UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3420
Oppenheimer Integrity Funds
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Arthur S. Gabinet
OFI Global Asset Management, 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: December 31
Date of reporting period: 6/30/2013
Item 1. | Reports to Stockholders. |
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Portfolio Proxy Voting Policies and Procedures; Updates to Statement of Investments | 67 | |||||
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Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 6/28/13
Class A Shares of the Fund | ||||||||||
Without Sales Charge | With Sales Charge | Barclays Credit Index | Barclays U.S. Aggregate Bond Index | Citigroup Broad Investment Grade Bond Index | ||||||
6-Month | -1.93% | -6.59% | -3.60% | -2.44% | -2.45% | |||||
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1-Year | 2.82 | -2.06 | 0.84 | -0.69 | -0.65 | |||||
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5-Year | -2.20 | -3.14 | 6.97 | 5.19 | 5.26 | |||||
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10-Year | 0.49 | 0.00 | 5.10 | 4.52 | 4.64 | |||||
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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. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).
June 28, 2013, was the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through June 30, 2013.
2 OPPENHEIMER CORE BOND FUND
The Fund’s Class A shares (without sales charge) returned -1.93% during the period. On a relative basis, the Fund outperformed the Barclays U.S. Aggregate Bond Index, the Barclays Credit Index and the Citigroup Broad Investment Grade Bond Index, which returned -2.44%, -3.60% and -2.45%, respectively. The bulk of the Fund’s declines occurred late in the period after the Federal Reserve (the “Fed”) discussed the potential tapering of its quantitative easing program.
MARKET OVERVIEW
Early in the reporting period, the highly accommodative policies of central banks throughout the world and positive data surprises in the U.S. regarding housing and employment buoyed investor sentiment and resulted in a rally in risk markets. The continuation of the Bank of Japan’s massive asset purchase program “Abe-nomics” was a major driving force as Japanese investors were pushed out on the risk curve away from Japanese government bonds (JGBs) and into riskier assets. At the end of May, market volatility picked up measurably as comments from Fed Chairman Ben Bernanke at a Congressional hearing surprised the market when he indicated a possible slowdown of the central bank’s asset purchase program if the economy continued to show improvement. Additionally, fears began to creep into the market about a possible slowdown in the world’s emerging economies. As a result, risk assets sold off across the board, with Japanese stocks and emerging market debt absorbing the brunt of the selling, although investment grade credit was certainly not immune. Simultaneously, the intermediate and long-end of the U.S. Treasury curve steepened quite dramatically as investors began to price in the likelihood of higher interest rates in the future. The volatility continued
through June as the Federal Open Market Committee (FOMC) issued a statement indicating again that if the U.S. economy continued to improve the Fed would begin to slow down its $85 billion a month purchases of U.S. Treasuries and mortgage-backed securities.
FUND REVIEW
The Fund maintained a significant underweight position to government bonds, and instead sourced its exposure through corporate bonds, mortgages and structured products. This positioning drove the Fund’s outperformance over the first half of the period, but resulted in declines later on. The Fund performed positively over the first half of the period as credit markets in the U.S. rallied on the back of positive economic data, despite the Cyprus banking crisis, deteriorating conditions in the Eurozone and moderating growth in emerging markets. Our exposure to corporate bonds benefited as corporate bond performance versus Treasuries was strong. During this time, an overweight to financials drove much of the positive performance among our corporate bonds, as the sector is a perceived safe haven
OPPENHEIMER CORE BOND FUND 3
from leveraged buyout (“LBO”) activity, which picked up early in the period. Specifically, our allocations to large cap banks and multi-line insurance companies were helpful. The subordinated debt of banks was a positive as their spread relative to senior debt continued to narrow as bank profitability and capital metrics continue to improve. Investments in agency and non-agency mortgage-backed securities (“MBS”), commercial mortgage-backed securities (“CMBS”) and asset backed securities (“ABS”), also benefited performance over the first half of the period.
Beginning in May, fixed-income markets turned volatile after the Fed began to discuss tapering. The Fed’s comments resulted in spreads on the Barclays Credit Index widening out to levels last seen in October 2012. Before the Fed’s comments, we started reducing our position in MBS since we felt they were vulnerable to policy changes. While this limited the negative impact, MBS still detracted from performance, as did CMBS and ABS. Over the second half of the period, the Fund benefited from an overweight position in junior capital instruments within the financial sector. The Fund was negatively impacted by two positions in the tobacco sector, as this higher beta sector began to underperform amid the tumultuous environment. Additionally, our sector
![]() | ![]() | |
Krishna Memani Portfolio Manager |
overweight to pharmaceuticals detracted from Fund performance, although it is worth noting that security selection within the sector was in line with the sector’s overall performance during this time.
STRATEGY & OUTLOOK
Although it appears that all eyes remain firmly fixated on the Fed and its eventual asset purchase unwind and the perceived growth slowdown within the emerging markets, we believe there is reason for optimism. By historical standards central banks around the globe are executing exceedingly loose monetary policy, which provides plenty of liquidity to the markets. U.S. growth appears to be a surprising bright spot and we are even beginning to see early signs that growth within Europe may be turning the corner. And while it may be clear that China’s growth trajectory is slowing, we believe policy makers have the situation in hand and the probability of a hard landing is still quite low.
In a “yield-starved” domestic fixed income market dominated by U.S. Treasuries hovering near historic lows, we continue to favor higher-yielding investments to seek a carry, or yield advantage. Given current conditions, we believe the additional carry of the Fund is positioned to help returns even in the context of spreads remaining at their current levels.
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Peter A. Strzalkowski Portfolio Manager |
4 OPPENHEIMER CORE BOND FUND
CORPORATE BONDS & NOTES—TOP TEN INDUSTRIES
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Oil, Gas & Consumable Fuels | 5.8% | |||
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Commercial Banks | 3.6 | |||
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Capital Markets | 3.0 | |||
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Insurance | 2.5 | |||
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Diversified Financial Services | 2.4 | |||
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Diversified Telecommunication Services | 2.1 | |||
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Media | 1.7 | |||
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Electric Utilities | 1.5 | |||
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Real Estate Investment Trusts (REITs) | 1.4 | |||
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Automobiles | 1.3 | |||
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Portfolio holdings and allocations are subject to change. Percentages are as of June 28, 2013, and are based on net assets. For more current Fund holdings, please visit oppenheimerfunds.com.
CREDIT RATING BREAKDOWN
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| NRSRO ONLY TOTAL
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AAA | 42.5% | |||
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AA | 4.9 | |||
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A | 11.0 | |||
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BBB | 27.7 | |||
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BB | 7.5 | |||
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B | 0.6 | |||
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CCC | 3.8 | |||
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CC | 0.3 | |||
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D | 1.7 | |||
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Total | 100.0% |
The percentages above are based on the market value of the Fund’s securities as of June 28, 2013, and are subject to change. Except for certain securities issued or guaranteed by a foreign sovereign, all securities have been rated by at least one Nationally Recognized Statistical Rating Organization (“NRSRO”), such as Standard & Poor’s (“S&P”). For securities rated only by an NRSRO other than S&P, OppenheimerFunds, Inc. converts that rating to the equivalent S&P rating. If two or more NRSROs have assigned a rating to a security, the highest S&P equivalent rating is used. Unrated securities issued or guaranteed by a foreign sovereign are assigned a credit rating equal to the highest NRSRO rating assigned to that foreign sovereign. Fund assets invested in Oppenheimer Institutional Money Market Fund are assigned that fund’s S&P rating, which is currently AAA. For the purposes of this table, “investment-grade” securities are securities rated within the NRSROs’ four highest rating categories (AAA, AA, A and BBB). Unrated securities do not necessarily indicate low credit quality, and may or may not be the equivalent of investment-grade. Please consult the Fund’s prospectus and Statement of Additional Information for further information.
*June 28, 2013, was the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 5
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 6/28/13
Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||
Class A (OPIGX) | 4/15/88 | -1.93% | 2.82% | -2.20% | 0.49% | |||||||||||||||
Class B (OIGBX) | 5/3/93 | -2.29% | 2.07% | -2.89% | 0.04% | |||||||||||||||
Class C (OPBCX) | 7/11/95 | -2.29% | 2.06% | -2.89% | -0.24% | |||||||||||||||
Class I (OPBIX) | 4/27/12 | -1.90% | 3.25% | 3.89% | * | N/A | ||||||||||||||
Class N (OPBNX) | 3/1/01 | -2.06% | 2.56% | -2.41% | 0.24% | |||||||||||||||
Class Y (OPBYX) | 4/27/98 | -2.24% | 2.71% | -1.91% | 0.80% |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 6/28/13
Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||
Class A (OPIGX) | 4/15/88 | -6.59% | -2.06% | -3.14% | 0.00% | |||||||||||||||
Class B (OIGBX) | 5/3/93 | -7.11% | -2.89% | -3.21% | 0.04% | |||||||||||||||
Class C (OPBCX) | 7/11/95 | -3.26% | 1.07% | -2.89% | -0.24% | |||||||||||||||
Class I (OPBIX) | 4/27/12 | -1.90% | 3.25% | 3.89% | * | N/A | ||||||||||||||
Class N (OPBNX) | 3/1/01 | -3.02% | 1.57% | -2.41% | 0.24% | |||||||||||||||
Class Y (OPBYX) | 4/27/98 | -2.24% | 2.71% | -1.91% | 0.80% |
*Shows performance since inception.
STANDARDIZED YIELDS
For the 30 Days Ended 6/30/13 | ||||||
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Class A | 3.54% | |||||
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Class B | 2.88 | |||||
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Class C | 2.96 | |||||
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Class I | 4.11 | |||||
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Class N | 3.46 | |||||
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Class Y | 3.93 | |||||
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Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C and N shares, the 1%
6 OPPENHEIMER CORE BOND FUND
contingent deferred sales charge for the 1-year period. There is no sales charge for Class I and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, 10-year returns for Class B shares reflect Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized.
Standardized yield is based on net investment income for the 30-day period ended 6/30/13 and the maximum offering price at the end of the period (including the maximum sales charge) for Class A shares and the net asset value for Class B, Class C, Class I, Class N and Class Y shares. Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields.
The Fund’s performance is compared to the performance of the Barclays Credit Index, an index of non-convertible U.S. investment grade corporate bonds; the Barclays U.S. Aggregate Bond Index, an index of U.S. corporate and government bonds and the Citigroup Broad Investment Grade Bond Index, an index of institutionally traded U.S. Treasury Bonds, government-sponsored bonds, mortgage-backed securities and corporate securities. Indices are unmanaged and cannot be purchased by investors. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
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. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
OPPENHEIMER CORE BOND FUND 7
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 28, 2013.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in the Statement of Additional Information). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
8 OPPENHEIMER CORE BOND FUND
Actual | Beginning Value | Ending Value | Expenses Paid During 6 Months Ended June 28, 2013 | |||||||||
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Class A | $ | 1,000.00 | $ | 980.70 | $ | 4.38 | ||||||
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Class B | 1,000.00 | 977.10 | 7.98 | |||||||||
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Class C | 1,000.00 | 977.10 | 8.03 | |||||||||
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Class I | 1,000.00 | 981.00 | 2.53 | |||||||||
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Class N | 1,000.00 | 979.40 | 5.60 | |||||||||
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Class Y | 1,000.00 | 977.60 | 2.77 | |||||||||
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Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
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Class A | 1,000.00 | 1,020.11 | 4.47 | |||||||||
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Class B | 1,000.00 | 1,016.48 | 8.14 | |||||||||
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Class C | 1,000.00 | 1,016.43 | 8.19 | |||||||||
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Class I | 1,000.00 | 1,021.97 | 2.58 | |||||||||
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Class N | 1,000.00 | 1,018.88 | 5.71 | |||||||||
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Class Y | 1,000.00 | 1,021.73 | 2.83 | |||||||||
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Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 179/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended June 28, 2013 are as follows:
Class | Expense Ratios | |||||||
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Class A | 0.90% | |||||||
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Class B | 1.64 | |||||||
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Class C | 1.65 | |||||||
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Class I | 0.52 | |||||||
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Class N | 1.15 | |||||||
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Class Y | 0.57 | |||||||
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The expense ratios reflect voluntary waivers and/or reimbursements of expenses by the Fund’s Manager and Transfer Agent. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
OPPENHEIMER CORE BOND FUND 9
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Principal Amount | Value | |||||||
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Asset-Backed Securities—15.3% | ||||||||
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Auto Loan—14.6% | ||||||||
Ally Master Owner Trust, Series 2012-2, Cl. A, 0.693%, 3/15/161 | $ | 3,355,000 | $ | $3,347,527 | ||||
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American Credit Acceptance Receivables Trust: | ||||||||
Series 2012-2, Cl. A, 1.89%, 7/15/162 | 2,024,793 | 2,030,521 | ||||||
Series 2012-3, Cl. A, 1.64%, 11/15/162 | 874,291 | 873,291 | ||||||
Series 2012-3, Cl. C, 2.78%, 9/17/182 | 610,000 | 606,374 | ||||||
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AmeriCredit Automobile Receivables Trust: | ||||||||
Series 2010-2, Cl. C, 4.52%, 10/8/15 | 2,800,000 | 2,846,784 | ||||||
Series 2010-2, Cl. D, 6.24%, 6/8/16 | 1,670,000 | 1,766,460 | ||||||
Series 2011-1, Cl. D, 4.26%, 2/8/17 | 720,000 | 753,376 | ||||||
Series 2011-2, Cl. D, 4.00%, 5/8/17 | 3,440,000 | 3,574,561 | ||||||
Series 2011-4, Cl. D, 4.08%, 9/8/17 | 3,995,000 | 4,152,878 | ||||||
Series 2011-5, Cl. D, 5.05%, 12/8/17 | 2,760,000 | 2,938,235 | ||||||
Series 2012-1, Cl. D, 4.72%, 3/8/18 | 5,525,000 | 5,860,387 | ||||||
Series 2012-2, Cl. D, 3.38%, 4/9/18 | 4,505,000 | 4,602,734 | ||||||
Series 2012-4, Cl. D, 2.68%, 10/9/18 | 1,510,000 | 1,500,427 | ||||||
Series 2012-5, Cl. C, 1.69%, 11/8/18 | 1,640,000 | 1,614,901 | ||||||
Series 2012-5, Cl. D, 2.35%, 12/10/18 | 2,445,000 | 2,410,470 | ||||||
Series 2013-1, Cl. C, 1.57%, 1/8/19 | 2,745,000 | 2,673,752 | ||||||
Series 2013-1, Cl. D, 2.09%, 2/8/19 | 1,945,000 | 1,879,003 | ||||||
Series 2013-2, Cl. D, 2.42%, 5/8/19 | 3,030,000 | 2,955,738 | ||||||
Series 2013-3, Cl. D, 3.00%, 7/8/19 | 1,965,000 | 1,943,339 | ||||||
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Avis Budget Rental Car Funding AESOP LLC: | ||||||||
Series 2011-2A, Cl. A, 2.37%, 11/20/142 | 2,975,000 | 3,024,714 | ||||||
Series 2011-3A, Cl. B, 4.74%, 11/20/172 | 1,315,000 | 1,400,758 | ||||||
Series 2012-1A, Cl. A, 2.054%, 8/20/162 | 5,870,000 | 5,965,795 | ||||||
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Capital Auto Receivables Asset Trust, Series 2013-1, Cl. D, 2.19%, 9/20/21 | 1,265,000 | 1,216,764 | ||||||
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CarMax Auto Owner Trust, Series 2013-1, Cl. D, 1.99%, 8/15/19 | 955,000 | 937,732 | ||||||
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Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/162 | 346,337 | 361,361 | ||||||
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CFC 2013-1 LLC, Series 2013-1A, Cl. A, 1.65%, 7/17/172 | 1,104,498 | 1,101,255 | ||||||
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CPS Auto Receivables Trust: | ||||||||
Series 2012-B, Cl. A, 2.52%, 9/16/192 | 2,730,887 | 2,763,962 | ||||||
Series 2012-C, Cl. A, 1.82%, 12/16/192 | 919,874 | 924,476 | ||||||
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Credit Acceptance Auto Loan Trust: | ||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/192 | 1,675,000 | 1,693,896 | ||||||
Series 2012-2A, Cl. A, 1.52%, 3/16/202 | 1,025,000 | 1,027,560 | ||||||
Series 2012-2A, Cl. B, 2.21%, 9/15/202 | 510,000 | 511,659 | ||||||
Series 2013-1A, Cl. B, 1.83%, 4/15/212 | 1,620,000 | 1,601,436 | ||||||
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DT Auto Owner Trust: | ||||||||
Series 2010-1A, Cl. D, 5.92%, 9/15/162 | 1,198,534 | 1,199,702 | ||||||
Series 2011-1A, Cl. C, 3.05%, 8/17/152 | 768,357 | 769,933 | ||||||
Series 2011-2A, Cl. C, 3.05%, 2/16/162 | 121,266 | 121,347 | ||||||
Series 2011-3A, Cl. C, 4.03%, 2/15/172 | 2,775,000 | 2,796,725 | ||||||
Series 2012-1A, Cl. A, 1.05%, 1/15/152 | 270,802 | 270,891 | ||||||
Series 2012-2A, Cl. C, 2.72%, 4/17/172 | 665,000 | 671,239 | ||||||
Series 2012-2A, Cl. D, 4.35%, 3/15/192 | 860,000 | 883,373 | ||||||
Series 2013-1A, Cl. D, 3.74%, 5/15/202 | 1,185,000 | 1,182,517 | ||||||
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Exeter Automobile Receivables Trust: | ||||||||
Series 2012-1A, Cl. A, 2.02%, 8/15/162 | 4,127,766 | 4,147,763 | ||||||
Series 2012-2A, Cl. A, 1.30%, 6/15/172 | 1,095,064 | 1,096,397 | ||||||
Series 2012-2A, Cl. B, 2.22%, 12/15/172 | 1,415,000 | 1,422,735 |
10 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
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Auto Loan Continued | ||||||||
Exeter Automobile Receivables Trust: Continued | ||||||||
Series 2012-2A, Cl. C, 3.06%, 7/16/182 | $ | 235,000 | $ | 235,639 | ||||
Series 2013-1A, Cl. A, 1.29%, 10/16/172 | 2,254,825 | 2,243,778 | ||||||
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First Investors Auto Owner Trust, Series 2012-1A, Cl. D, 5.65%, 4/15/182 | 1,055,000 | 1,112,366 | ||||||
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Ford Credit Auto Owner Trust, Series 2013-A, Cl. D, 1.86%, 8/15/19 | 1,845,000 | 1,787,875 | ||||||
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Ford Credit Floorplan Master Owner Trust A: | ||||||||
Series 2012-1, Cl. C, 1.693%, 1/15/161 | 1,625,000 | 1,634,233 | ||||||
Series 2012-2, Cl. C, 2.86%, 1/15/19 | 2,585,000 | 2,684,416 | ||||||
Series 2013-3, Cl. D, 1.74%, 6/15/17 | 1,060,000 | 1,061,480 | ||||||
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Prestige Auto Receivables Trust, Series 2011-1A, Cl. D, 5.18%, 7/16/182 | 935,000 | 973,502 | ||||||
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Santander Drive Auto Receivables Trust: | ||||||||
Series 2010-3, Cl. C, 3.06%, 11/15/17 | 2,950,000 | 3,021,607 | ||||||
Series 2010-B, Cl. C, 3.02%, 10/17/162 | 3,014,894 | 3,050,838 | ||||||
Series 2011-1, Cl. D, 4.01%, 2/15/17 | 2,880,000 | 2,982,529 | ||||||
Series 2011-4, Cl. B, 2.90%, 5/16/16 | 1,895,000 | �� | 1,927,988 | |||||
Series 2011-S1A, Cl. D, 3.10%, 5/15/173 | 502,732 | 503,961 | ||||||
Series 2011-S2A, Cl. D, 3.35%, 6/15/173 | 1,119,960 | 1,125,560 | ||||||
Series 2012-2, Cl. C, 3.20%, 2/15/18 | 350,000 | 360,613 | ||||||
Series 2012-2, Cl. D, 3.87%, 2/15/18 | 3,550,000 | 3,645,055 | ||||||
Series 2012-4, Cl. A3, 1.04%, 8/15/16 | 6,260,000 | 6,282,714 | ||||||
Series 2012-4, Cl. B, 1.83%, 3/15/17 | 1,040,000 | 1,050,625 | ||||||
Series 2012-4, Cl. D, 3.50%, 6/15/18 | 4,530,000 | 4,611,689 | ||||||
Series 2012-5, Cl. C, 2.70%, 8/15/18 | 770,000 | 775,380 | ||||||
Series 2012-5, Cl. D, 3.30%, 9/17/18 | 5,425,000 | 5,476,310 | ||||||
Series 2012-6, Cl. D, 2.52%, 9/17/18 | 5,750,000 | 5,682,322 | ||||||
Series 2012-AA, Cl. D, 2.46%, 12/17/182 | 990,000 | 970,285 | ||||||
Series 2013-1, Cl. C, 1.76%, 1/15/19 | 3,180,000 | 3,104,281 | ||||||
Series 2013-1, Cl. D, 2.27%, 1/15/19 | 1,605,000 | 1,556,518 | ||||||
Series 2013-2, Cl. D, 2.57%, 3/15/19 | 2,135,000 | 2,081,576 | ||||||
Series 2013-3, Cl. D, 2.42%, 4/15/19 | 1,475,000 | 1,426,921 | ||||||
| ||||||||
SNAAC Auto Receivables Trust: | ||||||||
Series 2012-1A, Cl. A, 1.78%, 6/15/162 | 771,309 | 774,269 | ||||||
Series 2012-1A, Cl. C, 4.38%, 6/15/172 | 1,105,000 | 1,134,664 | ||||||
Series 2013-1A, Cl. B, 2.09%, 7/16/182 | 900,000 | 893,176 | ||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/182 | 1,000,000 | 989,302 | ||||||
| ||||||||
United Auto Credit Securitization Trust: | ||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/152 | 830,398 | 830,223 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/152 | 1,775,000 | 1,773,458 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/162 | 1,280,000 | 1,277,955 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/182 | 895,000 | 893,462 | ||||||
Series 2013-1, Cl. B, 1.74%, 4/15/162 | 1,575,000 | 1,569,693 | ||||||
Series 2013-1, Cl. C, 2.22%, 12/15/172 | 1,005,000 | 1,001,208 | ||||||
Series 2013-1, Cl. D, 2.90%, 12/15/172 | 175,000 | 173,877 | ||||||
| ||||||||
Westlake Automobile Receivables Trust, Series 2012-1A, Cl. A2, 1.03%, 3/15/162 | 895,754 | 896,678 | ||||||
| ||||||||
Wheels SPV LLC, Series 2012-1, Cl. A2, 1.19%, 3/20/212 | 1,289,773 | 1,294,516 | ||||||
|
| |||||||
160,297,290 | ||||||||
| ||||||||
Credit Card—0.4% | ||||||||
MBNA Credit Card Master Note Trust, Series 2003-C7, Cl. C7, 1.543%, 3/15/161 | 2,900,000 | 2,905,477 | ||||||
|
OPPENHEIMER CORE BOND FUND 11
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Credit Card Continued | ||||||||
World Financial Network Credit Card Master Trust, Series 2012-B, Cl. A, 1.76%, 5/17/21 | $ | 1,240,000 | $ | 1,234,546 | ||||
|
| |||||||
4,140,023 | ||||||||
| ||||||||
Equipment—0.1% | ||||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/432 | 780,508 | 771,266 | ||||||
| ||||||||
Receivables: Other—0.2% | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2010-1, Cl. D, 6.65%, 7/17/17 | 1,995,000 | 2,093,150 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $167,665,280) | 167,301,729 | |||||||
| ||||||||
Mortgage-Backed Obligations—42.0% | ||||||||
| ||||||||
Government Agency—28.5% | ||||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored—28.2% | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
5.50%, 9/1/39 | 4,715,687 | 5,132,922 | ||||||
6.00%, 5/1/18-11/1/37 | 1,045,484 | 1,137,319 | ||||||
6.50%, 4/1/18-4/1/34 | 1,232,496 | 1,349,285 | ||||||
7.00%, 7/1/21-10/1/37 | 5,935,708 | 6,916,404 | ||||||
8.00%, 4/1/16 | 78,900 | 83,076 | ||||||
9.00%, 8/1/22-5/1/25 | 36,963 | 41,391 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp. Non Gold Pool: | ||||||||
9.00%, 3/1/17 | 284 | 286 | ||||||
12.50%, 4/1/14 | 4 | 4 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 16.336%, 4/1/274 | 667,776 | 83,019 | ||||||
Series 192, Cl. IO, 10.487%, 2/1/284 | 77,022 | 12,436 | ||||||
Series 206, Cl. IO, 0%, 12/1/294,5 | 123,003 | 18,885 | ||||||
Series 243, Cl. 6, 0%, 12/15/324,5 | 585,829 | 95,873 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed | ||||||||
Security, Series 176, Cl. PO, 3.725%, 6/1/266 | 90,848 | 84,079 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Investment Conduit | ||||||||
Multiclass Pass-Through Certificates: | ||||||||
Series 151, Cl. F, 9.00%, 5/15/21 | 9,422 | 10,509 | ||||||
Series 1590, Cl. IA, 1.30%, 10/15/231 | 1,576,187 | 1,613,146 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 12,054 | 13,590 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 1,632,320 | 1,858,359 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 948,002 | 1,069,278 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 12,641 | 14,255 | ||||||
Series 2063, Cl. PG, 6.50%, 6/15/28 | 782,359 | 882,846 | ||||||
Series 2145, Cl. MZ, 6.50%, 4/15/29 | 302,833 | 342,275 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 | 458,565 | 513,378 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 733,905 | 829,429 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 208,854 | 237,479 | ||||||
Series 2341, Cl. FP, 1.093%, 7/15/311 | 341,699 | 349,616 | ||||||
Series 2399, Cl. PG, 6.00%, 1/15/17 | 197,976 | 210,306 | ||||||
Series 2423, Cl. MC, 7.00%, 3/15/32 | 1,162,278 | 1,348,353 | ||||||
Series 2453, Cl. BD, 6.00%, 5/15/17 | 202,795 | 216,495 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,748,959 | 1,986,168 | ||||||
Series 2463, Cl. F, 1.193%, 6/15/321 | 1,741,103 | 1,787,462 | ||||||
Series 2500, Cl. FD, 0.693%, 3/15/321 | 124,545 | 125,869 | ||||||
Series 2526, Cl. FE, 0.593%, 6/15/291 | 155,881 | 156,882 |
12 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Real Estate Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2551, Cl. FD, 0.593%, 1/15/331 | $ | 325,218 | $ | 327,486 | ||||
Series 2676, Cl. KY, 5.00%, 9/15/23 | 2,258,143 | 2,479,499 | ||||||
Series 3025, Cl. SJ, 24.044%, 8/15/351 | 321,865 | 478,288 | ||||||
Series 3030, Cl. FL, 0.593%, 9/15/351 | 823,060 | 828,952 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 | 2,111,846 | 2,216,099 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 | 2,474,165 | 2,622,247 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2129, Cl. S, 17.311%, 2/15/294 | 876,734 | 199,789 | ||||||
Series 2130, Cl. SC, 54.189%, 3/15/294 | 257,012 | 56,575 | ||||||
Series 2134, Cl. SB, 59.66%, 3/15/294 | 254,613 | 47,182 | ||||||
Series 2422, Cl. SJ, 50.515%, 1/15/324 | 884,068 | 201,171 | ||||||
Series 2493, Cl. S, 55.706%, 9/15/294 | 66,608 | 13,656 | ||||||
Series 2601, Cl. GS, 0%, 11/15/174,5 | 305,261 | 8,256 | ||||||
Series 2682, Cl. TQ, 99.999%, 10/15/334 | 1,744,345 | 346,836 | ||||||
Series 2796, Cl. SD, 56.049%, 7/15/264 | 402,680 | 79,267 | ||||||
Series 2802, Cl. AS, 0%, 4/15/334,5 | 231,671 | 8,262 | ||||||
Series 2920, Cl. S, 56.039%, 1/15/354 | 1,603,398 | 315,505 | ||||||
Series 2922, Cl. SE, 8.574%, 2/15/354 | 1,292,318 | 229,851 | ||||||
Series 2981, Cl. BS, 99.999%, 5/15/354 | 3,048,090 | 572,308 | ||||||
Series 3005, Cl. WI, 0% , 7/15/354,5 | 1,190,470 | 86,697 | ||||||
Series 3201, Cl. SG, 6.227%, 8/15/364 | 3,701,874 | 725,954 | ||||||
Series 3397, Cl. GS, 16.715%, 12/15/374 | 678,240 | 123,525 | ||||||
Series 3424, Cl. EI, 0%, 4/15/384,5 | 681,300 | 107,939 | ||||||
Series 3450, Cl. BI, 12.967%, 5/15/384 | 7,102,542 | 1,323,596 | ||||||
Series 3606, Cl. SN, 5.382%, 12/15/394 | 2,025,770 | 299,853 | ||||||
Series 3662, Cl. SM, 10.424%, 10/15/324 | 6,703,123 | 744,145 | ||||||
Series 3736, Cl. SN, 10.344%, 10/15/404 | 14,200,550 | 2,056,012 | ||||||
| ||||||||
Federal National Mortgage Assn. Pool: | ||||||||
2.50%, 6/18/277 | 15,240,000 | 15,332,868 | ||||||
3.00%, 7/1/27-8/1/437 | 32,175,000 | 31,934,747 | ||||||
3.50%, 7/17/27-8/1/437 | 33,780,000 | 34,428,303 | ||||||
4.00%, 7/1/417 | 41,315,000 | 43,038,608 | ||||||
4.50%, 7/1/22-7/1/397 | 56,290,000 | 59,591,151 | ||||||
5.00%, 7/1/377 | 1,185,000 | 1,275,449 | ||||||
5.50%, 12/1/18-5/1/36 | 3,499,703 | 3,830,737 | ||||||
6.00%, 5/1/20 | 299,724 | 319,272 | ||||||
6.50%, 6/1/17-11/1/31 | 7,150,173 | 7,995,086 | ||||||
7.00%, 9/1/14-4/1/34 | 3,340,752 | 3,843,201 | ||||||
7.50%, 1/1/33-8/1/33 | 4,013,607 | 4,760,878 | ||||||
8.50%, 7/1/32 | 16,509 | 19,294 | ||||||
| ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 222, Cl. 2, 23.957%, 6/1/234 | 666,648 | 101,081 | ||||||
Series 247, Cl. 2, 45.734%, 10/1/234 | 71,192 | 11,950 | ||||||
Series 252, Cl. 2, 42.723%, 11/1/234 | 682,656 | 118,970 | ||||||
Series 254, Cl. 2, 36.422%, 1/1/244 | 1,217,492 | 199,991 | ||||||
Series 301, Cl. 2, 2.857%, 4/1/294 | 334,067 | 57,627 | ||||||
Series 303, Cl. IO, 10.668%, 11/1/294 | 59,371 | 9,402 | ||||||
Series 319, Cl. 2, 3.32%, 2/1/324 | 269,126 | 46,561 |
OPPENHEIMER CORE BOND FUND 13
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Series 320, Cl. 2, 9.382%, 4/1/324 | $ | 4,509,497 | $ | 656,690 | ||||
Series 321, Cl. 2, 6.441%, 4/1/324 | 811,836 | 139,357 | ||||||
Series 324, Cl. 2, 1.293%, 7/1/324 | 370,760 | 62,720 | ||||||
Series 331, Cl. 9, 2.14%, 2/1/334 | 2,679,496 | 469,118 | ||||||
Series 334, Cl. 14, 0% , 2/1/334,5 | 2,363,703 | 520,665 | ||||||
Series 334, Cl. 15, 0.505%, 2/1/334 | 1,767,349 | 361,556 | ||||||
Series 334, Cl. 17, 12.895%, 2/1/334 | 92,036 | 16,897 | ||||||
Series 339, Cl. 12, 0%, 6/25/334,5 | 2,198,739 | 377,728 | ||||||
Series 339, Cl. 7, 0%, 8/1/334,5 | 2,276,574 | 360,885 | ||||||
Series 343, Cl. 13, 0%, 9/1/334,5 | 2,274,227 | 355,845 | ||||||
Series 343, Cl. 18, 0%, 5/1/344,5 | 1,498,049 | 260,720 | ||||||
Series 345, Cl. 9, 0%, 1/1/344,5 | 977,465 | 150,837 | ||||||
Series 351, Cl. 10, 0%, 4/1/344,5 | 919,164 | 141,773 | ||||||
Series 351, Cl. 8, 0%, 4/1/344,5 | 1,517,592 | 235,337 | ||||||
Series 356, Cl. 10, 0%, 6/1/354,5 | 1,139,921 | 174,881 | ||||||
Series 356, Cl. 12, 0%, 2/1/354,5 | 566,377 | 87,566 | ||||||
Series 362, Cl. 13, 0%, 8/1/354,5 | 1,413,065 | 225,560 | ||||||
Series 364, Cl. 16, 0%, 9/1/354,5 | 1,905,066 | 307,171 | ||||||
Series 365, Cl. 16, 0%, 3/1/364,5 | 1,499,917 | 229,294 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1993-104, Cl. ZB, 6.50%, 7/25/23 | 286,496 | 317,721 | ||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 | 220,831 | 249,469 | ||||||
Series 1996-35, Cl. Z, 7.00%, 7/25/26 | 74,637 | 84,892 | ||||||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 | 417,708 | 473,051 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 | 555,164 | 620,934 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 | 848,570 | 949,351 | ||||||
Series 1999-60, Cl. PG, 7.50%, 12/25/29 | 3,591,615 | 4,163,822 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 | 887,504 | 989,184 | ||||||
Series 2002-10, Cl. FB, 0.693%, 3/25/171 | 64,747 | 65,200 | ||||||
Series 2002-16, Cl. PG, 6.00%, 4/25/17 | 362,578 | 387,103 | ||||||
Series 2002-2, Cl. UC, 6.00%, 2/25/17 | 229,215 | 243,466 | ||||||
Series 2002-56, Cl. FN, 1.193%, 7/25/321 | 487,799 | 500,761 | ||||||
Series 2003-130, Cl. CS, 13.714%, 12/25/331 | 2,677,151 | 3,258,382 | ||||||
Series 2003-21, Cl. FK, 0.593%, 3/25/331 | 152,457 | 153,522 | ||||||
Series 2003-28, Cl. KG, 5.50%, 4/25/23 | 1,152,594 | 1,266,592 | ||||||
Series 2004-101, Cl. BG, 5.00%, 1/25/20 | 927,103 | 983,664 | ||||||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 | 3,862,414 | 4,245,291 | ||||||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 | 10,000,000 | 11,095,695 | ||||||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,480,000 | 2,896,879 | ||||||
Series 2005-71, Cl. DB, 4.50%, 8/25/25 | 916,621 | 997,221 | ||||||
Series 2005-73, Cl. DF, 0.443%, 8/25/351 | 2,028,728 | 2,033,356 | ||||||
Series 2006-50, Cl. SK, 23.492%, 6/25/361 | 893,144 | 1,387,505 | ||||||
Series 2007-109, Cl. NF, 0.743%, 12/25/371 | 2,685,813 | 2,721,372 | ||||||
Series 2009-36, Cl. FA, 1.133%, 6/25/371 | 1,791,639 | 1,817,814 | ||||||
Series 2009-37, Cl. HA, 4.00%, 4/25/19 | 2,305,388 | 2,445,834 | ||||||
Series 2009-70, Cl. PA, 5.00%, 8/25/35 | 118,295 | 118,355 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 914,419 | 966,392 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 2,738,172 | 2,993,016 |
14 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Real Estate Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-15, Cl. SA, 45.053%, 3/17/314 | $ | 372,588 | $ | 63,577 | ||||
Series 2001-61, Cl. SE, 32.273%, 11/18/314 | 402,915 | 82,714 | ||||||
Series 2001-65, Cl. S, 28.892%, 11/25/314 | 861,905 | 185,869 | ||||||
Series 2001-81, Cl. S, 28.768%, 1/25/324 | 123,170 | 25,590 | ||||||
Series 2002-12, Cl. SB, 43.623%, 7/25/314 | 196,754 | 39,663 | ||||||
Series 2002-2, Cl. SW, 45.88%, 2/25/324 | 245,171 | 47,555 | ||||||
Series 2002-38, Cl. SO, 46.87%, 4/25/324 | 122,109 | 22,544 | ||||||
Series 2002-41, Cl. S, 60.029%, 7/25/324 | 1,238,546 | 246,688 | ||||||
Series 2002-47, Cl. NS, 34.643%, 4/25/324 | 395,512 | 79,819 | ||||||
Series 2002-5, Cl. SD, 50.574%, 2/25/324 | 221,974 | 43,322 | ||||||
Series 2002-51, Cl. S, 34.828%, 8/25/324 | 363,156 | 72,689 | ||||||
Series 2002-52, Cl. SD, 37.182%, 9/25/324 | 486,632 | 110,489 | ||||||
Series 2002-60, Cl. SM, 26.565%, 8/25/324 | 1,280,367 | 223,514 | ||||||
Series 2002-60, Cl. SY, 2.817%, 4/25/324 | 1,151,012 | 31,603 | ||||||
Series 2002-64, Cl. SD, 12.253%, 4/25/274 | 504,560 | 104,214 | ||||||
Series 2002-7, Cl. SK, 27.467%, 1/25/324 | 747,732 | 133,671 | ||||||
Series 2002-75, Cl. SA, 30.591%, 11/25/324 | 703,720 | 145,059 | ||||||
Series 2002-77, Cl. BS, 26.516%, 12/18/324 | 1,406,910 | 312,402 | ||||||
Series 2002-77, Cl. IS, 42.563%, 12/18/324 | 208,038 | 48,966 | ||||||
Series 2002-77, Cl. SA, 24.036%, 12/18/324 | 1,217,864 | 228,214 | ||||||
Series 2002-77, Cl. SH, 39.642%, 12/18/324 | 192,251 | 45,692 | ||||||
Series 2002-84, Cl. SA, 36.137%, 12/25/324 | 194,250 | 37,085 | ||||||
Series 2002-89, Cl. S, 52.174%, 1/25/334 | 1,790,291 | 376,743 | ||||||
Series 2002-9, Cl. MS, 30.265%, 3/25/324 | 11,170 | 2,776 | ||||||
Series 2002-90, Cl. SN, 31.498%, 8/25/324 | 1,164,964 | 203,358 | ||||||
Series 2002-90, Cl. SY, 37.003%, 9/25/324 | 617,509 | 115,005 | ||||||
Series 2003-14, Cl. OI, 10.735%, 3/25/334 | 2,874,386 | 417,596 | ||||||
Series 2003-26, Cl. IK, 8.291%, 4/25/334 | 1,030,088 | 182,245 | ||||||
Series 2003-33, Cl. SP, 26.132%, 5/25/334 | 1,175,163 | 293,425 | ||||||
Series 2003-4, Cl. S, 30.559%, 2/25/334 | 372,491 | 72,852 | ||||||
Series 2003-52, Cl. NS, 45.118%, 6/25/234 | 5,419,156 | 706,395 | ||||||
Series 2004-54, Cl. DS, 41.766%, 11/25/304 | 99,678 | 17,584 | ||||||
Series 2004-56, Cl. SE, 11.442%, 10/25/334 | 1,580,163 | 280,157 | ||||||
Series 2005-12, Cl. SC, 11.336%, 3/25/354 | 639,390 | 124,642 | ||||||
Series 2005-40, Cl. SA, 50.577%, 5/25/354 | 922,396 | 166,762 | ||||||
Series 2005-52, Cl. JH, 7.373%, 5/25/354 | 1,640,268 | 337,099 | ||||||
Series 2005-6, Cl. SE, 60.849%, 2/25/354 | 1,370,630 | 222,824 | ||||||
Series 2005-71, Cl. SA, 57.988%, 8/25/254 | 1,494,359 | 210,145 | ||||||
Series 2005-93, Cl. SI, 11.91%, 10/25/354 | 1,341,316 | 236,389 | ||||||
Series 2006-53, Cl. US, 15.751%, 6/25/364 | 107,381 | 15,029 | ||||||
Series 2007-75, Cl. BI, 5.745%, 8/25/374 | 7,902,139 | 1,441,994 | ||||||
Series 2008-46, Cl. EI, 15.663%, 6/25/384 | 7,267,953 | 1,085,448 | ||||||
Series 2008-55, Cl. SA, 17.01%, 7/25/384 | 1,799,241 | 186,353 | ||||||
Series 2009-8, Cl. BS, 0%, 2/25/244,5 | 3,289,681 | 286,038 | ||||||
Series 2012-40, Cl. PI, 0%, 4/25/414,5 | 4,142,187 | 828,983 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.416%, 9/25/236 | 214,270 | 199,134 | ||||||
|
| |||||||
315,835,159 |
OPPENHEIMER CORE BOND FUND 15
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
GNMA/Guaranteed—0.3% | ||||||||
Government National Mortgage Assn. I Pool: | ||||||||
8.50%, 8/15/17-12/15/17 | $ | 53,866 | $ | 57,376 | ||||
10.50%, 12/15/17 | 5,436 | 5,571 | ||||||
| ||||||||
Government National Mortgage Assn. II Pool: | ||||||||
1.75%, 7/20/25-7/20/271 | 11,343 | 11,857 | ||||||
11.00%, 10/20/19 | 5,878 | 6,187 | ||||||
| ||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 68.33%, 1/16/274 | 539,005 | 108,536 | ||||||
Series 2002-15, Cl. SM, 65.07%, 2/16/324 | 589,222 | 127,272 | ||||||
Series 2002-41, Cl. GS, 41.077%, 6/16/324 | 409,603 | 79,983 | ||||||
Series 2002-76, Cl. SY, 66.871%, 12/16/264 | 296,356 | 66,202 | ||||||
Series 2007-17, Cl. AI, 18.246%, 4/16/374 | 3,100,678 | 592,019 | ||||||
Series 2011-52, Cl. HS, 10.51%, 4/16/414 | 9,357,651 | 2,213,553 | ||||||
|
| |||||||
3,268,556 | ||||||||
| ||||||||
Non-Agency—13.5% | ||||||||
| ||||||||
Commercial—8.2% | ||||||||
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 0%, 4/14/294,5 | 1,869,613 | 93,502 | ||||||
| ||||||||
Banc of America Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2006-6, Cl. AM, 5.39%, 10/10/45 | 2,820,000 | 3,000,328 | ||||||
| ||||||||
Bear Stearns ARM Trust, Collateralized Mtg. Obligations, Series 2007-4, Cl. 22A1, 5.252%, 6/25/471 | 2,058,928 | 1,787,478 | ||||||
| ||||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/243,4,5 | 813,492 | 39,535 | ||||||
| ||||||||
CD Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 210,944 | 212,564 | ||||||
| ||||||||
Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2006-J2, Cl. A7, 6%, 4/25/36 | 148,447 | 137,532 | ||||||
| ||||||||
Countrywide Home Loans, Collateralized Mtg. Obligations, Series 2007-J3, Cl. A9, 6%, 7/25/37 | 779,715 | 639,232 | ||||||
| ||||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2008-C7, Cl. AM, 6.339%, 12/10/491 | 2,940,000 | 3,243,330 | ||||||
Series 20113-GCJ11, 4.459%, 4/10/232 | 1,080,000 | 908,181 | ||||||
| ||||||||
Commercial Mortgage Trust: | ||||||||
Series 2012-CR4, Cl. D, 4.731%, 10/15/451,2 | 320,000 | 274,649 | ||||||
Series 2012-CR5, Cl. E, 4.479%, 12/10/451,2 | 510,000 | 428,328 | ||||||
Series 2013-CR7, Cl. D, 4.501%, 3/10/461,2 | 1,180,000 | 967,786 | ||||||
| ||||||||
Commercial Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2010-C1, Cl. XPA, 0.00%, 7/10/462,4,5 | 24,626,639 | 1,214,672 | ||||||
Series 2012-CR5, Cl. XA, 2.836%, 12/10/454 | 17,433,164 | 1,968,178 | ||||||
| ||||||||
Credit Suisse Commercial Mortgage Trust: | ||||||||
Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 | 1,999,410 | 1,511,480 | ||||||
Series 2006-C1, Cl. AJ, 5.569%, 2/15/391 | 1,890,000 | 2,020,852 | ||||||
| ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Collateralized Mtg. Obligations, Series 2005-C6, Cl. AJ, 5.23%, 12/15/401 | 2,750,000 | 2,911,455 | ||||||
| ||||||||
DBUBS Mortgage Trust, Collateralized Mtg. Obligations, Series 2011-LC1A, Cl. E, 5.728%, 11/10/461,2 | 490,000 | 471,694 | ||||||
| ||||||||
EverBank Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2013-1, Cl. A1, 2.25%, 3/25/431,2 | 1,066,831 | 1,043,431 |
16 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
Commercial Continued | ||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35 | $ | 1,728,941 | $ | 1,760,485 | ||||
Series 2005-FA8, Cl. 1A6, 0.843%, 11/25/351 | 2,109,731 | 1,535,633 | ||||||
Series 2005-FA9, Cl. A4A, 5.50%, 12/25/35 | 87,595 | 77,068 | ||||||
Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 1,854,156 | 1,426,497 | ||||||
Series 2007-FA4, Cl. 1A6, 6.25%, 8/25/371 | 2,393,541 | 2,052,390 | ||||||
| ||||||||
FREMF Mortgage Trust: | ||||||||
Series 2013-K25, Cl. C, 3.742%, 11/25/451,2 | 605,000 | 478,861 | ||||||
Series 2013-K26, Cl. C, 3.723%, 12/25/451,2 | 420,000 | 330,942 | ||||||
Series 2013-K27, Cl. C, 3.616%, 1/25/461,2 | 650,000 | 504,793 | ||||||
Series 2013-K28, Cl. C, 3.494%, 6/25/461,2 | 650,000 | 507,099 | ||||||
Series 2013-K712, Cl. C, 3.483%, 5/25/451,2 | 1,080,000 | 925,075 | ||||||
| ||||||||
GE Capital Commercial Mortgage Corp., Collateralized Mtg. Obligations, Series 2005-C4, Cl. AJ, 5.471%, 11/10/451 | 2,595,000 | 2,506,470 | ||||||
| ||||||||
GS Mortgage Securities Trust: | ||||||||
Series 2006-GG6, Cl. AM, 5.622%, 4/10/381 | 2,739,112 | 2,936,076 | ||||||
Series 2011-GC3, Cl. A1, 2.331%, 3/10/442 | 1,151,772 | 1,169,297 | ||||||
| ||||||||
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2005- AR4, Cl. 6A1, 5.25%, 7/25/351 | 1,510,459 | 1,487,797 | ||||||
| ||||||||
IndyMac Index Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2005-AR23, Cl. 6A1, 4.814%, 11/25/351 | 3,115,248 | 2,563,617 | ||||||
| ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45 | 2,800,000 | 2,550,447 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/15/493 | 94,750 | 96,247 | ||||||
Series 2007-LDPX, Cl. A3S, 5.317%, 1/15/49 | 3,980,000 | 4,051,668 | ||||||
Series 2011-C3, Cl. A1, 1.875%, 2/15/462 | 1,224,411 | 1,233,785 | ||||||
| ||||||||
JP Morgan Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-S3, Cl. 1A90, 7%, 8/25/37 | 2,690,104 | 2,469,527 | ||||||
| ||||||||
JPMorgan Resecuritization Trust, Collateralized Mtg. Obligations, Series 2009-5, Cl. 1A2, 2.613%, 7/26/361,2 | 2,789,074 | 2,109,328 | ||||||
| ||||||||
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1998-C1, Cl. IO, 0%, 2/18/304,5 | 910,242 | 18,095 | ||||||
| ||||||||
Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/241,3 | 62,306 | 54,715 | ||||||
| ||||||||
Merrill Lynch Mortgage Trust, Collateralized Mtg. Obligations, Series 2006- C2, Cl. AM, 5.782%, 8/12/431 | 2,800,000 | 3,026,082 | ||||||
| ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C6, Cl. E, 4.82%, 11/15/451,2 | 950,000 | 819,965 | ||||||
Series 2013-C7, Cl. D, 4.444%, 2/15/461,2 | 1,150,000 | 958,740 | ||||||
Series 2013-C8, Cl. D, 4.312%, 12/15/481,2 | 830,000 | 681,251 | ||||||
| ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44 | 3,575,000 | 3,841,352 | ||||||
Series 2007-IQ15, Cl. AM, 6.09%, 6/11/491 | 3,115,000 | 3,364,483 | ||||||
| ||||||||
Morgan Stanley Reremic Trust, Collateralized Mtg. Obligations, Series 2012- R3, Cl. 1B, 2.379%, 11/26/361,3 | 2,371,432 | 1,334,254 | ||||||
| ||||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.- Backed Security, Collateralized Mtg. Obligations, Series 1999-C1, Cl. X, 99.999%, 5/18/324 | 11,554,089 | 6,228 | ||||||
| ||||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2006-4, Cl. 6A, 5.221%, 5/25/361 | 1,497,792 | 1,247,299 | ||||||
Series 2007-6, Cl. 3A1, 4.627%, 7/25/371 | 3,011,328 | 2,431,178 |
OPPENHEIMER CORE BOND FUND 17
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Commercial Continued | ||||||||
UBS-Barclays Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2012-C2, Cl. E, 5.05%, 5/10/631,2 | $ | 460,000 | $ | 408,146 | ||||
| ||||||||
Wachovia Bank Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2006-C28, Cl. AM, 5.603%, 10/15/481 | 2,970,000 | 3,223,136 | ||||||
| ||||||||
WaMu Mortgage Pass-Through Certificates Trust, Collateralized Mtg. Obligations, Series 2005-AR14, Cl. 1A4, 2.514%, 12/25/351 | 1,691,708 | 1,536,735 | ||||||
| ||||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-AR15, Cl. 1A6, 2.613%, 9/25/351 | 269,583 | 249,729 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 | 2,595,738 | 2,707,262 | ||||||
Series 2007-AR3, Cl. A4, 5.696%, 4/25/371 | 819,681 | 770,961 | ||||||
Series 2007-AR8, Cl. A1, 5.98%, 11/25/371 | 2,281,061 | 2,007,544 | ||||||
| ||||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2012-C10, Cl. D, 4.61%, 12/15/451,2 | 480,000 | 398,118 | ||||||
Series 2012-C7, Cl. E, 5.005%, 6/15/451,2 | 840,000 | 732,548 | ||||||
Series 2012-C8, Cl. E, 5.042%, 8/15/451,2 | 935,000 | 817,036 | ||||||
Series 2013-C11, Cl. D, 4.325%, 3/15/451,2 | 481,000 | 390,055 | ||||||
| ||||||||
WFRBS Commercial Mortgage Trust, Interest-Only, Collateralized Mtg. Obligations, Series 2011-C3, Cl. XA, 2.866%, 3/15/442,4 | 27,990,986 | 2,058,303 | ||||||
|
| |||||||
88,730,524 | ||||||||
| ||||||||
Multi-Family—1.1% | ||||||||
Citigroup Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2006-AR3, Cl. 1A2A, 5.531%, 6/25/361 | 1,938,599 | 1,783,298 | ||||||
| ||||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2005-86CB, Cl. A8, 5.50%, 2/25/36 | 417,812 | 388,490 | ||||||
Series 2005-J14, Cl. A7, 5.50%, 12/25/35 | 1,328,370 | 1,146,631 | ||||||
Series 2006-24CB, Cl. A12, 5.75%, 6/25/36 | 812,730 | 676,756 | ||||||
| ||||||||
Countrywide Home Loans, Collateralized Mtg. Obligations, Series 2006-20, Cl. 1A17, 5.75%, 2/25/37 | 3,012,473 | 2,643,796 | ||||||
| ||||||||
JP Morgan Mortgage Trust, Series 2007-A3, Cl. 3A2M, 4.925%, 5/25/371 | 448,976 | 423,373 | ||||||
| ||||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2006-AR2, Cl. 2A3, 2.641%, 3/25/361 | 3,676,501 | 3,548,765 | ||||||
Series 2006-AR6, Cl. 3A1, 2.77%, 3/25/361 | 2,130,715 | 2,022,794 | ||||||
|
| |||||||
12,633,903 | ||||||||
| ||||||||
Other—0.0% | ||||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.- Backed Security, Collateralized Mtg. Obligations, Series 1987-3, Cl. B, 0%, 10/23/174,5 | 61 | 1 | ||||||
| ||||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.- Backed Security, Collateralized Mtg. Obligations, Series 1987-3, Cl. A, 5.68%, 10/23/176 | 90 | 90 | ||||||
|
| |||||||
91 | ||||||||
| ||||||||
Residential—4.2% | ||||||||
Banc of America Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-4, Cl. AM, 6.002%, 2/10/511 | 3,075,000 | 3,337,331 | ||||||
| ||||||||
Banc of America Funding Trust: | ||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 | 1,616,839 | 1,413,349 | ||||||
Series 2007-C, Cl. 1A4, 5.419%, 5/20/361 | 790,961 | 755,959 | ||||||
| ||||||||
Banc of America Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-1, Cl. 1A24, 6%, 3/25/37 | 2,252,347 | 2,191,344 | ||||||
| ||||||||
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.303%, 7/25/361 | 1,129,767 | 1,087,883 |
18 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
Residential Continued | ||||||||
CD Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/491 | $ | 1,215,000 | $ | 1,229,941 | ||||
| ||||||||
Chase Funding Trust, Series 2003-2, Cl. 2A2, 0.753%, 2/25/331 | 402,182 | 368,758 | ||||||
| ||||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2005-21CB, Cl. A7, 5.50%, 6/25/35 | 3,079,584 | 2,792,084 | ||||||
Series 2005-29CB, Cl. A4, 5.00%, 7/25/35 | 2,067,855 | 1,607,098 | ||||||
Series 2007-19, Cl. 1A34, 6.00%, 8/25/37 | 3,411,760 | 2,621,990 | ||||||
| ||||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.148%, 5/25/361 | 1,793,106 | 1,766,061 | ||||||
Series 2006-25, Cl. 2A2, 0.313%, 6/25/471 | 575,485 | 571,571 | ||||||
| ||||||||
Countrywide Home Loans: | ||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 | 1,419,321 | 1,351,592 | ||||||
Series 2005-29, Cl. A1, 5.75%, 12/25/35 | 1,565,657 | 1,436,877 | ||||||
Series 2006-17, Cl. A2, 6.00%, 12/25/36 | 5,030,001 | 4,517,366 | ||||||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 | 1,027,112 | 957,691 | ||||||
Series 2007-15, Cl. 1A29, 6.25%, 9/25/37 | 1,815,862 | 1,701,082 | ||||||
| ||||||||
Credit Suisse Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-3, Cl. 2A10, 6%, 4/25/37 | 1,172,390 | 1,014,693 | ||||||
| ||||||||
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2006-5F, Cl. 2A1, 6%, 6/25/36 | 1,069,959 | 1,042,593 | ||||||
| ||||||||
JP Morgan Alternative Loan Trust, Series 2006-S4, Cl. A6, 5.71%, 12/25/361 | 2,707,180 | 2,527,012 | ||||||
| ||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.705%, 12/25/341 | 931,935 | 933,383 | ||||||
| ||||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/293,8 | 1,750,658 | 118,169 | ||||||
| ||||||||
RALI Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 191,670 | 196,545 | ||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | 266,878 | 206,665 | ||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,359,122 | 1,072,612 | ||||||
| ||||||||
Residential Asset Securitization Trust: | ||||||||
Series 2005-A15, Cl. 1A4, 5.75%, 2/25/36 | 566,963 | 508,914 | ||||||
Series 2005-A6CB, Cl. A7, 6.00%, 6/25/35 | 660,827 | 636,857 | ||||||
| ||||||||
WaMu Mortgage Pass Through Certificates Trust, Collateralized Mtg. | ||||||||
Obligations, Series 2007-HY6, Cl. 2A1, 4.638%, 6/25/371 | 813,513 | 659,958 | ||||||
| ||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR18, | ||||||||
Cl. 3A1, 4.484%, 1/25/371 | 1,055,313 | 904,719 | ||||||
| ||||||||
WaMu Mortgage-Pass Through Certificates Trust, Collateralized Mtg. | ||||||||
Obligations, Series 2007-HY5, Cl. 3A1, 4.981%, 5/25/371 | 1,670,609 | 1,611,065 | ||||||
| ||||||||
Wells Fargo Alternative Loan Trust, Collateralized Mtg. Obligations, Series | ||||||||
2007-PA5, Cl. 1A1, 6.25%, 11/25/37 | 2,453,187 | 2,293,389 | ||||||
| ||||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 984,989 | 1,013,330 | ||||||
Series 2006-AR14, Cl. 1A2, 5.626%, 10/25/361 | 1,718,423 | 1,618,959 | ||||||
|
| |||||||
46,066,840 | ||||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $458,179,573) | 466,535,073 | |||||||
| ||||||||
Corporate Bonds and Notes—41.7% | ||||||||
| ||||||||
Consumer Discretionary—5.8% | ||||||||
| ||||||||
Auto Components—0.3% | ||||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 | 2,745,000 | 2,930,287 |
OPPENHEIMER CORE BOND FUND 19
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Automobiles—1.3% | ||||||||
Daimler Finance North America LLC: | ||||||||
1.30% Sr. Unsec. Nts., 7/31/152 | $ | 2,756,000 | $ | 2,763,130 | ||||
8.50% Sr. Unsec. Unsub. Nts., 1/18/31 | 1,581,000 | 2,244,463 | ||||||
| ||||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Unsub. Nts., 8/2/21 | 6,232,000 | 6,802,172 | ||||||
| ||||||||
General Motors Financial Co., Inc., 4.25% Sr. Unsec. Nts., 5/15/232 | 2,382,000 | 2,224,192 | ||||||
|
| |||||||
14,033,957 | ||||||||
| ||||||||
Hotels, Restaurants & Leisure—0.4% | ||||||||
Brinker International, Inc.: | ||||||||
2.60% Sr. Unsec. Nts., 5/15/18 | 915,000 | 896,248 | ||||||
3.875% Sr. Unsec. Nts., 5/15/23 | 915,000 | 859,308 | ||||||
| ||||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 | 1,788,000 | 2,161,408 | ||||||
|
| |||||||
3,916,964 | ||||||||
| ||||||||
Household Durables—0.6% | ||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 | 2,959,000 | 3,118,046 | ||||||
| ||||||||
Lennar Corp., 4.125% Sr. Unsec. Nts., 12/1/182 | 2,990,000 | 2,847,975 | ||||||
|
| |||||||
5,966,021 | ||||||||
| ||||||||
Media—1.7% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 1,751,000 | 2,480,689 | ||||||
| ||||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 | 1,750,000 | 1,686,541 | ||||||
| ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42 | 933,000 | 836,087 | ||||||
| ||||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 | 400,000 | 543,762 | ||||||
| ||||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
6.25% Sr. Unsec. Nts., 11/15/14 | 2,269,000 | 2,411,039 | ||||||
10.00% Sr. Unsec. Nts., 7/15/17 | 2,881,000 | 3,040,031 | ||||||
| ||||||||
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23 | 3,115,000 | 3,005,975 | ||||||
| ||||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 | 1,048,000 | 1,169,000 | ||||||
| ||||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Unsec. Nts., 7/15/33 | 1,542,000 | 1,823,540 | ||||||
| ||||||||
WPP Finance 2010, 5.125% Sr. Unsec. Unsub. Nts., 9/7/42 | 880,000 | 815,801 | ||||||
|
| |||||||
17,812,465 | ||||||||
| ||||||||
Multiline Retail—0.7% | ||||||||
Dollar General Corp., 4.125% Nts., 7/15/17 | 3,080,000 | 3,250,743 | ||||||
| ||||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 | 4,350,000 | 4,560,436 | ||||||
|
| |||||||
7,811,179 | ||||||||
| ||||||||
Specialty Retail—0.3% | ||||||||
Rent-A-Center, Inc., 4.75% Sr. Unsec. Nts., 5/1/212 | 2,956,000 | 2,815,590 | ||||||
| ||||||||
Textiles, Apparel & Luxury Goods—0.5% | ||||||||
Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20 | 2,511,000 | 2,689,909 | ||||||
| ||||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | 2,925,000 | 2,822,625 | ||||||
|
| |||||||
5,512,534 | ||||||||
| ||||||||
Consumer Staples—2.6% | ||||||||
| ||||||||
Beverages—1.2% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 2,213,000 | 3,259,674 | ||||||
| ||||||||
Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13 | 3,180,000 | 3,208,658 | ||||||
| ||||||||
Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21 | 2,863,000 | 2,687,641 | ||||||
| ||||||||
Foster’s Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/142 | 2,875,000 | 3,017,051 | ||||||
| ||||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/422 | 1,406,000 | 1,404,924 | ||||||
|
| |||||||
13,577,948 |
20 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
Food & Staples Retailing—0.4% | ||||||||
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40 | $ | 1,462,000 | $ | 1,394,893 | ||||
| ||||||||
Safeway, Inc., 5.625% Sr. Unsec. Nts., 8/15/14 | 2,613,000 | 2,742,534 | ||||||
| ||||||||
Wal-Mart Stores, Inc., 4% Sr. Unsec. Unsub. Nts., 4/11/43 | 1,373,000 | 1,257,783 | ||||||
|
| |||||||
5,395,210 | ||||||||
| ||||||||
Food Products—0.4% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.10% Sr. Unsec. Unsub. Nts., 7/15/15 | 2,275,000 | 2,446,801 | ||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 397,000 | 409,313 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 1,956,000 | 2,416,043 | ||||||
|
| |||||||
5,272,157 | ||||||||
| ||||||||
Personal Products—0.2% | ||||||||
Avon Products, Inc., 4.60% Sr. Unsec. Nts., 3/15/20 | 2,481,000 | 2,510,422 | ||||||
| ||||||||
Tobacco—0.4% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 1,495,000 | 2,258,526 | ||||||
| ||||||||
Lorillard Tobacco Co., 3.75% Sr. Unsec. Nts., 5/20/23 | 2,824,000 | 2,609,416 | ||||||
|
| |||||||
4,867,942 | ||||||||
| ||||||||
Energy—6.6% | ||||||||
| ||||||||
Energy Equipment & Services—0.8% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 3,172,000 | 3,371,611 | ||||||
| ||||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Nts., 3/15/14 | 2,633,000 | 2,747,801 | ||||||
| ||||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22 | 2,123,000 | 2,193,343 | ||||||
| ||||||||
Weatherford International Ltd. Bermuda, 4.50% Sr. Unsec. Unsub. Nts., 4/15/22 | 1,525,000 | 1,509,572 | ||||||
|
| |||||||
9,822,327 | ||||||||
| ||||||||
Oil, Gas & Consumable Fuels—5.8% | ||||||||
Anadarko Petroleum Corp.: | ||||||||
6.20% Sr. Unsec. Nts., 3/15/40 | 1,085,000 | 1,222,728 | ||||||
7.625% Sr. Unsec. Nts., 3/15/14 | 2,092,000 | 2,189,404 | ||||||
| ||||||||
Apache Corp., 4.25% Sr. Unsec. Unsub. Nts., 1/15/44 | 735,000 | 659,194 | ||||||
| ||||||||
Buckeye Partners LP, 4.15% Sr. Unsec. Nts., 7/1/23 | 1,605,000 | 1,563,792 | ||||||
| ||||||||
Canadian Oil Sands Ltd.: | ||||||||
5.80% Sr. Unsec. Nts., 8/15/132 | 2,907,000 | 2,922,864 | ||||||
6.00% Sr. Unsec. Nts., 4/1/422 | 1,226,000 | 1,267,862 | ||||||
| ||||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 | 2,650,000 | 2,756,000 | ||||||
| ||||||||
CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec. Unsub. Nts., 5/9/43 | 998,000 | 841,068 | ||||||
| ||||||||
Concho Resources, Inc., 5.50% Sr. Unsec. Unsub. Nts., 4/1/23 | 2,770,000 | 2,742,300 | ||||||
| ||||||||
Continental Resources, Inc., 4.50% Sr. Unsec. Unsub. Nts., 4/15/232 | 2,929,000 | 2,852,114 | ||||||
| ||||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.125% Sr. Unsec. Unsub. Nts., 4/1/21 | 4,695,000 | 5,246,662 | ||||||
| ||||||||
DCP Midstream LLC, 5.85% Jr. Sub. Nts., 5/21/431,2 | 2,891,000 | 2,789,815 | ||||||
| ||||||||
DCP Midstream Operating LP: | ||||||||
2.50% Sr. Unsec. Unsub. Nts., 12/1/17 | 2,750,000 | 2,716,406 | ||||||
3.875% Sr. Unsec. Nts., 3/15/23 | 1,425,000 | 1,338,350 | ||||||
| ||||||||
El Paso Pipeline Partners Operating Co. LLC, 4.70% Sr. Unsec. Unsub. Nts., 11/1/42 | 2,106,000 | 1,878,047 | ||||||
| ||||||||
Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14 | 2,264,000 | 2,397,854 | ||||||
| ||||||||
EnCana Holdings Finance Corp., 5.80% Sr. Unsec. Unsub. Nts., 5/1/14 | 1,463,000 | 1,520,996 |
OPPENHEIMER CORE BOND FUND 21
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Energy Transfer Partners LP: | ||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 | $ | 2,266,000 | $ | 2,347,750 | ||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 | 884,000 | 936,628 | ||||||
8.50% Sr. Unsec. Nts., 4/15/14 | 2,216,000 | 2,344,699 | ||||||
| ||||||||
NuStar Logistics LP, 4.75% Sr. Unsec. Unsub. Nts., 2/1/22 | 2,670,000 | 2,497,828 | ||||||
| ||||||||
Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21 | 2,789,000 | 2,886,615 | ||||||
| ||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142 | 2,768,000 | 2,902,940 | ||||||
| ||||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152 | 3,097,000 | 3,081,515 | ||||||
| ||||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22 | 1,556,000 | 1,551,338 | ||||||
| ||||||||
Talisman Energy, Inc.: | ||||||||
5.125% Sr. Unsec. Nts., 5/15/15 | 2,167,000 | 2,316,542 | ||||||
6.25% Sr. Unsec. Unsub. Nts., 2/1/38 | 815,000 | 878,938 | ||||||
| ||||||||
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23 | 1,502,000 | 1,397,414 | ||||||
| ||||||||
Woodside Finance Ltd.: | ||||||||
4.60% Sr. Unsec. Unsub. Nts., 5/10/212 | 2,232,000 | 2,350,501 | ||||||
5.00% Sr. Unsec. Nts., 11/15/132 | 2,979,000 | 3,022,771 | ||||||
|
| |||||||
65,420,935 | ||||||||
| ||||||||
Financials—13.2% | ||||||||
| ||||||||
Capital Markets—3.0% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192 | 3,819,000 | 4,471,759 | ||||||
| ||||||||
Carlyle Holdings II Finance LLC, 5.625% Sr. Sec. Nts., 3/30/432 | 1,421,000 | 1,349,241 | ||||||
| ||||||||
Deutsche Bank AG, 4.296% Sub. Nts., 5/24/281 | 2,886,000 | 2,668,445 | ||||||
| ||||||||
Goldman Sachs Capital I, 6.345% Sub. Nts., 2/15/34 | 2,839,000 | 2,737,733 | ||||||
| ||||||||
Goldman Sachs Group, Inc. (The), 6.25% Sr. Unsec. Nts., 2/1/41 | 2,816,000 | 3,199,131 | ||||||
| ||||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212 | 4,420,000 | 4,681,836 | ||||||
| ||||||||
Morgan Stanley, 6.375% Sr. Unsec. Nts., 7/24/42 | 1,837,000 | 2,058,680 | ||||||
| ||||||||
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16 | 5,428,000 | 5,370,670 | ||||||
| ||||||||
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 | 2,772,000 | 2,923,714 | ||||||
| ||||||||
UBS AG (Stamford, CT), 2.25% Sr. Unsec. Nts., 8/12/13 | 714,000 | 715,442 | ||||||
| ||||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 11,9 | 3,313,000 | 3,424,814 | ||||||
|
| |||||||
33,601,465 | ||||||||
| ||||||||
Commercial Banks—3.6% | ||||||||
Amsouth Bank NA, 5.20% Sub. Nts., 4/1/15 | 2,723,000 | 2,826,292 | ||||||
| ||||||||
Barclays Bank plc, 5.14% Sub. Nts., 10/14/20 | 2,737,000 | 2,768,144 | ||||||
| ||||||||
BPCE SA, 1.70% Sr. Unsec. Nts., 4/25/16 | 4,648,000 | 4,617,514 | ||||||
| ||||||||
Fifth Third Capital Trust IV, 6.50% Jr. Sub. Nts., 4/15/371 | 5,277,000 | 5,277,000 | ||||||
| ||||||||
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/351 | 7,750,000 | 7,831,375 | ||||||
| ||||||||
LBG Capital No. 1 plc, 7.875% Unsec. Sub. Nts., 11/1/202 | 2,555,000 | 2,662,310 | ||||||
| ||||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202 | 2,530,000 | 2,700,003 | ||||||
| ||||||||
PNC Financial Services Group, Inc. (The), 4.85% Jr. Sub. Perpetual Bonds1,9 | 3,014,000 | 2,818,090 | ||||||
| ||||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U1,9 | 2,900,000 | 2,624,500 | ||||||
| ||||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K1,9 | 3,481,000 | 3,940,057 | ||||||
|
| |||||||
38,065,285 | ||||||||
| ||||||||
Consumer Finance—0.3% | ||||||||
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22 | 3,310,000 | 3,112,598 | ||||||
| ||||||||
Diversified Financial Services—2.4% | ||||||||
Bank of America Corp., 5.20% Jr. Sub. Perpetual Bonds1,9 | 2,886,000 | 2,727,270 |
22 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
Diversified Financial Services Continued | ||||||||
Citigroup, Inc.: | ||||||||
3.375% Sr. Unsec. Unsub. Nts., 3/1/23 | $ | 2,151,000 | $ | 2,060,617 | ||||
Series D, 5.95% Jr. Sub. Perpetual Bonds1,9 | 2,880,000 | 2,869,488 | ||||||
| ||||||||
ING US, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 7/15/222 | 1,737,000 | 1,850,051 | ||||||
5.65% Unsec. Sub. Nts., 5/15/531,2 | 2,377,000 | 2,240,322 | ||||||
| ||||||||
Jefferies Group LLC, 5.125% Sr. Unsec. Nts., 1/20/23 | 1,495,000 | 1,485,419 | ||||||
| ||||||||
JPMorgan Chase & Co.: | ||||||||
Series 1, 7.90% Jr. Sub. Perpetual Bonds1,9 | 5,394,000 | 6,101,407 | ||||||
Series Q, 5.15% Jr. Sub. Perpetual Bonds1,9 | 817,000 | 782,277 | ||||||
| ||||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Nts., 5/14/38 | 2,412,000 | 2,769,536 | ||||||
| ||||||||
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds1,2,9 | 4,537,000 | 4,559,685 | ||||||
|
| |||||||
27,446,072 | ||||||||
| ||||||||
Insurance—2.5% | ||||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 2,298,000 | 2,589,428 | ||||||
5.875% Sr. Unsec. Unsub. Nts., 8/15/20 | 1,534,000 | 1,737,866 | ||||||
| ||||||||
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/152 | 2,825,000 | 2,971,075 | ||||||
| ||||||||
Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/232 | 2,260,000 | 2,186,740 | ||||||
| ||||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/671 | 5,125,000 | 5,046,485 | ||||||
| ||||||||
Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 7/15/14 | 667,000 | 696,686 | ||||||
| ||||||||
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/441 | 1,994,000 | 1,891,808 | ||||||
| ||||||||
QBE Insurance Group Ltd., 2.40% Sr. Unsec. Nts., 5/1/182 | 3,455,000 | 3,389,638 | ||||||
| ||||||||
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,2,9 | 4,962,000 | 5,148,075 | ||||||
|
| |||||||
25,657,801 | ||||||||
| ||||||||
Real Estate Investment Trusts (REITs)—1.4% | ||||||||
American Tower Corp.: | ||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 1,185,000 | 1,246,621 | ||||||
7.00% Sr. Unsec. Nts., 10/15/17 | 2,465,000 | 2,857,768 | ||||||
| ||||||||
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/202 | 1,080,000 | 1,058,400 | ||||||
| ||||||||
Hospitality Properties Trust, 5.125% Sr. Unsec. Nts., 2/15/15 | 2,830,000 | 2,931,164 | ||||||
| ||||||||
Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23 | 1,981,000 | 1,819,531 | ||||||
| ||||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Nts., 6/15/14 | 2,147,000 | 2,247,140 | ||||||
| ||||||||
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/142 | 2,683,000 | 2,850,602 | ||||||
|
| |||||||
15,011,226 | ||||||||
| ||||||||
Health Care—1.4% | ||||||||
| ||||||||
Biotechnology—0.7% | ||||||||
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22 | 2,732,000 | 2,734,860 | ||||||
| ||||||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 | 3,363,000 | 3,193,892 | ||||||
| ||||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41 | 1,531,000 | 1,710,882 | ||||||
|
| |||||||
7,639,634 | ||||||||
| ||||||||
Health Care Providers & Services—0.4% | ||||||||
Cardinal Health, Inc.: | ||||||||
1.70% Sr. Unsec. Nts., 3/15/18 | 970,000 | 941,830 | ||||||
3.20% Sr. Unsec. Nts., 3/15/23 | 1,455,000 | 1,359,791 | ||||||
| ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 1,440,000 | 1,691,873 | ||||||
|
| |||||||
3,993,494 |
OPPENHEIMER CORE BOND FUND 23
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Pharmaceuticals—0.3% | ||||||||
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/182 | $ | 994,000 | $ | 983,339 | ||||
| ||||||||
Zoetis, Inc.: | ||||||||
1.875% Sr. Unsec. Nts., 2/1/182 | 987,000 | 966,926 | ||||||
4.70% Sr. Unsec. Nts., 2/1/432 | 1,482,000 | 1,390,857 | ||||||
|
| |||||||
3,341,122 | ||||||||
| ||||||||
Industrials—3.4% | ||||||||
| ||||||||
Aerospace & Defense—0.5% | ||||||||
B/E Aerospace, Inc., 5.25% Sr. Unsec. Nts., 4/1/22 | 2,166,000 | 2,166,000 | ||||||
| ||||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 | 2,933,000 | 3,167,640 | ||||||
|
| |||||||
5,333,640 | ||||||||
| ||||||||
Building Products—0.2% | ||||||||
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 | 2,192,000 | 2,126,891 | ||||||
| ||||||||
Commercial Services & Supplies—0.3% | ||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20 | 3,175,000 | 3,238,500 | ||||||
| ||||||||
Industrial Conglomerates—0.9% | ||||||||
General Electric Capital Corp.: | ||||||||
5.25% Jr. Sub. Perpetual Bonds1,9 | 2,972,000 | 2,845,690 | ||||||
6.375% Unsec. Sub. Nts., 11/15/671 | 6,149,000 | 6,410,332 | ||||||
|
| |||||||
9,256,022 | ||||||||
| ||||||||
Machinery—0.6% | ||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16 | 3,214,000 | 3,438,980 | ||||||
| ||||||||
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/232 | 2,303,000 | 2,291,771 | ||||||
| ||||||||
National Rural Utilities Cooperative Finance Corp., 4.75% Sr. Unsec. Sub. Nts., 4/30/431 | 1,518,000 | 1,480,050 | ||||||
|
| |||||||
7,210,801 | ||||||||
| ||||||||
Professional Services—0.2% | ||||||||
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/202 | 2,760,000 | 2,663,400 | ||||||
| ||||||||
Road & Rail—0.5% | ||||||||
Kansas City Southern Railway, 4.30% Sr. Unsec. Nts., 5/15/432 | 1,151,000 | 1,042,341 | ||||||
| ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: | ||||||||
2.50% Sr. Unsec. Nts., 7/11/142 | 2,909,000 | 2,951,204 | ||||||
4.25% Sr. Unsec. Nts., 1/17/232 | 1,512,000 | 1,496,705 | ||||||
|
| |||||||
5,490,250 | ||||||||
| ||||||||
Trading Companies & Distributors—0.2% | ||||||||
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19 | 2,660,000 | 2,699,900 | ||||||
| ||||||||
Information Technology—1.7% | ||||||||
| ||||||||
Computers & Peripherals—0.7% | ||||||||
Apple, Inc., 3.85% Sr. Unsec. Unsub. Nts., 5/4/43 | 744,000 | 664,433 | ||||||
| ||||||||
Hewlett-Packard Co.: | ||||||||
2.65% Sr. Unsec. Unsub. Nts., 6/1/16 | 5,095,000 | 5,196,187 | ||||||
4.75% Sr. Unsec. Nts., 6/2/14 | 1,425,000 | 1,469,858 | ||||||
|
| |||||||
7,330,478 | ||||||||
| ||||||||
Electronic Equipment, Instruments, & Components—0.7% | ||||||||
Amphenol Corp., 4.75% Sr. Unsec. Nts., 11/15/14 | 848,000 | 888,872 | ||||||
| ||||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 | 3,515,000 | 3,607,525 | ||||||
| ||||||||
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22 | 3,275,000 | 3,266,138 | ||||||
|
| |||||||
7,762,535 | ||||||||
| ||||||||
IT Services—0.1% | ||||||||
Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23 | 1,429,000 | 1,292,462 |
24 OPPENHEIMER CORE BOND FUND
Principal Amount | Value | |||||||
| ||||||||
Office Electronics—0.2% | ||||||||
Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15 | $ | 2,652,000 | $ | 2,771,353 | ||||
| ||||||||
Materials—2.6% | ||||||||
| ||||||||
Chemicals—0.6% | ||||||||
Agrium, Inc., 6.125% Sr. Unsec. Unsub. Nts., 1/15/41 | 521,000 | 568,082 | ||||||
| ||||||||
CF Industries, Inc., 4.95% Sr. Unsec. Nts., 6/1/43 | 1,182,000 | 1,127,868 | ||||||
| ||||||||
Dow Chemical Co., 8.55% Sr. Unsec. Nts., 5/15/19 | 1,730,000 | 2,209,034 | ||||||
| ||||||||
Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42 | 1,082,000 | 1,029,014 | ||||||
| ||||||||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 | 1,502,000 | 1,403,183 | ||||||
| ||||||||
Sherwin-Williams Co., 4% Sr. Unsec. Unsub. Nts., 12/15/42 | 1,597,000 | 1,449,244 | ||||||
|
| |||||||
7,786,425 | ||||||||
| ||||||||
Containers & Packaging—0.5% | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 | 2,937,000 | 3,127,905 | ||||||
| ||||||||
Rock Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20 | 2,837,000 | 2,778,932 | ||||||
|
| |||||||
5,906,837 | ||||||||
| ||||||||
Metals & Mining—1.2% | ||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 | 1,722,000 | 1,831,304 | ||||||
| ||||||||
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23 | 951,000 | 928,273 | ||||||
| ||||||||
Cliffs Natural Resources, Inc., 3.95% Sr. Unsec. Unsub. Nts., 1/15/18 | 2,613,000 | 2,498,182 | ||||||
| ||||||||
Freeport-McMoRan Copper & Gold, Inc., 3.875% Sr. Unsec. Nts., 3/15/232 | 2,900,000 | 2,628,403 | ||||||
| ||||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 2,070,000 | 2,187,371 | ||||||
6.00% Sr. Unsec. Unsub. Nts., 10/15/15 | 2,552,000 | 2,780,238 | ||||||
|
| |||||||
12,853,771 | ||||||||
| ||||||||
Paper & Forest Products—0.3% | ||||||||
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/232 | 2,074,000 | 2,020,209 | ||||||
| ||||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 | 1,333,000 | 1,424,397 | ||||||
|
| |||||||
3,444,606 | ||||||||
| ||||||||
Telecommunication Services—2.5% | ||||||||
| ||||||||
Diversified Telecommunication Services—2.1% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Unsub. Nts., 1/15/38 | 3,576,000 | 3,992,379 | ||||||
| ||||||||
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 | 1,780,000 | 2,688,389 | ||||||
| ||||||||
CenturyLink, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/20 | 2,918,000 | 2,961,770 | ||||||
| ||||||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 | 2,863,000 | 3,170,772 | ||||||
| ||||||||
MetroPCS Wireless, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/212 | 2,930,000 | 2,992,263 | ||||||
| ||||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 2,509,000 | 2,560,690 | ||||||
| ||||||||
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 1,850,000 | 2,042,063 | ||||||
| ||||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 2,135,000 | 2,496,577 | ||||||
|
| |||||||
22,904,903 | ||||||||
| ||||||||
Wireless Telecommunication Services—0.4% | ||||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 | 2,285,000 | 1,960,932 | ||||||
| ||||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849% Sr. Sec. Nts., | ||||||||
4/15/23 | 1,573,000 | 1,485,356 | ||||||
| ||||||||
Vodafone Group plc, 4.375% Sr. Unsec. Unsub. Nts., 2/19/43 | 1,538,000 | 1,384,720 | ||||||
|
| |||||||
4,831,008 | ||||||||
| ||||||||
Utilities—1.9% | ||||||||
Electric Utilities—1.5% | ||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 | 3,002,000 | 3,176,978 | ||||||
| ||||||||
Electricite de France SA, 5.25% Jr. Sub. Perpetual Bonds1,2,9 | 2,372,000 | 2,271,818 |
OPPENHEIMER CORE BOND FUND 25
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
| ||||||||
Electric Utilities Continued | ||||||||
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22 | $ | 1,525,000 | $ | 1,527,147 | ||||
| ||||||||
FirstEnergy Corp., 2.75% Sr. Unsec. Nts., 3/15/18 | 1,536,000 | 1,496,442 | ||||||
| ||||||||
Great Plains Energy, Inc., 2.766% Sr. Unsec. Nts., 8/15/13 | 2,763,000 | 2,768,951 | ||||||
| ||||||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/437 | 1,214,000 | 1,231,434 | ||||||
| ||||||||
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 | 2,180,000 | 2,088,429 | ||||||
| ||||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Unsub. Nts., 5/1/212 | 2,845,000 | 3,123,432 | ||||||
|
| |||||||
17,684,631 | ||||||||
| ||||||||
Energy Traders—0.3% | ||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 | 2,889,000 | 2,953,728 | ||||||
| ||||||||
Multi-Utilities—0.1% | ||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 | 1,051,000 | 1,136,915 | ||||||
|
| |||||||
Total Corporate Bonds and Notes (Cost $460,118,796) | 462,213,691 | |||||||
| ||||||||
U.S. Government Obligations—4.1% |
| |||||||
| ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
0.875%, 3/7/18 | 3,755,000 | 3,637,776 | ||||||
1.375%, 5/1/20 | 3,524,000 | 3,342,768 | ||||||
2.375%, 1/13/22 | 5,830,000 | 5,673,080 | ||||||
5.25%, 4/18/16 | 2,650,000 | 2,984,597 | ||||||
| ||||||||
Federal National Mortgage Assn. Nts., 0.875%, 5/21/18 | 3,484,000 | 3,371,160 | ||||||
| ||||||||
U.S. Treasury Bonds, 7.50%, 11/15/1610 | 7,700,000 | 9,413,550 | ||||||
| ||||||||
U.S. Treasury Nts., 5.125%, 5/15/16 | 14,830,000 | 16,727,202 | ||||||
|
| |||||||
Total U.S. Government Obligations (Cost $44,312,239) | 45,150,133 | |||||||
Shares | ||||||||
| ||||||||
Investment Company—11.8% |
| |||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.11%11,12 (Cost $131,040,512) | 131,040,512 | 131,040,512 | ||||||
| ||||||||
Total Investments, at Value (Cost $1,261,316,400) | 114.9 | % | 1,272,241,138 | |||||
| ||||||||
Liabilities in Excess of Other Assets | (14.9 | ) | (164,555,024 | ) | ||||
|
| |||||||
Net Assets | 100.0 | % | $ | 1,107,686,114 | ||||
|
|
Footnotes to Statement of Investments
*June 28, 2013 represents the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes.
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 $186,347,567 or 16.82% of the Fund’s net assets as of June 28, 2013.
26 OPPENHEIMER CORE BOND FUND
Footnotes to Statement of Investment Continued
3. Restricted security. The aggregate value of restricted securities as of June 28, 2013 was $3,272,441, which represents 0.30% of the Fund’s net assets. See Note 7 of the accompanying Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates | Cost | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
| ||||||||||||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/24 | 4/21/97 | $ | 169,651 | $ | 39,535 | $ | (130,116) | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/15/49 | 7/14/10 | 93,565 | 96,247 | 2,682 | ||||||||||||
Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 | 1/28/02 | 61,041 | 54,715 | (6,326) | ||||||||||||
Morgan Stanley Reremic Trust, Collateralized Mtg. Obligations, Series 2012-R3, Cl. 1B, 2.379%, 11/26/36 | 10/24/12 | 1,165,210 | 1,334,254 | 169,044 | ||||||||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/29 | 8/10/10 | 1,703,335 | 118,169 | (1,585,166) | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2011- S1A, Cl. D, 3.10%, 5/15/17 | 2/4/11-2/9/12 | 503,167 | 503,961 | 794 | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2011- S2A, Cl. D, 3.35%, 6/15/17 | 5/19/11-4/9/13 | 1,120,356 | 1,125,560 | 5,204 | ||||||||||||
|
| |||||||||||||||
$ | 4,816,325 | $ | 3,272,441 | $ | (1,543,884) | |||||||||||
|
|
4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $32,163,634 or 2.90% of the Fund’s net assets as of June 28, 2013.
5. Interest rate is less than 0.0005%.
6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $283,303 or 0.03% of the Fund’s net assets as of June 28, 2013.
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after June 28, 2013. See Note 1 of the accompanying Notes.
8. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes.
9. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.
OPPENHEIMER CORE BOND FUND 27
STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Statement of Investment Continued
10. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,409,787. See Note 6 of the accompanying Notes.
11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 28, 2013, 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 December 31, 2012 | Gross Additions | Gross Reductions | Shares June 28, | |||||||||||||
| ||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 225,847,537 | 179,257,865 | 274,064,890 | 131,040,512 | ||||||||||||
Value | Income | |||||||||||||||
| ||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
| $ | 131,040,512 | $ | 100,653 |
12. Rate shown is the 7-day yield as of June 28, 2013.
|
Futures Contracts as of June 28, 2013: |
Description | Buy/Sell | Number of Contracts | Expiration Date | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
U.S. Treasury Long Bonds | Sell | 90 | 9/19/13 | $ | 12,225,938 | $ | (17,172) | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 277 | 9/30/13 | 60,940,000 | 53,168 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 560 | 9/30/13 | 67,786,253 | 1,325,372 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 111 | 9/19/13 | 14,048,438 | 3,155 | |||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 329 | 9/19/13 | 48,465,813 | (2,888,645) | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,524,122) | |||||||||||||||||||
|
|
|
| |||||||||||||
Over-the-Counter Credit Default Swap Contracts as of June 28, 2013 are as follows: |
Reference Entity/ Swap Counterparty | Buy/Sell Credit Protection | Notional Amount (000’s) | Pay/ Receive Fixed Rate | Termi- nation Date | Premiums Received/ (Paid) | Value | Unrealized Depreciation | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
CDX.NA.IG.20 | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | $ | 50,000 | 1.00 | % | 6/20/18 | $ | 175,181 | $ | (356,147 | ) | $ | 180,966 |
See accompanying Notes to Financial Statements.
28 OPPENHEIMER CORE BOND FUND
ASSETS AND LIABILITIES June 28, 20131 / Unaudited |
| ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,130,275,888) | $ | 1,141,200,626 | ||
Affiliated companies (cost $131,040,512) | 131,040,512 | |||
|
| |||
1,272,241,138 | ||||
| ||||
Cash used for collateral on OTC derivatives | 1,487,807 | |||
| ||||
Receivables and other assets: | ||||
Investments sold (including $105,868,596 sold on a when-issued or delayed delivery basis) | 156,095,033 | |||
Shares of beneficial interest sold | 20,565,252 | |||
Interest, dividends and principal paydowns | 8,106,166 | |||
Variation margin receivable | 404,726 | |||
Other | 23,409 | |||
|
| |||
Total assets | 1,458,923,531 | |||
| ||||
Liabilities | ||||
Bank overdraft | 11,286 | |||
| ||||
Swaps, at value (premiums received $175,181) | 356,147 | |||
| ||||
Payables and other liabilities: | ||||
Investments purchased (including $288,389,688 purchased on a when-issued or delayed delivery basis) | 338,755,317 | |||
Shares of beneficial interest redeemed | 11,620,342 | |||
Dividends payable | 138,159 | |||
Distribution and service plan fees | 122,818 | |||
Transfer and shareholder servicing agent fees | 116,242 | |||
Trustees’ compensation | 48,638 | |||
Variation margin payable | 13,947 | |||
Other | 54,521 | |||
|
| |||
Total liabilities | 351,237,417 | |||
| ||||
Net Assets | $ | 1,107,686,114 | ||
|
| |||
| ||||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 164,491 | ||
| ||||
Additional paid-in capital | 1,566,685,328 | |||
| ||||
Accumulated net investment income | 861,146 | |||
| ||||
Accumulated net realized loss on investments | (469,244,621) | |||
| ||||
Net unrealized appreciation on investments | 9,219,770 | |||
|
| |||
Net Assets | $ | 1,107,686,114 | ||
|
|
1. June 28, 2013 represents the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes.
OPPENHEIMER CORE BOND FUND 29
STATEMENT OF ASSETS AND LIABILITIES Continued |
| ||||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $421,701,516 and 62,592,234 shares of beneficial interest outstanding) | $ | 6.74 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $ | 7.08 | ||
| ||||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $23,809,607 and 3,535,573 shares of beneficial interest outstanding) | $ | 6.73 | ||
| ||||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $112,801,291 and 16,728,040 shares of beneficial interest outstanding) | $ | 6.74 | ||
| ||||
Class I Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $491,392,085 and 73,005,604 shares of beneficial interest outstanding) | $ | 6.73 | ||
| ||||
Class N Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $35,563,771 and 5,281,125 shares of beneficial interest outstanding) | $ | 6.73 | ||
| ||||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $22,417,844 and 3,348,247 shares of beneficial interest outstanding) | $ | 6.70 | ||
|
See accompanying Notes to Financial Statements.
30 OPPENHEIMER CORE BOND FUND
OPERATIONS For the Six Months Ended June 28, 20131 / Unaudited |
| ||||
Investment Income | ||||
| ||||
Interest (net of foreign withholding taxes of $3,079) | $ | 22,474,969 | ||
| ||||
Fee income on when-issued securities | 3,548,033 | |||
| ||||
Dividend from affiliated companies | 100,653 | |||
| ||||
Other income | 202,787 | |||
|
| |||
Total investment income | 26,326,442 | |||
| ||||
Expenses | ||||
Management fees | 2,762,987 | |||
| ||||
Distribution and service plan fees: | ||||
Class A | 534,609 | |||
Class B | 130,641 | |||
Class C | 605,001 | |||
Class N | 91,930 | |||
| ||||
Transfer and shareholder servicing agent fees: | ||||
Class A | 498,487 | |||
Class B | 43,662 | |||
Class C | 134,323 | |||
Class I | 15,841 | |||
Class N | 45,981 | |||
Class Y | 183,633 | |||
| ||||
Shareholder communications: | ||||
Class A | 27,914 | |||
Class B | 4,078 | |||
Class C | 7,083 | |||
Class I | 1 | |||
Class N | 1,452 | |||
Class Y | 485 | |||
| ||||
Trustees’ compensation | 36,911 | |||
| ||||
Custodian fees and expenses | 20,307 | |||
| ||||
Other | 64,921 | |||
|
| |||
Total expenses | 5,210,247 | |||
Less waivers and reimbursements of expenses | (321,174) | |||
|
| |||
Net expenses | 4,889,073 | |||
| ||||
Net Investment Income | 21,437,369 |
1. June 28, 2013 represents the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes.
OPPENHEIMER CORE BOND FUND 31
STATEMENT OF OPERATIONS Unaudited / Continued |
| ||||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | $ | 7,153,026 | ||
Closing and expiration of futures contracts | (451,740) | |||
Swap contracts | (315,856) | |||
|
| |||
Net realized gain | 6,385,430 | |||
| ||||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (48,767,059) | |||
Futures contracts | (1,051,003) | |||
Swap contracts | (180,966) | |||
|
| |||
Net change in unrealized appreciation/depreciation | (49,999,028) | |||
| ||||
Net Decrease in Net Assets Resulting from Operations | $ | (22,176,229) | ||
|
|
See accompanying Notes to Financial Statements.
32 OPPENHEIMER CORE BOND FUND
STATEMENTSOF CHANGES IN NET ASSETS |
Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | |||||||
| ||||||||
Operations | ||||||||
Net investment income | $ | 21,437,369 | $ | 48,141,621 | ||||
| ||||||||
Net realized gain | 6,385,430 | 39,183,967 | ||||||
| ||||||||
Net change in unrealized appreciation/depreciation | (49,999,028) | 29,635,633 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (22,176,229) | 116,961,221 | ||||||
| ||||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (8,037,782) | (16,509,628) | ||||||
Class B | (386,176) | (905,471) | ||||||
Class C | (1,788,216) | (3,751,632) | ||||||
Class I | (2,165,466) | (4,432) | ||||||
Class N | (633,725) | (1,359,967) | ||||||
Class Y | (8,557,605) | (26,456,966) | ||||||
|
| |||||||
(21,568,970) | (48,988,096) | |||||||
| ||||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (14,808,844) | 24,014,625 | ||||||
Class B | (4,566,431) | (789,115) | ||||||
Class C | (11,841,193) | 7,683,891 | ||||||
Class I | 507,258,416 | 2,274,085 | ||||||
Class N | (1,009,532) | (2,160,721) | ||||||
Class Y | (583,132,463) | (31,743,521) | ||||||
|
|
|
| |||||
(108,100,047) | (720,756) | |||||||
| ||||||||
Net Assets | ||||||||
Total increase (decrease) | (151,845,246) | 67,252,369 | ||||||
| ||||||||
Beginning of period | 1,259,531,360 | 1,192,278,991 | ||||||
|
|
|
| |||||
End of period (including accumulated net investment income of $861,146 and $992,747, respectively) | $ | 1,107,686,114 | $ | 1,259,531,360 | ||||
|
|
1. June 28, 2013 represents the last business day of the Fund’s semiannual period. See Note 1 of the accompanying Notes.
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 33
FINANCIAL HIGHLIGHTS |
Class A | Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | Year Ended December 30, 20111 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | Year Ended December 31, 2008 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.00 | $ | 6.63 | $ | 6.46 | $ | 6.12 | $ | 6.12 | $ | 10.18 | ||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.13 | 0.26 | 0.29 | 0.31 | 0.41 | 0.56 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26) | 0.37 | 0.18 | 0.35 | 0.003 | (4.06) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | (0.13) | 0.63 | 0.47 | 0.66 | 0.41 | (3.50) | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.13) | (0.26) | (0.30) | (0.32) | (0.17) | 0.00 | ||||||||||||||||||
Tax return of capital distribution | 0.00 | 0.00 | 0.00 | 0.00 | (0.24) | (0.56) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total dividends and/or distributions to shareholders | (0.13) | (0.26) | (0.30) | (0.32) | (0.41) | (0.56) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $ | 6.74 | $ | 7.00 | $ | 6.63 | $ | 6.46 | $ | 6.12 | $ | 6.12 | ||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value4 | (1.93)% | 9.72% | 7.44% | 10.96% | 7.29% | (35.83)% | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 421,702 | $ | 453,044 | $ | 405,745 | $ | 418,034 | $ | 370,941 | $ | 465,375 | ||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $ | 439,365 | $ | 428,283 | $ | 394,500 | $ | 417,031 | $ | 367,832 | $ | 786,186 | ||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||||||
Net investment income | 3.67% | 3.78% | 4.37% | 4.79% | 7.11% | 6.20% | ||||||||||||||||||
Total expenses6 | 0.99% | 1.04% | 1.06% | 1.12% | 1.17% | 0.92% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.90% | 0.90% | 0.90% | 0.88% | 0.82% | 0.90% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate7 | 62% | 141% | 94% | 98% | 115% | 52% |
34 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 and December 30, 2011 represent the last business day of the Fund’s reporting periods. See Note 1 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Less than $0.005 per share.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 1.00 | % | ||
Year Ended December 31, 2012 | 1.06 | % | ||
Year Ended December 30, 2011 | 1.08 | % | ||
Year Ended December 31, 2010 | 1.13 | % | ||
Year Ended December 31, 2009 | 1.19 | % | ||
Year Ended December 31, 2008 | 0.92 | % |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $ | 3,275,349,539 | |||||||
Year Ended December 31, 2012 | $6,141,849,607 | $ | 6,191,530,701 | |||||||
Year Ended December 30, 2011 | $5,545,911,730 | $ | 5,495,674,857 | |||||||
Year Ended December 31, 2010 | $4,655,979,130 | $ | 4,612,714,845 | |||||||
Year Ended December 31, 2009 | $5,894,681,002 | $ | 6,157,656,958 | |||||||
Year Ended December 31, 2008 | $5,977,684,487 | $ | 5,630,250,536 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 35
FINANCIAL HIGHLIGHTS Continued |
Class B | Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | Year Ended December 30, 20111 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | Year Ended December 31, 2008 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.00 | $ | 6.63 | $ | 6.46 | $ | 6.12 | $ | 6.12 | $ | 10.17 | ||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.21 | 0.24 | 0.26 | 0.37 | 0.49 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27) | 0.37 | 0.18 | 0.35 | (0.01) | (4.04) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | (0.17) | 0.58 | 0.42 | 0.61 | 0.36 | (3.55) | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.10) | (0.21) | (0.25) | (0.27) | (0.15) | 0.00 | ||||||||||||||||||
Tax return of capital distribution | 0.00 | 0.00 | 0.00 | 0.00 | (0.21) | (0.50) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total dividends and/or distributions to shareholders | (0.10) | (0.21) | (0.25) | (0.27) | (0.36) | (0.50) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $ | 6.73 | $ | 7.00 | $ | 6.63 | $ | 6.46 | $ | 6.12 | $ | 6.12 | ||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | (2.29)% | 8.91% | 6.65% | 10.14% | 6.49% | (36.24)% | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,809 | $ | 29,312 | $ | 28,496 | $ | 30,636 | $ | 33,005 | $ | 42,617 | ||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $ | 26,390 | $ | 29,027 | $ | 27,444 | $ | 33,579 | $ | 33,018 | $ | 76,116 | ||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 2.93% | 3.05% | 3.63% | 4.09% | 6.35% | 5.43% | ||||||||||||||||||
Total expenses5 | 1.86% | 2.06% | 2.22% | 2.32% | 2.43% | 1.87% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.64% | 1.64% | 1.65% | 1.63% | 1.57% | 1.65% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate6 | 62% | 141% | 94% | 98% | 115% | 52% |
36 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 and December 30, 2011 represent the last business day of the Fund’s reporting periods. See
Note 1 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 1.87 | % | ||
Year Ended December 31, 2012 | 2.08 | % | ||
Year Ended December 30, 2011 | 2.24 | % | ||
Year Ended December 31, 2010 | 2.33 | % | ||
Year Ended December 31, 2009 | 2.45 | % | ||
Year Ended December 31, 2008 | 1.87 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $3,275,349,539 | ||||||||
Year Ended December 31, 2012 | $6,141,849,607 | $6,191,530,701 | ||||||||
Year Ended December 30, 2011 | $5,545,911,730 | $5,495,674,857 | ||||||||
Year Ended December 31, 2010 | $4,655,979,130 | $4,612,714,845 | ||||||||
Year Ended December 31, 2009 | $5,894,681,002 | $6,157,656,958 | ||||||||
Year Ended December 31, 2008 | $5,977,684,487 | $5,630,250,536 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 37
FINANCIAL HIGHLIGHTS Continued |
Class C | Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | Year Ended December 30, 20111 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | Year Ended December 31, 2008 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.01 | $ | 6.63 | $ | 6.46 | $ | 6.13 | $ | 6.13 | $ | 10.18 | ||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.21 | 0.24 | 0.26 | 0.37 | 0.50 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27) | 0.38 | 0.18 | 0.34 | (0.01) | (4.05) | ||||||||||||||||||
Total from investment operations | (0.17) | 0.59 | 0.42 | 0.60 | 0.36 | (3.55) | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.10) | (0.21) | (0.25) | (0.27) | (0.15) | 0.00 | ||||||||||||||||||
Tax return of capital distribution | 0.00 | 0.00 | 0.00 | 0.00 | (0.21) | (0.50) | ||||||||||||||||||
Total dividends and/or distributions to shareholders | (0.10) | (0.21) | (0.25) | (0.27) | (0.36) | (0.50) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $ | 6.74 | $ | 7.01 | $ | 6.63 | $ | 6.46 | $ | 6.13 | $ | 6.13 | ||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | (2.29)% | 9.06% | 6.64% | 9.95% | 6.49% | (36.20)% | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 112,801 | $ | 129,187 | $ | 114,942 | $ | 107,517 | $ | 96,829 | $ | 108,673 | ||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $ | 122,554 | $ | 120,749 | $ | 106,644 | $ | 108,324 | $ | 94,555 | $ | 169,737 | ||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 2.92% | 3.04% | 3.60% | 4.04% | 6.31% | 5.49% | ||||||||||||||||||
Total expenses5 | 1.73% | 1.77% | 1.82% | 1.89% | 1.97% | 1.68% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.65% | 1.65% | 1.65% | 1.63% | 1.56% | 1.65% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate6 | 62% | 141% | 94% | 98% | 115% | 52% |
38 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 and December 30, 2011 represent the last business day of the Fund’s reporting periods. See
Note 1 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 1.74 | % | ||
Year Ended December 31, 2012 | 1.79 | % | ||
Year Ended December 30, 2011 | 1.84 | % | ||
Year Ended December 31, 2010 | 1.90 | % | ||
Year Ended December 31, 2009 | 1.99 | % | ||
Year Ended December 31, 2008 | 1.68 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $3,275,349,539 | ||||||||
Year Ended December 31, 2012 | $6,141,849,607 | $6,191,530,701 | ||||||||
Year Ended December 30, 2011 | $5,545,911,730 | $5,495,674,857 | ||||||||
Year Ended December 31, 2010 | $4,655,979,130 | $4,612,714,845 | ||||||||
Year Ended December 31, 2009 | $5,894,681,002 | $6,157,656,958 | ||||||||
Year Ended December 31, 2008 | $5,977,684,487 | $5,630,250,536 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 39
FINANCIAL HIGHLIGHTS Continued |
Class I | Six Months Ended June 28, 20131 (Unaudited) | Period Ended December 31, 20122 | ||||||
| ||||||||
Per Share Operating Data | ||||||||
Net asset value, beginning of period | $ | 7.00 | $ | 6.75 | ||||
| ||||||||
Income (loss) from investment operations: | ||||||||
Net investment income3 | 0.13 | 0.16 | ||||||
Net realized and unrealized gain (loss) | (0.26) | 0.28 | ||||||
Total from investment operations | (0.13) | 0.44 | ||||||
| ||||||||
Dividends and/or distributions to shareholders: | ||||||||
Dividends from net investment income | (0.14) | (0.19) | ||||||
Tax return of capital distribution | 0.00 | 0.00 | ||||||
Total dividends and/or distributions to shareholders | (0.14) | (0.19) | ||||||
| ||||||||
Net asset value, end of period | $ | 6.73 | $ | 7.00 | ||||
| ||||||||
Total Return, at Net Asset Value4 | (1.90)% | 6.60% | ||||||
| ||||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $ | 491,392 | $ | 2,273 | ||||
| ||||||||
Average net assets (in thousands) | $ | 109,131 | $ | 109 | ||||
| ||||||||
Ratios to average net assets:5 | ||||||||
Net investment income | 3.82% | 3.91% | ||||||
Total expenses6 | 0.53% | 0.52% | ||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.52% | 0.49% | ||||||
| ||||||||
Portfolio turnover rate7 | 62% | 141% |
40 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Notes.
2. For the period from April 27, 2012 (inception of offering) to December 31, 2012. See Note 1 of the accompanying Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 0.54 | % | ||
Period Ended December 31, 2012 | 0.54 | % |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $3,275,349,539 | ||||||||
Period Ended December 31, 2012 | $6,141,849,607 | $6,191,530,701 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 41
FINANCIAL HIGHLIGHTS Continued |
Class N | Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | Year Ended December 30, 20111 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | Year Ended December 31, 2008 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.00 | $ | 6.62 | $ | 6.45 | $ | 6.12 | $ | 6.12 | $ | 10.17 | ||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.12 | 0.24 | 0.27 | 0.29 | 0.40 | 0.54 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27) | 0.39 | 0.18 | 0.34 | (0.01) | (4.05) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | (0.15) | 0.63 | 0.45 | 0.63 | 0.39 | (3.51) | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.12) | (0.25) | (0.28) | (0.30) | (0.16) | 0.00 | ||||||||||||||||||
Tax return of capital distribution | 0.00 | 0.00 | 0.00 | 0.00 | (0.23) | (0.54) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total dividends and/or distributions to shareholders | (0.12) | (0.25) | (0.28) | (0.30) | (0.39) | (0.54) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $ | 6.73 | $ | 7.00 | $ | 6.62 | $ | 6.45 | $ | 6.12 | $ | 6.12 | ||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | (2.06)% | 9.61% | 7.18% | 10.51% | 7.02% | (35.92)% | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,564 | $ | 37,986 | $ | 38,071 | $ | 40,884 | $ | 40,051 | $ | 54,092 | ||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $ | 37,177 | $ | 37,700 | $ | 38,729 | $ | 41,730 | $ | 42,761 | $ | 83,422 | ||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 3.42% | 3.54% | 4.11% | 4.56% | 6.88% | 6.01% | ||||||||||||||||||
Total expenses5 | 1.26% | 1.32% | 1.36% | 1.47% | 1.56% | 1.28% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.15% | 1.15% | 1.15% | 1.13% | 1.07% | 1.15% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate6 | 62% | 141% | 94% | 98% | 115% | 52% |
42 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 and December 30, 2011 represent the last business day of the Fund’s reporting periods. See
Note 1 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 1.27 | % | ||
Year Ended December 31, 2012 | 1.34 | % | ||
Year Ended December 30, 2011 | 1.38 | % | ||
Year Ended December 31, 2010 | 1.48 | % | ||
Year Ended December 31, 2009 | 1.58 | % | ||
Year Ended December 31, 2008 | 1.28 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $3,275,349,539 | ||||||||
Year Ended December 31, 2012 | $6,141,849,607 | $6,191,530,701 | ||||||||
Year Ended December 30, 2011 | $5,545,911,730 | $5,495,674,857 | ||||||||
Year Ended December 31, 2010 | $4,655,979,130 | $4,612,714,845 | ||||||||
Year Ended December 31, 2009 | $5,894,681,002 | $6,157,656,958 | ||||||||
Year Ended December 31, 2008 | $5,977,684,487 | $5,630,250,536 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 43
FINANCIAL HIGHLIGHTS Continued |
Class Y | Six Months Ended June 28, 20131 (Unaudited) | Year Ended December 31, 2012 | Year Ended December 30, 20111 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | Year Ended December 31, 2008 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.99 | $ | 6.62 | $ | 6.45 | $ | 6.11 | $ | 6.12 | $ | 10.16 | ||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.29 | 0.31 | 0.33 | 0.43 | 0.60 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29) | 0.37 | 0.19 | 0.35 | (0.02) | (4.04) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | (0.15) | 0.66 | 0.50 | 0.68 | 0.41 | (3.44) | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.14) | (0.29) | (0.33) | (0.34) | (0.17) | 0.00 | ||||||||||||||||||
Tax return of capital distribution | 0.00 | 0.00 | 0.00 | 0.00 | (0.25) | (0.60) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total dividends and/or distributions to shareholders | (0.14) | (0.29) | (0.33) | (0.34) | (0.42) | (0.60) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $ | 6.70 | $ | 6.99 | $ | 6.62 | $ | 6.45 | $ | 6.11 | $ | 6.12 | ||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | (2.24)% | 10.18% | 7.87% | 11.38% | 7.44% | (35.45)% | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,418 | $ | 607,729 | $ | 605,025 | $ | 535,439 | $ | 537,655 | $ | 803,777 | ||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $ | 427,857 | $ | 619,804 | $ | 577,367 | $ | 540,778 | $ | 598,909 | $ | 1,006,642 | ||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 4.05% | 4.20% | 4.76% | 5.22% | 7.51% | 6.78% | ||||||||||||||||||
Total expenses5 | 0.59% | 0.51% | 0.52% | 0.57% | 0.62% | 0.51% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.57% | 0.48% | 0.49% | 0.50% | 0.51% | 0.51% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate6 | 62% | 141% | 94% | 98% | 115% | 52% |
44 OPPENHEIMER CORE BOND FUND
1. June 28, 2013 and December 30, 2011 represent the last business day of the Fund’s reporting periods. See
Note 1 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended June 28, 2013 | 0.60 | % | ||
Year Ended December 31, 2012 | 0.53 | % | ||
Year Ended December 30, 2011 | 0.54 | % | ||
Year Ended December 31, 2010 | 0.58 | % | ||
Year Ended December 31, 2009 | 0.64 | % | ||
Year Ended December 31, 2008 | 0.51 | % |
6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||||
| ||||||||||
Six Months Ended June 28, 2013 | $3,039,170,413 | $3,275,349,539 | ||||||||
Year Ended December 31, 2012 | $6,141,849,607 | $6,191,530,701 | ||||||||
Year Ended December 30, 2011 | $5,545,911,730 | $5,495,674,857 | ||||||||
Year Ended December 31, 2010 | $4,655,979,130 | $4,612,714,845 | ||||||||
Year Ended December 31, 2009 | $5,894,681,002 | $6,157,656,958 | ||||||||
Year Ended December 3t1, 2008 | $5,977,684,487 | $5,630,250,536 |
See accompanying Notes to Financial Statements.
OPPENHEIMER CORE BOND FUND 45
NOTES TO FINANCIAL STATEMENTS Unaudited |
1. Significant Accounting Policies
Oppenheimer Core Bond Fund (the “Fund”) is a separate fund of Oppenheimer Integrity Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C, Class I, Class N and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds will be allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class N shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies consistently followed by the Fund.
Semiannual and Annual Periods. The Fund’s financial statements are presented through the last day the New York Stock Exchange was open for trading during each reporting period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net
46 OPPENHEIMER CORE BOND FUND
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1. Significant Accounting Policies Continued |
asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 28, 2013, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
When-Issued or Delayed Delivery Basis Transactions | ||||
| ||||
Purchased securities | $288,389,688 | |||
Sold securities | 105,868,596 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of June 28, 2013 is as follows:
Cost | $ | 1,703,335 | ||
Market Value | $ | 118,169 | ||
Market Value as a % of Net Assets | 0.01 | % |
OPPENHEIMER CORE BOND FUND 47
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
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1. Significant Accounting Policies Continued |
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2012, the Fund utilized $36,114,556 of capital loss carryforward to offset capital gains realized in that fiscal year. The Fund had straddle losses of $1,521,574 which were deferred. Details of the fiscal year ended December 31, 2012 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
Expiring | ||||
| ||||
2016 | $ | 8,503,236 | ||
2017 | 466,197,242 | |||
|
| |||
Total | $ | 474,700,478 | ||
|
|
As of June 28, 2013, it is estimated that the capital loss carryforwards would be $468,315,048 expiring by 2017. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 28, 2013, it is estimated that the Fund will utilize $6,385,430 of capital loss carryforward to offset realized capital gains.
48 OPPENHEIMER CORE BOND FUND
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1. Significant Accounting Policies Continued |
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.
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 June 28, 2013 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 | $ | 1,261,478,237 | ||
Federal tax cost of other investments | (77,088,999) | |||
|
| |||
Total federal tax cost | $ | 1,184,389,238 | ||
|
| |||
Gross unrealized appreciation | $ | 34,714,659 | ||
Gross unrealized depreciation | (25,656,846) | |||
|
| |||
Net unrealized appreciation | $ | 9,057,813 | ||
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|
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 with the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
OPPENHEIMER CORE BOND FUND 49
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
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1. Significant Accounting Policies Continued |
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.
2. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review,
50 OPPENHEIMER CORE BOND FUND
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2. Securities Valuation Continued |
approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
OPPENHEIMER CORE BOND FUND 51
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
| ||||
2. Securities Valuation Continued |
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
Security Type | Standard inputs generally considered by third- party pricing vendors | |
| ||
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
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Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
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Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
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Structured securities | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events | |
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Swaps | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale
52 OPPENHEIMER CORE BOND FUND
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2. Securities Valuation Continued |
restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 28, 2013 based on valuation input level:
Level 1— Unadjusted Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Value | |||||||||||||
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Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 167,301,729 | $ | — | $ | 167,301,729 | ||||||||
Mortgage-Backed Obligations | — | 466,362,189 | 172,884 | 466,535,073 | ||||||||||||
Corporate Bonds and Notes | — | 462,213,691 | — | 462,213,691 | ||||||||||||
U.S. Government Obligations | — | 45,150,133 | — | 45,150,133 | ||||||||||||
Investment Company | 131,040,512 | — | — | 131,040,512 | ||||||||||||
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Total Investments, at Value | 131,040,512 | 1,141,027,742 | 172,884 | 1,272,241,138 |
OPPENHEIMER CORE BOND FUND 53
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
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2. Securities Valuation Continued |
Assets Table: Continued | Level 1— Unadjusted Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Value | ||||||||||||
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Other Financial Instruments: | ||||||||||||||||
Variation margin receivable | $ | 404,726 | $ | — | $ | — | $ | 404,726 | ||||||||
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Total Assets | $ | 131,445,238 | $ | 1,141,027,742 | $ | 172,884 | $ | 1,272,645,864 | ||||||||
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Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | $ | — | $ | (356,147) | $ | — | $ | (356,147) | ||||||||
Variation margin payable | (13,947) | — | — | (13,947) | ||||||||||||
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Total Liabilities | $ | (356,147) | $ | (356,147) | $ | — | $ | (370,094) | ||||||||
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|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
3. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 28, 2013 | Year Ended December 31, 2012 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| ||||||||||||||||
Class A | ||||||||||||||||
Sold | 9,395,880 | $ | 64,824,568 | 19,529,134 | $ | 133,972,924 | ||||||||||
Dividends and/or distributions reinvested | 1,055,664 | 7,330,816 | 2,194,836 | 15,064,077 | ||||||||||||
Redeemed | (12,555,058) | (86,964,228) | (18,249,751) | (125,022,376) | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | (2,103,514) | $ | (14,808,844) | 3,474,219 | $ | 24,014,625 | ||||||||||
|
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Class B | ||||||||||||||||
Sold | 404,745 | $ | 2,783,761 | 1,538,589 | $ | 10,501,160 | ||||||||||
Dividends and/or distributions reinvested | 52,528 | 364,942 | 125,659 | 861,773 | ||||||||||||
Redeemed | (1,109,077) | (7,715,134) | (1,778,106) | (12,152,048) | ||||||||||||
|
| |||||||||||||||
Net decrease | (651,804) | $ | (4,566,431) | (113,858) | $ | (789,115) | ||||||||||
|
| |||||||||||||||
| ||||||||||||||||
Class C | ||||||||||||||||
Sold | 1,763,501 | $ | 12,292,959 | 5,697,770 | $ | 39,080,365 | ||||||||||
Dividends and/or distributions reinvested | 236,488 | 1,644,351 | 496,855 | 3,414,063 | ||||||||||||
Redeemed | (3,702,140) | (25,778,503) | (5,090,745) | (34,810,537) | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | (1,702,151) | $ | (11,841,193) | 1,103,880 | $ | 7,683,891 | ||||||||||
|
|
54 OPPENHEIMER CORE BOND FUND
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3. Shares of Beneficial Interest Continued |
Six Months Ended June 28, 2013 | Year Ended December 31, 2012 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| ||||||||||||||||
Class I | ||||||||||||||||
Sold | 73,138,743 | $ | 510,434,951 | 328,473 | $ | 2,299,071 | ||||||||||
Dividends and/or distributions reinvested | 319,067 | 2,165,300 | 592 | 4,149 | ||||||||||||
Redeemed | (777,108) | (5,341,835) | (4,163) | (29,135) | ||||||||||||
|
| |||||||||||||||
Net increase | 72,680,702 | $ | 507,258,416 | 324,902 | $ | 2,274,085 | ||||||||||
|
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| ||||||||||||||||
Class N | ||||||||||||||||
Sold | 805,680 | $ | 5,612,070 | 1,746,734 | $ | 11,956,485 | ||||||||||
Dividends and/or distributions reinvested | 82,333 | 571,539 | 168,083 | 1,153,240 | ||||||||||||
Redeemed | (1,033,664) | (7,193,141) | (2,234,961) | (15,270,446) | ||||||||||||
|
| |||||||||||||||
Net decrease | (145,651) | $ | (1,009,532) | (320,144) | $ | (2,160,721) | ||||||||||
|
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Class Y | ||||||||||||||||
Sold | 4,191,283 | $ | 29,272,322 | 19,452,495 | $ | 133,549,667 | ||||||||||
Dividends and/or distributions reinvested | 1,061,618 | 7,413,161 | 3,840,624 | 26,312,346 | ||||||||||||
Redeemed | (88,797,026) | (619,817,946) | (27,803,181) | (191,605,534) | ||||||||||||
|
| |||||||||||||||
Net decrease | (83,544,125) | $ | (583,132,463) | (4,510,062) | $ | (31,743,521) | ||||||||||
|
|
4. 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 six months ended June 28, 2013 were as follows:
Purchases | Sales | |||||||
| ||||||||
Investment securities | $ | 564,813,546 | $ | 581,835,498 | ||||
U.S. government and government agency obligations | 20,869,353 | 26,921,793 | ||||||
To Be Announced (TBA) mortgage-related securities | 3,039,170,413 | 3,275,349,539 |
5. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
| ||||
Up to $1 billion | 0.50% | |||
Over $1 billion | 0.35 |
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be
OPPENHEIMER CORE BOND FUND 55
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
| ||||
5. Fees and Other Transactions with Affiliates Continued |
calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. Fees incurred by the Fund with respect to these services are detailed in the statement of operations.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such
56 OPPENHEIMER CORE BOND FUND
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5. Fees and Other Transactions with Affiliates Continued |
termination. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations. The Distributor determines its uncompensated expenses under the Plans at calendar quarter ends. The Distributor’s aggregate uncompensated expenses under the Plans at June 30, 2013 were as follows:
Class B | $1,294,833 | |||
Class C | 4,287,293 | |||
Class N | 1,879,154 |
Sales Charges. Front-end sales charges and contingent deferred sales charges (“CDSC”) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
Six Months Ended | Class A Front-End | Class A Contingent Deferred Sales Charges Retained by Distributor | Class B Contingent Deferred Sales Charges Retained by Distributor | Class C Contingent Deferred Sales Charges Retained by Distributor | Class N Contingent Deferred Sales Charges Retained by Distributor | |||||||||||||||
June 28, 2013 | $115,226 | $2,198 | $22,450 | $6,216 | $479 |
Waivers and Reimbursements of Expenses. The Manager has voluntarily agreed to limit the “Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses” as a percentage of average annual net assets, will not exceed the following annual rates: 0.90% for Class A shares, 1.65% for Class B and Class C shares, 1.15% for Class N shares and 0.65% for Class Y shares. During the six months ended June 28, 2013, the Manager waived fees and/or reimbursed the Fund $161,782, $20,333, $39,253 and $17,124 for Class A, Class B, Class C and Class N, respectively.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 28, 2013, the Manager waived fees and/or reimbursed the Fund $75,974 for IMMF management fees.
The Transfer Agent has voluntarily agreed to limit transfer and shareholder servicing agent fees for Classes B, C, N and Y shares to 0.35% of average annual net assets per class and for Class A shares to 0.30% of average annual net assets of the class.
During the six months ended June 28, 2013, the Transfer Agent waived transfer and shareholder servicing agent fees as follows:
Class B | $6,708 |
OPPENHEIMER CORE BOND FUND 57
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
| ||||
5. Fees and Other Transactions with Affiliates Continued |
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
6. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
58 OPPENHEIMER CORE BOND FUND
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6. Risk Exposures and the Use of Derivative Instruments Continued |
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the
OPPENHEIMER CORE BOND FUND 59
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
| ||||
6. Risk Exposures and the Use of Derivative Instruments Continued |
receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the six months ended June 28, 2013, the Fund had an ending monthly average market value of $46,433,881 and $212,816,752 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency and volatility swaps.
Swap contracts are reported on a schedule following the Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Statements of Assets and Liabilities. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
60 OPPENHEIMER CORE BOND FUND
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6. Risk Exposures and the Use of Derivative Instruments Continued |
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
For the six months ended June 28, 2013, the Fund had ending monthly average notional amounts of $7,142,857 on credit default swaps to buy protection.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
OPPENHEIMER CORE BOND FUND 61
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
| ||||
6. Risk Exposures and the Use of Derivative Instruments Continued |
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
Certain ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. As of June 28, 2013, the aggregate fair value of derivative instruments with such credit related contingent features in a net liability position was $356,147 for which the Fund has posted collateral of $1,487,807.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy
62 OPPENHEIMER CORE BOND FUND
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6. Risk Exposures and the Use of Derivative Instruments Continued |
payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral posted for the benefit of the Fund at June 28, 2013:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Counterparty | Gross Amount of Assets in the Statement of Assets and Liabilities* | Financial Instruments Available for Offset | Financial Instruments Collateral Received** | Cash Collateral Received** | Net Amount | |||||||||||||||
| ||||||||||||||||||||
Deutsche Bank AG | $ | — | $ | — | $ | — | $ | — | $ | — |
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
OPPENHEIMER CORE BOND FUND 63
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
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6. Risk Exposures and the Use of Derivative Instruments Continued |
The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at June 28, 2013:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Counterparty | Gross Amount of Liabilities in the Statement of Assets and Liabilities* | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged** | Cash Collateral Pledged** | Net Amount | |||||||||||||||
| ||||||||||||||||||||
Deutsche Bank AG | $ | (356,147) | $ | — | $ | — | $ | 356,147 | $ | — |
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund to an individual counterparty. The securities pledged as collateral by the Fund as reported on the Statement of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities as of June 28, 2013:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives Not Accounted for as Hedging Instruments | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | ||||||||
| ||||||||||||
Credit contracts | Swaps, at value | $ | — | Swaps, at value | $ | 356,147 | ||||||
Interest rate contracts | Variation margin receivable | 404,726 | * | Variation margin payable | 13,947 | |||||||
|
|
|
| |||||||||
Total | $ | 404,726 | $ | 370,094 | ||||||||
|
|
|
|
*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||
| ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Closing and expiration of futures contracts | Swap contracts | Total | |||||||||
| ||||||||||||
Credit contracts | $ | — | $ | (315,856 | ) | $ | (315,856 | ) | ||||
Interest rate contracts | (451,740) | — | (451,740 | ) | ||||||||
|
| |||||||||||
Total | $ | (451,740) | $ | (315,856) | $ | (767,596) | ||||||
|
|
64 OPPENHEIMER CORE BOND FUND
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6. Risk Exposures and the Use of Derivative Instruments Continued |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||
| ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Futures contracts | Swap contracts | Total | |||||||||
| ||||||||||||
Credit contracts | $ | — | $ | (180,966) | $ | (180,966) | ||||||
Interest rate contracts | (1,051,003) | — | (1,051,003) | |||||||||
|
| |||||||||||
Total | $ | (1,051,003) | $ | (180,966) | $ | (1,231,969) | ||||||
|
|
7. Restricted Securities
As of June 28, 2013, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
8. Pending Litigation
Since 2009, a number of class action lawsuits have been pending in federal courts against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by the Manager and distributed by the Distributor (the “Defendant Funds”). Several of these lawsuits also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raise claims under federal securities law and allege, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. The Defendant Funds’ Boards of Trustees have also engaged counsel to represent the Funds and the present and former Independent Trustees named in those suits.
Other class action and individual lawsuits have been filed since 2008 in various state and federal courts against OFI and certain of its affiliates by investors seeking to recover investments they allegedly lost as a result of the “Ponzi” scheme run by Bernard L. Madoff and his firm, Bernard L. Madoff Investment Securities, LLC (“BLMIS”). Plaintiffs in these suits allege that they suffered losses as a result of their investments in several funds managed by an affiliate of OFI and assert a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. Neither the Distributor, nor any of the Oppenheimer mutual funds, their independent trustees or directors are named as defendants in these lawsuits. None of the Oppenheimer mutual funds invested in any funds or accounts managed by Madoff or BLMIS. On February 28, 2011, a stipulation of partial settlement of three groups of consolidated putative class action lawsuits relating to these matters was filed in the U.S. District Court for the Southern District of New York. On August 19, 2011, the court
OPPENHEIMER CORE BOND FUND 65
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
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8. Pending Litigation Continued |
entered an order and final judgment approving the settlement as fair, reasonable and adequate. In September 2011, certain parties filed notices of appeal from the court’s order approving the settlement. The settlement does not resolve other outstanding lawsuits against OFI and its affiliates relating to BLMIS.
On April 16, 2010, a lawsuit was filed in New York state court against (i) OFI, (ii) an affiliate of OFI and (iii) AAArdvark IV Funding Limited (“AAArdvark IV”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark IV. Plaintiffs allege breach of contract and common law fraud claims against the defendants and seek compensatory damages, costs and disbursements, including attorney fees. On April 11, 2013, the court granted defendants’ motion for summary judgment, dismissing plaintiffs’ fraud claim with prejudice and dismissing their contract claim without prejudice, and granted plaintiffs leave to replead their contract claim to assert a cause of action for specific performance within 30 days. On May 9, 2013, plaintiffs filed a notice of appeal from the court’s dismissal order. On July 15, 2011, a lawsuit was filed in New York state court against OFI, an affiliate of OFI and AAArdvark Funding Limited (“AAArdvark I”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark I. The complaint alleges breach of contract and common law fraud claims against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees. On November 9, 2011, a lawsuit was filed in New York state court against OFI, an affiliate of OFI and AAArdvark XS Funding Limited (“AAArdvark XS”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark XS. The complaint alleges breach of contract against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees.
OFI believes the lawsuits and appeals described above are without legal merit and, with the exception of actions it has settled, is defending against them vigorously. While it is premature to render any opinion as to the outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, OFI believes that these suits should not impair the ability of OFI or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer mutual funds.
66 OPPENHEIMER CORE 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.CALL OPP (225.5677), (ii) on the Fund’s website at oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
OPPENHEIMER CORE BOND FUND 67
OPPENHEIMER CORE BOND FUND |
© 2013 OppenheimerFunds, Inc. All rights reserved.
68 OPPENHEIMER CORE BOND FUND
PRIVACY POLICY NOTICE |
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
— | Applications or other forms |
— | When you create a user ID and password for online account access |
— | When you enroll in eDocs Direct, our electronic document delivery service |
— | Your transactions with us, our affiliates or others |
— | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited |
— | When you set up challenge questions to reset your password online |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
We send your financial advisor (as designated by you) copies of confirmations, account statements and other documents reporting activity in your fund accounts. We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
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PRIVACY POLICY NOTICE (Continued) |
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
— | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
— | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
— | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., and each of its financial institution subsidiaries, the trustee of OppenheimerFunds Individual Retirement Accounts (IRAs) and the custodian of the OppenheimerFunds 403(b)(7) tax sheltered custodial accounts. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated November 2012. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about these privacy policies, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Item 2. | Code of Ethics. |
Not applicable to semiannual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable to semiannual reports.
Item 4. | Principal Accountant Fees and Services. |
Not applicable to semiannual reports.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments. |
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
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 6/28/2013, 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) Not applicable to semiannual reports. |
(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 Integrity Funds | ||
By: | /s/ William F. Glavin, Jr. | |
William F. Glavin, Jr. | ||
Principal Executive Officer | ||
Date: 8/9/2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ William F. Glavin, Jr. | |
William F. Glavin, Jr. | ||
Principal Executive Officer | ||
Date: 8/9/2013 |
By: | /s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: 8/9/2013 |