UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANIES
Investment Company Act file number 811-21917
Oppenheimer SMA International Bond Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 09/30/2008
Item 1. Reports to Stockholders.
Oppenheimer Management SMA International Commentaries and Bond Fund Annual Report MANAGEMENT COMMENTRIES Market Recap and Outlook Listing of Top Holdings ANNUALREPOR Fund Performance Discussion Listing of Investments Financial Statements “Despite the global credit crisis and heightened market volatility, we are confident that the Fund remains positioned to earn competitive levels of current income in international markets.” September 30, 2008 |
TOP HOLDINGS AND ALLOCATIONS
Top Ten Geographical Holdings
Japan | 20.0 | % | ||
United States | 19.0 | |||
France | 7.5 | |||
Germany | 7.3 | |||
United Kingdom | 6.4 | |||
Turkey | 4.2 | |||
Brazil | 3.5 | |||
Peru | 3.1 | |||
Mexico | 2.8 | |||
Colombia | 2.7 |
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2008, and are based on the total market value of investments.
Ï Europe 29.7 % Ï Asia 23.2 Ï United States/Canada 20.2 Ï Latin America 14.9 Ï Middle East/Africa 7.9 Ï Emerging Europe 3.5 Ï Supranational 0.6 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2008, and are based on the total market value of investments. |
8 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FUND PERFORMANCE DISCUSSION
How has the Fund performed? Below is a discussion by OppenheimerFunds, Inc., of the Fund’s performance during its fiscal year ended September 30, 2008.
Management Discussion of Fund Performance. For the 12-month period ended September 30, 2008, the Fund returned 1.78%, underperforming the Citigroup Non-U.S. Dollar World Government Bond Index, which returned 5.16% during the same time frame.
Like most other investments, the Fund was affected throughout the reporting period by a global economic slowdown and financial crisis, which intensified during the summer of 2008. As investors throughout the world grew increasingly risk-averse, they turned away from emerging-markets debt and currencies, causing their values to decline. Conversely, sovereign debt and currencies in developed markets reversed course and rallied late in the reporting period. The Fund was vulnerable to these developments due to its longstanding emphasis on emerging markets bonds and investments linked to the currencies of emerging markets, such as Brazil, Mexico, Turkey and Russia.
In fact, because we believe that real interest rates in these markets remain attractive and their central banks have room to reduce short-term rates, we increased the Fund’s exposure to the emerging markets in the spring of 2008. However, the timing of this move proved to be unfortunate when the financial crisis intensified over the summer. Some of the markets that previously had been most supportive of the Fund’s returns, such as Brazil and Russia, became some of the harder hit areas during the summer’s market turbulence. On the other hand, Mexico’s debt and currency have held up relatively well due to its proactive monetary policy, and Turkey benefited from lower oil prices when commodity prices moderated over the summer.
As of the reporting period’s end, we have maintained the Fund’s focus on certain emerging markets. We recently increased the Fund’s exposure to bonds in Western Europe, which we expect to benefit as the economy slows and interest rates fall, but we have maintained an underweighted position in investments linked to the region’s currency, the euro. We have established a more robust position in investments linked to the yen, as Japan’s currency historically has been relatively stable during global downturns, but the country’s low-yielding bonds have remained relatively unattractive to us. In our view, these are prudent long-term strategies for today’s unsettled market conditions.
Comparing the Fund’s Performance to the Market. The graphs that follow show the performance of a hypothetical $10,000 investment in the Fund held until September 30, 2008. Performance is measured from inception of the Class on July 23, 2007. The Fund’s performance reflects the reinvestments of all dividends and capital gains distributions.
The Fund’s performance is compared to the Citigroup Non-U.S. Dollar World Government Bond Index, a market-capitalization-weighted index that tracks performance of
9 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FUND PERFORMANCE DISCUSSION Continued
13 government bond markets in developed countries. Index performance reflects the reinvestment of dividends but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund’s performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the securities in the indices.
10 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer SMA International Bond Fund Citigroup Non-US Dollar World Government Bond Index |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. Fund returns include changes in share price and reinvested distributions. See page 12 for further information. The Manager has contractually agreed to waive all Management Fees and pay or reimburse all expenses of the Fund, except extraordinary expenses, transfer agent fees and fees paid to the Independent Trustees. This agreement has no fixed term. Investors should be aware that even though the Fund does not pay any fees or expenses to the Manager, investors will pay a “wrap fee” to their program’s sponsor.
11 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES
Investors should consider the Fund’s investment objectives, risks, and other charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by contacting your adviser or the “wrap-free” program sponsor. Read the prospectus carefully before investing.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of the Fund commenced operations on 7/23/07.
An explanation of the calculation of performance is in the Fund’s Statement of Additional Information.
12 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2008.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio, and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in the Statement of Additional Information). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total
13 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FUND EXPENSES Continued
costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
April 1, 2008 | September 30, 2008 | September 30, 2008 | ||||||||||
Actual | ||||||||||||
$ | 1,000.00 | $ | 906.60 | $ | 0.00 | |||||||
Hypothetical (5% return before expenses) | ||||||||||||
1,000.00 | 1,025.00 | 0.00 |
Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The annualized expense ratio, excluding indirect expenses from affiliated fund, based on the 6-month period ended September 30, 2008 is as follows:
Expense Ratio | ||||
0.00% |
The expense ratio reflects reduction to custodian expenses and voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” table in the Fund’s financial statements, included in this report, also show the gross expense ratio, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
14 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS September 30, 2008
Principal | ||||||||||||
Amount | Value | |||||||||||
Foreign Government Obligations—68.7% | ||||||||||||
Argentina—0.2% | ||||||||||||
Argentina (Republic of) Bonds: | ||||||||||||
Series GDP, 0.971%, 12/15/351 | $ | 100,000 | $ | 8,100 | ||||||||
Series V, 7%, 3/28/11 | 95,000 | 70,683 | ||||||||||
Series VII, 7%, 9/12/13 | 20,000 | 13,584 | ||||||||||
92,367 | ||||||||||||
Australia—0.2% | ||||||||||||
New South Wales Treasury Corp. Sr. Bonds, Series 12RG, 6%, 5/1/12 | 60,000 | AUD | 47,427 | |||||||||
New South Wales Treasury Corp. Sr. Unsec. Bonds, Series 14RG, 5.50%, 8/1/14 | 85,000 | AUD | 65,326 | |||||||||
112,753 | ||||||||||||
Austria—0.6% | ||||||||||||
Austria (Republic of) Unsec. Unsub. Nts., Series E, 4%, 9/15/16 | 199,000 | EUR | 274,738 | |||||||||
Belgium—0.5% | ||||||||||||
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 | 185,000 | EUR | 262,622 | |||||||||
Brazil—2.5% | ||||||||||||
Banco Nacional de Desenvolvimento Economico e Social Nts., 6.369%, 6/16/182 | 80,000 | 70,800 | ||||||||||
Brazil (Federal Republic of) Bonds: | ||||||||||||
6%, 1/17/17 | 175,000 | 169,313 | ||||||||||
8%, 1/15/18 | 210,000 | 225,750 | ||||||||||
8.875%, 10/14/19 | 155,000 | 182,125 | ||||||||||
Brazil (Federal Republic of) Letras Tesouro Nacional Treasury Bills, 0%, 1/1/093 | 450,000 | BRR | 228,615 | |||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||||||
10%, 1/1/12 | 190,000 | BRR | 91,145 | |||||||||
10%, 1/1/17 | 650,000 | BRR | 280,703 | |||||||||
1,248,451 | ||||||||||||
Canada—1.3% | ||||||||||||
Canada (Government of) Bonds: | ||||||||||||
3.50%, 6/1/13 | 195,000 | CAD | 186,242 | |||||||||
5%, 6/1/37 | 205,000 | CAD | 218,147 | |||||||||
Canada (Government of) Nts.: | ||||||||||||
3.75%, 6/1/10 | 145,000 | CAD | 138,366 | |||||||||
4.25%, 6/1/18 | 90,000 | CAD | 88,182 | |||||||||
630,937 | ||||||||||||
Colombia—2.5% | ||||||||||||
Colombia (Republic of) Bonds: | ||||||||||||
10.75%, 1/15/13 | 125,000 | 147,031 | ||||||||||
12%, 10/22/15 | 1,980,000,000 | COP | 951,491 |
F1 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Principal | ||||||||||||
Amount | Value | |||||||||||
Colombia Continued | ||||||||||||
Colombia (Republic of) Nts., 8.25%, 12/22/14 | $ | 95,000 | $ | 103,550 | ||||||||
EEB International Ltd. Sr. Unsec. Bonds, 8.75%, 10/31/142 | 40,000 | 40,000 | ||||||||||
1,242,072 | ||||||||||||
Costa Rica—0.1% | ||||||||||||
Costa Rica (Republic of) Unsec. Bonds, 9.995%, 8/1/20 | 25,000 | 31,750 | ||||||||||
Denmark—0.5% | ||||||||||||
Denmark (Kingdom of) Bonds, 5%, 11/15/13 | 1,210,000 | DKK | 237,806 | |||||||||
Ecuador—0.0% | ||||||||||||
Ecuador (Republic of) Unsec. Bonds, 10%, 8/15/301 | 20,000 | 14,600 | ||||||||||
Egypt—0.3% | ||||||||||||
Egypt (The Arab Republic of) Treasury Bills: | ||||||||||||
Series 182, 11.021%, 1/6/093 | 225,000 | EGP | 40,045 | |||||||||
Series 364, 8.371%, 1/6/093 | 200,000 | EGP | 35,350 | |||||||||
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/122 | 345,000 | EGP | 53,684 | |||||||||
129,079 | ||||||||||||
El Salvador—0.1% | ||||||||||||
El Salvador (Republic of) Bonds, 7.65%, 6/15/352 | 40,000 | 39,400 | ||||||||||
France—7.6% | ||||||||||||
France (Government of) Obligations Assimilables du Tresor Bonds: | ||||||||||||
3.25%, 4/25/16 | 815,000 | EUR | 1,078,673 | |||||||||
4%, 10/25/38 | 615,000 | EUR | 762,969 | |||||||||
France (Government of) Treasury Nts.: | ||||||||||||
3.75%, 1/12/13 | 985,000 | EUR | 1,371,662 | |||||||||
4.50%, 7/12/12 | 390,000 | EUR | 559,848 | |||||||||
3,773,152 | ||||||||||||
Germany—7.4% | ||||||||||||
Germany (Federal Republic of) Bonds: | ||||||||||||
Series 03, 3.75%, 7/4/13 | 955,000 | EUR | 1,345,656 | |||||||||
Series 05, 4%, 1/4/37 | 580,000 | EUR | 739,540 | |||||||||
Series 07, 4.25%, 7/4/17 | 1,085,000 | EUR | 1,553,976 | |||||||||
3,639,172 | ||||||||||||
Ghana—0.1% | ||||||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/172 | 40,000 | 38,000 | ||||||||||
Greece—1.2% | ||||||||||||
Greece (Republic of) Bonds, 4.60%, 5/20/13 | 435,000 | EUR | 612,437 | |||||||||
Guatemala—0.1% | ||||||||||||
Guatemala (Republic of) Nts., 10.25%, 11/8/11 | 30,000 | 33,450 | ||||||||||
Hungary—0.2% | ||||||||||||
Hungary (Republic of) Bonds, Series 12/C, 6%, 10/24/12 | 23,000,000 | HUF | 119,446 |
F2 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Principal | ||||||||||||
Amount | Value | |||||||||||
Indonesia—0.7% | ||||||||||||
Indonesia (Republic of) Nts.: | ||||||||||||
6.75%, 3/10/142 | $ | 35,000 | $ | 33,688 | ||||||||
6.90%, 1/17/182 | 80,000 | 73,062 | ||||||||||
7.25%, 4/20/152 | 80,000 | 77,800 | ||||||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/382 | 90,000 | 81,450 | ||||||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/352 | 85,000 | 83,088 | ||||||||||
349,088 | ||||||||||||
Israel—0.4% | ||||||||||||
Israel (State of) Bonds, 5.50%, 2/28/17 | 650,000 | ILS | 187,185 | |||||||||
Italy—1.7% | ||||||||||||
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4.70%, 7/1/091 | 580,000 | EUR | 817,420 | |||||||||
Japan—20.5% | ||||||||||||
Japan (Government of) Bonds: | ||||||||||||
2 yr., Series 269, 0.90%, 6/15/10 | 302,000,000 | JPY | 2,847,824 | |||||||||
5 yr., Series 72, 1.50%, 6/20/13 | 347,000,000 | JPY | 3,332,936 | |||||||||
10 yr., Series 279, 2%, 3/20/16 | 57,000,000 | JPY | 569,159 | |||||||||
10 yr., Series 282, 1.70%, 9/20/16 | 158,000,000 | JPY | 1,531,466 | |||||||||
20 yr., Series 61, 1%, 3/20/23 | 94,000,000 | JPY | 785,842 | |||||||||
20 yr., Series 73, 2%, 12/20/24 | 71,000,000 | JPY | 669,622 | |||||||||
20 yr., Series 75, 2.10%, 3/20/25 | 39,000,000 | JPY | 372,272 | |||||||||
10,109,121 | ||||||||||||
Mexico—2.5% | ||||||||||||
United Mexican States Bonds: | ||||||||||||
Series A, 6.375%, 1/16/13 | 300,000 | 309,150 | ||||||||||
Series M7, 8%, 12/24/081 | 6,190,000 | MXN | 565,499 | |||||||||
Series MI10, 8%, 12/19/13 | 2,670,000 | MXN | 240,153 | |||||||||
Series M20, 10%, 12/5/241 | 1,200,000 | MXN | 124,743 | |||||||||
1,239,545 | ||||||||||||
Nigeria—1.4% | ||||||||||||
Nigeria (Federal Republic of) Treasury Bills: | ||||||||||||
Series 364, 9.185%, 1/8/093 | 15,700,000 | NGN | 129,775 | |||||||||
Series 364, 9.167%, 2/5/093 | 12,700,000 | NGN | 103,887 | |||||||||
Series 364, 9.3%, 4/9/093 | 3,600,000 | NGN | 28,940 | |||||||||
Nigeria (Federal Republic of) Treasury Bonds: | ||||||||||||
Series 3Y, 9.23%, 5/25/12 | 14,900,000 | NGN | 120,984 | |||||||||
Series 3Y1S, 15%, 1/27/09 | 2,400,000 | NGN | 20,681 | |||||||||
Series 5 yr., 9.50%, 2/23/12 | 5,900,000 | NGN | 48,809 | |||||||||
Series 5Y, 9.50%, 8/31/12 | 16,000,000 | NGN | 129,575 | |||||||||
Series 10 yr., 9.35%, 8/31/17 | 12,600,000 | NGN | 89,989 | |||||||||
672,640 | ||||||||||||
Norway—0.1% | ||||||||||||
Norway (Kingdom of) Bonds, 6.50%, 5/15/13 | 415,000 | NOK | 77,021 |
F3 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Principal | ||||||||||||
Amount | Value | |||||||||||
Panama—0.7% | ||||||||||||
Panama (Republic of) Bonds: | ||||||||||||
6.70%, 1/26/36 | $ | 70,000 | $ | 66,500 | ||||||||
7.25%, 3/15/15 | 195,000 | 203,288 | ||||||||||
8.875%, 9/30/27 | 20,000 | 23,450 | ||||||||||
9.375%, 4/1/29 | 20,000 | 24,900 | ||||||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 30,000 | 30,900 | ||||||||||
349,038 | ||||||||||||
Peru—3.0% | ||||||||||||
Peru (Republic of) Bonds: | ||||||||||||
8.375%, 5/3/16 | 20,000 | 21,400 | ||||||||||
9.91%, 5/5/15 | 70,000 | PEN | 25,347 | |||||||||
Series 7, 8.60%, 8/12/17 | 780,000 | PEN | 264,296 | |||||||||
Series 8-1, 12.25%, 8/10/11 | 1,790,000 | PEN | 661,265 | |||||||||
Peru (Republic of) Certificates of Deposit: | ||||||||||||
3.925%, 10/20/083 | 261,000 | PEN | 87,073 | |||||||||
4.066%, 4/13/093 | 12,000 | PEN | 3,855 | |||||||||
4.163%, 7/9/093 | 392,000 | PEN | 123,466 | |||||||||
5.719%, 11/6/083 | 240,000 | PEN | 79,785 | |||||||||
5.72%, 1/5/093 | 603,000 | PEN | 198,079 | |||||||||
1,464,566 | ||||||||||||
Philippines—0.9% | ||||||||||||
Philippines (Republic of the) Unsec. Bonds, 9%, 2/15/13 | 405,000 | 447,525 | ||||||||||
Poland—0.6% | ||||||||||||
Poland (Republic of) Bonds, Series 0413, 5.25%, 4/25/13 | 690,000 | PLZ | 277,606 | |||||||||
Sweden—0.4% | ||||||||||||
Sweden (Kingdom of) Bonds, Series 1049, 4.50%, 8/12/15 | 1,305,000 | SEK | 196,584 | |||||||||
The Netherlands—0.5% | ||||||||||||
Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 | 80,000 | EUR | 116,464 | |||||||||
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 | 110,000 | EUR | 156,961 | |||||||||
273,425 | ||||||||||||
Turkey—4.3% | ||||||||||||
Turkey (Republic of) Bonds: | ||||||||||||
6.75%, 4/3/18 | 125,000 | 117,500 | ||||||||||
7%, 3/11/19 | 60,000 | 56,770 | ||||||||||
14%, 1/19/111 | 320,000 | TRY | 229,760 | |||||||||
15.861%, 10/7/093 | 390,000 | TRY | 257,053 | |||||||||
16%, 3/7/121 | 1,545,000 | TRY | 1,132,736 | |||||||||
18.199%, 1/13/103 | 210,000 | TRY | 131,548 | |||||||||
Series CPI, 12%, 8/14/13 | 20,000 | TRY | 16,227 | |||||||||
Turkey (Republic of) Nts., 7.25%, 3/15/15 | 175,000 | 174,563 | ||||||||||
2,116,157 |
F4 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Principal | ||||||||||||
Amount | Value | |||||||||||
Ukraine—0.5% | ||||||||||||
Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine, 8.625% Nts., 7/15/112 | $ | 90,000 | $ | 81,000 | ||||||||
Ukraine (Republic of) Unsec. Unsub. Nts., 6.875%, 3/4/11 | 180,000 | 167,059 | ||||||||||
248,059 | ||||||||||||
United Kingdom—4.0% | ||||||||||||
United Kingdom Gilt Bonds: | ||||||||||||
4.75%, 6/7/10 | 225,000 | GBP | 404,850 | |||||||||
5%, 3/7/12 | 205,000 | GBP | 374,495 | |||||||||
United Kingdom Treasury Bonds: | ||||||||||||
4.75%, 12/7/38 | 435,000 | GBP | 805,614 | |||||||||
5%, 3/7/18 | 215,000 | GBP | 398,446 | |||||||||
1,983,405 | ||||||||||||
Uruguay—0.3% | ||||||||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 135,000 | 135,675 | ||||||||||
Venezuela—0.8% | ||||||||||||
Venezuela (Republic of) Bonds: | ||||||||||||
9%, 5/7/23 | 165,000 | 113,025 | ||||||||||
9.25%, 9/15/27 | 115,000 | 86,078 | ||||||||||
Venezuela (Republic of) Nts., 10.75%, 9/19/13 | 75,000 | 69,188 | ||||||||||
Venezuela (Republic of) Unsec. Bonds, 7.65%, 4/21/25 | 175,000 | 105,875 | ||||||||||
374,166 | ||||||||||||
Total Foreign Government Obligations (Cost $35,189,590) | 33,850,458 | |||||||||||
Loan Participations—0.1% | ||||||||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 8.40% Sec. Nts., 2/9/164 (Cost $56,508) | 60,000 | 32,400 | ||||||||||
Corporate Bonds and Notes—15.1% | ||||||||||||
AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/152 | 55,000 | 45,375 | ||||||||||
Alrosa Finance SA, 8.875% Nts., 11/17/142 | 245,000 | 211,313 | ||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/262 | 67,433 | 58,836 | ||||||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 175,000 | EUR | 224,147 | |||||||||
Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 | 140,000 | EUR | 188,471 | |||||||||
Banco BMG SA, 9.15% Nts., 1/15/162 | 60,000 | 57,750 | ||||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/162 | 20,000 | 12,900 | ||||||||||
Banco Pine SA, 7.375% Sr. Unsec. Nts., 6/17/102 | 60,000 | 57,900 | ||||||||||
Bank of Scotland plc: | ||||||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 665,000 | EUR | 853,782 | |||||||||
4.50% Sr. Sec. Nts., 7/13/21 | 310,000 | EUR | 377,282 | |||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/182 | 80,000 | 73,200 | ||||||||||
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs.2,5 | 40,000 | 37,141 |
F5 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Principal | ||||||||||||
Amount | Value | |||||||||||
Corporate Bonds and Notes Continued | ||||||||||||
Coriolanus Ltd., 10.62% Sec. Nts., 8/10/104 | $ | 100,000 | $ | 40,000 | ||||||||
Depfa ACS Bank, 3.875% Sec. Nts., 11/14/16 | 35,000 | EUR | 44,542 | |||||||||
Eirles Two Ltd., 4.692% Sec. Nts., Series 335, 4/30/121,4 | 100,000 | 56,800 | ||||||||||
Exsportfinans ASA, 3.50% Nts., 2/11/111 | 1,010,000 | EUR | 1,255,002 | |||||||||
GAZ Capital SA, 7.51% Sec. Nts., 7/31/132 | 90,000 | 82,350 | ||||||||||
Gazprom Capital SA: | ||||||||||||
7.288% Sr. Unsec. Nts., 8/16/372 | 130,000 | 91,780 | ||||||||||
8.146% Sr. Unsec. Bonds, 4/11/182 | 90,000 | 78,300 | ||||||||||
8.625% Sr. Unsec. Nts., 4/28/342 | 85,000 | 79,027 | ||||||||||
GTL Trade Finance, Inc., 7.25% Sr. Unsec. Nts., 10/20/172 | 60,000 | 57,583 | ||||||||||
HSBK Europe BV: | ||||||||||||
7.25% Unsec. Unsub. Nts., 5/3/172 | 15,000 | 9,075 | ||||||||||
9.25% Sr. Nts., 10/16/132 | 170,000 | 130,050 | ||||||||||
ICICI Bank Ltd.: | ||||||||||||
6.375% Bonds, 4/30/221,2 | 70,000 | 48,359 | ||||||||||
6.625% Nts., 10/3/122 | 70,000 | 67,605 | ||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/242 | 76,833 | 81,443 | ||||||||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/192 | 110,000 | 110,298 | ||||||||||
Kazmunaigaz Finance Sub BV, 9.125% Nts., 7/2/182 | 90,000 | 76,950 | ||||||||||
Majapahit Holding BV, 7.75% Nts., 10/17/162 | 30,000 | 25,650 | ||||||||||
National Gas Co., 6.05% Nts., 1/15/362 | 40,000 | 34,908 | ||||||||||
National Power Corp.: | ||||||||||||
6.875% Nts., 11/2/162 | 20,000 | 18,450 | ||||||||||
9.625% Unsec. Bonds, 5/15/28 | 35,000 | 39,288 | ||||||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/262 | 40,000 | 33,800 | ||||||||||
Pemex Project Funding Master Trust, 6.625% Nts., 6/15/382 | 100,000 | 91,130 | ||||||||||
Petrobras International Finance Co., 5.785% Sr. Unsec. Nts., 3/1/18 | 120,000 | 109,590 | ||||||||||
Rabobank Nederland, 3% Nts., 3/11/111,4 | 770,000 | 706,235 | ||||||||||
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/182 | 30,000 | 22,926 | ||||||||||
Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/134 | 80,000 | 80,200 | ||||||||||
TGI International Ltd., 9.50% Nts., 10/3/172 | 60,000 | 60,000 | ||||||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/182 | 205,000 | 175,050 | ||||||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/182 | 130,000 | 101,002 | ||||||||||
VTB Capital SA: | ||||||||||||
6.875% Sr. Sec. Nts., 5/29/182 | 110,000 | 85,113 | ||||||||||
6.315% Sub. Unsec. Nts., 2/4/15 | 225,000 | 203,625 | ||||||||||
WM Covered Bond Program: | ||||||||||||
3.875% Sec. Nts., Series 1, 9/27/11 | 430,000 | EUR | 540,792 | |||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 525,000 | EUR | 606,795 | |||||||||
Total Corporate Bonds and Notes (Cost $8,492,454) | 7,441,815 |
F6 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Principal | ||||||||||||
Amount | Value | |||||||||||
Structured Securities—3.2% | ||||||||||||
Barclays Bank plc: | ||||||||||||
Custom Basket of African Currencies Cv. Unsec. Unsub. Nts., 10.25%, 5/15/092 | $ | 60,000 | $ | 60,966 | ||||||||
Custom Basket of African Currencies Cv. Unsec. Unsub. Nts., 10.25%, 5/7/092 | 60,000 | 61,170 | ||||||||||
Citibank NA, New York, Dominican Republic Credit Linked Nts., 14.218%, 5/11/093 | 1,120,000 | DOP | 29,014 | |||||||||
Citibank NA New York, Dominican Republic Credit Linked Nts., 12%, 2/22/112 | 410,000 | DOP | 10,225 | |||||||||
Citigroup Funding, Inc., Custom Basket of African Currencies Credit Linked Nts., 0%, 4/29/093 | 110,000 | 111,715 | ||||||||||
Citigroup Global Markets Holdings, Inc.: | ||||||||||||
Colombia (Republic of) Credit Linked Nts., 12.509%, 2/26/152 | 42,000,000 | COP | 35,511 | |||||||||
Colombia (Republic of) Credit Linked Nts., Series 01, 7%, 2/26/152 | 15,000,000 | COP | 12,682 | |||||||||
Colombia (Republic of) Credit Linked Nts., Series 02, 7%, 2/26/152 | 15,000,000 | COP | 12,682 | |||||||||
Dominican Republic Unsec. Credit Linked Nts., 12.047%, 2/23/093 | 1,000,000 | COP | 26,822 | |||||||||
Dominican Republic Unsec. Credit Linked Nts., 13.182%, 2/23/093 | 1,800,000 | DOP | 48,280 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 5.765%, 2/5/093 | 410,000 | EGP | 71,597 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.089%, 3/5/093 | 270,000 | EGP | 46,671 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.529%, 3/26/093 | 350,000 | EGP | 60,043 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.641%, 2/19/093 | 370,000 | EGP | 64,283 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.01%, 10/30/083 | 250,000 | EGP | 45,280 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.812%, 4/16/093 | 140,000 | EGP | 23,837 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.981%, 4/2/093 | 160,000 | EGP | 27,379 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 8%, 4/2/093 | 280,000 | EGP | 47,914 | |||||||||
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 6.267%, 3/26/093 | 350,000 | EGP | 60,043 | |||||||||
Nigeria (Federal Republic of) Credit Linked Nts., 11.647%, 10/15/083 | 7,000,000 | NGN | 59,260 | |||||||||
Nigeria (Federal Republic of) Unsec. Credit Linked Nts., 6.211%, 3/10/093 | 2,400,000 | NGN | 19,904 | |||||||||
Zambia (Republic of) Credit Linked Nts., 11.399%, 6/11/093 | 40,000,000 | ZMK | 10,244 | |||||||||
Zimbabwe (Republic of) Credit Linked Nts., 10.076%, 11/26/083 | 40,000,000 | ZMK | 11,012 | |||||||||
Zimbabwe (Republic of) Credit Linked Nts., 10.717%, 3/4/093 | 80,000,000 | ZMK | 21,257 | |||||||||
Zimbabwe (Republic of) Credit Linked Nts., 10.793%, 2/25/093 | 80,000,000 | ZMK | 21,206 | |||||||||
Deutsche Bank AG: | ||||||||||||
Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 | 600,000,000 | IDR | 56,000 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 1A, 10.65%, 8/4/141,4 | 140,000 | MXN | 12,801 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 1B, 10.65%, 8/4/141,4 | 28,000 | MXN | 2,560 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 1C, 10.65%, 9/24/141,4 | 46,667 | MXN | 4,267 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 12.15%, 5/22/151,4 | 13,359 | MXN | 1,222 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 12.15%, 5/22/151,4 | 23,372 | MXN | 2,137 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 12.15%, 5/22/151,4 | 352,393 | MXN | 32,222 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 12.15%, 8/4/141,4 | 25,682 | MXN | 2,348 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 12.15%, 5/20/151,4 | 18,658 | MXN | 1,706 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 12.15%, 5/22/121,4 | 11,916 | MXN | 1,090 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 12.15%, 5/22/151,4 | 2,194 | MXN | 201 | |||||||||
Rosselkhozbank Total Return Linked Nts., 7.919%, 3/20/093 | 500,000 | RUR | 18,299 | |||||||||
Rosselkhozbank Total Return Linked Nts., 7.949%, 1/15/093 | 950,000 | RUR | 35,576 |
F7 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Principal | ||||||||||||
Amount | Value | |||||||||||
Structured Securities Continued | ||||||||||||
Hallertau SPC Segregated Portfolio, Brazil (Federal Republic of) Credit Linked Nts., Series 2008-01, 9.888%, 8/2/103,4,6,7 | 274,389 | BRR | $ | 31,925 | ||||||||
JPMorgan Chase Bank NA London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/212 | 490,000,000 | IDR | 49,856 | |||||||||
Lehman Brothers Treasury Co. BU, Brazil (Federal Republic of) Credit Linked Nts., 6.357%, 4/20/112,3 | 251,363 | BRR | 112,721 | |||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||
Ukraine (Republic of) Credit Linked Nts., 4.511%, 10/15/171,2 | 100,000 | 58,000 | ||||||||||
VimpelCom Total Return Linked Nts., 9.05%, 7/19/131 | 300,000 | RUR | 11,691 | |||||||||
UBS AG: | ||||||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.298%, 4/29/092,3 | 260,000 | EGP | 44,427 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.449%, 11/26/082,3 | 270,000 | EGP | 48,390 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.808%, 4/15/092,3 | 140,000 | EGP | 24,015 | |||||||||
Egypt (The Arab Republic of) Credit Linked Nts., Series 2, 7.54%, 4/22/092,3 | 140,000 | EGP | 23,989 | |||||||||
Total Structured Securities (Cost $1,793,758) | 1,574,440 |
Expiration | Strike | |||||||||||||||||||
Date | Price | Contracts | ||||||||||||||||||
Options Purchased—0.0% | ||||||||||||||||||||
Brazilian Real (BRR) Call6 | 10/6/08 | 1.664 | BRR | 650,000 | 391 | |||||||||||||||
Brazilian Real (BRR) Call6 | 10/9/08 | 1.719 | BRR | 685,000 | 154 | |||||||||||||||
Brazilian Real (BRR) Call6 | 12/9/08 | 1.714 | BRR | 330,000 | 802 | |||||||||||||||
Japanese Yen (JPY) Call6 | 10/9/08 | 104.20 | JPY | 41,000,000 | 3,128 | |||||||||||||||
Total Options Purchased (Cost $8,831) | 4,475 |
Exercise | Notional | |||||||||||||||
Date | Amount | |||||||||||||||
Swaptions Purchased—0.0% | ||||||||||||||||
J Aron & Co., Swap Counterparty, Interest Rate Swap call option; Swap Terms-Receive fixed rate of 9.32% and pay floating rate based on 28 day MXN TIIE BANXICO; terminating 5/31/208 (Cost $6,335) | 6/11/09 | 2,235,000 | MXN | 8,845 | ||||||||||||
Shares | ||||||||||||||||
Investment Company—0.6% | ||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 3.15%9,10 (Cost $296,523) | 296,523 | 296,523 |
F8 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Short-Term Notes—14.6% | ||||||||
Federal Home Loan Bank, 2.68%, 1/30/0911 | $ | 1,000,000 | $ | 990,572 | ||||
Federal National Mortgage Assn., 2.71%, 2/23/0912,13,14 | 6,300,000 | 6,225,780 | ||||||
Total Short-Term Notes (Cost $7,223,241) | 7,216,352 | |||||||
Total Investments, at Value (Cost $53,067,240) | 102.3 | % | 50,425,308 | |||||
Liabilities in Excess of Other Assets | (2.3 | ) | (1,143,731 | ) | ||||
Net Assets | 100.0 | % | $ | 49,281,577 | ||||
Industry classifications are unaudited.
Footnotes to Statement of Investments
Principal/notional amount is reported in U.S. Dollars, except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NGN | Nigeria Naira | |
NOK | Norwegian Krone | |
PEN | Peruvian New Sol | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
ZMK | Zambian Kwacha |
Swaption Purchased abbreviation is as follows:
MXN-TIIE-BANXICO Mexican Nuevo Peso-Interbank Equilibrium Interest Rate-Banco de Mexico
1. | Represents the current interest rate for a variable or increasing rate security. | |
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 $3,341,870 or 6.78% of the Fund’s net assets as of September 30, 2008. | |
3. | Zero coupon bond reflects effective yield on the date of purchase. | |
4. | Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2008 was $1,008,114, which represents 2.05% of the Fund’s net assets, of which $60,554 is considered restricted. See Note 9 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2F, 12.15%, 5/22/12 | 8/8/08 | $ | 1,173 | $ | 1,090 | $ | 83 | |||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 1A, 10.65%, 8/4/14 | 12/27/07 | 12,866 | 12,801 | 65 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2A, 12.15%, 5/22/15 | 5/21/08 | 1,288 | 1,222 | 66 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2E, 12.15%, 5/20/15 | 7/15/08 | 1,812 | 1,706 | 106 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 1C, 10.65%, 9/24/14 | 8/12/08 | 4,592 | 4,267 | 325 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2C, 12.15%, 5/22/15 | 6/18/08 | 34,188 | 32,222 | 1,966 |
F9 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Acquisition | Unrealized | |||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2D, 12.15%, 8/4/14 | 7/8/08 | $ | 2,490 | $ | 2,348 | $ | 142 | |||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2B, 12.15%, 5/22/15 | 6/12/08 | 2,253 | 2,137 | 116 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 1B, 10.65%, 8/4/14 | 6/12/08 | 2,699 | 2,560 | 139 | ||||||||||
Deutsche Bank AG, Opic Reforma I Credit linked Nts., Cl. 2G, 12.15%, 5/22/15 | 8/22/08 | 216 | 201 | 15 | ||||||||||
$ | 63,577 | $ | 60,554 | $ | 3,023 | |||||||||
5. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
6. | Non-income producing security. | |
7. | Issue is in default. See Note 1 of accompanying Notes. | |
8. | Swap contract terms if the option was exercised on exercise date. | |
9. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Shares | |||||||||||||
September 30, | Gross | Gross | September 30, | |||||||||||
2007 | Additions | Reductions | 2008 | |||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 21,228,294 | 78,344,236 | 99,276,007 | 296,523 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 296,523 | $ | 188,403 |
10. | Rate shown is the 7-day yield as of September 30, 2008. | |
11. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $485,380. See Note 6 of accompanying Notes. | |
12. | A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See Note 5 of accompanying Notes. | |
13. | A sufficient amount of liquid assets has been designated to cover outstanding written call options. See Note 7 of accompanying Notes. | |
14. | A sufficient amount of liquid assets has been designated to cover outstanding written put options. See Note 7 of accompanying Notes. |
F10 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Foreign Currency Exchange Contracts as of September 30, 2008 are as follows:
Contract | |||||||||||||||||||||||||||||
Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | |||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 2,244 | AUD | 10/8/08-11/3/08 | $ | 1,771,962 | $ | 30,540 | $ | — | |||||||||||||||||||
Australian Dollar (AUD) | Buy | 300 | AUD | 10/8/08 | 237,024 | — | 4,257 | ||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 260 | BRR | 11/4/08 | 135,615 | — | 1,039 | ||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 3,606 | BRR | 11/4/08-12/31/09 | 1,880,134 | — | 76,306 | ||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 799 | GBP | 10/1/08-1/16/09 | 1,422,466 | 64,647 | 223 | ||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 14 | GBP | 10/1/08-10/2/08 | 24,890 | — | 958 | ||||||||||||||||||||||
Canadian Dollar (CAD) | Sell | 3,290 | CAD | 10/6/08-10/31/08 | 3,094,142 | 29,153 | 2,463 | ||||||||||||||||||||||
Canadian Dollar (CAD) | Buy | 190 | CAD | 10/10/08 | 178,640 | — | 2,261 | ||||||||||||||||||||||
Chilean Peso (CLP) | Buy | 170,000 | CLP | 10/22/08-11/12/08 | 307,022 | — | 10,647 | ||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 2,830 | CNY | 5/13/09-9/2/09 | 407,952 | — | 20,761 | ||||||||||||||||||||||
Colombian Peso (COP) | Sell | 1,571,000 | COP | 11/4/08 | 713,294 | 12,643 | — | ||||||||||||||||||||||
Czech Koruna (CZK) | Sell | 48 | CZK | 12/31/09 | 2,775 | 148 | — | ||||||||||||||||||||||
Euro (EUR) | Sell | 5,205 | EUR | 10/1/08-1/29/09 | 7,336,834 | 614,924 | — | ||||||||||||||||||||||
Euro (EUR) | Buy | 4,850 | EUR | 10/1/08-1/16/09 | 6,838,639 | — | 496,209 | ||||||||||||||||||||||
Hungarian Forint (HUF) | Sell | 43,086 | HUF | 11/12/08-12/31/09 | 249,614 | 43 | 2,697 | ||||||||||||||||||||||
Hungarian Forint (HUF) | Buy | 30,000 | HUF | 12/2/08 | 173,714 | — | 604 | ||||||||||||||||||||||
Indian Rupee (INR) | Sell | 16,300 | INR | 10/20/08-11/3/08 | 347,100 | 737 | 1,582 | ||||||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 6,025,000 | IDR | 10/14/08-12/19/08 | 622,932 | 552 | 13,690 | ||||||||||||||||||||||
Israeli Shekel (ILS) | Sell | 360 | ILS | 10/3/08-10/30/08 | 103,649 | — | 3,497 | ||||||||||||||||||||||
Japanese Yen (JPY) | Sell | 94,000 | JPY | 10/1/08-1/16/09 | 894,806 | 341 | 10,919 | ||||||||||||||||||||||
Japanese Yen (JPY) | Buy | 499,000 | JPY | 10/1/08-3/10/09 | 4,729,127 | 40,188 | 45,555 | ||||||||||||||||||||||
Kuwaiti Dinar (KWD) | Buy | 14 | KWD | 1/29/09 | 52,103 | — | 97 | ||||||||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 540 | MYR | 10/14/08 | 157,097 | — | 1,100 | ||||||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 535 | MYR | 10/10/08 | 155,576 | — | 13,193 | ||||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 2,700 | MXN | 10/6/08 | 246,681 | 6,912 | — | ||||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 1,800 | MXN | 11/24/08 | 163,418 | — | 12,224 | ||||||||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 24,000 | TWD | 10/31/08-12/2/08 | 744,850 | 6,117 | 812 | ||||||||||||||||||||||
New Turkish Lira (TRY) | Sell | 720 | TRY | 10/20/08 | 563,451 | — | 7,488 | ||||||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 395 | NZD | 10/10/08-10/22/08 | 263,594 | 3,689 | — | ||||||||||||||||||||||
New Zealand Dollar (NZD) | Buy | 2,100 | NZD | 10/31/08-1/16/09 | 1,389,739 | — | 115,332 | ||||||||||||||||||||||
Norwegian Krone (NOK) | Sell | 625 | NOK | 10/10/08 | 106,311 | 15,656 | — | ||||||||||||||||||||||
Norwegian Krone (NOK) | Buy | 11,265 | NOK | 10/6/08-1/16/09 | 1,909,874 | — | 129,835 | ||||||||||||||||||||||
Peruvian New Sol (PEN) | Sell | 1,539 | PEN | 11/5/08-1/7/09 | 513,807 | 20,238 | 461 | ||||||||||||||||||||||
Peruvian New Sol (PEN) | Buy | 386 | PEN | 11/5/08 | 129,095 | — | 7,784 | ||||||||||||||||||||||
Philippines Peso (PHP) | Buy | 12,000 | PHP | 10/17/08 | 255,077 | 3,710 | 142 | ||||||||||||||||||||||
Polish Zloty (PLZ) | Sell | 3,781 | PLZ | 10/2/08-12/31/09 | 1,566,069 | 11,135 | 7,327 | ||||||||||||||||||||||
Polish Zloty (PLZ) | Buy | 2,900 | PLZ | 10/2/08-10/30/08 | 1,202,152 | 2,002 | 103,637 | ||||||||||||||||||||||
Qatari Riyal (QAR) | Buy | 180 | QAR | 1/29/09 | 49,613 | — | 1,698 | ||||||||||||||||||||||
Russian Ruble (RUR) | Sell | 8,940 | RUR | 9/18/09-9/21/09 | 335,440 | 1,130 | 1,027 | ||||||||||||||||||||||
Russian Ruble (RUR) | Buy | 13,330 | RUR | 10/15/08-11/19/08 | 516,144 | 70 | 27,005 | ||||||||||||||||||||||
Saudi Riyal (SAR) | Buy | 190 | SAR | 1/29/09 | 50,630 | — | 826 | ||||||||||||||||||||||
Singapore Dollar (SGD) | Buy | 1,730 | SGD | 10/10/08-10/31/08 | 1,205,373 | — | 9,659 | ||||||||||||||||||||||
South African Rand (ZAR) | Sell | 1,600 | ZAR | 10/20/08 | 192,233 | 10,049 | — | ||||||||||||||||||||||
South African Rand (ZAR) | Buy | 77 | ZAR | 12/31/09 | 8,542 | — | 851 |
F11 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts Continued
Contract | ||||||||||||||||||||||||||||
Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||||
South Korean Won (KRW) | Sell | 328,000 | KRW | 10/31/08 | $ | 273,011 | $ | 5,209 | $ | 1,355 | ||||||||||||||||||
Swedish Krona (SEK) | Sell | 4,470 | SEK | 1/16/09 | 645,774 | 78,288 | — | |||||||||||||||||||||
Swedish Krona (SEK) | Buy | 745 | SEK | 10/10/08 | 107,634 | — | 15,956 | |||||||||||||||||||||
Swiss Franc (CHF) | Sell | 14 | CHF | 10/8/08 | 12,466 | 154 | — | |||||||||||||||||||||
Swiss Franc (CHF) | Buy | 2,865 | CHF | 10/10/08-3/30/09 | 2,554,739 | — | 108,058 | |||||||||||||||||||||
Ukraine Hryvnia (UAH) | Buy | 850 | UAH | 10/17/08-1/28/09 | 165,051 | — | 6,908 | |||||||||||||||||||||
United Arab Emirates Dirham (AED) | Buy | 190 | AED | 1/29/09 | 51,743 | — | 1,404 | |||||||||||||||||||||
Vietnam Dong (VND) | Buy | 820,000 | VND | 1/30/09 | 46,833 | — | 4,771 | |||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 958,275 | $ | 1,272,618 | ||||||||||||||||||||||||
Futures Contracts as of September 30, 2008 are as follows:
Unrealized | ||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||
Canadian Bond, 10 yr. | Buy | 13 | 12/18/08 | $ | 1,431,252 | $ | (18,797 | ) | ||||||||||
DAX Index | Sell | 2 | 12/19/08 | 414,455 | 9,108 | |||||||||||||
Euro-Bundesobligation, 5 yr. | Buy | 1 | 12/8/08 | 154,456 | 979 | |||||||||||||
Euro-Bundesobligation, 10 yr. | Buy | 17 | 12/8/08 | 2,753,917 | 9,213 | |||||||||||||
Euro-Bundesobligation, 10 yr. | Sell | 28 | 12/8/08 | 4,535,864 | (16,888 | ) | ||||||||||||
Euro-Schatz | Sell | 8 | 12/8/08 | 1,175,566 | (8,918 | ) | ||||||||||||
Japan (Government of) Bonds, 10 yr. | Sell | 22 | 12/10/08 | 2,840,525 | 12,816 | |||||||||||||
OMXS30 Index | Sell | 37 | 10/17/08 | 414,285 | 15,310 | |||||||||||||
Standard & Poor’s 500 E-Mini Index | Buy | 8 | 12/19/08 | 466,960 | (11,591 | ) | ||||||||||||
Standard & Poor’s/Toronto Stock Exchange 60 Index | Buy | 3 | 12/18/08 | 399,211 | (32,652 | ) | ||||||||||||
U.S. Long Bonds, 20 yr. | Buy | 16 | 12/19/08 | 1,874,750 | (8,160 | ) | ||||||||||||
U.S. Treasury Nts., 5 yr. | Buy | 9 | 12/31/08 | 1,010,109 | 3,302 | |||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 16 | 12/19/08 | 1,834,000 | 14,248 | |||||||||||||
U.S. Treasury Nts., 10 yr | Buy | 71 | 12/19/08 | 8,138,375 | (189,082 | ) | ||||||||||||
$ | (221,112 | ) | ||||||||||||||||
F12 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Written Options as of September 30, 2008 are as follows:
Number of | Exercise | Expiration | Premiums | |||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | ||||||||||||||||||
British Pound Sterling (GBP) | Put | 9,000 | $ | 1.810 | 10/7/08 | $ | 162 | $ | (162 | ) | ||||||||||||||
British Pound Sterling (GBP) | Put | 9,000 | 1.856 | 10/1/08 | 122 | (708 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Put | 9,000 | 1.807 | 10/6/08 | 153 | (150 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Put | 9,000 | 1.858 | 10/2/08 | 134 | (751 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Put | 8,000 | 1.841 | 10/3/08 | 130 | (525 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Call | 9,000 | 1.810 | 10/7/08 | 162 | (162 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Call | 9,000 | 1.856 | 10/1/08 | 122 | — | ||||||||||||||||||
British Pound Sterling (GBP) | Call | 9,000 | 1.807 | 10/6/08 | 153 | (150 | ) | |||||||||||||||||
British Pound Sterling (GBP) | Call | 9,000 | 1.858 | 10/2/08 | 134 | — | ||||||||||||||||||
British Pound Sterling (GBP) | Call | 8,000 | 1.841 | 10/3/08 | 130 | (2 | ) | |||||||||||||||||
Euro (EUR) | Put | 35,000 | 1.472 | 10/1/08 | 426 | (2,350 | ) | |||||||||||||||||
Euro (EUR) | Put | 35,000 | 1.433 | 10/7/08 | 553 | (553 | ) | |||||||||||||||||
Euro (EUR) | Put | 35,000 | 1.438 | 10/6/08 | 514 | (555 | ) | |||||||||||||||||
Euro (EUR) | Put | 35,000 | 1.469 | 10/2/08 | 453 | (2,217 | ) | |||||||||||||||||
Euro (EUR) | Put | 30,000 | 1.464 | 10/3/08 | 436 | (1,762 | ) | |||||||||||||||||
Euro (EUR) | Call | 35,000 | 1.472 | 10/1/08 | 426 | — | ||||||||||||||||||
Euro (EUR) | Call | 35,000 | 1.433 | 10/7/08 | 553 | (553 | ) | |||||||||||||||||
Euro (EUR) | Call | 35,000 | 1.438 | 10/6/08 | 514 | (554 | ) | |||||||||||||||||
Euro (EUR) | Call | 35,000 | 1.469 | 10/2/08 | 453 | — | ||||||||||||||||||
Euro (EUR) | Call | 30,000 | 1.464 | 10/3/08 | 436 | (17 | ) | |||||||||||||||||
Japanese Yen (JPY) | Put | 4,000,000 | 105.000 | 10/3/08 | 437 | (617 | ) | |||||||||||||||||
Japanese Yen (JPY) | Put | 4,000,000 | 105.050 | 10/7/08 | 441 | (441 | ) | |||||||||||||||||
Japanese Yen (JPY) | Put | 4,000,000 | 105.750 | 10/1/08 | 355 | (335 | ) | |||||||||||||||||
Japanese Yen (JPY) | Put | 3,000,000 | 105.850 | 10/6/08 | 290 | (390 | ) | |||||||||||||||||
Japanese Yen (JPY) | Put | 3,000,000 | 105.900 | 10/2/08 | 278 | (270 | ) | |||||||||||||||||
Japanese Yen (JPY) | Call | 4,000,000 | 105.000 | 10/3/08 | 437 | (161 | ) | |||||||||||||||||
Japanese Yen (JPY) | Call | 4,000,000 | 105.050 | 10/7/08 | 441 | (441 | ) | |||||||||||||||||
Japanese Yen (JPY) | Call | 4,000,000 | 105.750 | 10/1/08 | 355 | (73 | ) | |||||||||||||||||
Japanese Yen (JPY) | Call | 3,000,000 | 105.850 | 10/6/08 | 290 | (238 | ) | |||||||||||||||||
Japanese Yen (JPY) | Call | 3,000,000 | 105.900 | 10/2/08 | 278 | (125 | ) | |||||||||||||||||
$ | 9,768 | $ | (14,262 | ) | ||||||||||||||||||||
F13 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Credit Default Swaps Contracts as of September 30, 2008 are as follows:
Buy/Sell | Notional | Pay/ | ||||||||||||||||||
Swap | Reference | Credit | Amount | Receive | Termination | |||||||||||||||
Counterparty | Entity | Protection | (000s) | Fixed Rate | Date | Value | ||||||||||||||
Citibank NA, New York: | ||||||||||||||||||||
Pakistan | Sell | $ | 30 | 5.10 | % | 3/20/13 | $ | (6,490 | ) | |||||||||||
Ukraine | Buy | 60 | 6.65 | 10/20/13 | (5 | ) | ||||||||||||||
(6,495 | ) | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||
Development Bank of Kazakhstan | Sell | 90 | 3.75 | 2/20/13 | (9,675 | ) | ||||||||||||||
Joint Stock Co. “Halyk Bank of Kazakhstan” | Sell | 20 | 4.95 | 3/20/13 | (3,362 | ) | ||||||||||||||
(13,037 | ) | |||||||||||||||||||
Deutsche Bank AG: | ||||||||||||||||||||
Federal Republic of Brazil | Sell | 60 | 1.05 | 7/20/13 | (2,166 | ) | ||||||||||||||
Federal Republic of Brazil | Sell | 100 | 1.21 | 8/20/13 | (1,304 | ) | ||||||||||||||
Republic of Peru | Sell | 40 | 1.23 | 8/20/13 | (802 | ) | ||||||||||||||
(4,272 | ) | |||||||||||||||||||
Goldman Sachs Capital Markets LP: | ||||||||||||||||||||
Federal Republic of Brazil | Sell | 50 | 1.06 | 7/20/13 | (1,784 | ) | ||||||||||||||
Federal Republic of Brazil | Sell | 100 | 1.21 | 8/20/13 | (1,304 | ) | ||||||||||||||
JSC VTB Bank | Buy | 50 | 7.40 | 5/28/13 | 7 | |||||||||||||||
Republic of Colombia | Sell | 40 | 1.43 | 8/20/13 | (770 | ) | ||||||||||||||
Republic of Turkey | Sell | 30 | 2.56 | 8/20/13 | (332 | ) | ||||||||||||||
Ukraine | Sell | 70 | 3.95 | 8/20/13 | (6,358 | ) | ||||||||||||||
Ukraine | Buy | 50 | 4.22 | 8/20/13 | 4,055 | |||||||||||||||
(6,486 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch: | ||||||||||||||||||||
Federal Republic of Brazil | Sell | 100 | 1.21 | 8/20/13 | (1,304 | ) | ||||||||||||||
Republic of Turkey | Sell | 30 | 2.56 | 8/20/13 | (332 | ) | ||||||||||||||
Republic of Turkey | Sell | 50 | 2.64 | 8/20/13 | (387 | ) | ||||||||||||||
Republic of Turkey | Sell | 40 | 2.68 | 9/20/13 | (414 | ) | ||||||||||||||
(2,437 | ) | |||||||||||||||||||
Merrill Lynch International | Ukraine | Buy | 50 | 4.30 | 8/20/13 | 3,910 | ||||||||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||||||||||
Frangosul SA Agro Avicola | Sell | 100 | 6.00 | 8/29/13 | 421 | |||||||||||||||
Joint Stock Co. “Halyk Bank of Kazakhstan” | Sell | 40 | 4.78 | 3/20/13 | (6,921 | ) | ||||||||||||||
Joint Stock Co. “Halyk Bank of Kazakhstan” | Sell | 40 | 4.88 | 3/20/13 | (6,804 | ) | ||||||||||||||
Republic of Turkey | Buy | 50 | 2.67 | 9/20/13 | 538 | |||||||||||||||
Yasar | Sell | 20 | 8.75 | 6/20/10 | 548 | |||||||||||||||
Yasar | Sell | 20 | 8.50 | 10/20/09 | 613 | |||||||||||||||
(11,605 | ) | |||||||||||||||||||
UBS AG: | ||||||||||||||||||||
Bolivarian Republic of Venezuela | Sell | 50 | 6.05 | 8/20/13 | (2,353 | ) | ||||||||||||||
Republic of The Philippines | Sell | 230 | 2.50 | 6/20/17 | (12,517 | ) | ||||||||||||||
Ukraine | Sell | 70 | 3.95 | 8/20/13 | (6,358 | ) | ||||||||||||||
Ukraine | Buy | 40 | 4.18 | 8/20/13 | 3,301 | |||||||||||||||
(17,927 | ) | |||||||||||||||||||
$ | (58,349 | ) | ||||||||||||||||||
F14 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Interest Rate Swap Contracts as of September 30, 2008 are as follows:
Swap | Notional | Paid by | Received by | Termination | ||||||||||||||||||||
Counterparty | Amount | the Fund | the Fund | Date | Value | |||||||||||||||||||
Banco Santander SA, Inc.: | ||||||||||||||||||||||||
1,080,000 | MXN | MXN TIIE BANXICO | 8.570 | % | 5/3/18 | $ | (2,872 | ) | ||||||||||||||||
500,000 | MXN | MXN TIIE BANXICO | 8.645 | 5/17/18 | (1,107 | ) | ||||||||||||||||||
110,000 | BRR | BZDI | 13.550 | 1/2/17 | (838 | ) | ||||||||||||||||||
(4,817 | ) | |||||||||||||||||||||||
Barclays Bank plc: | ||||||||||||||||||||||||
21,000,000 | HUF | Six-Month HUF BUBOR Reuters | 7.820 | 9/19/13 | 21 | |||||||||||||||||||
490,000 | EUR | Six-Month EUR EURIBOR | 4.688 | 9/17/18 | (1,579 | ) | ||||||||||||||||||
490,000 | EUR | Six-Month EUR EURIBOR | 4.703 | 9/17/18 | (767 | ) | ||||||||||||||||||
670,000 | 4.228 | % | Three-Month USD BBA LIBOR | 9/17/18 | 3,897 | |||||||||||||||||||
670,000 | 4.225 | Three-Month USD BBA LIBOR | 9/17/18 | 4,033 | ||||||||||||||||||||
490,000 | EUR | Six-Month EUR EURIBOR | 4.6700 | 9/18/18 | (2,561 | ) | ||||||||||||||||||
670,000 | 4.035 | Three-Month USD BBA LIBOR | 9/18/18 | 14,486 | ||||||||||||||||||||
17,530 | ||||||||||||||||||||||||
Citibank NA, New York | 4,000,000 | CZK | Six-Month CZK PRIBOR PRBO | 3.560 | 9/27/10 | 402 | ||||||||||||||||||
Deutsche Bank AG: | ||||||||||||||||||||||||
760,000 | NZD | Three-Month NZD BBR FRA | 6.910 | 9/10/18 | (9,973 | ) | ||||||||||||||||||
490,000 | EUR | Six-Month EUR EURIBOR | 4.669 | 9/18/18 | (2,615 | ) | ||||||||||||||||||
670,000 | 3.980 | Three-Month USD BBA LIBOR | 9/18/18 | 15,133 | ||||||||||||||||||||
2,800,000 | SEK | Three-Month SEK STIBOR SIDE | 5.110 | 7/16/18 | 15,881 | |||||||||||||||||||
18,426 | ||||||||||||||||||||||||
Goldman Sachs Capital Markets LP | 1,320,000 | MXN | MXN TIIE | 8.140 | 1/10/18 | (582 | ) | |||||||||||||||||
Goldman Sachs International: | ||||||||||||||||||||||||
2,800,000 | SEK | Three-Month SEK STIBOR SIDE | 5.080 | 7/17/18 | 11,097 | |||||||||||||||||||
360,000 | PLZ | Six-Month PLZ WIBOR WIBO | 6.140 | 8/26/10 | (148 | ) | ||||||||||||||||||
40,000 | BRR | BZDI | 14.100 | 1/2/17 | 8 | |||||||||||||||||||
3,000,000 | SEK | Three-Month SEK STIBOR SIDE | 4.840 | 8/21/18 | 7,320 | |||||||||||||||||||
18,277 | ||||||||||||||||||||||||
J Aron & Co.: | ||||||||||||||||||||||||
110,000 | BRR | BZDI | 14.160 | 1/2/17 | 65 | |||||||||||||||||||
2,800,000 | BRR | BZDI | 12.770 | 1/4/10 | (11,746 | ) | ||||||||||||||||||
1,700,000 | BRR | BZDI | 13.000 | 1/2/15 | (22,060 | ) | ||||||||||||||||||
110,000 | BRR | BZDI | 13.670 | 1/2/17 | (838 | ) | ||||||||||||||||||
210,000 | BRR | BZDI | 13.100 | 1/2/17 | (3,386 | ) |
F15 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts Continued
Swap | Notional | Paid by | Received by | Termination | |||||||||
Counterparty | Amount | the Fund | the Fund | Date | Value | ||||||||
J Aron & Co.: Continued | |||||||||||||
2,000,000 BRR | BZDI | 11.460 | % | 1/2/12 | $ | (62,061 | ) | ||||||
100,000 BRR | BZDI | 14.300 | 1/2/17 | 274 | |||||||||
(99,752 | ) | ||||||||||||
JPMorgan Chase Bank NA: | |||||||||||||
515,000 MXN | MXN TIIE BANXICO | 9.320 | 6/1/18 | 1,035 | |||||||||
11,000,000 HUF | Six-Month HUF BUBOR Reuters | 7.880 | 8/12/13 | 40 | |||||||||
5,650,000 MXN | One-Month MXN TIIE BANXICO | 8.369 | 4/23/18 | (20,553 | ) | ||||||||
3,000,000 CZK | Six-Month CZK PRIBOR PRBO | 3.560 | 9/12/10 | 257 | |||||||||
10,000,000 HUF | Six-Month HUF BUBOR Reuters | 7.890 | 9/12/13 | 11 | |||||||||
4,200,000 CZK | Six-Month CZK PRIBOR PRBO | 3.470 | 9/18/10 | (34 | ) | ||||||||
22,000,000 HUF | Six-Month HUF BUBOR Reuters | 8.480 | 6/6/13 | 2,013 | |||||||||
16,500,000 TWD | 2.685 | % | Three-Month TWD Telerate | 9/8/18 | (354 | ) | |||||||
2,000,000 ZAR | 9.705 | Three-Month ZAR JIBAR SAFEX | 8/4/18 | (3,760 | ) | ||||||||
240,000 PLZ | Six-Month PLZ WIBOR WIBO | 6.040 | 8/8/13 | 1,337 | |||||||||
(20,008 | ) | ||||||||||||
Merrill Lynch Capital Services, Inc. | 710,000 MXN | MXN TIIE BANXICO | 8.570 | 5/11/18 | (1,888 | ) | |||||||
Morgan Stanley: | |||||||||||||
90,000 BRR | BZDI | 14.880 | 1/2/17 | 670 | |||||||||
90,000 BRR | BZDI | 14.860 | 1/2/17 | 628 | |||||||||
1,298 | |||||||||||||
Morgan Stanley Capital Services, Inc.: | |||||||||||||
790,000 EUR | 4.713 | Six-Month EURIBOR | 8/22/17 | (7,160 | ) | ||||||||
8,600,000 NOK | 4.985 | Six-Month NOK NIBOR NIBR | 1/18/11 | 281 | |||||||||
3,420,000 SEK | Three-Month SEK STIBOR SIDE | 4.260 | 1/18/11 | 4,701 | |||||||||
360,000 EUR | Six-Month EUR EURIBOR | 3.996 | 1/18/11 | 470 | |||||||||
590,000 CHF | Six-Month CHF BBA LIBOR | 2.660 | 1/18/11 | 5,765 | |||||||||
60,000 BRR | BZDI | 13.930 | 1/2/17 | (458 | ) | ||||||||
3,599 | |||||||||||||
UBS AG: | |||||||||||||
1,000,000 ILS | 5.010 | Three-Month ILS TELBOR01 | 8/28/10 | 403 | |||||||||
250,000 ILS | Three-Month ILS TELBOR01 | 5.880 | 8/28/10 | 281 |
F16 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Interest Rate Swap Contracts Continued
Swap | Notional | Paid by | Received by | Termination | ||||||||||||||||
Counterparty | Amount | the Fund | the Fund | Date | Value | |||||||||||||||
UBS AG: Continued | ||||||||||||||||||||
1,050,000 ILS | 5.020 | % | Three-Month ILS TELBOR01 | 9/4/10 | $ | 466 | ||||||||||||||
250,000 ILS | Three-Month ILS TELBOR01 | 5.850 | 9/4/18 | 349 | ||||||||||||||||
2,000,000 ZAR | 9.740 | Three-Month ZAR JIBAR SAFEX | 8/1/18 | (8,326 | ) | |||||||||||||||
100,000 BRR | BZDI | 14.340 | 1/2/17 | 275 | ||||||||||||||||
(6,552 | ) | |||||||||||||||||||
$ | (74,067 | ) | ||||||||||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
BRR | Brazilian Real | |
CHF | Swiss Franc | |
CZK | Czech Koruna | |
EUR | Euro | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
MXN | Mexican Nuevo Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
TWD | New Taiwan Dollar | |
ZAR | South African Rand |
Index abbreviations are as follows:
BANIXCO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR FRA | Bank Bill Rate Forward Rate Agreement | |
BUBOR Reuters | Budapest Interbank Offered Rate | |
BZDI | Brazil Interbank Deposit Rate | |
EURIBOR | Euro Interbank Offered Rate | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
NIBOR NIBR | Norwegian Interbank Offered Rate | |
PRIBOR PRBO | Prague Interbank Offering Rate | |
SAFEX | South African Futures Exchange | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TELBOR01 | Tel Aviv Interbank Offered Rate 1 Month | |
TIIE | Interbank Equilibrium Interest Rate | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate |
Total Return Swap Contracts as of September 30, 2008 are as follows:
Swap | Notional | Paid by | Received by | Termination | ||||||||||||||||
Counterparty | Amount | the Fund | the Fund | Date | Value | |||||||||||||||
Merrill Lynch Capital Services, Inc. | $ | 880,000 | 5.33 | % | The Constant Maturity Option Price divided by 10,000 | 8/13/17 | $ | (14,332 | ) |
F17 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Continued
Footnotes to Statement of Investments Continued
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
Japan | $ | 10,109,121 | 20.0 | % | ||||
United States | 9,595,319 | 19.0 | ||||||
France | 3,773,152 | 7.5 | ||||||
Germany | 3,683,714 | 7.3 | ||||||
United Kingdom | 3,214,469 | 6.4 | ||||||
Turkey | 2,116,157 | 4.2 | ||||||
Brazil | 1,749,120 | 3.5 | ||||||
Peru | 1,546,009 | 3.1 | ||||||
Mexico | 1,437,215 | 2.8 | ||||||
Colombia | 1,362,947 | 2.7 | ||||||
European Union | 1,255,002 | 2.5 | ||||||
Russia | 1,141,202 | 2.3 | ||||||
Italy | 817,420 | 1.6 | ||||||
Nigeria | 751,804 | 1.5 | ||||||
Egypt | 716,947 | 1.4 | ||||||
Canada | 630,937 | 1.2 | ||||||
Greece | 612,437 | 1.2 | ||||||
Philippines | 505,263 | 1.0 | ||||||
Indonesia | 480,594 | 1.0 | ||||||
Panama | 382,838 | 0.8 | ||||||
Venezuela | 374,166 | 0.7 | ||||||
Ukraine | 338,459 | 0.7 | ||||||
Israel | 297,483 | 0.6 | ||||||
India | 291,014 | 0.6 | ||||||
Supranational | 290,651 | 0.6 | ||||||
Poland | 277,606 | 0.5 | ||||||
Austria | 274,738 | 0.5 | ||||||
The Netherlands | 273,425 | 0.5 | ||||||
Belgium | 262,622 | 0.5 | ||||||
Denmark | 237,806 | 0.5 | ||||||
Dominican Republic | 218,552 | 0.4 | ||||||
Kazakhstan | 216,075 | 0.4 | ||||||
Sweden | 196,584 | 0.4 | ||||||
Spain | 188,471 | 0.4 | ||||||
Uruguay | 135,675 | 0.3 | ||||||
Hungary | 119,446 | 0.2 | ||||||
Australia | 112,753 | 0.2 | ||||||
Argentina | 105,267 | 0.2 | ||||||
Norway | 77,021 | 0.2 | ||||||
Zambia | 63,719 | 0.1 | ||||||
El Salvador | 39,400 | 0.1 | ||||||
Ghana | 38,000 | 0.1 | ||||||
Trinidad & Tobago | 34,908 | 0.1 | ||||||
Guatemala | 33,450 | 0.1 | ||||||
Costa Rica | 31,750 | 0.1 | ||||||
Ecuador | 14,600 | 0.0 | ||||||
Total | $ | 50,425,308 | 100.0 | % | ||||
See accompanying Notes to Financial Statements.
F18 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2008
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost$52,770,717) | $ | 50,128,785 | ||
Affiliated companies (cost $296,523) | 296,523 | |||
50,425,308 | ||||
Cash | 76,612 | |||
Unrealized appreciation on foreign currency exchange contracts | 958,275 | |||
Swaps, at value | 104,992 | |||
Receivables and other assets: | ||||
Interest and dividends | 628,903 | |||
Closed foreign currency contracts | 466,808 | |||
Investments sold | 30,308 | |||
Other | 8,367 | |||
Total assets | 52,699,573 | |||
Liabilities | ||||
Options written, at value (premiums received $9,768)— see accompanying statement of investments | 14,262 | |||
Unrealized depreciation on foreign currency exchange contracts | 1,272,618 | |||
Swaps, at value | 251,740 | |||
Payables and other liabilities: | ||||
Closed foreign currency contracts | 1,008,418 | |||
Payable for terminated investment contracts | 297,556 | |||
Dividends | 202,442 | |||
Futures margins | 146,435 | |||
Investments purchased | 88,996 | |||
Due to custodian | 81,283 | |||
Shareholder communications | 4,338 | |||
Trustees’ compensation | 637 | |||
Shares of beneficial interest redeemed | 238 | |||
Other | 49,033 | |||
Total Liabilities | 3,417,996 | |||
Net Assets | $ | 49,281,577 | ||
F19 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Continued
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 5,016 | ||
Additional paid-in capital | 50,153,900 | |||
Accumulated net investment income | 2,275,258 | |||
Accumulated net realized gain on investments and foreign currency transactions | 214,476 | |||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (3,367,073 | ) | ||
Net Assets—applicable to 5,015,897 shares of beneficial interest outstanding | $ | 49,281,577 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 9.83 |
See accompanying Notes to Financial Statements.
F20 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2008
Investment Income | ||||
Interest (net of foreign withholding taxes of $6,093) | $ | 2,467,774 | ||
Dividends from affiliated companies | 188,403 | |||
Total investment income | 2,656,177 | |||
Expenses | ||||
Management fees | 255,502 | |||
Legal, auditing and other professional fees | 113,908 | |||
Shareholder communications | 23,644 | |||
Interest expense | 21,198 | |||
Custodian fees and expenses | 7,131 | |||
Trustees’ compensation | 1,133 | |||
Other | 9,238 | |||
Total expenses | 431,754 | |||
Less reduction to custodian expenses | (1,995 | ) | ||
Less waivers and reimbursements of expenses | (428,626 | ) | ||
Net expenses | 1,133 | |||
Net Investment Income | 2,655,044 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (includes premiums on options exercised) | (285,686 | ) | ||
Closing and expiration of option contracts written | 101,489 | |||
Closing and expiration of futures contracts | 574,005 | |||
Foreign currency transactions | 2,445,483 | |||
Swap contracts | (149,506 | ) | ||
Net realized gain | 2,685,785 | |||
Net change in unrealized depreciation on: | ||||
Investments | (1,583,614 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (2,347,407 | ) | ||
Futures contracts | (237,351 | ) | ||
Option contracts written | (3,997 | ) | ||
Swap contracts | (160,523 | ) | ||
Net change in unrealized depreciation | (4,332,892 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 1,007,937 | ||
See accompanying Notes to Financial Statements.
F21 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2008 | 20071 | |||||||
Operations | ||||||||
Net investment income | $ | 2,655,044 | $ | 486,139 | ||||
Net realized gain | 2,685,785 | 158,774 | ||||||
Net change in unrealized appreciation (depreciation) | (4,332,892 | ) | 965,819 | |||||
Net increase in net assets resulting from operations | 1,007,937 | 1,610,732 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (2,848,370 | ) | (486,076 | ) | ||||
Distributions from net realized gain | (161,562 | ) | — | |||||
Beneficial Interest Transactions | ||||||||
Net increase in net assets resulting from beneficial interest transactions | — | 50,058,916 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (2,001,995 | ) | 51,183,572 | |||||
Beginning of period | 51,283,572 | 100,000 | 2 | |||||
End of period (including accumulated net investment income of $2,275,258 and $113,581, respectively) | $ | 49,281,577 | $ | 51,283,572 | ||||
1. | For the period from July 23, 2007 (commencement of operations) to September 30, 2007. | |
2. | Reflects the value of the Manager’s initial seed money investment on May 14, 2007. |
See accompanying Notes to Financial Statements.
F22 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | 2008 | 20071 | ||||||
Per Share Operating Data | ||||||||
Net asset value, beginning of period | 10.22 | $ | 10.00 | |||||
Income (loss) from investment operations: | ||||||||
Net investment income2 | .53 | .10 | ||||||
Net realized and unrealized gain (loss) | (.32 | ) | .22 | |||||
Total from investment operations | .21 | .32 | ||||||
Dividends and/or distributions to shareholders: | ||||||||
Dividends from net investment income | (.57 | ) | (.10 | ) | ||||
Distributions from net realized gain | (.03 | ) | — | |||||
Total dividends and/or distributions to shareholders | (.60 | ) | (.10 | ) | ||||
Net asset value, end of period | $ | 9.83 | $ | 10.22 | ||||
Total Return, at Net Asset Value3 | 1.78 | % | 3.19 | % | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $ | 49,282 | $ | 51,284 | ||||
Average net assets (in thousands) | $ | 53,188 | $ | 50,199 | ||||
Ratios to average net assets:4 | ||||||||
Net investment income | 4.99 | % | 5.05 | % | ||||
Total expenses | 0.81 | % | 0.92 | % | ||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.00 | % | 0.00 | % | ||||
Portfolio turnover rate | 120 | % | 30 | % |
1. | For the period from July 23, 2007 (commencement of operations) to September 30, 2007. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. |
See accompanying Notes to Financial Statements.
F23 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
Oppenheimer SMA International Bond Fund (the “Fund”) is a registered investment company organized as a Massachusetts Business Trust. The Fund is registered as a non-diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund’s primary objective is to seek total return. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
As of September 30, 2008, 100% of the shares were owned by the Manager and its affiliates.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients (“wrap-fee” accounts) who have retained OFI Private Investments Inc. or certain of its affiliates (individually or collectively referred to as “OFI PI”), to manage their accounts pursuant to an investment management agreement with OFI PI and/or a managed account program sponsor as part of a “wrap-fee” program.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the closing price reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing “bid” and “asked” prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities will be valued at the mean between the “bid” and “asked” prices. Securities for which market quotations are not readily available are valued at their fair value. Securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Shares of a registered investment company that are not traded on an exchange are valued at the acquired investment company’s net asset value per share. “Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value.
F24 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of September 30, 2008, securities with an aggregate market value of $31,925, representing 0.06% of the Fund’s net assets, were in default.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF.
F25 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
The Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee.
Investments With Off-Balance Sheet Market Risk. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund’s Statement of Assets and Liabilities.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3 | Tax Purposes | |||||||||
$1,986,143 | $ | — | $ | 42,454 | $ | 2,820,663 |
1. | As of September 30, 2008, the Fund had $42,454 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
2. | During the fiscal year ended September 30, 2008, the Fund did not utilize any capital loss carryforward. | |
3. | During the fiscal year ended September 30, 2007, the Fund did not utilize any capital loss carryforward. |
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
F26 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Accordingly, the following amounts have been reclassified for September 30, 2008. Net assets of the Fund were unaffected by the reclassifications.
Reduction | Reduction | |||
to Accumulated | to Accumulated Net | |||
Net Investment | Realized Gain | |||
Loss | on Investments | |||
$2,355,003 | $ | 2,355,003 |
The tax character of distributions paid during the year ended September 30, 2008 and period ended September 30, 2007 was as follows:
Year Ended | Period Ended | |||||||
September 30, 2008 | September 30, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,939,555 | $ | 486,076 | ||||
Long-term capital gain | 70,377 | — | ||||||
Total | $ | 3,009,932 | $ | 486,076 | ||||
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2008 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 53,071,505 | ||
Federal tax cost of other investments | 8,709,722 | |||
Total federal tax cost | $ | 61,781,227 | ||
Gross unrealized appreciation | $ | 477,196 | ||
Gross unrealized depreciation | (3,297,859 | ) | ||
Net unrealized depreciation | $ | (2,820,663 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
F27 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F28 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2008 | Period Ended September 30, 20071,2 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | — | $ | — | 5,005,903 | $ | 50,058,970 | ||||||||||
Dividends and/or distributions reinvested | 335 | 3,539 | 54 | 544 | ||||||||||||
Redeemed | (335 | ) | (3,539 | ) | (60 | ) | (598 | ) | ||||||||
Net increase | — | $ | — | 5,005,897 | $ | 50,058,916 | ||||||||||
1. | For the period from July 23, 2007 (commencement of operations) to September 30, 2007. | |
2. | The Fund sold 10,000 shares at a value of $100,000 to the Manager upon seeding of the Fund on May 14, 2007. |
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the year ended September 30, 2008, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 51,425,071 | $ | 37,385,160 | ||||
U.S. government and government agency obligations | 8,125,195 | 7,912,252 |
4. Fees and Other Transactions with Affiliates
Management Fees. The Manager has contractually agreed to waive the entire amount of its advisory fee, which is 0.48% of the average net assets, and the Fund does not pay any other fee for the Manager’s services. A portion of the “wrap-fee” that investors pay to the “wrap-fee” program sponsor may be attributed to the management of the Fund.
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the year ended September 30, 2008, the Fund paid no fees to OFS for services to the Fund.
Offering and Organizational Costs. The Manager paid all initial offering and organizational costs associated with the registration and seeding of the Fund.
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive all Management Fees and pay or reimburse all expenses of the Fund, except extraordinary expenses, transfer agent fees and fees paid to the independent Trustees. This agreement has no fixed term. Investors should be aware that even though the Fund does not pay any fees or expenses to the Manager, investors will pay a “wrap fee” to their program sponsor.
F29 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Continued
4. Fees and Other Transactions with Affiliates Continued
During the year ended September 30, 2008, the Manager waived management fees in the amount of $255,502. During the year ended September 30, 2008, the Manager reimbursed expenses in the amount of $173,124.
OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets. This undertaking may be amended or withdrawn at any time.
5. Foreign Currency Exchange Contracts
The Fund may enter into foreign currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
Risks to the Fund include both market and credit risk. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
6. Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures
F30 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
7. Option Activity
The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Written option activity for the year ended September 30, 2008 was as follows:
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premium | |||||||||||||
Options outstanding as of September 30, 2007 | 128,000 | $ | 805 | 128,000 | $ | 805 | ||||||||||
Options written | 483,447,000 | 103,368 | 330,437,000 | 88,781 | ||||||||||||
Options closed or expired | (311,191,000 | ) | (59,808 | ) | (161,349,000 | ) | (45,187 | ) | ||||||||
Options exercised | (154,170,000 | ) | (39,481 | ) | (151,002,000 | ) | (39,515 | ) | ||||||||
Options outstanding as of September 30, 2008 | 18,214,000 | $ | 4,884 | 18,214,000 | $ | 4,884 | ||||||||||
F31 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Continued
8. Swap Contracts
The Fund may enter into privately negotiated agreements with a counterparty to exchange or “swap” payments at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. As derivative contracts, swaps typically do not have an associated cost at contract inception. At initiation, contract terms are typically set at market value such that the value of the swap is $0. If a counterparty specifies terms that would result in the contract having a value other than $0 at initiation, one counterparty will pay the other an upfront payment to equalize the contract. Subsequent changes in market value are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. Contract types may include credit default, interest rate, total return, and currency swaps.
Swaps are marked to market daily using quotations primarily from pricing services, coun-terparties or brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. The unrealized appreciation (depreciation) is comprised of the change in the valuation of the swap combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. Any payment received or paid to initiate a contract is recorded as a cost of the swap in the Statement of Assets and Liabilities and as a component of unrealized gain or loss on the Statement of Operations until contract termination; upon contract termination, this amount is recorded as realized gain or loss on the Statement of Operations. Excluding amounts paid at contract initiation as described above, the Fund also records any periodic payments received from (paid to) the counterparty, including at termination, as realized gain (loss) on the Statement of Operations.
Risks of entering into swap contracts include credit, market and liquidity risk. Credit risk arises from the possibility that the counterparty fails to make a payment when due or otherwise defaults under the terms of the contract. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received. Market risk is the risk that the value of the contract will depreciate due to unfavorable changes in the performance of the asset or non-asset reference. Liquidity risk is the risk that the Fund may be unable to close the contract prior to its termination.
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee, similar to an insurance premium, to the seller of protection based on the notional amount of debt securities underlying the swap
F32 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
Risks of credit default swaps include credit, market and liquidity risk. Additional risks include but are not limited to: the cost of paying for credit protection if there are no credit events or the cost of selling protection when a credit event occurs (paying the notional amount to the protection buyer); and pricing transparency when assessing the value of a credit default swap.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
Risks of interest rate swaps include credit, market and liquidity risk. Additional risks include but are not limited to, interest rate risk. There is a risk, based on future movements of interest rates that the payments made by the Fund under a swap agreement will be greater than the payments it received.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Risks of total return swaps include credit, market and liquidity risk.
F33 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Continued
8. Swap Contracts Continued
Swaption Transactions. The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into an interest rate swap at a preset rate 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 rate on the underlying interest rate swap.
Swaptions are marked to market daily using primarily quotations from counterparties and brokers. Written swaptions are reported on a schedule following the Statement of Investments. Written swaptions are reported as a liability in the Statement of Assets and Liabilities. The difference between the premium received or paid, and market value of the swaption, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations for the amount of the premium paid or received.
Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. 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 option, according to the terms of the underlying agreement. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the option expires unexercised. However, when the Fund purchases a swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
9. Illiquid or Restricted Securities
As of September 30, 2008, investments in securities included issues that are illiquid or restricted. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid and restricted securities. Certain restricted securities, eligible for resale to qualified institutional purchasers, may not be subject to that limitation. Securities that are illiquid or restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
10. Unfunded Purchase Commitments
Pursuant to the terms of certain indenture agreements, the Fund has unfunded purchase commitments of $79,709 at September 30, 2008. The Fund generally will maintain with its custodian, liquid investments having an aggregate value at least equal to the amount of unfunded purchase loan commitments. The following commitments are subject to funding based on the borrower’s discretion. The Fund is obligated to fund these commitments at the
F34 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
time of the request by the borrower. These commitments have been excluded from the Statement of Investments.
As of September 30, 2008, the Fund had unfunded purchase commitments as follows:
Commitment | Unfunded | |||||||
Termination Date | Amount | |||||||
Deutsche Bank AG, Optic Reforma I | ||||||||
Credit Linked Nts. | 10/23/13 | $ | 79,709 |
11. Recent Accounting Pronouncements
In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards (“SFAS”) No. 157, Fair Value Measurements. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of September 30, 2008, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
In March 2008, FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities. This standard requires enhanced disclosures about derivative and hedging activities, including qualitative disclosures about how and why the Fund uses derivative instruments, how these activities are accounted for, and their effect on the Fund’s financial position, financial performance and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of SFAS No. 161 and its impact on the Fund’s financial statements and related disclosures.
F35 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer SMA International Bond Fund:
We have audited the accompanying statement of assets and liabilities of Oppenheimer SMA International Bond Fund, including the statement of investments, as of September 30, 2008, and the related statement of operations for the year then ended, and the statements of changes in net assets and financial highlights for the year then ended and for the period from July 23, 2007 (commencement of operations) to September 30, 2007. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2008, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer SMA International Bond Fund as of September 30, 2008, the results of its operations for the year then ended, and the changes in its net assets and financial highlights for the year then ended and for the period from July 23, 2007 (commencement of operations) to September 30, 2007, in conformity with U.S. generally accepted accounting principles.
KPMG llp
Denver, Colorado
November 13, 2008
November 13, 2008
F36 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
FEDERAL INCOME TAX INFORMATION Unaudited
In early 2008, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2007. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service.
Capital gain distributions of $0.014 per share were paid to shareholders, on December 28, 2007. Whether received in stock or in cash, the capital gain distribution should be treated by shareholders as a gain from the sale of the capital assets held for more than one year (long-term capital gains).
Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal year ended September 30, 2008, $285,431 or 10.02% of the ordinary distributions paid by the Fund qualifies as an interest related dividend and $104,851 or 100% of the short-term capital gain distribution paid and to be paid by the Fund qualifies as a short-term capital gain dividend.
The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
15 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AGREEMENT Unaudited
Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to renew the Fund’s investment advisory agreement (the “Agreement”). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Manager provide, such information as may be reasonably necessary to evaluate the terms of the Agreement. The Board employs an independent consultant to prepare a report that provides information, including comparative information, the Board requests for that purpose. In addition, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Manager and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Manager’s services, (ii) the investment performance of the Fund and the Manager, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Manager and its affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Manager from its relationship with the Fund. The Board was aware that there are alternatives to retaining the Manager.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature and extent of the services provided to the Fund and information regarding the Manager’s key personnel who provide such services. The Manager’s duties include providing the Fund with the services of the portfolio manager and the Manager’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; securities trading services; oversight of third party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions. The Manager is responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of
16 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
the Fund’s shares. The Manager also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Manager’s resources that are available to the Fund. The Board took account of the fact that the Manager has had over forty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Manager’s advisory, administrative, accounting, legal and compliance services, and information the Board has received regarding the experience and professional qualifications of the Manager’s key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Arthur Steinmetz, the portfolio manager for the Fund, and the Manager’s investment team and analysts. The Board members also considered the totality of their experiences with the Manager as directors or trustees of the Fund and other funds advised by the Manager. The Board considered information regarding the quality of services provided by affiliates of the Manager, which its members have become knowledgeable about in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Manager’s experience, reputation, personnel, operations and resources, the Fund benefits from the services provided under the Agreement.
Investment Performance of the Manager and the Fund. Throughout the year, the Manager provided information on the investment performance of the Fund and the Manager, including comparative performance information. The Manager has contractually agreed to waive all Management Fees and pay or reimburse all expenses of the Fund, except extraordinary expenses, transfer agent fees and fees paid to the independent Trustees. This agreement has no fixed term. Investors should be aware that even though the Fund does not pay any fees or expenses to the Manager, investors will pay a “wrap fee” to their program sponsor. The Board also reviewed information, prepared by the Manager and by the independent consultant, comparing the Fund’s historical performance to relevant market indices and to the performance of other institutional international income funds (including both funds advised by the Manager and funds advised by other investment advisers). The Board noted that the Fund’s since inception performance was below its peer group median.
Costs of Services by the Manager. The Board reviewed the fees paid to the Manager and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Manager. The independent consultant provided
17 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AGREEMENT Unaudited / Continued
comparative data in regard to the fees and expenses of the Fund and other international income funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual and actual management fees and total expenses were lower than its peer group median.
Economies of Scale and Profits Realized by the Manager. The Board considered information regarding the Manager’s costs in serving as the Fund’s investment adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Manager’s profitability from its relationship with the Fund. The Board reviewed whether the Manager may realize economies of scale in managing and supporting the Fund, whether those economies of scale benefit the Fund’s shareholders at the current level of Fund assets in relation to its management fee.
Other Benefits to the Manager. In addition to considering the profits realized by the Manager, the Board considered information that was provided regarding the direct and indirect benefits the Manager receives as a result of its relationship with the Fund, including compensation paid to the Manager’s affiliates. The Board also considered that the Manager must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund and that maintaining the financial viability of the Manager is important in order for the Manager to continue to provide significant services to the Fund and its shareholders.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreement for another year. In arriving at this decision, the Board did not single out any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreement, including the management fee, in light of all of the surrounding circumstances.
18 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
19 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
TRUSTEES AND OFFICERS Unaudited
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
Brian F. Wruble, Chairman of the Board of Trustees (since 2007), Trustee (since 2006) Age: 65 | General Partner of Odyssey Partners, L.P. (hedge fund) (September 1995-December 2007); Director of Special Value Opportunities Fund, LLC (registered investment company) (affiliate of the Manager’s parent company) (since September 2004); Chairman (since August 2007) and Trustee (since August 1991) of the Board of Trustees of The Jackson Laboratory (non-profit); Treasurer and Trustee of the Institute for Advanced Study (non-profit educational institute) (since May 1992); Member of Zurich Financial Investment Management Advisory Council (insurance) (2004-2007); Special Limited Partner of Odyssey Investment Partners, LLC (private equity investment) (January 1999-September 2004). Oversees 64 portfolios in the OppenheimerFunds complex. | |
David K. Downes, Trustee (since 2007) Age: 68 | Independent Chairman GSK Employee Benefit Trust (since April 2006); Director of Correctnet (since January 2006); Trustee of Employee Trusts (since January 2006); President, Chief Executive Officer and Board Member of CRAFund Advisors, Inc. (investment management company) (since January 2004); Director of Internet Capital Group (information technology company) (since October 2003); Independent Chairman of the Board of Trustees of Quaker Investment Trust (registered investment company) (2004-2007); President of The Community Reinvestment Act Qualified Investment Fund (investment management company) (2004-2007); Chief Operating Officer and Chief Financial Officer of Lincoln National Investment Companies, Inc. (subsidiary of Lincoln National Corporation, a publicly traded company) and Delaware Investments U.S., Inc. (investment management subsidiary of Lincoln National Corporation) (1993- 2003); President, Chief Executive Officer and Trustee of Delaware Investment Family of Funds (1993-2003); President and Board Member of Lincoln National Convertible Securities Funds, Inc. and the Lincoln National Income Funds, TDC (1993-2003); Chairman and Chief Executive Officer of Retirement Financial Services, Inc. (registered transfer agent and investment adviser and subsidiary of Delaware Investments U.S., Inc.) (1993-2003); President and Chief Executive Officer of Delaware Service Company, Inc. (1995-2003); Chief Administrative Officer, Chief Financial Officer, Vice Chairman and Director of Equitable Capital Management Corporation (investment subsidiary of Equitable Life Assurance Society) (1985-1992); Corporate Controller of Merrill Lynch & Company (financial services holding company) (1977-1985); held the following positions at the Colonial Penn Group, Inc. (insurance company): Corporate Budget Director (1974-1977), Assistant Treasurer (1972-1974) and Director of Corporate Taxes (1969-1972); held the following positions at Price Waterhouse & Company (financial services firm): Tax Manager (1967-1969), Tax Senior (1965-1967) and Staff Accountant (1963-1965); United States Marine Corps (1957-1959). Oversees 64 portfolios in the OppenheimerFunds complex. | |
Matthew P. Fink, Trustee (since 2006) Age: 67 | Trustee of the Committee for Economic Development (policy research foundation) (since 2005); Director of ICI Education Foundation (education foundation) (October 1991-August 2006); President of the Investment Company Institute (trade association) (October 1991-June 2004); Director of ICI Mutual Insurance Company (insurance company) (October 1991-June 2004). Oversees 54 portfolios in the OppenheimerFunds complex. |
20 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Robert G. Galli, Trustee (since 2006) Age: 75 | A director or trustee of other Oppenheimer funds. Oversees 64 portfolios in the OppenheimerFunds complex. | |
Phillip A. Griffiths, Trustee (since 2006) Age: 70 | Fellow of the Carnegie Corporation (since 2007); Distinguished Presidential Fellow for International Affairs (since 2002) and Member (since 1979) of the National Academy of Sciences; Council on Foreign Relations (since 2002); Director of GSI Lumonics Inc. (precision technology products company) (since 2001); Senior Advisor of The Andrew W. Mellon Foundation (since 2001); Chair of Science Initiative Group (since 1999); Member of the American Philosophical Society (since 1996); Trustee of Woodward Academy (since 1983); Foreign Associate of Third World Academy of Sciences; Director of the Institute for Advanced Study (1991-2004); Director of Bankers Trust New York Corporation (1994-1999); Provost at Duke University (1983-1991). Oversees 54 portfolios in the OppenheimerFunds complex. | |
Mary F. Miller, Trustee (since 2006) Age: 66 | Trustee of International House (not-for-profit) (since June 2007); Trustee of the American Symphony Orchestra (not-for-profit) (since October 1998); and Senior Vice President and General Auditor of American Express Company (financial services company) (July 1998-February 2003). Oversees 54 portfolios in the OppenheimerFunds complex. | |
Joel W. Motley, Trustee (since 2006) Age: 56 | Managing Director of Public Capital Advisors, LLC (privately held financial advisor) (since January 2006); Managing Director of Carmona Motley, Inc. (privately-held financial advisor) (since January 2002); Director of Columbia Equity Financial Corp. (privately-held financial advisor) (2002-2007); Managing Director of Carmona Motley Hoffman Inc. (privately-held financial advisor) (January 1998-December 2001); Member of the Finance and Budget Committee of the Council on Foreign Relations, Member of the Investment Committee of the Episcopal Church of America, Member of the Investment Committee and Board of Human Rights Watch and Member of the Investment Committee of Historic Hudson Valley. Oversees 54 portfolios in the OppenheimerFunds complex. | |
Russell S. Reynolds, Jr., Trustee (since 2006) Age: 76 | Chairman of RSR Partners (formerly “The Directorship Search Group, Inc.”) (corporate governance consulting and executive recruiting) (since 1993); Retired CEO of Russell Reynolds Associates (executive recruiting) (October 1969 – March 1993); Life Trustee of International House (non-profit educational organization); Former Trustee of The Historical Society of the Town of Greenwich; Former Director of Greenwich Hospital Association. Oversees 54 portfolios in the OppenheimerFunds complex. | |
Joseph M. Wikler, Trustee (since 2006) Age: 67 | Director of C-TASC (bio-statistics services) (since 2007); Director of the following medical device companies: Medintec (since 1992) and Cathco (since 1996); Director of Lakes Environmental Association (environmental protection organization) (since 1996); Member of the Investment Committee of the Associated Jewish Charities of Baltimore (since 1994); Director of Fortis/Hartford mutual funds (1994-December 2001). Oversees 54 portfolios in the OppenheimerFunds complex. | |
Peter I. Wold, Trustee (since 2006) Age: 60 | President of Wold Oil Properties, Inc. (oil and gas exploration and production company) (since 1994); Vice President of American Talc Company, Inc. (talc mining and milling) (since 1999); Managing Member of Hole-in-the-Wall Ranch (cattle ranching) (since 1979); Vice President, Secretary and Treasurer of Wold Trona Company, Inc. (soda ash processing and production) (1996-2006); Director and Chairman of the Denver Branch of the Federal Reserve Bank of Kansas City (1993-1999); and Director of PacifiCorp. (electric utility) (1995-1999). Oversees 54 portfolios in the OppenheimerFunds complex. |
21 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
TRUSTEES AND OFFICERS Unaudited / Continued
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2006) Age: 59 | Chairman, Chief Executive Officer and Director of the Manager (since June 2001); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 103 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Zack and Ms. Bloomberg, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey, Wixted, Petersen, Szilagyi and Ms. Ives, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Arthur P. Steinmetz, Vice President (since 2006) and Portfolio Manager (since 2007) Age: 50 | Senior Vice President of the Manager (since March 1993) and of HarbourView Asset Management Corporation (since March 2000). An officer of 5 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2006) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 2006) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and |
22 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Brian W. Wixted, Continued | OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Brian S. Petersen, Assistant Treasurer (since 2006) Age: 38 | Vice President of the Manager (since February 2007); Assistant Vice President of the Manager (August 2002-February 2007); Manager/Financial Product Accounting of the Manager (November 1998-July 2002). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Brian C. Szilagyi, Assistant Treasurer (since 2006) Age: 38 | Assistant Vice President of the Manager (since July 2004); Director of Financial Reporting and Compliance of First Data Corporation (April 2003-July 2004); Manager of Compliance of Berger Financial Group LLC (May 2001-March 2003). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Secretary (since 2006) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985- December 2003). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Lisa I. Bloomberg, Assistant Secretary (since 2006) Age: 40 | Vice President (since May 2004) and Deputy General Counsel (since May 2008) of the Manager; Associate Counsel of the Manager (May 2004-May 2008); First Vice President (April 2001-April 2004), Associate General Counsel (December 2000-April 2004) of UBS Financial Services, Inc. (formerly PaineWebber Incorporated). An officer of 103 portfolios in the OppenheimerFunds complex. | |
Kathleen T. Ives, Assistant Secretary (since 2006) Age: 43 | Vice President (since June 1998), Deputy General Counsel (since May 2008) and Assistant Secretary (since October 2003) of the Manager; Vice President (since 1999) and Assistant Secretary (since October 2003) of the Distributor; Assistant Secretary of Centennial Asset Management Corporation (since October 2003); Vice President and Assistant Secretary of Shareholder Services, Inc. (since 1999); Assistant Secretary of OppenheimerFunds Legacy Program and Shareholder Financial Services, Inc. (since December 2001); Senior Counsel of the Manager (October 2003-May 2008). An officer of 103 portfolios in the OppenheimerFunds complex. |
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge upon request, by calling 1.800.525.7048.
23 | OPPENHEIMER SMA INTERNATIONAL BOND FUND
Item 1. Reports to Stockholders.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that David Downes, the Board’s Audit Committee Chairman, is an audit committee financial expert and that Mr. Downes is “independent” for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $46,800 in fiscal 2008 and $45,000 in fiscal 2007.
(b) | Audit-Related Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years.
The principal accountant for the audit of the registrant’s annual financial statements billed $195,000 in fiscal 2008 and $110,000 in fiscal 2007 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: internal control reviews and audit of capital accumulation plan.
(c) | Tax Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $828 in fiscal 2008 and no such fees in fiscal 2007.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such fees would include Venezuelan tax services.
(d) | All Other Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees during the last two fiscal years to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. | ||
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. | ||
(2) 100% | ||
(f) | Not applicable as less than 50%. | |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $195,828 in fiscal 2008 and $110,000 in fiscal 2007 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. | |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the |
Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation.
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 09/30/2008, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) Exhibit attached hereto. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer SMA International Bond Fund
By: | /s/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 11/11/2008 |
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/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 11/11/2008 | |||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
Date: | 11/11/2008 |