unsec. Nts., 6/23/153 |
182,270,000 | RUR | 5,639,262 | |||||||
Alrosa Finance SA, 7.75% Nts., 11/3/206 |
13,020,000 | 13,700,555 | ||||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/166 |
9,050,000 | 6,968,500 | ||||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/196 |
7,345,000 | 8,042,775 | ||||||||
Evraz Group SA, 7.40% Nts., 4/24/176 |
12,115,000 | 11,935,456 | ||||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/166 |
10,305,000 | 9,351,788 | ||||||||
JSC Severstal, 6.70% Nts., 10/25/176 |
16,030,000 | 16,255,382 | ||||||||
Vale Overseas Ltd., 4.375% Sr. Unsec. Unsub. Nts., 1/11/22 |
30,000,000 | 30,723,360 | ||||||||
|
|
|||||||||
102,617,078 | ||||||||||
Telecommunication Services2.0% |
||||||||||
Diversified Telecommunication Services0.9% |
||||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/196 |
10,977,000 | 7,354,590 | ||||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/166 |
30,440,000 | BRR | 15,951,257 | |||||||
Qtel International Finance Ltd., 4.75% Sr. Unsec. Nts., 2/16/216 |
24,800,000 | 26,474,000 | ||||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/206 |
39,166,000 | 40,145,150 | ||||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/186 |
20,000,000 | 17,600,000 | ||||||||
|
|
|||||||||
107,524,997 | ||||||||||
Wireless Telecommunication Services1.1% |
||||||||||
America Movil SAB de CV: |
||||||||||
5% Sr. Unsec. Unsub. Nts., 3/30/20 |
18,000,000 | 20,544,876 | ||||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
140,800,000 | MXN | 11,095,585 | |||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/206 |
16,520,000 | 18,992,879 | ||||||||
Principal Amount |
Value | |||||||||
Wireless Telecommunication Services Continued |
| |||||||||
Sistema International Funding SA, 6.95% Unsec. Nts., 5/17/196 |
$ | 12,105,000 | $ | 11,968,819 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: |
||||||||||
7.748% Sec. Nts., 2/2/216 |
9,805,000 | 9,493,593 | ||||||||
9.125% Sr. Unsec. Nts., 4/30/186 |
35,235,000 | 37,613,363 |
13 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Vimpel-Communications: |
||||||||||
8.85% Sr. Unsec. Nts., 3/8/223 |
199,300,000 | RUR | 5,975,385 | |||||||
8.85% Sr. Unsec. Nts., 3/8/223 |
199,300,000 | RUR | 5,975,385 | |||||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/226 |
16,490,000 | 15,532,591 | ||||||||
|
|
|||||||||
137,192,476 | ||||||||||
Utilities2.7% |
||||||||||
Electric Utilities2.1% |
||||||||||
Centrais Eletricas Brasileiras SA, 5.75% Sr. Unsec. Unsub. Nts., 10/27/216 |
16,470,000 | 18,084,060 | ||||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/226 |
6,530,000 | 2,383,450 | ||||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/196 |
14,300,000 | 17,517,500 | ||||||||
Eskom Holdings Ltd.: |
||||||||||
5.75% Sr. Unsec. Bonds, 1/26/216 |
15,910,000 | 17,481,113 | ||||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 |
294,000,000 | ZAR | 34,003,619 | |||||||
10% Nts., Series ES23, 1/25/23 |
368,000,000 | ZAR | 51,675,871 | |||||||
Israel Electric Corp. Ltd.: |
||||||||||
6.70% Sr. Unsec. Nts., 2/10/176 |
9,480,000 | 9,835,974 | ||||||||
7.25% Nts., 1/15/196 |
41,280,000 | 42,280,668 | ||||||||
Majapahit Holding BV: |
||||||||||
7.75% Nts., 10/17/166 |
15,375,000 | 17,623,594 | ||||||||
8% Sr. Unsec. Nts., 8/7/196 |
11,780,000 | 14,253,800 | ||||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
665,100,000 | PHP | 16,030,370 | |||||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/216 |
20,220,000 | 21,231,000 | ||||||||
|
|
|||||||||
262,401,019 | ||||||||||
Energy Traders0.3% |
||||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/206 |
15,955,000 | 17,244,691 | ||||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/216 |
16,985,000 | 18,513,650 | ||||||||
|
|
|||||||||
35,758,341 | ||||||||||
Gas Utilities0.2% |
||||||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/216 |
7,705,000 | 8,167,300 | ||||||||
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec. Nts., 3/20/226 |
11,195,000 | 11,670,788 | ||||||||
|
|
|||||||||
19,838,088 |
14 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Water Utilities0.1% |
| |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/206 |
11,825,000 | 12,593,625 | ||||||||
|
|
|||||||||
Total Corporate Bonds and Notes (Cost $2,738,264,854) |
|
2,775,800,323 | ||||||||
Principal Amount |
Value | |||||||||
Corporate Loans0.0% |
| |||||||||
Hallertau SPC, Sr. Sec. Credit Facilities Term Loan, 7.94%, 9/17/1310 |
$ | 15,837,500 | $ | 5,543,125 | ||||||
Structured Securities3.6% |
||||||||||
Barclays Bank plc: |
||||||||||
Indonesia (Republic of) Total Return Linked Bonds, 7%, 5/19/27 |
110,730,000,000 | IDR | 12,290,234 | |||||||
Indonesia (Republic of) Total Return Linked Bonds, 8.25%, 6/17/32 |
203,870,000,000 | IDR | 24,852,931 | |||||||
Citigroup Global Markets Holdings, Inc.: |
||||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/187 |
11,920,000,000 | COP | 8,307,976 | |||||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/244,7 |
6,450,000,000 | COP | 4,478,589 | |||||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
86,317,000,000 | COP | 59,934,631 | |||||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 |
26,964,000,000 | COP | 18,913,412 | |||||||
Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/1110 |
220,242,600 | RUR | | |||||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/1010 |
64,600,000 | RUR | | |||||||
Deutsche Bank AG: |
||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/255,7 |
4,294,859 | 3,090,625 | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/255,7 |
5,472,310 | 3,937,931 | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/255,7 |
4,724,463 | 3,399,773 | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/255,7 |
4,223,075 | 3,038,969 | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/255,7 |
5,258,071 | 3,783,762 | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/255,7 |
6,001,290 | 4,318,590 |
15 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/255,7 |
4,794,328 | 3,450,048 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/255,7 |
4,506,465 | 3,242,899 | ||||||||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/153,7 |
1,273,571 | MXN | 91,653 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/153,7 |
2,228,143 | MXN | 160,350 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/153,7 |
33,594,990 | MXN | 2,417,685 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/153,7 |
2,448,357 | MXN | 176,198 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/153,7 |
1,778,777 | MXN | 128,011 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.265%, 5/22/153,7 |
1,136,016 | MXN | 81,754 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/153,7 |
209,208 | MXN | 15,056 | |||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., |
376,977,600,000 | COP | 17,400,837 | |||||||||
Hallertau SPC Credit Linked Nts.: |
||||||||||||
Series 2007-01, 2.787%, 12/20/173,7 |
42,470,000 | 36,592,152 | ||||||||||
Series 2008-01, 9.888%, 8/2/105,7,10 |
63,164,246 | BRR | 3,144,847 | |||||||||
HSBC Bank USA NA, Indonesia (Republic of) Credit Linked Nts., 8.25%, 6/15/326 |
135,910,000,000 | IDR | 16,568,214 | |||||||||
JPMorgan Chase & Co.: |
||||||||||||
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/165,7 |
68,635,000,000 | COP | 31,234,560 |
Principal Amount |
Value | |||||||||||
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/165,7 |
90,697,000,000 | COP | $ | 39,234,760 | ||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/207 |
12,645,000,000 | COP | 8,869,354 | |||||||||
Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/207 |
45,193,500,000 | COP | 31,699,262 | |||||||||
Indonesia (Republic of) Credit Linked Nts., 7%, 5/19/276 |
260,530,000,000 | IDR | 28,916,958 | |||||||||
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/165,10 |
1,426,420 | 142,642 | ||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/167 |
13,289,000,000 | COP | 7,907,923 | |||||||||
Morgan Stanley: |
||||||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/176 |
26,120,000 | PEN | 8,509,701 | |||||||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 |
273,476,784 | RUR | 4,006,706 |
16 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Morgan Stanley Capital Services, Inc.: |
||||||||||||
Brazil (Federative Republic of) Credit Linked Nts., 12.551%, 1/5/225,6 |
173,500,000 | BRR | 12,957,431 | |||||||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/156 |
11,760,000 | 9,772,560 | ||||||||||
UBS AG, Indonesia (Republic of) Total Return Linked Nts., 8.25%, 6/17/32 |
184,730,000,000 | IDR | 22,519,654 | |||||||||
|
|
|||||||||||
Total Structured Securities (Cost $494,695,875) |
439,588,638 |
Expiration Date |
Strike Price |
Contracts | ||||||||||||
Options Purchased1.3% |
||||||||||||||
Australian Dollar (AUD) Call11 |
8/23/12 | 1AUD per 1.035USD | 65,875,000 | 579,815 | ||||||||||
Australian Dollar (AUD) Call11 |
8/31/12 | 1AUD per 1.095USD | 72,290,000 | 1,211,297 | ||||||||||
Australian Dollar (AUD) Call11 |
8/31/12 | 1AUD per 1.095USD | 72,290,000 | 1,211,297 | ||||||||||
Australian Dollar (AUD) Call11 |
8/31/12 | 1AUD per 1.095USD | 43,370,000 | 726,711 | ||||||||||
Brazilian Real (BRR) Call11 |
10/17/12 | 1USD per 1.90BRR | 190,000,000 | 557,530 | ||||||||||
Brazilian Real (BRR) Call11 |
10/18/12 | 1USD per 1.82BRR | 120,205,000 | 102,839 | ||||||||||
Brazilian Real (BRR) Call11 |
10/18/12 | 1USD per 1.90BRR | 125,380,000 | 371,162 | ||||||||||
Brazilian Real (BRR) Put11 |
12/4/12 | 1BRR per 40.88JPY | 8,000,000,000 | 1,955,416 | ||||||||||
Canadian Dollar (CAD) Put11 |
10/8/12 | 1AUD per 0.98CAD | 88,570,000 | 270,641 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Call11 |
7/9/12 | 1.290 | 107 | 14,713 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Call11 |
7/9/12 | 1.310 | 107 | 2,675 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Call11 |
7/9/12 | 1.330 | 1 | 6 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.160 | 8 | 50 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.170 | 1,054 | 6,588 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.190 | 660 | 4,125 |
17 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | $ | 1.230 | 1,611 | $ | 80,550 | ||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.190 | 494 | 3,088 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.200 | 291 | 1,819 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.200 | 1,194 | 7,463 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.210 | 305 | 3,813 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.230 | 1,506 | 56,475 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.250 | 84 | 14,700 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.250 | 355 | 93,188 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
7/9/12 | 1.260 | 5 | 2,938 | ||||||||||||
Euro (EUR) FX Futures, 9/17/12 Put11 |
9/10/12 | 1.200 | 300 | 195,000 | ||||||||||||
Euro (EUR) Put11 |
2/7/13 | 1EUR per 1.30USD | 125,000,000 | 7,540,741 | ||||||||||||
Euro (EUR) Put11 |
2/12/13 | 1EUR per 1.305USD | 300,000,000 | 19,824,372 | ||||||||||||
Euro (EUR) Put11 |
2/12/13 | 1EUR per 1.305USD | 200,000,000 | 13,216,248 | ||||||||||||
Euro (EUR) Put11 |
2/15/13 | 1EUR per 1.30USD | 125,000,000 | 7,928,820 | ||||||||||||
Euro (EUR) Put11 |
2/19/13 | 1EUR per 1.30USD | 200,000,000 | 12,768,660 | ||||||||||||
Euro (EUR) Put11 |
2/21/13 | 1EUR per 1.31USD | 125,000,000 | 8,755,283 | ||||||||||||
Euro$ 1 yr. MID-CRV Futures, 9/16/13 Put11 |
7/16/12 | 99.25 | 1,982 | 24,775 | ||||||||||||
Euro$ 1 yr. MID-CRV Futures, 9/16/13 Put11 |
9/17/12 | 99.25 | 989 | 49,450 |
18 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Japanese Yen (JPY) Call11 |
7/24/12 | 1USD per 75JPY | 12,244,000,000 | 4,041 | ||||||||||||
Japanese Yen (JPY) Call11 |
7/24/12 | 1USD per 75JPY | 12,447,000,000 | 4,108 | ||||||||||||
Japanese Yen (JPY) Call11 |
8/9/12 | 1USD per 75JPY | 12,247,830,000 | 29,640 | ||||||||||||
Japanese Yen (JPY) Call11 |
9/13/12 | 1USD per 75JPY | 9,071,000,000 | 178,245 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Call11 |
7/9/12 | 128.500 | 94 | 2,938 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Call11 |
7/9/12 | 131.500 | 324 | 2,025 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Call11 |
7/9/12 | 133.000 | 107 | 669 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Call11 |
7/9/12 | 133.500 | 324 | 2,025 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Call11 |
9/10/12 | 141.000 | 107 | 1,338 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Put11 |
7/9/12 | 123.000 | 175 | 13,125 | ||||||||||||
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Put11 |
7/9/12 | $ | 123.500 | 532 | $ | 73,150 | ||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Put11 |
7/9/12 | 124.000 | 429 | 96,525 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Put11 |
9/10/12 | 120.000 | 687 | 309,150 | ||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 Put11 |
9/10/12 | 122.000 | 98 | 86,975 | ||||||||||||
Japanese Yen (JPY) Put11 |
3/29/13 | 1USD per 85JPY | 7,283,000,000 | 1,135,638 | ||||||||||||
Japanese Yen (JPY) Put11 |
5/31/13 | 1USD per 82JPY | 2,189,500,806 | 743,620 | ||||||||||||
Japanese Yen (JPY) Put11 |
3/11/13 | 1USD per 81.90JPY | 8,230,000,000 | 2,203,994 | ||||||||||||
Japanese Yen (JPY) Put11 |
5/27/13 | 1USD per 82JPY | 9,950,000,000 | 3,338,623 |
19 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Japanese Yen (JPY) Put11 |
5/31/13 | 1USD per 82JPY | 9,794,000,000 | 3,326,336 | ||||||||||||
Japanese Yen (JPY) Put11 |
6/17/13 | 1USD per 80JPY | 8,000,000,000 | 3,951,840 | ||||||||||||
Japanese Yen (JPY) Put11 |
6/17/13 | 1USD per 80JPY | 8,000,000,000 | 3,951,840 | ||||||||||||
Japanese Yen (JPY) Put11 |
6/25/13 | 1USD per 82JPY | 12,000,000,000 | 4,382,280 | ||||||||||||
Mexican Nuevo Peso (MXN) Call11 |
11/9/12 | 1USD per 12.84MXN | 1,694,600,000 | 1,659,793 | ||||||||||||
Mexican Nuevo Peso (MXN) Call11 |
11/13/12 | 1USD per 12.925MXN | 1,705,900,000 | 1,949,758 | ||||||||||||
Mexican Nuevo Peso (MXN) Call11 |
11/30/12 | 1USD per 13.333MXN | 1,532,340,000 | 3,349,680 | ||||||||||||
Mexican Nuevo Peso (MXN) Put11 |
9/26/12 | 1USD per 13MXN | 94,255,000 | 572,768 | ||||||||||||
New Turkish Lira (TRY) Call11 |
8/30/12 | 1USD per 1.80TRY | 130,100,000 | 826,756 | ||||||||||||
New Turkish Lira (TRY) Call11 |
9/3/12 | 1USD per 1.80TRY | 104,160,000 | 701,249 | ||||||||||||
New Turkish Lira (TRY) Call11 |
9/3/12 | 1USD per 1.81TRY | 98,130,000 | 789,496 | ||||||||||||
Polish Zloty (PLZ) Call11 |
8/31/12 | 1USD per 3.32PLZ | 240,140,000 | 1,737,896 | ||||||||||||
Polish Zloty (PLZ) Call11 |
8/31/12 | 1USD per 3.311PLZ | 143,610,000 | 969,197 | ||||||||||||
Russian Ruble (RUR) Call11 |
11/29/12 | 1USD per 31.25RUR | 2,772,700,000 | 843,788 | ||||||||||||
Russian Ruble (RUR) Call11 |
12/3/12 | 1USD per 32.421RUR | 3,242,100,000 | 2,148,540 | ||||||||||||
South African Rand (ZAR) Call11 |
8/31/12 | 1USD per 8.0015ZAR | 578,430,000 | 895,346 | ||||||||||||
South African Rand (ZAR) Call11 |
8/31/12 | 1USD per 8.018ZAR | 405,740,000 | 664,484 | ||||||||||||
South Korean Won (KRW) Call11 |
8/31/12 | 1USD per 1,135.50KRW | 82,090,000,000 | 694,481 | ||||||||||||
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
South Korean Won (KRW) Call11 |
8/31/12 | $ | 1USD per 1,136.50KRW | 53,400,000,000 | $ | 470,988 | ||||||||||
South Korean Won (KRW) Call11 |
8/31/12 | 1USD per 1,138.00KRW | 45,245,000,000 | 423,946 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put11 |
7/30/12 | 131.500 | 2,886 | 496,031 |
20 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put11 |
7/30/12 | 132.500 | 2,219 | 832,125 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put11 |
8/27/12 | 128.000 | 346 | 21,625 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put11 |
8/27/12 | 130.000 | 346 | 59,469 | ||||||||||||
United States Dollar (USD) Put, 2/26/1311 |
2/26/13 | 1EUR per 1.32USD | 125,000,000 | 9,306,188 | ||||||||||||
United States Dollar (USD) Put, 2/5/1311 |
2/5/13 | 1EUR per 1.30USD | 250,000,000 | 15,094,280 | ||||||||||||
United States Dollar (USD) Put, 2/7/1311 |
2/7/13 | 1EUR per 1.30USD | 125,000,000 | 7,583,523 | ||||||||||||
United States Dollar (USD) Put, 8/2/1211 |
8/2/12 | 1EUR per 1.30USD | 125,000,000 | 4,691,913 | ||||||||||||
Worst performing of: Euro (EUR) Put/United States Dollar (USD) Call or the United States Dollar (USD) Call/ Japanese Yen (JPY) Put11 |
7/26/12 |
|
1EUR per 1.275USD/ 1USD per 79.50JPY |
|
26,893,000 | 133,389 | ||||||||||
|
|
|||||||||||||||
Total Options Purchased (Cost $160,689,572) |
|
158,337,082 |
Swaption Expiration Date |
Notional Amount |
|||||||||||
Swaptions Purchased0.5% |
||||||||||||
Barclays Bank plc; |
||||||||||||
Interest Rate Swaption (European); Swap Terms: Paid: 2.67%; Received: Three-Month USD BBA LIBOR; Termination Date: 6/18/4411 |
6/17/14 | $ | 100,000,000 | $ | 10,559,537 |
21 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 3.10%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/20/4311 |
5/17/13 | 100,000,000 | 3,201,646 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.40%; Termination Date: 4/9/2411 |
4/8/14 | 100,000,000 | 5,029,963 |
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
|
|
|
|
|
|
|||||||
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: 1.35%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/5/1711 |
11/2/12 | $ | 94,300,000 | $ | 200,251 | |||||||
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: 2.195%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/2/1911 |
10/1/12 | 132,000,000 | 53,578 |
22 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: 2.275%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/9/2211 |
7/5/12 | 162,515,000 | 1 | |||||||||
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: 3.10%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/22/4311 |
5/21/13 | 53,700,000 | 1,741,698 | |||||||||
Bank of America NA; Index Credit Default Swaption (European); Swap Terms: Paid: Sell Protection on iTraxx Europe Crossover Series 17 Version 1; Received: 5%; Termination Date: 6/20/1711 |
9/20/12 | 94,255,000 | 2,067,670 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 2.67%; Received: Six-Month EUR EURIBOR; Termination Date: 5/8/4411 |
5/7/14 | 76,905,000 | 8,122,413 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 2.695%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/15/2311 |
4/12/13 | 134,520,000 | 1,193,061 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 3.48%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/27/4711 |
4/26/17 | 76,880,000 | 7,555,777 |
23 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: 1.266%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/7/1711 |
9/6/12 | $ | 150,000,000 | $ | 134,722 | |||||||
Bank of America NA, Interest Rate Swaption (European); Swap Terms: Paid: |
9/6/12 | 150,000,000 | 302,913 | |||||||||
Goldman Sachs Bank USA, Interest Rate Swaption (European); Swap Terms: Paid: 3.10%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/20/4311 |
5/17/13 | 100,000,000 | 3,201,646 |
24 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Goldman Sachs Bank USA; Interest Rate Swaption (European); Swap Terms: Paid: 2.185%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/13/2211 |
7/12/12 | 81,025,000 | 1,626 | |||||||||
Goldman Sachs Bank USA, Interest Rate Swaption (European); Swap Terms: Paid: 2.495%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/22/2211 |
11/23/12 | 213,400,000 | 891,859 | |||||||||
Goldman Sachs Bank USA, Interest Rate Swaption (European); Swap Terms: Paid: 1.88%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/24/1911 |
7/23/12 | 107,945,000 | 775 | |||||||||
Goldman Sachs Bank USA, Interest Rate Swaption (European); Swap Terms: Paid: 1.945%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/2/1911 |
10/1/12 | 117,550,000 | 131,403 |
25 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
JPMorgan Chase Bank NA, Index Credit Default Swaption (European); Swap Terms: Paid: Sell Protection on iTraxx Europe Crossover Series 17 Version 1; Received: 5%; Termination Date: 6/20/1711 |
9/20/12 | $ | 94,155,000 | $ | 1,629,941 | |||||||
JPMorgan Chase Bank NA, Interest Rate Swaption (European); Swap Terms: Paid: 1.97375%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/1/1911 |
9/28/12 | 150,000,000 | 144,945 | |||||||||
JPMorgan Chase Bank NA, Interest Rate Swaption (European); Swap Terms: Paid: 2.245%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/10/2211 |
7/9/12 | 162,185,000 | 20 | |||||||||
JPMorgan Chase Bank NA, Interest Rate Swaption (European); Swap Terms: Paid: 1.65%; Received: Three-Month USD BBA LIBOR; Termination Date: 2/25/1811 |
2/22/13 | 134,605,000 | 436,255 |
26 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: 1.17%; Received: |
9/25/12 | 35,415,000,000 | 525,467 | |||||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: 2.11%; Received: |
1/2/13 | 235,360,000 | 6,939,873 | |||||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: 2.215%; Received: |
12/3/12 | 542,135,000 | 5,049,098 | |||||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: 2.98%; Received: |
3/1/13 | 134,350,000 | 1,208,808 |
27 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: 3.025%; Received: Six-Month EUR EURIBOR; Termination Date: 2/27/2311 |
2/26/13 | $ | 134,540,000 | $ | 1,093,536 | |||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: Three-Month AUD BBR BBSW; Received: 3.35%; Termination Date: 12/10/1511 |
12/10/12 | 132,745,000 | 1,379,624 | |||||||||
UBS AG, Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.54%; Termination Date: 6/13/2311 |
6/12/13 | 133,830,000 | 1,441,798 | |||||||||
|
|
|||||||||||
Total Swaptions Purchased (Cost $128,687,812) |
|
64,239,904 |
Shares | ||||||||
Investment Company2.3% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%12,13 |
278,188,397 | 278,188,397 | ||||||
Total Investments, at Value (Cost $12,289,898,482) |
99.6 | % | 12,285,488,139 | |||||
Other Assets Net of Liabilities |
0.4 | 47,927,035 | ||||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 12,333,415,174 | ||||
|
|
|
|
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 | |
EUR |
Euro | |
GBP |
British Pound Sterling | |
HUF |
Hungarian Forint | |
IDR |
Indonesia Rupiah | |
JPY |
Japanese Yen | |
MXN |
Mexican Nuevo Peso | |
MYR |
Malaysian Ringgit | |
NGN |
Nigeria Naira |
28 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
PEN |
Peruvian New Sol | |
PHP |
Philippines Peso | |
PLZ |
Polish Zloty | |
RUR |
Russian Ruble | |
SEK |
Swedish Krona | |
SGD |
Singapore Dollar | |
TRY |
New Turkish Lira | |
ZAR |
South African Rand |
* | June 29, 2012 represents the last business day of the Funds quarterly period. See accompanying Notes. |
1. | All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $22,720,036. See accompanying Notes. |
2. | All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $64,588,633. See accompanying Notes. |
3. | Represents the current interest rate for a variable or increasing rate security. |
4. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. |
5. | Zero coupon bond reflects effective yield on the date of purchase. |
6. | 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 $2,303,649,228 or 18.68% of the Funds net assets as of June 29, 2012. |
7. | Restricted security. The aggregate value of restricted securities as of June 29, 2012 was $415,046,067, which represents 3.37% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15 |
7/15/10-4/3/12 | $ | 18,643,251 | $ | 19,155,298 | $ | 512,047 | |||||||||
Banco BMG SA, 9.15% Nts., 1/15/16 |
12/15/05-4/3/12 | 9,190,196 | 8,436,300 | (753,896 | ) | |||||||||||
Caisse DAmortissement de la Dette Sociale Bonds, 1.625%, 7/6/15 |
6/26/12 | 22,038,135 | 22,069,261 | 31,126 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 |
12/09/2008 | 5,050,171 | 8,307,976 | 3,257,805 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
3/28/12 | 4,549,775 | 4,478,589 | (71,186 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 |
10/8/10 | 2,959,290 | 3,090,625 | 131,335 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 |
4/16/09 | 3,018,215 | 3,242,899 | 224,684 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 |
8/18/09 | 3,230,251 | 3,450,048 | 219,797 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 |
9/25/09 | 4,051,899 | 4,318,590 | 266,691 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 |
12/17/09 | 3,565,073 | 3,783,762 | 218,689 |
29 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 |
3/30/10 | 2,876,071 | 3,038,969 | 162,898 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 |
5/18/10 | 3,227,924 | 3,399,773 | 171,849 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 |
7/16/10 | 3,751,322 | 3,937,931 | 186,609 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/15 |
5/21/08 | 122,792 | 91,653 | (31,139 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/15 |
6/12/08 | 214,813 | 160,350 | (54,463 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/15 |
6/18/08 | 3,259,229 | 2,417,685 | (841,544 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/15 |
7/8/08 | 237,353 | 176,198 | (61,155 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/15 |
7/15/08 | 172,730 | 128,011 | (44,719 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 81.265%, 5/22/15 |
8/8/08 | 111,830 | 81,754 | (30,076 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/15 |
8/22/08 | 20,634 | 15,056 | (5,578 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 |
1/18/07 | 41,043,100 | 17,400,837 | (23,642,263 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.787%, 12/20/17 |
12/13/07 | 42,470,000 | 36,592,152 | (5,877,848 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, |
4/18/08-10/1/08 | 31,666,704 | 3,144,847 | (28,521,857 | ) | |||||||||||
Halyk Savings Bank of Kazakhstan JSC, 9.25% Sr. Nts., 10/16/13 |
4/9/08-1/11/10 | 59,867,521 | 63,025,680 | 3,158,159 | ||||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 |
8/3/06-11/18/09 | 14,428,993 | 17,258,369 | 2,829,376 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 |
12/6/05 | 11,167,708 | 31,234,560 | 20,066,852 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 |
10/16/06 | 14,183,697 | 39,234,760 | 25,051,063 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 |
8/24/10 | 8,600,837 | 8,869,354 | 268,517 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/20 |
10/6/10 | 31,156,928 | 31,699,262 | 542,334 | ||||||||||||
JPMorgan Hipotecaria su Casita, 8.066% Sec. Nts., 8/26/35 |
3/21/07 | 3,092,229 | 306,763 | (2,785,466 | ) |
30 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 |
10/20/06 | 5,679,060 | 7,907,923 | 2,228,863 | ||||||||||||
Odebrecht Finance Ltd., 5.125% Sr. Nts., 6/26/22 |
6/21/2012 | 11,587,518 | 11,567,588 | (19,930 | ) | |||||||||||
Odebrecht Finance Ltd., 7.125% Sr. Nts., 6/26/42 |
6/21/2012 | 8,611,989 | 8,745,000 | 133,011 | ||||||||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/14 |
11/16/04-3/16/10 | 4,674,334 | 4,810,150 | 135,816 | ||||||||||||
Vnesheconombank Via VEB Finance plc Sr. Unsec. Nts., 6.025%, 7/15/20 |
6/26/12 | 39,150,000 | 39,468,094 | 318,094 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 417,671,572 | $ | 415,046,067 | $ | (2,625,505 | ) | ||||||||||
|
|
|
|
|
|
8. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after June 29, 2012. See accompanying Notes. |
9. | 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. |
10. | 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 accompanying Notes. |
11. | Non-income producing security. |
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 29, 2012, 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 September 30, 2011 |
Gross Additions |
Gross Reductions |
Shares June 29, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
236,989,845 | 4,283,375,188 | 4,242,176,636 | 278,188,397 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 278,188,397 | $ | 545,998 |
13. | Rate shown is the 7-day yield as of June 29, 2012. |
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings |
Value | Percent | ||||||
Japan |
$ | 1,723,728,209 | 14.0 | % | ||||
Brazil |
1,041,127,637 | 8.5 | ||||||
Russia |
871,718,601 | 7.1 | ||||||
Mexico |
802,526,604 | 6.5 | ||||||
Australia |
762,371,421 | 6.2 | ||||||
Turkey |
684,578,583 | 5.6 | ||||||
South Africa |
636,767,264 | 5.2 | ||||||
United States |
544,680,079 | 4.4 | ||||||
United Kingdom |
466,863,704 | 3.8 | ||||||
France |
444,899,706 | 3.6 |
31 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Italy |
419,548,694 | 3.4 | ||||||
Colombia |
373,235,182 | 3.0 | ||||||
Sweden |
313,307,319 | 2.6 | ||||||
Peru |
306,386,567 | 2.5 | ||||||
Indonesia |
288,075,686 | 2.3 | ||||||
Poland |
259,137,671 | 2.1 | ||||||
Hungary |
211,748,560 | 1.7 | ||||||
The Netherlands |
181,483,548 | 1.5 | ||||||
Canada |
176,407,877 | 1.4 | ||||||
Venezuela |
165,033,114 | 1.3 | ||||||
Kazakhstan |
147,713,724 | 1.2 | ||||||
European Union |
128,259,460 | 1.0 | ||||||
Belgium |
122,110,828 | 1.0 | ||||||
Spain |
118,072,547 | 1.0 | ||||||
Israel |
82,631,710 | 0.7 | ||||||
Philippines |
71,297,385 | 0.6 | ||||||
Qatar |
70,019,988 | 0.6 | ||||||
Germany |
62,548,748 | 0.5 | ||||||
Uruguay |
59,617,328 | 0.5 | ||||||
Chile |
52,009,568 | 0.4 | ||||||
Austria |
51,835,625 | 0.4 | ||||||
Malaysia |
49,453,476 | 0.4 | ||||||
Ukraine |
49,311,244 | 0.4 | ||||||
Romania |
48,472,763 | 0.4 | ||||||
Panama |
46,549,348 | 0.4 | ||||||
Denmark |
41,350,530 | 0.3 | ||||||
Supranational |
34,465,322 | 0.3 | ||||||
Korea, Republic of South |
31,560,649 | 0.3 | ||||||
Switzerland |
31,459,417 | 0.3 | ||||||
Finland |
30,022,614 | 0.2 | ||||||
Trinidad & Tobago |
29,626,540 | 0.2 | ||||||
Lithuanua |
24,083,544 | 0.2 | ||||||
Nigeria |
23,632,212 | 0.2 | ||||||
Latvia |
23,396,175 | 0.2 | ||||||
Norway |
22,269,419 | 0.2 | ||||||
India |
22,264,200 | 0.2 | ||||||
Argentina |
21,632,735 | 0.2 | ||||||
Croatia |
21,482,897 | 0.2 | ||||||
Slovakia |
21,285,000 | 0.2 | ||||||
Singapore |
20,808,349 | 0.2 | ||||||
Sri Lanka |
20,126,870 | 0.2 | ||||||
Dominican Republic |
18,047,960 | 0.1 | ||||||
Ghana |
9,940,188 | 0.1 | ||||||
Ivory Coast |
4,503,750 | | ||||||
|
|
|
|
|||||
Total |
$ | 12,285,488,139 | 100.0 | % | ||||
|
|
|
|
32 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Foreign Currency Exchange Contracts as of June 29, 2012 are as follows:
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Dates |
Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||||||
Bank of America: |
||||||||||||||||||||||||||||
Chilean Peso (CLP) |
Sell | 5,298,000 | CLP | 7/17/12 | $ | 10,552,715 | $ | 247,118 | $ | | ||||||||||||||||||
Colombian Peso (COP) |
Sell | 140,987,700 | COP | 7/17/12-8/24/12 | 78,337,617 | | 1,143,966 | |||||||||||||||||||||
Euro (EUR) |
Sell | 8,637 | EUR | 7/17/12 | 10,931,634 | 407,711 | | |||||||||||||||||||||
Indian Rupee (INR) |
Sell | 453,620 | INR | 7/17/12 | 8,094,395 | | 32,906 | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 17,040 | MYR | 7/17/12 | 5,359,682 | 59,304 | | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 711 | MXN | 7/2/12 | 53,268 | | 1,211 | |||||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 149,880 | TRY | 7/25/12 | 82,395,590 | 14,923 | | |||||||||||||||||||||
Peruvian New Sol (PEN) |
Buy | 46,480 | PEN | 7/10/12 | 17,422,947 | | 95,328 | |||||||||||||||||||||
Philippines Peso (PHP) |
Sell | 687,000 | PHP | 7/17/12 | 16,282,531 | | 283,463 | |||||||||||||||||||||
Polish Zloty (PLZ) |
Sell | 291,430 | PLZ | 8/6/12-8/23/12 | 87,011,874 | | 4,972,315 | |||||||||||||||||||||
South African Rand (ZAR) |
Buy | 299,151 | ZAR | 7/3/12-7/20/12 | 36,493,607 | 144,727 | 1,114,259 | |||||||||||||||||||||
South African Rand (ZAR) |
Sell | 1,076,930 | ZAR | 7/11/12 | 131,511,111 | 3,987,403 | 146,960 | |||||||||||||||||||||
Swiss Franc (CHF) |
Buy | 18,875 | CHF | 8/23/12 | 19,913,869 | | 182,423 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
4,861,186 | 7,972,831 | |||||||||||||||||||||||||||
Barclays Capital: |
||||||||||||||||||||||||||||
Euro (EUR) |
Buy | 14,715 | EUR | 7/23/12 | 18,625,302 | 14,145 | 534,332 | |||||||||||||||||||||
Euro (EUR) |
Sell | 349,820 | EUR | 7/25/12 | 442,786,777 | 16,420,188 | | |||||||||||||||||||||
Hungarian Forint (HUF) |
Buy | 6,562,999 | HUF | 7/2/12-10/24/12 | 28,923,253 | 680,403 | | |||||||||||||||||||||
Israeli Shekel (ILS) |
Buy | 95,390 | ILS | 4/2/13 | 24,229,603 | | 656,909 | |||||||||||||||||||||
Israeli Shekel (ILS) |
Sell | 95,390 | ILS | 4/2/13 | 24,229,603 | 953,216 | | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 8,640 | MYR | 9/20/12 | 2,707,243 | | 12,296 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 152,075 | MXN | 11/8/12 | 11,259,844 | 664,129 | | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 642,400 | MXN | 10/18/12 | 47,652,459 | 136,272 | | |||||||||||||||||||||
Norwegian Krone (NOK) |
Sell | 3,660 | NOK | 9/20/12 | 613,368 | | 4,451 | |||||||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 80,990 | PEN | 7/10/12 | 30,358,960 | | 48,331 | |||||||||||||||||||||
Polish Zloty (PLZ) |
Buy | 10,952 | PLZ | 7/17/12 | 3,280,175 | 93,444 | | |||||||||||||||||||||
Russian Ruble (RUR) |
Buy | 301,510 | RUR | 7/17/12 | 9,280,737 | | 383,046 | |||||||||||||||||||||
Russian Ruble (RUR) |
Sell | 3,990,301 | RUR | 7/17/12-12/4/12 | 120,395,201 | 733,102 | 4,087,153 | |||||||||||||||||||||
South African Rand (ZAR) |
Sell | 2,778,750 | ZAR | 7/20/12-9/12/12 | 337,561,583 | 1,187,254 | 5,386,090 | |||||||||||||||||||||
Swedish Krona (SEK) |
Sell | 6,100 | SEK | 9/20/12 | 879,188 | | 17,637 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
20,882,153 | 11,130,245 | |||||||||||||||||||||||||||
Chase Manhattan Bank: |
||||||||||||||||||||||||||||
Nigeria Niara (NGN) |
Sell | 1,231,060 | NGN | 7/3/12 | 7,564,117 | | 7,429 | |||||||||||||||||||||
Russian Ruble (RUR) |
Sell | 25,813 | RUR | 7/6/12 | 797,037 | | 17,710 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
| 25,139 | |||||||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 347,695 | AUD | 8/23/12 | 353,988,693 | | 14,137,565 | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 27,340 | CAD | 8/23/12 | 26,820,384 | | 109,166 | |||||||||||||||||||||
Chilean Peso (CLP) |
Buy | 14,253,000 | CLP | 7/12/12-9/20/12 | 28,390,174 | 252,929 | 1,403 |
33 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Colombian Peso (COP) |
Buy | 44,748,000 | COP | 7/17/12 | 25,002,319 | 536,490 | | |||||||||||||||||||||
Czech Koruna (CZK) |
Buy | 385,100 | CZK | 8/23/12 | 19,093,322 | 373,326 | | |||||||||||||||||||||
Indian Rupee (INR) |
Buy | 76,000 | INR | 9/20/12 | 1,338,695 | | 11,871 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 420,800 | MXN | 9/20/12-10/18/12 | 31,217,911 | 40,204 | 963,202 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 554,700 | MXN | 9/20/12-10/18/12 | 41,198,656 | 409,665 | 891,403 | |||||||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 132,612 | TWD | 7/17/12 | 4,437,915 | | 23,725 | |||||||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 214 | NZD | 7/17/12 | 171,098 | | 1,756 | |||||||||||||||||||||
Norwegian Krone (NOK) |
Sell | 52,840 | NOK | 9/20/12 | 8,855,294 | | 113,027 | |||||||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 62,640 | PEN | 7/10/12 | 23,480,494 | | 54,915 | |||||||||||||||||||||
Singapore Dollar (SGD) |
Sell | 1,040 | SGD | 9/20/12 | 821,094 | | 1,900 | |||||||||||||||||||||
South Korean Won (KRW) |
Buy | 1,555,000 | KRW | 9/20/12 | 1,350,276 | | 6,297 | |||||||||||||||||||||
South Korean Won (KRW) |
Sell | 5,576,200 | KRW | 7/17/12-9/20/12 | 4,845,621 | 6,508 | 64,722 | |||||||||||||||||||||
Swedish Krona (SEK) |
Buy | 6,070 | SEK | 7/17/12 | 876,924 | 25,591 | | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
1,644,713 | 16,380,952 | |||||||||||||||||||||||||||
Credit Suisse: |
||||||||||||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 52,800 | GBP | 8/23/12 | 82,681,123 | 531,700 | 362,653 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 155,320 | MXN | 7/17/12 | 11,623,469 | | 126,552 | |||||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 152,460 | TRY | 7/17/13 | 78,582,194 | | 4,712,729 | |||||||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 14,980 | PEN | 7/10/12 | 5,615,227 | 26,958 | | |||||||||||||||||||||
Russian Ruble (RUR) |
Buy | 247,801 | RUR | 7/17/12 | 7,627,527 | | 722,266 | |||||||||||||||||||||
Russian Ruble (RUR) |
Sell | 301,510 | RUR | 7/17/12 | 9,280,737 | 807,479 | | |||||||||||||||||||||
South African Rand (ZAR) |
Sell | 69,650 | ZAR | 7/17/12 | 8,497,516 | | 362,259 | |||||||||||||||||||||
Swedish Krona (SEK) |
Sell | 1,535,470 | SEK | 7/17/12-8/23/12 | 221,512,114 | 62,535 | 5,849,651 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
1,428,672 | 12,136,110 | |||||||||||||||||||||||||||
Deutsche Bank Securities, Inc.: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 318,840 | AUD | 7/31/12 | 325,344,927 | 2,392,303 | | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 16,180 | CAD | 9/20/12 | 15,862,798 | | 159,341 | |||||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 14,797,000 | HUF | 8/6/12 | 65,183,670 | | 5,576,033 | |||||||||||||||||||||
Indian Rupee (INR) |
Buy | 453,620 | INR | 7/17/12 | 8,094,395 | | 523,006 | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 315,730 | MYR | 8/10/12 | 99,148,489 | | 4,186,590 | |||||||||||||||||||||
New Turkish Lira (TRY) |
Buy | 149,880 | TRY | 7/25/12 | 82,395,590 | | 103,196 | |||||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 74,655 | TRY | 7/25/12 | 41,041,118 | 51,402 | | |||||||||||||||||||||
Russian Ruble (RUR) |
Buy | 140,710 | RUR | 7/19/12 | 4,329,578 | | 401,460 | |||||||||||||||||||||
Russian Ruble (RUR) |
Sell | 493,500 | RUR | 7/19/12 | 15,184,754 | 1,325,784 | | |||||||||||||||||||||
South Korean Won (KRW) |
Buy | 100,187,200 | KRW | 7/17/12-9/19/12 | 87,017,240 | 1,826,770 | | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
5,596,259 | 10,949,626 |
34 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Goldman Sachs & Co.: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 26,580 | AUD | 8/23/12 | 27,061,130 | 1,057,783 | | |||||||||||||||||||||
Brazilian Real (BRR) |
Sell | 49,000 | BRR | 12/6/12 | 23,770,220 | | 552,973 | |||||||||||||||||||||
Japanese Yen (JPY) |
Buy | 41,240,000 | JPY | 8/23/12-12/6/12 | 516,358,962 | | 3,770,550 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 2,305,575 | MXN | 11/8/12-12/13/12 | 170,422,594 | 898,083 | 6,584,901 | |||||||||||||||||||||
South African Rand (ZAR) |
Buy | 1,537 | ZAR | 7/17/12 | 187,519 | | 6,869 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
1,955,866 | 10,915,293 | |||||||||||||||||||||||||||
HSBC |
||||||||||||||||||||||||||||
New Turkish Lira (TRY) |
Buy | 152,468 | TRY | 7/2/12-7/17/13 | 78,586,804 | 297,263 | | |||||||||||||||||||||
JP Morgan Chase: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 6,904 | AUD | 7/17/12 | 7,054,513 | 297,054 | | |||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 121 | AUD | 7/17/12 | 123,638 | 390 | | |||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 20 | GBP | 9/20/12 | 31,316 | 144 | | |||||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 5,184 | GBP | 7/17/12-9/20/12 | 8,117,888 | 143,489 | 14,534 | |||||||||||||||||||||
Canadian Dollar (CAD) |
Buy | 29,037 | CAD | 7/17/12 | 28,509,828 | | 653,496 | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 1,520 | CAD | 7/17/12 | 1,492,404 | 23,080 | | |||||||||||||||||||||
Euro (EUR) |
Buy | 27,774 | EUR | 7/17/12-8/17/12 | 35,160,347 | | 1,604,869 | |||||||||||||||||||||
Euro (EUR) |
Sell | 420,947 | EUR | 7/23/12-9/28/12 | 533,008,097 | 18,013,465 | 664,642 | |||||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 6,280,000 | HUF | 8/22/12-12/27/12 | 27,342,670 | 334,001 | 1,274,622 | |||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 515,856,000 | IDR | 7/9/12 | 54,856,643 | | 486,775 | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 622,160 | MYR | 7/17/12-9/25/12 | 194,909,565 | 284,360 | 87,827 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 118,200 | MXN | 11/9/12 | 8,750,918 | 148,283 | | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 1,102,499 | MXN | 7/2/12-9/20/12 | 82,345,567 | 79,232 | 2,614,449 | |||||||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 243,612 | TWD | 7/17/12-9/20/12 | 8,155,288 | 65,829 | 5,274 | |||||||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 5,916 | NZD | 7/17/12 | 4,729,986 | 261,335 | | |||||||||||||||||||||
Russian Ruble (RUR) |
Buy | 597,700 | RUR | 7/19/12 | 18,390,937 | | 1,276,717 | |||||||||||||||||||||
Singapore Dollar (SGD) |
Buy | 178,729 | SGD | 7/17/12 | 141,091,929 | | 2,281,246 | |||||||||||||||||||||
South Korean Won (KRW) |
Buy | 96,050,000 | KRW | 7/17/12 | 83,759,442 | 1,756,539 | | |||||||||||||||||||||
South Korean Won (KRW) |
Sell | 3,175,000 | KRW | 7/17/12 | 2,768,727 | | 18,666 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
21,407,201 | 10,983,117 | |||||||||||||||||||||||||||
Morgan Stanley & Co., Inc.: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 59,515 | AUD | 9/20/12-9/28/12 | 60,411,821 | | 916,605 | |||||||||||||||||||||
Brazilian Real (BRR) |
Sell | 322,565 | BRR | 8/2/12 | 159,452,384 | | 4,959,431 | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 12,595 | CAD | 9/20/12 | 12,348,081 | | 88,912 |
35 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Euro (EUR) |
Buy | 423,487 | EUR | 7/2/12-8/23/12 | 536,199,728 | 935,258 | 3,127,371 | |||||||||||||||||||||
Euro (EUR) |
Sell | 15,655 | EUR | 7/5/12 | 19,812,362 | 1,316 | 7,450 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 663,195 | MXN | 9/28/12 | 49,281,797 | 1,161,423 | | |||||||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 3,385 | NZD | 9/20/12 | 2,694,368 | | 7,946 | |||||||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 53,245 | NZD | 9/20/12 | 42,381,568 | | 116,219 | |||||||||||||||||||||
Singapore Dollar (SGD) |
Buy | 31,680 | SGD | 7/17/12 | 25,008,769 | | 366,696 | |||||||||||||||||||||
South African Rand (ZAR) |
Buy | 110,772 | ZAR | 7/5/12-7/17/12 | 13,523,846 | 282,804 | 4,031 | |||||||||||||||||||||
South African Rand (ZAR) |
Sell | 41,120 | ZAR | 7/20/12 | 5,014,432 | 4,258 | | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
2,385,059 | 9,594,661 | |||||||||||||||||||||||||||
Nomura Securities: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 44,185 | AUD | 9/20/12 | 44,875,964 | 186,844 | 1,805 | |||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 4,110 | AUD | 9/20/12 | 4,174,272 | | 73,376 | |||||||||||||||||||||
Brazilian Real (BRR) |
Sell | 177,365 | BRR | 8/2/12 | 87,676,196 | | 2,588,645 | |||||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 3,480 | GBP | 9/20/12 | 5,449,022 | 22,380 | | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 17,608 | CAD | 7/17/12 | 17,288,324 | 578,388 | | |||||||||||||||||||||
Euro (EUR) |
Buy | 10,045 | EUR | 7/3/12 | 12,712,335 | 1,535 | | |||||||||||||||||||||
Euro (EUR) |
Sell | 21,700 | EUR | 9/20/12 | 27,483,523 | 1,744 | 146,090 | |||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 141,069,000 | IDR | 7/9/12 | 15,001,419 | | 303,887 | |||||||||||||||||||||
Japanese Yen (JPY) |
Buy | 5,253,000 | JPY | 8/23/12 | 65,766,998 | | 765,114 | |||||||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,082,000 | JPY | 9/20/12 | 13,551,646 | 117,700 | | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 12,230 | MYR | 7/17/12 | 3,846,767 | | 116,292 | |||||||||||||||||||||
Norwegian Krone (NOK) |
Buy | 122,500 | NOK | 7/17/12 | 20,579,994 | 25,958 | | |||||||||||||||||||||
Norwegian Krone (NOK) |
Sell | 113,890 | NOK | 7/17/12-9/20/12 | 19,093,081 | 83,936 | 30,442 | |||||||||||||||||||||
Singapore Dollar (SGD) |
Sell | 1,050 | SGD | 9/20/12 | 828,989 | | 11,492 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
1,018,485 | 4,037,143 | |||||||||||||||||||||||||||
RBS Greenwich Capital: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 6,069 | AUD | 7/17/12 | 6,201,309 | | 50,220 | |||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 1,448 | AUD | 7/17/12 | 1,479,568 | | 14,515 | |||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 2,589 | GBP | 7/17/12 | 4,054,609 | 23,005 | | |||||||||||||||||||||
Canadian Dollar (CAD) |
Buy | 1,520 | CAD | 7/17/12 | 1,492,404 | 4,906 | | |||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 11,429 | CAD | 7/17/12 | 11,221,504 | 207,641 | | |||||||||||||||||||||
Czech Koruna (CZK) |
Sell | 385,100 | CZK | 8/23/12 | 19,093,322 | 495,173 | | |||||||||||||||||||||
Norwegian Krone (NOK) |
Buy | 15,990 | NOK | 7/17/12 | 2,686,319 | 18,198 | 37,078 | |||||||||||||||||||||
Norwegian Krone (NOK) |
Sell | 122,500 | NOK | 7/17/12 | 20,579,994 | 476,165 | | |||||||||||||||||||||
Polish Zloty (PLZ) |
Sell | 10,952 | PLZ | 7/17/12 | 3,280,175 | 179,079 | | |||||||||||||||||||||
Singapore Dollar (SGD) |
Sell | 9,569 | SGD | 7/17/12 | 7,553,943 | 13,661 | 24,291 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
1,417,828 | 126,104 |
36 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Standard Chartered Bank: |
|
|||||||||||||||||||||||||||
Colombian Peso (COP) |
Sell | 26,697,300 | COP | 7/17/12 | 14,916,743 | | 76,665 | |||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 315,745 | MYR | 7/9/12 | 99,368,781 | | 4,103,282 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
| 4,179,947 | |||||||||||||||||||||||||||
State Street: |
||||||||||||||||||||||||||||
South African Rand (ZAR) |
Buy | 22,220 | ZAR | 9/20/12 | 2,684,903 | | 2,827 | |||||||||||||||||||||
South African Rand (ZAR) |
Sell | 1,537 | ZAR | 7/17/12 | 187,519 | 4,003 | | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
4,003 | 2,827 | |||||||||||||||||||||||||||
UBS Investment Bank |
||||||||||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 147,693,000 | IDR | 7/9/12 | 15,705,821 | | 260,990 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Westpac: |
||||||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 1,569 | AUD | 7/17/12 | 1,603,206 | 33,876 | | |||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 12,973 | AUD | 7/17/12 | 13,255,823 | 102,488 | | |||||||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 5,702 | NZD | 7/17/12 | 4,558,888 | | 103,972 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
136,364 | 103,972 | |||||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total unrealized appreciation and depreciation |
|
$ | 63,035,052 | $ | 98,798,957 | |||||||||||||||||||||||
|
|
|
|
Futures Contracts as of June 29, 2012 are as follows:
Contract Description |
Buy/Sell | Number of Contracts |
Expiration Date |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Australian Treasury Bonds, 3 yr. |
Sell | 8,279 | 9/17/12 | $ | 935,404,727 | $ | 948,381 | |||||||||||||
Australian Treasury Bonds, 10 yr. |
Buy | 107 | 9/17/12 | 13,739,438 | (3,259 | ) | ||||||||||||||
Australian Treasury bonds, 10 yr. |
Sell | 1,145 | 9/17/12 | 147,024,825 | 316,730 | |||||||||||||||
Euro Buxl Bonds, 30 yr. |
Buy | 93 | 9/6/12 | 15,410,554 | (328,025 | ) | ||||||||||||||
Euro OAT |
Buy | 508 | 9/6/12 | 82,320,172 | (658,307 | ) | ||||||||||||||
Euro-Bundesobligation |
Buy | 847 | 9/6/12 | 151,027,968 | 220,879 | |||||||||||||||
U.S. Treasury Long Bonds |
Buy | 752 | 9/19/12 | 111,272,500 | (4,885 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 2,150 | 9/28/12 | 266,532,813 | (393,635 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 1,320 | 9/19/12 | 176,055,000 | (225,101 | ) | ||||||||||||||
|
|
|||||||||||||||||||
$ | (127,222 | ) | ||||||||||||||||||
|
|
37 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Written Options as of June 29, 2012 are as follows:
Description |
Type | Number of Contracts |
Exercise Price |
Expiration Date |
Premiums Received |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
Australian Dollar (AUD) |
Call | 72,290,000 | |
1AUD per 1.05USD |
|
8/31/12 | $ | 424,704 | $ | (366,094 | ) | $ | 58,610 | |||||||||||||||
Australian Dollar (AUD) |
Call | 72,290,000 | |
1AUD per 1.05USD |
|
8/31/12 | 343,847 | (343,847 | ) | | ||||||||||||||||||
Brazilian Real (BRR) |
Call | 190,000,000 | |
1USD per 1.90BRR |
|
10/17/12 | 440,000 | (439,998 | ) | 2 | ||||||||||||||||||
Euro (EUR) |
Put | 50,000,000 | |
1EUR per 1.10USD |
|
2/12/13 | 764,500 | (401,446 | ) | 363,054 | ||||||||||||||||||
Euro (EUR) |
Put | 125,000,000 | |
1EUR per 1.125USD |
|
2/12/13 | 2,167,031 | (1,357,675 | ) | 809,356 | ||||||||||||||||||
Euro (EUR) |
Put | 100,000,000 | |
1EUR per 1.13USD |
|
2/5/13 | 1,672,000 | (1,090,951 | ) | 581,049 | ||||||||||||||||||
Euro (EUR) |
Put | 100,000,000 | |
1EUR per 1.14USD |
|
2/12/13 | 2,097,600 | (1,263,150 | ) | 834,450 | ||||||||||||||||||
Euro (EUR) |
Put | 150,000,000 | |
1EUR per 1.15USD |
|
2/5/13 | 2,993,738 | (2,034,347 | ) | 959,391 | ||||||||||||||||||
Euro (EUR) |
Put | 125,000,000 | |
1EUR per 1.19USD |
|
2/12/13 | 2,818,813 | (2,647,366 | ) | 171,447 | ||||||||||||||||||
Euro (EUR) |
Put | 100,000,000 | |
1EUR per 1.20USD |
|
2/7/13 | 2,134,800 | (2,293,667 | ) | (158,867 | ) | |||||||||||||||||
Euro (EUR) |
Put | 200,000,000 | |
1EUR per 1.23USD |
|
2/19/13 | 8,366,460 | (6,488,506 | ) | 1,877,954 | ||||||||||||||||||
Euro (EUR) |
Put | 125,000,000 | |
1EUR per 1.17USD |
|
2/26/13 | 2,661,750 | (2,306,761 | ) | 354,989 | ||||||||||||||||||
Euro (EUR) |
Put | 150,000,000 | |
1EUR per 1.16USD |
|
2/7/13 | 2,862,300 | (2,283,983 | ) | 578,317 | ||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Call | 591 | 1.340 | 7/9/12 | 162,372 | (3,694 | ) | 158,678 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Call | 300 | 1.370 | 9/10/12 | 99,640 | (26,250 | ) | 73,390 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Call | 214 | 1.320 | 7/9/12 | 30,427 | (2,675 | ) | 27,752 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Call | 214 | 1.305 | 7/9/12 | 23,739 | (8,025 | ) | 15,714 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 2,602 | 1.215 | 7/9/12 | 340,973 | (48,788 | ) | 292,185 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 2,232 | 1.220 | 7/9/12 | 1,201,490 | (55,800 | ) | 1,145,690 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 1,502 | 1.175 | 7/9/12 | 355,996 | (9,388 | ) | 346,608 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 1,476 | 1.180 | 7/9/12 | 155,579 | (9,225 | ) | 146,354 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 712 | 1.165 | 7/9/12 | 82,885 | (4,450 | ) | 78,435 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 601 | 1.100 | 9/10/12 | 307,805 | (33,806 | ) | 273,999 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 558 | 1.155 | 7/9/12 | 81,157 | (3,488 | ) | 77,669 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 435 | 1.210 | 7/9/12 | 44,448 | (8,156 | ) | 36,292 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 123 | 1.240 | 7/9/12 | 227,357 | (13,838 | ) | 213,519 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 107 | 1.120 | 7/9/12 | 10,484 | (669 | ) | 9,815 | ||||||||||||||||||||
Euro (EUR) FX Futures, 9/17/12 |
Put | 49 | 1.180 | 9/10/12 | 105,886 | (19,600 | ) | 86,286 | ||||||||||||||||||||
Japanese Yen (JPY) |
Call | 9,794,000,000 | |
1USD per 71.42JPY |
|
5/31/13 | 2,171,509 | (1,325,814 | ) | 845,695 |
38 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Japanese Yen (JPY) |
Call | 1,922,488,512 | |
1USD per 72JPY |
|
5/31/13 | 450,772 | (287,393 | ) | 163,379 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 12,000,000,000 | |
1USD per 73.89JPY |
|
6/25/13 | 2,939,504 | (2,708,280 | ) | 231,224 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 9,950,000,000 | |
1USD per 73.92JPY |
|
5/27/13 | 2,599,844 | (2,022,835 | ) | 577,009 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 8,000,000,000 | |
1USD per 74.16JPY |
|
6/17/13 | 2,390,930 | (1,830,720 | ) | 560,210 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 8,000,000,000 | |
1USD per 74.77JPY |
|
6/17/13 | 2,636,674 | (2,015,600 | ) | 621,074 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 8,400,000,000 | |
1USD per 82JPY |
|
9/20/12 | 2,246,487 | (3,517,332 | ) | (1,270,845 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Call | 7,436,725,000 | |
1USD per 82JPY |
|
9/20/12 | 1,918,131 | (3,113,980 | ) | (1,195,849 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Put | 8,000,000,000 | |
1USD per 88JPY |
|
6/17/13 | 974,488 | (1,105,200 | ) | (130,712 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Put | 12,000,000,000 | |
1USD per 90JPY |
|
6/25/13 | 1,206,667 | (1,282,080 | ) | (75,413 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Put | 9,950,000,000 | |
1USD per 90JPY |
|
5/27/13 | 1,157,227 | (910,923 | ) | 246,304 | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 9,794,000,000 | |
1USD per 90JPY |
|
5/31/13 | 892,102 | (916,914 | ) | (24,812 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Put | 8,000,000,000 | |
1USD per 90JPY |
|
6/17/13 | 728,743 | (820,560 | ) | (91,817 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Put | 7,283,000,000 | |
1USD per 90JPY |
|
3/29/13 | 1,379,724 | (456,353 | ) | 923,371 | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 2,536,616,787 | |
1USD per 95JPY |
|
5/31/13 | 116,697 | (98,395 | ) | 18,302 | ||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Call | 648 | 132.500 | 7/9/12 | 71,883 | (4,050 | ) | 67,833 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Call | 226 | 135.000 | 9/10/12 | 123,956 | (25,425 | ) | 98,531 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Call | 214 | 138.000 | 9/10/12 | 62,527 | (8,025 | ) | 54,502 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Call | 94 | 129.500 | 7/9/12 | 2,202 | (1,175 | ) | 1,027 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 601 | 110.000 | 9/10/12 | 33,733 | (15,025 | ) | 18,708 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 598 | 112.000 | 9/10/12 | 36,866 | (26,163 | ) | 10,703 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 587 | 122.000 | 7/9/12 | 53,109 | (14,675 | ) | 38,434 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 555 | 121.000 | 7/9/12 | 29,974 | (6,938 | ) | 23,036 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 463 | 121.500 | 7/9/12 | 19,961 | (8,681 | ) | 11,280 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 314 | 120.500 | 7/9/12 | 3,563 | (1,963 | ) | 1,600 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 9/17/12 |
Put | 215 | 122.500 | 7/9/12 | 31,912 | (9,406 | ) | 22,506 |
39 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Mexican Nuevo Peso (MXN) |
Put | 1,971,900,000 | |
1USD per 14.94MXN |
|
11/13/12 | 2,507,771 | (1,530,194 | ) | 977,577 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Put | 1,891,145,000 | |
1USD per 16.45MXN |
|
11/30/12 | 1,925,049 | (521,313 | ) | 1,403,736 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Put | 1,953,400,000 | |
1USD per 14.80MXN |
|
11/9/12 | 2,482,666 | (1,626,284 | ) | 856,382 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 3,860,500,000 | |
1USD per 38.605RUR |
|
12/3/12 | 2,435,000 | (828,502 | ) | 1,606,498 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 3,371,500,000 | |
1USD per 38RUR |
|
11/29/12 | 1,490,558 | (808,958 | ) | 681,600 | ||||||||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 9/19/12 |
Put | 692 | 129.000 | 8/27/12 | 117,983 | (64,875 | ) | 53,108 | ||||||||||||||||||||
United States Dollar (USD) |
Put | 125,000,000 | |
1EUR per 1.235USD |
|
8/2/12 | 2,410,665 | (679,436 | ) | 1,731,229 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 70,626,658 | $ | (52,159,110 | ) | $ | 18,467,548 | ||||||||||||||||||||||
|
|
|
|
|
|
Exercise price is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD |
Australian Dollar | |
BRR |
Brazilian Real | |
EUR |
Euro | |
JPY |
Japanese Yen | |
MXN |
Mexican Nuevo Peso | |
RUR |
Russian Ruble |
Credit Default Swap Contracts as of June 29, 2012 are as follows:
Reference Entity/ Swap Counterparty |
Buy/Sell Credit Protection |
Notional Amount (000s) |
Pay/ Receive Fixed Rate |
Termination Date |
Upfront Payment Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
Brazil (Federative Republic of): |
|
|||||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | $ | 33,780 | 1.0 | % | 6/20/17 | $ | 300,963 | $ | (929,805 | ) | $ | (628,842 | ) | ||||||||||||||||||
Deutsche Bank AG |
Sell | 2,885 | 1.0 | 6/20/17 | 75,537 | (79,411 | ) | (3,874 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
|
36,665 | 376,500 | (1,009,216 | ) | (632,716 | ) | |||||||||||||||||||||||||
Hungary (Republic of): |
||||||||||||||||||||||||||||||||
HSBC Bank USA NA |
Sell | 11,575 | 1.0 | 6/20/17 | 2,073,950 | (1,969,127 | ) | 104,823 | ||||||||||||||||||||||||
UBS AG |
Sell | 11,575 | 1.0 | 6/20/17 | 2,116,716 | (1,969,127 | ) | 147,589 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
|
23,150 | 4,190,666 | (3,938,254 | ) | 252,412 | ||||||||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS |
||||||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Sell | 10,410 | 1.3 | 3/24/13 | | (183,448 | ) | (183,448 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
|
10,410 | | (183,448 | ) | (183,448 | ) | |||||||||||||||||||||||||
ITRAXX Europe Crossover Index, Series 17, |
||||||||||||||||||||||||||||||||
JPMorgan Chase Bank NA |
Buy | 65,905 | EUR | 5.0 | 6/20/17 | (5,032,620 | ) | 5,032,620 | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
|
65,905 | EUR | (5,032,620 | ) | 5,032,620 | |
40 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Spain (Kingdom of) |
||||||||||||||||||||||||||||
JPMorgan Chase Bank NA |
Sell | 30,945 | 1.0 | 6/20/22 | 8,461,835 | (7,879,602 | ) | 582,233 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
30,945 | 8,461,835 | (7,879,602 | ) | 582,233 | |||||||||||||||||||||||
United Mexican States |
||||||||||||||||||||||||||||
HSBC Bank USA NA |
Sell | 900 | 1.0 | 6/20/17 | 4,456 | (17,829 | ) | (13,373 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
900 | 4,456 | (17,829 | ) | (13,373 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Grand Total |
Buys | (5,032,620 | ) | 5,032,620 | | |||||||||||||||||||||||
Grand Total |
Sells | 13,033,457 | (13,028,349 | ) | 5,108 | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total Credit Default Swaps |
$ | 8,000,837 | $ | (7,995,729 | ) | $ | 5,108 | |||||||||||||||||||||
|
|
|
|
|
|
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit
protection in credit default swaps:
Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||||||
Investment Grade Sovereign Debt |
$ | 78,920,000 | $ | | BBB+ to BBB | |||||||
Non-Investment Grade Sovereign Debt |
23,150,000 | | BB+ | |||||||||
|
|
|
|
|||||||||
Total |
$ | 102,070,000 | $ | | ||||||||
|
|
|
|
* | 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 & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Interest Rate Swap Contracts as of June 29, 2012 are as follows:
Interest Rate/ Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||||||||||
BZDI: |
||||||||||||||||||||||||
Bank of America NA |
92,410 | BRR | BZDI | 9.020 | % | 1/2/15 | $ | 595,966 | ||||||||||||||||
Citibank NA |
80,200 | BRR | BZDI | 9.490 | 1/2/14 | 864,672 | ||||||||||||||||||
Credit Suisse International |
66,020 | BRR | BZDI | 9.010 | 1/2/15 | 92,215 | ||||||||||||||||||
Deutsche Bank AG |
92,460 | BRR | BZDI | 9.050 | 1/2/15 | 636,747 | ||||||||||||||||||
Goldman Sachs International |
105,720 | BRR | BZDI | 8.840 | 1/2/15 | 493,761 | ||||||||||||||||||
Goldman Sachs International |
157,040 | BRR | BZDI | 9.440 | 1/2/17 | 814,955 |
41 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Goldman Sachs International |
191,610 | BRR | BZDI | 8.330 | 1/2/14 | 557,582 | ||||||||||||||||
JPMorgan Chase Bank NA |
300,000 | BRR | BZDI | 9.430 | 1/2/17 | 1,221,361 | ||||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
1,085,460 | BRR | 5,277,259 | |||||||||||||||||||
MXN TIIE BANXICO |
||||||||||||||||||||||
Bank of America NA |
199,500 | MXN | MXN TIIE BANXICO | 7.030 | 6/4/32 | 184,608 | ||||||||||||||||
Six-Month AUD BBR BBSW: |
||||||||||||||||||||||
Bank of America NA |
44,235 | AUD | Six-Month AUD BBR BBSW | 3.950 | 6/13/22 | (68,400 | ) | |||||||||||||||
Bank of America NA |
45,040 | AUD | Six-Month AUD BBR BBSW | 3.888 | 6/27/22 | (347,680 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
89,275 | AUD | (416,080 | ) | ||||||||||||||||||
Six-Month NOK NIBOR : |
||||||||||||||||||||||
Barclays Bank plc |
750,000 | NOK | Six-Month NOK NIBOR NIBR | 3.998 | 6/29/22 | (76,828 | ) | |||||||||||||||
Goldman Sachs International |
151,000 | NOK | Six-Month NOK NIBOR NIBR | 3.750 | 6/13/22 | (254,026 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
901,000 | NOK | (330,854 | ) | ||||||||||||||||||
Three-Month AUD BBR BBSW |
||||||||||||||||||||||
Bank of America NA |
200,000 | AUD | Three-Month AUD BBR BBSW | 2.994 | 6/1/15 | (1,452,979 | ) | |||||||||||||||
Three-Month CAD BA CDOR: |
||||||||||||||||||||||
Bank of America NA |
66,380 | CAD | Three-Month CAD BA CDOR | 1.861 | 3/28/17 | 1,102,477 | ||||||||||||||||
Bank of America NA |
221,370 | CAD | Three-Month CAD BA CDOR | 1.825 | 4/27/14 | 1,117,491 | ||||||||||||||||
Bank of America NA |
88,550 | CAD | Three-Month CAD BA CDOR | 1.950 | 4/27/15 | 949,481 | ||||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
376,300 | CAD | 3,169,449 | |||||||||||||||||||
|
|
|||||||||||||||||||||
Total Interest Rate Swaps |
$ | 6,431,403 | ||||||||||||||||||||
|
|
42 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
MXN | Mexican Nuevo Peso | |
NOK | Norwegian Krone |
Abbreviations/Definitions are as follows:
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BANXICO | Banco de Mexico | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI | Brazil Interbank Deposit Rate | |
NIBOR | Norwegian Interbank Offered Rate | |
TIIE | Interbank Equilibrium Interest Rate |
Swap Summary as of June 29, 2012 is as follows:
Swap Counterparty |
Swap Type from Fund Perspective |
Notional Amount (000s) |
Value | |||||||||||
Bank of America NA: |
||||||||||||||
Interest Rate | 289,275 | AUD | $ | (1,869,059 | ) | |||||||||
Interest Rate | 92,410 | BRR | 595,966 | |||||||||||
Interest Rate | 376,300 | CAD | 3,169,449 | |||||||||||
Interest Rate | 199,500 | MXN | 184,608 | |||||||||||
|
|
|||||||||||||
2,080,964 | ||||||||||||||
Barclays Bank plc |
Interest Rate | 750,000 | NOK | (76,828 | ) | |||||||||
Citibank NA |
Interest Rate | 80,200 | BRR | 864,672 | ||||||||||
Credit Suisse International |
Interest Rate | 66,020 | BRR | 92,215 | ||||||||||
Deutsche Bank AG: |
||||||||||||||
Credit Default Sell Protection | 36,665 | (1,009,216 | ) | |||||||||||
Interest Rate | 92,460 | BRR | 636,747 | |||||||||||
|
|
|||||||||||||
(372,469 | ) |
43 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Goldman Sachs International: |
||||||||||||||
Interest Rate | 454,370 | BRR | 1,866,298 | |||||||||||
Interest Rate | 151,000 | NOK | (254,026 | ) | ||||||||||
|
|
|||||||||||||
1,612,272 | ||||||||||||||
HSBC Bank USA NA |
Credit Default Sell Protection | 12,475 | (1,986,956 | ) | ||||||||||
JPMorgan Chase Bank NA: |
||||||||||||||
Credit Default Buy Protection | 65,905 | EUR | 5,032,620 | |||||||||||
Credit Default Sell Protection | 30,945 | (7,879,602 | ) | |||||||||||
Interest Rate | 300,000 | BRR | 1,221,361 | |||||||||||
|
|
|||||||||||||
(1,625,621 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. |
Credit Default Sell Protection | 10,410 | (183,448 | ) | ||||||||||
UBS AG |
Credit Default Sell Protection | 11,575 | (1,969,127 | ) | ||||||||||
|
|
|||||||||||||
Total Swaps |
$ | (1,564,326 | ) | |||||||||||
|
|
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 | |
EUR |
Euro | |
MXN |
Mexican Nuevo Peso | |
NOK |
Norwegian Krone |
As of June 29, 2012, the Fund had entered into the following written swaption contracts:
Reference Entity / Swaption Counterparty |
Swaption Description |
Underlying Swap Type from Fund Perspective |
Notional Amount (000s) |
Swaption Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
iTraxx Europe Crossover Series 17 Version 1: |
||||||||||||||||||||||||||||||
Bank of America NA |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Bought Protection on iTraxx Europe Crossover Series 17 Version 1; Termination Date: 6/20/17 | |
Index Credit Default Pay Fixed |
|
94,255 | EUR | 9/20/12 | $ | 271,676 | $ | (395,237 | ) | $ | (123,561 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a fixed rate |
271,676 | (395,237 | ) | (123,561 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
44 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
JPMorgan Chase Bank NA |
Index Credit Default Swaption (European); Swap Terms: Paid: Sold Protection on iTraxx Europe Crossover Series 17 Version 1; Received: 5%; Termination Date: 6/20/17 | |
Index Credit Default Pay Floating |
|
94,155 | EUR | 9/20/12 | 1,514,482 | (1,346,910 | ) | 167,572 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a floating rate |
1,514,482 | (1,346,910 | ) | 167,572 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
1,786,158 | (1,742,147 | ) | 44,011 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
MXN TIIE BANXICO |
||||||||||||||||||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: MXN TIIE BANXICO; Received: 6.45%; Termination Date: 8/14/19 | |
Interest Rate Pay Floating |
|
498,500 | MXN | 8/22/12 | 863,835 | (22,175 | ) | 841,660 | |||||||||||||||||||
Six-Month EUR EURIBOR: |
||||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.71%; Received: Six-Month EUR EURIBOR; Termination Date: 11/17/42 | |
Interest Rate Pay Fixed |
|
80,825 | EUR | 11/16/12 | 4,382,791 | (4,961,665 | ) | (578,874 | ) | ||||||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.65%; Received: Six-Month EUR EURIBOR; Termination Date: 12/1/42 | |
Interest Rate Pay Fixed |
|
80,610 | EUR | 11/30/12 | 4,059,605 | (4,604,212 | ) | (544,607 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a fixed rate |
|
8,442,396 | (9,565,877 | ) | (1,123,481 | ) |
45 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Six-Month EUR EURIBOR; Received: 2.70%; Termination Date: 5/8/24 | |
Interest Rate Pay Floating |
|
183,040 | EUR | 5/7/14 | 8,073,885 | (7,740,338 | ) | 333,547 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a floating rate |
8,073,885 | (7,740,338 | ) | 333,547 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
16,516,281 | (17,306,215 | ) | (789,934 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Six-Month GBP BBA LIBOR: |
||||||||||||||||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 2.29%; Received: Six-Month GBP BBA LIBOR; Termination Date: 6/26/23 | |
Interest Rate Pay Fixed |
|
53,190 | GBP | 6/27/13 | 2,433,763 | (2,245,868 | ) | 187,895 | |||||||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 3.231%; Received: Six-Month GBP BBA LIBOR; Termination Date: 2/14/43 | |
Interest Rate Pay Fixed |
|
22,675 | GBP | 2/15/13 | 2,249,186 | (2,806,709 | ) | (557,523 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a fixed rate |
4,682,949 | (5,052,577 | ) | (369,628 | ) | |||||||||||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Six-Month GBP BBA LIBOR; Received: 2.29%; Termination Date: 6/26/23 | |
Interest Rate Pay Floating |
|
53,190 | GBP | 6/27/13 | 2,433,763 | (2,600,776 | ) | (167,013 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a floating rate |
|
2,433,763 | (2,600,776 | ) | (167,013 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
7,116,712 | (7,653,353 | ) | (536,641 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
46 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Three-Month CAD BA CDOR: |
||||||||||||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 1.59%; Received: Three-Month CAD BA CDOR; Termination Date: 8/7/14 | |
Interest Rate Pay Fixed |
|
88,595 | CAD | 8/8/12 | 258,074 | (560,451 | ) | (302,377 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.30%; Received: Three-Month CAD BA CDOR; Termination Date: 9/5/22 | |
Interest Rate Pay Fixed |
|
26,880 | CAD | 9/6/12 | 289,323 | (523,951 | ) | (234,628 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.2255%; Received: Three-Month CAD BA CDOR; Termination Date: 9/27/22 | |
Interest Rate Pay Fixed |
|
53,135 | CAD | 9/28/12 | 860,150 | (832,221 | ) | 27,929 | |||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 1.5375%; Received: Three-Month CAD BA CDOR; Termination Date: 8/13/13 | |
Interest Rate Pay Fixed |
|
221,445 | CAD | 8/14/12 | 298,712 | (729,465 | ) | (430,753 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 1.525%; Received: Three-Month CAD BA CDOR; Termination Date: 8/3/13 | |
Interest Rate Pay Fixed |
|
221,460 | CAD | 8/6/12 | 279,932 | (701,759 | ) | (421,827 | ) |
47 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.53%; Received: Three-Month CAD BA CDOR; Termination Date: 9/24/22 | |
Interest Rate Pay Fixed |
|
26,825 | CAD | 9/25/12 | 303,517 | (941,043 | ) | (637,526 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.61%; Received: Three-Month CAD BA CDOR; Termination Date: 9/21/22 | |
Interest Rate Pay Fixed |
|
53,665 | CAD | 9/24/12 | 611,151 | (2,181,126 | ) | (1,569,975 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.27%; Received: Three-Month CAD BA CDOR; Termination Date: 8/27/22 | |
Interest Rate Pay Fixed |
|
53,780 | CAD | 8/28/12 | 608,292 | (923,609 | ) | (315,317 | ) | ||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 1.25%; Received: Three-Month CAD BA CDOR; Termination Date: 9/5/17 | |
Interest Rate Pay Fixed |
|
150,000 | CAD | 9/6/12 | 578,118 | (217,138 | ) | 360,980 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a fixed rate |
4,087,269 | (7,610,763 | ) | (3,523,494 | ) | |||||||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month CAD BA CDOR; Received: 1.75%; Termination Date: 9/5/17 | |
Interest Rate Pay Floating |
|
150,000 | CAD | 9/6/12 | 708,195 | (684,352 | ) | 23,843 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a floating rate |
708,195 | (684,352 | ) | 23,843 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
4,795,464 | (8,295,115 | ) | (3,499,651 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
48 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Three-Month USD BBA LIBOR: |
||||||||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.2825%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/11/22 | |
Interest Rate Pay Fixed |
|
107,455 | 10/10/12 | 2,546,684 | (4,773,237 | ) | (2,226,553 | ) | |||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.93%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/18/22 | |
Interest Rate Pay Fixed |
|
107,770 | 8/17/12 | 1,163,916 | (1,591,742 | ) | (427,826 | ) | |||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 2.10%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/9/24 | |
Interest Rate Pay Fixed |
|
100,000 | 4/8/14 | 1,760,000 | (3,474,616 | ) | (1,714,616 | ) | |||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 1.72%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/9/24 | |
Interest Rate Pay Fixed |
|
100,000 | 4/8/14 | 950,000 | (1,940,057 | ) | (990,057 | ) | |||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.90%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/13/22 | |
Interest Rate Pay Fixed |
|
781,005 | 11/9/12 | 7,048,570 | (14,175,490 | ) | (7,126,920 | ) |
49 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 1.74%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/10/19 | |
Interest Rate Pay Fixed |
|
33,600 | 9/7/12 | 529,200 | (809,286 | ) | (280,086 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total where Fund pays a fixed rate |
13,998,370 | (26,764,428 | ) | (12,766,058 | ) | |||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3%; Termination Date: 8/22/42 | |
Interest Rate Pay Floating |
|
53,700 | 8/21/12 | 496,725 | (132,844 | ) | 363,881 | ||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.50%; Termination Date: 4/27/22 | |
Interest Rate Pay Floating |
|
312,905 | 4/26/17 | 10,394,289 | (7,149,553 | ) | 3,244,736 | ||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.31%; Termination Date: 6/18/24 | |
Interest Rate Pay Floating |
|
220,000 | 6/17/14 | 10,230,000 | (9,491,178 | ) | 738,822 | ||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3%; Termination Date: 8/20/42 | |
Interest Rate Pay Floating |
|
100,000 | 8/17/12 | 1,310,000 | (207,442 | ) | 1,102,558 | ||||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.115%; Termination Date: 10/1/12 | |
Interest Rate Pay Floating |
|
124,430 | 10/1/12 | 451,059 | (13,435 | ) | 437,624 |
50 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3%; Termination Date: 8/20/42 | |
Interest Rate Pay Floating |
|
100,000 | 8/17/12 | 1,350,000 | (207,442 | ) | 1,142,558 | ||||||||||||||||||||
UBS AG |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.80%; Termination Date: 6/13/23 | |
Interest Rate Pay Floating |
|
133,830 | 6/12/13 | 1,605,960 | (1,350,636 | ) | 255,324 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total where Fund pays a floating rate |
25,838,033 | (18,552,530 | ) | 7,285,503 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
39,836,403 | (45,316,958 | ) | (5,480,555 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Three-Month ZAR JIBAR SAFEX: |
||||||||||||||||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 7%, Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 11/14/22 | |
Interest Rate Pay Fixed |
|
155,100 | ZAR | 11/13/12 | 200,795 | (338,714 | ) | (137,919 | ) | ||||||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 7%; Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 11/19/22 | |
Interest Rate Pay Fixed |
|
154,940 | ZAR | 11/20/12 | 204,161 | (346,680 | ) | (142,519 | ) |
51 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 7%; Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 12/18/22 | |
Interest Rate Pay Fixed |
|
154,320 | ZAR | 12/19/12 | 203,357 | (378,226 | ) | (174,869 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
608,313 | (1,063,620 | ) | (455,307 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Written Swaptions |
$ | 71,523,166 | $ | (81,399,583 | ) | $ | (9,876,417 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound Sterling |
MXN | Mexican Nuevo Peso |
ZAR | South African Rand |
Abbreviations/Definitions are as follows:
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate |
BANXICO | Banco de Mexico |
BBA LIBOR | British Bankers Association London-Interbank Offered Rate |
EURIBOR | Euro Interbank Offered Rate |
iTraxx | CreditDefault Swap Trading Index for a Specific Basket of Securities |
JIBAR | South Africa Johannesburg Interbank Agreed Rate |
SAFEX | South African Futures Exchange |
TIIE | Interbank Equilibrium Interest Rate |
Notes to Statement of Investments
Quarterly Period. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
52 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
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 notes market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a when-issued basis, and may purchase or sell securities on a delayed delivery basis. When-issued or delayed delivery refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 29, 2012, the Fund had purchased securities issued on a when-issued or delayed delivery basis as follows:
When-Issued or Delayed Delivery Basis Transactions |
||||
Purchased securities |
$ | 61,188,135 |
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 June 29, 2012 is as follows:
Cost |
$ | 62,056,235 | ||
Market Value |
$ | 10,230,614 | ||
Market Value as a % of Net Assets |
0.08 | % |
53 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (IMMF) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Funds 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 IMMFs 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 Funds investment in IMMF.
Foreign Currency Translation. The Funds 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.
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.
The Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on
54 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Funds 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 days closing bid and asked prices, and if not, at the current days closing bid price. A security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Funds assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
55 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
Security Type |
Standard inputs generally considered by third-party pricing vendors | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
Loans |
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
Event-linked bonds |
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
Structured securities |
Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. | |
Swaps |
Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Manager, the market value or price obtained does not constitute a readily available market quotation, or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale
56 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) |
2) | Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) |
3) | Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
57 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
The table below categorizes amounts as of June 29, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table Investments, at Value: |
| |||||||||||||||
U.S. Government Obligations |
$ | | $ | 148,466,535 | $ | | $ | 148,466,535 | ||||||||
Foreign Government Obligations |
| 8,415,324,135 | | 8,415,324,135 | ||||||||||||
Corporate Bonds and Notes |
14,166,391 | 2,761,633,932 | | 2,775,800,323 | ||||||||||||
Corporate Loans |
| | 5,543,125 | 5,543,125 | ||||||||||||
Structured Securities |
| 439,445,996 | 142,642 | 439,588,638 | ||||||||||||
Options Purchased |
2,558,586 | 155,778,496 | | 158,337,082 | ||||||||||||
Swaptions Purchased |
| 64,239,904 | | 64,239,904 | ||||||||||||
Investment Company |
278,188,397 | | | 278,188,397 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
294,913,374 | 11,984,888,998 | 5,685,767 | 12,285,488,139 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
| 8,631,316 | | 8,631,316 | ||||||||||||
Swaps, at value |
| 5,032,620 | | 5,032,620 | ||||||||||||
Futures margins |
3,240,128 | | | 3,240,128 | ||||||||||||
Foreign currency exchange contracts |
| 63,035,052 | | 63,035,052 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 298,153,502 | $ | 12,061,587,986 | $ | 5,685,767 | $ | 12,365,427,255 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
$ | | $ | (11,817,856 | ) | $ | | $ | (11,817,856 | ) | ||||||
Depreciated swaps, at value |
| (3,410,406 | ) | | (3,410,406 | ) | ||||||||||
Appreciated options written, at value |
(434,253 | ) | (38,331,277 | ) | | (38,765,530 | ) | |||||||||
Depreciated options written, at value |
| (13,049,733 | ) | | (13,049,733 | ) | ||||||||||
Options written, at value |
| (343,847 | ) | | (343,847 | ) | ||||||||||
Futures margins |
(2,402,845 | ) | | | (2,402,845 | ) | ||||||||||
Foreign currency exchange contracts |
| (98,798,957 | ) | | (98,798,957 | ) | ||||||||||
Appreciated swaptions written, at value |
| (31,641,532 | ) | | (31,641,532 | ) | ||||||||||
Depreciated swaptions written, at value |
| (49,758,051 | ) | | (49,758,051 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (2,837,098 | ) | $ | (247,151,659 | ) | $ | | $ | (249,988,757 | ) | |||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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.
There have been no significant changes to the fair valuation methodologies of the Fund during the period.
58 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Risk Exposures and the Use of Derivative Instruments
The Funds 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 instruments price
59 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Funds 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 Funds 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 Funds 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 Funds derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 29, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $352,096,527, 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 Funds 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
60 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $155,765,554 as of June 29, 2012. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of June 29, 2012 the Fund has required certain counterparties to post collateral of $230,533,192.
Credit Related Contingent Features. The Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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 June 29, 2012, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $75,751,180 for which the Fund has posted collateral of $64,588,633. If a contingent feature would have been triggered as of June 29, 2012, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities in the annual and semiannual reports; securities posted as collateral, if any, are reported on the Statement of Investments.
Foreign Currency Exchange Contracts
The Fund may enter into foreign currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Forward contracts are reported on a schedule following the Statement of Investments. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation).
61 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for 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. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended June 29, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $3,798,274,587 and $5,694,600,607, 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.
62 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has purchased futures contracts on various currencies to increase exposure to foreign exchange rate risk.
During the period ended June 29, 2012, the Fund had an ending monthly average market value of $383,759,300 and $1,331,427,759 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
63 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.
The Fund has 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 and/or euro 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 and/or euro 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 period ended June 29, 2012, the Fund had an ending monthly average market value of $18,162,854 and $65,225,760 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised.
64 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
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.
The Fund has written call options on treasury and/or euro futures to decrease exposure to interest rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the period ended June 29, 2012, the Fund had an ending monthly average market value of $13,310,358 and $22,709,666 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 period ended June 29, 2012 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, 2011 |
62,215,317,030 | $ | 8,221,138 | 128,302,138,970 | $ | 24,701,704 | ||||||||||
Options written |
1,278,193,800,333 | 169,035,617 | 1,428,917,968,034 | 127,959,893 | ||||||||||||
Options closed or expired |
(1,273,601,691,350 | ) | (155,191,811 | ) | (1,423,262,384,332 | ) | (95,040,367 | ) | ||||||||
Options exercised |
(969,630,000 | ) | (2,925,796 | ) | (61,995,646,463 | ) | (6,133,720 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Options outstanding as of June 29, 2012 |
65,837,796,013 | $ | 19,139,148 | 71,962,076,209 | $ | 51,487,510 | ||||||||||
|
|
|
|
|
|
|
|
65 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuers 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.
66 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and/or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes.
For the period ended June 29, 2012, the Fund had ending monthly average notional amounts of $89,070,794 and $147,969,700 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.
67 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended June 29, 2012, the Fund had ending monthly average notional amounts of $649,673,881 and $1,765,892,108 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of securities or an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract.
The Fund has entered into total return swaps on various equity securities or indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of securities or an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same securities or index multiplied by the notional amount of the contract.
For the period ended June 29, 2012, the Fund had ending monthly average notional amounts of $180,731,498 and $80,267,597 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively.
68 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 29, 2012, the Fund had no such total return swap agreements outstanding.
Currency Swaps. A currency swap is an agreement between counterparties to exchange different currencies equivalent to the notional value at contract inception and reverse the exchange of the same notional values of those currencies at contract termination. The contract may also include periodic exchanges of cash flows based on a specified index or interest rate.
The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into currency swap contracts with the obligation to pay an interest rate on various foreign currency notional amounts and receive an interest rate on the dollar notional amount in order to take a negative investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to decrease exposure to foreign exchange rate risk.
For the period ended June 29, 2012, the Fund had ending monthly average notional amounts of $1,544,000 on currency swaps.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 29, 2012, the Fund had no such currency swap agreements outstanding.
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 in the annual and semiannual reports and the Statement of
69 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Operations in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk 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 purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate.
During the period ended June 29, 2012, the Fund had an ending monthly average market value of $31,598,706 and $41,647,056 on purchased and written swaptions, respectively.
70 | Oppenheimer International Bond Fund
Oppenheimer International Bond Fund
STATEMENT OF INVESTMENTS June 29, 2012*(Unaudited)
Written swaption activity for the period ended June 29, 2012 was as follows:
Call Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of September 30, 2011 |
901,220,000 | $ | 11,094,018 | |||||
Swaptions written |
45,977,505,000 | 153,508,224 | ||||||
Swaptions closed or expired |
(41,879,820,000 | ) | (92,259,839 | ) | ||||
Swaptions exercised |
(53,625,000 | ) | (819,237 | ) | ||||
|
|
|
|
|||||
Swaptions outstanding as of June 29, 2012 |
4,945,280,000 | $ | 71,523,166 | |||||
|
|
|
|
Restricted Securities
As of June 29, 2012, 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.
Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 29, 2012 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.
Federal tax cost of securities |
$ | 12,303,963,662 | ||
Federal tax cost of other investments |
(935,864,805 | ) | ||
|
|
|||
Total federal tax cost |
$ | 11,368,098,857 | ||
|
|
|||
Gross unrealized appreciation |
$ | 464,273,912 | ||
Gross unrealized depreciation |
(470,562,610 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (6,288,698 | ) | |
|
|
71 | Oppenheimer International Bond Fund
Item 2. | Controls and Procedures. |
(a) | Based on their evaluation of the registrants disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 6/29/2012, the registrants principal executive officer and principal financial officer found the registrants disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrants management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
(b) | There have been no significant changes in the registrants internal controls over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3. | Exhibits. |
Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer International Bond Fund
By: | /s/ William F. Glavin, Jr. | |
William F. Glavin, Jr. | ||
Principal Executive Officer | ||
Date: |
8/9/2012 |
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: |
8/9/2012 |
By: | /s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: |
8/9/2012 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, William F. Glavin, Jr., certify that:
1. | I have reviewed this report on Form N-Q 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ William F. Glavin, Jr. |
William F. Glavin, Jr. |
Principal Executive Officer |
Date: 8/9/2012 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian W. Wixted, certify that:
1. | I have reviewed this report on Form N-Q 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian W. Wixted |
Brian W. Wixted |
Principal Financial Officer |
Date: 8/9/2012 |