SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
(Address of principal executive offices) (Zip code)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
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Corporate Bonds & Notes — Top Ten Industries | ||||
Oil, Gas & Consumable Fuels | 4.1 | % | ||
Commercial Banks | 2.2 | |||
Electric Utilities | 1.6 | |||
Media | 1.5 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Capital Markets | 1.0 | |||
Metals & Mining | 0.9 | |||
Energy Traders | 0.9 | |||
Diversified Telecommunication Services | 0.9 | |||
Wireless Telecommunication Services | 0.8 |
Portfolio Allocation | ||||
Corporate Bonds and Notes | 25.5 | % | ||
Foreign Government Obligations | 20.1 | |||
Mortgage-Backed Obligations: | ||||
Government Agency | 6.6 | |||
Non-Agency | 12.3 | |||
Domestic Fixed Income Fund | 13.2 | |||
Money Market Fund | 8.7 | |||
Structured Securities | 5.5 | |||
U.S. Government Obligations | 3.4 | |||
Alternative Fund | 1.9 | |||
Asset-Backed Securities | 0.8 | |||
Options Purchased | 0.7 | |||
Common Stocks | 0.6 | |||
Loan Participations | 0.4 | |||
Preferred Stocks | 0.3 | |||
Rights, Warrants and Certificates | 0.0 | * |
* | Represents a value of less than 0.005%. |
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Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
April 1, 2011 | September 30, 2011 | September 30, 2011 | ||||||||||
Actual | ||||||||||||
Class A | $ | 1,000.00 | $ | 965.10 | $ | 4.59 | ||||||
Class B | 1,000.00 | 958.60 | 9.13 | |||||||||
Class C | 1,000.00 | 961.20 | 8.34 | |||||||||
Class N | 1,000.00 | 960.80 | 6.71 | |||||||||
Class Y | 1,000.00 | 966.10 | 3.65 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,020.41 | 4.72 | |||||||||
Class B | 1,000.00 | 1,015.79 | 9.39 | |||||||||
Class C | 1,000.00 | 1,016.60 | 8.58 | |||||||||
Class N | 1,000.00 | 1,018.25 | 6.90 | |||||||||
Class Y | 1,000.00 | 1,021.36 | 3.76 |
Class | Expense Ratios | |||
Class A | 0.93 | % | ||
Class B | 1.85 | |||
Class C | 1.69 | |||
Class N | 1.36 | |||
Class Y | 0.74 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—0.9% | ||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.195%, 5/25/341 | $ | 4,647,879 | $ | 3,919,296 | ||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.335%, 9/25/361 | 1,526,970 | 425,702 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 545,100 | 549,814 | ||||||
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.795%, 2/25/331 | 23,548 | 21,802 | ||||||
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 | 1,471,548 | 1,146,023 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.355%, 6/25/471 | 9,969,568 | 8,942,244 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.459%, 12/15/351 | 466,307 | 257,188 | ||||||
Series 2006-H, Cl. 2A1A, 0.379%, 11/15/361 | 178,544 | 48,446 | ||||||
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/112,4 | 15,000,000 | 150 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 1,945,000 | 1,979,062 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/153 | 2,710,000 | 2,720,555 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/252,4 | 2,730,094 | — | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.345%, 6/25/361 | 35,676 | 35,573 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/233 | 2,160,000 | 2,182,589 | ||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/112,4 | 9,183,876 | — | ||||||
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 | 5,000,000 | 4,999,017 | ||||||
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/1/315 | 1,550,740 | 265,924 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | 2,774,000 | 1,446,936 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | ||||||||
Series 2007-1A, Cl. B, 2.152%, 8/15/221,4 | 21,000,000 | 13,860,000 | ||||||
Series 2007-1A, Cl. C, 3.452%, 8/15/221,4 | 17,780,000 | 11,201,400 | ||||||
Series 2007-1A, Cl. D, 5.452%, 8/15/221,4 | 17,780,000 | 10,668,000 | ||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 2.787%, 3/24/141,4,5 | 4,365,314 | 43,653 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.335%, 8/25/361 | 5,283,525 | 1,646,875 |
17 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/292,4 | $ | 4,475,119 | $ | 358,010 | ||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 | 978,464 | 843,385 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 | 958,912 | 954,980 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.747%, 6/15/391 | 6,586,000 | 3,231,692 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 3.524%, 5/1/371,3,5 | 457,548 | 251,632 | ||||||
Total Asset-Backed Securities (Cost $126,942,894) | 71,999,948 | |||||||
Mortgage-Backed Obligations—19.6% | ||||||||
Government Agency—6.9% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—6.4% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 12/15/34 | 2,673,549 | 2,883,284 | ||||||
5.50%, 9/1/39 | 5,789,249 | 6,274,460 | ||||||
6%, 1/15/19-7/15/24 | 4,987,582 | 5,458,223 | ||||||
6.50%, 4/15/18-6/15/35 | 3,770,669 | 4,172,559 | ||||||
7%, 8/15/21-3/1/35 | 3,395,458 | 3,915,662 | ||||||
7.50%, 1/1/32-2/15/32 | 4,137,997 | 4,818,190 | ||||||
8.50%, 8/15/31 | 240,870 | 289,907 | ||||||
10%, 5/15/20 | 119,786 | 138,697 | ||||||
10.50%, 6/14/20 | 78,121 | 91,834 | ||||||
11.50%, 11/14/16 | 16,550 | 16,683 | ||||||
12%, 7/15/15-6/15/17 | 80,578 | 81,661 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 3,832,320 | 4,370,502 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 7,929 | 9,174 | ||||||
Series 1590, Cl. IA, 1.30%, 10/15/231 | 3,252,631 | 3,284,746 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 173,859 | 197,858 | ||||||
Series 2006-11, Cl. PS, 23.707%, 3/25/361 | 1,921,156 | 2,649,099 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 28,877 | 32,020 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 42,035 | 48,286 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 2,959,011 | 3,441,579 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 28,379 | 31,997 | ||||||
Series 2116, Cl. ZA, 6%, 1/15/29 | 2,027,614 | 2,303,415 | ||||||
Series 2122, Cl. F, 0.679%, 2/15/291 | 83,638 | 83,796 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 | 50,356 | 55,608 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 450,243 | 517,315 | ||||||
Series 2344, Cl. FP, 1.179%, 8/15/311 | 1,150,285 | 1,165,794 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 69,199 | 76,011 | ||||||
Series 2368, Cl. TG, 6%, 10/15/16 | 399,765 | 426,227 | ||||||
Series 2401, Cl. FA, 0.879%, 7/15/291 | 157,108 | 158,314 |
18 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2412, Cl. GF, 1.179%, 2/15/321 | $ | 2,137,217 | $ | 2,171,476 | ||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 2,117,438 | 2,353,067 | ||||||
Series 2451, Cl. FD, 1.229%, 3/15/321 | 815,076 | 828,991 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 95,382 | 102,242 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 305,157 | 349,498 | ||||||
Series 2464, Cl. FI, 1.229%, 2/15/321 | 817,336 | 828,925 | ||||||
Series 2470, Cl. AF, 1.229%, 3/15/321 | 1,315,051 | 1,347,061 | ||||||
Series 2470, Cl. LF, 1.229%, 2/15/321 | 835,905 | 850,469 | ||||||
Series 2471, Cl. FD, 1.229%, 3/15/321 | 1,251,318 | 1,271,799 | ||||||
Series 2475, Cl. FB, 1.229%, 2/15/321 | 1,144,825 | 1,166,084 | ||||||
Series 2500, Cl. FD, 0.729%, 3/15/321 | 337,800 | 338,873 | ||||||
Series 2517, Cl. GF, 1.229%, 2/15/321 | 691,144 | 702,840 | ||||||
Series 2526, Cl. FE, 0.629%, 6/15/291 | 388,057 | 389,973 | ||||||
Series 2551, Cl. FD, 0.629%, 1/15/331 | 264,429 | 265,436 | ||||||
Series 2551, Cl. LF, 0.729%, 1/15/331 | 125,902 | 126,343 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 2,635,000 | 2,892,140 | ||||||
Series 2676, Cl. TF, 0.829%, 1/15/321 | 645,302 | 645,630 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 347,624 | 349,237 | ||||||
Series 2915, Cl. GA, 4.50%, 12/1/21 | 576,068 | 580,426 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 2,807,000 | 3,206,730 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 13,094 | 13,094 | ||||||
Series 3025, Cl. SJ, 23.91%, 8/15/351 | 1,829,183 | 2,514,162 | ||||||
Series 3094, Cl. HS, 23.544%, 6/15/341 | 1,055,595 | 1,362,253 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 | 4,046,159 | 4,422,943 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 2,933,804 | 3,111,841 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 | 5,365,686 | 5,614,514 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 12.33%, 4/1/276 | 505,044 | 95,289 | ||||||
Series 192, Cl. IO, 11.732%, 2/1/286 | 220,899 | 46,335 | ||||||
Series 2035, Cl. PE, 0.256%, 3/15/286 | 59,818 | 10,061 | ||||||
Series 2049, Cl. PL, 22.464%, 4/15/286 | 362,373 | 61,677 | ||||||
Series 205, Cl. IO, 11.256%, 9/1/296 | 1,234,447 | 241,976 | ||||||
Series 206, Cl. IO, 0%, 12/1/296,7 | 396,833 | 93,277 | ||||||
Series 207, Cl. IO, 0%, 4/1/306,7 | 419,270 | 86,162 | ||||||
Series 2074, Cl. S, 61.407%, 7/17/286 | 311,223 | 64,931 | ||||||
Series 2079, Cl. S, 73.219%, 7/17/286 | 521,131 | 113,136 | ||||||
Series 214, Cl. IO, 0%, 6/1/316,7 | 389,378 | 76,756 | ||||||
Series 2177, Cl. SB, 99.999%, 8/15/296 | 328,642 | 80,080 | ||||||
Series 243, Cl. 6, 25.865%, 12/15/326 | 1,335,537 | 229,135 | ||||||
Series 2526, Cl. SE, 37.871%, 6/15/296 | 701,219 | 144,067 | ||||||
Series 2795, Cl. SH, 13.63%, 3/15/246 | 4,904,957 | 766,365 | ||||||
Series 2802, Cl. AS, 70.428%, 4/15/336 | 1,233,955 | 94,119 | ||||||
Series 2819, Cl. S, 49.785%, 6/15/346 | 7,104,424 | 1,461,774 | ||||||
Series 2920, Cl. S, 63.697%, 1/15/356 | 4,078,038 | 644,045 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/356 | 7,626,879 | 1,338,510 | ||||||
Series 3110, Cl. SL, 34.256%, 2/15/266 | 1,498,148 | 199,735 | ||||||
Series 3451, Cl. SB, 26.46%, 5/15/386 | 4,909,478 | 502,923 |
19 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn.: | ||||||||
2.619%, 10/1/361 | $ | 11,837,138 | $ | 12,475,673 | ||||
4.50%, 10/1/26-10/1/418 | 76,692,000 | 81,429,295 | ||||||
5%, 11/25/21-12/25/21 | 107,424 | 116,045 | ||||||
5%, 10/1/418 | 42,323,000 | 45,530,300 | ||||||
5.50%, 1/25/22-1/1/36 | 3,831,164 | 4,179,815 | ||||||
5.50%, 10/1/26-10/1/418 | 36,897,000 | 40,035,966 | ||||||
6%, 6/25/17-1/25/19 | 172,613 | 186,857 | ||||||
6%, 10/1/418 | 20,790,000 | 22,807,285 | ||||||
6.50%, 4/25/18-1/1/34 | 11,876,482 | 13,455,508 | ||||||
7%, 11/1/17-9/25/34 | 18,147,900 | 20,819,071 | ||||||
7.50%, 2/25/27-3/25/33 | 7,287,154 | 8,503,248 | ||||||
8.50%, 7/1/32 | 35,946 | 41,003 | ||||||
9.50%, 4/25/20-4/8/21 | 57,783 | 68,273 | ||||||
11%, 7/25/16-2/25/26 | 180,627 | 217,126 | ||||||
13%, 6/25/15 | 35,632 | 41,101 | ||||||
15%, 5/9/13 | 14,418 | 15,181 | ||||||
Federal National Mortgage Assn. Grantor Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-T10, Cl. IO, 0%, 12/25/416,7 | 85,524,707 | 1,119,518 | ||||||
Trust 2001-T3, Cl. IO, 43.409%, 11/25/406 | 10,892,797 | 190,309 | ||||||
Federal National Mortgage Assn., 15 yr.: | ||||||||
3%, 10/1/268 | 35,125,000 | 36,195,213 | ||||||
3.50%, 10/1/268 | 17,430,000 | 18,203,456 | ||||||
4%, 10/1/268 | 1,325,000 | 1,396,633 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/418 | 42,180,000 | 44,223,094 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1996-35, Cl. Z, 7%, 7/25/26 | 170,086 | 197,189 | ||||||
Trust 1997-45, Cl. CD, 8%, 7/18/27 | 1,141,364 | 1,366,569 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 1,055,770 | 1,185,718 | ||||||
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 | 48,752 | 56,283 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 2,013,654 | 2,336,816 | ||||||
Trust 2001-19, Cl. Z, 6%, 5/1/31 | 992,104 | 1,128,740 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 207,768 | 222,872 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 293,421 | 344,356 | ||||||
Trust 2001-65, Cl. F, 0.835%, 11/25/311 | 1,667,480 | 1,673,023 | ||||||
Trust 2001-69, Cl. PF, 1.235%, 12/25/311 | 1,865,066 | 1,906,069 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 2,144,466 | 2,431,419 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 1,194,238 | 1,285,958 | ||||||
Trust 2002-19, Cl. PE, 6%, 4/25/17 | 618,910 | 663,719 | ||||||
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 | 2,060,116 | 2,344,454 | ||||||
Trust 2002-29, Cl. F, 1.235%, 4/25/321 | 910,215 | 930,356 | ||||||
Trust 2002-60, Cl. FH, 1.235%, 8/25/321 | 1,771,113 | 1,803,692 | ||||||
Trust 2002-64, Cl. FJ, 1.235%, 4/25/321 | 279,762 | 285,952 | ||||||
Trust 2002-68, Cl. FH, 0.73%, 10/18/321 | 587,255 | 589,830 | ||||||
Trust 2002-81, Cl. FM, 0.735%, 12/25/321 | 1,065,202 | 1,069,970 | ||||||
Trust 2002-84, Cl. FB, 1.235%, 12/25/321 | 176,930 | 180,861 |
20 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | $ | 1,358,013 | $ | 1,487,367 | ||||
Trust 2003-11, Cl. FA, 1.235%, 9/25/321 | 241,441 | 246,805 | ||||||
Trust 2003-116, Cl. FA, 0.635%, 11/25/331 | 428,402 | 430,555 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 5,556,000 | 6,203,670 | ||||||
Trust 2003-3, Cl. FM, 0.735%, 4/25/331 | 1,129,905 | 1,134,622 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 4,789,725 | 5,131,812 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 1,458,476 | 1,479,896 | ||||||
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 | 1,181,843 | 1,359,024 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 933,743 | 943,320 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 695,003 | 702,635 | ||||||
Trust 2005-25, Cl. PS, 27.128%, 4/25/351 | 718,823 | 1,071,387 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 611,837 | 621,785 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,865,000 | 3,454,219 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 3,386,325 | 3,570,877 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 3,700,000 | 4,043,259 | ||||||
Trust 2006-46, Cl. SW, 23.339%, 6/25/361 | 2,788,381 | 3,769,878 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 | 3,753,679 | 3,961,804 | ||||||
Trust 2009-36, Cl. FA, 1.175%, 6/25/371 | 3,589,517 | 3,653,071 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 3,757,678 | 3,945,831 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 2,846,824 | 3,080,198 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 39.84%, 11/18/316 | 1,892,711 | 351,026 | ||||||
Trust 2001-63, Cl. SD, 21.485%, 12/18/316 | 52,231 | 9,547 | ||||||
Trust 2001-68, Cl. SC, 13.744%, 11/25/316 | 34,302 | 6,429 | ||||||
Trust 2001-81, Cl. S, 32.649%, 1/25/326 | 489,904 | 102,486 | ||||||
Trust 2002-28, Cl. SA, 36.624%, 4/25/326 | 365,793 | 67,440 | ||||||
Trust 2002-38, Cl. SO, 54.966%, 4/25/326 | 363,154 | 56,990 | ||||||
Trust 2002-39, Cl. SD, 43.709%, 3/18/326 | 565,013 | 119,001 | ||||||
Trust 2002-48, Cl. S, 33.125%, 7/25/326 | 569,659 | 106,272 | ||||||
Trust 2002-52, Cl. SL, 34.699%, 9/25/326 | 348,719 | 65,836 | ||||||
Trust 2002-53, Cl. SK, 42.304%, 4/25/326 | 352,203 | 78,143 | ||||||
Trust 2002-56, Cl. SN, 35.279%, 7/25/326 | 781,261 | 144,882 | ||||||
Trust 2002-65, Cl. SC, 69.262%, 6/25/266 | 1,151,639 | 247,119 | ||||||
Trust 2002-77, Cl. IS, 49.001%, 12/18/326 | 618,704 | 112,689 | ||||||
Trust 2002-77, Cl. SH, 43.115%, 12/18/326 | 642,682 | 131,461 | ||||||
Trust 2002-89, Cl. S, 65.38%, 1/25/336 | 3,851,242 | 882,337 | ||||||
Trust 2002-9, Cl. MS, 32.601%, 3/25/326 | 678,273 | 136,839 | ||||||
Trust 2003-13, Cl. IO, 16.223%, 3/25/336 | 2,802,111 | 470,396 | ||||||
Trust 2003-23, Cl. ES, 57.458%, 10/25/226 | 7,477,491 | 529,824 | ||||||
Trust 2003-26, Cl. DI, 13.596%, 4/25/336 | 1,689,833 | 283,860 | ||||||
Trust 2003-26, Cl. IK, 17.219%, 4/25/336 | 296,139 | 49,746 | ||||||
Trust 2003-33, Cl. SP, 43.369%, 5/25/336 | 2,240,519 | 368,025 | ||||||
Trust 2003-4, Cl. S, 37.586%, 2/25/336 | 1,113,698 | 186,595 | ||||||
Trust 2003-46, Cl. IH, 45.65%, 6/1/236 | 404,521 | 48,265 | ||||||
Trust 2004-56, Cl. SE, 16.377%, 10/25/336 | 2,207,993 | 326,354 | ||||||
Trust 2005-14, Cl. SE, 37.399%, 3/25/356 | 1,076,750 | 159,538 |
21 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2005-40, Cl. SA, 63.773%, 5/25/356 | $ | 6,209,365 | $ | 981,819 | ||||
Trust 2005-40, Cl. SB, 74.315%, 5/25/356 | 2,880,060 | 591,872 | ||||||
Trust 2005-71, Cl. SA, 64.068%, 8/25/256 | 2,933,983 | 444,271 | ||||||
Trust 2006-129, Cl. SM, 33.301%, 1/25/376 | 4,004,384 | 531,883 | ||||||
Trust 2006-51, Cl. SA, 17.892%, 6/25/366 | 25,745,666 | 3,445,468 | ||||||
Trust 2006-60, Cl. DI, 37.345%, 4/25/356 | 1,660,030 | 228,435 | ||||||
Trust 2006-90, Cl. SX, 95.959%, 9/25/366 | 6,119,116 | 1,294,962 | ||||||
Trust 2007-77, Cl. SB, 31.856%, 12/25/316 | 4,136,178 | 189,661 | ||||||
Trust 2007-88, Cl. XI, 29.616%, 6/25/376 | 15,346,950 | 2,459,217 | ||||||
Trust 2008-55, Cl. SA, 27.309%, 7/25/386 | 2,615,239 | 292,771 | ||||||
Trust 2011-84, Cl. IG, 5.587%, 8/1/136 | 17,292,594 | 519,049 | ||||||
Trust 221, Cl. 2, 35.203%, 5/1/236 | 540,377 | 97,249 | ||||||
Trust 247, Cl. 2, 24.259%, 10/1/236 | 225,528 | 42,943 | ||||||
Trust 252, Cl. 2, 24.713%, 11/1/236 | 63,626 | 11,441 | ||||||
Trust 254, Cl. 2, 10.969%, 1/1/246 | 183,557 | 34,412 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/336 | 2,524,823 | 548,292 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/356 | 4,474,565 | 876,374 | ||||||
Trust 301, Cl. 2, 0.952%, 4/1/296 | 735,094 | 145,979 | ||||||
Trust 303, Cl. IO, 28.935%, 11/1/296 | 487,831 | 110,771 | ||||||
Trust 313, Cl. 2, 40.133%, 6/1/316 | 6,408,793 | 1,339,581 | ||||||
Trust 319, Cl. 2, 5.956%, 2/1/326 | 2,055,899 | 408,222 | ||||||
Trust 321, Cl. 2, 4.335%, 4/1/326 | 3,266,085 | 616,012 | ||||||
Trust 324, Cl. 2, 7.95%, 7/1/326 | 1,423,497 | 268,699 | ||||||
Trust 328, Cl. 2, 63.272%, 12/1/326 | 1,544,889 | 264,978 | ||||||
Trust 331, Cl. 5, 25.15%, 2/1/336 | 2,788,879 | 496,178 | ||||||
Trust 332, Cl. 2, 21.656%, 3/1/336 | 7,504,132 | 1,235,562 | ||||||
Trust 334, Cl. 10, 27.471%, 2/1/336 | 2,372,603 | 405,173 | ||||||
Trust 334, Cl. 12, 6.06%, 2/1/336 | 3,545,451 | 598,245 | ||||||
Trust 338, Cl. 2, 30.188%, 7/1/336 | 8,510,338 | 1,344,163 | ||||||
Trust 339, Cl. 7, 0%, 7/1/336,7 | 8,177,361 | 1,184,860 | ||||||
Trust 345, Cl. 9, 14.998%, 1/1/346 | 2,969,010 | 382,491 | ||||||
Trust 351, Cl. 10, 5.52%, 4/1/346 | 998,596 | 149,088 | ||||||
Trust 351, Cl. 8, 0%, 4/1/346,7 | 1,639,265 | 246,771 | ||||||
Trust 356, Cl. 10, 3.882%, 6/1/356 | 1,347,325 | 195,332 | ||||||
Trust 356, Cl. 12, 0%, 2/1/356,7 | 662,014 | 97,325 | ||||||
Trust 362, Cl. 13, 4.687%, 8/1/356 | 88,826 | 13,788 | ||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1992-2, Cl. IO, 18.367%, 9/15/226 | 8,770,471 | 180,827 | ||||||
Series 1995-2B, Cl. 2IO, 17.884%, 6/15/256 | 631,810 | 14,470 | ||||||
Series 1995-3, Cl. 1IO, 13.307%, 9/15/256 | 21,029,802 | 151,486 | ||||||
542,176,352 | ||||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn.: | ||||||||
2.625%, 7/1/271 | 5,626 | 5,843 | ||||||
5%, 11/1/34 | 812,009 | 865,184 | ||||||
7%, 1/29/28-2/8/30 | 1,215,198 | 1,416,735 |
22 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed Continued | ||||||||
Government National Mortgage Assn.: Continued | ||||||||
8%, 1/29/28-9/29/28 | $ | 572,957 | $ | 677,422 | ||||
11%, 11/8/19 | 7,524 | 8,413 | ||||||
12%, 12/9/13-9/1/15 | 15,168 | 16,855 | ||||||
12.50%, 12/29/13-11/29/15 | 284,224 | 290,256 | ||||||
13%, 10/30/15 | 431,269 | 460,215 | ||||||
13.50%, 6/30/15 | 562,806 | 593,191 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 5,252,240 | 6,656,758 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 2,674,297 | 3,072,045 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 2,456,640 | 2,816,424 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 68.274%, 7/16/286 | 1,121,284 | 240,574 | ||||||
Series 1998-6, Cl. SA, 79.325%, 3/16/286 | 656,571 | 136,149 | ||||||
Series 2007-17, Cl. AI, 20.251%, 4/16/376 | 3,047,292 | 548,787 | ||||||
Series 2010-111, Cl. GI, 16.164%, 9/1/136 | 46,412,389 | 1,352,248 | ||||||
19,157,099 | ||||||||
Other Agency—0.3% | ||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: | ||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 | 2,029,095 | 2,051,094 | ||||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 | 3,855,000 | 4,045,898 | ||||||
Series 2010-C1, Cl. APT, 2.65%, 10/29/20 | 4,401,166 | 4,572,776 | ||||||
NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.674%, 10/7/201 | 4,137,713 | 4,144,168 | ||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts.: | ||||||||
Series 2010-R3, Cl. 2A, 0.784%, 12/8/201 | 1,268,854 | 1,276,683 | ||||||
Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 | 3,305,238 | 3,373,425 | ||||||
19,464,044 | ||||||||
Non-Agency—12.7% | ||||||||
Commercial—7.2% | ||||||||
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.072%, 7/10/441 | 24,665,000 | 22,894,497 | ||||||
Banc of America Commercial Mortgage Trust 2006-5, Commercial Mtg. Pass-Through Certificates, Series 2006-5, Cl. AM, 5.448%, 9/1/47 | 15,065,000 | 12,947,441 | ||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 8,000,000 | 7,023,228 | ||||||
Banc of America Commercial Mortgage Trust 2007-5, Commercial Mtg. Pass-Through Certificates, Series 2007-5, Cl. AM, 5.772%, 2/1/51 | 27,490,000 | 24,042,713 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-3, Cl. AM, 5.801%, 6/1/491 | 14,315,000 | 11,710,608 | ||||||
Series 2008-1, Cl. AM, 6.438%, 2/10/511 | 8,165,000 | 7,541,761 |
23 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.705%, 6/1/471 | $ | 8,767,806 | $ | 6,694,439 | ||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates, Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 | 24,370,000 | 19,074,143 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 | 13,340,000 | 12,248,941 | ||||||
Series 2007-PWR17, Cl. AJ, 6.137%, 6/1/501 | 27,600,000 | 17,586,858 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR18, Cl. AM, 6.084%, 6/13/50 | 7,657,000 | 6,680,013 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/243,6,7 | 952,807 | 47,164 | ||||||
CD 2007-CD5 Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD5, Cl. AM, 6.343%, 11/1/441 | 9,071,000 | 8,378,388 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 8,480,402 | 7,787,477 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.068%, 12/20/351 | 454,098 | 350,623 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 34,617,797 | 28,109,027 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.275%, 12/1/491 | 21,955,000 | 19,523,242 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 3,190,000 | 3,301,430 | ||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.903%, 6/1/391 | 4,210,000 | 4,402,172 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.729%, 11/1/461,3 | 9,405,000 | 7,444,645 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.736%, 1/27/371,4 | 3,607,021 | 1,659,230 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 2,193,989 | 1,217,647 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/463 | 2,731,067 | 2,762,952 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/203,6 | 22,080,983 | 1,733,633 | ||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/301,4 | 27,904,132 | 4,743,703 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 2,055,166 | 1,368,980 |
24 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.91%, 11/1/371 | $ | 9,464,778 | $ | 6,533,873 | ||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.115%, 5/15/301 | 2,000,000 | 1,938,755 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 6.074%, 7/10/381 | 14,200,000 | 11,146,617 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 | 10,264,000 | 10,701,354 | ||||||
Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 | 24,450,000 | 19,798,681 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.728%, 3/1/441,3 | 11,396,000 | 8,390,556 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 2,026,666 | 1,951,869 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.775%, 5/25/351 | 23,098,310 | 16,390,445 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.128%, 11/1/351 | 6,332,256 | 4,444,813 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/433 | 3,285,000 | 3,222,128 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 8,605,000 | 8,972,550 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 20,139,000 | 18,073,534 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 30,690,000 | 17,922,607 | ||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 | 12,893,000 | 11,684,217 | ||||||
Series 2008-C2, Cl. AM, 6.785%, 2/1/511 | 17,340,000 | 14,355,179 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 | 8,030,000 | 5,747,621 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 6.072%, 4/1/451 | 440,000 | 424,451 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.932%, 2/1/491 | 25,504,000 | 22,385,651 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 6.005%, 6/1/491 | 2,170,000 | 2,300,336 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 4.441%, 1/1/371 | 1,114,623 | 772,925 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2, Commercial Mtg. Pass-Through Certificates, Series 2007-C2, Cl. AM, 5.493%, 2/11/40 | 6,739,000 | 5,730,320 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. AM, 6.114%, 7/11/40 | 14,600,000 | 12,346,454 |
25 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.312%, 4/11/411 | $ | 6,930,000 | $ | 6,217,322 | ||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/243 | 233,397 | 191,630 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 1,628,453 | 260,267 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 2,378,455 | 2,443,701 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.855%, 5/1/391 | 11,155,000 | 8,973,065 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-3, Cl. AM, 5.456%, 7/12/46 | 3,602,000 | 3,356,066 | ||||||
Series 2006-3, Cl. AJ, 5.485%, 7/1/46 | 15,255,000 | 11,634,241 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12, Commercial Mtg. Pass-Through Certificates, Series 2006-IQ12, Cl. AJ, 5.399%, 12/1/43 | 27,580,000 | 15,829,982 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.08%, 6/1/491 | 22,125,000 | 18,332,310 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.313%, 12/1/491 | 7,833,000 | 7,213,179 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.216%, 4/25/351 | 312,892 | 41,992 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 1,932,032 | 1,295,147 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.816%, 2/1/371 | 19,384,082 | 13,112,072 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C23, Commercial Mtg. Pass-Through Certificates, Series 2006-C23, Cl. AJ, 5.515%, 1/1/45 | 16,865,000 | 13,959,371 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.923%, 5/1/431 | 15,780,000 | 12,574,009 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48 | 4,215,000 | 4,489,487 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 6.096%, 2/1/511 | 16,020,000 | 16,940,798 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.082%, 11/1/461 | 3,205,438 | 1,874,678 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.60%, 4/1/471 | 2,255,834 | 1,214,571 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.708%, 11/1/341 | 2,609,826 | 238,582 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.734%, 2/1/351 | 10,250,242 | 9,206,603 |
26 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.789%, 4/1/371 | $ | 9,156,442 | $ | 7,699,886 | ||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.407%, 3/1/446 | 25,479,434 | 2,330,859 | ||||||
605,939,709 | ||||||||
Multifamily—0.7% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.956%, 5/1/451 | 10,705,000 | 8,797,728 | ||||||
Citigroup Commercial Mortgage Trust 2006-C5, Commercial Mtg. Pass-Through Certificates, Series 2006-C5, Cl. AJ, 5.482%, 10/1/49 | 16,525,000 | 13,454,126 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.681%, 6/1/361 | 23,788,556 | 20,664,619 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.454%, 5/1/371 | 18,142,627 | 15,219,877 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.039%, 9/1/351 | 1,666,146 | 1,501,669 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.795%, 3/25/361 | 4,861,823 | 3,926,279 | ||||||
63,564,298 | ||||||||
Other—0.1% | ||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 8,605,000 | 8,958,016 | ||||||
Residential—4.7% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.983%, 2/1/511 | 23,790,000 | 21,260,041 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.563%, 5/1/361 | 7,545,000 | 6,765,171 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.771%, 5/1/341 | 8,144,657 | 6,637,500 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 3.98%, 11/1/341 | 2,426,515 | 2,298,388 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 2.753%, 2/1/371 | 3,415,242 | 3,283,096 | ||||||
CHL Mortgage Pass-Through Trust 2005-24, Mtg. Pass-Through Certificates, Series 2005-24, Cl. A35, 5.50%, 11/1/35 | 1,216,700 | 1,199,725 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | 6,336,509 | 6,008,506 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 22,353,711 | 19,538,261 | ||||||
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 | 6,374,970 | 6,173,174 |
27 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.363%, 11/1/351 | $ | 17,737,137 | $ | 12,471,486 | ||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 5,132,256 | 5,027,371 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 1,497,644 | 1,417,440 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.981%, 6/1/471 | 5,695,157 | 3,883,305 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 1A1, 5.631%, 9/1/471 | 27,102,574 | 18,316,041 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.787%, 5/1/351 | 6,639,720 | 5,671,659 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.079%, 8/1/351 | 13,458,245 | 9,826,692 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 1 A2, 2.827%, 3/1/361 | 15,890,243 | 12,064,397 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 23,105,000 | 19,162,767 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 4,158,387 | 3,915,722 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 | 27,257,653 | 17,615,899 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 | 10,140,000 | 7,257,568 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.775%, 5/1/341 | 8,485,051 | 7,080,402 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates, Series 2005-AR6, Cl. 1A4, 2.756%, 9/1/351 | 17,460,974 | 16,332,227 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.252%, 11/1/351 | 5,673,429 | 4,298,400 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 2,339,841 | 2,304,595 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 5,783,200 | 5,073,566 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 4.991%, 7/1/351 | 7,936,737 | 6,806,458 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.375%, 9/11/451 | 27,890,000 | 23,063,496 | ||||||
Lehman Mortgage Trust, Mtg. Pass-Through Certificates, Series 2006-1, Cl. 1A3, 5.50%, 2/1/36 | 1,406,649 | 933,645 | ||||||
Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 2.752%, 4/1/361 | 5,690,536 | 4,248,694 |
28 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.646%, 10/25/361 | $ | 7,774,418 | $ | 7,007,541 | ||||
Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.694%, 12/25/341 | 344,252 | 315,822 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 23,518 | 24,282 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: | ||||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 6,719,981 | 3,976,095 | ||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 171,951 | 101,741 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 3,182,285 | 1,917,433 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 9,376,376 | 7,774,005 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 14,973,393 | 12,058,433 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 12,483,744 | 10,882,797 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.501%, 10/1/351 | 6,589,197 | 5,270,251 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.837%, 9/1/361 | 2,791,872 | 2,266,568 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 2.643%, 2/1/371 | 37,758,459 | 26,416,969 | ||||||
Series 2007-HY1, Cl. 5A1, 5.344%, 2/1/371 | 22,881,777 | 17,180,382 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 2.665%, 12/1/361 | 26,965,522 | 17,230,713 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.591%, 5/1/371 | 4,306,506 | 3,587,821 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.401%, 6/25/371 | 10,099,304 | 7,834,808 | ||||||
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 5.208%, 1/1/371 | 3,728,453 | 3,172,772 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 2,285,677 | 2,208,516 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.684%, 10/1/361 | 9,808,666 | 8,437,518 | ||||||
397,600,159 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,807,864,213) | 1,656,859,677 |
29 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Obligations—3.5% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.125%, 7/27/129 | $ | 69,170,000 | $ | 69,638,488 | ||||
2%, 8/25/16 | 4,140,000 | 4,295,097 | ||||||
2.50%, 5/27/16 | 5,880,000 | 6,238,856 | ||||||
3%, 7/28/1410 | 11,290,000 | 12,052,877 | ||||||
5%, 2/16/17 | 22,895,000 | 27,127,873 | ||||||
5.50%, 7/18/16 | 6,710,000 | 8,059,636 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.125%, 7/30/12 | 63,790,000 | 64,247,119 | ||||||
2.375%, 4/11/16 | 10,200,000 | 10,772,047 | ||||||
4.875%, 12/15/169 | 10,715,000 | 12,612,691 | ||||||
5%, 3/15/169 | 6,670,000 | 7,804,280 | ||||||
5.375%, 7/15/16-6/12/17 | 18,648,000 | 22,513,713 | ||||||
U.S. Treasury Bills: | ||||||||
0.01%, 12/1/119,10 | 21,000,000 | 20,999,580 | ||||||
0.035%, 3/8/129,10 | 20,000,000 | 19,996,120 | ||||||
U.S. Treasury Nts., STRIPS, 0.891%, 8/15/1611 | 11,000,000 | 10,491,954 | ||||||
Total U.S. Government Obligations (Cost $292,279,310) | 296,850,331 | |||||||
Foreign Government Obligations—20.8% | ||||||||
Argentina—0.7% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
2.50%, 12/31/381 | 15,625,000 | 5,312,500 | ||||||
7%, 10/3/15 | 42,585,000 | 36,410,175 | ||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 | 13,425,000 | 10,494,621 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/213 | 6,245,000 | 5,626,402 | ||||||
57,843,698 | ||||||||
Australia—0.3% | ||||||||
New South Wales Treasury Corp., Series 22, 6%, 3/1/22 | 1,725,000 | AUD | 1,820,136 | |||||
Queensland Treasury Corp.: | ||||||||
Series 20, 6.25%, 2/21/20 | 8,250,000 | AUD | 8,648,784 | |||||
Series 22, 6%, 7/21/22 | 4,840,000 | AUD | 4,996,022 | |||||
Series 24, 5.75%, 7/22/24 | 2,960,000 | AUD | 2,992,390 | |||||
Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24 | 4,960,000 | AUD | 5,041,304 | |||||
23,498,636 | ||||||||
Austria—0.1% | ||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/193 | 4,265,000 | EUR | 6,442,338 | |||||
Belgium—0.1% | ||||||||
Belgium (Kingdom of) Bonds, Series 52, 4%, 3/28/18 | 6,470,000 | EUR | 9,029,100 | |||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 | 840,000 | EUR | 1,262,851 | |||||
10,291,951 |
30 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Brazil—2.8% | ||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
9.762%, 1/1/1712 | 315,812,000 | BRR | $ | 153,417,195 | ||||
9.762%, 1/1/2112 | 94,893,000 | BRR | 44,159,753 | |||||
Series NTNB, 12.12%, 5/15/1512 | 22,425,000 | BRR | 25,729,266 | |||||
Series NTNB, 12.20%, 8/15/5012 | 12,740,000 | BRR | 14,449,847 | |||||
237,756,061 | ||||||||
Canada—0.1% | ||||||||
Canada (Government of) Nts.: | ||||||||
3.75%, 6/1/19 | 5,345,000 | CAD | 5,782,179 | |||||
4%, 6/1/17 | 4,630,000 | CAD | 5,008,609 | |||||
10,790,788 | ||||||||
Colombia—0.6% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/283 | 9,872,000,000 | COP | 6,444,933 | |||||
Colombia (Republic of) Bonds: | ||||||||
4.375%, 7/12/21 | 7,620,000 | 7,791,450 | ||||||
7.375%, 9/18/37 | 4,930,000 | 6,465,695 | ||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 2,510,000 | 3,108,635 | ||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 20,475,000 | 23,300,550 | ||||||
47,111,263 | ||||||||
Denmark—0.0% | ||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | 16,080,000 | DKK | 3,370,392 | |||||
Dominican Republic—0.1% | ||||||||
Dominican Republic Bonds, 7.50%, 5/6/213 | 5,795,000 | 5,708,075 | ||||||
Finland—0.0% | ||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 | 1,725,000 | EUR | 2,575,441 | |||||
France—0.1% | ||||||||
France (Government of) Bonds: | ||||||||
3.75%, 10/25/19 | 2,795,000 | EUR | 4,125,359 | |||||
4%, 4/25/60 | 1,485,000 | EUR | 2,215,987 | |||||
6,341,346 | ||||||||
Germany—0.3% | ||||||||
Germany (Federal Republic of) Bonds: | ||||||||
3.25%, 7/4/42 | 1,275,000 | EUR | 1,926,447 | |||||
3.50%, 7/4/19 | 1,890,000 | EUR | 2,881,150 | |||||
Series 07, 4.25%, 7/4/39 | 2,905,000 | EUR | 5,087,422 | |||||
Series 157, 2.25%, 4/10/15 | 7,495,000 | EUR | 10,539,733 | |||||
Germany (Federal Republic of) Treasury Bills: | ||||||||
0.195%, 10/12/1111 | 1,380,000 | EUR | 1,848,741 | |||||
0.301%, 1/25/1211 | 4,275,000 | EUR | 5,710,897 | |||||
27,994,390 |
31 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Ghana—0.1% | ||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/173 | $ | 5,165,000 | $ | 5,423,250 | ||||
Greece—0.0% | ||||||||
Hellenic Republic Sr. Unsec. Unsub. Bonds, 30 yr., 4.50%, 9/20/37 | 4,685,000 | EUR | 2,084,496 | |||||
Hungary—0.9% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 12/B, 7.25%, 6/12/12 | 1,961,000,000 | HUF | 9,014,590 | |||||
Series 19/A, 6.50%, 6/24/19 | 3,453,000,000 | HUF | 14,376,645 | |||||
Series 20/A, 7.50%, 11/12/20 | 4,879,000,000 | HUF | 21,485,850 | |||||
Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41 | 5,600,000 | 5,488,000 | ||||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | 21,955,000 | 21,471,990 | ||||||
71,837,075 | ||||||||
Indonesia—0.8% | ||||||||
Indonesia (Republic of) Nts., 6.875%, 1/17/183 | 7,410,000 | 8,354,775 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/213 | 13,970,000 | 14,179,550 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/383 | 20,570,000 | 25,918,200 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds: | ||||||||
5.875%, 3/13/203 | 5,000,000 | 5,425,000 | ||||||
6.625%, 2/17/373 | 7,115,000 | 8,022,163 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/353 | 6,855,000 | 9,288,525 | ||||||
71,188,213 | ||||||||
Italy—0.3% | ||||||||
Italy (Republic of) Bonds: | ||||||||
3.10%, 9/15/2612 | 2,175,000 | EUR | 2,406,432 | |||||
4%, 9/1/2012 | 6,625,000 | EUR | 8,042,255 | |||||
5%, 9/1/4012 | 2,860,000 | EUR | 3,176,113 | |||||
Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/2312 | 7,900,000 | EUR | 9,331,379 | |||||
22,956,179 | ||||||||
Ivory Coast—0.0% | ||||||||
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/322,3 | 1,540,000 | 777,700 | ||||||
Japan—2.1% | ||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/298 | 3,865,000,000 | JPY | 53,629,042 | |||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: | ||||||||
2 yr., Series 304, 0.20%, 5/15/138 | 2,242,000,000 | JPY | 29,099,375 | |||||
5 yr., Series 96, 0.50%, 3/20/168 | 4,768,000,000 | JPY | 62,266,692 | |||||
10 yr., Series 307, 1.30%, 3/20/208 | 2,453,000,000 | JPY | 33,080,325 | |||||
178,075,434 |
32 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Korea, Republic of South—0.4% | ||||||||
Korea (Republic of) Sr. Unsec. Treasury Bonds: | ||||||||
Series 1406, 3.50%, 6/10/14 | 19,201,000,000 | KRW | $ | 16,292,987 | ||||
Series 1603, 4%, 3/10/16 | 11,518,000,000 | KRW | 9,932,093 | |||||
Korea (Republic of) Sr. Unsec. Unsub. Nts., 5.125%, 12/7/16 | 6,075,000 | 6,603,379 | ||||||
32,828,459 | ||||||||
Malaysia—0.4% | ||||||||
Malaysia (Government of) Sr. Unsec. Bonds: | ||||||||
Series 1/06, 4.262%, 9/15/16 | 6,375,000 | MYR | 2,072,831 | |||||
Series 0309, 2.711%, 2/14/12 | 78,240,000 | MYR | 24,517,830 | |||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/213 | 7,670,000 | 8,003,146 | ||||||
34,593,807 | ||||||||
Mexico—2.2% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | 655,000 | 732,945 | ||||||
Series M, 6.50%, 6/10/211 | 910,340,000 | MXN | 65,961,406 | |||||
Series M20, 7.50%, 6/3/271 | 746,430,000 | MXN | 55,474,936 | |||||
Series M10, 7.75%, 12/14/17 | 40,380,000 | MXN | 3,243,928 | |||||
Series M20, 8.50%, 5/31/291 | 395,590,000 | MXN | 31,476,196 | |||||
Series MI10, 9%, 12/20/121 | 112,400,000 | MXN | 8,532,527 | |||||
Series M20, 10%, 12/5/241 | 45,350,000 | MXN | 4,178,415 | |||||
United Mexican States Nts., 6.75%, 9/27/34 | 8,490,000 | 10,485,150 | ||||||
United Mexican States Sr. Nts., 5.75%, 10/12/2110 | 4,470,000 | 4,425,300 | ||||||
184,510,803 | ||||||||
New Zealand—0.3% | ||||||||
New Zealand (Government of) Sr. Unsec. Bonds: | ||||||||
Series 413, 6.50%, 4/15/13 | 19,870,000 | NZD | 15,971,952 | |||||
Series 415, 6%, 4/15/15 | 7,910,000 | NZD | 6,559,506 | |||||
22,531,458 | ||||||||
Norway—0.0% | ||||||||
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 | 6,130,000 | NOK | 1,165,801 | |||||
Panama—0.2% | ||||||||
Panama (Republic of) Bonds: | ||||||||
7.25%, 3/15/15 | 1,165,000 | 1,338,003 | ||||||
8.875%, 9/30/27 | 2,990,000 | 4,290,650 | ||||||
9.375%, 4/1/29 | 4,465,000 | 6,730,988 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 4,470,000 | 5,616,555 | ||||||
17,976,196 |
33 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Peru—0.4% | ||||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/203 | 79,130,000 | PEN | $ | 32,368,122 | ||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 | 1,600,000 | 1,608,000 | ||||||
33,976,122 | ||||||||
Philippines—0.0% | ||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 2,040,000 | 2,346,000 | ||||||
Poland—1.4% | ||||||||
Poland (Republic of) Bonds: | ||||||||
5.25%, 10/25/20 | 52,640,000 | PLZ | 15,243,405 | |||||
Series 0415, 5.50%, 4/25/15 | 6,235,000 | PLZ | 1,914,695 | |||||
Series 0416, 5%, 4/25/16 | 196,950,000 | PLZ | 59,101,531 | |||||
Series 1015, 6.25%, 10/24/15 | 62,500,000 | PLZ | 19,616,280 | |||||
Series 1017, 5.25%, 10/25/17 | 3,370,000 | PLZ | 1,003,154 | |||||
Poland (Republic of) Sr. Unsec. Nts.: | ||||||||
5.125%, 4/21/21 | 12,035,000 | 12,035,000 | ||||||
6.375%, 7/15/19 | 7,755,000 | 8,549,888 | ||||||
117,463,953 | ||||||||
Qatar—0.1% | ||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/203 | 6,010,000 | 6,641,050 | ||||||
Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/403 | 2,810,000 | 3,435,225 | ||||||
10,076,275 | ||||||||
Russia—0.1% | ||||||||
Russian Federation Bonds, 5%, 4/29/203 | 4,655,000 | 4,585,175 | ||||||
Singapore—0.0% | ||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 | 1,940,000 | SGD | 1,613,352 | |||||
South Africa—2.2% | ||||||||
South Africa (Republic of) Bonds: | ||||||||
5.50%, 3/9/20 | 6,735,000 | 7,400,081 | ||||||
Series R209, 6.25%, 3/31/36 | 211,450,000 | ZAR | 19,205,825 | |||||
Series R208, 6.75%, 3/31/21 | 278,920,000 | ZAR | 30,969,360 | |||||
Series R213, 7%, 2/28/31 | 268,320,000 | ZAR | 27,129,413 | |||||
Series R207, 7.25%, 1/15/20 | 427,410,000 | ZAR | 49,749,000 | |||||
Series R186, 10.50%, 12/21/26 | 332,295,000 | ZAR | 47,613,106 | |||||
182,066,785 | ||||||||
Spain—0.2% | ||||||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.65%, 7/30/25 | 4,575,000 | EUR | 5,579,231 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 | 3,265,000 | EUR | 3,610,786 | |||||
Spain (Kingdom of) Treasury Bills, 1.71%, 12/16/1111 | 4,300,000 | EUR | 5,746,795 | |||||
14,936,812 |
34 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Sri Lanka—0.1% | ||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: | ||||||||
6.25%, 10/4/203 | $ | 5,090,000 | $ | 4,962,750 | ||||
6.25%, 7/27/213 | 6,180,000 | 5,952,786 | ||||||
10,915,536 | ||||||||
Sweden—0.0% | ||||||||
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 | 17,045,000 | SEK | 2,783,283 | |||||
The Netherlands—0.3% | ||||||||
Netherlands (Kingdom of the) Bonds: | ||||||||
2.50%, 1/15/17 | 3,635,000 | EUR | 5,085,270 | |||||
3.25%, 7/15/21 | 5,450,000 | EUR | 7,915,099 | |||||
4%, 7/15/18 | 2,235,000 | EUR | 3,396,295 | |||||
4%, 7/15/19 | 7,160,000 | EUR | 10,960,792 | |||||
27,357,456 | ||||||||
Turkey—1.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.875%, 3/17/36 | 8,840,000 | 9,458,800 | ||||||
7%, 3/11/19 | 5,250,000 | 5,906,250 | ||||||
8.68%, 2/20/1311 | 63,730,000 | TRY | 30,686,317 | |||||
10.50%, 1/15/201 | 4,165,000 | TRY | 2,401,419 | |||||
11%, 8/6/14 | 31,040,000 | TRY | 17,813,259 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 | 6,740,000 | 7,700,450 | ||||||
Turkey (Republic of) Unsec. Nts., 6%, 1/14/41 | 9,230,000 | 8,837,725 | ||||||
82,804,220 | ||||||||
Ukraine—0.4% | ||||||||
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/164 | 3,675,000 | 3,197,250 | ||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/173 | 7,560,000 | 7,030,800 | ||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/203 | 7,520,000 | 6,805,600 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts.: | ||||||||
6.25%, 6/17/163 | 9,160,000 | 8,163,850 | ||||||
6.75%, 11/14/173 | 3,235,000 | 2,930,910 | ||||||
7.95%, 2/23/213 | 8,910,000 | 8,108,100 | ||||||
36,236,510 | ||||||||
United Kingdom—0.5% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
3.25%, 12/7/11 | 6,190,000 | GBP | 9,699,787 | |||||
4.25%, 3/7/36 | 8,010,000 | GBP | 14,159,515 | |||||
4.75%, 3/7/20 | 2,580,000 | GBP | 4,831,758 | |||||
4.75%, 12/7/38 | 8,915,000 | GBP | 17,002,311 | |||||
45,693,371 |
35 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | $ | 7,305,000 | $ | 9,058,200 | ||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 7,740,000 | 9,133,200 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 14,940,000 | 18,675,000 | ||||||
36,866,400 | ||||||||
Venezuela—0.8% | ||||||||
Venezuela (Republic of) Bonds: | ||||||||
9%, 5/7/23 | 14,020,000 | 8,762,500 | ||||||
11.95%, 8/5/31 | 6,645,000 | 4,884,075 | ||||||
Venezuela (Republic of) Nts.: | ||||||||
8.25%, 10/13/24 | 4,450,000 | 2,647,750 | ||||||
8.50%, 10/8/14 | 3,760,000 | 3,327,600 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||
7.75%, 10/13/19 | 12,960,000 | 8,294,400 | ||||||
12.75%, 8/23/22 | 1,490,000 | 1,188,275 | ||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | 10,205,000 | 5,434,163 | ||||||
7.65%, 4/21/25 | 24,910,000 | 14,198,700 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/183 | 17,155,000 | 15,611,050 | ||||||
64,348,513 | ||||||||
Total Foreign Government Obligations (Cost $1,838,770,170) | 1,759,743,013 | |||||||
Loan Participations—0.4% | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/181 | 2,315,000 | 2,118,225 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 4.236%, 10/19/151,13 | 35,876,284 | 22,332,987 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 | 9,866,875 | 10,187,548 | ||||||
Total Loan Participations (Cost $33,977,763) | 34,638,760 | |||||||
Corporate Bonds and Notes—26.3% | ||||||||
Consumer Discretionary—3.4% | ||||||||
Auto Components—0.4% | ||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 8,145,000 | 8,328,263 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/173 | 19,328,000 | 19,231,360 | ||||||
Visteon Corp., 6.75% Sr. Nts., 4/15/193 | 9,180,000 | 8,307,900 | ||||||
35,867,523 |
36 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure—1.2% | ||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/163 | $ | 6,920,000 | $ | 6,954,600 | ||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/153 | 5,095,000 | 4,610,975 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 37,467,000 | 22,480,200 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/173 | 9,825,000 | 9,088,125 | ||||||
Isle of Capri Casinos, Inc.: | ||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 | 6,776,000 | 6,191,570 | ||||||
7.75% Sr. Unsec. Unsub. Nts., 3/15/19 | 7,075,000 | 6,491,313 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 4,835,000 | 4,883,350 | ||||||
MCE Finance Ltd., 10.25% Sr. Sec. Nts., 5/15/18 | 3,650,000 | 3,887,250 | ||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | 6,130,000 | 5,624,275 | ||||||
6.625% Sr. Unsec. Nts., 7/15/15 | 14,560,000 | 12,412,400 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 | 15,496,000 | 10,304,840 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 5,780,000 | 6,184,600 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/082,4 | 10,850,000 | — | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 8,280,000 | 3,312,000 | ||||||
102,425,498 | ||||||||
Household Durables—0.2% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 3,690,000 | 2,509,200 | ||||||
9.125% Sr. Unsec. Nts., 5/15/19 | 10,500,000 | 6,720,000 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | ||||||||
8.50% Sr. Nts., 5/15/183 | 5,115,000 | 4,347,750 | ||||||
9% Sr. Nts., 4/15/193 | 4,990,000 | 4,266,450 | ||||||
17,843,400 | ||||||||
Media—1.5% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 | 6,935,000 | 5,374,625 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 | 11,690,000 | 9,059,750 | ||||||
Belo (A.H.) Corp.: | ||||||||
7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 | 1,775,000 | 1,477,688 | ||||||
7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 11,109,000 | 9,498,195 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/153 | 16,905,000 | 10,903,725 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/173 | 8,845,000 | 8,800,775 | ||||||
Clear Channel Communications, Inc.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/15/13 | 4,665,000 | 4,175,175 | ||||||
9% Sr. Sec. Nts., 3/1/21 | 4,490,000 | 3,356,275 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 9,190,000 | 4,801,775 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/193 | 4,605,000 | 3,902,738 |
37 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 | $ | 4,195,000 | $ | 3,953,788 | ||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | 15,796,000 | 14,374,360 | ||||||
Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/184 | 3,550,000 | 3,727,500 | ||||||
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/193 | 5,970,000 | 5,835,675 | ||||||
Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/173,13 | 9,527,331 | 9,003,328 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 | 6,880,000 | 6,828,400 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 | 9,350,000 | 9,256,500 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/203 | 2,620,000 | 2,469,350 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 | 4,245,000 | 3,947,850 | ||||||
120,747,472 | ||||||||
Textiles, Apparel & Luxury Goods—0.1% | ||||||||
Jones Group, Inc. (The)/Jones Apparel Group Holdings, Inc./Jones Apparel Group USA, Inc./JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 | 8,940,000 | 8,135,400 | ||||||
Consumer Staples—0.8% | ||||||||
Beverages—0.0% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/171 | 5,535,000 | BRR | 3,008,667 | |||||
Food & Staples Retailing—0.1% | ||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/213 | 7,765,000 | 7,826,646 | ||||||
Food Products—0.7% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/163 | 13,735,000 | 13,391,625 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/173,13 | 18,593,853 | 18,129,007 | ||||||
Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/193 | 7,115,000 | 6,047,750 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/173 | 8,515,000 | 8,046,675 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/153 | 5,541,000 | 4,931,490 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/154 | 9,220,000 | 9,588,800 | ||||||
60,135,347 | ||||||||
Energy—4.5% | ||||||||
Energy Equipment & Services—0.4% | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/194 | 6,310,000 | 5,868,300 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 | 8,215,000 | 8,009,625 | ||||||
Offshore Group Investments Ltd.: | ||||||||
11.50% Sr. Sec. Nts., 8/1/15 | 9,525,000 | 9,858,375 | ||||||
11.50% Sr. Sec. Nts., 8/1/153 | 2,105,000 | 2,178,675 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | 9,100,000 | 8,918,000 | ||||||
34,832,975 |
38 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels—4.1% | ||||||||
Afren plc, 11.50% Sr. Sec. Nts., 2/1/163 | $ | 6,400,000 | $ | 6,080,000 | ||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/153 | 5,500,000 | 5,115,000 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 | 9,700,000 | 10,136,500 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 | 16,505,000 | 11,574,131 | ||||||
Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 | 10,725,000 | 10,564,125 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 10,135,000 | 10,185,675 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/203 | 3,025,000 | 3,146,384 | ||||||
Gaz Capital SA: | ||||||||
7.288% Sr. Sec. Nts., 8/16/373 | 19,545,000 | 19,129,669 | ||||||
8.146% Sr. Sec. Nts., 4/11/183 | 10,210,000 | 11,307,575 | ||||||
8.625% Sr. Sec. Nts., 4/28/343 | 6,450,000 | 7,482,000 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/193 | 10,250,000 | 11,992,500 | ||||||
James River Coal Co., 7.875% Sr. Nts., 4/1/193 | 2,385,000 | 2,015,325 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/213 | 7,490,000 | 7,284,025 | ||||||
KMG Finance Sub BV: | ||||||||
7% Sr. Unsec. Bonds, 5/5/203 | 4,100,000 | 4,115,375 | ||||||
9.125% Sr. Unsec. Unsub. Nts., 7/2/183 | 12,000,000 | 13,620,000 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 14,750,000 | 15,266,250 | ||||||
Lukoil International Finance BV: | ||||||||
6.125% Sr. Unsec. Nts., 11/9/203 | 13,600,000 | 12,784,000 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/223 | 3,450,000 | 3,268,875 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/193 | 2,250,000 | 2,295,000 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/213 | 11,935,000 | 11,487,438 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/153 | 20,305,000 | 19,492,800 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 20,875,000 | 20,040,000 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 2,595,000 | 2,173,313 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/213 | 4,540,000 | 4,540,000 | ||||||
Pemex Project Funding Master Trust: | ||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 8,440,000 | 9,157,400 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 | 10,790,000 | 11,680,175 | ||||||
Pertamina PT (Persero): | ||||||||
5.25% Nts., 5/23/213 | 8,395,000 | 8,143,150 | ||||||
6.50% Sr. Unsec. Nts., 5/27/413 | 3,720,000 | 3,571,200 | ||||||
Petrobras International Finance Co.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 3,480,000 | 3,647,040 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 3,760,000 | 4,399,200 | ||||||
Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/173 | 12,100,000 | 8,076,750 | ||||||
Petroleos Mexicanos: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 | 6,070,000 | 6,434,200 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 | 2,750,000 | 3,036,000 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/193 | 8,790,000 | 10,482,075 |
39 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/193 | $ | 7,570,000 | $ | 7,494,300 | ||||
Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 | 8,575,000 | 9,303,875 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 4,585,000 | 5,043,500 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Unsec. Nts., 1/15/20 | 9,535,000 | 9,391,975 | ||||||
9.875% Sr. Unsec. Nts., 5/15/163 | 4,820,000 | 4,988,700 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/143 | 10,234,295 | 10,375,017 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 | 5,100,000 | 4,411,500 | ||||||
344,732,017 | ||||||||
Financials—5.0% | ||||||||
Capital Markets—1.0% | ||||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 3,354,000 | 2,934,750 | ||||||
Credit Suisse First Boston International, 6.80% Export-Import Bank of Ukraine Nts., 10/4/12 | 3,100,000 | 3,061,250 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | 5,345,000 | 4,817,181 | ||||||
Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 | 23,075,000 | 23,190,375 | ||||||
Nuveen Investments, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 9/15/15 | 4,182,000 | 3,408,330 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 | 9,620,000 | 8,922,550 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/183 | 9,896,000 | 10,192,880 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | 9,375,000 | 6,796,875 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 19,955,000 | 14,567,150 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 | 9,375,000 | 6,515,625 | ||||||
84,406,966 | ||||||||
Commercial Banks—2.2% | ||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/153 | 7,590,000 | 7,400,250 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/173 | 6,020,000 | 5,478,200 | ||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/163 | 18,050,000 | 17,689,000 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/193 | 4,270,000 | 4,163,250 | ||||||
Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/163 | 3,110,000 | 2,767,900 | ||||||
Banco de Credito del Peru: | ||||||||
5.375% Sr. Nts., 9/16/203 | 1,790,000 | 1,709,450 | ||||||
6.95% Sub. Nts., 11/7/211,3 | 2,920,000 | 3,044,100 | ||||||
9.75% Jr. Sub. Nts., 11/6/693 | 3,000,000 | 3,390,000 | ||||||
Banco Do Brasil SA: | ||||||||
5.875% Unsec. Sub. Nts., 1/26/223 | 3,070,000 | 2,954,875 | ||||||
8.50% Jr. Sub. Perpetual Bonds3,14 | 4,900,000 | 5,500,250 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/203 | 2,475,000 | 2,598,750 |
40 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/163 | $ | 3,120,000 | $ | 3,112,200 | ||||
Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/163 | 6,160,000 | 6,098,400 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 7,707,000 | EUR | 10,870,638 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 5,280,000 | EUR | 7,359,899 | |||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/153 | 10,145,000 | 9,739,200 | ||||||
CIT Group, Inc., 7% Sec. Bonds, 5/2/173 | 6,045,000 | 5,871,206 | ||||||
Halyk Savings Bank of Kazakhstan JSC: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/173 | 3,585,000 | 3,377,142 | ||||||
9.25% Sr. Nts., 10/16/133 | 22,290,000 | 23,181,600 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/153 | 11,665,000 | 11,632,770 | ||||||
6.375% Bonds, 4/30/221,3 | 11,895,000 | 9,932,325 | ||||||
Lloyds TSB Bank plc, 4.875% Sec. Nts., 1/13/23 | 650,000 | EUR | 930,387 | |||||
PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/123 | 4,580,000 | 4,451,188 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/163 | 4,660,000 | 4,508,550 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/203 | 13,905,000 | 13,696,425 | ||||||
VTB Capital SA: | ||||||||
6.315% Nts., 2/22/183 | 7,790,000 | 7,297,244 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/153 | 4,490,000 | 4,523,675 | ||||||
6.551% Sr. Unsec. Nts., 10/13/203 | 4,410,000 | 4,079,250 | ||||||
187,358,124 | ||||||||
Consumer Finance—0.2% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/122 | 27,100,000 | 3,252,000 | ||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/183 | 5,750,000 | 5,821,875 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 | 7,180,000 | 7,754,400 | ||||||
16,828,275 | ||||||||
Diversified Financial Services—0.5% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/263 | 10,508,362 | 9,562,610 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 1,660,000 | EUR | 2,296,554 | |||||
Banco Invex SA, 29.582% Mtg.-Backed Certificates, Series 062U, 3/13/3412 | 17,962,375 | MXN | 1,735,208 | |||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 4,780,000 | 4,218,350 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds14 | 11,230,000 | 8,282,125 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.809% Sec. Nts., 8/26/351,4 | 20,232,960 | MXN | 1,604,811 | |||||
27.977% Mtg.-Backed Certificates, Series 06U, 9/25/351 | 7,724,786 | MXN | 1,079,676 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 | 5,475,000 | 5,446,026 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/973,15 | 12,450,000 | 8,338,263 | ||||||
42,563,623 |
41 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Insurance—0.1% | ||||||||
International Lease Finance Corp.: | ||||||||
8.625% Sr. Unsec. Unsub. Nts., 9/15/15 | $ | 6,140,000 | $ | 6,116,975 | ||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 | 5,635,000 | 5,677,263 | ||||||
11,794,238 | ||||||||
Real Estate Investment Trusts—0.4% | ||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/193 | 23,060,000 | 20,754,000 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 | 9,235,000 | 8,854,056 | ||||||
29,608,056 | ||||||||
Real Estate Management & Development—0.3% | ||||||||
Country Garden Holdings Co., 11.125% Sr. Unsec. Nts., 2/23/183 | 6,210,000 | 4,781,700 | ||||||
Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 | 16,200,000 | 10,854,000 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,3 | 8,535,000 | 8,385,638 | ||||||
24,021,338 | ||||||||
Thrifts & Mortgage Finance—0.3% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/163 | 2,715,000 | 2,524,950 | ||||||
WM Covered Bond Program: | ||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 12,220,000 | EUR | 17,157,950 | |||||
4.375% Sec. Nts., 5/19/14 | 2,825,000 | EUR | 3,953,982 | |||||
23,636,882 | ||||||||
Health Care—1.2% | ||||||||
Biotechnology—0.0% | ||||||||
Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/183 | 3,000,000 | 3,015,000 | ||||||
Health Care Equipment & Supplies—0.4% | ||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | 8,810,000 | 7,554,575 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 | 3,835,000 | 3,489,850 | ||||||
Biomet, Inc.: | ||||||||
10.375% Sr. Unsec. Nts., 10/15/1713 | 7,605,000 | 7,833,150 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 7,546,000 | 7,866,705 | ||||||
DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/173 | 2,820,000 | 2,368,800 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 3,900,000 | 3,705,000 | ||||||
32,818,080 | ||||||||
Health Care Providers & Services—0.6% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1513 | 5,953,831 | 5,462,640 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | 5,840,000 | 4,672,000 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/183 | 4,815,000 | 4,261,275 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Nts., 6/1/193 | 11,485,000 | 8,829,094 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/183 | 7,115,000 | 7,079,425 |
42 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Health Care Providers & Services Continued | ||||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 | $ | 4,245,000 | $ | 3,778,050 | ||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 | 4,470,000 | 3,833,025 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 5,479,000 | 4,773,579 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/183 | 2,980,000 | 2,890,600 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)2 | 6,485,000 | 81,063 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 5,940,000 | 5,479,650 | ||||||
51,140,401 | ||||||||
Health Care Technology—0.0% | ||||||||
MedAssets, Inc., 8% Sr. Nts., 11/15/183 | 1,175,000 | 1,125,063 | ||||||
Pharmaceuticals—0.2% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/183 | 3,100,000 | 3,030,250 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/183 | 2,915,000 | 2,652,650 | ||||||
Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/183 | 8,635,000 | 8,289,600 | ||||||
13,972,500 | ||||||||
Industrials—2.7% | ||||||||
Aerospace & Defense—0.7% | ||||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 | 15,220,000 | 13,355,550 | ||||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||||
8.50% Sr. Unsec. Nts., 4/1/15 | 17,955,000 | 7,720,650 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 | 3,575,000 | 1,179,750 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Nts., 3/15/213 | 5,260,000 | 4,904,950 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | 4,195,000 | 4,195,000 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 | 16,630,000 | 17,004,175 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 | 10,290,000 | 11,010,300 | ||||||
59,370,375 | ||||||||
Air Freight & Logistics—0.0% | ||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/183 | 2,940,000 | 2,954,700 | ||||||
Airlines—0.2% | ||||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/153 | 13,555,000 | 14,469,963 | ||||||
Building Products—0.3% | ||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/173 | 4,230,000 | 3,447,450 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 14,965,000 | 14,272,869 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/173 | 4,205,000 | 3,984,238 | ||||||
21,704,557 |
43 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Commercial Services & Supplies—0.2% | ||||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 | $ | 7,455,000 | $ | 6,739,320 | ||||
West Corp.: | ||||||||
7.875% Sr. Unsec. Nts., 1/15/19 | 4,680,000 | 4,422,600 | ||||||
8.625% Sr. Unsec. Nts., 10/1/18 | 10,130,000 | 9,902,075 | ||||||
21,063,995 | ||||||||
Construction & Engineering—0.2% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/243 | 14,915,353 | 17,227,233 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/203 | 3,020,000 | 3,178,550 | ||||||
20,405,783 | ||||||||
Electrical Equipment—0.1% | ||||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 | 6,166,000 | 6,443,470 | ||||||
Machinery—0.5% | ||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/164 | 9,910,000 | 9,563,150 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | 10,735,000 | 9,768,850 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 16,405,000 | 14,600,450 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 | 5,180,000 | 5,102,300 | ||||||
39,034,750 | ||||||||
Marine—0.1% | ||||||||
Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 | 10,430,000 | 10,104,063 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | 2,115,000 | 2,072,700 | ||||||
12,176,763 | ||||||||
Professional Services—0.1% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/153 | 5,613,000 | 5,248,155 | ||||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 | 2,355,000 | 2,572,838 | ||||||
7,820,993 | ||||||||
Road & Rail—0.3% | ||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 | 16,730,000 | 16,060,800 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/203 | 3,000,000 | 2,977,500 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/153 | 13,924,000 | 9,398,700 | ||||||
28,437,000 |
44 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Information Technology—1.3% | ||||||||
Computers & Peripherals—0.2% | ||||||||
Seagate HDD Cayman: | ||||||||
6.875% Sr. Unsec. Nts., 5/1/20 | $ | 10,255,000 | $ | 9,485,875 | ||||
7% Sr. Unsec. Nts., 11/1/213 | 6,325,000 | 5,850,625 | ||||||
15,336,500 | ||||||||
Electronic Equipment & Instruments—0.2% | ||||||||
CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 | 17,265,000 | 16,574,400 | ||||||
Internet Software & Services—0.2% | ||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 19,575,000 | 20,064,375 | ||||||
IT Services—0.4% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 8,195,000 | 6,801,850 | ||||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/203 | 8,875,000 | 8,386,875 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 17,575,000 | 14,806,938 | ||||||
SunGard Data Systems, Inc., 7.625% Sr. Unsec. Nts., 11/15/20 | 2,935,000 | 2,744,225 | ||||||
32,739,888 | ||||||||
Semiconductors & Semiconductor Equipment—0.3% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 | 9,450,000 | 9,308,250 | ||||||
Freescale Semiconductor, Inc.: | ||||||||
9.25% Sr. Sec. Nts., 4/15/183 | 6,025,000 | 6,220,813 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 | 10,237,000 | 10,288,185 | ||||||
25,817,248 | ||||||||
Materials—3.0% | ||||||||
Chemicals—0.7% | ||||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/413 | 2,140,000 | 1,974,150 | ||||||
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/213 | 9,330,000 | 8,607,858 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 | 8,500,000 | 8,542,500 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 10,690,000 | 8,872,700 | ||||||
9% Sec. Nts., 11/15/20 | 5,000,000 | 3,687,500 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/173 | 10,750,000 | 11,636,875 | ||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 | 16,725,000 | 11,540,250 | ||||||
54,861,833 | ||||||||
Construction Materials—0.3% | ||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/213 | 5,765,000 | 5,491,163 | ||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/203 | 4,134,000 | 2,728,440 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/163 | 4,545,000 | 3,340,575 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/183 | 7,410,000 | 5,094,375 |
45 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Construction Materials Continued | ||||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 | $ | 5,095,000 | $ | 4,177,900 | ||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/203 | 3,640,000 | 3,567,200 | ||||||
West China Cement Ltd., 7.50% Sr. Nts., 1/25/163 | 4,040,000 | 2,787,600 | ||||||
27,187,253 | ||||||||
Containers & Packaging—0.3% | ||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | 11,165,000 | 9,546,075 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/193 | 7,805,000 | 7,824,513 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 | 11,690,000 | 10,228,750 | ||||||
27,599,338 | ||||||||
Metals & Mining—0.9% | ||||||||
Aleris International, Inc., 7.625% Sr. Nts., 2/15/183 | 16,615,000 | 14,995,038 | ||||||
Alrosa Finance SA, 7.75% Nts., 11/3/203 | 6,070,000 | 5,781,675 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/163 | 4,650,000 | 3,987,375 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/193 | 2,700,000 | 2,868,750 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/163 | 8,075,000 | 7,065,625 | ||||||
JSC Severstal, 6.70% Nts., 10/25/173 | 7,410,000 | 6,317,025 | ||||||
Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/183 | 6,235,000 | 5,263,587 | ||||||
Vedanta Resources plc: | ||||||||
8.25% Sr. Unsec. Nts., 6/7/213 | 9,290,000 | 7,246,200 | ||||||
9.50% Sr. Unsec. Nts., 7/18/183 | 28,320,000 | 24,921,600 | ||||||
78,446,875 | ||||||||
Paper & Forest Products—0.8% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/183 | 6,643,000 | 6,975,150 | ||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/153,13 | 14,948,415 | 9,791,212 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/153 | 15,410,000 | 15,178,850 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/163 | 14,799,000 | 9,693,345 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 | 7,540,000 | 7,445,750 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/142 | 18,110,000 | 13,537,225 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/153 | 5,600,000 | 3,276,000 | ||||||
65,897,532 | ||||||||
Telecommunication Services—1.7% | ||||||||
Diversified Telecommunication Services—0.9% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/193 | 9,115,000 | 7,747,750 | ||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/163 | 11,210,000 | BRR | 5,425,396 | |||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 4,815,000 | 3,876,075 |
46 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Diversified Telecommunication Services Continued | ||||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | $ | 5,305,000 | $ | 5,172,375 | ||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 7,550,000 | 6,738,375 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 9,665,000 | 8,408,550 | ||||||
12.50% Sr. Unsec. Nts., 2/4/1713 | 5,259,375 | 4,536,211 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/203 | 2,810,000 | 2,599,250 | ||||||
Level 3 Financing, Inc.: | ||||||||
9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 1,210,000 | 1,200,925 | ||||||
9.375% Sr. Unsec. Unsub. Nts., 4/1/193 | 12,915,000 | 12,075,525 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/203 | 15,409,000 | 14,792,640 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/183 | 4,550,000 | 3,895,938 | ||||||
76,469,010 | ||||||||
Wireless Telecommunication Services—0.8% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 | 4,750,000 | 4,987,500 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 42,300,000 | MXN | 2,886,284 | |||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 | 19,805,000 | 17,279,863 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 10,330,000 | 9,116,225 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/203 | 8,165,000 | 8,165,000 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/213 | 4,665,000 | 3,924,198 | ||||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/223 | 7,635,000 | 6,165,263 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/183 | 17,250,000 | 16,818,750 | ||||||
69,343,083 | ||||||||
Utilities—2.7% | ||||||||
Electric Utilities—1.6% | ||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/193 | 8,725,000 | 9,859,250 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 14,110,000 | 8,466,000 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/223 | 3,120,000 | 2,652,000 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/193 | 5,140,000 | 5,923,850 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | 10,024,000 | 9,823,520 | ||||||
Eskom Holdings Ltd.: | ||||||||
5.75% Sr. Unsec. Bonds, 1/26/213 | 10,875,000 | 11,092,500 | ||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 | 115,000,000 | ZAR | 13,005,233 | |||||
10% Nts., Series ES23, 1/25/23 | 137,000,000 | ZAR | 18,543,178 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/193 | 17,680,000 | 18,855,755 | ||||||
Majapahit Holding BV: | ||||||||
7.75% Nts., 10/17/163 | 8,820,000 | 9,823,275 | ||||||
8% Sr. Unsec. Nts., 8/7/193 | 4,000,000 | 4,520,000 |
47 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued | ||||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 421,000,000 | PHP | $ | 10,610,567 | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 30,865,000 | 11,728,700 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 5,445,000 | 2,041,875 | ||||||
136,945,703 | ||||||||
Energy Traders—0.9% | ||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/203 | 5,760,000 | 5,917,202 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/213 | 6,215,000 | 6,308,225 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 | 10,350,000 | 10,091,250 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/183 | 998,000 | 953,090 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/173 | 14,105,000 | 14,316,575 | ||||||
GenOn Energy, Inc.: | ||||||||
9.50% Sr. Unsec. Nts., 10/15/18 | 5,475,000 | 5,173,875 | ||||||
9.875% Sr. Unsec. Nts., 10/15/20 | 5,475,000 | 5,146,500 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/193 | 4,920,000 | 5,633,400 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/243 | 4,370,000 | 5,025,500 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/153 | 4,240,000 | 4,164,380 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 13,563,000 | 13,766,445 | ||||||
76,496,442 | ||||||||
Gas Utilities—0.1% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 | 2,590,000 | 2,214,450 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/173 | 5,268,000 | 5,689,440 | ||||||
7,903,890 | ||||||||
Water Utilities—0.1% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/203 | 5,585,000 | 5,612,925 | ||||||
Total Corporate Bonds and Notes (Cost $2,433,782,855) | 2,229,022,135 | |||||||
Shares | ||||||||
Preferred Stocks—0.3% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.3 | 19,515 | 13,069,562 | ||||||
GMAC Capital Trust I, 8.125% Cum. | 120,000 | 2,190,000 | ||||||
Greektown Superholdings, Inc., Series A-116,17 | 109,250 | 7,750,195 | ||||||
Total Preferred Stocks (Cost $30,957,733) | 23,009,757 |
48 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Shares | Value | |||||||
Common Stocks—0.6% | ||||||||
AbitibiBowater, Inc.17 | 329,842 | $ | 4,947,630 | |||||
American Media Operations, Inc.16,17 | 535,548 | 8,568,768 | ||||||
Arco Capital Corp. Ltd.4,16,17 | 2,494,716 | 4,989,432 | ||||||
Dana Holding Corp.17 | 269,913 | 2,834,087 | ||||||
Gaylord Entertainment Co., Cl. A17 | 285,149 | 5,514,782 | ||||||
Global Aviation Holdings, Inc.17 | 3,200 | 32,000 | ||||||
Greektown Superholdings, Inc.16,17 | 8,267 | 545,539 | ||||||
Huntsman Corp. | 95,115 | 919,762 | ||||||
Kaiser Aluminum Corp. | 2,405 | 106,493 | ||||||
Linn Energy LLC | 45,053 | 1,606,590 | ||||||
LyondellBasell Industries NV, Cl. A | 281,316 | 6,872,550 | ||||||
MHP SA, GDR3,17 | 243,656 | 2,984,379 | ||||||
Orbcomm, Inc.17 | 30,391 | 77,497 | ||||||
Premier Holdings Ltd.17 | 799,833 | — | ||||||
Range Resources Corp. | 28,249 | 1,651,437 | ||||||
Solutia, Inc.17 | 78,599 | 1,009,997 | ||||||
USA Mobility, Inc. | 44 | 581 | ||||||
Visteon Corp.17 | 121,668 | 5,231,724 | ||||||
Walter Industries, Inc. | 14,535 | 872,245 | ||||||
Whiting Petroleum Corp.17 | 29,236 | 1,025,599 | ||||||
Total Common Stocks (Cost $106,320,194) | 49,791,092 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 17 (Cost $0) | 31,274 | 1,125 |
Principal | ||||||||
Amount | ||||||||
Structured Securities—5.7% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 49,300,000,000 | IDR | 7,016,135 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 36,870,000,000 | IDR | 5,325,497 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 | 30,680,000,000 | IDR | 4,366,228 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 26,580,000,000 | IDR | 3,782,736 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 26,580,000,000 | IDR | 3,839,211 | |||||
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/131 | 216,840,000 | RUR | 6,734,371 | |||||
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/131 | 222,190,000 | RUR | 6,876,373 |
49 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Citigroup Funding, Inc.: | ||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/151,4 | 71,890,000 | RUR | $ | 2,294,077 | ||||
Indonesia (Republic of) Credit Linked Nts., Series 8, 8.25%, 7/19/213 | 81,510,000,000 | IDR | 9,833,273 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 28,180,000,000 | IDR | 4,070,315 | |||||
Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.253%, 10/25/111 | 7,495,000 | 7,531,371 | ||||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/131,4 | 148,920,000 | RUR | 4,662,913 | |||||
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/151,4 | 58,420,000 | UAH | 5,969,900 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/124 | 127,800,000,000 | I DR | 13,964,901 | |||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 | 8,155,000,000 | COP | 5,180,866 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 | 41,194,000,000 | COP | 25,455,307 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 | 10,191,000,000 | COP | 6,457,658 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/124 | 182,600,000 | DOP | 4,818,810 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 21%, 3/30/112 | 196,587,000 | RUR | 18,316 | |||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/121 | 305,165,000 | RUR | 9,241,479 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/102 | 335,100,000 | RUR | 1,041 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 | 154,040,000 | RUR | 4,640,480 | |||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 85,510,000 | RUR | 2,761,899 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 79,950,000 | RUR | 2,582,316 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 59,420,000 | RUR | 1,919,215 | |||||
Deutsche Bank AG: | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/254,11 | 5,033,551 | 3,515,518 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/254,11 | 6,413,518 | 4,479,310 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/254,11 | 5,537,046 | 3,867,167 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/254,11 | 4,949,420 | 3,456,759 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/254,11 | 6,162,429 | 4,303,946 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.238%, 5/6/254,11 | 7,033,479 | 4,912,301 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/254,11 | 5,618,926 | 3,924,354 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.338%, 5/6/254,11 | 5,281,550 | 3,688,725 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 12.061%, 12/31/174,12 | 43,260,000 | BRR | 22,279,005 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 4, 8.25%, 7/19/21 | 25,970,000,000 | IDR | 3,132,991 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 74,280,000 | RUR | 2,419,942 | |||||
JSC Gazprom Total Return Linked Nts., Series 4, 13.12%, 6/28/121 | 88,460,000 | RUR | 2,881,908 | |||||
JSC VTB Bank Credit Linked Nts., 12%, 6/19/121,4 | 76,400,000 | UAH | 9,293,413 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/151,4 | 1,803,555 | MXN | 126,720 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/151,4 | 3,155,364 | MXN | 221,701 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/151,4 | 47,575,229 | MXN | 3,342,707 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/151,4 | 3,467,217 | MXN | 243,612 |
50 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Deutsche Bank AG: Continued | ||||||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/151,4 | 2,518,999 | MXN | $ | 176,989 | ||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/151,4 | 1,608,758 | MXN | 113,034 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/151,4 | 296,268 | MXN | 20,816 | |||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 | 6,160,000 | 5,529,586 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 | 6,160,000 | 4,892,765 | ||||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 3.635%, 4/30/121,4 | 15,000,000 | 13,612,500 | ||||||
Series 335, 2.085%, 4/30/121,4 | 17,500,000 | 16,646,000 | ||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.479%, 2/8/374,11 | 245,971,200,000 | COP | 4,345,916 | |||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.445%, 12/20/171,4 | 24,000,000 | 18,516,000 | ||||||
Series 2008-01, 9.878%, 8/2/102,4,11 | 37,994,727 | BRR | 2,020,727 | |||||
Series 2008-2A, 7.937%, 9/17/131,4 | 32,556,250 | 33,142,263 | ||||||
HSBC Bank USA NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 8.25%, 7/15/213 | 50,140,000,000 | IDR | 6,048,832 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/313 | 47,791,000,000 | IDR | 6,250,651 | |||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/204 | 4,890,000,000 | COP | 3,099,449 | |||||
Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/213 | 33,475,000,000 | IDR | 4,038,386 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 10, 8.25%, 7/19/213 | 31,830,000,000 | IDR | 3,839,935 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 11, 8.25%, 7/19/213,8 | 28,625,000,000 | IDR | 3,453,287 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 6, 8.25%, 7/19/213 | 39,050,000,000 | IDR | 4,710,947 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 7, 8.25%, 7/19/213,8 | 54,250,000,000 | IDR | 6,544,658 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 9, 8.25%, 7/19/213,8 | 23,610,000,000 | IDR | 2,848,283 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/303 | 24,990,000,000 | IDR | 3,556,455 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/303 | 30,680,000,000 | IDR | 4,366,228 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/253 | 30,680,000,000 | IDR | 4,431,414 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/303 | 11,890,000,000 | IDR | 1,692,127 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/253 | 28,180,000,000 | IDR | 4,070,315 | |||||
JPMorgan Chase Bank NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/313 | 12,427,000,000 | IDR | 1,625,345 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/253 | 22,150,000,000 | IDR | 3,199,343 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/253 | 44,300,000,000 | IDR | 6,398,685 | |||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/131,4 | 149,000,000 | RUR | 4,627,473 | |||||
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/131,4 | 182,420,000 | RUR | 5,637,066 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.541%, 2/28/162,11 | 14,029,589 | 1,402,959 | ||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/124 | 4,971,276 | 2,301,701 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/164 | 7,928,000,000 | COP | 3,885,131 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/173 | 15,932,000 | PEN | 4,629,482 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 221,408,298 | RUR | 3,244,498 |
51 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.561%, 1/5/223,11 | 113,353,000 | BRR | $ | 10,593,660 | ||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 | 300,000 | 255,000 | ||||||
Standard Bank Group Ltd.: | ||||||||
Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/124,11 | 6,410,000 | GHS | 3,873,983 | |||||
Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/114,11 | 5,280,000 | GHS | 3,236,490 | |||||
UBS AG: | ||||||||
Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/114 | 4,821,752 | GHS | 2,999,500 | |||||
Indonesia (Republic of) Total Return Linked Nts., 8.25%, 7/19/21 | 111,550,000,000 | IDR | 13,457,264 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 1, 9.50%, 7/17/31 | 97,005,000,000 | IDR | 12,687,419 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 3, 8.25%, 7/19/21 | 15,660,000,000 | IDR | 1,889,204 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 5, 8.25%, 7/19/21 | 37,405,000,000 | IDR | 4,512,496 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 999, 9.50%, 7/17/31 | 74,624,000,000 | IDR | 9,760,177 | |||||
Total Structured Securities (Cost $582,901,692) | 483,619,206 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.7% | ||||||||||||||||
Australian Dollar (AUD) Call17 | 11/10/11 | $ | 1.050 | 3,540,000 | 7,570 | |||||||||||
Australian Dollar (AUD) Call17 | 1/13/12 | 1.040 | 7,155,000 | 57,276 | ||||||||||||
Australian Dollar (AUD) Call17 | 1/13/12 | 1.040 | 7,150,000 | 63,317 | ||||||||||||
Australian Dollar (AUD) Call17 | 1/13/12 | 1.040 | 11,010,000 | 87,471 | ||||||||||||
Australian Dollar (AUD) Call17 | 1/17/12 | 1.040 | 3,575,000 | 33,510 | ||||||||||||
Brazilian Real (BRR) Put17 | 11/22/11 | 1.700 | 21,110,000 | 1,259,982 | ||||||||||||
Brazilian Real (BRR) Put17 | 11/22/11 | 1.700 | 63,320,000 | 3,623,668 | ||||||||||||
Brazilian Real (BRR) Put17 | 11/28/11 | 1.700 | 21,030,000 | 1,219,028 | ||||||||||||
Canadian Dollar (CAD) Futures, 12/20/11 Put17 | 10/10/11 | 95.500 | 14 | 11,340 | ||||||||||||
Euro (EUR) Call17 | 1/13/12 | 1.390 | 3,575,000 | 91,433 | ||||||||||||
Euro (EUR) Call17 | 1/18/12 | 1.400 | 3,580,000 | 81,334 | ||||||||||||
Euro (EUR) Put17 | 11/2/11 | 1.350 | 25,660,000 | 754,535 | ||||||||||||
Euro (EUR) Put17 | 11/2/11 | 1.350 | 46,350,000 | 1,333,585 | ||||||||||||
Euro-Bundesobligation Futures, 12/8/11 Call17 | 10/3/11 | 137.500 | EUR | 271 | 3,631 | |||||||||||
Euro-Bundesobligation Futures, 12/8/11 Call17 | 10/3/11 | 138.500 | EUR | 181 | 2,425 | |||||||||||
Euro-Bundesobligation Futures, 12/8/11 Call17 | 10/3/11 | 140.500 | EUR | 90 | 1,206 | |||||||||||
Japanese Yen (JPY) Futures, 12/19/11 Put17 | 10/10/11 | 127.000 | 82 | 19,475 |
52 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased Continued | ||||||||||||||||
Japanese Yen (JPY) Futures, 12/19/11 Put17 | 10/10/11 | $ | 129.000 | 52 | $ | 34,450 | ||||||||||
Japanese Yen (JPY) Put17 | 11/17/11 | 78.900 | 325,500,000 | 30,376 | ||||||||||||
Mexican Nuevo Peso (MXN) Call17 | 11/18/11 | 12.000 | 372,400,000 | 24,143 | ||||||||||||
Mexican Nuevo Peso (MXN) Call17 | 11/18/11 | 12.000 | 372,400,000 | 16,628 | ||||||||||||
Mexican Nuevo Peso (MXN) Call17 | 1/18/12 | 12.950 | 243,470,000 | 349,633 | ||||||||||||
Mexican Nuevo Peso (MXN) Call17 | 1/18/12 | 12.950 | 243,470,000 | 271,866 | ||||||||||||
New Zealand Dollar (NZD) Call17 | 1/13/12 | 0.840 | 10,735,000 | 64,814 | ||||||||||||
New Zealand Dollar (NZD) Call17 | 1/17/12 | 0.840 | 10,505,000 | 59,976 | ||||||||||||
New Zealand Dollar (NZD) Call17 | 1/17/12 | 0.840 | 10,725,000 | 61,819 | ||||||||||||
South Korean Won (KRW) Call17 | 1/19/12 | 120.000 | 4,573,000,000 | 59,037 | ||||||||||||
U.S. Treasury Bonds, 3.75%, 8/15/41 Call17 | 12/5/11 | 108.530 | 502,500,000 | 51,035,156 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 10/3/11 | 130.000 | 901 | 14,078 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 10/24/11 | 120.000 | 1,453 | 22,703 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 10/24/11 | 122.000 | 1,453 | 22,703 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 10/24/11 | 127.000 | 144 | 15,750 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 11/28/11 | 127.500 | 276 | 142,313 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 11/28/11 | 123.500 | 903 | 98,766 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 11/28/11 | 125.500 | 903 | 211,641 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put17 | 11/28/11 | 129.000 | 72 | 67,500 | ||||||||||||
Total Options Purchased (Cost $39,649,006) | 61,254,138 |
Shares | ||||||||
Investment Companies—24.7% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%16,18 | 757,814,623 | 757,814,623 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC16 | 15,272,235 | 171,047,180 | ||||||
Oppenheimer Master Loan Fund, LLC16 | 98,621,193 | 1,139,571,008 | ||||||
Oppenheimer Short Duration Fund, Cl. Y16 | 2,000,139 | 20,001,386 | ||||||
Total Investment Companies (Cost $2,136,161,549) | 2,088,434,197 | |||||||
Total Investments, at Value (Cost $9,429,607,379) | 103.5 | % | 8,755,223,379 | |||||
Liabilities in Excess of Other Assets | (3.5 | ) | (296,077,872 | ) | ||||
Net Assets | 100.0 | % | $ | 8,459,145,507 | ||||
53 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
AUD | Australian Dollar | MXN | Mexican Nuevo Peso | |||
BRR | Brazilian Real | MYR | Malaysian Ringgit | |||
CAD | Canadian Dollar | NOK | Norwegian Krone | |||
COP | Colombian Peso | NZD | New Zealand Dollar | |||
DKK | Danish Krone | PEN | Peruvian New Sol | |||
DOP | Dominican Republic Peso | PHP | Philippines Peso | |||
EUR | Euro | PLZ | Polish Zloty | |||
GBP | British Pound Sterling | RUR | Russian Ruble | |||
GHS | Ghana Cedi | SEK | Swedish Krona | |||
HUF | Hungarian Forint | SGD | Singapore Dollar | |||
IDR | Indonesia Rupiah | TRY | New Turkish Lira | |||
JPY | Japanese Yen | UAH | Ukraine Hryvnia | |||
KRW | South Korean Won | ZAR | South African Rand |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | 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. | |
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,454,625,866 or 17.20% of the Fund’s net assets as of September 30, 2011. | |
4. | Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $305,085,112, which represents 3.61% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Arco Capital Corp. Ltd. | 2/27/07 | $ | 37,420,740 | $ | 4,989,432 | $ | (32,431,308 | ) | ||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 | 3/1/11 | 2,542,587 | 2,294,077 | (248,510 | ) | |||||||||||
Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/2/11 | 5,283,777 | 4,662,913 | (620,864 | ) | |||||||||||
Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 | 9/7/10 | 6,200,560 | 5,969,900 | (230,660 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/12 | 6/17/11 | 14,843,206 | 13,964,901 | (878,305 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/9/08 | 3,449,375 | 5,180,866 | 1,731,491 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/7/07 | 5,482,278 | 4,818,810 | (663,468 | ) | |||||||||||
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/16 | 6/30/11 | 3,675,000 | 3,197,250 | (477,750 | ) | |||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 | 4/21/10-5/3/11 | 9,977,359 | 9,563,150 | (414,209 | ) | |||||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.736%, 1/27/371 | 5/29/08 | 2,622,867 | 1,659,230 | (963,637 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 | 10/8/10 | 3,376,863 | 3,515,518 | 138,655 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.338%, 5/6/25 | 4/16/09 | 3,437,396 | 3,688,725 | 251,329 |
54 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 | 8/18/09 | $ | 3,678,901 | $ | 3,924,354 | $ | 245,453 | |||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.238%, 5/6/25 | 9/25/09 | 4,615,946 | 4,912,301 | 296,355 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 | 12/17/09 | 4,062,375 | 4,303,946 | 241,571 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 | 3/30/10 | 3,278,548 | 3,456,759 | 178,211 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 | 5/18/10 | 3,680,684 | 3,867,167 | 186,483 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 | 7/16/10 | 4,278,742 | 4,479,310 | 200,568 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 12.061%, 12/31/17 | 9/19/07 | 19,064,691 | 22,279,005 | 3,214,314 | ||||||||||||
Deutsche Bank AG, JSC VTB Bank Credit Linked Nts., 12%, 6/19/12 | 6/30/11 | 9,677,546 | 9,293,413 | (384,133 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/15 | 5/21/08 | 173,895 | 126,720 | (47,175 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/15 | 6/12/08 | 297,596 | 221,701 | (75,895 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/15 | 6/18/08 | 4,615,780 | 3,342,707 | (1,273,073 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/15 | 7/8/08 | 336,091 | 243,612 | (92,479 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/15 | 7/15/08 | 244,584 | 176,989 | (67,595 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/15 | 8/8/08 | 158,390 | 113,034 | (45,356 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/15 | 8/22/08 | 28,080 | 20,816 | (7,264 | ) | |||||||||||
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/11 | 6/27/01 | 19,289,970 | 4,743,703 | (14,546,267 | ) | |||||||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 | 4/9/99 | 15,000,000 | 150 | (14,999,850 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.635%, 4/30/12 | 4/17/07 | 15,005,711 | 13,612,500 | (1,393,211 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.085%, 4/30/12 | 9/17/07 | 17,416,217 | 16,646,000 | (770,217 | ) | |||||||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25 | 8/17/00 | 2,730,094 | — | (2,730,094 | ) | |||||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 | 5/24/11 | 6,310,000 | 5,868,300 | (441,700 | ) | |||||||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 | 6/8/99-12/31/04 | 3,846,847 | — | (3,846,847 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.479%, 2/8/37 | 1/18/07 | 23,606,279 | 4,345,916 | (19,260,363 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.445%, 12/20/17 | 12/13/07-10/23/09 | 22,926,635 | 18,516,000 | (4,410,635 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.878%, 8/2/10 | 4/18/08-10/1/08 | 19,017,779 | 2,020,727 | (16,997,052 | ) |
55 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.937%, 9/17/13 | 10/23/08 | $ | 32,781,486 | $ | 33,142,263 | $ | 360,777 | |||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.152%, 8/15/22 | 11/6/07 | 18,648,328 | 13,860,000 | (4,788,328 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.452%, 8/15/22 | 6/8/07 | 17,780,000 | 11,201,400 | (6,578,600 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.452%, 8/15/22 | 6/8/07 | 17,780,000 | 10,668,000 | (7,112,000 | ) | |||||||||||
Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18 | 7/20/10 | 3,550,000 | 3,727,500 | 177,500 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 | 8/24/10 | 3,369,009 | 3,099,449 | (269,560 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/1/11 | 5,220,979 | 4,627,473 | (593,506 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 | 2/28/11 | 6,400,616 | 5,637,066 | (763,550 | ) | |||||||||||
JPMorgan Hipotecaria su Casita, 7.809% Sec. Nts., 8/26/35 | 3/21/07 | 1,834,690 | 1,604,811 | (229,879 | ) | |||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 | 6/20/07 | 4,982,609 | 2,301,701 | (2,680,908 | ) | |||||||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 2.787%, 3/24/14 | 2/23/01 | 3,209,935 | 43,653 | (3,166,282 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/20/06 | 3,387,746 | 3,885,131 | 497,385 | ||||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 | 11/3/05 | 300,000 | 255,000 | (45,000 | ) | |||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 8/10/10 | 4,377,854 | 358,010 | (4,019,844 | ) | |||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 | 3/6/98 | 10,532,095 | — | (10,532,095 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 | 2/4/11-4/14/11 | 960,268 | 954,980 | (5,288 | ) | |||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 4/28/10-9/23/10 | 9,359,978 | 9,588,800 | 228,822 | ||||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/12 | 9/16/11 | 3,973,853 | 3,873,983 | (99,870 | ) | |||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/11 | 9/5/11 | 3,390,927 | 3,236,490 | (154,437 | ) | |||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 | 12/22/06 | 5,261,224 | 2,999,500 | (2,261,724 | ) | |||||||||||
$ | 458,754,986 | $ | 305,085,112 | $ | (153,669,874 | ) | ||||||||||
5. | This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the original contractual interest rate. | |
6. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 |
56 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
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 or asset-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 $41,530,814 or 0.49% of the Fund’s net assets as of September 30, 2011. | ||
7. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
8. | When-issued security or delayed delivery to be delivered and settled after September 30, 2011. See Note 1 of the accompanying Notes. | |
9. | All or a portion of the security position is held in collateral accounts to cover the Fund’s obligations under certain derivative contracts. The aggregate market value of such securities is $37,739,364 See Note 6 of the accompanying Notes. | |
10. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $14,052,837. See Note 5 of the accompanying Notes. | |
11. | Zero coupon bond reflects effective yield on the date of purchase. | |
12. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
13. | Interest or dividend is paid-in-kind, when applicable. | |
14. | 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. | |
15. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
16. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Principal | Principal | |||||||||||||||
Amount/Shares | Gross | Gross | Amount/Shares | |||||||||||||
September 30, 2010 | Additions | Reductions | September 30, 2011 | |||||||||||||
American Media Operations, Inc.a | — | 535,548 | b | — | 535,548 | |||||||||||
American Media Operations, Inc. | — | 535,548 | c | 535,548 | b | — | ||||||||||
American Media Operations, Inc., 13.50% 2nd Lien Nts., 6/15/18 | — | 2,371 | c | 2,371 | — | |||||||||||
American Media Operations, Inc., 9% Sr. Unsec. Nts., 5/1/13 | 2,261 | 101 | 2,362 | c | — | |||||||||||
American Media Operations, Inc., 9.17% Sr. Sub. Nts., 11/1/13 | 21,831,214 | — | 21,831,214 | c | — | |||||||||||
Arco Capital Corp. Ltd. | 2,494,716 | — | — | 2,494,716 | ||||||||||||
Greektown Holdings LLC, Preferred Stock | 109,250 | — | 109,250 | c | — | |||||||||||
Greektown Superholdings, Inc. | 8,267 | — | — | 8,267 | ||||||||||||
Greektown Superholdings, Inc., Series A-1 | — | 109,250 | c | — | 109,250 | |||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 415,669,338 | 2,295,651,185 | 1,953,505,900 | 757,814,623 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 3,292,391 | 12,836,880 | 857,036 | 15,272,235 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 105,623,787 | — | 7,002,594 | 98,621,193 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y | — | 2,000,139 | — | 2,000,139 |
57 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Realized | ||||||||||||
Value | Income | Gain (Loss) | ||||||||||
American Media Operations, Inc.a | $ | — | d | $ | — | $ | — | |||||
American Media Operations, Inc. | — | — | — | |||||||||
American Media Operations, Inc., 13.50% 2nd Lien Nts., 6/15/18 | — | 30 | 177 | |||||||||
American Media Operations, Inc., 9% Sr. Unsec. Nts., 5/1/13 | — | 54 | — | |||||||||
American Media Operations, Inc., 9.17% Sr. Sub. Nts., 11/1/13 | — | 601,083 | — | |||||||||
Arco Capital Corp. Ltd. | 4,989,432 | — | — | |||||||||
Greektown Holdings LLC, Preferred Stock | — | — | — | |||||||||
Greektown Superholdings, Inc. | 545,539 | — | — | |||||||||
Greektown Superholdings, Inc., Series A-1 | 7,750,195 | — | — | |||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 757,814,623 | 754,978 | — | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 171,047,180 | 10,157,495 | e | (8,641,101 | )e | |||||||
Oppenheimer Master Loan Fund, LLC | 1,139,571,008 | 98,948,591 | f | 6,154,092 | f | |||||||
Oppenheimer Short Duration Fund, Cl. Y | 20,001,386 | 9,233 | — | |||||||||
$ | 2,101,719,363 | $ | 110,471,464 | $ | (2,486,832 | ) | ||||||
a. | No longer an affiliate as of September 30, 2011. | |
b. | Due to mandatory exchange. | |
c. | All or a portion is the result of a corporate action. | |
d. | The security is no longer an affiliate, therefore, the value has been excluded from this table. | |
e. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
f. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. | |
17. | Non-income producing security. | |
18. | Rate shown is the 7-day yield as of September 30, 2011. |
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). |
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 36,270,548 | $ | 35,729,400 | $ | 71,999,948 | ||||||||
Mortgage-Backed Obligations | — | 1,652,943,955 | 3,915,722 | 1,656,859,677 | ||||||||||||
U.S. Government Obligations | — | 296,850,331 | — | 296,850,331 | ||||||||||||
Foreign Government Obligations | — | 1,759,743,013 | — | 1,759,743,013 | ||||||||||||
Loan Participations | — | 34,638,760 | — | 34,638,760 | ||||||||||||
Corporate Bonds and Notes | — | 2,229,022,135 | — | 2,229,022,135 | ||||||||||||
Preferred Stocks | — | 15,259,562 | 7,750,195 | 23,009,757 |
58 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: Continued | ||||||||||||||||
Common Stocks | $ | 27,439,250 | $ | 21,774,303 | $ | 577,539 | $ | 49,791,092 | ||||||||
Rights, Warrants and Certificates | — | — | 1,125 | 1,125 | ||||||||||||
Structured Securities | — | 446,752,926 | 36,866,280 | 483,619,206 | ||||||||||||
Options Purchased | 667,981 | 60,586,157 | — | 61,254,138 | ||||||||||||
Investment Companies | 777,816,009 | 1,310,618,188 | — | 2,088,434,197 | ||||||||||||
Total Investments, at Value | 805,923,240 | 7,864,459,878 | 84,840,261 | 8,755,223,379 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 30,869,718 | — | 30,869,718 | ||||||||||||
Futures margins | 7,296,465 | — | — | 7,296,465 | ||||||||||||
Foreign currency exchange contracts | — | 70,834,616 | — | 70,834,616 | ||||||||||||
Total Assets | $ | 813,219,705 | $ | 7,966,164,212 | $ | 84,840,261 | $ | 8,864,224,178 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | (11,877,779 | ) | $ | — | $ | (11,877,779 | ) | ||||||
Depreciated swaps, at value | — | (29,333,746 | ) | — | (29,333,746 | ) | ||||||||||
Appreciated options written, at value | (379,256 | ) | (744,093 | ) | — | (1,123,349 | ) | |||||||||
Depreciated options written, at value | (283,291 | ) | (8,436,869 | ) | — | (8,720,160 | ) | |||||||||
Futures margins | (1,083,265 | ) | — | — | (1,083,265 | ) | ||||||||||
Foreign currency exchange contracts | — | (78,952,248 | ) | — | (78,952,248 | ) | ||||||||||
Depreciated swaptions written, at value | — | (502,903 | ) | — | (502,903 | ) | ||||||||||
Total Liabilities | $ | (1,745,812 | ) | $ | (129,847,638 | ) | $ | — | $ | (131,593,450 | ) | |||||
Transfers | Transfers | Transfers | Transfers | |||||||||||||
out of | into | out of | into | |||||||||||||
Level 1 | Level 2 | Level 2 | Level 3 | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Mortgaged-Backed Obligations | $ | — | $ | — | $ | (4,560,487 | )a | $ | 4,560,487 | a | ||||||
Common Stocks | (3,691,388 | )b | 3,691,388 | b | — | — | ||||||||||
Structured Securities | — | — | (39,391,760 | )a | 39,391,760 | a | ||||||||||
Investment Companies | (1,213,381,065 | )c | 1,213,381,065 | c | — | — | ||||||||||
Total Assets | $ | (1,217,072,453 | ) | $ | 1,217,072,453 | $ | (43,952,247 | ) | $ | 43,952,247 | ||||||
a. | Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. | |
b. | Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund’s assets were valued but after the close of the securities’ respective exchanges. | |
c. | Transferred from Level 1 to Level 2 as the current market for the securities are not considered active. |
59 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Change in | Accretion/ | |||||||||||||||
Value as of | Unrealized | (Amortization) | ||||||||||||||
September 30, | Realized | Appreciation/ | of Premium/ | |||||||||||||
2010 | Gain (Loss) | Depreciation | Discount1 | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset Backed Securities | $ | 27,067,631 | $ | (3,083,861 | ) | $ | 11,619,788 | $ | 125,842 | |||||||
Mortgage-Backed Obligations | — | — | (683,392 | ) | 38,627 | |||||||||||
Foreign Government Obligations | 11,895,689 | — | — | — | ||||||||||||
Corporate Bonds and Notes | 1,124 | (27,754,384 | ) | 27,753,260 | — | |||||||||||
Preferred Stocks | 11,580,500 | (15,761,480 | ) | 11,931,175 | — | |||||||||||
Common Stocks | 5,767,297 | (243,381 | ) | 57,289 | — | |||||||||||
Rights, Warrants, and Certificates | 40 | (30,592 | ) | 31,677 | — | |||||||||||
Structured Securities | 7,158,320 | — | (21,654,658 | ) | (4,732,794 | ) | ||||||||||
Total Assets | $ | 63,470,601 | $ | (46,873,698 | ) | $ | 29,055,139 | $ | (4,568,325 | ) | ||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
TALF loans, at value | $ | (553,713,724 | ) | $ | — | $ | 82,115 | $ | — | |||||||
Total Liabilities | $ | (553,713,724 | ) | $ | — | $ | 82,115 | $ | — | |||||||
Net | Transfers in | Value as of | ||||||||||
Purchases/Repayments | and/or out | September 30, | ||||||||||
(Sales/Borrowings) | of Level 3 | 2011 | ||||||||||
Assets Table | ||||||||||||
Investments, at Value: Continued | ||||||||||||
Asset Backed Securities | $ | — | $ | — | $ | 35,729,400 | ||||||
Mortgage-Backed Obligations | — | 4,560,487 | 3,915,722 | |||||||||
Foreign Government Obligations | — | (11,895,689 | ) | — | ||||||||
Corporate Bonds and Notes | — | — | — | |||||||||
Preferred Stocks | — | — | 7,750,195 | |||||||||
Common Stocks | — | (5,003,666 | ) | 577,539 | ||||||||
Rights, Warrants, and Certificates | — | — | 1,125 | |||||||||
Structured Securities | 4,807,963 | 51,287,449 | 36,866,280 | |||||||||
Total Assets | $ | 4,807,963 | $ | 38,948,581 | $ | 84,840,261 | ||||||
Liabilities Table | ||||||||||||
Other Financial Instruments: | ||||||||||||
TALF loans, at value | $ | 553,631,609 | $ | — | $ | — | ||||||
Total Liabilities | $ | 553,631,609 | $ | — | $ | — | ||||||
1. | Included in net investment income. |
Change in unrealized | ||||
appreciation/depreciation | ||||
Asset-Backed Securities | $ | 8,535,958 | ||
Mortgaged-Backed Obligations | 380,557 | |||
Preferred Stocks | (3,174,805 | ) | ||
Common Stocks | (186,091 | ) | ||
Rights,Warrants and Certificates | 1,125 | |||
Structured Securities | (9,783,627 | ) | ||
$ | (4,226,883 | ) | ||
60 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Geographic Holdings | Value | Percent | ||||||
United States | $ | 5,576,991,400 | 63.7 | % | ||||
Brazil | 422,162,245 | 4.8 | ||||||
Indonesia | 273,617,256 | 3.1 | ||||||
Mexico | 262,105,246 | 3.0 | ||||||
Russia | 230,489,066 | 2.6 | ||||||
South Africa | 224,707,696 | 2.6 | ||||||
Japan | 178,159,735 | 2.0 | ||||||
Poland | 117,463,953 | 1.4 | ||||||
Colombia | 113,247,280 | 1.3 | ||||||
Ukraine | 109,719,693 | 1.3 | ||||||
Peru | 97,527,426 | 1.1 | ||||||
Turkey | 94,713,020 | 1.1 | ||||||
Venezuela | 72,425,263 | 0.8 | ||||||
Supranational | 72,276,976 | 0.8 | ||||||
Hungary | 71,837,075 | 0.8 | ||||||
Kazakhstan | 68,182,659 | 0.8 | ||||||
United Kingdom | 64,854,295 | 0.8 | ||||||
Argentina | 63,020,648 | 0.7 | ||||||
Canada | 58,292,403 | 0.7 | ||||||
India | 53,732,895 | 0.6 | ||||||
Philippines | 50,469,730 | 0.6 | ||||||
The Netherlands | 42,512,131 | 0.5 | ||||||
Korea, Republic of South | 38,333,522 | 0.4 | ||||||
Uruguay | 36,866,400 | 0.4 | ||||||
Malaysia | 34,593,807 | 0.4 | ||||||
Germany | 33,837,327 | 0.4 | ||||||
Italy | 26,852,117 | 0.3 | ||||||
Australia | 23,747,780 | 0.3 | ||||||
New Zealand | 22,718,067 | 0.3 | ||||||
Dominican Republic | 20,089,495 | 0.2 | ||||||
Israel | 18,855,755 | 0.2 | ||||||
Panama | 17,976,196 | 0.2 | ||||||
Spain | 17,951,812 | 0.2 | ||||||
Chile | 16,890,232 | 0.2 | ||||||
Ghana | 15,533,223 | 0.2 | ||||||
Luxembourg | 12,944,761 | 0.2 | ||||||
China | 11,456,550 | 0.1 | ||||||
Sri Lanka | 10,915,536 | 0.1 | ||||||
Trinidad & Tobago | 10,482,075 | 0.1 | ||||||
Belgium | 10,291,951 | 0.1 | ||||||
Qatar | 10,076,275 | 0.1 | ||||||
Costa Rica | 7,531,371 | 0.1 | ||||||
Austria | 6,442,338 | 0.1 | ||||||
France | 6,341,346 | 0.1 | ||||||
Nigeria | 6,080,000 | 0.1 |
61 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Geographic Holdings Continued
Value | Percent | |||||||
Norway | $ | 4,441,801 | 0.1 | % | ||||
Denmark | 3,370,392 | — | ||||||
Sweden | 2,783,283 | — | ||||||
Finland | 2,575,441 | — | ||||||
European Union | 2,260,887 | — | ||||||
Greece | 2,084,496 | — | ||||||
Singapore | 1,613,352 | — | ||||||
Ivory Coast | 777,700 | — | ||||||
Total | $ | 8,755,223,379 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 16,440 | BRR | 10/4/11 | $ | 8,734,536 | $ | 716,456 | $ | — | ||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,745 | GBP | 10/3/11 | 2,721,078 | — | 18,572 | |||||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,745 | GBP | 10/3/11 | 2,721,078 | — | 43,375 | |||||||||||||||||||
Canadian Dollar (CAD) | Sell | 1,290 | CAD | 11/22/11 | 1,229,483 | 60,103 | — | |||||||||||||||||||
Chilean Peso (CLP) | Buy | 3,075,000 | CLP | 10/5/11 | 5,913,136 | — | 712,591 | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 219,630 | CNY | 8/15/12-8/16/12 | 34,654,086 | — | 391,174 | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 109,170 | CNY | 11/30/11 | 17,106,977 | — | 6,414 | |||||||||||||||||||
Euro (EUR) | Buy | 6,440 | EUR | 10/3/11 | 8,627,769 | — | 156,391 | |||||||||||||||||||
Euro (EUR) | Sell | 27,670 | EUR | 10/3/11-12/9/11 | 37,064,194 | 677,522 | — | |||||||||||||||||||
Hungarian Forint (HUF) | Sell | 5,053,000 | HUF | 10/11/11 | 23,078,602 | 1,699,077 | — | |||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 117,694,000 | IDR | 10/17/11 | 12,781,333 | 218,256 | — | |||||||||||||||||||
Japanese Yen (JPY) | Buy | 458,000 | JPY | 10/3/11 | 5,938,276 | — | 60,414 | |||||||||||||||||||
Japanese Yen (JPY) | Sell | 458,000 | JPY | 10/3/11 | 5,938,276 | 19,060 | — | |||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 126,635 | MYR | 10/11/11 | 39,647,751 | — | 2,418,088 | |||||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 32,910 | MYR | 10/19/11 | 10,300,162 | 329,683 | — | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 2,900 | MXN | 11/22/11 | 208,003 | — | 25,680 | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 174,020 | MXN | 12/15/11 | 12,457,118 | 1,413,124 | — | |||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 10,700 | NZD | 10/26/11 | 8,141,732 | 645,964 | — | |||||||||||||||||||
Peruvian New Sol (PEN) | Sell | 20,940 | PEN | 10/17/11 | 7,532,361 | 112,765 | — | |||||||||||||||||||
Philippines Peso (PHP) | Buy | 392,130 | PHP | 10/17/11-10/24/11 | 8,958,755 | — | 11,174 | |||||||||||||||||||
Philippines Peso (PHP) | Sell | 482,000 | PHP | 11/29/11 | 10,988,886 | 78,853 | — | |||||||||||||||||||
Polish Zloty (PLZ) | Sell | 20,140 | PLZ | 10/11/11 | 6,073,343 | — | 29,288 | |||||||||||||||||||
Singapore Dollar (SGD) | Buy | 62,250 | SGD | 10/11/11 | 47,596,316 | — | 3,336,428 | |||||||||||||||||||
Singapore Dollar (SGD) | Sell | 62,250 | SGD | 8/15/12-8/16/12 | 47,782,690 | 3,934,932 | — | |||||||||||||||||||
South African Rand (ZAR) | Sell | 115,660 | ZAR | 11/15/11 | 14,226,498 | 1,237,929 | — | |||||||||||||||||||
South Korean Won (KRW) | Sell | 16,947,000 | KRW | 10/26/11-1/25/12 | 14,346,424 | 111,377 | 141,139 | |||||||||||||||||||
11,255,101 | 7,350,728 | |||||||||||||||||||||||||
Banc of America EM | ||||||||||||||||||||||||||
Peruvian New Sol (PEN) | Sell | 41,900 | PEN | 10/26/11 | 15,053,201 | — | 135,533 |
Contract | ||||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 7,905 | AUD | 10/26/11-11/22/11 | $ | 7,619,987 | $ | 495,835 | $ | — | ||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,565 | GBP | 10/4/11 | 2,440,368 | 4,446 | — | |||||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,565 | GBP | 10/4/11 | 2,440,368 | — | 22,443 | |||||||||||||||||||
Euro (EUR) | Buy | 5,740 | EUR | 10/4/11 | 7,689,910 | — | 53,350 | |||||||||||||||||||
Euro (EUR) | Sell | 7,790 | EUR | 10/4/11-11/22/11 | 10,435,567 | 102,695 | 290 | |||||||||||||||||||
Hungarian Forint (HUF) | Buy | 2,487,000 | HUF | 10/11/11 | 11,358,893 | — | 1,949,530 | |||||||||||||||||||
Hungarian Forint (HUF) | Sell | 1,256,000 | HUF | 6/12/12 | 5,604,032 | 875,204 | — | |||||||||||||||||||
Japanese Yen (JPY) | Buy | 998,000 | JPY | 11/1/11 | 12,945,023 | — | 67,220 | |||||||||||||||||||
Japanese Yen (JPY) | Sell | 1,012,000 | JPY | 10/11/11 | 13,122,727 | 4,428 | — | |||||||||||||||||||
New Turkish Lira (TRY) | Buy | 34,635 | TRY | 10/19/11 | 18,580,553 | 6,565 | 533,068 | |||||||||||||||||||
New Turkish Lira (TRY) | Sell | 7,765 | TRY | 10/4/11 | 4,175,661 | — | 7,429 | |||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 20,375 | NZD | 10/26/11 | 15,503,533 | 1,265,418 | — | |||||||||||||||||||
Polish Zloty (PLZ) | Sell | 71,815 | PLZ | 10/11/11 | 21,656,261 | 2,012,703 | — | |||||||||||||||||||
Russian Ruble (RUR) | Buy | 459,540 | RUR | 10/7/11-10/24/11 | 14,251,655 | — | 2,056,320 | |||||||||||||||||||
Russian Ruble (RUR) | Sell | 35,330 | RUR | 12/15/11 | 1,081,483 | 66,620 | — | |||||||||||||||||||
South African Rand (ZAR) | Buy | 530,985 | ZAR | 11/10/11 | 65,359,291 | — | 10,301,154 | |||||||||||||||||||
South African Rand (ZAR) | Sell | 492,105 | ZAR | 10/11/11 | 60,844,048 | 9,132,300 | — | |||||||||||||||||||
South Korean Won (KRW) | Buy | 1,003,000 | KRW | 11/8/11 | 849,216 | — | 90,803 | |||||||||||||||||||
Swedish Krona (SEK) | Buy | 453,640 | SEK | 11/10/11-11/22/11 | 65,971,566 | — | 3,888,706 | |||||||||||||||||||
13,966,214 | 18,970,313 | |||||||||||||||||||||||||
Citigroup: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 11,840 | AUD | 10/26/11 | 11,416,590 | 650,130 | — | |||||||||||||||||||
Canadian Dollar (CAD) | Sell | 8,575 | CAD | 10/11/11 | 8,180,744 | 462,686 | — | |||||||||||||||||||
Chilean Peso (CLP) | Buy | 591,000 | CLP | 11/22/11 | 1,128,923 | — | 113,587 | |||||||||||||||||||
Chilean Peso (CLP) | Sell | 824,000 | CLP | 10/5/11-11/22/11 | 1,580,375 | 175,162 | — | |||||||||||||||||||
Colombian Peso (COP) | Buy | 1,000 | COP | 10/7/11 | 518 | — | 38 | |||||||||||||||||||
Euro (EUR) | Buy | 638 | EUR | 10/3/11 | 855,254 | — | 11,354 | |||||||||||||||||||
Euro (EUR) | Sell | 35,565 | EUR | 11/10/11-1/23/12 | 47,632,545 | 1,076,557 | — | |||||||||||||||||||
Hungarian Forint (HUF) | Sell | 761,000 | HUF | 6/12/12 | 3,395,437 | 507,710 | — | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 53,200 | MXN | 12/15/11 | 3,808,290 | — | 21,879 | |||||||||||||||||||
Norwegian Krone (NOK) | Buy | 375,790 | NOK | 11/10/11 | 63,885,307 | — | 4,440,147 | |||||||||||||||||||
Philippines Peso (PHP) | Sell | 265,130 | PHP | 10/24/11-11/29/11 | 6,044,806 | 47,326 | — | |||||||||||||||||||
Polish Zloty (PLZ) | Sell | 9,760 | PLZ | 10/11/11 | 2,943,189 | 537,909 | — | |||||||||||||||||||
Russian Ruble (RUR) | Sell | 33,420 | RUR | 10/24/11 | 1,033,636 | 165,933 | — | |||||||||||||||||||
3,623,413 | 4,587,005 | |||||||||||||||||||||||||
Citigroup EM: | ||||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 65,350 | BRR | 1/4/12 | 34,070,463 | 1,591,201 | — | |||||||||||||||||||
Chilean Peso (CLP) | Buy | 5,328,000 | CLP | 11/14/11-12/5/11 | 10,161,994 | — | 169,147 | |||||||||||||||||||
Chilean Peso (CLP) | Sell | 7,151,000 | CLP | 10/5/11-11/22/11 | 13,733,401 | 343,182 | — | |||||||||||||||||||
Colombian Peso (COP) | Buy | 37,144,000 | COP | 10/7/11-11/22/11 | 19,226,874 | — | 1,527,661 | |||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 46,390 | EGP | 10/11/11 | 7,754,463 | 26,808 | — | |||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 172,012,000 | IDR | 10/11/11 | 18,788,011 | — | 1,302,155 | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 227,700 | MXN | 10/18/11 | 16,388,465 | 1,139,459 | — | |||||||||||||||||||
3,100,650 | 2,998,963 |
Contract | ||||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 7,135 | AUD | 10/26/11 | $ | 6,879,845 | $ | 465,066 | $ | — | ||||||||||||||||
Chilean Peso (CLP) | Buy | 6,430,000 | CLP | 10/5/11-11/22/11 | 12,357,202 | — | 1,530,944 | |||||||||||||||||||
Chilean Peso (CLP) | Sell | 392,000 | CLP | 10/24/11 | 751,718 | — | 760 | |||||||||||||||||||
Colombian Peso (COP) | Sell | 2,250,000 | COP | 11/22/11 | 1,161,851 | 84,687 | — | |||||||||||||||||||
Euro (EUR) | Sell | 177 | EUR | 10/4/11-10/5/11 | 237,545 | 1,271 | — | |||||||||||||||||||
Japanese Yen (JPY) | Buy | 448,000 | JPY | 10/4/11 | 5,808,701 | — | 70,564 | |||||||||||||||||||
Japanese Yen (JPY) | Sell | 497,298 | JPY | 10/4/11-10/5/11 | 6,447,903 | 24,124 | — | |||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 87,600 | MYR | 10/31/11 | 27,403,289 | — | 1,786,008 | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 209,790 | MXN | 10/18/11 | 15,099,412 | 1,805,358 | — | |||||||||||||||||||
New Turkish Lira (TRY) | Buy | 126,425 | TRY | 10/4/11-11/10/11 | 67,614,863 | — | 3,393,655 | |||||||||||||||||||
New Zealand Dollar (NZD) | Buy | 12,505 | NZD | 10/26/11 | 9,515,174 | — | 1,303,902 | |||||||||||||||||||
Russian Ruble (RUR) | Sell | 1,445,000 | RUR | 11/7/11 | 44,575,588 | 4,703,975 | — | |||||||||||||||||||
South African Rand (ZAR) | Sell | 289,540 | ZAR | 10/11/11 | 35,798,835 | 3,936,818 | — | |||||||||||||||||||
Swedish Krona (SEK) | Buy | 8,000 | SEK | 11/22/11 | 1,162,736 | 1,132 | 92,152 | |||||||||||||||||||
Swiss Franc (CHF) | Sell | 2,460 | CHF | 11/22/11 | 2,716,925 | 32,911 | 1,918 | |||||||||||||||||||
11,055,342 | 8,179,903 | |||||||||||||||||||||||||
Credit Suisse EM | ||||||||||||||||||||||||||
Chilean Peso (CLP) | Sell | 2,955,000 | CLP | 10/5/11 | 5,682,379 | 467,465 | — | |||||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 6,550 | AUD | 10/26/11 | 6,315,765 | — | 562,056 | |||||||||||||||||||
Australian Dollar (AUD) | Sell | 2,060 | AUD | 10/11/11 | 1,990,444 | 161,597 | — | |||||||||||||||||||
British Pound Sterling (GBP) | Sell | 5,350 | GBP | 10/11/11 | 8,341,866 | 192,903 | — | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 105,780 | CNY | 1/6/12 | 16,587,200 | 168,633 | — | |||||||||||||||||||
Danish Krone (DKK) | Sell | 1,780 | DKK | 10/4/11 | 320,394 | 5,752 | — | |||||||||||||||||||
Euro (EUR) | Sell | 36,290 | EUR | 10/11/11 | 48,615,332 | 2,316,630 | — | |||||||||||||||||||
Japanese Yen (JPY) | Buy | 572,000 | JPY | 10/26/11 | 7,418,752 | — | 24,706 | |||||||||||||||||||
Japanese Yen (JPY) | Sell | 572,000 | JPY | 10/26/11 | 7,418,752 | — | 469,372 | |||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 10,705 | NZD | 10/26/11 | 8,145,537 | 625,926 | — | |||||||||||||||||||
Norwegian Krone (NOK) | Sell | 100,300 | NOK | 11/28/11 | 17,035,796 | 386,624 | — | |||||||||||||||||||
Philippines Peso (PHP) | Buy | 367,000 | PHP | 10/17/11 | 8,384,681 | 11,421 | — | |||||||||||||||||||
Polish Zloty (PLZ) | Buy | 215,230 | PLZ | 11/10/11 | 64,693,687 | — | 9,974,136 | |||||||||||||||||||
Swiss Franc (CHF) | Sell | 23,065 | CHF | 10/11/11-10/26/11 | 25,458,915 | 1,354,909 | — | |||||||||||||||||||
5,224,395 | 11,030,270 | |||||||||||||||||||||||||
Deutsche Bank EM: | ||||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 63,935 | CNY | 9/28/12 | 10,098,710 | 68,117 | — | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 105,780 | CNY | 1/6/12 | 16,587,200 | — | 66,799 | |||||||||||||||||||
Russian Ruble (RUR) | Sell | 23,510 | RUR | 12/15/11 | 719,662 | 10,659 | 234 | |||||||||||||||||||
Singapore Dollar (SGD) | Sell | 21,920 | SGD | 10/31/11 | 16,760,610 | 285,419 | — | |||||||||||||||||||
364,195 | 67,033 | |||||||||||||||||||||||||
Goldman Sachs EM: | ||||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 132,685 | BRR | 11/3/11-1/4/12 | 69,179,711 | 3,313,588 | — | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 78,050 | CNY | 9/28/12 | 12,328,214 | 69,693 | — | |||||||||||||||||||
Hungarian Forint (HUF) | Sell | 2,633,000 | HUF | 10/11/11 | 12,025,719 | 1,912,135 | — | |||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 138,745 | MYR | 10/12/11 | 43,437,374 | — | 2,687,958 |
Contract | ||||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||
Goldman Sachs EM: Continued | ||||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 87,245 | MXN | 10/18/11 | $ | 6,279,366 | $ | — | $ | 85,862 | ||||||||||||||||
New Turkish Lira (TRY) | Sell | 12,710 | TRY | 10/19/11 | 6,818,502 | 251,906 | — | |||||||||||||||||||
Polish Zloty (PLZ) | Sell | 40,930 | PLZ | 10/11/11 | 12,342,697 | 426,580 | — | |||||||||||||||||||
South African Rand (ZAR) | Buy | 79,660 | ZAR | 10/14/11 | 9,844,711 | — | 331,008 | |||||||||||||||||||
South African Rand (ZAR) | Sell | 265,400 | ZAR | 11/15/11 | 32,644,930 | 3,117,336 | — | |||||||||||||||||||
9,091,238 | 3,104,828 | |||||||||||||||||||||||||
Goldman, Sachs & Co.: | ||||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 9,140 | GBP | 10/26/11 | 14,249,115 | 490,147 | 34,401 | |||||||||||||||||||
Canadian Dollar (CAD) | Buy | 2,870 | CAD | 11/10/11 | 2,736,071 | — | 200,621 | |||||||||||||||||||
Canadian Dollar (CAD) | Sell | 748 | CAD | 10/3/11 | 713,318 | 12,997 | — | |||||||||||||||||||
Euro (EUR) | Buy | 48,230 | EUR | 11/10/11 | 64,599,028 | — | 3,887,572 | |||||||||||||||||||
Hungarian Forint (HUF) | Buy | 588,000 | HUF | 10/11/11 | 2,685,577 | — | 385,242 | |||||||||||||||||||
Japanese Yen (JPY) | Buy | 172,000 | JPY | 11/22/11 | 2,231,716 | — | 21,035 | |||||||||||||||||||
Japanese Yen (JPY) | Sell | 3,923,000 | JPY | 1/23/12 | 50,956,008 | 325,038 | — | |||||||||||||||||||
Norwegian Krone (NOK) | Buy | 100,300 | NOK | 11/28/11 | 17,035,796 | — | 152,607 | |||||||||||||||||||
Norwegian Krone (NOK) | Sell | 10,700 | NOK | 11/22/11 | 1,817,928 | 56,632 | — | |||||||||||||||||||
884,814 | 4,681,478 | |||||||||||||||||||||||||
HSBC EM: | ||||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 32,690 | BRR | 11/3/11-1/4/12 | 17,227,474 | — | 732,603 | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 84,970 | CNY | 9/28/12 | 13,421,247 | 77,968 | — | |||||||||||||||||||
77,968 | 732,603 | |||||||||||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||||
Philippines Peso (PHP) | Sell | 473,000 | PHP | 1/23/12 | 10,755,649 | — | 17,851 | |||||||||||||||||||
Swiss Franc (CHF) | Buy | 21,275 | CHF | 10/26/11 | 23,483,654 | — | 4,060,008 | |||||||||||||||||||
— | 4,077,859 | |||||||||||||||||||||||||
JP Morgan EM: | ||||||||||||||||||||||||||
Chilean Peso (CLP) | Buy | 4,624,000 | CLP | 11/14/11 | 8,842,008 | — | 764,307 | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 170,230 | CNY | 9/28/12 | 26,888,300 | 172,983 | — | |||||||||||||||||||
Colombian Peso (COP) | Sell | 58,670,000 | COP | 10/7/11-10/14/11 | 30,373,787 | 2,517,952 | — | |||||||||||||||||||
Egyptian Pounds (EGP) | Sell | 29,220 | EGP | 10/11/11 | 4,884,359 | — | 42,602 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 169,832,642 | IDR | 10/3/11-12/19/11 | 17,950,795 | 71 | 1,086,261 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 216,040,253 | IDR | 10/3/11-10/17/11 | 23,461,582 | 357,673 | — | |||||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 114,030 | MYR | 12/20/11 | 35,623,190 | 1,160,680 | — | |||||||||||||||||||
Russian Ruble (RUR) | Buy | 45,310 | RUR | 10/7/11 | 1,405,492 | — | 169,877 | |||||||||||||||||||
Russian Ruble (RUR) | Sell | 1,035,900 | RUR | 10/11/11 | 32,110,940 | 4,273,668 | — | |||||||||||||||||||
South Korean Won (KRW) | Sell | 17,655,000 | KRW | 10/26/11-1/25/12 | 14,927,285 | 851,588 | 118,705 | |||||||||||||||||||
9,334,615 | 2,181,752 | |||||||||||||||||||||||||
Nomura Securities: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 17,265 | AUD | 11/30/11 | 16,580,582 | — | 370,368 | |||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 83,590 | CNY | 2/19/13 | 13,183,345 | — | 48,155 | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 2,900 | MXN | 11/22/11 | 208,003 | 1,172 | 11 | |||||||||||||||||||
South Korean Won (KRW) | Buy | 6,806,000 | KRW | 1/25/12 | 5,750,110 | — | 621,057 | |||||||||||||||||||
Swiss Franc (CHF) | Sell | 60 | CHF | 11/22/11 | 66,266 | 7,281 | — | |||||||||||||||||||
8,453 | 1,039,591 |
Contract | ||||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||
RBS Greenwich Capital: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 10 | AUD | 10/14/11 | $ | 9,658 | $ | 109 | $ | — | ||||||||||||||||
Euro (EUR) | Buy | 63,800 | EUR | 10/6/11 | 85,471,918 | — | 5,571,639 | |||||||||||||||||||
Euro (EUR) | Sell | 7,150 | EUR | 10/26/11 | 9,577,295 | 204,119 | — | |||||||||||||||||||
Swiss Franc (CHF) | Buy | 1,970 | CHF | 11/10/11 | 2,175,192 | — | 82,856 | |||||||||||||||||||
204,228 | 5,654,495 | |||||||||||||||||||||||||
Standard Chartered Bank EM: | ||||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 84,980 | CNY | 9/28/12 | 13,422,827 | 77,977 | — | |||||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 38,760 | MYR | 10/19/11 | 12,131,093 | 392,332 | — | |||||||||||||||||||
470,309 | — | |||||||||||||||||||||||||
Standard NY EM | ||||||||||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 29,200 | EGP | 11/10/11 | 4,844,098 | 3,650 | — | |||||||||||||||||||
State Street: | ||||||||||||||||||||||||||
New Turkish Lira (TRY) | Buy | 31,530 | TRY | 11/29/11 | 16,808,201 | — | 126,932 | |||||||||||||||||||
Polish Zloty (PLZ) | Sell | 20,190 | PLZ | 10/11/11 | 6,088,420 | — | 42,062 | |||||||||||||||||||
South African Rand (ZAR) | Buy | 55,020 | ZAR | 10/14/11 | 6,799,598 | — | 211,284 | |||||||||||||||||||
South African Rand (ZAR) | Sell | 104,760 | ZAR | 10/11/11-11/22/11 | 12,948,207 | 16,197 | 208,823 | |||||||||||||||||||
Swedish Krona (SEK) | Buy | 170,540 | SEK | 10/26/11 | 24,820,469 | — | 2,825,622 | |||||||||||||||||||
16,197 | 3,414,723 | |||||||||||||||||||||||||
UBS Inv Bank EM: | ||||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 16,440 | BRR | 10/4/11 | 8,734,536 | — | 408,957 | |||||||||||||||||||
Brazilian Real (BRR) | Sell | 43,560 | BRR | 11/3/11 | 22,971,416 | 1,110,849 | — | |||||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 133,090 | HKD | 11/30/11 | 17,102,800 | — | 19,392 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 48,623,000 | IDR | 10/20/11 | 5,265,093 | 219,404 | — | |||||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 519,000 | TWD | 10/31/11 | 17,041,015 | 59,479 | — | |||||||||||||||||||
Philippines Peso (PHP) | Sell | 753,000 | PHP | 10/17/11 | 17,203,447 | 75,121 | — | |||||||||||||||||||
1,464,853 | 428,349 | |||||||||||||||||||||||||
UBS Investment Bank | ||||||||||||||||||||||||||
Japanese Yen (JPY) | Buy | 1,027,000 | JPY | 11/1/11 | 13,321,181 | — | 74,588 | |||||||||||||||||||
Westpac: | ||||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 520 | AUD | 11/22/11 | 499,836 | 13,751 | — | |||||||||||||||||||
New Zealand Dollar (NZD) | Buy | 2,285 | NZD | 10/26/11 | 1,738,678 | — | 242,234 | |||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 3,260 | NZD | 10/26/11 | 2,480,565 | 207,765 | — | |||||||||||||||||||
221,516 | 242,234 | |||||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 70,834,616 | $ | 78,952,248 | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index | Buy | 74 | 12/16/11 | $ | 13,560,041 | $ | (333,433 | ) | ||||||||||||
Euro-BOBL | Sell | 49 | 12/8/11 | 8,017,537 | 44,717 | |||||||||||||||
Euro-Bundesobligation, 10 yr. | Buy | 103 | 12/8/11 | 18,834,782 | (74,091 | ) | ||||||||||||||
Euro-Bundesobligation | Sell | 74 | 12/8/11 | 13,531,785 | (77,091 | ) | ||||||||||||||
FTSE 100 Index | Sell | 324 | 12/16/11 | 25,719,619 | 658,534 | |||||||||||||||
Japan (Government of) Mini Bonds, 10 yr. | Buy | 151 | 12/8/11 | �� | 27,846,804 | (596 | ) | |||||||||||||
NASDAQ 100 E-Mini Index | Sell | 621 | 12/16/11 | 26,510,490 | 2,283,241 | |||||||||||||||
NIKKEI 225 Index | Buy | 51 | 12/8/11 | 2,868,047 | (31,003 | ) | ||||||||||||||
NIKKEI 225 Index | Sell | 228 | 12/8/11 | 25,717,620 | (25,624 | ) | ||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 1,859 | 12/16/11 | 104,661,700 | 3,631,166 | |||||||||||||||
U.S. Treasury Long Bonds, 20 yr. | Buy | 2,480 | 12/20/11 | 353,710,000 | 10,471,814 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 1,881 | 12/30/11 | 414,202,080 | (489,961 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 134 | 12/30/11 | 29,507,219 | 29,823 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 4,377 | 12/30/11 | 536,114,109 | (77,902 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 1,615 | 12/20/11 | 210,101,406 | 1,450,842 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 2,520 | 12/20/11 | 327,836,250 | (861,099 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 806 | 12/20/11 | 127,851,750 | 10,847,087 | |||||||||||||||
United Kingdom Long Gilt | Buy | 27 | 12/28/11 | 5,473,092 | 40,508 | |||||||||||||||
$ | 27,486,932 | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Australian Dollar (AUD) | Call | 11,010,000 | $ | 1.100 | 1/13/12 | $ | 69,764 | $ | (23,942 | ) | $ | 45,822 | ||||||||||||||||
Australian Dollar (AUD) | Call | 7,155,000 | 1.100 | 1/13/12 | 60,918 | (27,862 | ) | 33,056 | ||||||||||||||||||||
Australian Dollar (AUD) | Call | 7,150,000 | 1.100 | 1/13/12 | 57,200 | (16,168 | ) | 41,032 | ||||||||||||||||||||
Australian Dollar (AUD) | Call | 3,575,000 | 1.100 | 1/17/12 | 23,595 | (8,814 | ) | 14,781 | ||||||||||||||||||||
Australian Dollar (AUD) | Call | 3,540,000 | 1.100 | 11/10/11 | 17,134 | (1,153 | ) | 15,981 | ||||||||||||||||||||
Australian Dollar (AUD) | Put | 11,010,000 | 0.920 | 1/13/12 | 187,912 | (305,206 | ) | (117,294 | ) | |||||||||||||||||||
Australian Dollar (AUD) | Put | 7,155,000 | 0.949 | 1/13/12 | 143,037 | (248,531 | ) | (105,494 | ) | |||||||||||||||||||
Australian Dollar (AUD) | Put | 7,150,000 | 0.959 | 1/13/12 | 150,150 | (278,399 | ) | (128,249 | ) | |||||||||||||||||||
Australian Dollar (AUD) | Put | 3,575,000 | 0.923 | 1/17/12 | 63,778 | (95,700 | ) | (31,922 | ) | |||||||||||||||||||
Australian Dollar (AUD) | Put | 3,540,000 | 0.980 | 11/10/11 | 86,730 | (109,752 | ) | (23,022 | ) | |||||||||||||||||||
Brazilian Real (BRR) | Put | 68,910,000 | 1.850 | 11/22/11 | 291,471 | (1,678,754 | ) | (1,387,283 | ) | |||||||||||||||||||
Brazilian Real (BRR) | Put | 22,970,000 | 1.850 | 11/22/11 | 29,799 | (654,175 | ) | (624,376 | ) | |||||||||||||||||||
Brazilian Real (BRR) | Put | 22,890,000 | 1.850 | 11/28/11 | 114,450 | (583,487 | ) | (469,037 | ) | |||||||||||||||||||
British Pound Sterling (GBP) | Call | 1,775,000 | 1.558 | 10/7/11 | 17,132 | (22,072 | ) | (4,940 | ) | |||||||||||||||||||
British Pound Sterling (GBP) | Call | 1,655,000 | 1.563 | 10/5/11 | 16,059 | (12,213 | ) | 3,846 | ||||||||||||||||||||
British Pound Sterling (GBP) | Call | 1,615,000 | 1.561 | 10/4/11 | 16,135 | (11,185 | ) | 4,950 | ||||||||||||||||||||
British Pound Sterling (GBP) | Call | 1,605,000 | 1.565 | 10/6/11 | 14,764 | (11,671 | ) | 3,093 | ||||||||||||||||||||
British Pound Sterling (GBP) | Call | 1,595,000 | 1.555 | 10/3/11 | 17,250 | (15,408 | ) | 1,842 | ||||||||||||||||||||
British Pound Sterling (GBP) | Put | 1,775,000 | 1.558 | 10/7/11 | 16,630 | (14,639 | ) | 1,991 | ||||||||||||||||||||
British Pound Sterling (GBP) | Put | 1,655,000 | 1.563 | 10/5/11 | 16,059 | (10,531 | ) | 5,528 | ||||||||||||||||||||
British Pound Sterling (GBP) | Put | 1,615,000 | 1.561 | 10/4/11 | 16,135 | (7,322 | ) | 8,813 | ||||||||||||||||||||
British Pound Sterling (GBP) | Put | 1,605,000 | 1.565 | 10/6/11 | 15,071 | (16,986 | ) | (1,915 | ) | |||||||||||||||||||
British Pound Sterling (GBP) | Put | 1,595,000 | 1.555 | 10/3/11 | 17,250 | (2,343 | ) | 14,907 |
Unrealized | ||||||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation | ||||||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||||||
Canadian Dollar (CAD) Futures | Put | 53 | $ | 92.500 | 10/10/11 | $ | 13,388 | $ | (6,890 | ) | $ | 6,498 | ||||||||||||||||||||
Euro (EUR) | Call | 3,580,000 | 1.460 | 1/18/12 | 62,983 | (31,345 | ) | 31,638 | ||||||||||||||||||||||||
Euro (EUR) | Call | 3,575,000 | 1.450 | 1/13/12 | 59,043 | (35,290 | ) | 23,753 | ||||||||||||||||||||||||
Euro (EUR) | Call | 6,800,000 | 1.357 | 10/4/11 | 84,617 | (14,697 | ) | 69,920 | ||||||||||||||||||||||||
Euro (EUR) | Call | 6,740,000 | 1.350 | 10/7/11 | 81,527 | (66,125 | ) | 15,402 | ||||||||||||||||||||||||
Euro (EUR) | Call | 6,250,000 | 1.364 | 10/5/11 | 74,850 | (12,837 | ) | 62,013 | ||||||||||||||||||||||||
Euro (EUR) | Call | 6,150,000 | 1.362 | 10/6/11 | 76,065 | (24,055 | ) | 52,010 | ||||||||||||||||||||||||
Euro (EUR) | Call | 6,120,000 | 1.350 | 10/3/11 | 79,864 | (16,665 | ) | 63,199 | ||||||||||||||||||||||||
Euro (EUR) | Put | 3,580,000 | 1.290 | 1/18/12 | 66,733 | (101,041 | ) | (34,308 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 3,575,000 | 1.275 | 1/13/12 | 71,289 | (85,356 | ) | (14,067 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 69,530,000 | 1.250 | 11/2/11 | 286,942 | (304,203 | ) | (17,261 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 38,490,000 | 1.250 | 11/2/11 | 156,043 | (189,165 | ) | (33,122 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 6,800,000 | 1.357 | 10/4/11 | 84,617 | (113,465 | ) | (28,848 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 6,740,000 | 1.350 | 10/7/11 | 80,355 | (104,592 | ) | (24,237 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 6,250,000 | 1.364 | 10/5/11 | 74,850 | (145,315 | ) | (70,465 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 6,150,000 | 1.362 | 10/6/11 | 76,065 | (140,326 | ) | (64,261 | ) | |||||||||||||||||||||||
Euro (EUR) | Put | 6,120,000 | 1.350 | 10/3/11 | 79,864 | (55,320 | ) | 24,544 | ||||||||||||||||||||||||
Euro FX Futures | Put | 198 | 1.285 | 11/7/11 | 246,364 | (254,925 | ) | (8,561 | ) | |||||||||||||||||||||||
Euro-Bundesobligation Futures | Call | 542 | 138.000 | EUR | 10/3/11 | 14,010 | (7,261 | ) | 6,749 | |||||||||||||||||||||||
Euro-Bundesobligation Futures | Call | 457 | 140.000 | EUR | 10/3/11 | 18,067 | (6,123 | ) | 11,944 | |||||||||||||||||||||||
Euro-Bundesobligation Futures | Call | 352 | 142.000 | EUR | 10/3/11 | 28,409 | (4,716 | ) | 23,693 | |||||||||||||||||||||||
Japanese Yen (JPY) | Call | 456,000,000 | 76.400 | 10/3/11 | 39,064 | (3,434 | ) | 35,630 | ||||||||||||||||||||||||
Japanese Yen (JPY) | Call | 325,500,000 | 73.000 | 11/17/11 | 42,352 | (14,485 | ) | 27,867 | ||||||||||||||||||||||||
Japanese Yen (JPY) | Put | 456,000,000 | 76.400 | 10/3/11 | 39,064 | (48,395 | ) | (9,331 | ) | |||||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 429 | 123.500 | 10/10/11 | 41,309 | (26,813 | ) | 14,496 | ||||||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 108 | 126.500 | 10/10/11 | 20,842 | (21,600 | ) | (758 | ) | |||||||||||||||||||||||
Mexican Nuevo Peso (MXN) Call | 231,820,000 | 12.330 | 1/18/12 | 326,955 | (151,140 | ) | 175,815 | |||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) Call | 231,535,000 | 12.315 | 1/18/12 | 206,812 | (138,627 | ) | 68,185 | |||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) Call | 361,600,000 | 11.650 | 11/18/11 | 214,477 | (7,919 | ) | 206,558 | |||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) Put | 263,220,000 | 14.000 | 1/18/12 | 391,070 | (989,260 | ) | (598,190 | ) | ||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Put | 263,220,000 | 14.000 | 1/18/12 | 315,488 | (944,339 | ) | (628,851 | ) | |||||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 10,735,000 | 0.753 | 1/13/12 | 159,946 | (313,026 | ) | (153,080 | ) | |||||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 10,725,000 | 0.740 | 1/17/12 | 148,327 | (277,354 | ) | (129,027 | ) | |||||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 10,505,000 | 0.737 | 1/17/12 | 140,038 | (254,183 | ) | (114,145 | ) | |||||||||||||||||||||||
South Korean Won (KRW) | Call | 4,301,000,000 | 1,050.000 | 1/19/12 | 25,314 | (8,903 | ) | 16,411 | ||||||||||||||||||||||||
South Korean Won (KRW) | Put | 5,197,000,000 | 1,272.000 | 1/19/12 | 88,577 | (99,886 | ) | (11,309 | ) | |||||||||||||||||||||||
South Korean Won (KRW) | Put | 4,629,000,000 | 14.400 | JPY | 12/13/11 | 138,481 | (333,901 | ) | (195,420 | ) | ||||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 2,907 | 121.000 | 10/24/11 | 541,051 | (45,422 | ) | 495,629 | ||||||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 1,805 | 124.500 | 11/28/11 | 307,743 | (282,031 | ) | 25,712 | ||||||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 433 | 124.000 | 10/24/11 | 6,168 | (6,766 | ) | (598 | ) | |||||||||||||||||||||||
$ | 6,467,446 | $ | (9,843,509 | ) | $ | (3,376,063 | ) | |||||||||||||||||||||||||
EUR | Euro | |
JPY | Japanese Yen |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Carnival Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | $ | 18,190 | 1.00 | % | 9/20/16 | $ | (346,361 | ) | $ | 383,700 | $ | 37,339 | |||||||||||||||
Total | 18,190 | (346,361 | ) | 383,700 | 37,339 | |||||||||||||||||||||||
CBS Corp. | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 18,170 | 1.00 | 9/20/16 | (107,009 | ) | (123,124 | ) | (230,133 | ) | ||||||||||||||||||
Total | 18,170 | (107,009 | ) | (123,124 | ) | (230,133 | ) | |||||||||||||||||||||
CDX Emerging Market Index, Series 16: | ||||||||||||||||||||||||||||
Bank of America NA | Buy | 55,395 | 5.00 | 12/20/16 | 4,987,704 | (4,322,541 | ) | 665,163 | ||||||||||||||||||||
Barclays Bank plc | Buy | 54,605 | 5.00 | 12/20/16 | 4,894,732 | (4,260,896 | ) | 633,836 | ||||||||||||||||||||
HSBC Bank USA NA | Buy | 30,280 | 5.00 | 12/20/16 | 2,430,812 | (2,364,387 | ) | 66,425 | ||||||||||||||||||||
Total | 140,280 | 12,313,248 | (10,947,824 | ) | 1,365,424 | |||||||||||||||||||||||
Cisco Systems, Inc. | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 18,170 | 1.00 | 9/20/16 | 250,593 | 37,775 | 288,368 | |||||||||||||||||||||
Total | 18,170 | 250,593 | 37,775 | 288,368 | ||||||||||||||||||||||||
Constellation Energy Group, Inc. | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 17,670 | 1.00 | 9/20/16 | 333,533 | (364,678 | ) | (31,145 | ) | |||||||||||||||||||
Total | 17,670 | 333,533 | (364,678 | ) | (31,145 | ) | ||||||||||||||||||||||
Expedia, Inc. | ||||||||||||||||||||||||||||
Goldman Sachs International | Sell | 18,190 | 1.00 | 9/20/16 | 738,846 | (979,269 | ) | (240,423 | ) | |||||||||||||||||||
Total | 18,190 | 738,846 | (979,269 | ) | (240,423 | ) | ||||||||||||||||||||||
Federative Republic of Brazil: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 14,985 | 1.00 | 9/20/16 | (265,613 | ) | 644,295 | 378,682 | ||||||||||||||||||||
Barclays Bank plc | Sell | 7,360 | 1.00 | 3/20/16 | 33,519 | (287,302 | ) | (253,783 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 6,485 | 1.00 | 6/20/16 | 44,366 | (266,086 | ) | (221,720 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Buy | 7,485 | 1.00 | 9/20/16 | (132,340 | ) | 321,825 | 189,485 | ||||||||||||||||||||
Merrill Lynch International | Buy | 7,495 | 1.00 | 9/20/16 | (132,851 | ) | 322,255 | 189,404 | ||||||||||||||||||||
Total | 43,810 | (452,919 | ) | 734,987 | 282,068 | |||||||||||||||||||||||
GATX Corp. | ||||||||||||||||||||||||||||
Credit Suisse International | Sell | 18,190 | 1.00 | 9/20/16 | 771,468 | (1,210,602 | ) | (439,134 | ) | |||||||||||||||||||
Total | 18,190 | 771,468 | (1,210,602 | ) | (439,134 | ) | ||||||||||||||||||||||
Hewlett-Packard Co. | ||||||||||||||||||||||||||||
Citibank NA | Buy | 18,170 | 1.00 | 9/20/16 | 250,592 | 416,384 | 666,976 | |||||||||||||||||||||
Total | 18,170 | 250,592 | 416,384 | 666,976 | ||||||||||||||||||||||||
Ingersoll-Rand Co. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 18,190 | 1.00 | 9/20/16 | 497,798 | (462,852 | ) | 34,946 | ||||||||||||||||||||
Total | 18,190 | 497,798 | (462,852 | ) | 34,946 |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | $ | 15,590 | 1.30 | % | 3/24/13 | $ | — | $ | (419,727 | ) | $ | (419,727 | ) | ||||||||||||||
Total | 15,590 | — | (419,727 | ) | (419,727 | ) | ||||||||||||||||||||||
Japan: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 4,670 | 1.00 | 3/20/16 | 393,087 | (721,005 | ) | (327,918 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 1,770 | 1.00 | 9/20/16 | 6,869 | (12,573 | ) | (5,704 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 1,785 | 1.00 | 9/20/16 | 6,186 | (12,680 | ) | (6,494 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 1,790 | 1.00 | 9/20/16 | 9,439 | (12,715 | ) | (3,276 | ) | |||||||||||||||||||
Total | 10,015 | 415,581 | (758,973 | ) | (343,392 | ) | ||||||||||||||||||||||
Republic of Hungary: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 8,970 | 1.00 | 6/20/16 | 723,370 | (1,446,809 | ) | (723,439 | ) | |||||||||||||||||||
Merrill Lynch Capital | ||||||||||||||||||||||||||||
Services, Inc. | Sell | 7,800 | 1.00 | 3/20/16 | 680,114 | (1,204,247 | ) | (524,133 | ) | |||||||||||||||||||
Total | 16,770 | 1,403,484 | (2,651,056 | ) | (1,247,572 | ) | ||||||||||||||||||||||
Republic of Peru | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 7,680 | 1.71 | 12/20/16 | — | 49,382 | 49,382 | |||||||||||||||||||||
Total | 7,680 | — | 49,382 | 49,382 | ||||||||||||||||||||||||
Republic of the Philippines: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 6,390 | 1.76 | 12/20/14 | — | (24,143 | ) | (24,143 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Buy | 9,590 | 1.74 | 12/20/14 | — | (30,244 | ) | (30,244 | ) | |||||||||||||||||||
Total | 15,980 | — | (54,387 | ) | (54,387 | ) | ||||||||||||||||||||||
Russian Federation: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 11,990 | 1.00 | 9/20/16 | (479,466 | ) | 1,043,933 | 564,467 | ||||||||||||||||||||
Citibank NA | Buy | 4,495 | 1.00 | 9/20/16 | (257,713 | ) | 391,366 | 133,653 | ||||||||||||||||||||
Credit Suisse International | Buy | 2,995 | 1.00 | 9/20/16 | (171,713 | ) | 260,766 | 89,053 | ||||||||||||||||||||
Credit Suisse International | Buy | 7,475 | 1.00 | 9/20/16 | (372,447 | ) | 650,826 | 278,379 | ||||||||||||||||||||
Goldman Sachs International | Buy | 14,985 | 1.00 | 9/20/16 | (588,859 | ) | 1,304,699 | 715,840 | ||||||||||||||||||||
HSBC Bank USA NA | Buy | 7,475 | 1.00 | 9/20/16 | (369,065 | ) | 650,826 | 281,761 | ||||||||||||||||||||
Merrill Lynch International | Buy | 7,495 | 1.00 | 9/20/16 | (297,987 | ) | 652,567 | 354,580 | ||||||||||||||||||||
UBS AG | Buy | 7,495 | 1.00 | 9/20/16 | (436,466 | ) | 652,567 | 216,101 | ||||||||||||||||||||
UBS AG | Buy | 10,480 | 1.00 | 9/20/16 | (430,484 | ) | 912,462 | 481,978 | ||||||||||||||||||||
Total | 74,885 | (3,404,200 | ) | 6,520,012 | 3,115,812 | |||||||||||||||||||||||
SLM Corp.: | ||||||||||||||||||||||||||||
Citibank NA | Sell | 14,285 | 5.00 | 9/20/16 | (1,179,244 | ) | (316,783 | ) | (1,496,027 | ) | ||||||||||||||||||
UBS AG | Sell | 3,885 | 5.00 | 9/20/16 | (320,711 | ) | (86,154 | ) | (406,865 | ) | ||||||||||||||||||
Total | 18,170 | (1,499,955 | ) | (402,937 | ) | (1,902,892 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Ukraine: | ||||||||||||||||||||||||||||
Citibank NA | Buy | $ | 2,990 | 5.00 | 9/20/16 | $ | (5,622 | ) | $ | 375,188 | $ | 369,566 | ||||||||||||||||
HSBC Bank USA NA | Buy | 5,995 | 5.00 | 9/20/16 | (1,098 | ) | 752,259 | 751,161 | ||||||||||||||||||||
UBS AG | Buy | 3,000 | 5.00 | 9/20/16 | 4,541 | 376,443 | 380,984 | |||||||||||||||||||||
UBS AG | Buy | 2,995 | 5.00 | 9/20/16 | 7,922 | 375,816 | 383,738 | |||||||||||||||||||||
Total | 14,980 | 5,743 | 1,879,706 | 1,885,449 | ||||||||||||||||||||||||
United Mexican States: | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | 7,495 | 1.00 | 9/20/16 | (132,851 | ) | 338,639 | 205,788 | ||||||||||||||||||||
Goldman Sachs International | Buy | 7,485 | 1.00 | 9/20/16 | (132,340 | ) | 338,187 | 205,847 | ||||||||||||||||||||
JPMorgan Chase Bank NA | Buy | 14,985 | 1.00 | 9/20/16 | (269,181 | ) | 677,052 | 407,871 | ||||||||||||||||||||
Total | 29,965 | (534,372 | ) | 1,353,878 | 819,506 | |||||||||||||||||||||||
Walt Disney Co. | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 17,670 | 1.00 | 9/20/16 | 509,711 | (467,103 | ) | 42,608 | ||||||||||||||||||||
Total | 17,670 | 509,711 | (467,103 | ) | 42,608 | |||||||||||||||||||||||
Grand Total Buys | 9,011,948 | (2,954 | ) | 9,008,994 | ||||||||||||||||||||||||
Grand Total Sells | 2,133,833 | (7,463,754 | ) | (5,329,921 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 11,145,781 | $ | (7,466,708 | ) | $ | 3,679,073 | |||||||||||||||||||||
Total Maximum Potential | ||||||||||||
Type of Reference Asset on which the Fund | Payments for Selling Credit | Amount | Reference Asset | |||||||||
Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 105,980,000 | $ | — | BBB – | |||||||
Investment Grade Sovereign Debt | 40,630,000 | — | AA– to BBB – | |||||||||
Total | $ | 146,610,000 | $ | — | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Notional | ||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
BZDI: | ||||||||||||||
Citibank NA | 36,080 BRR | BZDI | 11.540 | % | 1/2/14 | $ | 535,659 | |||||||
Goldman Sachs International | 40,510 BRR | BZDI | 11.390 | 1/5/15 | 500,426 | |||||||||
Goldman Sachs International | 32,350 BRR | BZDI | 11.520 | 1/2/14 | 473,142 | |||||||||
Goldman Sachs International | 37,860 BRR | BZDI | 11.420 | 1/3/14 | 511,847 | |||||||||
Total | 146,800 BRR | 2,021,074 | ||||||||||||
ICP Average Nominal Rate: | ||||||||||||||
Bank of America NA | 15,150,000 CLP | ICP Average Nominal Rate | 4.620 | 8/23/13 | 147,141 | |||||||||
Citibank NA | 6,200,000 CLP | ICP Average Nominal Rate | 4.620 | 8/26/13 | 62,030 | |||||||||
Credit Suisse International | 3,340,000 CLP | ICP Average Nominal Rate | 4.590 | 8/26/13 | 29,695 | |||||||||
Deutsche Bank AG | 6,080,000 CLP | ICP Average Nominal Rate | 4.620 | 8/23/13 | 59,051 | |||||||||
Total | 30,770,000 CLP | 297,917 | ||||||||||||
MXN TIIE BANXICO: | ||||||||||||||
Barclays Bank plc | 323,200 MXN | MXN TIIE BANXICO | 5.630 | 1/21/13 | 266,652 | |||||||||
Citibank NA | 322,500 MXN | MXN TIIE BANXICO | 5.640 | 1/16/13 | 267,819 | |||||||||
Credit Suisse International | 49,800 MXN | MXN TIIE BANXICO | 7.010 | 7/24/31 | (226,729 | ) | ||||||||
Deutsche Bank AG | 674,000 MXN | MXN TIIE BANXICO | 5.890 | 1/10/13 | 586,693 | |||||||||
Goldman Sachs International | 38,600 MXN | MXN TIIE BANXICO | 7.000 | 7/24/31 | (178,711 | ) | ||||||||
Goldman Sachs International | 824,500 MXN | MXN TIIE BANXICO | 5.880 | 12/14/12 | 660,447 | |||||||||
Goldman Sachs International | 182,400 MXN | MXN TIIE BANXICO | 5.080 | 9/23/13 | 66,116 | |||||||||
Merrill Lynch Capital Services, Inc. | 333,500 MXN | MXN TIIE BANXICO | 5.875 | 12/6/12 | 266,445 | |||||||||
Merrill Lynch Capital Services, Inc. | 840,000 MXN | MXN TIIE BANXICO | 5.735 | 11/29/12 | 590,731 | |||||||||
Merrill Lynch Capital Services, Inc. | 63,500 MXN | MXN TIIE BANXICO | 6.990 | 7/24/31 | (298,886 | ) | ||||||||
Merrill Lynch Capital Services, Inc. | 513,500 MXN | MXN TIIE BANXICO | 5.750 | 12/5/12 | 365,822 | |||||||||
Total | 4,165,500 MXN | 2,366,399 |
Notional | ||||||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
Six-Month AUD BBR BBSW | ||||||||||||||||||||||||
Westpac Banking Corp. | Six-Month | |||||||||||||||||||||||
41,520 | AUD | 5.540 | % | AUD BBR BBSW | 8/3/21 | $ | (2,224,769 | ) | ||||||||||||||||
Six-Month EUR EURIBOR: | ||||||||||||||||||||||||
Bank of America NA | Six-Month | |||||||||||||||||||||||
1,775 | EUR | EUR EURIBOR | 1.945 | % | 9/8/16 | (4,119 | ) | |||||||||||||||||
Barclays Bank plc | Six-Month | |||||||||||||||||||||||
2,180 | EUR | EUR EURIBOR | 3.260 | 8/29/31 | 176,521 | |||||||||||||||||||
Goldman Sachs Capital Markets LP | Six-Month | |||||||||||||||||||||||
1,785 | EUR | EUR EURIBOR | 2.990 | 8/11/21 | 97,451 | |||||||||||||||||||
Goldman Sachs Capital Markets LP | Six-Month | |||||||||||||||||||||||
3,565 | EUR | EUR EURIBOR | 1.883 | 9/13/16 | (20,772 | ) | ||||||||||||||||||
Goldman Sachs International | Six-Month | |||||||||||||||||||||||
2,130 | EUR | EUR EURIBOR | 3.265 | 8/29/31 | 174,667 | |||||||||||||||||||
Goldman Sachs International | Six-Month | |||||||||||||||||||||||
2,850 | EUR | EUR EURIBOR | 2.585 | 9/27/41 | (125,803 | ) | ||||||||||||||||||
Goldman Sachs International | Six-Month | |||||||||||||||||||||||
2,260 | EUR | EUR EURIBOR | 3.234 | 8/30/31 | 168,041 | |||||||||||||||||||
Merrill Lynch International | Six-Month | |||||||||||||||||||||||
1,800 | EUR | EUR EURIBOR | 2.710 | 8/22/21 | 35,476 | |||||||||||||||||||
Total | 18,345 | EUR | 501,462 | |||||||||||||||||||||
Six-Month PLZ WIBOR WIBO: | ||||||||||||||||||||||||
JPMorgan Chase Bank NA | Six-Month PLZ | |||||||||||||||||||||||
40,970 | PLZ | 4.575 | WIBOR WIBO | 8/23/16 | 98,771 | |||||||||||||||||||
JPMorgan Chase Bank NA | Six-Month PLZ | |||||||||||||||||||||||
40,970 | PLZ | 4.590 | WIBOR WIBO | 8/23/16 | 90,632 | |||||||||||||||||||
Total | 81,940 | PLZ | 189,403 | |||||||||||||||||||||
Three-Month CAD BACDOR: | ||||||||||||||||||||||||
Merrill Lynch Capital Services, Inc. | Three-Month | |||||||||||||||||||||||
10,600 | CAD | 1.183 | CAD BACDOR | 8/18/14 | (13,773 | ) | ||||||||||||||||||
JPMorgan Chase Bank NA | Three-Month | |||||||||||||||||||||||
14,385 | CAD | 1.320 | CAD BACDOR | 8/8/14 | (59,438 | ) | ||||||||||||||||||
JPMorgan Chase Bank NA | Three-Month | |||||||||||||||||||||||
14,395 | CAD | 1.585 | CAD BACDOR | 8/4/14 | (131,464 | ) | ||||||||||||||||||
Total | 39,380 | CAD | (204,675 | ) |
Interest Rate Swap Contracts: Continued
Notional | ||||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||
Three-Month NZD BBR FRA | ||||||||||||||||||||||
Barclays Bank plc | 52,445 | NZD | Three-Month NZD BBR FRA | 5.150 | % | 8/3/21 | $ | 2,347,317 | ||||||||||||||
Three-Month SEK STIBOR SIDE | ||||||||||||||||||||||
Goldman Sachs International | 287,940 | SEK | 3.215 | % | Three-Month SEK STIBOR SIDE | 8/3/21 | (2,639,193 | ) | ||||||||||||||
Three-Month USD BBA LIBOR | ||||||||||||||||||||||
Barclays Bank plc | 44,000 | Three-Month USD BBA LIBOR | 2.360 | 9/2/21 | 1,185,800 | |||||||||||||||||
Three-Month ZAR JIBAR SAFEX: | ||||||||||||||||||||||
Barclays Bank plc | 170,930 | ZAR | 7.040 | Three-Month ZAR JIBAR SAFEX | 1/21/14 | (651,142 | ) | |||||||||||||||
Barclays Bank plc | 169,280 | ZAR | 7.050 | Three-Month ZAR JIBAR SAFEX | 1/24/14 | (647,015 | ) | |||||||||||||||
Total where Fund pays a fixed rate | 340,210 | ZAR | (1,298,157 | ) | ||||||||||||||||||
Barclays Bank plc | 49,800 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.480 | 8/17/21 | (122,931 | ) | |||||||||||||||
Barclays Bank plc | 66,880 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.350 | 1/24/21 | 374,079 | ||||||||||||||||
Barclays Bank plc | 67,440 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.310 | 1/21/21 | 356,798 | ||||||||||||||||
Goldman Sachs International | 543,310 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.700 | 3/11/14 | 1,650,890 | ||||||||||||||||
Goldman Sachs International | 50,500 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.480 | 8/17/21 | (124,659 | ) | |||||||||||||||
HSBC Bank USA NA | 49,800 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.470 | 8/17/21 | (122,931 | ) | |||||||||||||||
JPMorgan Chase Bank NA | 548,640 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.390 | 3/2/14 | 1,491,306 | ||||||||||||||||
Total where Fund pays a variable rate | 1,376,370 | ZAR | 3,502,552 | |||||||||||||||||||
Total | 1,716,580 | ZAR | 2,204,395 | |||||||||||||||||||
Total Interest Rate Swaps | $ | 6,045,130 | ||||||||||||||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CLP | Chilean Peso | |
EUR | Euro | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand | |
Abbreviations/Definitions are as follows: | ||
BACDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BANXICO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR | Bank Bill Rate | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI | Brazil Interbank Deposit Rate | |
EURIBOR | Euro Interbank Offered Rate | |
FRA | Forward Rate Agreement | |
ICP | Indice Camara Promedio | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
SAFEX | South African Futures Exchange | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TIIE | Interbank Equilibrium Interest Rate | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate |
Total Return Swap Contracts as of September 30, 2011 are as follows:
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
Consumer Staples Select Sector Index: | ||||||||||||||||||||||||
Morgan Stanley & Co. International Ltd. | $ | 7,205 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 3/6/12 | $ | (246,738 | ) | ||||||||||||||||
Morgan Stanley & Co. International Ltd. | 34 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 9/14/12 | (542 | ) | ||||||||||||||||||
Reference Entity Total | (247,280 | ) | ||||||||||||||||||||||
Custom Basket of Securities: | ||||||||||||||||||||||||
Citibank NA | 3,836 | CHF | One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (68,258 | ) | |||||||||||||||||
Citibank NA | 17,707 | SEK | One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (47,022 | ) |
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
Custom basket of securities: Continued | ||||||||||||||||||||||||
Citibank NA | 9,758 | EUR | One-Month EUR EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | $ | (850,862 | ) | ||||||||||||||||
Citibank NA | 7,349 | GBP | One-Month GBPBBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (732,580 | ) | |||||||||||||||||
Citibank NA | 7,342 | DKK | One-Month DKK BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (684 | ) | |||||||||||||||||
Citibank NA | 2,125,073 | JPY | One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/16/12 | (122,204 | ) |
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
Custom basket of securities: Continued | ||||||||||||||||||||||||
Goldman Sachs International | $ | 87,076 | One-Month USD BBA LIBOR plus 35 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 9/7/12 | $ | (2,603,162 | ) | ||||||||||||||||
Morgan Stanley & Co. International Ltd. | 16,301 | GBP | One-Month GBPBBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/1/12 | (325,699 | ) | |||||||||||||||||
Reference Entity Total | (4,750,471 | ) | ||||||||||||||||||||||
Health Care Select Sector Index | ||||||||||||||||||||||||
UBS AG | 6,707 | One-Month USD BBA LIBOR plus 8 basis points and if negative, the absolute value of the Total Return of the Health Care Select Sector Index | If positive, the Total Return of the Health Care Select Sector Index | 11/4/11 | (277,909 | ) |
Notional | |||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | |||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||
Industrial Select Sector Index | |||||||||||||||||||
UBS AG | $ | 7,193 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Industrial Select Sector Index | If positive, the Total Return of the Industrial Select Sector Index | 9/7/12 | $ | (410,282) | ||||||||||||
MSCI Daily TR Gross EAFE USD Index: | |||||||||||||||||||
Citibank NA | 6,832 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 609,751 | ||||||||||||||
Citibank NA | 740 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 63,371 | ||||||||||||||
Goldman Sachs International | 8,924 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/10/12 | 160,289 | ||||||||||||||
Goldman Sachs International | 5,574 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 5/10/12 | 99,223 |
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
MSCI Daily TR Gross EAFE USD Index: Continued | ||||||||||||||||||||||||
Goldman Sachs International | $ | 11,196 | If positive,the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 28 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 9/7/12 | $ | 826,205 | |||||||||||||||||
Morgan Stanley & Co. International Ltd. | 9,426 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 660,434 | |||||||||||||||||||
UBS AG | 13,787 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 1,306,177 | |||||||||||||||||||
Reference Entity Total | 3,725,450 | |||||||||||||||||||||||
MSCI Daily TR Gross Europe Euro Index: | ||||||||||||||||||||||||
Citibank NA | 1,241 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/6/12 | 14,830 |
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
MSCI Daily TR Gross Europe Euro Index: Continued | ||||||||||||||||||||||||
Goldman Sachs International | 18,979 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/12 | $ | (165,564 | ) | ||||||||||||||||
Goldman Sachs International | 3,263 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR and if negative, the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/12 | (30,832 | ) | |||||||||||||||||
Reference Entity Total | (181,566 | ) | ||||||||||||||||||||||
MSCI Daily TR Net Brazil USD Index | ||||||||||||||||||||||||
UBS AG | 9,007 | One-Month USD BBA LIBOR plus 155 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Brazil USD Index | If positive, the Total Return of the MSCI Daily Net Brazil USD Index | 9/7/12 | (1,892,144 | ) | ||||||||||||||||||
MSCI Daily TR Net Emerging Markets Korea USD Index | ||||||||||||||||||||||||
UBS AG | 8,796 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Emerging Markets Korea US D Index | If positive, the Total Return of the MSCI Daily Net Emerging Markets Korea USD Index | 9/7/12 | (1,106,578 | ) |
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
MSCI Daily TR Net France USD Index: | ||||||||||||||||||||
Goldman Sachs International | $ | 9,136 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | $ | (1,022,741 | ) | ||||||||||||
Goldman Sachs International | 711 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (98,351 | ) | ||||||||||||||
Goldman Sachs International | 726 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (91,902 | ) | ||||||||||||||
Reference Entity Total | (1,212,994 | ) | ||||||||||||||||||
MSCI Daily TR Net Italy USD Index | ||||||||||||||||||||
Morgan Stanley & Co. International Ltd. | 8,806 | One-Month USD BBA LIBOR plus 29 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Italy USD Index | If positive, the Total Return of the MSCI Daily Net Italy USD Index | 9/12/12 | (928,897 | ) |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
MSCI Daily TR Net Spain USD Index | ||||||||||||||||||||
Morgan Stanley & Co. International Ltd. | $ | 8,788 | One-Month USD BBA LIBOR minus 2 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the Total Return of the MSCI Daily Net Spain USD Index | 9/12/12 | $ | (652,549 | ) | ||||||||||||
S&P 400 Midcap Index | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 21,401 | If positive, the Total Return of the S&P 400 Midcap Index | One-Month USD BBA LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the S&P 400 Midcap Index | 9/7/12 | 1,329,047 | |||||||||||||||
S&P 500 Growth Index | ||||||||||||||||||||
Goldman Sachs International | 21,634 | One-Month USD BBA LIBOR and if negative, the absolute value of the Total Return of the S&P 500 Growth Index | If positive, the Total Return of the S&P 500 Growth Index | 9/7/12 | (763,660 | ) | ||||||||||||||
Total of Total Return Swaps | $ | (7,369,833 | ) | |||||||||||||||||
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
SEK | Swedish Krona |
Total Return Swap Contracts: Continued
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
EAFE | Europe, Australasia, Far East | |
EURIBOR | Euro Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
S&P | Standard & Poor’s | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TR | Total Return |
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
AUD/CAD Spot Exchange Rate | ||||||||||||||||||||||||
Goldman Sachs International | 48 | AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the period 9/30/11-11/3/11 | 10.90 | % | 11/7/11 | $ | (31,711 | ) | |||||||||||||||
AUD/JPY Spot Exchange Rate: | ||||||||||||||||||||||||
BNP Paribas | 48 | AUD | 23.40 | % | The Historic Volatility of the mid AUD/JPY spot exchange rate during the period 9/22/11- 10/25/11 | 10/27/11 | (73,747 | ) | ||||||||||||||||
Deutsche Bank AG | 48 | AUD | 22.00 | The Historic Volatility of the AUD/JPY spot exchange rate during the period 9/23/11- 10/25/11 | 10/27/11 | (11,249 | ) | |||||||||||||||||
Reference Entity Total | (84,996 | ) | ||||||||||||||||||||||
AUD/NZD Spot Exchange Rate | ||||||||||||||||||||||||
Goldman Sachs International | 47 | AUD | 9.75 | The Historic Volatility of the mid AUD/NZD spot exchange rate during the period 9/27/11- 10/27/11 | 10/31/11 | (14,827 | ) |
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
CHF/NOK Spot Exchange Rate: | ||||||||||||||||||||||||
Bank of America NA | 40 | CHF | 15.50 | % | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/7/11- 10/7/11 | 10/11/11 | $ | (4,060 | ) | |||||||||||||||
BNP Paribas | 41 | CHF | 14.75 | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/8/11- 10/10/11 | 10/12/11 | 41,209 | ||||||||||||||||||
Credit Suisse International | 41 | CHF | 14.75 | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/15/11- 10/17/11 | 10/19/11 | (16,699 | ) | |||||||||||||||||
Deutsche Bank AG | 41 | CHF | 16.50 | The Historic Volatility of the mid CHF/NOK Spot Exchange Rate during the period 9/14/11- 10/13/11 | 10/17/11 | (95,967 | ) | |||||||||||||||||
Goldman Sachs International | 42 | CHF | 17.50 | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/12/11- 10/12/11 | 10/14/11 | (175,993 | ) | |||||||||||||||||
JPMorgan Chase Bank NA | 42 | CHF | 15.80 | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/13/11- 10/13/11 | 10/17/11 | (70,781 | ) | |||||||||||||||||
Royal Bank of Scotland (The) plc | 42 | CHF | 15.60 | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/9/11- 10/11/11 | 10/13/11 | 4,977 |
Volatility Swaps: Continued
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
CHF/NOK Spot Exchange Rate: Continued | ||||||||||||||||||||||||
Royal Bank of Scotland (The) plc | 40 | CHF | 14.50 | % | The Historic Volatility of the mid CHF/NOK spot exchange rate during the period 9/6/11- 10/7/11 | 10/11/11 | $ | 39,303 | ||||||||||||||||
Reference Entity Total | (278,011 | ) | ||||||||||||||||||||||
EUR/CHF Spot Exchange Rate | ||||||||||||||||||||||||
Deutsche Bank AG | 34 | EUR | 7.75 | The Historic Volatility of the mid EUR/CHF spot exchange rate during the period 9/16/11- 10/18/11 | 10/20/11 | 41,286 | ||||||||||||||||||
EUR/GBP Spot Exchange Rate | ||||||||||||||||||||||||
BNP Paribas | 33 | EUR | The Historic Volatility of the mid EUR/GBPspot exchange rate during the period 9/1/11- 10/4/11 | 8.80 | % | 10/6/11 | (27,023 | ) | ||||||||||||||||
GBP/NZD Spot Exchange Rate: | ||||||||||||||||||||||||
Bank of America NA | 30 | GBP | The Historic Volatility of the mid GBP/NZD spot exchange rate during the period 9/19/11- 10/19/11 | 14.10 | 10/21/11 | (230,759 | ) | |||||||||||||||||
Credit Suisse International | 30 | GBP | The Historic Volatility of the mid GBP/NZD spot exchange rate during the period 9/20/11- 10/20/11 | 13.40 | 10/24/11 | (298,581 | ) | |||||||||||||||||
Goldman Sachs International | 30 | GBP | The Historic Volatility of the mid GBP/NZD spot exchange rate during the period 9/21/11- 10/20/11 | 14.00 | 10/25/11 | (310,934 | ) | |||||||||||||||||
Reference Entity Total | (840,274 | ) |
Notional | ||||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
NZD/JPY Spot Exchange Rate: | ||||||||||||||||||||||||
Credit Suisse International | 61 | NZD | 21.65 | % | The Historic Volatility of the mid NZD/JPY spot exchange rate during the period 9/29/11- 11/1/11 | 11/3/11 | $ | (9,957 | ) | |||||||||||||||
JPMorgan Chase Bank NA | 60 | NZD | 21.00 | The Historic Volatility of the NZD/JPY spot exchange rate during the period 9/28/11- 10/27/11 | 10/31/11 | 34,841 | ||||||||||||||||||
Total where Fund pays a fixed rate | 24,884 | |||||||||||||||||||||||
Bank of America NA | 55 | NZD | The Historic Volatility of the mid NZD/JPY spot exchange rate during the period 9/2/11- 10/4/11 | 15.75 | % | 10/6/11 | (411,822 | ) | ||||||||||||||||
Total where Fund pays a variable rate | (411,822 | ) | ||||||||||||||||||||||
Reference Entity Total | (386,938 | ) | ||||||||||||||||||||||
USD/JPY Spot Exchange Rate | ||||||||||||||||||||||||
Goldman Sachs International | 47 | The Historic Volatility of the mid USD/JPY spot exchange rate during the period 9/26/11- 10/26/11 | 11.80 | 10/28/11 | 72,098 | |||||||||||||||||||
Total Volatility Swaps | $ | (1,550,396 | ) | |||||||||||||||||||||
AUD | Australian Dollar | |
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pound Sterling | |
NZD | New Zealand Dollar |
CAD | Canadian Dollar | |
JPY | Japanese Yen | |
NOK | Norwegian Krone |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Bank of America NA: | ||||||||||
Credit Default Buy Protection | $ | 55,395 | $ | (4,322,541 | ) | |||||
Interest Rate | 15,150,000 | CLP | 147,141 | |||||||
Interest Rate | 1,775 | EUR | (4,119 | ) | ||||||
Volatility | 40 | CHF | (4,060 | ) | ||||||
Volatility | 30 | GBP | (230,759 | ) | ||||||
Volatility | 55 | NZD | (411,822 | ) | ||||||
(4,826,160 | ) | |||||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 123,810 | (3,026,139 | ) | |||||||
Credit Default Sell Protection | 39,170 | (2,578,240 | ) | |||||||
Interest Rate | 2,180 | EUR | 176,521 | |||||||
Interest Rate | 323,200 | MXN | 266,652 | |||||||
Interest Rate | 52,445 | NZD | 2,347,317 | |||||||
Interest Rate | 44,000 | 1,185,800 | ||||||||
Interest Rate | 524,330 | ZAR | (690,211 | ) | ||||||
(2,318,300 | ) | |||||||||
BNP Paribas: | ||||||||||
Volatility | 48 | AUD | (73,747 | ) | ||||||
Volatility | 41 | CHF | 41,209 | |||||||
Volatility | 33 | EUR | (27,023 | ) | ||||||
(59,561 | ) | |||||||||
Citibank NA: | ||||||||||
Credit Default Buy Protection | 25,655 | 1,182,938 | ||||||||
Credit Default Sell Protection | 14,285 | (316,783 | ) | |||||||
Interest Rate | 36,080 | BRR | 535,659 | |||||||
Interest Rate | 6,200,000 | CLP | 62,030 | |||||||
Interest Rate | 322,500 | MXN | 267,819 | |||||||
Total Return | 3,836 | CHF | (68,258 | ) | ||||||
Total Return | 7,342 | DKK | (684 | ) | ||||||
Total Return | 10,999 | EUR | (836,032 | ) | ||||||
Total Return | 7,349 | GBP | (732,580 | ) | ||||||
Total Return | 2,125,073 | JPY | (122,204 | ) | ||||||
Total Return | 17,707 | SEK | (47,022 | ) | ||||||
Total Return | 7,572 | 673,122 | ||||||||
598,005 | ||||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 10,470 | 911,592 | ||||||||
Credit Default Sell Protection | 24,675 | (1,476,688 | ) | |||||||
Interest Rate | 3,340,000 | CLP | 29,695 | |||||||
Interest Rate | 49,800 | MXN | (226,729 | ) |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Credit Suisse International: Continued | ||||||||||
Volatility | 41 | CHF | $ | (16,699 | ) | |||||
Volatility | 30 | GBP | (298,581 | ) | ||||||
Volatility | 61 | NZD | (9,957 | ) | ||||||
(1,087,367 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 44,060 | (29,770 | ) | |||||||
Interest Rate | 6,080,000 | CLP | 59,051 | |||||||
Interest Rate | 674,000 | MXN | 586,693 | |||||||
Volatility | 48 | AUD | (11,249 | ) | ||||||
Volatility | 41 | CHF | (95,967 | ) | ||||||
Volatility | 34 | EUR | 41,286 | |||||||
550,044 | ||||||||||
Goldman Sachs Capital Markets LP | Interest Rate | 5,350 | EUR | 76,679 | ||||||
Goldman Sachs International: | ||||||||||
Credit Default Buy Protection | 29,965 | 1,981,525 | ||||||||
Credit Default Sell Protection | 18,190 | (979,269 | ) | |||||||
Interest Rate | 110,720 | BRR | 1,485,415 | |||||||
Interest Rate | 7,240 | EUR | 216,905 | |||||||
Interest Rate | 1,045,500 | MXN | 547,852 | |||||||
Interest Rate | 287,940 | SEK | (2,639,193 | ) | ||||||
Interest Rate | 593,810 | ZAR | 1,526,231 | |||||||
Total Return | 22,242 | EUR | (196,396 | ) | ||||||
Total Return | 144,977 | (3,494,099 | ) | |||||||
Volatility | 95 | AUD | (46,538 | ) | ||||||
Volatility | 42 | CHF | (175,993 | ) | ||||||
Volatility | 30 | GBP | (310,934 | ) | ||||||
Volatility | 47 | 72,098 | ||||||||
(2,012,396 | ) | |||||||||
HSBC Bank USA NA: | ||||||||||
Credit Default Buy Protection | 43,750 | (961,302 | ) | |||||||
Interest Rate | 49,800 | ZAR | (122,931 | ) | ||||||
(1,084,233 | ) | |||||||||
JPMorgan Chase Bank NA: | ||||||||||
Credit Default Buy Protection | 32,060 | 968,633 | ||||||||
Credit Default Sell Protection | 5,345 | (37,968 | ) | |||||||
Interest Rate | 28,780 | CAD | (190,902 | ) | ||||||
Interest Rate | 81,940 | PLZ | 189,403 | |||||||
Interest Rate | 548,640 | ZAR | 1,491,306 | |||||||
Volatility | 42 | CHF | (70,781 | ) | ||||||
Volatility | 60 | NZD | 34,841 | |||||||
2,384,532 | ||||||||||
Merrill Lynch Capital Services, Inc.: | ||||||||||
Credit Default Sell Protection | 7,800 | (1,204,247 | ) | |||||||
Interest Rate | 10,600 | CAD | (13,773 | ) | ||||||
Interest Rate | 1,750,500 | MXN | 924,112 | |||||||
(293,908 | ) |
Swap Summary: Continued
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Merrill Lynch International: | ||||||||||
Credit Default Buy Protection | $ | 14,990 | $ | 974,822 | ||||||
Interest Rate | 1,800 | EUR | 35,476 | |||||||
1,010,298 | ||||||||||
Morgan Stanley & Co. International Ltd.: | ||||||||||
Total Return | 16,301 | GBP | (325,699 | ) | ||||||
Total Return | 34,259 | (1,168,292 | ) | |||||||
(1,493,991 | ) | |||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Sell Protection | 21,401 | 1,329,047 | ||||||||
Total Return | 33,260 | (784,405 | ) | |||||||
544,642 | ||||||||||
Royal Bank of Scotland (The) plc | Volatility | 82 | CHF | 44,280 | ||||||
UBS AG: | ||||||||||
Credit Default Buy Protection | 23,970 | 2,317,288 | ||||||||
Credit Default Sell Protection | 3,885 | (86,154 | ) | |||||||
Total Return | 45,490 | (2,380,736 | ) | |||||||
(149,602 | ) | |||||||||
Westpac Banking Corp. | Interest Rate | 41,520 | AUD | (2,224,769 | ) | |||||
Total Swaps | $ | (10,341,807 | ) | |||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand |
Underlying | ||||||||||||||||||||||||||
Swap Type | Notional | Strike | ||||||||||||||||||||||||
from Fund | Amount | Price/ | Expiration | Premium | Unrealized | |||||||||||||||||||||
Reference Entity | Perspective | (000’s) | Rate | Date | Received | Value | Depreciation | |||||||||||||||||||
Goldman Sachs Group, Inc. (The), European Swaption, Fund Pays Fixed, Termination Date 11/29/23 | Interest Rate Pay Fixed | $ | 18,780 | 2.44 | % | 11/25/11 | $ | 231,182 | $ | (502,903 | ) | $ | 271,721 |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $7,240,004,007) | $ | 6,653,504,016 | ||
Affiliated companies (cost $2,189,603,372) | 2,101,719,363 | |||
8,755,223,379 | ||||
Cash | 2,957,095 | |||
Cash—foreign currencies (cost $3,755,716) | 3,644,155 | |||
Unrealized appreciation on foreign currency exchange contracts | 70,834,616 | |||
Appreciated swaps, at value (net upfront payments paid $4,308,809) | 30,869,718 | |||
Receivables and other assets: | ||||
Investments sold (including $16,849,341 sold on a when-issued or delayed delivery basis) | 117,753,799 | |||
Interest, dividends and principal paydowns | 108,396,679 | |||
Closed foreign currency contracts | 19,396,668 | |||
Futures margins | 7,296,465 | |||
Shares of beneficial interest sold | 6,851,335 | |||
Other | 184,146 | |||
Total assets | 9,123,408,055 | |||
Liabilities | ||||
Appreciated options written, at value (premiums received $2,776,657) | 1,123,349 | |||
Depreciated options written, at value (premiums received $3,690,789) | 8,720,160 | |||
Depreciated swaptions written, at value (premiums received $231,182) | 502,903 | |||
Unrealized depreciation on foreign currency exchange contracts | 78,952,248 | |||
Appreciated swaps, at value (upfront payments received $13,320,757) | 11,877,779 | |||
Depreciated swaps, at value (net upfront payments received $2,133,833) | 29,333,746 | |||
Payables and other liabilities: | ||||
Investments purchased (including $306,077,757 purchased on a when-issued or delayed delivery basis) | 426,742,523 | |||
Closed foreign currency contracts | 76,696,599 | |||
Shares of beneficial interest redeemed | 17,903,777 | |||
Dividends | 7,145,375 | |||
Distribution and service plan fees | 1,640,051 | |||
Transfer and shareholder servicing agent fees | 1,103,658 | |||
Futures margins | 1,083,265 | |||
Shareholder communications | 485,384 | |||
Trustees’ compensation | 142,229 | |||
Foreign capital gains tax | 102,480 | |||
Other | 707,022 | |||
Total liabilities | 664,262,548 | |||
Net Assets | $ | 8,459,145,507 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 2,089,737 | ||
Additional paid-in capital | 9,645,362,881 | |||
Accumulated net investment income | 359,441 | |||
Accumulated net realized loss on investments and foreign currency transactions | (527,474,687 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (661,191,865 | ) | ||
Net Assets | $ | 8,459,145,507 | ||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $5,857,279,849 and 1,446,577,103 shares of beneficial interest outstanding) | $ | 4.05 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $ | 4.25 | ||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $284,756,540 and 70,089,559 shares of beneficial interest outstanding) | $ | 4.06 | ||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,384,378,296 and 342,594,657 shares of beneficial interest outstanding) | $ | 4.04 | ||
Class N Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $225,889,125 and 55,752,178 shares of beneficial interest outstanding) | $ | 4.05 | ||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $706,841,697 and 174,723,919 shares of beneficial interest outstanding) | $ | 4.05 |
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | ||||
Interest | $ | 10,147,082 | ||
Dividends | 10,413 | |||
Expenses2 | (571,160 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 9,586,335 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | 98,480,445 | |||
Dividends | 468,146 | |||
Expenses3 | (4,004,303 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 94,944,288 | |||
Total allocation of net investment income from master funds | 104,530,623 | |||
Investment Income | ||||
Interest: | ||||
Unaffiliated companies (net of foreign withholding taxes of $288,438) | 524,461,876 | |||
Affiliated companies | 601,167 | |||
Fee income on when-issued securities | 7,784,112 | |||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $12,659) | 1,849,187 | |||
Affiliated companies | 764,211 | |||
Other income | 60,828 | |||
Total investment income | 535,521,381 | |||
Expenses | ||||
Management fees | 46,091,553 | |||
Distribution and service plan fees: | ||||
Class A | 15,204,034 | |||
Class B | 3,202,059 | |||
Class C | 14,532,589 | |||
Class N | 1,183,552 | |||
Transfer and shareholder servicing agent fees: | ||||
Class A | 8,120,987 | |||
Class B | 879,037 | |||
Class C | 1,888,770 | |||
Class N | 710,156 | |||
Class Y | 1,215,154 |
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. | |
2. | Net of expense waivers and/or reimbursements of $6,393. | |
3. | Net of expense waivers and/or reimbursements of $46,860. |
Expenses Continued | ||||
Shareholder communications: | ||||
Class A | $ | 781,752 | ||
Class B | 95,916 | |||
Class C | 179,850 | |||
Class N | 21,414 | |||
Class Y | 80,892 | |||
Custodian fees and expenses | 966,549 | |||
Interest expense on borrowings | 277,321 | |||
Trustees’ compensation | 165,664 | |||
Administration service fees | 1,500 | |||
Other | 817,395 | |||
Total expenses | 96,416,144 | |||
Less waivers and reimbursements of expenses | (4,534,277 | ) | ||
Net expenses | 91,881,867 | |||
Net Investment Income | 548,170,137 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from: | ||||
Unaffiliated companies (including premiums on options exercised) | 179,871,437 | |||
Affiliated companies | 177 | |||
Closing and expiration of option contracts written | 10,173,672 | |||
Closing and expiration of futures contracts | 15,655,652 | |||
Foreign currency transactions | (15,627,101 | ) | ||
Swap contracts | 36,262,656 | |||
Net realized gain (loss) allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (8,641,101 | ) | ||
Oppenheimer Master Loan Fund, LLC | 6,154,092 | |||
Total net realized gain | 223,849,484 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (516,122,728 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (216,995,378 | ) | ||
Futures contracts | 18,153,578 | |||
Option contracts written | (4,062,033 | ) | ||
Swaption contracts | (271,721 | ) | ||
Swap contracts | (16,015,811 | ) | ||
Net change in unrealized appreciation/deprecation allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (1,650,389 | ) | ||
Oppenheimer Master Loan Fund, LLC | (56,454,004 | ) | ||
Total net change in unrealized appreciation/depreciation | (793,418,486 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (21,398,865 | ) | |
Year Ended September 30, | 2011 | 2010 | ||||||
Operations | ||||||||
Net investment income | $ | 548,170,137 | $ | 570,790,598 | ||||
Net realized gain | 223,849,484 | 568,262,557 | ||||||
Net change in unrealized appreciation/depreciation | (793,418,486 | ) | 256,995,596 | |||||
Net increase (decrease) in net assets resulting from operations | (21,398,865 | ) | 1,396,048,751 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (382,490,965 | ) | (408,567,488 | ) | ||||
Class B | (16,567,355 | ) | (19,254,456 | ) | ||||
Class C | (77,576,438 | ) | (79,800,650 | ) | ||||
Class N | (13,475,211 | ) | (12,774,553 | ) | ||||
Class Y | (45,233,275 | ) | (37,803,494 | ) | ||||
(535,343,244 | ) | (558,200,641 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (124,884,015 | ) | (248,824,485 | ) | ||||
Class B | (38,939,680 | ) | (43,564,941 | ) | ||||
Class C | 26,600,521 | 23,353,598 | ||||||
Class N | 10,298,920 | 23,205,215 | ||||||
Class Y | 87,192,160 | 320,327,686 | ||||||
(39,732,094 | ) | 74,497,073 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (596,474,203 | ) | 912,345,183 | |||||
Beginning of period | 9,055,619,710 | 8,143,274,527 | ||||||
End of period (including accumulated net investment income (loss) of $359,441 and $(43,424,443), respectively) | $ | 8,459,145,507 | $ | 9,055,619,710 | ||||
Class A Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .27 | .28 | .24 | .24 | .23 | |||||||||||||||
Net realized and unrealized gain (loss) | (.28 | ) | .40 | (.05 | ) | (.40 | ) | .23 | ||||||||||||
Total from investment operations | (.01 | ) | .68 | .19 | (.16 | ) | .46 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.27 | ) | (.18 | ) | (.29 | ) | (.23 | ) | ||||||||||
Tax return of capital distribution | — | — | (.06 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.26 | ) | (.27 | ) | (.24 | ) | (.29 | ) | (.23 | ) | ||||||||||
Net asset value, end of period | $ | 4.05 | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | ||||||||||
Total Return, at Net Asset Value2 | (0.31 | )% | 18.17 | % | 5.59 | % | (4.01 | )% | 11.14 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,857,280 | $ | 6,368,118 | $ | 6,019,723 | $ | 7,719,384 | $ | 6,430,790 | ||||||||||
Average net assets (in thousands) | $ | 6,278,335 | $ | 6,047,257 | $ | 5,942,116 | $ | 7,560,427 | $ | 5,655,265 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 6.23 | % | 6.91 | % | 6.74 | % | 5.44 | % | 5.25 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 0.97 | % | 0.99 | % | 0.97 | % | 0.91 | % | 0.90 | % | ||||||||||
Interest and fees from borrowings | — | 5 | 0.28 | % | 0.01 | % | — | — | ||||||||||||
Total expenses6 | 0.97 | % | 1.27 | % | 0.98 | % | 0.91 | % | 0.90 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.92 | % | 1.23 | % | 0.96 | % | 0.89 | % | 0.89 | % | ||||||||||
Portfolio turnover rate7 | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 | 0.97 | % | ||
Year Ended September 30, 2010 | 1.27 | % | ||
Year Ended September 30, 2009 | 0.99 | % | ||
Year Ended September 30, 2008 | 0.92 | % | ||
Year Ended September 30, 2007 | 0.91 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 | $ | 3,961,769,663 | $ | 3,820,541,826 | ||||
Year Ended September 30, 2010 | $ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 | $ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 | $ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 | $ | 3,319,818,108 | $ | 3,509,387,791 |
96 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Class B Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .23 | .24 | .20 | .20 | .19 | |||||||||||||||
Net realized and unrealized gain (loss) | (.28 | ) | .40 | (.04 | ) | (.39 | ) | .22 | ||||||||||||
Total from investment operations | (.05 | ) | .64 | .16 | (.19 | ) | .41 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.22 | ) | (.24 | ) | (.16 | ) | (.25 | ) | (.19 | ) | ||||||||||
Tax return of capital distribution | — | — | (.05 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.22 | ) | (.24 | ) | (.21 | ) | (.25 | ) | (.19 | ) | ||||||||||
Net asset value, end of period | $ | 4.06 | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | ||||||||||
Total Return, at Net Asset Value2 | (1.21 | )% | 16.74 | % | 4.64 | % | (4.54 | )% | 9.99 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 284,757 | $ | 342,069 | $ | 353,248 | $ | 483,485 | $ | 569,523 | ||||||||||
Average net assets (in thousands) | $ | 320,622 | $ | 331,317 | $ | 355,973 | $ | 540,865 | $ | 635,237 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.31 | % | 5.96 | % | 5.83 | % | 4.61 | % | 4.43 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.89 | % | 1.93 | % | 1.89 | % | 1.73 | % | 1.71 | % | ||||||||||
Interest and fees from borrowings | — | 5 | 0.28 | % | 0.01 | % | — | — | ||||||||||||
Total expenses6 | 1.89 | % | 2.21 | % | 1.90 | % | 1.73 | % | 1.71 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.84 | % | 2.17 | % | 1.88 | % | 1.71 | % | 1.70 | % | ||||||||||
Portfolio turnover rate7 | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 | 1.89 | % | ||
Year Ended September 30, 2010 | 2.21 | % | ||
Year Ended September 30, 2009 | 1.91 | % | ||
Year Ended September 30, 2008 | 1.74 | % | ||
Year Ended September 30, 2007 | 1.72 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 | $ | 3,961,769,663 | $ | 3,820,541,826 | ||||
Year Ended September 30, 2010 | $ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 | $ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 | $ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 | $ | 3,319,818,108 | $ | 3,509,387,791 |
97 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Class C Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .24 | .25 | .21 | .20 | .19 | |||||||||||||||
Net realized and unrealized gain (loss) | (.28 | ) | .39 | (.05 | ) | (.38 | ) | .22 | ||||||||||||
Total from investment operations | (.04 | ) | .64 | .16 | (.18 | ) | .41 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.24 | ) | (.16 | ) | (.26 | ) | (.19 | ) | ||||||||||
Tax return of capital distribution | — | — | (.05 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.23 | ) | (.24 | ) | (.21 | ) | (.26 | ) | (.19 | ) | ||||||||||
Net asset value, end of period | $ | 4.04 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | ||||||||||
Total Return, at Net Asset Value2 | (1.08 | )% | 17.01 | % | 4.79 | % | (4.52 | )% | 10.06 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,384,378 | $ | 1,448,886 | $ | 1,292,721 | $ | 1,493,804 | $ | 1,086,918 | ||||||||||
Average net assets (in thousands) | $ | 1,453,972 | $ | 1,330,764 | $ | 1,201,421 | $ | 1,381,340 | $ | 959,439 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.48 | % | 6.15 | % | 6.00 | % | 4.68 | % | 4.49 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.73 | % | 1.75 | % | 1.73 | % | 1.66 | % | 1.66 | % | ||||||||||
Interest and fees from borrowings | — | 5 | 0.28 | % | 0.01 | % | — | — | ||||||||||||
Total expenses6 | 1.73 | % | 2.03 | % | 1.74 | % | 1.66 | % | 1.66 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.68 | % | 1.99 | % | 1.72 | % | 1.64 | % | 1.65 | % | ||||||||||
Portfolio turnover rate7 | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 | 1.73 | % | ||
Year Ended September 30, 2010 | 2.03 | % | ||
Year Ended September 30, 2009 | 1.75 | % | ||
Year Ended September 30, 2008 | 1.67 | % | ||
Year Ended September 30, 2007 | 1.67 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 | $ | 3,961,769,663 | $ | 3,820,541,826 | ||||
Year Ended September 30, 2010 | $ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 | $ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 | $ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 | $ | 3,319,818,108 | $ | 3,509,387,791 |
98 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Class N Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .25 | .26 | .22 | .22 | .21 | |||||||||||||||
Net realized and unrealized gain (loss) | (.28 | ) | .40 | (.05 | ) | (.39 | ) | .22 | ||||||||||||
Total from investment operations | (.03 | ) | .66 | .17 | (.17 | ) | .43 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.26 | ) | (.16 | ) | (.27 | ) | (.21 | ) | ||||||||||
Tax return of capital distribution | — | — | (.06 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.24 | ) | (.26 | ) | (.22 | ) | (.27 | ) | (.21 | ) | ||||||||||
Net asset value, end of period | $ | 4.05 | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | ||||||||||
Total Return, at Net Asset Value2 | (0.73 | )% | 17.34 | % | 5.14 | % | (4.17 | )% | 10.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 225,889 | $ | 230,532 | $ | 186,857 | $ | 186,353 | $ | 145,685 | ||||||||||
Average net assets (in thousands) | $ | 237,655 | $ | 202,619 | $ | 164,067 | $ | 175,884 | $ | 126,935 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.81 | % | 6.45 | % | 6.34 | % | 5.03 | % | 4.84 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.39 | % | 1.44 | % | 1.47 | % | 1.32 | % | 1.32 | % | ||||||||||
Interest and fees from borrowings | — | 5 | 0.28 | % | 0.01 | % | — | — | ||||||||||||
Total expenses6 | 1.39 | % | 1.72 | % | 1.48 | % | 1.32 | % | 1.32 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.34 | % | 1.68 | % | 1.39 | % | 1.30 | % | 1.31 | % | ||||||||||
Portfolio turnover rate7 | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % | ||||||||||
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 | 1.39 | % | ||
Year Ended September 30, 2010 | 1.72 | % | ||
Year Ended September 30, 2009 | 1.49 | % | ||
Year Ended September 30, 2008 | 1.33 | % | ||
Year Ended September 30, 2007 | 1.33 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 | $ | 3,961,769,663 | $ | 3,820,541,826 | ||||
Year Ended September 30, 2010 | $ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 | $ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 | $ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 | $ | 3,319,818,108 | $ | 3,509,387,791 |
99 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Class Y Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .28 | .29 | .24 | .25 | .24 | |||||||||||||||
Net realized and unrealized gain (loss) | (.27 | ) | .39 | (.05 | ) | (.38 | ) | .22 | ||||||||||||
Total from investment operations | .01 | .68 | .19 | (.13 | ) | .46 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.28 | ) | (.18 | ) | (.30 | ) | (.24 | ) | ||||||||||
Tax return of capital distribution | — | — | (.06 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.27 | ) | (.28 | ) | (.24 | ) | (.30 | ) | (.24 | ) | ||||||||||
Net asset value, end of period | $ | 4.05 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | ||||||||||
Total Return, at Net Asset Value2 | 0.13 | % | 18.10 | % | 5.67 | % | (3.33 | )% | 11.28 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 706,842 | $ | 666,015 | $ | 290,726 | $ | 313,760 | $ | 347,689 | ||||||||||
Average net assets (in thousands) | $ | 718,536 | $ | 545,045 | $ | 266,712 | $ | 220,416 | $ | 260,589 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 6.44 | % | 7.08 | % | 6.82 | % | 5.68 | % | 5.61 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 0.77 | % | 0.85 | % | 0.79 | % | 0.66 | % | 0.56 | % | ||||||||||
Interest and fees from borrowings | — | 5 | 0.28 | % | 0.01 | % | — | — | ||||||||||||
Total expenses6 | 0.77 | % | 1.13 | % | 0.80 | % | 0.66 | % | 0.56 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.72 | % | 1.05 | % | 0.78 | % | 0.64 | % | 0.55 | % | ||||||||||
Portfolio turnover rate7 | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % | ||||||||||
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 | 0.77 | % | ||
Year Ended September 30, 2010 | 1.13 | % | ||
Year Ended September 30, 2009 | 0.81 | % | ||
Year Ended September 30, 2008 | 0.67 | % | ||
Year Ended September 30, 2007 | 0.57 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 | $ | 3,961,769,663 | $ | 3,820,541,826 | ||||
Year Ended September 30, 2010 | $ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 | $ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 | $ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 | $ | 3,319,818,108 | $ | 3,509,387,791 |
100 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
101 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
102 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
103 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
1. | Significant Accounting Policies Continued |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 306,077,757 | ||
Sold securities | 16,849,341 |
Cost | $ | 131,550,920 | ||
Market Value | $ | 21,449,191 | ||
Market Value as a % of Net Assets | 0.25 | % |
104 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
105 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
1. | Significant Accounting Policies Continued |
106 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5,6 | Tax Purposes | |||||||||
$— | $ | — | $ | 469,814,435 | $ | 686,684,071 |
1. | As of September 30, 2011, the Fund had $468,018,657 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2011, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2012 | $ | 122,914,725 | ||
2016 | 3,243,816 | |||
2017 | 101,514,149 | |||
2018 | 240,345,967 | |||
Total | $ | 468,018,657 | ||
2. | The Fund had $1,388,775 of post-October foreign currency losses which were deferred. | |
3. | The Fund had $407,003 of straddle losses which were deferred. | |
4. | During the fiscal year ended September 30, 2011, the Fund utilized $217,268,853 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
5. | During the fiscal year ended September 30, 2010, the Fund did not utilize any capital loss carryforward. | |
6. | During the fiscal year ended September 30, 2011, $76,919,947 of unused capital loss carryforward expired. |
Reduction to | Reduction to | |||||||
Accumulated | Accumulated Net | |||||||
Reduction to | Net Investment | Realized Loss | ||||||
Paid-in Capital | Loss | on Investments | ||||||
$76,849,665 | $ | 30,956,991 | $ | 45,892,674 |
Year Ended | Year Ended | |||||||
September 30, 2011 | September 30, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 535,343,244 | $ | 558,200,641 |
107 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
1. | Significant Accounting Policies Continued |
Federal tax cost of securities | $ | 9,423,326,238 | ||
Federal tax cost of other investments | (15,646,561 | ) | ||
Total federal tax cost | $ | 9,407,679,677 | ||
Gross unrealized appreciation | $ | 344,967,946 | ||
Gross unrealized depreciation | (1,031,652,017 | ) | ||
Net unrealized depreciation | $ | (686,684,071 | ) | |
108 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Year Ended September 30, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold | 248,013,417 | $ | 1,071,416,084 | 235,187,068 | $ | 954,508,707 | ||||||||||
Dividends and/or distributions reinvested | 70,663,847 | 303,589,497 | 78,687,221 | 319,054,450 | ||||||||||||
Acquisition—Note 7 | — | — | 8,863,443 | 35,010,600 | ||||||||||||
Redeemed | (347,586,613 | ) | (1,499,889,596 | ) | (385,392,376 | ) | (1,557,398,242 | ) | ||||||||
Net decrease | (28,909,349 | ) | $ | (124,884,015 | ) | (62,654,644 | ) | $ | (248,824,485 | ) | ||||||
Year Ended September 30, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B | ||||||||||||||||
Sold | 15,333,850 | $ | 66,448,173 | 17,525,083 | $ | 71,388,525 | ||||||||||
Dividends and/or distributions reinvested | 3,207,096 | 13,828,747 | 3,850,628 | 15,678,441 | ||||||||||||
Redeemed | (27,437,132 | ) | (119,216,600 | ) | (32,345,662 | ) | (130,631,907 | ) | ||||||||
Net decrease | (8,896,186 | ) | $ | (38,939,680 | ) | (10,969,951 | ) | $ | (43,564,941 | ) | ||||||
Class C | ||||||||||||||||
Sold | 67,246,894 | $ | 289,327,451 | 64,418,131 | $ | 261,204,979 | ||||||||||
Dividends and/or distributions reinvested | 14,585,663 | 62,522,873 | 15,142,485 | 61,358,453 | ||||||||||||
Redeemed | (75,620,751 | ) | (325,249,803 | ) | (74,160,500 | ) | (299,209,834 | ) | ||||||||
Net increase | 6,211,806 | $ | 26,600,521 | 5,400,116 | $ | 23,353,598 | ||||||||||
Class N | ||||||||||||||||
Sold | 18,963,770 | $ | 82,037,573 | 17,763,889 | $ | 72,158,565 | ||||||||||
Dividends and/or distributions reinvested | 2,700,968 | 11,610,969 | 2,657,542 | 10,806,955 | ||||||||||||
Acquisition—Note 7 | — | — | 217,203 | 857,952 | ||||||||||||
Redeemed | (19,292,561 | ) | (83,349,622 | ) | (14,973,356 | ) | (60,618,257 | ) | ||||||||
Net increase | 2,372,177 | $ | 10,298,920 | 5,665,278 | $ | 23,205,215 | ||||||||||
Class Y | ||||||||||||||||
Sold | 78,483,612 | $ | 338,500,436 | 65,083,214 | $ | 264,818,990 | ||||||||||
Dividends and/or distributions reinvested | 9,274,828 | 39,812,222 | 8,615,557 | 34,980,121 | ||||||||||||
Acquisition—Note 7 | — | — | 59,510,245 | 235,065,467 | ||||||||||||
Redeemed | (67,474,536 | ) | (291,120,498 | ) | (53,116,318 | ) | (214,536,892 | ) | ||||||||
Net increase | 20,283,904 | $ | 87,192,160 | 80,092,698 | $ | 320,327,686 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 3,674,723,560 | $ | 4,283,013,872 | ||||
U.S. government and government agency obligations | 100,318,440 | 110,769,506 | ||||||
To Be Announced (TBA) mortgage-related securities | 3,961,769,663 | 3,820,541,826 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Next $4 billion | 0.50 | |||
Over $5 billion | 0.48 |
Class B | $ | 120,952,414 | ||
Class C | 45,851,159 | |||
Class N | 4,184,183 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
September 30, 2011 | $ | 1,955,275 | $ | 15,687 | $ | 537,300 | $ | 136,118 | $ | 8,849 | ||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of | Statement of | |||||||||||
Derivatives | Assets and | Assets and | ||||||||||
Not Accounted for as | Liabilities | Liabilities | ||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 11,929,212 | Appreciated swaps, at value | $ | 11,877,779 | ||||||
Credit contracts | Depreciated swaps, at value | 7,518,141 | ||||||||||
Equity contracts | Appreciated swaps, at value | 5,069,327 | Depreciated swaps, at value | 12,439,160 | ||||||||
Equity contracts | Futures margins | 3,897,876 | * | Futures margins | 442,420 | * | ||||||
Foreign exchange contracts | Appreciated options written, at value | 777,796 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of | Statement of | |||||||||||
Derivatives | Assets and | Assets and | ||||||||||
Not Accounted for as | Liabilities | Liabilities | ||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||
Foreign exchange contracts | Depreciated options written, at value | $ | 8,713,394 | |||||||||
Foreign exchange contracts | Investments, at value | $ | 9,616,266 | ** | ||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 70,834,616 | Unrealized depreciation on foreign currency exchange contracts | 78,952,248 | ||||||||
Interest rate contracts | Appreciated options written, at value | 345,553 | ||||||||||
Interest rate contracts | Appreciated swaps, at value | 13,637,465 | Depreciated swaps, at value | 7,592,335 | ||||||||
Interest rate contracts | Depreciated options written, at value | 6,766 | ||||||||||
Interest rate contracts | Depreciated swaptions written, at value | 502,903 | ||||||||||
Interest rate contracts | Futures margins | 3,398,589 | * | Futures margins | 640,845 | * | ||||||
Interest rate contracts | Investments, at value | 51,637,872 | ** | |||||||||
Volatility contracts | Appreciated swaps, at value | 233,714 | Depreciated swaps, at value | 1,784,110 | ||||||||
Total | $ | 170,254,937 | $ | 131,593,450 | ||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Investments from | ||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||
companies | Closing and | |||||||||||||||||||||||
Derivatives Not | (including | expiration | Closing and | |||||||||||||||||||||
Accounted | premiums | of option | expiration | Foreign | ||||||||||||||||||||
for as Hedging | on options | contracts | of futures | currency | Swap | |||||||||||||||||||
Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Commodity contracts | $ | — | $ | — | $ | (46 | ) | $ | — | $ | — | $ | (46 | ) | ||||||||||
Credit contracts | — | — | — | — | 16,471,393 | 16,471,393 | ||||||||||||||||||
Equity contracts | — | — | (4,714,015 | ) | — | (3,628,795 | ) | (8,342,810 | ) | |||||||||||||||
Foreign exchange contracts | (900,606 | ) | 8,697,760 | 1,238,075 | (93,429,529 | ) | (283,395 | ) | (84,677,695 | ) | ||||||||||||||
Interest rate contracts | (639,549 | ) | 1,475,912 | 19,131,638 | — | 10,761,224 | 30,729,225 | |||||||||||||||||
Volatility contracts | — | — | — | — | 12,942,229 | 12,942,229 | ||||||||||||||||||
Total | $ | (1,540,155 | ) | $ | 10,173,672 | $ | 15,655,652 | $ | (93,429,529 | ) | $ | 36,262,656 | $ | (32,877,704 | ) | |||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||||||
Derivatives Not | liabilities | |||||||||||||||||||||||||||
Accounted | Option | Swaption | denominated | |||||||||||||||||||||||||
for as Hedging | contracts | contracts | Futures | in foreign | Swap | |||||||||||||||||||||||
Instruments | Investments* | written | written | contracts | currencies | contracts | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | (3,701,264 | ) | $ | (3,701,264 | ) | |||||||||||||
Equity contracts | — | — | — | 9,845,489 | — | (14,654,790 | ) | (4,809,301 | ) | |||||||||||||||||||
Foreign exchange contracts | 3,620,317 | (4,625,162 | ) | — | — | (12,295,193 | ) | 5,071,895 | (8,228,143 | ) | ||||||||||||||||||
Interest rate contracts | 20,288,533 | 563,129 | (271,721 | ) | 8,308,089 | — | (2,403,845 | ) | 26,484,185 | |||||||||||||||||||
Volatility contracts | — | — | — | — | — | (327,807 | ) | (327,807 | ) | |||||||||||||||||||
Total | $ | 23,908,850 | $ | (4,062,033 | ) | $ | (271,721 | ) | $ | 18,153,578 | $ | (12,295,193 | ) | $ | (16,015,811 | ) | $ | 9,417,670 | ||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of September 30, 2010 | 2,858,000,000 | $ | 745,282 | — | $ | — | ||||||||||
Options written | 22,597,949,802 | 12,494,999 | 26,513,000,482 | 13,779,547 | ||||||||||||
Options closed or expired | (13,225,203,269 | ) | (7,609,370 | ) | (6,368,009,549 | ) | (5,480,205 | ) | ||||||||
Options exercised | (6,243,400,182 | ) | (3,886,551 | ) | (9,001,900,000 | ) | (3,576,256 | ) | ||||||||
Options outstanding as of September 30, 2011 | 5,987,346,351 | $ | 1,744,360 | 11,143,090,933 | $ | 4,723,086 | ||||||||||
Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of September 30, 2010 | $ | — | $ | — | ||||
Swaptions written | 18,780,000 | 231,182 | ||||||
Swaptions outstanding as of September 30, 2011 | $ | 18,780,000 | $ | 231,182 | ||||
Exchange Ratio to | Shares of | Value of Issued | ||||||||||||||
One Share of the | Beneficial | Shares of | Combined Net | |||||||||||||
MassMutual Premier | Interest Issued | Beneficial | Assets on | |||||||||||||
Strategic Income Fund | by the Fund | Interest | October 26, 20091 | |||||||||||||
Class A | 2.355509 | 8,863,443 | $ | 35,010,600 | $ | 6,097,055,173 | ||||||||||
Class B | — | — | $ | — | $ | — | ||||||||||
Class C | — | — | $ | — | $ | — | ||||||||||
Class N | 2.371623 | 217,203 | $ | 857,952 | $ | 191,170,636 | ||||||||||
Class L2 | 2.379824 | 49,229,917 | $ | 194,458,173 | Combined in Class Y | |||||||||||
Class S2 | 2.376329 | 8,730,464 | $ | 34,485,333 | Combined in Class Y | |||||||||||
Class Y | 2.379555 | 1,549,864 | $ | 6,121,961 | $ | 535,597,320 |
1. | The net assets acquired included net unrealized depreciation of $6,342,309 and an unused capital loss carryforward of $27,330,332, potential utilization subject to tax limitations. | |
2. | The Fund issued Class Y shares in exchange for Class L and Class S shares of MassMutual Premier Strategic Income Fund. |
November 18, 2011
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 2000) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Sam Freedman, Trustee (since 1996) Age: 70 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 64 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational orga- nization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991- April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment com- pany) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (chari- table organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996- April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
F. William Marshall, Jr., Continued | (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006- February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 66 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Memani, Wong, Gabinet, Zack and Mss. Zervos and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Welsh, Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Arthur P. Steinmetz, Vice President (since 1989) Age: 52 | Chief Investment Officer of the Manager (since October 2010); Executive Vice President of the Manager (since October 2009). Chief Investment Officer of Fixed-Income Investments of the Manager (April 2009-October 2010); Director of Fixed-Income Investments of the Manager (January 2009-April 2009) and a Senior Vice President of the Manager (March 1993-September 2009). A portfolio manager and an officer of 5 portfolios in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Krishna Memani, Vice President (since 2009) Age: 51 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Joseph Welsh, Vice President (since 2009) Age: 47 | Head of the Manager’s High Yield Corporate Debt Team (since April 2009); Senior Vice President of the Manager (since May 2009); Vice President of the Manager (December 2000-April 2009); Assistant Vice President of the Manager (December 1996-November 2000); a high yield bond analyst of the Manager (January 1995-December 1996); a CFA. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Caleb Wong Vice President (since 2009) Age: 46 | Vice President of the Manager (since June 1999); worked in fixed-income quantitative research and risk management for the Manager (since July 1996). A portfolio manager and officer of 5 portfolios in the OppenheimerFunds complex. | |
Sara J. Zervos, Ph.D. Vice President (since 2010) Age: 42 | Head of the Global Debt Team (since October 2010); Senior Vice President of the Manager (since January 2011); Vice President of the Manager (April 2008- December 2010). Prior to joining the Manager, a portfolio manager with Sailfish Capital Management (May 2007-February 2008) and a portfolio manager for emerging market debt at Dillon Read Capital Management and OTA Asset Management (June 2004-April 2007). A portfolio manager and officer of 4 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 51 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President (since 2001) Age: 63 | Vice President, Secretary and General Counsel of OAC (since November 2001); Executive Vice President (since January 2004) and General Counsel (March 2002 -December 2010) of the Manager; Executive Vice President, General Counsel and Director of OFI Trust Company (since November 2001); General Counsel of the Distributor (December 2001-December 2010); General Counsel of Centennial Asset Management Corporation (December 2001-December 2010); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (December 2001-December 2010); Assistant Secretary (September 1997-December 2010) and Director (November 2001-December 2010) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (December 2002-December 2010); Director of Oppenheimer Real Asset Management, Inc. (November 2001-December 2010); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (December 2001-December 2010); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. (November 2001-December 2010); Vice President of OppenheimerFunds Legacy Program (June 2003-December 2010); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (November 2001-December 2010). An officer of 96 portfolios in the OppenheimerFunds complex. |
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP |
• | Applications or other forms | |
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(a) | Audit Fees |
(b) | Audit-Related Fees |
(c) | Tax Fees |
(d) | All Other Fees |
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. |
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. |
(2) | 100% |
(f) | Not applicable as less than 50%. | |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $163,850 in fiscal 2011 and $405,644 in fiscal 2011 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. | |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment |
adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider |
the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee |
3. | evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
4. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
5. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” |
6. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Exhibit attached hereto. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: | 11/9/2011 |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: | 11/9/2011 | |||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
Date: | 11/9/2011 |