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)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, 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: 6/30/2018
Item 1. | Schedule of Investments. |
CONSOLIDATED
STATEMENT OF INVESTMENTS June 30, 2018 Unaudited
Principal Amount |
Value | |||||||||
Mortgage-Backed Obligations2.9% |
||||||||||
Alba plc, Series 2007-1, Cl. C, 0.921% [BP0003M+29], 3/17/391 | GBP | 12,166,192 | $ 14,841,654 | |||||||
Capital Mortgage Srl, Series 2007-1, Cl. B, 0.00% [EUR003M+22], 1/30/471 | EUR | 8,000,000 | 5,895,082 | |||||||
Eurohome UK Mortgages plc: | ||||||||||
Series 2007-1, Cl. B1, 1.531% [BP0003M+90], 6/15/441 | GBP | 5,275,000 | 5,772,013 | |||||||
Series 2007-2, Cl. B1, 2.031% [BP0003M+140], 9/15/441 | GBP | 4,000,000 | 4,637,955 | |||||||
Eurosail UK plc, Series 2007-5X, Cl. A1A, 1.399% [BP0003M+77], 9/13/451 | GBP | 10,230,542 | 13,243,415 | |||||||
Fondo de Titulizacion de Activos Santander Hipotecario 2, Series 2, Cl. E, 1.771% [EUR003M+210], 1/18/491 | EUR | 7,700,000 | 7,220,237 | |||||||
Great Hall Mortgages No 1 plc, Series 2007-1, Cl. DA, 1.411% [BP0003M+78], 3/18/391 | GBP | 8,000,000 | 9,388,743 | |||||||
Grifonas Finance plc, Series 1, Cl. B, 0.249% [EUR006M+52], 8/28/391 | EUR | 5,000,000 | 4,071,050 | |||||||
Hipocat 11 Fondo de Titulizacion de Activos, Series HIPO-11, Cl. A2, 0.00% [EUR003M+13], 1/15/501 | EUR | 2,211,554 | 2,464,075 | |||||||
Hipocat 9 Fondo de Titulizacion de Activos, Series HIPO-9, Cl. C, 0.00% [EUR003M+29], 7/15/381 | EUR | 17,400,000 | 15,644,742 | |||||||
IM Pastor 4 Fondo de Titulizacion de Activos: | ||||||||||
Series 4, Cl. A, 0.00% [EUR003M+14], 3/22/441 | EUR | 17,249,344 | 18,713,656 | |||||||
Series 4, Cl. B, 0.00% [EUR003M+19], 3/22/441 | EUR | 3,000,000 | 1,853,758 | |||||||
Ludgate Funding plc, Series 2007-1, 0.00%, 1/1/61 | GBP | 207,500,000 | 7,201,110 | |||||||
Newgate Funding plc: | ||||||||||
Series 2006-2, Cl. CB, 0.101% [EUR003M+43], 12/1/501 | EUR | 3,886,576 | 4,155,719 | |||||||
Series 2007-2X, Cl. CB, 0.119% [EUR003M+44], 12/15/501 | EUR | 3,554,575 | 3,698,139 | |||||||
Series 2007-3X, Cl. D, 3.631% [BP0003M+300], 12/15/501 | GBP | 4,699,257 | 6,247,886 | |||||||
Sestante Finance Srl, Series 3, Cl. C1, 0.471% [EUR003M+80], 7/15/451 | EUR | 9,700,000 | 5,213,805 | |||||||
TDA 27 Hipocat 9 Fondo de Titulizacion de Activos, Series 27, Cl. A3, 0.00% [EUR003M+19], 12/28/501 | EUR | 35,000,000 | 35,557,425 | |||||||
Total Mortgage-Backed Obligations (Cost $167,015,757) | 165,820,464 | |||||||||
Foreign Government Obligations54.8% |
||||||||||
Angola0.5% | ||||||||||
Republic of Angola: | ||||||||||
8.25% Sr. Unsec. Nts., 5/9/282 | 19,305,000 | 19,371,139 | ||||||||
9.375% Sr. Unsec. Nts., 5/8/482 | 10,045,000 | 10,169,528 | ||||||||
29,540,667
| ||||||||||
Argentina1.8% | ||||||||||
Argentine Republic: | ||||||||||
4.625% Sr. Unsec. Nts., 1/11/23 | 9,760,000 | 8,624,278 | ||||||||
5.875% Sr. Unsec. Nts., 1/11/28 | 27,535,000 | 22,458,234 | ||||||||
6.875% Sr. Unsec. Nts., 1/26/27 | 10,125,000 | 8,947,969 | ||||||||
6.875% Sr. Unsec. Nts., 1/11/48 | 11,950,000 | 9,058,219 | ||||||||
7.50% Sr. Unsec. Nts., 4/22/26 | 3,670,000 | 3,399,337 | ||||||||
15.50% Bonds, 10/17/26 | ARS | 135,000,000 | 4,228,652 | |||||||
16.00% Bonds, 10/17/23 | ARS | 118,258,140 | 3,684,593 |
1 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Argentina (Continued) |
||||||||||
Argentine Republic: (Continued) 18.20% Unsec. Nts., 10/3/21 |
ARS | 212,805,000 | $ 6,323,454 | |||||||
21.20% Bonds, 9/19/18 | ARS | 876,900,000 | 29,096,273 | |||||||
34.66% [BADLARPP+325] Sr. Unsec. Nts., 3/1/201 | ARS | 180,336,000 | 5,936,050 | |||||||
| ||||||||||
101,757,059 | ||||||||||
Australia1.8% |
||||||||||
Commonwealth of Australia: | ||||||||||
Series 150, 3.00% Sr. Unsec. Nts., 3/21/47 | AUD | 12,500,000 | 9,105,177 | |||||||
Series 35CI, 2.00% Sr. Unsec. Nts., 8/21/353 | AUD | 11,300,000 | 10,891,195 | |||||||
New South Wales Treasury Corp., Series 27, 3.00% Sr. Unsec. Nts., 5/20/27 | AUD | 25,000,000 | 18,647,206 | |||||||
Queensland Treasury Corp.: | ||||||||||
3.50% Sr. Unsec. Bonds, 8/21/302 | AUD | 20,000,000 | 15,153,411 | |||||||
Series 33, 6.50% Sr. Unsec. Bonds, 3/14/33 | AUD | 20,590,000 | 20,968,440 | |||||||
Treasury Corp. of Victoria, 3.00%, 10/20/28 | AUD | 40,000,000 | 29,743,260 | |||||||
| ||||||||||
104,508,689 | ||||||||||
Belarus0.1% |
||||||||||
Republic of Belarus, 6.875% Sr. Unsec. Nts., 2/28/232 | 3,180,000 | 3,299,011 | ||||||||
Brazil3.7% |
||||||||||
Federative Republic of Brazil: | ||||||||||
5.00% Sr. Unsec. Nts., 1/27/45 | 9,700,000 | 7,701,897 | ||||||||
6.00% Unsec. Nts., 8/15/22 | BRL | 30,170,000 | 24,451,747 | |||||||
6.00% Unsec. Nts., 5/15/45 | BRL | 32,900,000 | 26,347,479 | |||||||
10.00% Unsec. Nts., 1/1/21 | BRL | 325,000,000 | 85,101,621 | |||||||
10.00% Unsec. Nts., 1/1/27 | BRL | 211,000,000 | 49,839,229 | |||||||
10.00% Unsec. Nts., 1/1/29 | BRL | 70,000,000 | 16,229,115 | |||||||
| ||||||||||
209,671,088 | ||||||||||
Canada2.3% |
||||||||||
Canada Housing Trust No 1: | ||||||||||
1.25% Bonds, 6/15/212 | CAD | 100,000,000 | 74,135,321 | |||||||
2.35% Bonds, 6/15/232 | CAD | 75,000,000 | 56,999,201 | |||||||
| ||||||||||
131,134,522 | ||||||||||
Chile0.4% |
||||||||||
Republic of Chile: | ||||||||||
4.50% Unsec. Nts., 2/28/21 | CLP | 15,335,000,000 | 23,965,570 | |||||||
4.50% Bonds, 3/1/21 | CLP | 700,000,000 | 1,093,882 | |||||||
| ||||||||||
25,059,452 | ||||||||||
Colombia0.8% |
||||||||||
Republic of Colombia: | ||||||||||
3.875% Sr. Unsec. Nts., 4/25/27 | 3,250,000 | 3,146,812 | ||||||||
4.00% Sr. Unsec. Nts., 2/26/24 | 2,980,000 | 2,980,745 | ||||||||
6.125% Sr. Unsec. Nts., 1/18/41 | 11,050,000 | 12,403,625 |
2 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
Colombia (Continued) |
||||||||||
Republic of Colombia: (Continued) | ||||||||||
Series B, 7.00% Sr. Unsec. Nts., 9/11/19 | COP | 75,000,000,000 | $ 26,228,698 | |||||||
| ||||||||||
44,759,880 | ||||||||||
Croatia0.2% |
||||||||||
Republic of Croatia, 3.875% Sr. Unsec. Nts., 5/30/22 | EUR | 8,565,000 | 11,078,204 | |||||||
Dominican Republic0.8% |
||||||||||
Dominican Republic: | ||||||||||
5.95% Sr. Unsec. Nts., 1/25/272 | 39,775,000 | 39,426,969 | ||||||||
6.85% Sr. Unsec. Nts., 1/27/452 | 6,370,000 | 6,337,895 | ||||||||
| ||||||||||
45,764,864 | ||||||||||
Ecuador0.3% |
||||||||||
Republic of Ecuador: | ||||||||||
7.875% Sr. Unsec. Nts., 1/23/282 | 5,520,000 | 4,644,804 | ||||||||
8.875% Sr. Unsec. Nts., 10/23/272 | 11,310,000 | 10,037,059 | ||||||||
| ||||||||||
14,681,863 | ||||||||||
Egypt0.8% |
||||||||||
Arab Republic of Egypt: | ||||||||||
4.75% Sr. Unsec. Nts., 4/16/262 | EUR | 12,900,000 | 13,888,329 | |||||||
6.125% Sr. Unsec. Nts., 1/31/222 | 6,530,000 | 6,438,228 | ||||||||
6.588% Sr. Unsec. Nts., 2/21/282 | 6,345,000 | 5,848,853 | ||||||||
6.875% Sr. Unsec. Nts., 4/30/402 | 1,945,000 | 1,665,192 | ||||||||
8.50% Sr. Unsec. Nts., 1/31/472 | 9,480,000 | 9,214,408 | ||||||||
Series 3YR, 15.00% Bonds, 10/3/20 | EGP | 152,900,000 | 8,162,416 | |||||||
| ||||||||||
45,217,426 | ||||||||||
Gabon0.3% |
||||||||||
Gabonese Republic, 6.375% Bonds, 12/12/242 | 16,550,000 | 14,871,185 | ||||||||
Ghana0.4% |
||||||||||
Republic of Ghana: | ||||||||||
7.625% Sr. Unsec. Nts., 5/16/292 | 16,245,000 | 15,894,758 | ||||||||
8.627% Sr. Unsec. Nts., 6/16/492 | 9,455,000 | 9,229,328 | ||||||||
| ||||||||||
25,124,086 | ||||||||||
Greece3.5% |
||||||||||
Hellenic Republic: | ||||||||||
Bonds, 10/15/424 | EUR | 107,000,000 | 497,819 | |||||||
3.375% Sr. Unsec. Nts., 2/15/252 | EUR | 80,240,000 | 92,873,208 | |||||||
3.50% Bonds, 1/30/23 | EUR | 20,000,000 | 23,767,066 | |||||||
3.75% Bonds, 1/30/28 | EUR | 13,540,000 | 15,564,649 | |||||||
3.90% Bonds, 1/30/33 | EUR | 37,650,000 | 41,078,378 | |||||||
4.00% Bonds, 1/30/37 | EUR | 12,995,000 | 13,870,493 | |||||||
4.375% Sr. Unsec. Nts., 8/1/222 | EUR | 10,000,000 | 12,313,797 | |||||||
| ||||||||||
199,965,410 |
3 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Honduras0.1% |
||||||||||
Republic of Honduras: | ||||||||||
6.25% Sr. Unsec. Nts., 1/19/272 | $ | 3,160,000 | $ 3,182,752 | |||||||
8.75% Sr. Unsec. Nts., 12/16/202 | 2,850,000 | 3,091,395 | ||||||||
| ||||||||||
6,274,147 | ||||||||||
Hungary0.9% |
||||||||||
Hungary: | ||||||||||
5.75% Sr. Unsec. Nts., 11/22/23 | 6,380,000 | 6,878,029 | ||||||||
Series 22/B, 1.75% Bonds, 10/26/22 | HUF | 2,750,000,000 | 9,547,743 | |||||||
Series 23/A, 6.00% Bonds, 11/24/23 | HUF | 7,239,000,000 | 30,146,644 | |||||||
Series 25/B, 5.50% Bonds, 6/24/25 | HUF | 1,550,000,000 | 6,369,722 | |||||||
| ||||||||||
52,942,138 | ||||||||||
India5.3% |
||||||||||
Indian Railway Finance Corp. Ltd., 8.83% Sr. Sec. Nts., 3/25/23 | INR | 250,000,000 | 3,675,666 | |||||||
Republic of India: | ||||||||||
6.84% Sr. Unsec. Nts., 12/19/22 | INR | 1,000,000,000 | 14,002,277 | |||||||
7.68% Sr. Unsec. Nts., 12/15/23 | INR | 1,300,000,000 | 18,693,493 | |||||||
8.15% Sr. Unsec. Nts., 11/24/26 | INR | 500,000,000 | 7,312,705 | |||||||
8.20% Sr. Unsec. Nts., 2/15/22 | INR | 5,650,000,000 | 83,222,278 | |||||||
8.20% Sr. Unsec. Nts., 9/24/25 | INR | 3,375,000,000 | 49,456,176 | |||||||
8.27% Sr. Unsec. Nts., 6/9/20 | INR | 3,023,000,000 | 44,736,914 | |||||||
8.40% Sr. Unsec. Nts., 7/28/24 | INR | 3,997,000,000 | 59,188,503 | |||||||
State of Gujarat, 7.52% Sr. Unsec. Nts., 5/24/27 | INR | 500,000,000 | 6,798,066 | |||||||
State of Maharastra, 7.99% Sr. Unsec. Nts., 10/28/25 | INR | 500,000,000 | 7,129,154 | |||||||
State of Tamil Nadu, 8.53% Sr. Unsec. Nts., 3/9/26 | INR | 500,000,000 | 7,366,591 | |||||||
| ||||||||||
301,581,823 | ||||||||||
Indonesia2.5% |
||||||||||
Perusahaan Penerbit SBSN Indonesia III: | ||||||||||
4.35% Sr. Unsec. Nts., 9/10/242 | 3,560,000 | 3,564,450 | ||||||||
4.55% Sr. Unsec. Nts., 3/29/262 | 5,680,000 | 5,658,700 | ||||||||
Republic of Indonesia: | ||||||||||
3.85% Sr. Unsec. Nts., 7/18/272 | 6,030,000 | 5,730,846 | ||||||||
4.125% Sr. Unsec. Nts., 1/15/252 | 3,050,000 | 3,001,505 | ||||||||
Series FR53, 8.25% Sr. Unsec. Nts., 7/15/21 | IDR | 274,220,000,000 | 19,529,631 | |||||||
Series FR56, 8.375% Sr. Unsec. Nts., 9/15/26 | IDR | 288,430,000,000 | 20,580,839 | |||||||
Series FR61, 7.00% Sr. Unsec. Nts., 5/15/22 | IDR | 247,014,000,000 | 16,927,268 | |||||||
Series FR71, 9.00% Sr. Unsec. Nts., 3/15/29 | IDR | 359,350,000,000 | 26,794,871 | |||||||
Series FR73, 8.75% Sr. Unsec. Nts., 5/15/31 | IDR | 560,080,000,000 | 40,585,906 | |||||||
| ||||||||||
142,374,016 | ||||||||||
Iraq0.2% |
||||||||||
Republic of Iraq: | ||||||||||
5.80% Unsec. Nts., 1/15/282 | 3,695,000 | 3,325,929 | ||||||||
6.752% Sr. Unsec. Nts., 3/9/232 | 6,035,000 | 5,813,938 | ||||||||
| ||||||||||
9,139,867 |
4 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
Ivory Coast0.5% |
||||||||||
Republic of Cote dIvoire: | ||||||||||
5.125% Sr. Unsec. Nts., 6/15/252 | EUR | 6,485,000 | $ 7,638,411 | |||||||
5.25% Sr. Unsec. Nts., 3/22/302 | EUR | 7,640,000 | 8,556,306 | |||||||
6.125% Sr. Unsec. Nts., 6/15/332 | 7,715,000 | 6,831,849 | ||||||||
6.625% Sr. Unsec. Nts., 3/22/482 | EUR | 6,367,000 | 7,022,793 | |||||||
| ||||||||||
30,049,359 | ||||||||||
Malaysia0.3% |
||||||||||
Federation of Malaysia, Series 0116, 3.80% Sr. Unsec. Nts., 8/17/23 | MYR | 80,000,000 | 19,625,558 | |||||||
Mexico7.9% |
||||||||||
United Mexican States: | ||||||||||
3.75% Sr. Unsec. Nts., 1/11/28 | 6,395,000 | 6,054,466 | ||||||||
4.00% Bonds, 6/13/193 | MXN | 1,605,612,510 | 81,012,561 | |||||||
Series M, 5.00% Sr. Unsec. Nts., 12/11/19 | MXN | 1,320,000,000 | 63,968,017 | |||||||
Series M, 6.50% Bonds, 6/10/21 | MXN | 400,000,000 | 19,518,385 | |||||||
Series M, 8.00% Sr. Unsec. Nts., 12/7/23 | MXN | 850,000,000 | 43,446,180 | |||||||
Series M, 8.00% Bonds, 11/7/47 | MXN | 466,000,000 | 24,316,564 | |||||||
Series M10, 8.50% Bonds, 12/13/18 | MXN | 2,890,000,000 | 145,938,797 | |||||||
Series M20, 8.50% Sr. Unsec. Nts., 5/31/29 | MXN | 240,000,000 | 12,901,106 | |||||||
Series M20, 10.00% Bonds, 12/5/24 | MXN | 698,700,000 | 39,542,193 | |||||||
Series M30, 10.00% Bonds, 11/20/36 | MXN | 290,000,000 | 18,010,438 | |||||||
| ||||||||||
454,708,707 | ||||||||||
Mongolia0.1% |
||||||||||
Mongolia: | ||||||||||
5.125% Sr. Unsec. Nts., 12/5/222 | 1,940,000 | 1,821,609 | ||||||||
5.625% Sr. Unsec. Nts., 5/1/232 | 4,450,000 | 4,222,979 | ||||||||
| ||||||||||
6,044,588 | ||||||||||
New Zealand0.4% |
||||||||||
New Zealand, 3.00% Sr. Unsec. Nts., 4/20/29 | NZD | 30,000,000 | 20,609,519 | |||||||
Nigeria0.2% |
||||||||||
Federal Republic of Nigeria: | ||||||||||
7.143% Sr. Unsec. Nts., 2/23/302 | 4,425,000 | 4,188,094 | ||||||||
7.696% Sr. Unsec. Nts., 2/23/382 | 10,770,000 | 10,207,914 | ||||||||
| ||||||||||
14,396,008 | ||||||||||
Oman0.4% |
||||||||||
Sultanate of Oman, 6.75% Sr. Unsec. Nts., 1/17/482 | 28,250,000 | 25,670,775 | ||||||||
Peru0.8% |
||||||||||
Republic of Peru: | ||||||||||
6.35% Sr. Unsec. Nts., 8/12/282 | PEN | 112,140,000 | 35,750,089 | |||||||
8.20% Sr. Unsec. Nts., 8/12/262 | PEN | 29,000,000 | 10,534,585 | |||||||
| ||||||||||
46,284,674 |
5 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Poland0.5% |
||||||||||
Republic of Poland: | ||||||||||
Series 0725, 3.25% Bonds, 7/25/25 | PLN | 30,000,000 | $ 8,149,237 | |||||||
Series 0726, 2.50% Bonds, 7/25/26 | PLN | 90,900,000 | 23,233,187 | |||||||
| ||||||||||
31,382,424 | ||||||||||
Portugal2.8% |
||||||||||
Portuguese Republic: | ||||||||||
2.125% Sr. Unsec. Nts., 10/17/282 | EUR | 15,000,000 | 18,060,430 | |||||||
2.875% Sr. Unsec. Nts., 10/15/252 | EUR | 106,100,000 | 137,973,945 | |||||||
4.10% Sr. Unsec. Nts., 2/15/452 | EUR | 3,330,000 | 4,796,515 | |||||||
| ||||||||||
160,830,890 | ||||||||||
Romania0.2% |
||||||||||
Romania: | ||||||||||
2.375% Sr. Unsec. Nts., 4/19/272 | EUR | 5,980,000 | 7,008,109 | |||||||
3.875% Sr. Unsec. Nts., 10/29/352 | EUR | 2,050,000 | 2,450,917 | |||||||
| ||||||||||
9,459,026 | ||||||||||
Russia0.5% |
||||||||||
Russian Federation: | ||||||||||
4.375% Sr. Unsec. Nts., 3/21/292 | 3,245,000 | 3,150,304 | ||||||||
Series 6209, 7.60% Bonds, 7/20/22 | RUB | 394,000,000 | 6,351,060 | |||||||
Series 6211, 7.00% Bonds, 1/25/23 | RUB | 1,163,100,000 | 18,279,568 | |||||||
| ||||||||||
27,780,932 | ||||||||||
Senegal0.2% |
||||||||||
Republic of Senegal: | ||||||||||
6.25% Sr. Unsec. Nts., 7/30/242 | 3,580,000 | 3,519,752 | ||||||||
6.25% Unsec. Nts., 5/23/332 | 3,170,000 | 2,818,922 | ||||||||
6.75% Sr. Unsec. Nts., 3/13/482 | 5,690,000 | 4,886,373 | ||||||||
| ||||||||||
11,225,047 | ||||||||||
Serbia0.2% |
||||||||||
Republic of Serbia, 5.875% Unsec. Nts., 12/3/182 | 12,245,000 | 12,377,626 | ||||||||
Singapore0.3% |
||||||||||
Republic of Singapore, 2.25% Sr. Unsec. Nts., 6/1/21 | SGD | 25,000,000 | 18,442,404 | |||||||
South Africa3.5% |
||||||||||
Republic of South Africa: | ||||||||||
5.875% Sr. Unsec. Nts., 6/22/30 | 9,760,000 | 9,703,236 | ||||||||
Series 2023, 7.75% Bonds, 2/28/23 | ZAR | 311,100,000 | 22,253,170 | |||||||
Series 2030, 8.00% Bonds, 1/31/30 | ZAR | 260,000,000 | 17,305,964 | |||||||
Series 2037, 8.50% Bonds, 1/31/37 | ZAR | 181,800,000 | 12,022,112 | |||||||
Series 2048, 8.75% Bonds, 2/28/48 | ZAR | 452,000,000 | 29,979,421 | |||||||
Series R186, 10.50% Bonds, 12/21/26 | ZAR | 734,700,000 | 58,713,657 | |||||||
Series R208, 6.75% Sr. Unsec. Nts., 3/31/21 | ZAR | 514,540,000 | 36,525,832 |
6 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
South Africa (Continued) |
||||||||||
Republic of South Africa: (Continued) | ||||||||||
Series R214, 6.50% Bonds, 2/28/41 | ZAR | 255,000,000 | $ 13,222,189 | |||||||
| ||||||||||
199,725,581 | ||||||||||
Sri Lanka0.6% |
||||||||||
Democratic Socialist Republic of Sri Lanka: | ||||||||||
5.75% Sr. Unsec. Nts., 4/18/232 | 9,690,000 | 9,301,528 | ||||||||
5.875% Sr. Unsec. Nts., 7/25/222 | 8,995,000 | 8,853,977 | ||||||||
6.00% Sr. Unsec. Nts., 1/14/192 | 9,430,000 | 9,483,185 | ||||||||
6.25% Sr. Unsec. Nts., 10/4/202 | 2,955,000 | 2,999,177 | ||||||||
6.75% Sr. Unsec. Nts., 4/18/282 | 6,490,000 | 6,140,520 | ||||||||
| ||||||||||
36,778,387 | ||||||||||
Thailand0.9% |
||||||||||
Kingdom of Thailand: | ||||||||||
1.875% Sr. Unsec. Nts., 6/17/22 | THB | 1,120,000,000 | 33,685,124 | |||||||
2.125% Sr. Unsec. Nts., 12/17/26 | THB | 650,000,000 | 18,948,452 | |||||||
| ||||||||||
52,633,576 | ||||||||||
Turkey1.7% |
||||||||||
Republic of Turkey: | ||||||||||
8.50% Bonds, 7/10/19 | TRY | 45,000,000 | 8,943,479 | |||||||
8.80% Bonds, 11/14/18 | TRY | 73,165,000 | 15,496,707 | |||||||
10.70% Bonds, 2/17/21 | TRY | 200,700,000 | 37,353,962 | |||||||
11.00% Bonds, 2/24/27 | TRY | 30,000,000 | 4,989,279 | |||||||
12.40% Bonds, 3/8/28 | TRY | 158,000,000 | 28,443,680 | |||||||
| ||||||||||
95,227,107 | ||||||||||
Ukraine1.1% |
||||||||||
Ukraine: | ||||||||||
7.75% Sr. Unsec. Nts., 9/1/20 | 5,905,000 | 5,889,139 | ||||||||
7.75% Sr. Unsec. Nts., 9/1/23 | 13,840,000 | 13,366,395 | ||||||||
7.75% Sr. Unsec. Nts., 9/1/24 | 8,880,000 | 8,446,176 | ||||||||
7.75% Sr. Unsec. Nts., 9/1/25 | 5,900,000 | 5,554,585 | ||||||||
7.75% Sr. Unsec. Nts., 9/1/26 | 19,825,000 | 18,441,374 | ||||||||
7.75% Sr. Unsec. Nts., 9/1/27 | 11,175,000 | 10,297,360 | ||||||||
| ||||||||||
61,995,029 | ||||||||||
United Kingdom4.6% |
||||||||||
United Kingdom: | ||||||||||
2.75% Bonds, 9/7/24 | GBP | 97,000,000 | 140,689,304 | |||||||
3.25% Bonds, 1/22/44 | GBP | 71,340,000 | 122,949,387 | |||||||
| ||||||||||
263,638,691 | ||||||||||
Uruguay0.4% |
||||||||||
Oriental Republic of Uruguay: | ||||||||||
5.10% Sr. Unsec. Nts., 6/18/50 | 17,730,000 | 17,495,078 |
7 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Uruguay (Continued) |
||||||||||
Oriental Republic of Uruguay: (Continued) 9.875% Sr. Unsec. Nts., 6/20/222 | UYU | 176,475,000 | $ 5,589,051 | |||||||
| ||||||||||
23,084,129 | ||||||||||
| ||||||||||
Total Foreign Government Obligations (Cost $3,413,323,511) | 3,140,715,434 | |||||||||
Corporate Bonds and Notes27.9% | ||||||||||
Consumer Discretionary0.6% |
||||||||||
Automobiles0.1% |
||||||||||
Aston Martin Capital Holdings Ltd., 6.50% Sr. Sec. Nts., 4/15/222 | 3,500,000 | 3,584,875 | ||||||||
Jaguar Land Rover Automotive plc, 4.50% Sr. Unsec. Nts., 10/1/272 | 1,900,000 | 1,705,250 | ||||||||
| ||||||||||
5,290,125 | ||||||||||
Hotels, Restaurants & Leisure0.1% |
||||||||||
Melco Resorts Finance Ltd., 4.875% Sr. Unsec. Nts., 6/6/252 | 8,220,000 | 7,786,005 | ||||||||
Household Durables0.1% |
||||||||||
Arcelik AS, 5.00% Sr. Unsec. Nts., 4/3/232 | 3,245,000 | 3,069,806 | ||||||||
Media0.3% |
||||||||||
Altice Luxembourg SA, 6.25% Sr. Unsec. Nts., 2/15/25 | EUR | 5,475,000 | 6,136,825 | |||||||
Ziggo BV, 4.25% Sr. Sec. Nts., 1/15/272 | EUR | 8,000,000 | 9,278,825 | |||||||
| ||||||||||
15,415,650 | ||||||||||
Consumer Staples0.2% |
||||||||||
Beverages0.0% |
||||||||||
Coca-Cola Icecek AS, 4.215% Sr. Unsec. Nts., 9/19/242 | 3,010,000 | 2,818,796 | ||||||||
Food Products0.2% |
||||||||||
Adecoagro SA, 6.00% Sr. Unsec. Nts., 9/21/272 | 1,231,000 | 1,021,545 | ||||||||
BRF SA, 3.95% Sr. Unsec. Nts., 5/22/232 | 3,240,000 | 2,849,580 | ||||||||
MHP Lux SA, 6.95% Sr. Unsec. Nts., 4/3/262 | 3,370,000 | 3,162,627 | ||||||||
Minerva Luxembourg SA, 6.50% Sr. Unsec. Nts., 9/20/262 | 3,240,000 | 2,980,800 | ||||||||
| ||||||||||
10,014,552 | ||||||||||
Energy3.5% |
||||||||||
Energy Equipment & Services0.3% |
||||||||||
Eterna Capital Pte Ltd.: | ||||||||||
7.50% Sr. Sec. Nts., 12/11/225 | 6,350,000 | 6,301,832 | ||||||||
8.00% Sr. Sec. Nts., 12/11/225 | 13,313,533 | 12,775,839 | ||||||||
| ||||||||||
19,077,671 | ||||||||||
Oil, Gas & Consumable Fuels3.2% |
||||||||||
Frontera Energy Corp., 9.70% Sr. Unsec. Nts., 6/25/232 | 3,040,000 | 3,024,800 | ||||||||
Indika Energy Capital III Pte Ltd., 5.875% Sr. Sec. Nts., 11/9/242 | 5,005,000 | 4,466,587 | ||||||||
KazMunayGas National Co. JSC: | ||||||||||
4.75% Sr. Unsec. Nts., 4/24/252 | 15,785,000 | 15,828,409 |
8 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
KazMunayGas National Co. JSC: (Continued) 5.375% Sr. Unsec. Nts., 4/24/302 |
$ | 12,955,000 | $ 13,028,066 | |||||
6.375% Sr. Unsec. Nts., 10/24/482 | 14,950,000 | 15,135,006 | ||||||
KazTransGas JSC, 4.375% Sr. Unsec. Nts., 9/26/272 | 7,590,000 | 7,077,675 | ||||||
Medco Platinum Road Pte Ltd., 6.75% Sr. Sec. Nts., 1/30/252 | 14,095,000 | 12,430,366 | ||||||
Petrobras Global Finance BV: | ||||||||
5.299% Sr. Unsec. Nts., 1/27/252 | 9,755,000 | 9,025,814 | ||||||
5.75% Sr. Unsec. Nts., 2/1/29 | 6,495,000 | 5,719,692 | ||||||
5.999% Sr. Unsec. Nts., 1/27/282 | 8,388,000 | 7,605,819 | ||||||
7.25% Sr. Unsec. Nts., 3/17/44 | 3,245,000 | 3,013,794 | ||||||
7.375% Sr. Unsec. Nts., 1/17/27 | 15,040,000 | 15,058,800 | ||||||
Petroleos Mexicanos: | ||||||||
3.75% Sr. Unsec. Nts., 2/21/24 | EUR | 2,975,000 | 3,531,804 | |||||
3.75% Sr. Unsec. Nts., 4/16/26 | EUR | 6,495,000 | 7,467,182 | |||||
5.35% Sr. Unsec. Nts., 2/12/282 | 17,090,000 | 16,218,410 | ||||||
6.50% Sr. Unsec. Nts., 3/13/27 | 4,440,000 | 4,547,670 | ||||||
6.75% Sr. Unsec. Nts., 9/21/47 | 4,880,000 | 4,650,640 | ||||||
Puma International Financing SA, 5.00% Sr. Unsec. Nts., 1/24/262 | 7,005,000 | 6,446,022 | ||||||
Repsol International Finance BV, 4.50% [EUSA10+420] Jr. Sub. Nts., 3/25/751 | EUR | 5,000,000 | 6,113,281 | |||||
Saka Energi Indonesia PT, 4.45% Sr. Unsec. Nts., 5/5/242 | 4,110,000 | 3,855,423 | ||||||
Topaz Marine SA, 9.125% Sr. Unsec. Nts., 7/26/222 | 3,225,000 | 3,268,570 | ||||||
Transportadora de Gas del Sur SA, 6.75% Sr. Unsec. Nts., 5/2/252 | 3,115,000 | 2,865,800 | ||||||
YPF SA: | ||||||||
8.50% Sr. Unsec. Nts., 7/28/252 | 6,500,000 | 6,213,675 | ||||||
26.563% [BADLARPP+400] Sr. Unsec. Nts., 7/7/201,2 | 8,000,000 | 4,430,362 | ||||||
| ||||||||
181,023,667 | ||||||||
Financials18.4% | ||||||||
Capital Markets1.7% | ||||||||
Credit Suisse Group AG, 7.50% [USSW5+459.8] Jr. Sub. Perpetual Bonds1,6 | 35,000,000 | 36,221,675 | ||||||
Koks OAO Via Koks Finance DAC, 7.50% Sr. Unsec. Nts., 5/4/222 | 4,280,000 | 4,278,793 | ||||||
Morgan Stanley, 7.50% Sr. Unsec. Nts., 4/2/324 | 25,000,000 | 19,845,400 | ||||||
Seven & Seven Ltd., 3.259% [US0006M+100] Sr. Unsec. Nts., 9/11/191,2 | 1,500,000 | 1,493,779 | ||||||
UBS AG (Stamford CT), 7.625% Sub. Nts., 8/17/22 | 10,000,000 | 11,064,000 | ||||||
UBS Group Funding Switzerland AG: | ||||||||
6.875% [USISDA05+549.65] Jr. Sub. Perpetual Bonds1,6 | 4,595,000 | 4,717,714 | ||||||
7.00% [USSW5+486.6] Jr. Sub. Perpetual Bonds1,6 | 8,000,000 | 8,127,224 | ||||||
7.125% [USSW5+588.3] Jr. Sub. Perpetual Bonds1,6 | 6,000,000 | 6,195,144 | ||||||
7.125% [USSW5+546.4] Jr. Sub. Perpetual Bonds1,6 | 5,000,000 | 5,143,980 | ||||||
| ||||||||
97,087,709 | ||||||||
Commercial Banks13.4% | ||||||||
Adler Pelzer Holding GmbH, 4.125% Sr. Sec. Nts., 4/1/24 | EUR | 1,300,000 | 1,532,479 |
9 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Commercial Banks (Continued) |
||||||||||
Allied Irish Banks plc, 4.125% [EUSA5+395] Sub. Nts., 11/26/251 | EUR | 12,000,000 | $ 14,716,032 | |||||||
Astana Finance JSC, 9.16% Sr. Unsec. Nts., 3/14/127,8 | 612,810 | | ||||||||
Banca Monte dei Paschi di Siena SpA, 5.375% [EUSA5+500.5] Sub. Nts., 1/18/281 | EUR | 10,000,000 | 9,537,481 | |||||||
Banco Bilbao Vizcaya Argentaria SA: | ||||||||||
5.875% [EUSA5+577.9] Jr. Sub. Perpetual Bonds1,6 | EUR | 15,000,000 | 17,976,821 | |||||||
6.75% [EUSA5+660.4] Jr. Sub. Perpetual Bonds1,6 | EUR | 3,000,000 | 3,651,152 | |||||||
8.875% [EUSA5+917.7] Jr. Sub. Perpetual Bonds1,6 | EUR | 25,200,000 | 33,034,736 | |||||||
Banco do Brasil SA (Cayman): | ||||||||||
3.875% Sr. Unsec. Nts., 10/10/22 | 24,410,000 | 22,853,862 | ||||||||
4.875% Sr. Unsec. Nts., 4/19/232 | 18,585,000 | 17,813,722 | ||||||||
Banco Hipotecario SA, 25.229% [BADLARPP+250] Sr. Unsec. Nts., 1/12/201,2 | ARS | 75,979,000 | 2,432,174 | |||||||
Banco Mercantil del Norte SA (Grand Cayman): | ||||||||||
6.875% [H15T5Y+503.5] Jr. Sub. Perpetual Bonds1,2,6 | 2,535,000 | 2,515,582 | ||||||||
7.625% [H15T10Y+535.3] Jr. Sub. Perpetual Bonds1,2,6 | 2,316,000 | 2,295,735 | ||||||||
Banco Santander SA, 6.75% [EUSA5+680.3] Jr. Sub. Perpetual Bonds1,6 | EUR | 11,500,000 | 14,453,715 | |||||||
Bank of Ireland, 10.00% Sub. Nts., 12/19/22 | EUR | 9,500,000 | 15,026,581 | |||||||
Bank of Scotland plc, 4.875% Sec. Nts., 12/20/24 | GBP | 8,675,000 | 13,653,910 | |||||||
Barclays Bank plc, 6.278% [US0003M+155] Jr. Sub. Perpetual Bonds1,6 | 4,000,000 | 4,300,500 | ||||||||
Barclays plc: | ||||||||||
6.50% [EUSA5+587.5] Jr. Sub. Perpetual Bonds1,6 | EUR | 10,000,000 | 12,044,514 | |||||||
7.25% [BPSW5+646.2] Jr. Sub. Perpetual Bonds1,6 | GBP | 10,000,000 | 13,582,801 | |||||||
8.00% [EUSA5+675] Jr. Sub. Perpetual Bonds1,6 | EUR | 11,105,000 | 14,394,880 | |||||||
BBVA Bancomer SA, 5.35% [H15T5Y+300] Sub. Nts., 11/12/291,2 | 3,145,000 | 2,932,712 | ||||||||
Belfius Bank SA, 3.625% [EUSA5+293.8] Jr. Sub. Perpetual Bonds1,6,9 | EUR | 3,000,000 | 2,999,947 | |||||||
BNP Paribas SA, 7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds1,2,6 | 24,000,000 | 25,110,000 | ||||||||
Caixa Geral de Depositos SA: | ||||||||||
1.00% Sec. Nts., 1/27/22 | EUR | 3,000,000 | 3,588,711 | |||||||
5.75% [EUSA5+550] Sub. Nts., 6/28/281,9 | EUR | 5,000,000 | 5,817,396 | |||||||
10.75% [EUSA5+1,092.5] Jr. Sub. Perpetual Bonds1,6 | EUR | 7,000,000 | 9,008,205 | |||||||
CaixaBank SA: | ||||||||||
2.75% [EUSA5+235] Sub. Nts., 7/14/281 | EUR | 11,000,000 | 13,041,223 | |||||||
5.25% [EUSA5+450.4] Jr. Sub. Perpetual Bonds1,6,9 | EUR | 3,000,000 | 3,217,470 | |||||||
6.75% [EUSA5+649.8] Jr. Sub. Perpetual Bonds1,6 | EUR | 15,000,000 | 18,666,115 | |||||||
Cooperatieve Rabobank UA, 5.50% [EUSA5+525] Jr. Sub. Perpetual Bonds1,6 | EUR | 5,090,000 | 6,363,280 | |||||||
Credit Agricole SA: | ||||||||||
6.625% [USSW5+469.7] Jr. Sub. Perpetual Bonds1,6 | 4,000,000 | 4,007,132 | ||||||||
8.125% [USSW5+618.5] Jr. Sub. Perpetual Bonds1,2,6 | 4,405,000 | 4,674,806 | ||||||||
Credit Suisse AG, 6.50% Sub. Nts., 8/8/23 | 15,010,000 | 15,995,301 | ||||||||
Dresdner Funding Trust I, 8.151% Jr. Sub. Nts., 6/30/312 | 9,900,000 | 12,374,723 | ||||||||
Eurobank Ergasias SA, 2.75% Sec. Nts., 11/2/20 | EUR | 16,500,000 | 19,508,480 |
10 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
Commercial Banks (Continued) |
||||||||||
EUROFIMA, 6.25% Sr. Unsec. Nts., 12/28/18 | AUD | 5,270,000 | $ 3,975,362 | |||||||
Export-Import Bank of India: | ||||||||||
9.50% Sr. Unsec. Nts., 10/9/18 | INR | 175,000,000 | 2,561,426 | |||||||
9.70% Sr. Unsec. Nts., 11/21/18 | INR | 200,000,000 | 2,934,756 | |||||||
Fidelity Bank plc, 10.50% Sr. Unsec. Nts., 10/16/222 | 3,780,000 | 3,730,973 | ||||||||
Global Bank Corp., 4.50% Sr. Unsec. Nts., 10/20/212 | 3,910,000 | 3,816,160 | ||||||||
Globo Comunicacao e Participacoes SA, 5.125% Sr. Unsec. Nts., 3/31/272 | 3,175,000 | 2,960,687 | ||||||||
HSBC Bank Capital Funding Sterling 1 LP, 5.844% [BP0006M+176] Jr. Sub. Perpetual Bonds1,6 | GBP | 3,100,000 | 5,172,855 | |||||||
HSBC Holdings plc: | ||||||||||
5.25% Jr. Sub. Perpetual Bonds4,6 | EUR | 4,000,000 | 4,918,998 | |||||||
6.25% [USISDA05+345.3] Jr. Sub. Perpetual Bonds1,6 | 15,000,000 | 14,737,500 | ||||||||
6.375% [USISDA05+436.8] Jr. Sub. Perpetual Bonds1,6 | 10,000,000 | 9,837,500 | ||||||||
6.875% [USISDA05+551.4] Jr. Sub. Perpetual Bonds1,6 | 5,000,000 | 5,181,250 | ||||||||
IDBI Bank Ltd. (GIFT-IFC), 5.00% Sr. Unsec. Nts., 9/25/19 | 2,530,000 | 2,556,471 | ||||||||
ING Groep NV, 6.875% [USSW5+512.4] Jr. Sub. Perpetual Bonds1,6 | 5,000,000 | 5,109,385 | ||||||||
Intesa Sanpaolo SpA: | ||||||||||
4.375% Sr. Unsec. Nts., 1/12/482 | 10,000,000 | 7,806,698 | ||||||||
5.017% Sub. Nts., 6/26/242 | 10,825,000 | 9,834,028 | ||||||||
5.71% Sub. Nts., 1/15/262 | 2,000,000 | 1,830,896 | ||||||||
Intrum AB, 3.125% Sr. Unsec. Nts., 7/15/24 | EUR | 7,655,000 | 8,399,670 | |||||||
KBC Group NV, 4.25% [EUSA5+359.4] Jr. Sub. Perpetual Bonds1,6,9 | EUR | 12,000,000 | 12,857,478 | |||||||
Lloyds Bank plc: | ||||||||||
7.50% Sr. Unsec. Nts., 4/2/324 | 10,000,000 | 8,631,260 | ||||||||
13.00% [GUKG5+1,340] Jr. Sub. Perpetual Bonds1,6 | GBP | 5,000,000 | 11,661,278 | |||||||
Lloyds Banking Group plc: | ||||||||||
6.375% [EUSA5+529] Jr. Sub. Perpetual Bonds1,6 | EUR | 18,000,000 | 22,413,001 | |||||||
6.657% [US0003M+127] Jr. Sub. Perpetual Bonds1,6,10 | 12,000,000 | 12,843,360 | ||||||||
NN Group NV, 4.625% [EUR003M+395] Sub. Nts., 4/8/441 | EUR | 5,000,000 | 6,297,595 | |||||||
Novo Banco SA (Luxembourg): | ||||||||||
3.50% Sr. Unsec. Nts., 1/23/43 | EUR | 10,000,000 | 9,900,748 | |||||||
3.50% Sr. Unsec. Nts., 2/19/43 | EUR | 1,700,000 | 1,684,245 | |||||||
3.50% Sr. Unsec. Nts., 3/18/43 | EUR | 2,300,000 | 2,273,565 | |||||||
Rabobank Capital Funding Trust IV, 5.556% [BP0006M+146] Jr. Sub. Perpetual Bonds1,2,6 | GBP | 8,005,000 | 11,007,414 | |||||||
Rio Oil Finance Trust Series 2018-1, 8.20% Sr. Sec. Nts., 4/6/282 | 4,835,000 | 4,909,942 | ||||||||
Sberbank of Russia Via SB Capital SA, 5.50% [H15T5Y+402.3] Sub. Nts., 2/26/241,2 | 9,290,000 | 9,330,272 | ||||||||
Societe Generale SA: | ||||||||||
6.75% [USSW5+392.9] Jr. Sub. Perpetual Bonds1,2,6 | 20,000,000 | 18,375,000 | ||||||||
7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds1,2,6 | 13,000,000 | 13,260,000 | ||||||||
Stadshypotek AB: | ||||||||||
1.50% Sec. Nts., 3/17/21 | SEK | 600,000,000 | 69,776,984 | |||||||
1.50% Sec. Nts., 12/15/21 | SEK | 400,000,000 | 46,659,514 |
11 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Commercial Banks (Continued) | ||||||||||
Standard Chartered Bank, 5.375% [BP0003M+189] Jr. Sub. Perpetual Bonds1,6 | GBP | 4,000,000 | $ 5,516,428 | |||||||
Standard Chartered plc, 7.014% [US0003M+146] Jr. Sub. Perpetual Bonds1,2,6 | 5,460,000 | 5,801,250 | ||||||||
Swiss Insured Brazil Power Finance Sarl, 9.85% Sr. Sec. Nts., 7/16/32 | BRL | 17,500,000 | 4,199,187 | |||||||
UBS Group Funding Switzerland AG: | ||||||||||
5.00% [USSW5+243.2] Jr. Sub. Perpetual Bonds1,6 | 16,665,000 | 14,664,600 | ||||||||
5.75% [EUSA5+528.7] Jr. Sub. Perpetual Bonds1,6 | EUR | 5,000,000 | 6,310,890 | |||||||
Westpac Banking Corp., 1.50% Sec. Nts., 3/24/21 | EUR | 5,000,000 | 6,091,467 | |||||||
Zenith Bank plc, 7.375% Sr. Unsec. Nts., 5/30/222 | 3,930,000 | 3,926,817 | ||||||||
| ||||||||||
766,879,088 | ||||||||||
Consumer Finance0.4% | ||||||||||
Drax Finco plc, 4.25% Sr. Sec. Nts., 5/1/222 | GBP | 4,900,000 | 6,539,203 | |||||||
Minejesa Capital BV, 4.625% Sr. Sec. Nts., 8/10/302 | 17,770,000 | 16,235,614 | ||||||||
| ||||||||||
22,774,817 | ||||||||||
Diversified Financial Services0.4% | ||||||||||
Charming Light Investments Ltd., 4.375% Sr. Unsec. Nts., 12/21/279 | 8,430,000 | 7,890,514 | ||||||||
JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/358,10 | MXN | 34,101,099 | 161,789 | |||||||
National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/182 | 7,035,000 | 7,064,195 | ||||||||
Power Finance Corp. Ltd., 7.99% Sr. Unsec. Nts., 12/20/22 | INR | 400,000,000 | 5,656,682 | |||||||
Rural Electrification Corp. Ltd., 9.04% Sr. Unsec. Nts., 10/12/19 | INR | 250,000,000 | 3,704,098 | |||||||
| ||||||||||
24,477,278 | ||||||||||
Insurance2.2% | ||||||||||
Aquarius & Investments plc for Swiss Reinsurance Co. Ltd., 6.375% [USSW5+521] Sub. Nts., 9/1/241 | 5,000,000 | 5,117,370 | ||||||||
Aviva plc: | ||||||||||
3.875% [EUSA5+348] Sub. Nts., 7/3/441 | EUR | 7,000,000 | 8,695,257 | |||||||
6.125% [EUSA5+513] Sub. Nts., 7/5/431 | EUR | 5,000,000 | 6,916,155 | |||||||
6.125% [GUKG5+240] Jr. Sub. Perpetual Bonds1,6 | GBP | 6,560,000 | 9,460,124 | |||||||
AXA SA: | ||||||||||
3.875% [EUSA11+325] Jr. Sub. Perpetual Bonds1,6 | EUR | 10,500,000 | 12,575,253 | |||||||
8.60% Sub. Nts., 12/15/30 | 5,000,000 | 6,412,500 | ||||||||
Credit Agricole Assurances SA: | ||||||||||
4.25% [EUSA5+450] Jr. Sub. Perpetual Bonds1,6 | EUR | 10,000,000 | 12,074,328 | |||||||
4.75% [EUSA5+535] Sub. Nts., 9/27/481 | EUR | 10,000,000 | 12,584,154 | |||||||
Credivalores-Crediservicios SAS: | ||||||||||
9.75% Sr. Unsec. Nts., 7/27/222 | 790,000 | 778,150 | ||||||||
9.75% Sr. Unsec. Nts., 7/27/229 | 4,535,000 | 4,477,646 | ||||||||
Mapfre SA, 4.375% [EUR003M+454.3] Sub. Nts., 3/31/471 | EUR | 8,000,000 | 9,788,294 | |||||||
NN Group NV, 4.375% [EUR003M+390] Jr. Sub. Perpetual Bonds1,6 | EUR | 8,000,000 | 9,679,520 | |||||||
Power Finance Corp. Ltd., 8.53% Sr. Unsec. Nts., 7/24/20 | INR | 330,000,000 | 4,853,218 |
12 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
Insurance (Continued) | ||||||||||
UNIQA Insurance Group AG, 6.875% [EUR003M+598.6] Sub. Nts., 7/31/431 | EUR | 9,300,000 | $ 12,678,464 | |||||||
VIVAT NV, 2.375% Sr. Unsec. Nts., 5/17/24 | EUR | 6,000,000 | 7,282,630 | |||||||
| ||||||||||
123,373,063 | ||||||||||
Real Estate Investment Trusts (REITs)0.1% | ||||||||||
Banco Invex SA/Hipotecaria Credito y Casa SA de CV, 6.45% Sec. Nts., 3/13/343,7,8 | MXN | 27,602,566 | | |||||||
Trust F/1401, 5.25% Sr. Unsec. Nts., 1/30/262 | 6,805,000 | 6,651,888 | ||||||||
| ||||||||||
6,651,888 | ||||||||||
Real Estate Management & Development0.1% | ||||||||||
Country Garden Holdings Co. Ltd., 7.50% Sr. Sec. Nts., 3/9/20 | 3,750,000 | 3,846,161 | ||||||||
Thrifts & Mortgage Finance0.1% | ||||||||||
Housing Development Finance Corp. Ltd.: | ||||||||||
8.75% Sr. Sec. Nts., 1/13/20 | INR | 330,000,000 | 4,816,863 | |||||||
8.95% Sec. Nts., 10/19/20 | INR | 125,000,000 | 1,828,974 | |||||||
| ||||||||||
6,645,837 | ||||||||||
Health Care0.2% | ||||||||||
Health Care Providers & Services0.1% | ||||||||||
OCP SA, 4.50% Sr. Unsec. Nts., 10/22/252 | 6,360,000 | 6,071,116 | ||||||||
Life Sciences Tools & Services0.1% | ||||||||||
IQVIA, Inc.: | ||||||||||
3.25% Sr. Unsec. Nts., 3/15/252 | EUR | 6,000,000 | 6,835,329 | |||||||
3.25% Sr. Unsec. Nts., 3/15/25 | EUR | 1,000,000 | 1,137,149 | |||||||
| ||||||||||
7,972,478 | ||||||||||
Industrials0.7% | ||||||||||
Construction & Engineering0.1% | ||||||||||
Fideicomiso PA Concesion Ruta al Mar, 6.75% Sr. Sec. Nts., 2/15/442,3 | COP | 8,000,000,000 | 2,705,591 | |||||||
Fideicomiso PA Costera, 6.25% Sr. Sec. Nts., 1/15/342,3 | COP | 5,916,031,565 | 2,082,630 | |||||||
Fideicomiso PA Pacifico Tres, 8.25% Sr. Sec. Nts., 1/15/3510 | 3,060,000 | 3,411,900 | ||||||||
| ||||||||||
8,200,121 | ||||||||||
Industrial Conglomerates0.1% | ||||||||||
Sigma Finance Netherlands BV, 4.875% Sr. Unsec. Nts., 3/27/282 | 6,405,000 | 6,148,800 | ||||||||
Tupras Turkiye Petrol Rafinerileri AS, 4.50% Sr. Unsec. Nts., 10/18/242 | 3,165,000 | 2,826,494 | ||||||||
| ||||||||||
8,975,294 | ||||||||||
Road & Rail0.1% | ||||||||||
Rumo Luxembourg Sarl, 5.875% Sr. Unsec. Nts., 1/18/252 | 3,875,000 | 3,552,890 |
13 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||
Trading Companies & Distributors0.1% | ||||||||||
Postal Savings Bank of China Co. Ltd., 4.50% [H15T5Y+263.4] Jr. Sub. Perpetual Bonds1,6 | $ | 5,000,000 | $ 4,648,750 | |||||||
Transportation Infrastructure0.3% | ||||||||||
Adani Abbot Point Terminal Pty Ltd., 4.45% Sr. Sec. Nts., 12/15/222 | 1,585,000 | 1,447,237 | ||||||||
Agile Group Holdings Ltd., 9.00% Sr. Sec. Nts., 5/21/20 | 7,500,000 | 7,772,280 | ||||||||
GMR Hyderabad International Airport Ltd., 4.25% Sr. Sec. Nts., 10/27/272 | 6,495,000 | 5,514,047 | ||||||||
| ||||||||||
14,733,564 | ||||||||||
Information Technology0.2% | ||||||||||
Communications Equipment0.2% | ||||||||||
HTA Group Ltd., 9.125% Sr. Unsec. Nts., 3/8/222 | 3,170,000 | 3,043,200 | ||||||||
Virgin Media Finance plc, 4.50% Sr. Unsec. Nts., 1/15/25 | EUR | 6,950,000 | 8,219,951 | |||||||
| ||||||||||
11,263,151 | ||||||||||
Materials1.4% | ||||||||||
Chemicals0.5% | ||||||||||
Crown European Holdings SA, 3.375% Sr. Unsec. Nts., 5/15/252 | EUR | 5,000,000 | 5,909,687 | |||||||
Inkia Energy Ltd., 5.875% Sr. Unsec. Nts., 11/9/272 | 5,865,000 | 5,491,106 | ||||||||
ONGC Videsh Ltd., 2.75% Sr. Unsec. Nts., 7/15/21 | EUR | 7,565,000 | 9,332,102 | |||||||
Petkim Petrokimya Holding AS, 5.875% Sr. Unsec. Nts., 1/26/232 | 5,385,000 | 4,912,596 | ||||||||
| ||||||||||
25,645,491 | ||||||||||
Construction Materials0.2% | ||||||||||
CIMPOR Financial Operations BV, 5.75% Sr. Unsec. Nts., 7/17/242 | 12,810,000 | 10,312,050 | ||||||||
St. Marys Cement, Inc., 5.75% Sr. Unsec. Nts., 1/28/272 | 2,975,000 | 2,878,312 | ||||||||
| ||||||||||
13,190,362 | ||||||||||
Containers & Packaging0.1% | ||||||||||
Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 4.125% Sr. Sec. Nts., 5/15/23 | EUR | 2,000,000 | 2,433,415 | |||||||
Klabin Finance SA, 4.875% Sr. Unsec. Nts., 9/19/272 | 6,330,000 | 5,715,990 | ||||||||
| ||||||||||
8,149,405 | ||||||||||
Metals & Mining0.5% | ||||||||||
CSN Resources SA: | ||||||||||
6.50% Sr. Unsec. Nts., 7/21/202 | 739,000 | 691,889 | ||||||||
7.625% Sr. Unsec. Nts., 2/13/232 | 2,615,000 | 2,363,306 | ||||||||
Evraz Group SA, 8.25% Sr. Unsec. Nts., 1/28/21 | 4,555,000 | 4,863,374 | ||||||||
JSW Steel Ltd., 4.75% Sr. Unsec. Nts., 11/12/19 | 6,330,000 | 6,318,131 | ||||||||
Metinvest BV, 7.75% Sr. Unsec. Nts., 4/23/232 | 3,185,000 | 2,995,652 | ||||||||
Southern Copper Corp., 7.50% Sr. Unsec. Nts., 7/27/35 | 6,105,000 | 7,472,764 |
14 OPPENHEIMER INTERNATIONAL BOND FUND
Principal Amount | Value | |||||||||
Metals & Mining (Continued) | ||||||||||
Vedanta Resources plc, 6.375% Sr. Unsec. Nts., 7/30/222 | $ | 3,135,000 | $ 2,993,925 | |||||||
| ||||||||||
27,699,041 | ||||||||||
Paper & Forest Products0.1% | ||||||||||
Suzano Austria GmbH, 5.75% Sr. Unsec. Nts., 7/14/262 | 6,815,000 | 6,911,091 | ||||||||
Telecommunication Services1.2% | ||||||||||
Diversified Telecommunication Services0.7% | ||||||||||
Axtel SAB de CV, 6.375% Sr. Unsec. Nts., 11/14/242 | 6,495,000 | 6,178,369 | ||||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 9,147,000 | 9,878,760 | ||||||||
Telecom Italia Finance SA, 7.75% Sr. Unsec. Nts., 1/24/33 | EUR | 6,000,000 | 9,663,737 | |||||||
Telefonica Europe BV, 3.75% [EUSA5+385.8] Jr. Sub. Perpetual Bonds1,6 | EUR | 13,300,000 | 15,631,795 | |||||||
| ||||||||||
41,352,661 | ||||||||||
Wireless Telecommunication Services0.5% | ||||||||||
C&W Senior Financing DAC, 6.875% Sr. Unsec. Nts., 9/15/272 | 3,820,000 | 3,671,975 | ||||||||
Digicel Group Ltd., 8.25% Sr. Unsec. Nts., 9/30/202 | 2,350,000 | 1,783,063 | ||||||||
Telefonica Europe BV, 5.875% [EUSA10+430.1] Jr. Sub. Perpetual Bonds1,6 | EUR | 5,000,000 | 6,373,969 | |||||||
Turkcell Iletisim Hizmetleri AS, 5.80% Sr. Unsec. Nts., 4/11/282 | 4,510,000 | 4,098,151 | ||||||||
VEON Holdings BV, 4.95% Sr. Unsec. Nts., 6/16/242 | 6,005,000 | 5,692,740 | ||||||||
Wind Tre SpA, 3.125% Sr. Sec. Nts., 1/20/25 | EUR | 6,315,000 | 5,998,096 | |||||||
| ||||||||||
27,617,994 | ||||||||||
Utilities1.5% | ||||||||||
Electric Utilities1.1% | ||||||||||
Capex SA, 6.875% Sr. Unsec. Nts., 5/15/242 | 2,740,000 | 2,456,739 | ||||||||
Electricite de France SA, 5.375% [EUSA12+379.4] Jr. Sub. Perpetual Bonds1,6 | EUR | 3,100,000 | 3,895,299 | |||||||
Enel Chile SA, 4.875% Sr. Unsec. Nts., 6/12/28 | 5,190,000 | 5,239,305 | ||||||||
Enel SpA, 8.75% [USSW5+588] Jr. Sub. Nts., 9/24/731,2 | 9,000,000 | 10,046,250 | ||||||||
Eskom Holdings SOC Ltd.: | ||||||||||
5.75% Sr. Unsec. Nts., 1/26/212 | 6,485,000 | 6,274,990 | ||||||||
6.75% Sr. Unsec. Nts., 8/6/232 | 15,740,000 | 15,072,939 | ||||||||
Light Servicos de Eletricidade SA/Light Energia SA, 7.25% Sr. Unsec. Nts., 5/3/232 | 6,325,000 | 5,977,125 | ||||||||
Perusahaan Listrik Negara PT, 6.15% Sr. Unsec. Nts., 5/21/482 | 16,525,000 | 16,735,797 | ||||||||
| ||||||||||
65,698,444 | ||||||||||
Gas Utilities0.1% | ||||||||||
Gas Natural Fenosa Finance BV, 4.125% [EUSA8+335.3] Jr. Sub. Perpetual Bonds1,6 | EUR | 5,000,000 | 6,096,261 | |||||||
Independent Power and Renewable Electricity Producers0.2% |
|
|||||||||
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad Itabo SA, 7.95% Sr. Unsec. Nts., 5/11/262 | 3,325,000 | 3,441,375 |
15 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||||||
Independent Power and Renewable Electricity Producers (Continued) |
|
|||||||||||
Azure Power Energy Ltd., 5.50% Sr. Sec. Nts., 11/3/222 | $ | 2,620,000 | $ | 2,403,850 | ||||||||
Reliance Jio Infocomm Ltd., 8.32% Sec. Nts., 7/8/21 | INR | 335,000,000 | 4,885,851 | |||||||||
|
|
| ||||||||||
10,731,076 | ||||||||||||
Water Utilities0.1% | ||||||||||||
Aegea Finance Sarl, 5.75% Sr. Unsec. Nts., 10/10/242 | 3,815,000 | 3,546,043 | ||||||||||
|
|
| ||||||||||
Total Corporate Bonds and Notes (Cost $1,665,944,453) | 1,598,287,346 | |||||||||||
Shares | ||||||||||||
Common Stock0.0% | ||||||||||||
JSC Astana Finance, GDR8,10,11 (Cost $0) | 868,851 | | ||||||||||
Principal Amount | ||||||||||||
Structured Securities0.2% | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds: | ||||||||||||
3.098% Sr. Sec. Nts., 4/30/252,4 | $ | 2,543,942 | 1,074,144 | |||||||||
3.003% Sr. Sec. Nts., 4/30/252,12 | 2,312,616 | 976,470 | ||||||||||
3.054% Sr. Sec. Nts., 4/30/252,12 | 2,946,629 | 1,244,173 | ||||||||||
3.131% Sr. Sec. Nts., 4/30/252,12 | 2,273,963 | 960,150 | ||||||||||
3.179% Sr. Sec. Nts., 4/30/252,12 | 2,831,269 | 1,195,464 | ||||||||||
3.231% Sr. Sec. Nts., 4/30/252,12 | 3,231,464 | 1,364,441 | ||||||||||
3.265% Sr. Sec. Nts., 4/30/252,12 | 2,581,561 | 1,090,029 | ||||||||||
3.346% Sr. Sec. Nts., 4/30/252,12 | 2,426,558 | 1,024,581 | ||||||||||
Morgan Stanley, Russian Federation Total Return Linked | ||||||||||||
Bonds, Series 007, Cl. VR, 5.00%, 8/22/34 | RUB | 128,104,623 | 500,045 | |||||||||
|
|
| ||||||||||
Total Structured Securities (Cost $21,991,821) | 9,429,497 | |||||||||||
Short-Term Notes3.0% | ||||||||||||
Arab Republic of Egypt Treasury Bills: | ||||||||||||
16.166%, 10/9/1812 | EGP | 77,300,000 | 4,123,827 | |||||||||
18.19%, 8/21/1812 | EGP | 160,000,000 | 8,718,256 | |||||||||
Argentine Republic Treasury Bills, 45.50%, 7/18/1813 | ARS | 315,000,000 | 10,675,990 | |||||||||
United States Treasury Bills, 1.905%, 9/13/1812,14 | 150,000,000 | 149,431,968 | ||||||||||
|
|
| ||||||||||
Total Short-Term Notes (Cost $173,645,428) | 172,950,041 |
Counter- party |
Exercise Price |
Expiration Date |
Notional Amount (000s) |
Contracts (000s) |
||||||||||||||||||||
Over-the-Counter Options Purchased0.4% |
|
|||||||||||||||||||||||
BRL Currency Call11 | JPM |
BRL | 3.150 | 5/20/19 | BRL 5,000 |
|
BRL
3,500 |
|
346,252 | |||||||||||||||
BRL Currency Call11 |
CITNA-B |
BRL | 3.200 | 4/25/19 | BRL 512,000 |
|
BRL
320,000 |
|
331,520 | |||||||||||||||
BRL Currency Call11 | JPM |
BRL | 3.200 | 4/25/19 | BRL 482,560 |
|
BRL
320,000 |
|
331,520 | |||||||||||||||
BRL Currency Call11 |
GSCO-OT |
BRL | 3.300 | 8/16/18 | BRL 5,500 |
|
BRL
3,000 |
|
28,320 |
16 OPPENHEIMER INTERNATIONAL BOND FUND
Counter- party |
Exercise Price |
Expiration Date |
Notional Amount (000s) |
Contracts (000s) |
Value | |||||||||||||||||||||||
Over-the-Counter Options Purchased (Continued) |
|
|||||||||||||||||||||||||||
BRL Currency Call11 | GSCO-OT | BRL | 3.150 | 5/20/19 | BRL 5,000 |
|
BRL
3,500 |
|
$ | 346,252 | ||||||||||||||||||
BRL Currency Call11 | BOA | BRL | 3.570 | 8/2/18 | |
BRL 357,000 |
|
|
BRL
357,000 |
|
58,191 | |||||||||||||||||
BRL Currency Call11 | CITNA-B | BRL | 3.608 | 8/27/18 | |
BRL 360,750 |
|
|
BRL
270,563 |
|
210,498 | |||||||||||||||||
BRL Currency Call11 | GSCO-OT | BRL | 3.656 | 6/7/19 | |
BRL 731,200 |
|
|
BRL
438,720 |
|
2,985,928 | |||||||||||||||||
BRL Currency Call11 | JPM | BRL | 3.000 | 5/16/19 | BRL 5,000 |
|
BRL
3,000 |
|
124,675 | |||||||||||||||||||
CAD Currency Call11 | TDB | CAD | 1.250 | 7/9/18 | |
CAD 125,000 |
|
|
CAD
125,000 |
|
1,875 | |||||||||||||||||
CAD Currency Call11 | TDB | CAD | 1.268 | 8/15/18 | |
CAD 190,200 |
|
|
CAD
95,100 |
|
80,169 | |||||||||||||||||
CLP Currency Call11 | JPM | CLP | 624.550 | 8/20/18 | |
CLP 93,682,500 |
|
|
CLP
56,209,500 |
|
168,628 | |||||||||||||||||
COP Currency Call11 | JPM | COP | 2790.200 | 8/14/18 | |
COP 209,265,000 |
|
|
COP
209,265,000 |
|
209,265 | |||||||||||||||||
COP Currency Call11 | JPM | COP | 2774.500 | 8/13/18 | |
COP 277,450,000 |
|
|
COP
138,725,000 |
|
138,725 | |||||||||||||||||
COP Currency Call11 | GSCO-OT | COP | 2851.000 | 8/21/18 | |
COP 427,650,000 |
|
|
COP
256,590,000 |
|
769,770 | |||||||||||||||||
COP Currency Call11 | CITNA-B | COP | 2781.000 | 8/13/18 | |
COP 278,100,000 |
|
|
COP
139,050,000 |
|
139,050 | |||||||||||||||||
EUR Currency Put11 | GSCO-OT | INR | 80.300 | 9/26/18 | |
EUR 100,000 |
|
|
EUR
60,000 |
|
606,088 | |||||||||||||||||
EUR Currency Put11 | GSCO-OT | HUF | 316.600 | 9/4/18 | |
EUR 210,000 |
|
|
EUR
120,000 |
|
155,131 | |||||||||||||||||
EUR Currency Put11 | JPM | SEK | 9.250 | 4/29/20 | EUR 10,000 |
|
EUR
10,000 |
|
1,958,120 | |||||||||||||||||||
EUR Currency Put11 | JPM | NOK | 8.200 | 11/27/19 | EUR 5,000 |
|
EUR
5,000 |
|
303,827 | |||||||||||||||||||
EUR Currency Put11 | BOA | NOK | 8.200 | 11/27/19 | EUR 5,000 |
|
EUR
5,000 |
|
303,827 |
17 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Counter- party |
Exercise Price |
Expiration Date |
Notional Amount (000s) |
Contracts (000s) |
Value | |||||||||||||||||||||||
Over-the-Counter Options Purchased (Continued) |
|
|||||||||||||||||||||||||||
EUR Currency Put11,17 | BOA | JPY | 120.000 | 8/8/18 | EUR 5,000 |
|
EUR
5,000 |
|
$ | 1,086 | ||||||||||||||||||
IDR Currency Call11 | GSCO-OT | IDR | 13500.000 | 2/1/19 | |
IDR 2,704,725,000 |
|
|
IDR
1,350,000,000 |
|
| |||||||||||||||||
INR Currency Call11 | GSCO-OT | INR | 68.750 | 8/27/18 | |
INR 6,875,000 |
|
|
INR
4,125,000 |
|
507,375 | |||||||||||||||||
INR Currency Call11 | GSCO-OT | INR | 65.500 | 10/15/18 | |
INR 6,550,000 |
|
|
INR
3,275,000 |
|
36,025 | |||||||||||||||||
INR Currency Call11 | GSCO-OT | INR | 64.800 | 7/3/18 | |
INR 6,480,000 |
|
|
INR
3,240,000 |
|
| |||||||||||||||||
JPY Currency Call11 | GSCO-OT | JPY | 108.150 | 11/6/18 | |
JPY 10,815,000 |
|
|
JPY
10,815,000 |
|
1,276,170 | |||||||||||||||||
JPY Currency Put11 | BOA | JPY | 112.200 | 8/23/18 | |
JPY 22,440,000 |
|
|
JPY
22,440,000 |
|
897,600 | |||||||||||||||||
RUB Currency Call11 | JPM | RUB | 59.500 | 6/7/19 | |
RUB 14,875,000 |
|
|
RUB
8,925,000 |
|
2,436,525 | |||||||||||||||||
RUB Currency Call11 | GSCO-OT | RUB | 59.500 | 6/12/19 | |
RUB 8,925,000 |
|
|
RUB
7,437,500 |
|
2,052,750 | |||||||||||||||||
TRY Currency Call11 | JPM | TRY | 4.000 | 5/23/19 | |
TRY 5,000 |
|
|
TRY
5,000 |
|
267,207 | |||||||||||||||||
TRY Currency Put11 | JPM | TRY | 4.000 | 5/23/19 | |
TRY 10,000 |
|
|
TRY
7,500 |
|
400,811 | |||||||||||||||||
ZAR Currency Call11 | JPM | ZAR | 12.525 | 5/27/19 | |
ZAR 1,252,500 |
|
|
ZAR
1,252,500 |
|
1,151,048 | |||||||||||||||||
ZAR Currency Call11 | CITNA-B | ZAR | 12.485 | 8/17/18 | |
ZAR 1,872,750 |
|
|
ZAR
1,123,650 |
|
75,285 | |||||||||||||||||
ZAR Currency Call11 | GSCO-OT | ZAR | 12.469 | 5/27/19 | |
ZAR 1,246,850 |
|
|
ZAR
935,138 |
|
797,672 | |||||||||||||||||
ZAR Currency Call11 | GSCO-OT | ZAR | 12.484 | 9/7/18 | |
ZAR 936,263 |
|
|
ZAR
624,175 |
|
79,270 | |||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Over-the-Counter Options Purchased (Cost $46,067,672) |
|
19,576,455 |
18 OPPENHEIMER INTERNATIONAL BOND FUND
Counter - party |
Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Value | ||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased1.2% |
|
|||||||||||||||||||||||
Interest Rate Swap maturing 12/24/48 Call11 | BAC | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
1.690% | 12/20/18 | |
EUR 21,500 |
|
$ 239,688 | |||||||||||||
Interest Rate Swap maturing 12/27/48 Call11 | GSCO-OT | Receive | |
Three-Month USD- LIBOR- BBA |
|
3.200 | 12/21/18 | |
USD 100,000 |
|
1,505,963 | |||||||||||||
Interest Rate Swap maturing 4/25/21 Call11 | BOA | Pay | |
Three-Month USD- LIBOR- BBA |
|
2.980 | 4/23/19 | |
USD 440,000 |
|
1,857,099 | |||||||||||||
Interest Rate Swap maturing 4/26/49 Call11 | BAC | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
1.637 | 4/24/19 | |
EUR 37,500 |
|
1,080,065 | |||||||||||||
Interest Rate Swap maturing 4/26/49 Call11 | GSCO-OT | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
1.635 | 4/24/19 | |
EUR 23,250 |
|
674,532 | |||||||||||||
Interest Rate Swap maturing 5/16/21 Call11 | GSCO-OT | Pay | |
Three-Month USD- LIBOR- BBA |
|
3.023 | 5/14/19 | |
USD 500,000 |
|
2,391,095 | |||||||||||||
Interest Rate Swap maturing 5/30/33 Put11 | BAC | Receive | |
Six-Month GBP BBA LIBOR |
|
3.990 | 5/30/23 | |
GBP 40,415 |
|
362,651 | |||||||||||||
Interest Rate Swap maturing 6/29/48 Call11 | JPM | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
2.500 | 6/27/23 | |
EUR 129,567 |
|
6,744,286 | |||||||||||||
Interest Rate Swap maturing 6/8/38 Call11 | JPM | Receive | |
Three-Month USD- LIBOR- BBA |
|
3.154 | 6/6/28 | |
USD 50,000 |
|
3,486,794 | |||||||||||||
Interest Rate Swap maturing 6/8/38 Call11 | JPM | Pay | |
Three- Month USD- LIBOR- BBA |
|
3.154 | 6/6/28 | |
USD 50,000 |
|
4,102,525 |
19 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Counter -party |
Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Value | ||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased (Continued) |
|
|||||||||||||||||||||||||
Interest Rate Swap maturing 6/9/48 Call11 | JPM | Pay | |
Three-Month USD- LIBOR- BBA |
|
2.946 | % | 6/7/38 | |
USD 50,000 |
|
$ | 4,762,282 | |||||||||||||
Interest Rate Swap maturing 6/9/48 Call11 | JPM | Receive | |
Three-Month USD- LIBOR- BBA |
|
2.946 | 6/7/38 | |
USD 50,000 |
|
4,322,216 | |||||||||||||||
Interest Rate Swap maturing 7/19/23 Call11 | JPM | Receive | |
Six-Month EUR EURIBOR |
|
0.512 | 7/17/18 | |
EUR 102,000 |
|
2,654 | |||||||||||||||
Interest Rate Swap maturing 7/26/28 Call11 | JPM | Receive | |
Six-Month EUR- EURIBOR- Reuters |
|
1.108 | 7/24/18 | |
EUR 123,330 |
|
20,708 | |||||||||||||||
Interest Rate Swap maturing 8/15/28 Call11 | BOA | Receive | |
Three- Month USD-LIBOR- BBA |
|
3.029 | 8/13/18 | |
USD 275,000 |
|
989,062 | |||||||||||||||
Interest Rate Swap Maturing 9/17/77 Call11 | JPM | Receive | |
Six-Month EUR EURIBOR |
|
1.600 | 9/15/37 | |
EUR 160,000 |
|
36,209,410 | |||||||||||||||
|
|
|||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Purchased |
|
|||||||||||||||||||||||||
(Cost $78,711,041) |
|
68,751,030 |
Shares | ||||||||
Investment Company8.0% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.85%15,16 (Cost $457,080,099) | 457,080,099 | 457,080,099 | ||||||
Total Investments, at Value (Cost $6,023,779,782) | 98.4% | 5,632,610,366 | ||||||
Net Other Assets (Liabilities) | 1.6 | 94,326,770 | ||||||
|
|
|||||||
Net Assets | 100.0% | $ | 5,726,937,136 | |||||
|
|
Footnotes to Statement of Investments
1. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
2. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,383,708,796 or 24.16% of the Funds net assets at period end.
3. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
4. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
20 OPPENHEIMER INTERNATIONAL BOND FUND
Footnotes to Statement of Investments (Continued)
5. Interest or dividend is paid-in-kind, when applicable.
6. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
7. This security is not accruing income because its issuer has missed or is expected to miss interest and/or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Consolidated Notes.
8. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Consolidated Notes.
9. All or a portion of this security is owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.
10. Restricted security. The aggregate value of restricted securities at period end was $16,417,049, which represents 0.29% of the Funds net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Fideicomiso PA Pacifico Tres, 8.25% Sr. Sec. Nts., 1/15/35 | 2/12/16-3/12/18 | $ | 3,021,079 | $ | 3,411,900 | $ | 390,821 | |||||||||
JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/35 | 3/21/07 | 3,120,492 | 161,789 | (2,958,703) | ||||||||||||
JSC Astana Finance, GDR | 6/5/15 | | | | ||||||||||||
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. Perpetual Bonds | 5/23/17-3/28/18 | 13,450,446 | 12,843,360 | (607,086) | ||||||||||||
|
|
|||||||||||||||
$ | 19,592,017 | $ | 16,417,049 | $ | (3,174,968) | |||||||||||
|
|
11. Non-income producing security.
12. Zero coupon bond reflects effective yield on the original acquisition date.
13. Current yield as of period end.
14. 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 $86,386,621. See Note 6 of the accompanying Consolidated Notes.
15. Rate shown is the 7-day yield at period end.
16. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
Shares September 30, 2017 |
Gross Additions |
Gross Reductions |
Shares June 30, 2018 |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 102,075,708 | 3,197,682,020 | 2,842,677,629 | 457,080,099 | ||||||||||||
Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 457,080,099 | $ | 3,922,661 | $ | | $ | |
17. Digital option becomes eligible for exercise if at exercise spot rates are less than or equal to 120 JPY per 1 EUR.
21 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||||
United States | $ | 663,462,972 | 11.8% | |||||||
United Kingdom | 547,071,126 | 9.7 | ||||||||
Mexico | 511,860,488 | 9.1 | ||||||||
India | 362,485,619 | 6.4 | ||||||||
Brazil | 349,658,653 | 6.2 | ||||||||
Spain | 229,498,725 | 4.1 | ||||||||
South Africa | 223,176,784 | 4.0 | ||||||||
Greece | 219,473,889 | 3.9 | ||||||||
Indonesia | 202,745,108 | 3.6 | ||||||||
Portugal | 193,103,760 | 3.4 | ||||||||
Canada | 134,241,367 | 2.4 | ||||||||
Argentina | 131,853,344 | 2.3 | ||||||||
Sweden | 124,836,167 | 2.2 | ||||||||
France | 118,878,159 | 2.1 | ||||||||
Turkey | 113,620,966 | 2.0 | ||||||||
Switzerland | 113,557,899 | 2.0 | ||||||||
Australia | 112,047,392 | 2.0 | ||||||||
Italy | 66,041,096 | 1.2 | ||||||||
Ukraine | 64,990,681 | 1.1 | ||||||||
Peru | 62,686,891 | 1.1 | ||||||||
Netherlands | 61,167,448 | 1.1 | ||||||||
Colombia | 59,472,607 | 1.1 | ||||||||
Egypt | 58,059,509 | 1.0 | ||||||||
Russia | 56,935,430 | 1.0 | ||||||||
Hungary | 52,942,138 | 0.9 | ||||||||
Thailand | 52,633,576 | 0.9 | ||||||||
Kazakhstan | 51,069,156 | 0.9 | ||||||||
Dominican Republic | 49,206,239 | 0.9 | ||||||||
Eurozone | 48,299,420 | 0.9 | ||||||||
Sri Lanka | 43,842,582 | 0.8 | ||||||||
Singapore | 37,318,792 | 0.7 | ||||||||
Ireland | 35,848,003 | 0.6 | ||||||||
Poland | 31,382,424 | 0.6 | ||||||||
Chile | 30,467,386 | 0.5 | ||||||||
Ivory Coast | 30,049,359 | 0.5 | ||||||||
Angola | 29,540,667 | 0.5 | ||||||||
Oman | 25,670,775 | 0.5 | ||||||||
Ghana | 25,124,086 | 0.4 | ||||||||
Uruguay | 23,084,129 | 0.4 | ||||||||
Nigeria | 22,053,798 | 0.4 | ||||||||
New Zealand | 20,609,519 | 0.4 | ||||||||
China | 20,311,544 | 0.4 | ||||||||
Malaysia | 19,625,558 | 0.3 | ||||||||
Luxembourg | 18,963,189 | 0.3 | ||||||||
Belgium | 15,857,425 | 0.3 | ||||||||
Gabon | 14,871,185 | 0.3 | ||||||||
Ecuador | 14,681,863 | 0.3 |
22 OPPENHEIMER INTERNATIONAL BOND FUND
Geographic Holdings (Continued) | Value | Percent | ||||||||
Germany | $ | 13,907,202 | 0.2% | |||||||
Austria | 12,678,464 | 0.2 | ||||||||
Serbia | 12,377,626 | 0.2 | ||||||||
Senegal | 11,225,047 | 0.2 | ||||||||
Croatia | 11,078,204 | 0.2 | ||||||||
Romania | 9,459,026 | 0.2 | ||||||||
Iraq | 9,139,867 | 0.2 | ||||||||
Hong Kong | 7,786,005 | 0.1 | ||||||||
Honduras | 6,274,147 | 0.1 | ||||||||
Morocco | 6,071,116 | 0.1 | ||||||||
Mongolia | 6,044,588 | 0.1 | ||||||||
Bermuda | 5,491,106 | 0.1 | ||||||||
Supranational | 3,975,362 | 0.1 | ||||||||
Cayman Islands | 3,846,161 | 0.1 | ||||||||
Panama | 3,816,160 | 0.1 | ||||||||
Belarus | 3,299,011 | 0.1 | ||||||||
United Arab Emirates | 3,268,570 | 0.1 | ||||||||
Mauritius | 3,043,200 | 0.1 | ||||||||
Japan | 2,173,770 | 0.0 | ||||||||
Jamaica | 1,783,062 | 0.0 | ||||||||
South Korea | 1,493,779 | 0.0 | ||||||||
|
|
|||||||||
Total | $ | 5,632,610,366 | 100.0% | |||||||
|
|
Forward Currency Exchange Contracts as of June 30, 2018 |
|
|||||||||||||||||||||||
Counter | Settlement | Currency | Currency Sold | Unrealized | Unrealized | |||||||||||||||||||
-party | Month(s) | Purchased (000s) | (000s) | Appreciation | Depreciation | |||||||||||||||||||
BAC | 07/2018 - 08/2018 | BRL | 88,925 | USD | 23,996 | $ | | $ | 1,142,142 | |||||||||||||||
BAC | 08/2018 | EUR | 41,505 | USD | 48,233 | 457,758 | | |||||||||||||||||
BAC | 08/2018 | GBP | 5,445 | USD | 7,260 | | 54,721 | |||||||||||||||||
BAC | 02/2019 | IDR | 930,815,000 | USD | 64,775 | | 1,812,274 | |||||||||||||||||
BAC | 08/2018 | NOK | 447,700 | USD | 55,340 | | 235,888 | |||||||||||||||||
BAC | 07/2018 - 07/2018 | USD | 63,971 | BRL | 227,434 | 5,423,922 | | |||||||||||||||||
BAC | 08/2018 | USD | 76,372 | EUR | 61,355 | 4,399,290 | | |||||||||||||||||
BAC | 08/2018 | USD | 55,939 | JPY | 6,088,000 | 721,399 | | |||||||||||||||||
BAC | 09/2018 | USD | 13,640 | KRW | 14,635,100 | 465,727 | | |||||||||||||||||
BAC | 09/2018 | USD | 20,137 | MYR | 80,520 | 236,895 | | |||||||||||||||||
BAC | 09/2018 | USD | 47,621 | PEN | 156,420 | 123,668 | | |||||||||||||||||
BAC | 09/2018 | USD | 61,106 | PLN | 220,806 | 2,080,641 | | |||||||||||||||||
BAC | 08/2018 | USD | 72,552 | SEK | 626,590 | 2,270,869 | | |||||||||||||||||
BAC | 09/2018 | USD | 228,526 | ZAR | 3,061,980 | 7,748,968 | 142,293 | |||||||||||||||||
BAC | 09/2018 | ZAR | 70,460 | USD | 5,255 | | 171,645 | |||||||||||||||||
BOA | 08/2018 | EUR | 6,110 | USD | 7,300 | 36,991 | 169,493 | |||||||||||||||||
BOA | 08/2018 | GBP | 6,410 | USD | 9,047 | | 564,139 | |||||||||||||||||
BOA | 09/2018 | HUF | 110,000 | USD | 393 | | 1,477 | |||||||||||||||||
BOA | 07/2018 | IDR | 675,250,000 | USD | 48,429 | | 1,248,990 | |||||||||||||||||
BOA | 08/2018 | JPY | 54,904,000 | USD | 518,948 | | 20,981,358 | |||||||||||||||||
BOA | 09/2018 | PHP | 2,575,000 | USD | 48,059 | | 121,677 | |||||||||||||||||
BOA | 08/2018 | SEK | 797,770 | USD | 100,000 | | 10,518,489 | |||||||||||||||||
BOA | 08/2018 | USD | 7,000 | BRL | 24,756 | 654,645 | | |||||||||||||||||
BOA | 09/2018 | USD | 38,968 | COP | 111,562,000 | 1,045,667 | |
23 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Forward Currency Exchange Contracts (Continued) |
| |||||||||||||||||||||||||||
Counter -party |
Settlement Month(s) |
Currency Purchased (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation | |||||||||||||||||||||||
BOA | 08/2018 | USD | 171,226 | EUR | 142,330 | $ | 4,255,304 | $ | | |||||||||||||||||||
BOA | 08/2018 | USD | 5,481 | GBP | 4,040 | 134,311 | | |||||||||||||||||||||
BOA | 07/2018 | USD | 178,750 | IDR | 2,492,314,000 | 4,609,960 | | |||||||||||||||||||||
BOA | 09/2018 | USD | 342,928 | INR | 23,470,000 | 3,864,258 | | |||||||||||||||||||||
BOA | 08/2018 | USD | 136,638 | JPY | 14,688,000 | 3,418,580 | | |||||||||||||||||||||
BOA | 09/2018 | USD | 1,000 MXN | 21,000 | | 43,875 | ||||||||||||||||||||||
BOA | 08/2018 | USD | 29,319 | NZD | 39,980 | 2,239,814 | | |||||||||||||||||||||
BOA | 09/2018 | USD | 9,196 | TRY | 43,900 | | 41,460 | |||||||||||||||||||||
CITNA-B | 08/2018 - 04/2019 | BRL | 298,664 | USD | 83,162 | | 7,655,131 | |||||||||||||||||||||
CITNA-B | 07/2018 - 08/2018 | COP | 27,476,100 | USD | 9,523 | | 162,307 | |||||||||||||||||||||
CITNA-B | 08/2018 | GBP | 8,220 | USD | 11,379 | | 501,141 | |||||||||||||||||||||
CITNA-B | 08/2018 | JPY | 16,000,000 | USD | 151,882 | | 6,773,753 | |||||||||||||||||||||
CITNA-B | 09/2018 | PLN | 5,510 | USD | 1,519 | | 45,984 | |||||||||||||||||||||
CITNA-B | 10/2018 | UAH | 260,500 | USD | 9,100 | 330,714 | | |||||||||||||||||||||
CITNA-B | 08/2018 - 04/2019 | USD | 57,110 | BRL | 208,130 | 4,116,391 | | |||||||||||||||||||||
CITNA-B | 09/2018 | USD | 25,597 | CLP | 16,215,000 | 781,649 | | |||||||||||||||||||||
CITNA-B | 08/2018 | USD | 113,690 | EUR | 94,000 | 3,416,714 | | |||||||||||||||||||||
CITNA-B | 09/2018 | USD | 51,483 | HUF | 13,957,000 | 1,756,280 | | |||||||||||||||||||||
CITNA-B | 09/2018 | USD | 4,465 MXN | 90,900 | | 55,451 | ||||||||||||||||||||||
CITNA-B | 09/2018 | USD | 54,746 | THB | 1,751,400 | 1,757,057 | | |||||||||||||||||||||
CITNA-B | 09/2018 | USD | 183,803 | TRY | 871,555 | 405,718 | | |||||||||||||||||||||
DEU | 08/2018 | EUR | 109,105 | USD | 130,739 | | 2,745,423 | |||||||||||||||||||||
DEU | 08/2018 | JPY | 3,430,000 | USD | 32,848 | | 1,738,504 | |||||||||||||||||||||
DEU | 08/2018 | USD | 105,699 | EUR | 85,035 | 5,942,847 | | |||||||||||||||||||||
GSCO-OT | 07/2018 - 02/2019 | BRL | 313,422 | USD | 89,456 | | 9,026,988 | |||||||||||||||||||||
GSCO-OT | 09/2018 | COP | 5,505,000 | USD | 1,922 | | 51,135 | |||||||||||||||||||||
GSCO-OT | 08/2018 | EUR | 11,205 | USD | 13,194 | | 49,227 | |||||||||||||||||||||
GSCO-OT | 08/2018 | GBP | 750 | USD | 1,061 | | 68,433 | |||||||||||||||||||||
GSCO-OT | 08/2018 | NOK | 517,325 | USD | 64,066 | | 391,597 | |||||||||||||||||||||
GSCO-OT | 07/2018 - 06/2019 | USD | 110,050 | BRL | 423,376 | 4,468,148 | 809,270 | |||||||||||||||||||||
GSCO-OT | 07/2018 - 08/2018 | USD | 21,208 | COP | 61,039,350 | 409,886 | | |||||||||||||||||||||
GSCO-OT | 08/2018 | USD | 245,454 | EUR | 206,895 | 2,960,425 | 219,597 | |||||||||||||||||||||
GSCO-OT | 02/2019 | USD | 12,500 | IDR | 185,565,000 | | 51,902 | |||||||||||||||||||||
GSCO-OT | 08/2018 | USD | 67,001 | PLN | 248,740 | 532,355 | | |||||||||||||||||||||
GSCO-OT | 08/2018 | USD | 13,893 | RUB | 887,200 | | 174,688 | |||||||||||||||||||||
HSBC | 08/2018 | EUR | 286,930 | USD | 357,022 | | 20,418,412 | |||||||||||||||||||||
HSBC | 08/2018 | GBP | 9,325 | USD | 12,877 | 3,019 | 539,919 | |||||||||||||||||||||
HSBC | 08/2018 | JPY | 1,300,000 | USD | 12,200 | | 408,813 | |||||||||||||||||||||
HSBC | 08/2018 | NZD | 10,180 | USD | 7,388 | | 493,215 | |||||||||||||||||||||
HSBC | 08/2018 | USD | 34,097 | DKK | 203,610 | 2,029,477 | | |||||||||||||||||||||
HSBC | 08/2018 | USD | 128,704 | EUR | 103,920 | 6,803,436 | 9,447 | |||||||||||||||||||||
HSBC | 08/2018 | USD | 55,292 | GBP | 39,950 | 2,424,057 | | |||||||||||||||||||||
JPM | 07/2018 - 05/2019 | BRL | 1,139,413 | USD | 298,348 | | 4,807,873 | |||||||||||||||||||||
JPM | 07/2018 - 08/2018 | COP | 75,298,000 | USD | 26,161 | | 493,282 | |||||||||||||||||||||
JPM | 08/2018 | EUR | 200,500 | USD | 247,359 | | 12,147,794 | |||||||||||||||||||||
JPM | 08/2018 | GBP | 199,000 | USD | 276,543 | | 13,197,555 | |||||||||||||||||||||
JPM | 09/2018 | HUF | 476,000 | USD | 1,759 | | 63,261 | |||||||||||||||||||||
JPM | 07/2018 | IDR | 539,549,000 | USD | 38,578 | | 879,622 |
24 OPPENHEIMER INTERNATIONAL BOND FUND
Forward Currency Exchange Contracts (Continued) |
| |||||||||||||||||||||||||||
Counter - party |
Settlement Month(s) |
Currency |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation | |||||||||||||||||||||||
JPM | 08/2018 | JPY | 567,000 | USD | 5,329 | $ | | $ | 186,712 | |||||||||||||||||||
JPM | 09/2018 | MXN | 90,900 | USD | 4,351 | 169,568 | | |||||||||||||||||||||
JPM | 09/2018 | RUB | 797,200 | USD | 12,679 | | 89,345 | |||||||||||||||||||||
JPM | 10/2018 | UAH | 335,200 | USD | 11,705 | 430,734 | | |||||||||||||||||||||
JPM | 07/2018 - 04/2019 | USD | 581,244 | BRL | 2,200,107 | 15,235,603 | | |||||||||||||||||||||
JPM | 08/2018 | USD | 132,111 | CAD | 172,850 | 1,175,689 | 682,510 | |||||||||||||||||||||
JPM | 07/2018 | USD | 14,577 | COP | 41,734,750 | 346,228 | | |||||||||||||||||||||
JPM | 08/2018 | USD | 228,359 | EUR | 193,320 | 1,981,067 | 410,060 | |||||||||||||||||||||
JPM | 08/2018 | USD | 454,045 | GBP | 326,730 | 21,668,529 | | |||||||||||||||||||||
JPM | 02/2019 | USD | 50,000 | IDR | 745,250,000 | | 410,533 | |||||||||||||||||||||
JPM | 08/2018 | USD | 115,157 | JPY | 12,600,000 | 875,719 | | |||||||||||||||||||||
JPM | 09/2018 | USD | 434,756 | MXN | 9,083,800 | | 16,945,186 | |||||||||||||||||||||
JPM | 08/2018 | USD | 96,171 | NOK | 777,915 | 422,428 | | |||||||||||||||||||||
JPM | 03/2019 | USD | 50,000 | PHP | 2,612,500 | 2,059,236 | | |||||||||||||||||||||
JPM | 09/2018 | USD | 27,036 | RUB | 1,699,900 | 190,514 | | |||||||||||||||||||||
JPM | 08/2018 | USD | 48,589 | SEK | 420,430 | 1,431,875 | | |||||||||||||||||||||
JPM | 09/2018 | USD | 18,889 | SGD | 25,130 | 417,382 | | |||||||||||||||||||||
JPM | 05/2019 | USD | 6,496 | TRY | 36,165 | | 361,446 | |||||||||||||||||||||
NOM | 08/2018 | USD | 1,919 | EUR | 1,620 | 18,139 | | |||||||||||||||||||||
TDB | 08/2018 | DKK | 203,610 | USD | 34,163 | | 2,095,062 | |||||||||||||||||||||
TDB | 08/2018 | EUR | 1,253,945 | USD | 1,564,212 | 6,944 | 93,189,263 | |||||||||||||||||||||
TDB | 08/2018 | GBP | 4,480 | USD | 6,387 | | 458,480 | |||||||||||||||||||||
TDB | 08/2018 | JPY | 72,444,708 | USD | 683,013 | | 25,956,269 | |||||||||||||||||||||
TDB | 08/2018 | PLN | 482,000 | USD | 135,414 | | 6,614,109 | |||||||||||||||||||||
TDB | 08/2018 | USD | 114,536 | AUD | 145,790 | 6,623,677 | | |||||||||||||||||||||
TDB | 08/2018 | USD | 1,756,536 | EUR | 1,433,890 | 75,608,038 | 1,170,600 | |||||||||||||||||||||
TDB | 08/2018 | USD | 190,436 | JPY | 20,623,000 | 3,395,480 | | |||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||
Total Unrealized Appreciation and Depreciation |
|
$ | 214,383,690 | $ | 269,799,220 | |||||||||||||||||||||||
|
|
|
Futures Contracts as of June 30, 2018 |
| |||||||||||||||||||||||
Description | Buy/Sell | Expiration Date |
Number of Contracts |
Notional Amount (000s) |
Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Canadian Bonds, 10 yr. | Sell | 9/19/18 | 1,772 | CAD 182,904 | $ | 184,269,669 | $ | (1,366,111) | ||||||||||||||||
Euro-BTP | Sell | 9/6/18 | 130 | EUR 19,099 | 19,316,813 | (218,047) | ||||||||||||||||||
Euro-BUND | Sell | 9/6/18 | 1,154 | EUR 217,543 | 219,059,075 | (1,516,315) | ||||||||||||||||||
Euro-BUXL | Sell | 9/6/18 | 251 | EUR 51,258 | 52,087,033 | (828,999) | ||||||||||||||||||
United States Treasury Long Bonds | Sell | 9/19/18 | 241 | USD 34,553 | 34,945,000 | (392,039) | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
$ | (4,321,511) | |||||||||||||||||||||||
|
|
|
25 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Over-the-Counter Options Written at June 30, 2018 |
| |||||||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of (000s) |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||||||
AUD Currency Put | BOA |
|
USD
0.727 |
|
9/27/18 |
|
AUD
(100,000) |
|
AUD 100,000 | $ | 941,919 | $ | (744,700) | |||||||||||||||
AUD Currency Put | BOA |
|
USD
0.747 |
|
8/9/18 |
|
AUD
(133,958) |
|
AUD 267,917 | 1,609,000 | (1,624,782) | |||||||||||||||||
BRL Currency Call | BOA |
|
BRL
3.428 |
|
8/2/18 |
|
BRL
(342,750) |
|
BRL 342,750 | 923,000 | (27,420) | |||||||||||||||||
BRL Currency Put | BOA |
|
BRL
3.753 |
|
8/2/18 |
|
BRL
(375,250) |
|
BRL 375,250 | 1,100,000 | (4,108,237) | |||||||||||||||||
BRL Currency Put | CITNA-B |
|
BRL
3.817 |
|
8/27/18 |
|
BRL
(286,238) |
|
BRL 381,650 | 990,000 | (2,739,293) | |||||||||||||||||
BRL Currency Call | CITNA-B |
|
BRL
3.438 |
|
8/27/18 |
|
BRL
(257,850) |
|
BRL 343,800 | 412,500 | (42,029) | |||||||||||||||||
BRL Currency Put | GSCO-OT |
|
BRL
3.638 |
|
7/23/18 |
|
BRL
(363,800) |
|
BRL 545,700 | 1,012,200 | (6,432,712) | |||||||||||||||||
BRL Currency Put | GSCO-OT |
|
BRL
4.590 |
|
6/7/19 |
|
BRL
(550,800) |
|
BRL 918,000 | 3,633,121 | (3,380,260) | |||||||||||||||||
CAD Currency Put | TDB |
|
CAD
1.300 |
|
7/9/18 |
|
CAD
(130,000) |
|
CAD 130,000 | 565,000 | (1,210,300) | |||||||||||||||||
CAD Currency Call | TDB |
|
CAD
1.233 |
|
8/15/18 |
|
CAD
(92,438) |
|
CAD 184,875 | 163,125 | (13,404) | |||||||||||||||||
CAD Currency Call | TDB |
|
CAD
1.220 |
|
7/9/18 |
|
CAD
(122,000) |
|
CAD 122,000 | 265,000 | (1,464) | |||||||||||||||||
CAD Currency Put | TDB |
|
CAD
1.316 |
|
8/15/18 |
|
CAD
(98,693) |
|
CAD 197,385 | 442,500 | (715,619) | |||||||||||||||||
CLP Currency Put | JPM |
|
CLP
654.600 |
|
8/20/18 |
|
CLP
(58,914,000) |
|
CLP 98,190,000 | 693,900 | (1,296,108) | |||||||||||||||||
CLP Currency Call | JPM |
|
CLP
603.300 |
|
8/20/18 |
|
CLP
(54,297,000) |
|
CLP 90,495,000 | 315,000 | (54,297) | |||||||||||||||||
COP Currency Put | CITNA-B |
|
COP
2972.000 |
|
8/13/18 |
|
COP
(148,600,000) |
|
COP 297,200,000 | 564,394 | (743,000) | |||||||||||||||||
COP Currency Call | CITNA-B |
|
COP
2660.000 |
|
8/13/18 |
|
COP
(133,000,000) |
|
COP 266,000,000 | 221,151 | | |||||||||||||||||
COP Currency Put | GSCO-OT |
|
COP
3024.000 |
|
8/21/18 |
|
COP
(272,160,000) |
|
COP 453,600,000 | 1,271,700 | (816,480) | |||||||||||||||||
COP Currency Call | GSCO-OT |
|
COP
2719.000 |
|
8/21/18 |
|
COP
(244,710,000) |
|
COP 407,850,000 | 442,800 | (244,710) |
26 OPPENHEIMER INTERNATIONAL BOND FUND
Over-the-Counter Options Written (Continued) |
| |||||||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||||||
COP Currency Call | JPM |
|
COP
2658.650 |
|
8/14/18 |
|
COP
(199,398,750) |
|
COP 199,398,750 | $ | 367,049 | $ | | |||||||||||||||
COP Currency Put | JPM |
|
COP
2964.750 |
|
8/13/18 |
|
COP
(148,237,500) |
|
COP 296,475,000 | 542,501 | (741,188) | |||||||||||||||||
COP Currency Call | JPM |
|
COP
2645.500 |
|
8/13/18 |
|
COP
(132,275,000) |
|
COP 264,550,000 | 242,500 | | |||||||||||||||||
COP Currency Put | JPM |
|
COP
2984.750 |
|
8/14/18 |
|
COP
(223,856,250) |
|
COP 223,856,250 | 834,301 | (895,425) | |||||||||||||||||
Debt Option on BTPS 2 2/1/28 CORP Put | JPM |
|
EUR
93.450 |
|
9/4/18 |
|
EUR
(100,000) |
|
EUR | 1,719,385 | (353,680) | |||||||||||||||||
EUR Currency Put | BOA |
|
USD
1.170 |
|
6/17/19 |
|
EUR
(150,000) |
|
EUR 150,000 | 3,677,490 | (3,333,750) | |||||||||||||||||
EUR Currency Call | GSCO-OT |
|
ZAR
15.140 |
|
7/3/18 |
|
EUR
(50,000) |
|
EUR 75,000 | 548,339 | (3,226,865) | |||||||||||||||||
EUR Currency Call | GSCO-OT |
|
HUF
323.970 |
|
9/4/18 |
|
EUR
(120,000) |
|
EUR 210,000 | 811,410 | (3,020,211) | |||||||||||||||||
EUR Currency Put | GSCO-OT |
|
USD
1.157 |
|
8/16/18 |
|
EUR
(150,000) |
|
EUR 150,000 | 1,554,014 | (995,250) | |||||||||||||||||
EUR Currency Put | GSCO-OT |
|
INR
77.800 |
|
9/26/18 |
|
EUR
(60,000) |
|
EUR 100,000 | 215,676 | (159,265) | |||||||||||||||||
EUR Currency Call | GSCO-OT |
|
INR
83.300 |
|
9/26/18 |
|
EUR
(60,000) |
|
EUR 100,000 | 445,267 | (467,353) | |||||||||||||||||
EUR Currency Put | GSCO-OT |
|
HUF
310.150 |
|
9/4/18 |
|
EUR
(120,000) |
|
EUR 210,000 | 280,155 | (85,483) | |||||||||||||||||
EUR Currency Put | JPM |
|
USD
1.162 |
|
9/26/18 |
|
EUR
(250,000) |
|
EUR 250,000 | 3,195,177 | (2,811,500) | |||||||||||||||||
IDR Currency Put | GSCO-OT |
|
IDR
14500.000 |
|
1/4/19 |
|
IDR
(1,812,500,000) |
|
IDR 1,812,500,000 | 3,025,000 | (3,625,000) | |||||||||||||||||
IDR Currency Call | GSCO-OT |
|
IDR
12700.000 |
|
2/1/19 |
|
IDR
(1,270,000,000) |
|
IDR 2,544,445,000 | 488,400 | | |||||||||||||||||
IDR Currency Put | GSCO-OT |
|
IDR
14000.000 |
|
2/1/19 |
|
IDR
(1,400,000,000) |
|
IDR 2,804,900,000 | 2,066,600 | (5,600,000) | |||||||||||||||||
INR Currency Call | GSCO-OT |
|
INR
63.500 |
|
10/15/18 |
|
INR
(3,175,000) |
|
INR 6,350,000 | 94,999 | (19,050) | |||||||||||||||||
INR Currency Put | GSCO-OT |
|
INR
70.400 |
|
8/27/18 |
|
INR
(4,224,000) |
|
INR 7,040,000 | 384,000 | (249,216) |
27 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Over-the-Counter Options Written (Continued) |
|
|||||||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||||||
INR Currency Put | GSCO-OT |
|
INR
67.000 |
|
10/15/18 |
|
INR
(3,350,000 |
) |
|
INR 6,700,000 |
|
$ | 625,000 | $ | (1,865,950) | |||||||||||||
INR Currency Call | GSCO-OT |
|
INR
67.500 |
|
8/27/18 |
|
INR
(4,050,000 |
) |
|
INR 6,750,000 |
|
162,000 | (145,800) | |||||||||||||||
JPY Currency Call | BOA |
|
JPY
106.500 |
|
8/23/18 |
|
JPY
(21,300,000 |
) |
|
JPY 21,300,000 |
|
1,112,000 | (511,200) | |||||||||||||||
JPY Currency Call | GSCO-OT |
|
JPY
103.750 |
|
11/6/18 |
|
JPY
(15,562,500 |
) |
|
JPY 15,562,500 |
|
1,408,650 | (669,188) | |||||||||||||||
JPY Currency Put | GSCO-OT |
|
JPY
112.250 |
|
11/6/18 |
|
JPY
(16,837,500 |
) |
|
JPY 16,837,500 |
|
1,203,750 | (1,279,650) | |||||||||||||||
KRW Currency Put | GSCO-OT |
|
KRW
1065.000 |
|
7/3/18 |
|
KRW
(53,250,000 |
) |
|
KRW 106,500,000 |
|
605,000 | (2,183,250) | |||||||||||||||
KRW Currency Call | GSCO-OT |
|
KRW
1020.000 |
|
7/3/18 |
|
KRW
(25,500,000 |
) |
|
KRW 51,000,000 |
|
105,000 | | |||||||||||||||
MXN Currency Put | GSCO-OT |
|
MXN
20.000 |
|
7/16/18 |
|
MXN
(500,000 |
) |
|
MXN 1,000,000 |
|
205,975 | (339,000) | |||||||||||||||
MXN Currency Put | GSCO-OT |
|
MXN
20.000 |
|
7/16/18 |
|
MXN
(2,000,000 |
) |
|
MXN 2,000,000 |
|
922,400 | (1,356,000) | |||||||||||||||
MXN Currency Put | JPM |
|
MXN
20.200 |
|
8/2/18 |
|
MXN
(883,750 |
) |
|
MXN 2,020,000 |
|
506,056 | (646,905) | |||||||||||||||
NOK Currency Put | GSCO-OT |
|
NOK
8.067 |
|
9/24/18 |
|
NOK
(1,008,335 |
) |
|
NOK 1,815,000 |
|
2,313,294 | (2,625,704) | |||||||||||||||
NOK Currency Put | JPM |
|
NOK
8.085 |
|
9/25/18 |
|
NOK
(727,650 |
) |
|
NOK 1,212,750 |
|
1,632,060 | (1,800,934) | |||||||||||||||
PLN Currency Put | GSCO-OT |
|
PLN
3.773 |
|
12/21/18 |
|
PLN
(754,500 |
) |
|
PLN 754,500 |
|
4,249,400 | (4,950,275) | |||||||||||||||
PLN Currency Put | JPM |
|
PLN
3.853 |
|
8/31/18 |
|
PLN
(577,875 |
) |
|
PLN 577,875 |
|
1,374,000 | (1,214,115) | |||||||||||||||
PLN Currency Put | JPM |
|
PLN
3.750 |
|
8/23/18 |
|
PLN
(562,500 |
) |
|
PLN 562,500 |
|
1,951,500 | (2,290,500) | |||||||||||||||
RUB Currency Put | GSCO-OT |
|
RUB
70.000 |
|
6/12/19 |
|
RUB
(8,750,000 |
) |
|
RUB 10,500,000 |
|
3,986,375 | (3,815,000) | |||||||||||||||
RUB Currency Put | JPM |
|
RUB
70.000 |
|
6/7/19 |
|
RUB
(10,500,000 |
) |
|
RUB 17,500,000 |
|
4,208,369 | (4,515,000) | |||||||||||||||
SEK Currency Put | GSCO-OT |
|
SEK
8.606 |
|
11/22/18 |
|
SEK
(1,161,700 |
) |
|
SEK 2,323,485 |
|
3,976,414 | (5,497,164) |
28 OPPENHEIMER INTERNATIONAL BOND FUND
Over-the-Counter Options Written (Continued) |
| |||||||||||||||||||||||||||
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts (000s) |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||||||
TRY Currency Put | CITNA-B |
|
TRY
5.000 |
|
6/7/19 |
|
TRY
(375,000 |
) |
|
TRY 375,000 |
|
$ | 2,887,500 | $ | (6,588,000) | |||||||||||||
TRY Currency Put | CITNA-B |
|
TRY
5.000 |
|
6/20/19 |
|
TRY
(250,000 |
) |
|
TRY 250,000 |
|
1,980,000 | (4,561,250) | |||||||||||||||
TRY Currency Put | GSCO-OT |
|
TRY
4.251 |
|
7/19/18 |
|
TRY
(106,275 |
) |
|
TRY 213,825 |
|
407,800 | (2,050,789) | |||||||||||||||
TRY Currency Put | GSCO-OT |
|
TRY
5.020 |
|
5/31/19 |
|
TRY
(376,500 |
) |
|
TRY 376,500 |
|
2,895,450 | (6,279,643) | |||||||||||||||
ZAR Currency Call | CITNA-B |
|
ZAR
11.870 |
|
8/17/18 |
|
ZAR
(1,068,300 |
) |
|
ZAR 1,780,500 |
|
475,952 | (40,595) | |||||||||||||||
ZAR Currency Put | CITNA-B |
|
ZAR
13.460 |
|
8/17/18 |
|
ZAR
(1,211,400 |
) |
|
ZAR 2,019,000 |
|
1,129,088 | (3,368,903) | |||||||||||||||
ZAR Currency Put | GSCO-OT |
|
ZAR
13.889 |
|
9/7/18 |
|
ZAR
(694,450 |
) |
|
ZAR 1,041,675 |
|
647,300 | (1,379,178) | |||||||||||||||
ZAR Currency Call | GSCO-OT |
|
ZAR
11.324 |
|
5/27/19 |
|
ZAR
(849,263 |
) |
|
ZAR 1,132,350 |
|
770,475 | (121,445) | |||||||||||||||
ZAR Currency Put | GSCO-OT |
|
ZAR
14.646 |
|
5/27/19 |
|
ZAR
(1,098,450 |
) |
|
ZAR 1,464,600 |
|
2,010,300 | (3,981,881) | |||||||||||||||
ZAR Currency Call | JPM |
|
ZAR
11.380 |
|
5/27/19 |
|
ZAR
(1,138,000 |
) |
|
ZAR 1,138,000 |
|
1,006,000 | (162,734) | |||||||||||||||
ZAR Currency Put | JPM |
|
ZAR
14.700 |
|
5/27/19 |
|
ZAR
(1,470,000 |
) |
|
ZAR 1,470,000 |
|
2,657,000 | (5,186,160) | |||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Over-the-Counter Options Written |
|
$83,472,681 | $ | (119,204,264) | ||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps at June 30, 2018 |
| |||||||||||||||||||||||||||
Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
CDX.EM 29 | Sell | 1.000 | % | 6/20/23 | USD 6,500 | $ | 260,722 | $ | (258,918) | $ | 1,804 | |||||||||||||||||
CDX.HY.30 | Buy | 5.000 | 6/20/23 | USD 50,000 | 3,032,222 | (2,969,004) | 63,218 | |||||||||||||||||||||
Federative Republic of Brazil | Sell | 1.000 | 6/20/22 | USD 15,000 | 928,605 | (711,601 | ) | 217,004 | ||||||||||||||||||||
Intesa Sanpaolo SpA | Buy | 1.000 | 12/20/21 | EUR 15,000 | (548,711 | ) | 206,984 | (341,727 | ) | |||||||||||||||||||
MALAYSIA | Buy | 1.000 | 6/20/23 | USD 9,750 | 12,753 | 27,030 | 39,783 | |||||||||||||||||||||
MALAYSIA | Buy | 1.000 | 6/20/23 | USD 9,750 | 51,036 | 27,030 | 78,066 | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 9,750 | (228,797 | ) | 150,913 | (77,884 | ) |
29 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Centrally Cleared Credit Default Swaps (Continued) |
|
|||||||||||||||||||||||||||
Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation/ |
|||||||||||||||||||||
Mexico Government International | Buy | 1.000% | 6/20/23 | USD 6,500 | $(152,620) | $ | 100,609 | $ | (52,011) | |||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (103,204) | 100,609 | (2,595) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (135,450) | 100,609 | (34,841) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (106,098) | 100,609 | (5,489) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (148,299) | 100,609 | (47,690) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (137,527) | 100,609 | (36,918) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (123,735) | 100,609 | (23,126) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (156,770) | 100,609 | (56,161) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 34,850 | (710,746) | 539,419 | (171,327) | |||||||||||||||||||||
Mexico Government International | Buy | 1.000 | 6/20/23 | USD 6,500 | (91,383) | 100,067 | 8,684 | |||||||||||||||||||||
Peoples Republic of China | Buy | 1.000 | 6/20/23 | USD 34,000 | 621,219 | (517,672 | ) | 103,547 | ||||||||||||||||||||
Petrobras Global Finance BV | Sell | 1.000 | 12/20/20 | USD 6,000 | 60,552 | (167,138 | ) | (106,586) | ||||||||||||||||||||
Petrobras Global Finance BV | Sell | 1.000 | 12/20/20 | USD 6,000 | 61,070 | (167,138 | ) | (106,068) | ||||||||||||||||||||
Republic of Italy | Sell | 1.000 | 12/20/21 | USD 16,000 | 585,507 | (519,505 | ) | 66,002 | ||||||||||||||||||||
Republic Of South Africa Gover | Buy | 1.000 | 6/20/23 | USD 6,500 | (353,105) | 326,509 | (26,596) | |||||||||||||||||||||
Republic Of South Africa Gover | Buy | 1.000 | 6/20/23 | USD 13,000 | (571,133) | 653,017 | 81,884 | |||||||||||||||||||||
Republic Of South Africa Gover | Buy | 1.000 | 6/20/23 | USD 7,000 | (313,925) | 351,625 | 37,700 | |||||||||||||||||||||
Russian Foreign Bond - Eurobon | Buy | 1.000 | 6/20/23 | USD 9,800 | (175,638) | 177,388 | 1,750 | |||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps |
|
$ 1,556,545 | $ | (1,946,122) | $ | (389,577) | ||||||||||||||||||||||
30 OPPENHEIMER INTERNATIONAL BOND FUND
Over-the-Counter Credit Default Swaps at June 30, 2018 |
|
|||||||||||||||||||||||||||
Reference Asset | Counter- party |
Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Eskom Holdings Soc Ltd. | GSCOI | Sell | 1.000 | % | 12/20/22 | USD 9,500 | $ 791,100 | $ | (1,342,220 | ) | $ | (551,120 | ) | |||||||||||||||
Federative Republic of Brazil | BNP | Sell | 1.000 | 12/20/18 | USD 10,265 | 812,157 | 7,899 | 820,056 | ||||||||||||||||||||
Hellenic Republic | BAC | Sell | 1.000 | 12/20/20 | USD 25,000 | 1,925,913 | (960,145 | ) | 965,768 | |||||||||||||||||||
Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD 3,090 | 1,174,372 | (66,871 | ) | 1,107,501 | |||||||||||||||||||
Hellenic Republic | BAC | Sell | 1.000 | 3/20/20 | USD 3,090 | 1,097,122 | (66,871 | ) | 1,030,251 | |||||||||||||||||||
ICICI Bank Ltd. | GSCO-OT | Sell | 1.000 | 12/20/19 | USD 10,000 | 359,971 | 73,486 | 433,457 | ||||||||||||||||||||
Idbi Bank Ltd./difc Dubai | BAC | Sell | 1.000 | 12/20/22 | USD 6,000 | 194,525 | (170,100 | ) | 24,425 | |||||||||||||||||||
Idbi Bank Ltd./difc Dubai | BNP | Sell | 1.000 | 12/20/22 | USD 6,000 | 181,053 | (170,100 | ) | 10,953 | |||||||||||||||||||
India | BNP | Sell | 1.000 | 9/20/19 | USD 13,035 | 537,811 | 104,536 | 642,347 | ||||||||||||||||||||
Oriental Republic of Uruguay | BOA | Sell | 1.000 | 12/20/21 | USD 14,802 | 267,519 | 113,951 | 381,470 | ||||||||||||||||||||
Total Over-the-Counter Credit Default Swaps | $ 7,341,543 | $ | (2,476,435 | ) | $ | 4,865,108 | ||||||||||||||||||||||
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** |
|||||||||
Non-Investment Grade | $ | 6,500,000 | $ | | BB | |||||||
Corporate Debt Indexes | ||||||||||||
Investment Grade Single | 23,035,000 | | BBB- | |||||||||
Name Corporate Debt | ||||||||||||
Non-Investment Grade | 33,500,000 | | BB to CCC+ | |||||||||
Single Name Corporate | ||||||||||||
Debt | ||||||||||||
Investment Grade | BBB | |||||||||||
Sovereign Debt | 30,802,000 | | ||||||||||
Non-Investment Grade | BB- to B+ | |||||||||||
Sovereign Debt | 56,445,000 | | ||||||||||
|
|
|
|
|||||||||
Total | $ | 150,282,000 | $ | | ||||||||
|
|
|
|
*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.
Centrally Cleared Interest Rate Swaps at June 30, 2018 |
| |||||||||||||||||||||||||||
Counter- party |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received / (Paid) |
Value | Unrealized (Depreciation) |
||||||||||||||||||||
BAC | Receive | Six-Month EUR EURIBOR |
1.123% | 3/8/28 | EUR 8,250 | $ | | $ | (289,010 | ) | $ | (289,010 | ) | |||||||||||||||
BAC | Receive | Six-Month HUF BUBOR |
0.980 | 6/27/22 | HUF 3,000,000 | | 333,034 | 333,034 |
31 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Centrally Cleared Interest Rate Swaps (Continued) |
| |||||||||||||||||||||||||||
Counter- party | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received / (Paid) |
Value | Unrealized (Depreciation) |
||||||||||||||||||||
BNP | Pay | BZDI | 9.130% | 1/4/21 | BRL 135,000 | $ | | $ | (41,734 | ) $ | (41,734 | ) | ||||||||||||||||
BOA | Pay | MXN TIIE BANXICO |
6.500 | 11/24/26 | MXN 1,000,000 | (15 | ) | (4,645,088 | ) | (4,645,103 | ) | |||||||||||||||||
BOFA | Pay | EUR006M | 0.888 | 8/15/27 | EUR 85,300 | | 608,775 | 608,775 | ||||||||||||||||||||
BOFA | Receive | BBSW6M | 3.015 | 4/26/28 | AUD 75,000 | | (1,103,028 | ) | (1,103,028 | ) | ||||||||||||||||||
CITNA-B | Pay | Three-Month ZAR JIBAR SAFEX |
8.590 | 1/23/28 | ZAR 508,000 | | (438,005 | ) | (438,005 | ) | ||||||||||||||||||
CITNA-B | Pay | Six-Month HUF BUBOR |
2.205 | 3/8/28 | HUF 2,750,000 | | (546,971 | ) | (546,971 | ) | ||||||||||||||||||
CITNA-B | Pay | MXN TIIE BANXICO |
7.920 | 9/13/18 | MXN 2,800,000 | | (52,203 | ) | (52,203 | ) | ||||||||||||||||||
DEU | Pay | JIBA3M | 8.310 | 6/29/28 | ZAR 200,000 | | 18,045 | 18,045 | ||||||||||||||||||||
DEU | Receive | JIBA3M | 7.120 | 6/29/19 | ZAR 1,433,300 | | (11,088 | ) | (11,088 | ) | ||||||||||||||||||
GSCOI | Pay | COOVIBR | 4.610 | 6/7/20 | COP 146,700,000 | | (238,357 | ) | (238,357 | ) | ||||||||||||||||||
GSCOI | Pay | BZDI | 10.875 | 1/4/27 | BRL 106,700 | | (816,776 | ) | (816,776 | ) | ||||||||||||||||||
GSCOI | Pay | BZDI | 11.590 | 1/2/25 | BRL 62,500 | | 65,496 | 65,496 | ||||||||||||||||||||
GSCOI | Pay | BZDI | 11.730 | 1/2/25 | BRL 124,700 | | 259,522 | 259,522 | ||||||||||||||||||||
GSCOI | Pay | EUR006M | 1.553 | 7/4/44 | EUR 22,980 | | 544,418 | 544,418 | ||||||||||||||||||||
GSCOI | Pay | EUR006M | 1.482 | 7/4/44 | EUR 16,700 | | 91,715 | 91,715 | ||||||||||||||||||||
GSCOI | Pay | EUR006M | 0.861 | 8/15/27 | EUR 42,600 | | 188,034 | 188,034 | ||||||||||||||||||||
GSCOI | Pay | Six-Month PLN WIBOR WIBO |
1.780 | 6/10/21 | PLN 200,000 | (30,941 | ) | (495,952 | ) | (526,893 | ) | |||||||||||||||||
GSCOI | Receive | Six-Month PLN WIBOR WIBO |
2.580 | 2/6/23 | PLN 115,000 | | 341,117 | 341,117 | ||||||||||||||||||||
GSCOI | Pay | Three-Month ZAR JIBAR SAFEX |
7.940 | 3/27/27 | ZAR 178,500 | | (213,819 | ) | (213,819 | ) | ||||||||||||||||||
GSCOI | Receive | Six-Month PLN WIBOR WIBO |
1.775 | 10/10/21 | PLN 95,000 | 3,197 | (91,903 | ) | (88,706 | ) | ||||||||||||||||||
GSCOI | Pay | Six-Month CHF BBA LIBOR |
0.884 | 4/4/28 | CHF 72,000 | | (113,984 | ) | (113,984 | ) | ||||||||||||||||||
GSCOI | Receive | Six-Month EUR EURIBOR | 1.596 | 4/4/28 | EUR 64,000 | | (405,220 | ) | (405,220 | ) | ||||||||||||||||||
GSCOI | Pay | BZDI | 9.825 | 7/1/20 | BRL 892,000 | | (488,445 | ) | (488,445 | ) | ||||||||||||||||||
GSCO-OT | Pay | EUR006M | 0.885 | 8/15/27 | EUR 57,000 | | 466,963 | 466,963 | ||||||||||||||||||||
JPM | Pay | Six-Month PLN WIBOR WIBO |
2.090 | 1/11/22 | PLN 160,000 | | (121,451 | ) | (121,451 | ) | ||||||||||||||||||
JPM | Pay | Six-Month PLN WIBOR WIBO |
2.315 | 1/15/26 | PLN 90,200 | (23,445 | ) | (634,128 | ) | (657,573 | ) | |||||||||||||||||
JPM | Pay | BZDI | 10.500 | 7/1/20 | BRL 880,000 | | 92,547 | 92,547 | ||||||||||||||||||||
JPM | Pay | MXN TIIE BANXICO |
8.000 | 8/27/18 | MXN 2,820,000 | | (11,273 | ) | (11,273 | ) | ||||||||||||||||||
JPM | Receive | Three-Month USD BBA LIBOR |
2.097 | 6/8/27 | USD 12,000 | | 770,672 | 770,672 | ||||||||||||||||||||
SIB | Pay | BZDI | 11.605 | 1/2/25 | BRL 125,000 | | 141,895 | 141,895 | ||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps |
|
$ (51,204) | $ | (6,836,202) | $ | (6,887,406) | ||||||||||||||||||||||
32 OPPENHEIMER INTERNATIONAL BOND FUND
Over-the-Counter Interest Rate Swaps at June 30, 2018 |
|
|||||||||||||||||||||||||||||||
Counter- party |
Pay/Receive Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received / (Paid) |
Value | Unrealized (Depreciation) |
||||||||||||||||||||||||
BOA | Pay | NSERO | 6.623 | % | 3/20/20 | |
INR 7,200,000 |
|
$ | | $ | (556,698) | $ | (556,698 | ) | |||||||||||||||||
BOA | Receive | |
Six-Month INR FBIL MIBOR OIS Compound |
|
6.620 | 3/20/23 | |
INR 1,620,000 |
|
| 631,533 | 631,533 | ||||||||||||||||||||
BOA | Pay | NSERO | 6.700 | 3/8/20 | |
INR 15,757,500 |
|
| (1,042,854 | ) | (1,042,854 | ) | ||||||||||||||||||||
BOA | Receive | |
Six-Month INR FBIL MIBOR OIS Compound |
|
6.705 | 3/8/23 | |
INR 3,602,500 |
|
| 1,197,157 | 1,197,157 | ||||||||||||||||||||
CITNA-B | Receive | THFX6M | 1.605 | 6/6/20 | |
THB 2,400,000 |
|
| (66,225 | ) | (66,225 | ) | ||||||||||||||||||||
DEU | Pay | |
Three-Month COP IBR OIS Compound |
|
5.030 | 4/28/20 | |
COP 100,000,000 |
|
| 152,029 | 152,029 | ||||||||||||||||||||
GSCOI | Receive | |
CNY- CNREPOFIX=CFXS |
|
3.785 | 3/27/23 | CNY 99,400 | | (336,483 | ) | (336,483 | ) | ||||||||||||||||||||
GSCOI | Pay | THFX6M | 1.955 | 4/24/23 | |
THB 1,625,000 |
|
| (260,924 | ) | (260,924 | ) | ||||||||||||||||||||
GSCOI | Receive | THFX6M | 1.500 | 4/24/20 | |
THB 3,960,000 |
|
| 85,633 | 85,633 | ||||||||||||||||||||||
GSCOI | Pay | |
Three-Month COP IBR OIS Compound |
|
5.175 | 4/20/20 | |
COP 88,000,000 |
|
| 225,140 | 225,140 | ||||||||||||||||||||
GSCOI | Pay | |
Three-Month COP IBR OIS Compound |
|
6.470 | 9/29/26 | |
COP 55,000,000 |
|
| 601,593 | 601,593 | ||||||||||||||||||||
GSCOI | Pay | Six-Month CLP TNA | 3.380 | 9/14/22 | |
CLP 13,500,000 |
|
| (241,063 | ) | (241,063 | ) | ||||||||||||||||||||
JPM | Receive | |
Five-Year EUR CPI EXT |
|
1.603 | 5/24/27 | EUR 50,000 | | 175,478 | 175,478 | ||||||||||||||||||||||
JPM | Pay | |
Three-Month COP IBR OIS Compound |
|
7.300 | 6/1/26 | |
COP 39,425,000 |
|
| 1,196,611 | 1,196,611 | ||||||||||||||||||||
JPM | Pay | |
Three-Month COP IBR OIS Compound |
|
4.990 | 5/2/20 | |
COP 105,000,000 |
|
| 129,517 | 129,517 | ||||||||||||||||||||
JPM | Pay | |
Five-Year EUR CPI EXT |
|
2.080 | 5/24/37 | EUR 50,000 | | (152,004 | ) | (152,004 | ) | ||||||||||||||||||||
JPM | Pay | |
Three-Month COP IBR OIS Compound |
|
5.700 | 3/8/19 | |
COP 199,335,000 |
|
| 727,893 | 727,893 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaps |
|
$ | | $ | 2,466,333 | $ | 2,466,333 | |||||||||||||||||||||||||
|
|
Over-the-Counter Total Return Swaps at June 30, 2018 |
| |||||||||||||||||||||||||||
Reference Asset | Counter- party |
Pay/Receive Total Return* |
Floating Rate | Maturity Date |
Notional Amount (000s) |
Value | Unrealized Appreciation/ |
|||||||||||||||||||||
iBoxx EUR Liquid High Yield Index Series 1 Version 1 | JPM | Receive | |
Three-Month EUR EURIBOR |
|
12/27/18 | EUR 25,000 | $ | (183,943 | ) | $ | (183,943 | ) |
33 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Over-the-Counter Total Return Swaps (Continued) |
| |||||||||||||||||||||||||
Reference Asset | Counter- party |
Pay/Receive Total Return* |
Floating Rate | Maturity Date |
Notional Amount (000s) |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
iBoxx EUR Liquid High Yield Index Series 1 Version 1 | JPM | Receive | |
Three-Month EUR EURIBOR |
|
12/27/18 | EUR 25,000 | $ (237,099) | $ (237,099) | |||||||||||||||||
iBoxx EUR Liquid High Yield Index Series 1 Version 1 | JPM | Receive | |
Three-Month EUR EURIBOR |
|
12/27/18 | EUR 50,000 | (685,659) | (685,659) | |||||||||||||||||
Total Over-the-Counter Total Return Swaps | $ (1,106,701) | $ (1,106,701) | ||||||||||||||||||||||||
|
|
* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
Over-the-Counter Interest Rate Swaptions Written at June 30, 2018 |
|
|||||||||||||||||||||||||||||||
Description | Counter- party |
Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Premiums Received |
Value | ||||||||||||||||||||||||
Interest Rate Swap maturing 12/20/18 Call |
BAC | Receive | |
Six- Month EUR- |
|
1.350% | 12/20/18 | EUR | 21,500 | $ | 194,669 | $ (302,072) | ||||||||||||||||||||
Interest Rate Swap maturing 4/26/49 Call |
BAC | Pay | |
Six- Month EUR- |
|
1.887 | 4/24/19 | EUR | 37,500 | 870,283 | (397,525) | |||||||||||||||||||||
Interest Rate Swap maturing 4/26/49 Call |
BAC | Receive | |
Six- Month EUR- |
|
1.452 | 4/24/19 | EUR | 37,500 | 1,053,501 | (1,250,498) | |||||||||||||||||||||
Interest Rate Swap maturing 9/12/28 Call |
BOA | Receive | |
Three- Month CAD-BA- CDOR |
|
2.710 | 9/12/18 | CAD | 165,000 | 1,381,564 | (2,047,488) | |||||||||||||||||||||
Interest Rate Swap maturing 8/15/28 Call |
BOA | Pay | |
Three- Month USD- LIBOR- BBA |
|
3.279 | 8/13/18 | USD | 275,000 | 852,500 | (135,402) | |||||||||||||||||||||
Interest Rate Swap maturing 6/12/20 Call |
BOA | Pay | |
Three- Month USD- LIBOR- BBA |
|
2.972 | 6/10/19 | USD | 1,000,000 | 2,140,000 | (2,083,180) | |||||||||||||||||||||
Interest Rate Swap maturing 4/25/29 Call |
BOA | Receive | |
Three- Month USD- LIBOR- BBA |
|
2.980 | 4/23/19 | USD | 100,000 | 1,865,000 | (2,048,268) |
34 OPPENHEIMER INTERNATIONAL BOND FUND
Over-the-Counter Interest Rate Swaptions Written (Continued) |
|
|||||||||||||||||||||||||||||||
Description | Counter- party |
Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Premiums Received |
Value | ||||||||||||||||||||||||
Interest Rate Swap maturing 5/31/20 Call |
BOA | Pay | |
Three- Month USD- LIBOR- BBA |
|
2.718% | 5/29/19 | USD | 1,000,000 | $ | 2,000,000 | $ (3,467,160) | ||||||||||||||||||||
Interest Rate Swap maturing 9/14/23 Call |
GSCOI | Pay | |
Six- Month PLN- WIBOR- WIBO |
|
2.610 | 9/12/18 | PLN | 80,000 | 104,874 | (56,343) | |||||||||||||||||||||
Interest Rate Swap maturing 5/16/29 Call |
GSCOI | Receive | |
Three- Month USD- LIBOR- BBA |
|
3.098 | 5/14/19 | USD | 112,500 | 2,452,500 | (3,004,579) | |||||||||||||||||||||
Interest Rate Swap maturing 4/26/49 Call |
GSCOI | Pay | |
Six- Month EUR- |
|
1.885 | 4/24/19 | EUR | 23,250 | 539,576 | (248,599) | |||||||||||||||||||||
Interest Rate Swap maturing 4/26/49 Call |
GSCOI | Receive | |
Six- Month EUR- |
|
1.450 | 4/24/19 | EUR | 23,250 | 653,170 | (769,643) | |||||||||||||||||||||
Interest Rate Swap maturing 9/21/48 Call |
GSCOI | Pay | |
Three- Month USD- LIBOR- BBA |
|
3.150 | 9/19/18 | USD | 100,000 | 700,000 | (738,489) | |||||||||||||||||||||
Interest Rate Swap maturing 9/17/67 Call |
JPM | Pay | |
Six- Month EUR EURIBOR |
|
3.100 | 9/15/37 | EUR | 200,000 | 19,261,235 | (17,074,233) | |||||||||||||||||||||
Interest Rate Swap maturing 6/30/31 Call |
JPM | Pay | |
Six- Month EUR- |
|
2.750 | 6/28/21 | EUR | 657,800 | 5,262,989 | (5,733,817) | |||||||||||||||||||||
Interest Rate Swap maturing 7/19/23 Call |
JPM | Receive | |
Three- Month SEK STIBOR SIDE |
|
0.765 | 7/17/18 | SEK | 1,000,000 | 748,241 | (1,319) | |||||||||||||||||||||
Interest Rate Swap maturing 7/26/28 Call |
JPM | Receive | |
Six- Month EUR- |
|
1.057 | 7/24/18 | EUR | 123,330 | 666,894 | (2,279,014) | |||||||||||||||||||||
Interest Rate Swap maturing 7/26/28 Call |
JPM | Pay | |
Six- Month EUR- |
|
1.258 | 7/24/18 | EUR | 123,330 | 338,740 | (3,465) | |||||||||||||||||||||
Interest Rate Swap maturing 7/24/28 Call |
TD | Receive | |
Three- Month CAD-BA- CDOR |
|
2.668 | 7/24/18 | CAD | 175,000 | 927,730 | (1,434,823) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Written |
|
$ | 42,013,466 | $ (43,075,917) | ||||||||||||||||||||||||||||
|
|
35 OPPENHEIMER INTERNATIONAL BOND FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Glossary: | ||
Counterparty Abbreviations | ||
BAC | Barclays Bank plc | |
BNP | BNP Paribas | |
BOA | Bank of America NA | |
CITNA-B | Citibank NA | |
DEU | Deutsche Bank AG | |
GSCOI | Goldman Sachs International | |
GSCO-OT | Goldman Sachs Bank USA | |
HSBC | HSBC Bank USA NA | |
JPM | JPMorgan Chase Bank NA | |
NOM | Nomura Global Financial Products, Inc. | |
SIB | Banco Santander SA | |
TDB | Toronto Dominion Bank | |
Currency abbreviations indicate amounts reporting in currencies | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
CNY | Chinese Renminbi | |
COP | Colombian Peso | |
DKK | Danish Krone | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PEN | Peruvian New Sol | |
PHP | Philippine Peso | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thailand Baht | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
UYU | Uruguay Peso | |
ZAR | South African Rand | |
Definitions | ||
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate |
36 OPPENHEIMER INTERNATIONAL BOND FUND
Definitions (Continued) | ||
BADLARPP | Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days | |
BANXICO | Banco de Mexico | |
BBA | British Bankers Association | |
BBA LIBOR | British Bankers Association London - Interbank Offered Rate | |
BBR | Bank Bill Rate | |
BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BBSW6M | Bank Bill Swap Reference Rate (Australian Financial Market) Rate 6 Month | |
BP0003M | ICE LIBOR GBP 3 Month | |
BP0006M | ICE LIBOR GBP 6 Month | |
BPSW5 | GBP Swap 5 Year | |
BTP | Italian Treasury Bonds | |
BUBOR | Budapest Interbank Offered Rate | |
BUND | German Federal Obligation | |
BUXL | German Federal Obligation | |
BZDI | Brazil Interbank Deposit Rate | |
CD | Certificate of Deposit | |
CDX.EM 29 | Markit CDX Emerging Markets Index | |
CDX.HY.30 | Markit CDX High Yield Index | |
CNREPOFIX=CFXS | Repurchase Fixing Rates | |
COOVIBR | Colombia IBR Overnight Nominal Interbank Reference Rate | |
CPI EXT | Excluding Tobacco Consumer Price Index | |
EUR003M | EURIBOR 3 Month ACT/360 | |
EUR006M | EURIBOR 6 Month ACT/360 | |
EURIBOR | Euro Interbank Offered Rate | |
EUSA5 | EUR Swap Annual 5 Year | |
EUSA8 | EUR Swap Annual 8 Year | |
EUSA10 | EUR Swap Annual 10 Year | |
EUSA11 | EUR Swap Annual 11 Year | |
EUSA12 | EUR Swap Annual 12 Year | |
FBIL | Financial Benchmarks India Private Ltd. | |
GUKG5 | UK Government Bonds 5 Year Note Generic Bid Yield | |
H15T10Y | US Treasury Yield Curve Rate T Note Constant Maturity 10 Year | |
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year | |
IBR | Indicador Bancario de Referencia | |
ICE LIBOR | Intercontinental Exchange Benchmark Administration-London Interbank Offered Rate | |
JIBA3M | South Africa Johannesburg Interbank Agreed Rate 3 Month | |
JIBAR SAFEX | South Africa Johannesburg Interbank Agreed Rate/Futures Exchange | |
LIBOR | London Interbank Offered Rate | |
MIBOR | Mumbai Interbank Offered Rate | |
NSERO | India Rupee Floating Rate | |
OIS | Overnight Index Swap | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TNA | Non-Deliverable CLP Camara | |
US0003M | ICE LIBOR USD 3 Month | |
US0006M | ICE LIBOR USD 6 Month | |
USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | |
USSW5 | USD Swap Semi 30/360 5 Year | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate |
37 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS June 30, 2018 Unaudited
1. Organization
Oppenheimer International Bond Fund (the Fund) is a non-diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI Global or the Manager), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser). The Manager has entered into a sub-advisory agreement with OFI.
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer International Bond Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the Subsidiary). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in Regulation S securities. Regulation S securities are securities of U.S. and nonU.S. issuers that are issued through private offerings without registration with the Securities and Exchange Commission pursuant to Regulation S under the Securities Act of 1933. The Fund applies its investment restrictions and compliance policies and procedures, on a look-through basis, to the Subsidiary.
At period end, the Fund owned 1,188,135 shares with net assets of $110,214,305 in the Subsidiary.
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Value of investment securities, other assets and liabilities at the exchange rates prevailing at Market Close as described in Note 3.
(2) Purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern Time, on each day the New York Stock Exchange (the Exchange) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at least quarterly or more frequently, if
38 OPPENHEIMER INTERNATIONAL BOND FUND
3. Securities Valuation (Continued)
necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Funds assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Funds assets are valued.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Pricing services generally price debt securities assuming orderly transactions of an institutional round lot size, but some trades may occur in smaller, odd lot sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include market information relevant to the underlying reference asset such as the price of financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates, or the occurrence of other specific events.
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
39 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager regularly compares prior day prices and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs may be used in determining the value of each of the Funds investments as of the reporting period end.
These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (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).
40 OPPENHEIMER INTERNATIONAL BOND FUND
3. Securities Valuation (Continued)
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts at period end based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Mortgage-Backed Obligations | $ | | $ | 165,820,464 | $ | | $ | 165,820,464 | ||||||||
Foreign Government Obligations | | 3,140,715,434 | | 3,140,715,434 | ||||||||||||
Corporate Bonds and Notes | | 1,598,125,557 | 161,789 | 1,598,287,346 | ||||||||||||
Common Stock | | | | | ||||||||||||
Structured Securities | | 9,429,497 | | 9,429,497 | ||||||||||||
Short-Term Notes | | 172,950,041 | | 172,950,041 | ||||||||||||
Over-the-Counter Options Purchased | | 19,576,455 | | 19,576,455 | ||||||||||||
Over-the-Counter Interest Rate | ||||||||||||||||
Swaptions Purchased | | 68,751,030 | | 68,751,030 | ||||||||||||
Investment Company | 457,080,099 | | | 457,080,099 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | 457,080,099 | 5,175,368,478 | 161,789 | 5,632,610,366 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | | 5,422,456 | | 5,422,456 | ||||||||||||
Centrally cleared swaps, at value | | 7,287,087 | | 7,287,087 | ||||||||||||
Forward currency exchange contracts | | 214,383,690 | | 214,383,690 | ||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 457,080,099 | $ | 5,402,461,711 | $ | 161,789 | $ | 5,859,703,599 | ||||||||
|
|
|||||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | $ | | $ | (6,539,259) | $ | | $ | (6,539,259) | ||||||||
Centrally cleared swaps, at value | | (16,069,411) | | (16,069,411) | ||||||||||||
Options written, at value | | (118,850,584) | (353,680 | ) | (119,204,264) | |||||||||||
Futures contracts | (4,321,511 | ) | | | (4,321,511) | |||||||||||
Forward currency exchange contracts | | (269,799,220) | | (269,799,220) | ||||||||||||
Swaptions written, at value | | (43,075,917) | | (43,075,917) | ||||||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (4,321,511 | ) | $ | (454,334,391) | $ | (353,680 | ) | $ | (459,009,582) | ||||||
|
|
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 2 and Level 3. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
41 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Transfers into Level 2* |
Transfers out of Level 3* |
|||||||
Assets Table | ||||||||
Investments, at Value: | ||||||||
Foreign Government Obligations | $ 15,964,191 | $ (15,964,191) | ||||||
Structured Securities | 1,090,112 | (1,090,112) | ||||||
|
|
|||||||
Total Assets | $ 17,054,303 | $ (17,054,303) | ||||||
|
|
*Transferred from Level 3 to Level 2 due to the availability of market data for this security.
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign companys operations or financial condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments may be affected by exchange control regulations, foreign taxes, higher transaction and other costs, delays in the settlement of transactions, changes in economic or monetary policy in the United States or abroad, expropriation or nationalization of a companys assets, or other political and economic factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Funds investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the
42 OPPENHEIMER INTERNATIONAL BOND FUND
4. Investments and Risks (Continued)
Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (IGMMF), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.
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 Consolidated 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.
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Funds portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular companys securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the companys sector or industry, or changes in government regulations affecting the company or its industry.
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
43 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 and/or principal payment.
Information concerning securities not accruing interest at period end is as follows:
Cost | $10,122,193 | |||
Market Value | $ | |||
Market Value as % of Net Assets | 0.00% |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
5. Market Risk Factors
The Funds investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than
44 OPPENHEIMER INTERNATIONAL BOND FUND
5. Market Risk Factors (Continued)
obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
45 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $4,784,534,509 and $5,490,941,911, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund may purchase and/or sell financial futures contracts and options on futures
46 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $12,224,346 and $186,153,593 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.
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, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). 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 Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put, or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Interest Rate Options. The Fund may purchase or write call and put options on treasury and/or euro futures to increase or decrease exposure to interest rate risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Index/Security Options. The Fund may purchase or write call and put options on individual equity securities and/or equity indexes to increase or decrease exposure to equity risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
47 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
During the reporting period, the Fund had an ending monthly average market value of $12,711,233 and $7,665,785 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is the market price of the underlying security increasing above the strike price and the option being exercised. The Fund must then purchase the underlying security at the higher market price and deliver it for the strike price or, if it owns the underlying security, deliver it at the strike price and forego any benefit from the increase in the price of the underlying security above the strike price. The risk in writing a put option is the market price of the underlying security decreasing below the strike price and the option being exercised. The Fund must then purchase the underlying security at the strike price when the market price of the underlying security is below the strike price. Alternatively, the Fund could also close out a written option position, in which case the risk is that the closing transaction will require a premium to be paid by the Fund that is greater than the premium the Fund received. When writing options, the Fund has the additional risk that there may be an illiquid market where the Fund is unable to close the contact. The risk in buying an option is that the Fund pays a premium for the option, and the option may be worth less than the premium paid or expire worthless.
During the reporting period, the Fund had an ending monthly average market value of $15,102,142 and $51,935,841 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (centrally cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated
48 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
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 Consolidated Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset.
Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with
49 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
For the reporting period, the Fund had ending monthly average notional amounts of $378,777,948 and $163,769,097 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 floating interest rate while the other is typically a fixed interest rate.
The Fund may enter into interest rate swaps in which it pays the fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Typically, if relative interest rates rise, floating payments under a swap agreement will be greater than the fixed payments.
For the reporting period, the Fund had ending monthly average notional amounts of $1,130,886,963 and $2,632,942,388 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 the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund may enter into total return swaps to increase or decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the related indexes or securities.
For the reporting period, the Fund had ending monthly average notional amounts of $47,863,272 on total return swaps which are long the reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated
50 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
Statement of Investments and the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated 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 Consolidated 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 Consolidated 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 prior to exercise 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 may purchase swaptions which give it the option to enter into an interest rate swap in which it pays a floating or fixed interest rate and receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion of this swaption becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may purchase swaptions which give it the option to buy or sell credit protection through credit default swaps in order to decrease or increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection becomes more valuable as the
51 OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
likelihood of a credit event on the reference asset increases.
During the reporting period, the Fund had an ending monthly average market value of $121,399,401 and $67,257,679 on purchased and written swaptions, respectively.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
At period end, the Fund has required certain counterparties to post collateral of $24,448,094.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally
52 OPPENHEIMER INTERNATIONAL BOND FUND
6. Use of Derivatives (Continued)
cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction.
Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an
ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
53 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 6/30/2018, 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/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 8/17/2018 |
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/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 8/17/2018 |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 8/17/2018 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, 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/ Arthur P. Steinmetz |
Arthur P. Steinmetz |
Principal Executive Officer |
Date: 8/17/2018
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian S. Petersen, 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 S. Petersen |
Brian S. Petersen |
Principal Financial Officer |
Date: 8/17/2018