UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5724
Oppenheimer Global Strategic Income Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way,
Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Arthur S. Gabinet
OFI Global Asset Management, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 9/30/2013
Item 1. Reports to Stockholders.
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Oppenheimer
GlobAl sTrATeGic iNcoMe FuND
annual RepoRt 9.30.2013
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 9/30/13
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| | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares of the Fund without sales charge | | | 1.30 | % | | | 7.25 | % | | | 6.49 | % |
Class A Shares of the Fund with sales charge | | | –3.52 | | | | 6.21 | | | | 5.97 | |
Barclays U.S. Aggregate Bond Index | | | –1.68 | | | | 5.41 | | | | 4.59 | |
Citigroup World Government Bond Index | | | –4.60 | | | | 4.25 | | | | 4.79 | |
Citigroup Non-U.S. World Government Bond Index | | | –5.65 | | | | 4.27 | | | | 4.91 | |
JPMorgan Domestic High Yield Index | | | 7.33 | | | | 13.58 | | | | 8.99 | |
Reference Index | | | –0.64 | | | | 7.47 | | | | 6.15 | |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).
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2 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Fund Performance Discussion
The Fund’s Class A shares (without sales charge) produced a total return of 1.30% during the 12-month reporting period. In comparison, the Fund’s Reference Index, a customized weighted index currently comprised of the following underlying broad-based security indices: 40% Citigroup Non-U.S. World Government Bond Index, 30% JPMorgan Domestic High Yield Index, and 30% Barclays U.S. Aggregate Bond Index, returned -0.64%. Relative strength from the Fund’s investments in high yield bonds and U.S. government securities was balanced by shortfalls among emerging markets bonds, as economic slowdowns in China and other developing nations produced selling pressure in local fixed-income markets.
MARKET OVERVIEW
The 12-month reporting period began near the start of a sustained rally in most financial markets as investors anticipated stronger domestic and global economic growth. Central banks in the United States and Europe had announced new accommodative policy
measures intended to promote market liquidity and keep intermediate- and long-term interest rates low. In the United States, the Federal Reserve (the “Fed”) embarked on a third round of open-ended quantitative easing involving monthly purchases of $85
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 3 | |
billion of mortgage-backed securities from U.S. government agencies. The head of the European Central Bank (the “ECB”) had reassured investors that his institution was committed to supporting the euro, and the ECB signaled its intention to purchase massive amounts of debt from troubled members of the European Union. In Japan, new government leadership adopted economic policies designed to end a long period of economic stagnation, in part by reducing the value of the yen against most other major currencies.
Higher-yielding bonds generally rallied in response to an improving economic outlook. U.S. high yield bonds fared particularly well, as investors reached for higher yields in the low interest rate environment, corporate issuers continued to report strong earnings, and default rates remained low. At the same time, yields of U.S. government securities remained near historical lows due to the Fed’s massive bond buying program. In international markets, sovereign bonds from Europe gained value as it became clearer that the worst of the region’s debt and banking crises were likely behind it. The improved economic outlook also buoyed corporate bonds in emerging markets, such as Russia and China. U.S. dollar-denominated securities outperformed their local currency-denominated counterparts as governments in Japan and Europe took steps to reduce the value of the yen and euro, respectively, relative to the U.S. dollar.
These developments drove financial markets higher through the spring of 2013. At that time, economic data appeared to confirm that the United States, Europe and Japan had engineered a sustained economic rebound, but investors responded negatively to disappointing economic data from China, India, Brazil, and other emerging markets. The ensuing “flight to quality” toward traditional safe havens produced sharp dislocations in emerging equity, fixed-income and currency markets. In late May, relatively hawkish remarks by Fed chairman Ben Bernanke were widely interpreted as a signal that U.S. monetary policymakers would begin to back away from their quantitative easing program sooner than expected, sparking heightened volatility in financial markets throughout the world. Market conditions generally stabilized over the summer of 2013. Despite the prospect of a U.S. government shutdown at the end of the month, September saw a surge in asset values after the Fed refrained from cutting back its quantitative easing program. Meanwhile, most major currencies, including the yen, continued to lose value against the U.S. dollar.
FUND REVIEW
The Fund generally maintained a constructive investment posture throughout the reporting period, maintaining an overweight position in credit risk through investments in international bonds and high yield securities. The Fund generally maintained underweight exposure to U.S. government securities and foreign currencies.
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4 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
As it has for some time, the Fund’s international portfolio emphasized the emerging markets over their more developed counterparts. This positioning hurt the Fund’s relative performance when interest rates in the emerging markets climbed amid selling pressure from newly risk-averse investors. Although we had reduced the Fund’s holdings of Brazilian debt securities over the reporting period’s first half, even a small position proved counterproductive over the second half when local economic and fiscal concerns intensified. Bonds from Mexico and South Africa detracted from relative results to a lesser extent.
In contrast, underweight exposure to foreign currencies contributed positively to the Fund’s results. The Fund maintained no exposure to the euro and yen over the reporting period’s second half, avoiding the brunt of their weakness. In addition, the Fund benefited from positions in non-sovereign European debt, including corporate securities, asset-backed securities, and bank loans.
In the Fund’s investment grade U.S. bond portfolio, we remained significantly underweight government bonds and favored mortgage-backed securities and structured products. This positioning was beneficial during the period, as was successful security selections, including relatively strong results from U.S. government agency-issued mortgage backed securities. An allocation to non-agency mortgages and commercial
mortgage-backed securities also fared relatively well.
The Fund’s high yield portfolio benefited from overweight exposure and an emphasis on securities with credit ratings toward the lower end of the market’s quality spectrum. Bonds backed by wireless telecommunications carriers and broadcasters bolstered results early in the year. The Fund also benefited from positions in senior floating-rate bank loans at times during the reporting period.
STRATEGY & OUTLOOK
As of the reporting period’s end, we believe that emerging markets bonds and currencies have been punished more than is warranted by underlying economic fundamentals. Indeed, sovereign bond yields of 10% or more appear quite attractive to us in certain Latin American markets with manageable debt loads and muted inflation. Likewise, U.S. investors’ fears of a tapering of quantitative easing may be overblown as we believe monetary policy is expected to be accommodative for some time to come.
Consequently, we have maintained the Fund’s overweight exposure to emerging markets bonds, and we may consider increasing that position as more attractively valued opportunities arise. However, we have reduced the Fund’s average duration in preparation for the next phase of the interest-rate cycle. High yield securities ended the reporting period fairly valued in our estimation, and they should continue to
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 5 | |
do well in a moderately growing economic environment. The Fund’s investment grade portfolio has continued to focus primarily on spread products, such as mortgage-backed securities, which we believe also should
benefit from improving economic funda-
mentals. Finally, we have begun to explore the possibility of investing in non-traditional income-oriented assets that may be less sensitive to rising interest rates in a recovering economy.
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![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g39r90.jpg) | | ![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g49r58.jpg) Arthur P. Steinmetz Portfolio Manager |
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![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g14w91.jpg) | | ![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g36v97.jpg) Sara J. Zervos, Ph.D. Portfolio Manager |
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![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g35b61.jpg) | | ![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g14y87.jpg) Krishna Memani Portfolio Manager |
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![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g12j08.jpg) | | ![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g43b83.jpg) Jack Brown, CFA1 Portfolio Manager |
1. Jack Brown became a Portfolio Manager on January 28, 2013.
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6 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Top Holdings and Allocations
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TOP TEN GEOGRAPHICAL HOLDINGS | |
United States | | | 59.7 | % |
Mexico | | | 6.9 | |
Brazil | | | 5.5 | |
Russia | | | 4.2 | |
Turkey | | | 2.3 | |
Hungary | | | 1.8 | |
United Kingdom | | | 1.4 | |
South Africa | | | 1.2 | |
Japan | | | 1.1 | |
France | | | 1.0 | |
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2013, and are based on the total market value of investments.
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REGIONAL ALLOCATION | |
United States/Canada | | | 60.4 | % |
Latin America | | | 16.0 | |
Emerging Europe | | | 7.2 | |
Europe | | | 6.6 | |
Middle East/Africa | | | 5.2 | |
Asia | | | 3.9 | |
Supranational | | | 0.7 | |
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2013, and are based on the total market value of investments.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 7 | |
Top Holdings and Allocations
PORTFOLIO ALLOCATION
| | | | | | |
Corporate Bonds and Notes | | | 31.8 | % |
Mortgage-Backed Obligations: | | | | |
Non-Agency | | | 17.0 | |
Government Agency | | | 7.2 | |
Foreign Government Obligations | | | 23.4 | |
U.S. Government Obligations | | | 6.2 | |
Asset-Backed Securities | | | 4.1 | |
Money Market Fund | | | 3.2 | |
Alternative Fund | | | 2.1 | |
Oppenheimer Master Event-Linked Bond Fund, LLC | | | | |
Corporate Loans | | | 1.7 | |
Domestic Fixed Income Funds | | | 1.6 | |
| | Oppenheimer Short Duration Fund, Cl. Y | | | | |
Oppenheimer Master Loan Fund, LLC | | | | |
Structured Securities | | | 0.9 | |
Common Stocks | | | 0.3 | |
Over-the-Counter Options Purchased | | | 0.2 | |
Over-the-Counter Interest Rate Swaptions Purchased | | | 0.2 | |
Preferred Stocks | | | 0.1 | |
Over-the-Counter Credit Default Swaptions Purchased | | | — | * |
Rights, Warrants and Certificates | | | — | |
*Represents a value of less than 0.005%.
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2013, and are based on the total market value of investments. The Fund may invest without limit in below investment-grade securities, which carry a greater risk that the issue may default on principal or interest payments, and in foreign securities, which entail higher expenses and risks, such as currency fluctuation.
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8 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Top Holdings and Allocations
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CREDIT RATING BREAKDOWN | | NRSRO ONLY TOTAL | |
AAA | | | 18.3 | % |
AA | | | 3.5 | |
A | | | 12.5 | |
BBB | | | 24.7 | |
BB | | | 14.1 | |
B | | | 13.1 | |
CCC | | | 6.2 | |
CC | | | 0.7 | |
D | | | 1.9 | |
Unrated | | | 5.0 | |
Total | | | 100.0 | % |
The percentages above are based on the market value of the Fund’s securities as of September 30, 2013, and are subject to change. Except for securities labeled “Treasury,” “Agency” and “Unrated,” and except for certain securities issued or guaranteed by a foreign sovereign, all securities have been rated by at least one Nationally Recognized Statistical Rating Organization (“NRSRO”), such as Standard & Poor’s (“S&P”). For securities rated only by an NRSRO other than S&P, OppenheimerFunds, Inc. converts that rating to the equivalent S&P rating. If two or more NRSROs have assigned a rating to a security, the highest S&P equivalent rating is used. Unrated securities issued or guaranteed by a foreign sovereign are assigned a credit rating equal to the highest NRSRO rating assigned to that foreign sovereign. Fund assets invested in Oppenheimer Institutional Money Market Fund are assigned that fund’s S&P rating, which is currently AAA. For the purposes of this table, “investment-grade” securities are securities rated within the NRSROs’ four highest rating categories (AAA, AA, A and BBB). Unrated securities do not necessarily indicate low credit quality, and may or may not be the equivalent of investment-grade. Please consult the Fund’s prospectus and Statement of Additional Information for further information.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 9 | |
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 9/30/13
| | | | | | | | | | | | | | | | |
| | Inception Date | | | 1-Year | | | 5-Year | | | 10-Year | |
Class A (OPSIX) | | | 10/16/89 | | | | 1.30 | % | | | 7.25 | % | | | 6.49 | % |
Class B (OPSGX) | | | 11/30/92 | | | | 0.15 | % | | | 6.21 | % | | | 5.96 | % |
Class C (OSICX) | | | 5/26/95 | | | | 0.30 | % | | | 6.39 | % | | | 5.69 | % |
Class I (OSIIX) | | | 1/27/12 | | | | 1.43 | % | | | 5.14 | %* | | | N/A | |
Class N (OSINX) | | | 3/1/01 | | | | 0.68 | % | | | 6.75 | % | | | 6.04 | % |
Class Y (OSIYX) | | | 1/26/98 | | | | 1.30 | % | | | 7.39 | % | | | 6.71 | % |
|
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 9/30/13 | |
| | Inception Date | | | 1-Year | | | 5-Year | | | 10-Year | |
Class A (OPSIX) | | | 10/16/89 | | | | –3.52 | % | | | 6.21 | % | | | 5.97 | % |
Class B (OPSGX) | | | 11/30/92 | | | | –4.64 | % | | | 5.90 | % | | | 5.96 | % |
Class C (OSICX) | | | 5/26/95 | | | | –0.66 | % | | | 6.39 | % | | | 5.69 | % |
Class I (OSIIX) | | | 1/27/12 | | | | 1.43 | % | | | 5.14 | %* | | | N/A | |
Class N (OSINX) | | | 3/1/01 | | | | –0.28 | % | | | 6.75 | % | | | 6.04 | % |
Class Y (OSIYX) | | | 1/26/98 | | | | 1.30 | % | | | 7.39 | % | | | 6.71 | % |
*Shows performance since inception.
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STANDARDIZED YIELDS | | | |
For the 30 Days Ended 9/30/13 | | | |
Class A | | | 4.07 | % | | |
Class B | | | 3.33 | | | |
Class C | | | 3.55 | | | |
Class I | | | 4.69 | | | |
Class N | | | 3.90 | | | |
Class Y | | | 4.53 | | | |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge (unless otherwise indicated): for Class A shares, the current maximum initial sales charge of
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10 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C and N shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class I and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized.
Standardized yield is based on net investment income for the 30-day period ended 9/30/13 and the maximum offering price at the end of the period for Class A shares and the net asset value for Class B, Class C, Class I, Class N and Class Y shares. Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields.
The Fund’s performance is compared to the performance of the Barclays U.S. Aggregate Bond Index, the Citigroup World Government Bond Index, the Citigroup Non-U.S. World Government Bond Index, JPMorgan Domestic High Yield Index and its Reference Index. The Barclays U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. corporate government and mortgage-backed securities. The Citigroup World Government Bond Index is an index of debt securities of major foreign government bond markets. The Citigroup Non-U.S. World Government Bond Index is an index of fixed rate government bonds with a maturity of one year or longer and amounts outstanding of at least U.S. $25 million. The JPMorgan Domestic High Yield Index is an unmanaged index of high yield fixed income securities issued by developed countries. The Fund’s Reference Index is a customized weighted index currently comprised of the following underlying broad-based security indices: 40% Citigroup Non-U.S. World Government Bond Index, 30% JPMorgan Domestic High Yield Index, and 30% Barclays U.S. Aggregate Bond Index. The indices are unmanaged and cannot be purchased directly by investors. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 11 | |
Fund Expenses
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2013.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in the Statement of Additional Information). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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12 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Fund Expenses Continued
| | | | | | | | | | | | |
Actual | | Beginning Account Value April 1, 2013 | | | Ending Account Value September 30, 2013 | | | Expenses Paid During 6 Months Ended September 30, 2013 | |
Class A | | $ | 1,000.00 | | | $ | 973.90 | | | $ | 4.61 | |
Class B | | | 1,000.00 | | | | 967.30 | | | | 9.17 | |
Class C | | | 1,000.00 | | | | 967.90 | | | | 8.27 | |
Class I | | | 1,000.00 | | | | 973.30 | | | | 2.72 | |
Class N | | | 1,000.00 | | | | 969.80 | | | | 6.49 | |
Class Y | | | 1,000.00 | | | | 972.80 | | | | 3.32 | |
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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 | | | | 1,016.70 | | | | 8.48 | |
Class I | | | 1,000.00 | | | | 1,022.31 | | | | 2.79 | |
Class N | | | 1,000.00 | | | | 1,018.50 | | | | 6.65 | |
Class Y | | | 1,000.00 | | | | 1,021.71 | | | | 3.40 | |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended September 30, 2013 are as follows:
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Class | | Expense Ratios | |
Class A | | | 0.93 | % |
Class B | | | 1.85 | |
Class C | | | 1.67 | |
Class I | | | 0.55 | |
Class N | | | 1.31 | |
Class Y | | | 0.67 | |
The expense ratios reflect voluntary waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Consolidated Financial Highlights” tables in the Fund’s consolidated financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 13 | |
CONSOLIDATED STATEMENT OF INVESTMENTS September 30, 2013
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| | Principal Amount | | | Value | |
Asset-Backed Securities—4.3% | | | | | | | | |
Ally Auto Receivables Trust, Automobile Receivables Nts., Series 2012-A, Cl. D, 3.15%, 10/15/181 | | $ | 7,604,000 | | | $ | 7,901,029 | |
Ally Master Owner Trust, Automobile Receivable Nts., Series 2012-3, Cl. D, 2.532%, 7/15/172 | | | 4,300,000 | | | | 4,313,027 | |
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivable Nts., Series 2012-2, Cl. D, 5.91%, 7/15/193 | | | 7,400,000 | | | | 7,563,762 | |
American Credit Acceptance Receivables Trust 2012-3, Automobile Receivable Nts., Series 2012-3, Cl. C, 2.78%, 9/17/183 | | | 450,000 | | | | 449,304 | |
American Credit Acceptance Receivables Trust 2013-2, Automobile Receivable Nts., Series 2013-2, Cl. C, 3.96%, 5/15/193 | | | 6,949,000 | | | | 6,974,270 | |
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 | | | 28,945,000 | | | | 30,514,321 | |
AmeriCredit Automobile Receivables Trust 2012-3, Automobile Receivables-Backed Nts.: | | | | | | | | |
Series 2012-3, Cl. D, 3.03%, 7/9/18 | | | 9,375,000 | | | | 9,531,361 | |
Series 2012-3, Cl. E, 4.46%, 11/8/193 | | | 1,260,000 | | | | 1,304,880 | |
AmeriCredit Automobile Receivables Trust 2012-4, Automobile Receivables-Backed Nts., Series 2012-4, Cl. D, 2.68%, 10/9/18 | | | 4,260,000 | | | | 4,269,067 | |
AmeriCredit Automobile Receivables Trust 2013-1, Automobile Receivables-Backed Nts.: | | | | | | | | |
Series 2013-1, Cl. D, 2.09%, 2/8/19 | | | 1,525,000 | | | | 1,487,143 | |
Series 2013-1, Cl. E, 2.64%, 7/8/203 | | | 8,475,000 | | | | 8,186,833 | |
AmeriCredit Automobile Receivables Trust 2013-2, Automobile Receivables-Backed Nts.: | | | | | | | | |
Series 2013-2, Cl. D, 2.42%, 5/8/19 | | | 2,395,000 | | | | 2,347,510 | |
Series 2013-2, Cl. E, 3.41%, 10/8/203 | | | 3,730,000 | | | | 3,699,162 | |
AmeriCredit Automobile Receivables Trust 2013-3, Automobile Receivables-Backed Nts.: | | | | | | | | |
Series 2013-3, Cl. D, 3%, 7/8/19 | | | 1,540,000 | | | | 1,532,174 | |
Series 2013-3, Cl. E, 3.74%, 12/8/203 | | | 7,005,000 | | | | 7,000,920 | |
Axius European CLO SA, Collateralized Debt Obligations, Series 2007-1X, Cl. E, 4.803%, 11/15/232 | | | 746,293 | EUR | | | 932,928 | |
Capital Auto Receivables Asset Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.19%, 9/20/21 | | | 990,000 | | | | 968,458 | |
CarMax Auto Owner Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 3.02%, 11/15/18 | | | 4,300,000 | | | | 4,382,332 | |
CPS Auto Trust, Automobile Receivable Nts., Series 2012-C, Cl. A, 1.82%, 12/16/193 | | | 575,232 | | | | 578,494 | |
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts., Series 2012-2A, Cl. B, 2.21%, 9/15/203 | | | 355,000 | | | | 356,930 | |
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: | | | | | | | | |
Series 2012-2, Cl. C, 2.72%, 4/17/173 | | | 2,475,000 | | | | 2,495,309 | |
Series 2012-2, Cl. D, 4.35%, 3/15/193 | | | 8,020,000 | | | | 8,281,412 | |
DT Auto Owner Trust 2013-1A, Automobile Receivable Nts., Series 2013-1A, Cl. D, 3.74%, 5/15/203 | | | 10,245,000 | | | | 10,271,150 | |
DT Auto Owner Trust 2013-2A, Automobile Receivable Nts., Series 2013-2A, Cl. D, 4.18%, 6/15/203 | | | 2,210,000 | | | | 2,212,663 | |
| | |
14 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Asset-Backed Securities Continued | | | | | | | | |
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: | | | | | | | | |
Series 2012-2A, Cl. B, 2.22%, 12/15/173 | | $ | 3,125,000 | | | $ | 3,101,631 | |
Series 2012-2A, Cl. C, 3.06%, 7/16/183 | | | 3,925,000 | | | | 3,850,759 | |
Series 2013-2A, Cl. C, 4.35%, 1/15/193 | | | 2,090,000 | | | | 2,108,876 | |
First Investors Auto Owner Trust 2012-1A, Automobile Receivables Nts., Series 2012-1A, Cl. D, 5.65%, 4/15/183 | | | 960,000 | | | | 1,010,828 | |
Ford Credit Floorplan Master Owner Trust A, Automobile Receivable Nts., Series 2013-3, Cl. D, 1.74%, 6/15/17 | | | 835,000 | | | | 836,680 | |
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 | | | | 5,417,023 | |
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/1/314 | | | 588,296 | | | | 93,457 | |
Halcyon Structured Asset Management European CLO, Deferrable Sec. Nts.: | | | | | | | | |
Series 2006-IIX, Cl. E, 4.19%, 1/25/232 | | | 4,625,000 | EUR | | | 5,405,365 | |
Series 2007-IX, Cl. E, 4.134%, 7/24/232 | | | 2,351,729 | EUR | | | 2,825,635 | |
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | | | | | | | | |
Series 2007-1A, Cl. B, 2.096%, 8/15/221,2 | | | 21,000,000 | | | | 18,375,000 | |
Series 2007-1A, Cl. C, 3.396%, 8/15/221,2 | | | 17,780,000 | | | | 15,379,700 | |
Series 2007-1A, Cl. D, 5.396%, 8/15/221,2 | | | 17,780,000 | | | | 15,379,700 | |
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 2.623%, 3/24/141,2,4 | | | 4,623,044 | | | | 462 | |
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173 | | | 7,582 | | | | 7,589 | |
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 3.87%, 2/15/18 | | | 1,955,000 | | | | 2,017,126 | |
Santander Drive Auto Receivables Trust 2012-3, Automobile Receivables Nts.: | | | | | | | | |
Series 2012-3, Cl. C, 3.01%, 4/16/18 | | | 20,920,000 | | | | 21,483,658 | |
Series 2012-3, Cl. D, 3.64%, 5/15/18 | | | 27,525,000 | | | | 28,102,378 | |
Santander Drive Auto Receivables Trust 2012-4, Automobile Receivables Nts., Series 2012-4, Cl. D, 3.50%, 6/15/18 | | | 12,490,000 | | | | 12,773,660 | |
Santander Drive Auto Receivables Trust 2012-5, Automobile Receivables Nts.: | | | | | | | | |
Series 2012-5, Cl. C, 2.70%, 8/15/18 | | | 7,820,000 | | | | 7,874,126 | |
Series 2012-5, Cl. D, 3.30%, 9/17/18 | | | 11,210,000 | | | | 11,414,252 | |
Santander Drive Auto Receivables Trust 2012-6, Automobile Receivables Nts., Series 2012-6, Cl. D, 2.52%, 9/17/18 | | | 5,065,000 | | | | 5,011,415 | |
Santander Drive Auto Receivables Trust 2012-AA, Automobile Receivables Nts., Series 2012-AA, Cl. D, 2.46%, 12/17/183 | | | 2,990,000 | | | | 2,937,336 | |
Santander Drive Auto Receivables Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.27%, 1/15/19 | | | 3,255,000 | | | | 3,184,552 | |
Santander Drive Auto Receivables Trust 2013-2, Automobile Receivables Nts., Series 2013-2, Cl. D, 2.57%, 3/15/19 | | | 3,740,000 | | | | 3,658,472 | |
Santander Drive Auto Receivables Trust 2013-3, Automobile Receivables Nts., Series 2013-3, Cl. D, 2.42%, 4/15/19 | | | 3,315,000 | | | | 3,180,898 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 15 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Asset-Backed Securities Continued | | | | | | | | |
Santander Drive Auto Receivables Trust 2013-4, Automobile Receivables Nts., Series 2013-4, Cl. D, 3.92%, 1/15/20 | | $ | 5,805,000 | | | $ | 5,880,474 | |
Santander Drive Auto Receivables Trust 2013-A, Automobile Receivables Nts., Series 2013-A, Cl. C, 3.12%, 10/15/193 | | | 1,300,000 | | | | 1,337,825 | |
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.654%, 6/15/392 | | | 5,365,591 | | | | 4,196,268 | |
SNAAC Auto Receivables Trust, Automobile Receivable Nts.: | | | | | | | | |
Series 2012-1A, Cl. B, 3.11%, 6/15/173 | | | 1,875,000 | | | | 1,891,885 | |
Series 2012-1A, Cl. C, 4.38%, 6/15/173 | | | 2,135,000 | | | | 2,185,400 | |
Series 2013-1A, Cl. B, 2.09%, 7/16/18 | | | 710,000 | | | | 707,286 | |
Series 2013-1A, Cl. C, 3.07%, 8/15/18 | | | 790,000 | | | | 784,988 | |
Theseus European CLO SA, Asset-Backed Securities, Series 2006-1X, Cl. E, 4.343%, 8/27/222 | | | 5,005,000 | EUR | | | 6,349,618 | |
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: | | | | | | | | |
Series 2012-1, Cl. B, 1.87%, 9/15/15 | | | 1,195,000 | | | | 1,194,742 | |
Series 2012-1, Cl. C, 2.52%, 3/15/16 | | | 9,500,000 | | | | 9,494,780 | |
Series 2012-1, Cl. D, 3.12%, 3/15/18 | | | 6,035,000 | | | | 6,031,473 | |
United Auto Credit Securitization Trust 2013-1, Automobile Receivables Nts.: | | | | | | | | |
Series 2013-1, Cl. B, 1.74%, 4/15/163 | | | 1,260,000 | | | | 1,258,019 | |
Series 2013-1, Cl. C, 2.22%, 12/15/173 | | | 805,000 | | | | 803,363 | |
Series 2013-1, Cl. D, 2.90%, 12/15/173 | | | 1,555,000 | | |
| 1,551,847
|
|
Total Asset-Backed Securities (Cost $350,992,973) | | | | | | | 346,652,985 | |
Corporate Loans—1.8% | | | | | | | | |
Affinion Group, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 6.50%, 10/9/162,5 | | | 4,695,201 | | | | 4,564,618 | |
Atlas Energy LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 6.50%, 7/31/192 | | | 3,630,000 | | | | 3,666,301 | |
Autoparts Holdings Ltd., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.50%, 7/29/172 | | | 3,659,732 | | | | 3,599,120 | |
BJ’S Wholesale Club, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 3/26/202 | | | 4,595,000 | | | | 4,683,072 | |
Blue Coat Systems, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.50%, 6/28/202 | | | 3,105,000 | | | | 3,128,288 | |
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 3/16/182 | | | 2,915,000 | | �� | | 2,961,153 | |
Caesars Entertainment Operating Co., Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B6, 5.429%, 1/28/182,5 | | | 9,040,581 | | | | 8,212,807 | |
Catalent Pharma Solutions, Inc., Sr. Sec. Credit Facilities Term Loan, 6.50%, 12/31/172 | | | 4,460,000 | | | | 4,476,725 | |
Clear Channel Capital I LLC, Extended Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche D, 6.929% , 1/30/192,5 | | | 13,824,571 | | | | 12,805,009 | |
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.829%, 1/29/162,5 | | | 3,701,281 | | | | 3,500,024 | |
| | |
16 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Corporate Loans Continued | | | | | | | | |
Deltek, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 10/10/192 | | $ | 6,985,000 | | | $ | 7,049,032 | |
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.64%, 10/19/152,6 | | | 22,053,707 | | | | 12,791,150 | |
Hallertau SPC, Sr. Sec. Credit Facilities Term Loan, 7.94%, 8/15/147 | | | 32,556,250 | | | | 15,236,325 | |
iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 7%, 3/19/172,5 | | | 3,722,903 | | | | 3,834,590 | |
JG Wentworth, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 9%, 2/8/192 | | | 1,359,065 | | | | 1,370,108 | |
Lonestar Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 11%, 9/2/192 | | | 5,735,000 | | | | 6,007,413 | |
NFR Energy LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.75%, 12/31/182 | | | 4,235,000 | | | | 4,256,175 | |
NTELOS, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 5.75%, 11/9/192 | | | 4,351,050 | | | | 4,314,247 | |
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.50%, 2/28/192 | | | 8,165,000 | | | | 8,141,183 | |
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 6/11/182 | | | 6,975,000 | | | | 7,036,031 | |
Quicksilver Resources, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7%, 6/21/192 | | | 10,660,000 | | | | 10,273,575 | |
Revel Entertainment, Inc., Sr. Sec. Credit Facilities 1st Lien Exit Term Loan, 13.775%, 5/20/182,6 | | | 4,771,936 | | | | 4,533,339 | |
TWCC Holding Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7%, 6/26/202 | | | 8,280,000 | | | | 8,518,050 | |
| | | | | |
|
|
|
Total Corporate Loans (Cost $142,377,895) | | | | | | | 144,958,335 | |
Mortgage-Backed Obligations—25.5% | | | | | | | | |
Government Agency—7.6% | | | | | | | | |
FHLMC/FNMA/FHLB/Sponsored—7.4% | | | | | | | | |
Federal Home Loan Mortgage Corp.: | | | | | | | | |
5%, 12/1/34 | | | 1,059,404 | | | | 1,150,438 | |
5.50%, 9/1/39 | | | 3,372,559 | | | | 3,693,247 | |
6%, 1/15/19-7/1/24 | | | 2,699,523 | | | | 2,932,375 | |
6.50%, 4/1/18-6/15/35 | | | 1,904,408 | | | | 2,088,562 | |
7%, 8/15/21-3/1/35 | | | 2,059,528 | | | | 2,350,956 | |
7.50%, 1/1/32-2/1/32 | | | 2,789,442 | | | | 3,280,462 | |
8.50%, 8/15/31 | | | 163,619 | | | | 196,066 | |
10%, 5/15/20 | | | 92,923 | | | | 104,711 | |
10.50%, 6/14/20 | | | 47,169 | | | | 54,855 | |
11.50%, 11/14/16 | | | 3,969 | | | | 4,056 | |
12%, 7/15/15-6/15/17 | | | 14,615 | | | | 14,941 | |
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | | | | | | | | |
Series 1360, Cl. PZ, 7.50%, 9/15/22 | | | 2,419,692 | | | | 2,750,778 | |
Series 151, Cl. F, 9%, 5/15/21 | | | 4,422 | | | | 4,936 | |
Series 1590, Cl. IA, 1.232%, 10/15/232 | | | 1,976,161 | | | | 2,013,636 | |
Series 1674, Cl. Z, 6.75%, 2/15/24 | | | 99,949 | | | | 112,815 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 17 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | 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 2034, Cl. Z, 6.50%, 2/15/28 | | $ | 17,990 | | | $ | 20,328 | |
Series 2042, Cl. N, 6.50%, 3/15/28 | | | 21,647 | | | | 24,582 | |
Series 2043, Cl. ZP, 6.50%, 4/15/28 | | | 1,907,960 | | | | 2,178,059 | |
Series 2053, Cl. Z, 6.50%, 4/15/28 | | | 18,341 | | | | 20,726 | |
Series 2116, Cl. ZA, 6%, 1/15/29 | | | 1,078,368 | | | | 1,208,611 | |
Series 2122, Cl. F, 0.632%, 2/15/292 | | | 45,959 | | | | 46,158 | |
Series 2279, Cl. PK, 6.50%, 1/15/31 | | | 28,887 | | | | 32,495 | |
Series 2326, Cl. ZP, 6.50%, 6/15/31 | | | 260,531 | | | | 297,078 | |
Series 2344, Cl. FP, 1.132%, 8/15/312 | | | 672,352 | | | | 686,200 | |
Series 2368, Cl. PR, 6.50%, 10/15/31 | | | 39,200 | | | | 44,722 | |
Series 2368, Cl. TG, 6%, 10/15/16 | | | 144,372 | | | | 150,727 | |
Series 2401, Cl. FA, 0.832%, 7/15/292 | | | 88,266 | | | | 89,051 | |
Series 2412, Cl. GF, 1.132%, 2/15/322 | | | 1,110,603 | | | | 1,133,496 | |
Series 2427, Cl. ZM, 6.50%, 3/1/32 | | | 1,208,259 | | | | 1,364,104 | |
Series 2451, Cl. FD, 1.182%, 3/15/322 | | | 445,269 | | | | 455,148 | |
Series 2453, Cl. BD, 6%, 5/15/17 | | | 41,074 | | | | 43,502 | |
Series 2461, Cl. PZ, 6.50%, 6/1/32 | | | 173,792 | | | | 197,866 | |
Series 2464, Cl. FI, 1.182%, 2/15/322 | | | 394,602 | | | | 402,666 | |
Series 2470, Cl. AF, 1.182%, 3/15/322 | | | 718,400 | | | | 734,340 | |
Series 2470, Cl. LF, 1.182%, 2/15/322 | | | 403,567 | | | | 411,815 | |
Series 2471, Cl. FD, 1.182%, 3/15/322 | | | 592,166 | | | | 604,315 | |
Series 2475, Cl. FB, 1.182%, 2/15/322 | | | 552,710 | | | | 564,006 | |
Series 2500, Cl. FD, 0.682%, 3/15/322 | | | 218,762 | | | | 220,083 | |
Series 2517, Cl. GF, 1.182%, 2/15/322 | | | 333,678 | | | | 340,497 | |
Series 2526, Cl. FE, 0.582%, 6/15/292 | | | 230,499 | | | | 230,970 | |
Series 2551, Cl. FD, 0.582%, 1/15/332 | | | 148,121 | | | | 148,452 | |
Series 2551, Cl. LF, 0.682%, 1/15/332 | | | 54,761 | | | | 55,128 | |
Series 2668, Cl. AZ, 4%, 9/1/18 | | | 292,508 | | | | 306,458 | |
Series 2676, Cl. KY, 5%, 9/15/23 | | | 1,174,039 | | | | 1,287,788 | |
Series 2707, Cl. QE, 4.50%, 11/1/18 | | | 525,744 | | | | 554,598 | |
Series 2936, Cl. PE, 5%, 2/1/35 | | | 2,807,000 | | | | 3,066,356 | |
Series 3025, Cl. SJ, 24.082%, 8/15/352 | | | 870,040 | | | | 1,363,186 | |
Series 3465, Cl. HA, 4%, 7/1/17 | | | 128,902 | | | | 131,509 | |
Series 3617, Cl. DC, 4%, 7/1/27 | | | 370,991 | | | | 378,103 | |
Series 3822, Cl. JA, 5%, 6/1/40 | | | 1,424,450 | | | | 1,509,503 | |
Series 3848, Cl. WL, 4%, 4/1/40 | | | 1,733,529 | | | | 1,851,827 | |
Series 3917, Cl. BA, 4%, 6/1/38 | | | 1,520,510 | | | | 1,587,526 | |
Series 4221, Cl. HJ, 1.50%, 7/1/23 | | | 1,244,970 | | | | 1,238,021 | |
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Series 183, Cl. IO, 14.314%, 4/1/278 | | | 302,314 | | | | 45,332 | |
Series 192, Cl. IO, 11.799%, 2/1/288 | | | 123,222 | | | | 25,911 | |
Series 2035, Cl. PE, 3.477%, 3/15/288 | | | 37,944 | | | | 5,776 | |
Series 2049, Cl. PL, 25.957%, 4/15/288 | | | 228,101 | | | | 34,923 | |
Series 205, Cl. IO, 14.267%, 9/1/298 | | | 783,334 | | | | 119,091 | |
Series 206, Cl. IO, 0%, 12/1/298,9 | | | 274,649 | | | | 41,001 | |
Series 207, Cl. IO, 0%, 4/1/308,9 | | | 281,395 | | | | 42,827 | |
Series 2074, Cl. S, 54.543%, 7/17/288 | | | 195,238 | | | | 40,655 | |
Series 2079, Cl. S, 69.925%, 7/17/288 | | | 351,813 | | | | 74,193 | |
Series 214, Cl. IO, 0%, 6/1/318,9 | | | 228,011 | | | | 49,797 | |
Series 2177, Cl. SB, 99.999%, 8/15/298 | | | 215,467 | | | | 50,312 | |
Series 243, Cl. 6, 0%, 12/15/328,9 | | | 742,158 | | | | 154,458 | |
| | |
18 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
FHLMC/FNMA/FHLB/Sponsored Continued | | | | | | | | |
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued | | | | | | | | |
Series 2526, Cl. SE, 32.937%, 6/15/298 | | $ | 416,512 | | | $ | 85,790 | |
Series 2795, Cl. SH, 16.851%, 3/15/248 | | | 3,046,236 | | | | 417,610 | |
Series 2802, Cl. AS, 0%, 4/15/338,9 | | | 190,604 | | | | 6,097 | |
Series 2920, Cl. S, 52.383%, 1/15/358 | | | 2,624,325 | | | | 516,028 | |
Series 2922, Cl. SE, 8.66%, 2/15/358 | | | 173,766 | | | | 30,510 | |
Series 3004, Cl. SB, 99.999%, 7/15/358 | | | 4,392,867 | | | | 799,218 | |
Series 3201, Cl. SG, 8.508%, 8/15/368 | | | 1,190,912 | | | | 222,711 | |
Series 3397, Cl. GS, 12.898%, 12/15/378 | | | 923,966 | | | | 156,642 | |
Series 3424, Cl. EI, 0%, 4/15/388,9 | | | 687,972 | | | | 91,416 | |
Series 3450, Cl. BI, 12.953%, 5/15/388 | | | 1,352,197 | | | | 244,399 | |
Series 3606, Cl. SN, 6.305%, 12/15/398 | | | 696,418 | | | | 90,073 | |
Series 3659, Cl. IE, 0%, 3/1/198,9 | | | 2,360,551 | | | | 182,304 | |
Series 3685, Cl. EI, 0%, 3/1/198,9 | | | 1,939,369 | | | | 133,973 | |
Federal Home Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22 | | | 3,193,526 | | | | 3,226,884 | |
Federal National Mortgage Assn.: 2.50%, 10/1/285 | | | 22,325,000 | | | | 22,457,555 | |
2.66%, 10/1/362 | | | 8,012,611 | | | | 8,508,320 | |
3.50%, 10/1/43-11/1/435 | | | 131,255,000 | | | | 133,595,679 | |
4.50%, 12/1/20 | | | 1,340,702 | | | | 1,427,445 | |
4.50%, 10/1/28-10/1/435 | | | 92,577,000 | | | | 98,852,623 | |
5%, 2/25/18-12/25/21 | | | 8,532,128 | | | | 9,099,215 | |
5%, 10/1/435 | | | 11,033,000 | | | | 11,965,636 | |
5.50%, 1/25/22-5/1/36 | | | 1,554,832 | | | | 1,690,751 | |
6%, 6/25/17-1/25/19 | | | 74,367 | | | | 78,912 | |
6%, 10/1/435 | | | 4,060,000 | | | | 4,441,260 | |
6.50%, 4/25/18-1/1/34 | | | 6,679,091 | | | | 7,509,046 | |
7%, 11/1/17-4/1/34 | | | 10,480,766 | | | | 12,049,562 | |
7.50%, 2/1/27-3/25/33 | | | 4,630,163 | | | | 5,436,693 | |
8.50%, 7/1/32 | | | 26,755 | | | | 31,219 | |
9.50%, 4/8/21 | | | 15,806 | | | | 15,913 | |
11%, 7/1/16-2/25/26 | | | 155,552 | | | | 176,970 | |
13%, 6/25/15 | | | 9,204 | | | | 9,425 | |
Federal National Mortgage Assn. Grantor Trust, Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Trust 2001-T10, Cl. IO, 0%, 12/25/418,9 | | | 62,375,114 | | | | 816,995 | |
Trust 2001-T3, Cl. IO, 53.072%, 11/25/408 | | | 8,971,310 | | | | 160,060 | |
Federal National Mortgage Assn., 15 yr.: | | | | | | | | |
3%, 10/1/285 | | | 13,130,000 | | | | 13,597,756 | |
3.50%, 11/1/285 | | | 80,975,000 | | | | 85,188,226 | |
4%, 10/1/285 | | | 7,710,000 | | | | 8,182,238 | |
Federal National Mortgage Assn., 30 yr., 4%, 10/1/435 | | | 49,340,000 | | | | 51,768,451 | |
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | | | | | | | | |
Trust 1996-35, Cl. Z, 7%, 7/25/26 | | | 107,056 | | | | 122,320 | |
Trust 1997-45, Cl. CD, 8%, 7/18/27 | | | 868,032 | | | | 1,021,518 | |
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | | | 574,576 | | | | 652,438 | |
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 | | | 29,451 | | | | 33,264 | |
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | | | 1,101,316 | | | | 1,234,912 | |
Trust 2001-19, Cl. Z, 6%, 5/1/31 | | | 500,062 | | | | 554,418 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 19 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
FHLMC/FNMA/FHLB/Sponsored Continued | | | | | | | | |
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | | | | | | | | |
Trust 2001-44, Cl. QC, 6%, 9/25/16 | | $ | 84,277 | | | $ | 88,353 | |
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | | | 170,250 | | | | 190,042 | |
Trust 2001-65, Cl. F, 0.779%, 11/25/312 | | | 744,790 | | | | 745,851 | |
Trust 2001-69, Cl. PF, 1.179%, 12/25/312 | | | 914,747 | | | | 933,456 | |
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | | | 1,065,020 | | | | 1,178,645 | |
Trust 2002-12, Cl. PG, 6%, 3/25/17 | | | 500,534 | | | | 527,673 | |
Trust 2002-19, Cl. PE, 6%, 4/25/17 | | | 248,559 | | | | 260,428 | |
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 | | | 1,035,182 | | | | 1,138,950 | |
Trust 2002-29, Cl. F, 1.179%, 4/25/322 | | | 420,262 | | | | 429,006 | |
Trust 2002-60, Cl. FH, 1.179%, 8/25/322 | | | 802,972 | | | | 819,804 | |
Trust 2002-64, Cl. FJ, 1.179%, 4/25/322 | | | 129,171 | | | | 131,859 | |
Trust 2002-68, Cl. FH, 0.684%, 10/18/322 | | | 262,301 | | | | 263,979 | |
Trust 2002-81, Cl. FM, 0.679%, 12/25/322 | | | 527,300 | | | | 530,758 | |
Trust 2002-84, Cl. FB, 1.179%, 12/25/322 | | | 87,585 | | | | 89,407 | |
Trust 2002-9, Cl. PC, 6%, 3/25/17 | | | 554,550 | | | | 584,329 | |
Trust 2003-11, Cl. FA, 1.179%, 9/25/322 | | | 119,519 | | | | 122,006 | |
Trust 2003-112, Cl. AN, 4%, 11/1/18 | | | 559,701 | | | | 586,908 | |
Trust 2003-116, Cl. FA, 0.579%, 11/25/332 | | | 265,330 | | | | 265,663 | |
Trust 2003-119, Cl. FK, 0.679%, 5/25/182 | | | 3,264,896 | | | | 3,276,233 | |
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | | | 3,848,356 | | | | 4,221,271 | |
Trust 2004-101, Cl. BG, 5%, 1/25/20 | | | 1,829,544 | | | | 1,914,068 | |
Trust 2004-25, Cl. PC, 5.50%, 1/1/34 | | | 292,063 | | | | 314,209 | |
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | | | 2,865,000 | | | | 3,258,279 | |
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | | | 131,164 | | | | 131,773 | |
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | | | 2,451,973 | | | | 2,656,365 | |
Trust 2006-11, Cl. PS, 23.911%, 3/25/362 | | | 828,156 | | | | 1,285,461 | |
Trust 2006-46, Cl. SW, 23.543%, 6/25/362 | | | 1,269,033 | | | | 1,986,750 | |
Trust 2007-109, Cl. NF, 0.729%, 12/25/372 | | | 2,669,448 | | | | 2,685,777 | |
Trust 2008-14, Cl. BA, 4.25%, 3/1/23 | | | 296,841 | | | | 312,857 | |
Trust 2009-114, Cl. AC, 2.50%, 12/1/23 | | | 553,446 | | | | 561,907 | |
Trust 2009-36, Cl. FA, 1.119%, 6/25/372 | | | 1,347,882 | | | | 1,360,870 | |
Trust 2009-70, Cl. TL, 4%, 8/1/19 | | | 2,380,900 | | | | 2,490,137 | |
Trust 2011-122, Cl. EA, 3%, 11/1/29 | | | 1,277,590 | | | | 1,312,036 | |
Trust 2011-122, Cl. EC, 1.50%, 1/1/20 | | | 1,789,032 | | | | 1,781,130 | |
Trust 2011-15, Cl. DA, 4%, 3/1/41 | | | 1,242,418 | | | | 1,314,936 | |
Trust 2011-3, Cl. KA, 5%, 4/1/40 | | | 2,054,481 | | | | 2,253,011 | |
Trust 2011-6, Cl. BA, 2.75%, 6/1/20 | | | 1,447,229 | | | | 1,479,467 | |
Trust 2011-88, Cl. AB, 2.50%, 9/1/26 | | | 936,440 | | | | 952,996 | |
Trust 2012-20, Cl. FD, 0.579%, 3/25/422 | | | 5,197,217 | | | | 5,190,938 | |
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Trust 2001-61, Cl. SH, 25.886%, 11/18/318 | | | 845,387 | | | | 149,626 | |
Trust 2001-63, Cl. SD, 18.68%, 12/18/318 | | | 26,188 | | | | 5,119 | |
Trust 2001-68, Cl. SC, 10.593%, 11/25/318 | | | 16,550 | | | | 3,274 | |
Trust 2001-81, Cl. S, 24.694%, 1/25/328 | | | 230,859 | | | | 47,750 | |
Trust 2002-28, Cl. SA, 34.704%, 4/25/328 | | | 206,047 | | | | 39,770 | |
Trust 2002-38, Cl. SO, 43.571%, 4/25/328 | | | 220,994 | | | | 39,349 | |
Trust 2002-39, Cl. SD, 35.756%, 3/18/328 | | | 343,833 | | | | 69,088 | |
Trust 2002-48, Cl. S, 30.176%, 7/25/328 | | | 308,606 | | | | 61,054 | |
Trust 2002-52, Cl. SL, 31.934%, 9/25/328 | | | 196,429 | | | | 37,170 | |
Trust 2002-53, Cl. SK, 34.584%, 4/25/328 | | | 214,329 | | | | 45,236 | |
Trust 2002-56, Cl. SN, 31.751%, 7/25/328 | | | 423,238 | | | | 83,820 | |
Trust 2002-65, Cl. SC, 57.288%, 6/25/268 | | | 725,077 | | | | 138,483 | |
| | |
20 | | 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 2002-77, Cl. IS, 39.48%, 12/18/328 | | $ | 376,506 | | | $ | 76,759 | |
Trust 2002-77, Cl. SH, 36.047%, 12/18/328 | | | 339,487 | | | | 70,383 | |
Trust 2002-89, Cl. S, 47.479%, 1/25/338 | | | 2,215,096 | | | | 474,758 | |
Trust 2002-9, Cl. MS, 26.835%, 3/25/328 | | | 341,650 | | | | 70,174 | |
Trust 2003-13, Cl. IO, 11.429%, 3/25/338 | | | 1,650,725 | | | | 380,834 | |
Trust 2003-23, Cl. ES, 0%, 10/25/228,9 | | | 1,154,196 | | | | 31,652 | |
Trust 2003-26, Cl. DI, 11.808%, 4/25/338 | | | 1,052,874 | | | | 209,041 | |
Trust 2003-26, Cl. IK, 14.637%, 4/25/338 | | | 184,513 | | | | 36,634 | |
Trust 2003-33, Cl. SP, 31.146%, 5/25/338 | | | 1,025,207 | | | | 185,409 | |
Trust 2003-4, Cl. S, 29.399%, 2/25/338 | | | 533,989 | | | | 104,331 | |
Trust 2003-46, Cl. IH, 0%, 6/1/238,9 | | | 188,699 | | | | 25,265 | |
Trust 2004-56, Cl. SE, 13.122%, 10/25/338 | | | 1,156,665 | | | | 195,042 | |
Trust 2005-12, Cl. SC, 11.219%, 3/25/358 | | | 86,839 | | | | 18,626 | |
Trust 2005-14, Cl. SE, 35.407%, 3/25/358 | | | 636,858 | | | | 107,636 | |
Trust 2005-40, Cl. SA, 51.885%, 5/25/358 | | | 3,851,450 | | | | 668,471 | |
Trust 2005-40, Cl. SB, 50.091%, 5/25/358 | | | 1,638,944 | | | | 284,711 | |
Trust 2005-52, Cl. JH, 11.244%, 5/25/358 | | | 1,826,470 | | | | 334,266 | |
Trust 2006-90, Cl. SX, 99.999%, 9/25/368 | | | 3,839,640 | | | | 705,985 | |
Trust 2007-88, Cl. XI, 29.129%, 6/25/378 | | | 8,677,797 | | | | 1,160,725 | |
Trust 2008-55, Cl. SA, 1.614%, 7/25/388 | | | 706,844 | | | | 107,780 | |
Trust 2009-8, Cl. BS, 2.37%, 2/25/248 | | | 1,269,064 | | | | 115,185 | |
Trust 2010-95, Cl. DI, 0%, 11/1/208,9 | | | 3,034,617 | | | | 247,323 | |
Trust 2012-40, Cl. PI, 3.821%, 4/1/418 | | | 6,268,902 | | | | 1,179,968 | |
Trust 221, Cl. 2, 43.994%, 5/1/238 | | | 345,457 | | | | 51,534 | |
Trust 247, Cl. 2, 27.108%, 10/1/238 | | | 148,343 | | | | 22,930 | |
Trust 252, Cl. 2, 31.953%, 11/1/238 | | | 40,207 | | | | 6,126 | |
Trust 254, Cl. 2, 16.011%, 1/1/248 | | | 113,659 | | | | 17,145 | |
Trust 2682, Cl. TQ, 99.999%, 10/15/338 | | | 1,589,929 | | | | 279,841 | |
Trust 2981, Cl. BS, 99.999%, 5/15/358 | | | 2,846,484 | | | | 461,903 | |
Trust 301, Cl. 2, 2.696%, 4/1/298 | | | 388,303 | | | | 82,902 | |
Trust 303, Cl. IO, 34.238%, 11/1/298 | | | 330,226 | | | | 50,006 | |
Trust 313, Cl. 2, 6.366%, 6/1/318 | | | 3,020,042 | | | | 822,020 | |
Trust 319, Cl. 2, 5.379%, 2/1/328 | | | 1,035,566 | | | | 274,412 | |
Trust 321, Cl. 2, 7.568%, 4/1/328 | | | 1,839,750 | | | | 482,715 | |
Trust 324, Cl. 2, 0%, 7/1/328,9 | | | 771,162 | | | | 202,003 | |
Trust 328, Cl. 2, 0%, 12/1/328,9 | | | 740,734 | | | | 148,356 | |
Trust 331, Cl. 5, 40.187%, 2/1/338 | | | 1,592,498 | | | | 306,963 | |
Trust 332, Cl. 2, 0%, 3/1/338,9 | | | 3,270,571 | | | | 533,060 | |
Trust 334, Cl. 10, 0%, 2/1/338,9 | | | 1,362,235 | | | | 254,277 | |
Trust 334, Cl. 12, 0%, 3/1/338,9 | | | 1,952,026 | | | | 365,016 | |
Trust 339, Cl. 7, 0%, 8/1/338,9 | | | 4,121,678 | | | | 669,185 | |
Trust 345, Cl. 9, 0%, 1/1/348,9 | | | 1,035,918 | | | | 177,862 | |
Trust 351, Cl. 10, 0%, 4/1/348,9 | | | 528,835 | | | | 84,170 | |
Trust 351, Cl. 8, 0%, 4/1/348,9 | | | 898,999 | | | | 142,984 | |
Trust 356, Cl. 10, 0%, 6/1/358,9 | | | 673,657 | | | | 108,776 | |
Trust 356, Cl. 12, 0%, 2/1/358,9 | | | 326,510 | | | | 52,689 | |
Trust 362, Cl. 13, 0%, 8/1/358,9 | | | 47,060 | | | | 8,002 | |
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Series 1992-2, Cl. IO, 2.63%, 9/15/228 | | | 6,283,920 | | | | 103,740 | |
Series 1995-2B, Cl. 2IO, 18.532%, 6/1/258 | | | 519,652 | | | | 13,568 | |
Series 1995-3, Cl. 1IO, 4.737%, 9/15/258 | | | 15,829,391 | | | | 85,237 | |
| | | | | |
|
|
|
| | | | | | | 596,245,292 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 21 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
GNMA/Guaranteed—0.2% | | | | | | | | |
Government National Mortgage Assn.: | | | | | | | | |
1.75%, 7/1/272 | | $ | 4,543 | | | $ | 4,728 | |
5%, 11/1/34 | | | 176,560 | | | | 180,291 | |
7%, 1/1/28-1/1/30 | | | 881,039 | | | | 975,539 | |
8%, 1/29/28-9/29/28 | | | 451,736 | | | | 490,353 | |
11%, 10/1/19 | | | 2,995 | | | | 3,143 | |
12%, 9/1/15 | | | 5,515 | | | | 5,739 | |
12.50%, 12/29/13-11/29/15 | | | 24,512 | | | | 25,507 | |
13%, 10/30/15 | | | 98,143 | | | | 101,942 | |
13.50%, 6/30/15 | | | 97,474 | | | | 101,090 | |
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | | | | | | | | |
Series 1999-32, Cl. ZB, 8%, 9/1/29 | | | 3,864,126 | | | | 4,579,354 | |
Series 2000-12, Cl. ZA, 8%, 2/16/30 | | | 1,992,965 | | | | 2,349,175 | |
Series 2000-7, Cl. Z, 8%, 1/16/30 | | | 1,667,348 | | | | 1,951,294 | |
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Series 1998-6, Cl. SA, 55.387%, 3/16/288 | | | 461,770 | | | | 97,160 | |
Series 2007-17, Cl. AI, 16.867%, 4/16/378 | | | 2,123,554 | | | | 402,441 | |
Series 2011-52, Cl. HS, 8.867%, 4/16/418 | | | 3,809,700 | | | | 956,684 | |
| | | | | |
|
|
|
| | | | | | | 12,224,440 | |
Non-Agency—17.9% | | | | | | | | |
Commercial—13.3% | | | | | | | | |
Banc of America Commercial Mortgage Trust 2006-1, Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AJ, 5.46%, 9/1/45 | | | 6,000,000 | | | | 6,358,191 | |
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.055%, 7/10/442 | | | 24,665,000 | | | | 25,429,196 | |
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 | | | | 15,960,403 | |
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 | | | | 29,506,611 | |
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2007-3, Cl. AM, 5.857%, 6/1/492 | | | 14,315,000 | | | | 15,851,930 | |
Series 2008-1, Cl. AM, 6.438%, 2/10/512 | | | 8,165,000 | | | | 8,896,735 | |
BCAP LLC Trust, Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2012-RR6, Cl. 1A5, 2.366%, 11/1/362,3 | | | 720,276 | | | | 727,810 | |
Series 2012-RR2, Cl. 6A3, 2.444%, 9/1/352,3 | | | 2,302,076 | | | | 2,344,498 | |
Series 2012-RR2, Cl. 5A2, 2.708%, 3/1/362,3 | | | 11,914,864 | | | | 9,507,466 | |
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.201%, 6/1/472 | | | 13,447,306 | | | | 11,809,653 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates, Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 | | | 29,405,000 | | | | 29,543,880 | |
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AJ, 6.082%, 6/1/502 | | | 27,600,000 | | | | 26,235,953 | |
| | |
22 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Continued | | | | | | | | |
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 | | | $ | 8,545,128 | |
Bear Stearns Commercial Mortgage Securities Trust 2007-T26, Commercial Mtg. Pass-Through Certificates, Series 2007-T26, Cl. AJ, 5.566%, 1/1/452 | | | 19,735,000 | | | | 19,063,369 | |
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/241,8,9 | | | 642,932 | | | | 30,603 | |
CD 2007-CD5 Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD5, Cl. AM, 6.323%, 11/1/442 | | | 9,071,000 | | | | 10,243,708 | |
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | | | 5,385,581 | | | | 5,381,337 | |
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 4.517%, 12/20/352 | | | 331,878 | | | | 275,400 | |
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | | | 18,991,702 | | | | 15,706,156 | |
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.336%, 12/1/492 | | | 21,955,000 | | | | 24,165,792 | |
Citigroup Commercial Mortgage Trust 2013-GC11, Commercial Mtg. Pass-Through Certificates, Series 2013-GC11, Cl. D, 4.607%, 4/1/232,3 | | | 11,050,000 | | | | 9,366,908 | |
Citigroup Mortgage Loan Trust, Inc. 2012-8, Mtg. Pass-Through Certificates, Series 2012-8, Cl. 1A1, 2.674%, 10/1/352,3 | | | 3,635,397 | | | | 3,653,760 | |
Citigroup Mortgage Loan Trust, Inc., Re-Securitized Mtg.-Backed Certificates, Series 2009-8, Cl. 7A2, 2.642%, 3/25/362,3 | | | 30,000,000 | | | | 25,503,199 | |
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2013-CR6, Cl. D, 4.316%, 3/1/462 | | | 5,435,000 | | | | 4,557,503 | |
Series 2013-CR9, Cl. D, 4.403%, 7/10/452 | | | 7,315,000 | | | | 6,132,801 | |
Series 2012-CR5, Cl. E, 4.48%, 12/1/452 | | | 6,185,000 | | | | 5,348,810 | |
Series 2013-CR7, Cl. D, 4.501%, 3/1/462,3 | | | 8,470,000 | | | | 7,076,821 | |
Series 2012-CR4, Cl. D, 4.731%, 10/1/452,3 | | | 8,760,000 | | | | 7,709,623 | |
Series 2013-LC13, Cl. C, 5.049%, 8/1/462 | | | 3,766,000 | | | | 3,769,531 | |
Series 2013-LC13, Cl. D, 5.049%, 8/1/462 | | | 7,534,000 | | | | 6,632,867 | |
Countrywide Alternative Loan Trust 2006-J2, Mtg. Pass-Through Certificates, Series 2006-J2, Cl. A7, 6%, 4/1/36 | | | 1,010,856 | | | | 867,042 | |
Credit Suisse First Boston Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C6, Cl. AJ, 5.23%, 12/1/40 | | | 2,150,000 | | | | 2,287,047 | |
CSMC Mortgage-Backed Trust 2006-C1, Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.567%, 2/1/392 | | | 20,170,000 | | | | 21,770,237 | |
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2011-LC2A, Cl. D, 5.626%, 7/1/442,3 | | | 17,345,000 | | | | 16,922,857 | |
Series 2011-LC1, Cl. E, 5.729%, 11/1/462,3 | | | 13,350,000 | | | | 12,994,189 | |
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | | | 1,634,588 | | | | 1,229,726 | |
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
Series 2012-CR5, Cl. XA, 3.858%, 12/1/458 | | | 9,908,466 | | | | 1,091,675 | |
Series 2010-C1, Cl. XPA, 5.024%, 7/1/463,8 | | | 19,016,264 | | | | 833,026 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 23 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Continued | | | | | | | | |
Deutsche Mortgage Securities, Inc., Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2013-RS1, Cl. 1A2, 0%, 6/28/471,2,5,10 | | $ | 920,000 | | | $ | 680,800 | |
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/301,2 | | | 16,011,026 | | | | 16,011,026 | |
EverBank Mortgage Loan Trust, Commercial Mtg. Pass-Through Certificates, Series 2013-1, Cl. A1, 2.25%, 4/1/43 | | | 3,324,588 | | | | 3,063,485 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA8, Mtg. Pass-Through Certificates, Series 2005-FA8, Cl. 1A6, 0.829%, 11/25/352 | | | 15,674,490 | | | | 11,919,509 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA9, Mtg. Pass-Through Certificates, Series 2005-FA9, Cl. A4A, 5.50%, 12/1/35 | | | 5,636,820 | | | | 4,996,184 | |
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/1/37 | | | 3,336,527 | | | | 2,473,221 | |
First Horizon Alternative Mortgage Securities Trust 2007-FA4, Mtg. Pass-Through Certificates, Series 2007-FA4, Cl. 1A6, 6.25%, 8/1/372 | | | 18,147,729 | | | | 15,639,768 | |
FREMF Mortgage Trust 2013-K25, Commercial Mtg. Pass-Through Certificates, Series 2013-K25, Cl. C, 3.742%, 11/1/452 | | | 10,150,000 | | | | 8,425,657 | |
FREMF Mortgage Trust 2013-K26, Commercial Mtg. Pass-Through Certificates, Series 2013-K26, Cl. C, 3.723%, 12/1/402,3 | | | 3,660,000 | | | | 3,025,521 | |
FREMF Mortgage Trust 2013-K27, Commercial Mtg. Pass-Through Certificates, Series 2013-K27, Cl. C, 3.617%, 1/1/462,3 | | | 5,710,000 | | | | 4,656,094 | |
FREMF Mortgage Trust 2013-K28, Commercial Mtg. Pass-Through Certificates, Series 2013-K28, Cl. C, 3.614%, 3/1/232,3 | | | 5,590,000 | | | | 4,560,400 | |
FREMF Mortgage Trust 2013-K29, Commercial Mtg. Pass-Through Certificates, Series 2013-K29, Cl. C, 3.601%, 5/1/462,3 | | | 7,345,000 | | | | 5,937,882 | |
FREMF Mortgage Trust 2013-K30, Commercial Mtg. Pass-Through Certificates, Series 2013-K30, Cl. C, 3.666%, 6/1/452,3 | | | 8,455,000 | | | | 6,723,720 | |
FREMF Mortgage Trust 2013-K712, Commercial Mtg. Pass-Through Certificates, Series 2013-K712, Cl. C, 3.483%, 5/1/452,3 | | | 9,410,000 | | | | 8,387,232 | |
FREMF Mortgage Trust 2013-K713, Commercial Mtg. Pass-Through Certificates, Series 2013-K713, Cl. C, 3.274%, 4/25/202,3 | | | 2,590,000 | | | | 2,203,673 | |
GE Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C4, Cl. AJ, 5.489%, 11/1/452 | | | 22,960,000 | | | | 22,245,370 | |
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 6.056%, 7/10/382 | | | 20,650,000 | | | | 20,145,572 | |
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 | | | 24,450,000 | | | | 26,692,163 | |
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 | | | 8,365,000 | | | | 8,841,516 | |
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.728%, 3/1/442,3 | | | 14,786,000 | | | | 14,487,042 | |
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | | | 1,111,057 | | | | 1,104,890 | |
| | |
24 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Continued | | | | | | | | |
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.706%, 11/1/352 | | $ | 4,308,450 | | | $ | 3,569,861 | |
JPMBB Commercial Mortgage Securities Trust 2013-C14, Commercial Mtg. Pass-Through Certificates, Series 2013-C14, Cl. D, 4.713%, 8/1/462 | | | 8,445,000 | | | | 7,237,297 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2006-LDP8, Cl. AJ, 5.48%, 5/1/452 | | | 18,145,000 | | | | 18,780,148 | |
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | | | 30,690,000 | | | | 28,097,432 | |
Series 2006-LDP7, Cl. AJ, 6.056%, 4/1/452 | | | 12,240,000 | | | | 12,281,885 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 | | | 9,868,000 | | | | 9,240,193 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.895%, 2/1/492 | | | 29,004,000 | | | | 31,143,045 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10, Commercial Mtg. Pass-Through Certificates, Series 2013-C10, Cl. D, 4.30%, 12/15/472 | | | 12,177,000 | | | | 9,993,938 | |
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.728%, 1/1/372 | | | 743,851 | | | | 633,734 | |
JPMorgan, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.613%, 7/1/362,3 | | | 19,524,091 | | | | 14,941,631 | |
LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AJ, 5.72%, 3/11/39 | | | 12,250,000 | | | | 12,241,523 | |
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 | | | | 15,989,920 | |
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.32%, 4/11/412 | | | 6,930,000 | | | | 7,797,865 | |
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241 | | | 147,553 | | | | 129,247 | |
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | | | 23,798 | | | | 4,782 | |
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.872%, 5/1/392 | | | 16,165,000 | | | | 16,413,496 | |
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AJ, 5.485%, 7/1/46 | | | 21,180,000 | | | | 20,546,644 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commercial Mtg. Pass-Through Certificates, Series 2012-C6, Cl. E, 4.82%, 11/1/452,3 | | | 8,182,000 | | | | 7,185,097 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commercial Mtg. Pass-Through Certificates, Series 2013-C7, Cl. D, 4.444%, 2/1/462 | | | 15,171,000 | | | | 12,621,885 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, Commercial Mtg. Pass-Through Certificates, Series 2013-C8, Cl. D, 4.312%, 12/1/482 | | | 7,218,000 | | | | 6,039,802 | |
Morgan Stanley Capital I Trust 2006-HQ10, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AJ, 5.39%, 11/1/41 | | | 11,525,000 | | | | 11,490,673 | |
Morgan Stanley Capital I Trust 2007-HQ11, Commercial Mtg. Pass-Through Certificates, Series 2007-HQ11, Cl. AJ, 5.51%, 2/1/44 | | | 7,485,000 | | | | 7,931,308 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 25 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Continued | | | | | | | | |
Morgan Stanley Capital I Trust 2007-IQ13, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ13, Cl. AM, 5.406%, 3/1/44 | | $ | 2,707,000 | | | $ | 2,906,299 | |
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.107%, 6/1/492 | | | 22,125,000 | | | | 23,815,007 | |
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.298%, 12/1/492 | | | 7,833,000 | | | | 8,924,771 | |
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | | | | | | | | |
Series 2012-R3, Cl. 1A, 2.366%, 11/1/362,3 | | | 3,260,586 | | | | 3,223,511 | |
Series 2012-R3, Cl. 1B, 2.366%, 11/1/361,2 | | | 13,404,719 | | | | 7,190,484 | |
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.222%, 4/25/352 | | | 229,688 | | | | 31,755 | |
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | | | 1,491,152 | | | | 1,149,013 | |
Sequoia Mortgage Trust, Mtg. Pass-Through Certificates, Series 2012-2, Cl. A2, 3.50%, 4/1/42 | | | 827,711 | | | | 833,832 | |
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.74%, 2/1/372 | | | 12,966,830 | | | | 10,771,584 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-10, Commercial Mtg. Pass-Through Certificates, Series 2004-10, Cl. 2A, 2.426%, 8/1/342 | | | 22,767,424 | | | | 21,971,133 | |
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.168%, 5/1/362 | | | 2,960,155 | | | | 2,493,801 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2, Commercial Mtg. Pass-Through Certificates, Series 2012-C2, Cl. E, 5.049%, 5/1/632,3 | | | 5,061,000 | | | | 4,409,153 | |
UBS-Barclays Commercial Mortgage Trust 2013-C5, Commercial Mtg. Pass-Through Certificates, Series 2013-C5, Cl. D, 4.232%, 3/1/462 | | | 13,830,000 | | | | 11,347,792 | |
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 | | | | 17,959,893 | |
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.915%, 5/1/432 | | | 19,685,000 | | | | 20,248,818 | |
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.204%, 4/1/472 | | | 1,617,853 | | | | 1,071,690 | |
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.701%, 11/1/342 | | | 430,517 | | | | 17,574 | |
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.611%, 2/1/352 | | | 7,573,394 | | | | 7,569,395 | |
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A6, 2.613%, 9/1/352 | | | 17,304,271 | | | | 16,216,455 | |
Wells Fargo Mortgage-Backed Securities 2006-8 Trust, Mtg. Pass-Through Certificates, Series 2006-8, Cl. A15, 6%, 7/1/36 | | | 10,024,695 | | | | 9,573,464 | |
Wells Fargo Mortgage-Backed Securities 2006-AR7 Trust, Mtg. Pass-Through Certificates, Series 2006-AR7, Cl. 2A4, 2.616%, 5/1/362 | | | 6,146,297 | | | | 5,679,405 | |
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.699%, 4/1/372 | | | 5,481,494 | | | | 5,212,922 | |
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 3.332%, 3/1/448 | | | 24,629,582 | | | | 1,758,232 | |
| | |
26 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Continued | | | | | | | | |
WFRBS Commercial Mortgage Trust 2012-C10, Commercial Mtg. Pass-Through Certificates, Series 2012-C10, Cl. D, 4.609%, 12/1/452,3 | | $ | 4,160,000 | | | $ | 3,617,195 | |
WFRBS Commercial Mortgage Trust 2012-C7, Commercial Mtg. Pass-Through Certificates, Series 2012-C7, Cl. E, 5.004%, 6/1/452,3 | | | 7,300,000 | | | | 6,464,592 | |
WFRBS Commercial Mortgage Trust 2012-C8, Commercial Mtg. Pass-Through Certificates, Series 2012-C8, Cl. D, 5.042%, 8/1/452,3 | | | 8,063,000 | | | | 7,257,986 | |
WFRBS Commercial Mortgage Trust 2013-C11, Commercial Mtg. Pass-Through Certificates, Series 2013-C11, Cl. D, 4.324%, 3/1/452,3 | | | 4,162,000 | | | | 3,444,294 | |
WFRBS Commercial Mortgage Trust 2013-C15, Commercial Mtg. Pass-Through Certificates, Series 2013-C15, Cl. D, 4.636%, 8/1/462 | | | 9,126,996 | | | | 7,744,635 | |
| | | | | |
|
|
|
| | | | | | | 1,062,768,257 | |
Multifamily—0.8% | | | | | | | | |
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.959%, 5/1/452 | | | 10,705,000 | | | | 11,270,229 | |
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 | | | 6,947,933 | | | | 6,092,635 | |
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.458%, 6/1/362 | | | 16,117,328 | | | | 14,918,183 | |
Countrywide Alternative Loan Trust 2005-J14, Mtg. Pass-Through Certificates, Series 2005-J14, Cl. A7, 5.50%, 12/1/35 | | | 9,356,212 | | | | 8,123,681 | |
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-24CB, Cl. A12, 5.75%, 6/1/36 | | | 4,647,548 | | | | 3,779,762 | |
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 4.807%, 5/1/372 | | | 12,382,183 | | | | 11,728,478 | |
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 2.613%, 9/1/352 | | | 1,144,257 | | | | 1,112,787 | |
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.642%, 3/1/362 | | | 10,223,866 | | | | 10,137,219 | |
| | | | | |
|
|
|
| | | | | | | 67,162,974 | |
Residential—3.8% | | | | | | | | |
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.139%, 5/25/342 | | | 4,263,466 | | | | 4,106,671 | |
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2007-1, Cl. 1A3, 6%, 1/1/37 | | | 3,417,424 | | | | 3,018,901 | |
Series 2007-4, Cl. AM, 6.001%, 2/1/512 | | | 26,595,000 | | | | 29,203,810 | |
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.405%, 5/1/362 | | | 5,827,985 | | | | 5,685,135 | |
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.739%, 5/1/342 | | | 5,379,845 | | | | 5,247,891 | |
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.739%, 2/25/332 | | | 17,748 | | | | 16,382 | |
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | | | 4,001,698 | | | | 3,830,902 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 27 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Residential Continued | | | | | | | | |
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | | $ | 15,177,119 | | | $ | 13,957,046 | |
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 | | | 2,865,774 | | | | 2,801,441 | |
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | | | 3,890,455 | | | | 3,989,143 | |
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | | | 691,751 | | | | 639,560 | |
CHL Mortgage Pass-Through Trust 2007-15, Mtg. Pass-Through Certificates, Series 2007-15, Cl. 1A29, 6.25%, 9/1/37 | | | 6,358,244 | | | | 5,849,006 | |
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.758%, 6/1/472 | | | 4,759,685 | | | | 4,189,146 | |
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 2.69%, 5/1/352 | | | 5,160,856 | | | | 5,119,187 | |
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 2.86%, 8/1/352 | | | 9,619,461 | | | | 8,211,566 | |
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 1A2, 2.876%, 3/1/362 | | | 11,356,297 | | | | 10,034,072 | |
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | | | 29,800,000 | | | | 30,097,895 | |
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 | | | 19,997,959 | | | | 15,950,632 | |
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2007-19, Cl. 1A4, 6%, 8/1/37 | | | 7,025,481 | | | | 5,541,362 | |
Series 2007-19, Cl. 1A34, 6%, 8/1/37 | | | 21,740,283 | | | | 17,147,692 | |
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.071%, 5/1/362 | | | 750,053 | | | | 743,193 | |
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37 | | | 3,386,512 | | | | 2,936,116 | |
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.299%, 6/25/472 | | | 1,048,563 | | | | 1,046,966 | |
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | | | | | | | | |
Series 2006-H, Cl. 2A1A, 0.332%, 11/15/362 | | | 155,572 | | | | 87,100 | |
Series 2005-G, Cl. 2A, 0.412%, 12/15/352 | | | 347,736 | | | | 266,564 | |
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates, Series 2005-AR6, Cl. 1A4, 2.681%, 9/1/352 | | | 12,010,608 | | | | 11,996,172 | |
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | | | 882,706 | | | | 862,988 | |
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | | | 2,766,004 | | | | 2,833,855 | |
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | | | 4,724,784 | | | | 4,430,453 | |
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 2.802%, 7/1/352 | | | 5,328,056 | | | | 5,299,956 | |
| | |
28 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Residential Continued | | | | | | | | |
Lehman Mortgage Trust, Mtg. Pass-Through Certificates, Series 2006-1, Cl. 1A3, 5.50%, 2/1/36 | | $ | 1,061,847 | | | $ | 895,630 | |
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.279%, 8/25/362 | | | 4,791,296 | | | | 2,138,906 | |
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.378%, 10/25/362 | | | 5,986,816 | | | | 5,723,342 | |
Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.623%, 12/25/342 | | | 238,116 | | | | 242,658 | |
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/291,7 | | | 4,912,783 | | | | 319,331 | |
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/1/33 | | | 8,622 | | | | 8,814 | |
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: | | | | | | | | |
Series 2006-QS13, Cl. 1A8, 6%, 9/1/36 | | | 129,201 | | | | 101,068 | |
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | | | 5,049,264 | | | | 3,949,752 | |
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | | | 2,289,033 | | | | 1,827,715 | |
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | | | 7,491,778 | | | | 6,773,137 | |
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | | | 10,740,933 | | | | 9,734,250 | |
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | | | 9,735,380 | | | | 9,384,424 | |
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 2.244%, 5/1/372,3,4 | | | 400,661 | | | | 189,680 | |
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.373%, 10/1/352 | | | 4,935,463 | | | | 4,679,940 | |
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | | | | | | | | |
Series 2007-HY1, Cl. 5A1, 2.489%, 2/1/372 | | | 17,201,370 | | | | 14,069,723 | |
Series 2007-HY1, Cl. 4A1, 2.539%, 2/1/372 | | | 28,202,862 | | | | 24,367,442 | |
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 4.891%, 5/1/372 | | | 2,831,626 | | | | 2,699,833 | |
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.335%, 1/1/372 | | | 2,105,711 | | | | 1,808,395 | |
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | | | 1,637,902 | | | | 1,690,572 | |
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.589%, 10/1/362 | | | 6,333,175 | | |
| 6,113,639
|
|
| | | | | |
| 301,859,054
|
|
Total Mortgage-Backed Obligations (Cost $2,000,703,300) | | | | | | | 2,040,260,017 | |
U.S. Government Obligations—6.6% | | | | | | | | |
Federal Home Loan Mortgage Corp. Nts.: | | | | | | | | |
0.875%, 3/7/18 | | | 43,336,000 | | | | 42,394,092 | |
1.375%, 5/1/20 | | | 36,034,000 | | | | 34,357,230 | |
2.375%, 1/13/22 | | | 4,097,000 | | | | 3,996,656 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 29 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
U.S. Government Obligations Continued | | | | | | | | |
Federal National Mortgage Assn. Nts.: | | | | | | | | |
0.375%, 7/5/16 | | $ | 2,248,000 | | | $ | 2,229,627 | |
1.25%, 1/30/17 | | | 3,747,000 | | | | 3,792,103 | |
1.375%, 11/15/16 | | | 5,996,000 | | | | 6,100,540 | |
1.625%, 11/27/185 | | | 19,704,000 | | | | 19,650,228 | |
1.875%, 9/18/18 | | | 17,242,000 | | | | 17,457,232 | |
U.S. Treasury Bills: | | | | | | | | |
0.0493%, 11/7/1311 | | | 40,765,000 | | | | 40,764,103 | |
0.0633%, 10/31/1312 | | | 55,430,000 | | | | 55,428,614 | |
U.S. Treasury Nts.: | | | | | | | | |
0.25%, 7/31/1511 | | | 289,300,000 | | | | 289,124,974 | |
STRIPS, 0.891%, 8/15/1613 | | | 11,000,000 | | | | 10,809,007 | |
| | | | | |
|
|
|
Total U.S. Government Obligations (Cost $527,522,858) | | | | | | | 526,104,406 | |
Foreign Government Obligations—24.6% | | | | | | | | |
Angola—0.2% | | | | | | | | |
Angola (Republic of) Sr. Unsec. Nts., 7%, 8/16/19 | | | 11,980,000 | | | | 12,893,475 | |
Australia—0.5% | | | | | | | | |
New South Wales Treasury Corp. Sr. Unsec. Nts., Series 19, 6%, 4/1/19 | | | 1,510,000 | AUD | | | 1,570,260 | |
Queensland Treasury Corp. Nts.: | | | | | | | | |
Series 21, 6%, 6/14/21 | | | 13,030,000 | AUD | | | 13,636,336 | |
Series 22, 6%, 7/21/22 | | | 640,000 | AUD | | | 657,349 | |
Series 33, 6.50%, 3/14/33 | | | 9,115,000 | AUD | | | 9,574,691 | |
Queensland Treasury Corp. Sr. Unsec. Nts., Series 19, 6.25%, 6/14/19 | | | 1,905,000 | AUD | | | 2,003,825 | |
Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24 | | | 1,765,000 | AUD | | | 1,773,371 | |
Victoria Treasury Corp. Nts., 5.50%, 11/17/26 | | | 8,320,000 | AUD | | | 8,286,338 | |
Western Australia Treasury Corp. Unsec. Nts., 7%, 10/15/19 | | | 730,000 | AUD | |
| 789,541
|
|
| | | | | | | 38,291,711 | |
Belgium—0.2% | | | | | | | | |
Belgium (Kingdom of) Bonds: | | | | | | | | |
Series 58, 3.75%, 9/28/20 | | | 9,730,000 | EUR | | | 14,754,275 | |
Series 60, 4.25%, 3/28/41 | | | 470,000 | EUR | | | 712,732 | |
| | | | | |
|
|
|
| | | | | | | 15,467,007 | |
Bolivia—0.0% | | | | | | | | |
Bolivia (Plurinational State of) Unsec. Bonds, 4.875%, 10/29/22 | | | 1,195,000 | | | | 1,085,956 | |
Brazil—3.5% | | | | | | | | |
Brazil (Federative Republic of) Letra Tesouro Nacional Nts.: | | | | | | | | |
9.071%, 1/1/1413 | | | 193,150,000 | BRR | | | 85,161,868 | |
9.358%, 7/1/1413 | | | 143,015,000 | BRR | | | 60,184,065 | |
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: | | | | | | | | |
9.762%, 1/1/14 | | | 53,940,000 | BRR | | | 24,342,984 | |
9.762%, 1/1/17 | | | 60,395,000 | BRR | | | 26,347,270 | |
9.762%, 1/1/21 | | | 91,680,000 | BRR | | | 38,405,833 | |
13.505%, 5/15/4514 | | | 9,425,000 | BRR | | | 9,984,286 | |
Series NTNB, 13.288%, 8/15/5014 | | | 8,720,000 | BRR | | | 9,186,695 | |
| | |
30 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Brazil Continued | | | | | | | | |
Brazil (Federative Republic of) Nota Do Tesouro Nacional Unsec. Bonds, 9.762%, 1/1/18 | | | 35,705,000 | BRR | | $ | 15,387,625 | |
Brazil (Federative Republic of) Sr. Unsec. Unsub. Nts., 4.875%, 1/22/21 | | | 5,560,000 | | | | 5,997,850 | |
Brazil Minas SPE Sec. Bonds, 5.333%, 2/15/283 | | | 5,650,000 | | |
| 5,466,375
|
|
| | | | | | | 280,464,851 | |
Canada—0.1% | | | | | | | | |
Canada (Government of) Nts., 3.75%, 6/1/19 | | | 7,140,000 | CAD | | | 7,576,281 | |
Canada (Government of) Treasury Bills, 1.044%, 12/5/1313 | | | 3,195,000 | CAD | |
| 3,096,394
|
|
| | | | | | | 10,672,675 | |
Colombia—0.4% | | | | | | | | |
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | | | 8,810,000 | | | | 10,712,960 | |
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | | | 1,395,000 | | | | 1,531,013 | |
Colombia (Republic of) Sr. Unsec. Nts.: | | | | | | | | |
4%, 2/26/24 | | | 4,860,000 | | | | 4,774,950 | |
Series B, 7%, 5/4/22 | | | 13,117,000,000 | COP | | | 6,949,026 | |
Series B, 10%, 7/24/24 | | | 1,330,000,000 | COP | | | 868,345 | |
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 | | | 3,185,000 | | | | 4,128,556 | |
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | | | 2,130,000 | | |
| 2,489,970
|
|
| | | | | | | 31,454,820 | |
Costa Rica—0.0% | | | | | | | | |
Costa Rica (Republic of) Sr. Unsec. Bonds, 4.375%, 4/30/253 | | | 780,000 | | | | 684,450 | |
Croatia—0.2% | | | | | | | | |
Croatia (Republic of) Unsec. Nts.: | | | | | | | | |
5.50%, 4/4/233 | | | 9,390,000 | | | | 9,037,875 | |
6.25%, 4/27/173 | | | 4,650,000 | | | | 4,897,938 | |
6.375%, 3/24/213 | | | 2,285,000 | | | | 2,371,259 | |
6.75%, 11/5/193 | | | 2,250,000 | | |
| 2,410,313
|
|
| | | | | | | 18,717,385 | |
Denmark—0.1% | | | | | | | | |
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | | | 21,475,000 | DKK | | | 4,549,988 | |
Dominican Republic—0.1% | | | | | | | | |
Banco De Reservas De La Republica Dominicana Bonds, 7%, 2/1/233 | | | 3,580,000 | | | | 3,418,900 | |
Dominican Republic Sr. Unsec. Bonds, 5.875%, 4/18/243 | | | 3,975,000 | | | | 3,706,688 | |
| | | | | |
|
|
|
| | | | | | | 7,125,588 | |
Finland—0.1% | | | | | | | | |
Finland (Republic of) Sr. Unsec. Nts., 1.50%, 4/15/233 | | | 2,885,000 | EUR | | | 3,734,283 | |
Finland (Republic of) Unsec. Bonds, 1.625%, 9/15/22 | | | 1,975,000 | EUR | | | 2,612,679 | |
| | | | | |
|
|
|
| | | | | | | 6,346,962 | |
France—0.3% | | | | | | | | |
France (Republic of) Bonds: | | | | | | | | |
2.75%, 10/25/27 | | | 2,455,000 | EUR | | | 3,264,740 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 31 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
France Continued | | | | | | | | |
France (Republic of) Bonds: Continued | | | | | | | | |
3.75% 10/25/19 | | | 4,540,000 | EUR | | $ | 6,975,980 | |
4.50%, 4/25/41 | | | 5,720,000 | EUR | | | 9,286,685 | |
France (Republic of) Unsec. Nts., 2.25%, 10/25/22 | | | 6,305,000 | EUR | |
| 8,562,835
|
|
| | | | | | | 28,090,240 | |
Germany—0.6% | | | | | | | | |
Germany (Federal Republic of) Bonds, 2.50%, 7/4/44 | | | 3,515,000 | EUR | | | 4,659,451 | |
Germany (Federal Republic of) Unsec. Bonds: | | | | | | | | |
0.25%, 4/13/18 | | | 9,525,000 | EUR | | | 12,643,143 | |
1.50%, 5/15/23 | | | 11,675,000 | EUR | | | 15,467,503 | |
Series 153, 4%, 10/11/13 | | | 10,125,000 | EUR | |
| 13,707,555
|
|
| | | | | | | 46,477,652 | |
Guatemala—0.0% | | | | | | | | |
Guatemala (Republic of) Sr. Unsec. Bonds, 4.875%, 2/13/283 | | | 3,900,000 | | | | 3,588,000 | |
Hungary—1.9% | | | | | | | | |
Hungary Bonds: | | | | | | | | |
6.75%, 11/24/17 | | | 1,606,000,000 | HUF | | | 7,813,960 | |
Series 19/A, 6.50%, 6/24/19 | | | 1,689,000,000 | HUF | | | 8,168,086 | |
Series 20/A, 7.50%, 11/12/20 | | | 926,000,000 | HUF | | | 4,726,404 | |
Series 23A, 6%, 11/24/23 | | | 1,837,400,000 | HUF | | | 8,484,802 | |
Hungary Sr. Unsec. Bonds, 7.625%, 3/29/41 | | | 444,000 | | | | 477,300 | |
Hungary Sr. Unsec. Nts., 5.75%, 6/11/18 | | | 1,090,000 | EUR | | | 1,548,337 | |
Hungary Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | | | 10,535,000 | | | | 11,259,281 | |
Hungary Treasury Bills: | | | | | | | | |
3.522%, 4/30/1413 | | | 8,032,000,000 | HUF | | | 35,792,446 | |
3.559%, 1/8/1413 | | | 2,677,000,000 | HUF | | | 12,118,683 | |
Series 3M, 3.538%, 12/27/1313 | | | 1,912,000,000 | HUF | | | 8,623,506 | |
Series 12M, 3.512%, 3/5/1413 | | | 3,824,000,000 | HUF | | | 17,213,197 | |
Hungary Unsec. Bonds: | | | | | | | | |
5.375%, 2/21/23 | | | 7,745,000 | | | | 7,570,738 | |
5.50%, 12/20/18 | | | 4,115,000,000 | HUF | | | 19,073,408 | |
Series 16/D, 5.50%, 12/22/16 | | | 1,461,000,000 | HUF | |
| 6,863,011
|
|
| | | | | | | 149,733,159 | |
Indonesia—0.3% | | | | | | | | |
Indonesia (Republic of) Sr. Unsec. Bonds: | | | | | | | | |
4.875%, 5/5/213 | | | 6,555,000 | | | | 6,522,225 | |
5.375%, 10/17/233 | | | 7,390,000 | | | | 7,390,000 | |
Indonesia (Republic of) Sr. Unsec. Nts.: | | | | | | | | |
4%, 11/21/183 | | | 7,015,000 | | | | 6,822,088 | |
11.625%, 3/4/193 | | | 1,450,000 | | | | 1,941,188 | |
Indonesia (Republic of) Unsec. Nts., 6.125%, 3/15/193 | | | 4,370,000 | | |
| 4,577,575
|
|
| | | | | | | 27,253,076 | |
Italy—0.6% | | | | | | | | |
Italy (Republic of) Bonds: | | | | | | | | |
4%, 9/1/20 | | | 5,270,000 | EUR | | | 7,246,446 | |
| | |
32 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Italy Continued | | | | | | | | |
Italy (Republic of) Bonds: Continued | | | | | | | | |
4.50%, 3/1/19 | | | 12,290,000 | EUR | | $ | 17,464,509 | |
5%, 3/1/22 | | | 985,000 | EUR | | | 1,410,912 | |
5%, 9/1/40 | | | 3,945,000 | EUR | | | 5,290,029 | |
Series EU, 1.129%, 10/15/172 | | | 2,430,000 | EUR | | | 3,115,238 | |
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 | | | 468,000,000 | JPY | | | 4,980,554 | |
Italy (Republic of) Treasury Bills, 0.4461%, 10/31/13 | | | 1,460,000 | EUR | | | 1,974,437 | |
Italy (Republic of) Treasury Bonds: | | | | | | | | |
3.50%, 11/1/17 | | | 2,115,000 | EUR | | | 2,909,245 | |
4.75%, 5/1/17 | | | 2,650,000 | EUR | | | 3,809,048 | |
4.75%, 9/1/44 | | | 1,965,000 | EUR | |
| 2,508,301
|
|
| | | | | | | 50,708,719 | |
Ivory Coast—0.2% | | | | | | | | |
Ivory Coast Bonds, 5.75%, 12/31/32 | | | 18,435,000 | | | | 16,361,063 | |
Japan—1.2% | | | | | | | | |
Japan Bonds: | | | | | | | | |
10 yr., 1.10%, 3/20/21 | | | 1,616,000,000 | JPY | | | 17,191,711 | |
10 yr., Series 329, 0.80%, 6/20/23 | | | 295,000,000 | JPY | | | 3,038,081 | |
20 yr., Series 112, 2.10%, 6/20/29 | | | 1,385,000,000 | JPY | | | 15,839,852 | |
20 yr., Series 134, 1.80%, 3/20/32 | | | 880,000,000 | JPY | | | 9,393,238 | |
30 yr., 2%, 3/20/42 | | | 1,719,000,000 | JPY | | | 18,681,829 | |
30 yr., Series 39, 1.90%, 6/20/43 | | | 98,000,000 | JPY | | | 1,040,584 | |
Japan Sr. Unsec. Bonds: | | | | | | | | |
Series 38, 1.80%, 3/20/43 | | | 295,000,000 | JPY | | | 3,064,438 | |
Series 143, 1.60%, 3/20/33 | | | 1,353,000,000 | JPY | | | 13,871,970 | |
Series 328, 0.60%, 3/20/23 | | | 984,000,000 | JPY | | | 9,963,131 | |
Japan Sr. Unsec. Nts., 2.30%, 3/19/18 | | | 1,400,000 | CAD | |
| 1,349,235
|
|
| | | | | | | 93,434,069 | |
Kazakhstan—0.0% | | | | | | | | |
Development Bank of Kazakhstan Sr. Unsec. Bonds, 4.125%, 12/10/223 | | | 2,515,000 | | | | 2,332,663 | |
Korea, Republic of South—0.0% | | | | | | | | |
Korea Housing Finance Corp., 1.625% Sec. Nts., 9/15/183 | | | 3,010,000 | | | | 2,843,764 | |
Latvia—0.0% | | | | | | | | |
Latvia (Republic of) Sr. Unsec. Nts., 5.25%, 6/16/213 | | | 3,050,000 | | | | 3,313,063 | |
Lithuanua—0.2% | | | | | | | | |
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/223 | | | 6,020,000 | | | | 7,081,025 | |
Lithuania (Republic of) Sr. Unsec. Nts., 6.125%, 3/9/213 | | | 6,595,000 | | |
| 7,559,519
|
|
| | | | | | | 14,640,544 | |
Malaysia—0.4% | | | | | | | | |
Central Bank of Malaysia Treasury Bills: | | | | | | | | |
Series 0213, 2.975%, 1/9/1413 | | | 27,035,000 | MYR | | | 8,226,030 | |
Series 0413, 2.974%, 1/16/1413 | | | 54,070,000 | MYR | | | 16,442,522 | |
Series 2513, 2.953%, 12/5/1313 | | | 13,515,000 | MYR | | | 4,124,789 | |
Malaysia (Government of) Sr. Unsec. Bonds, Series 1/06, 4.262%, 9/15/16 | | | 8,110,000 | MYR | | | 2,546,475 | |
| | | | | |
|
|
|
| | | | | | | 31,339,816 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 33 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Mexico—5.5% | | | | | | | | |
United Mexican States Bonds: | | | | | | | | |
7.50%, 4/8/33 | | $ | 1,070,000 | | | $ | 1,364,250 | |
Series M, 5%, 6/15/172 | | | 136,000,000 | MXN | | | 10,597,392 | |
Series M, 6.50%, 6/9/222 | | | 276,800,000 | MXN | | | 21,947,822 | |
Series M20, 7.50%, 6/3/272 | | | 170,840,000 | MXN | | | 14,314,694 | |
Series M10, 7.75%, 12/14/17 | | | 73,165,000 | MXN | | | 6,253,795 | |
Series MI10, 8%, 12/19/13 | | | 827,500,000 | MXN | | | 63,874,061 | |
Series M20, 8.50%, 5/31/292 | | | 134,730,000 | MXN | | | 12,041,689 | |
United Mexican States Nts., 6.75%, 9/27/34 | | | 2,790,000 | | | | 3,320,100 | |
United Mexican States Treasury Bills: | | | | | | | | |
3.67%, 3/20/1413 | | | 765,000,000 | MXN | | | 57,454,922 | |
3.778%, 12/11/1313 | | | 1,013,100,000 | MXN | | | 76,852,259 | |
3.801%, 11/14/1313 | | | 196,020,000 | MXN | | | 14,908,272 | |
3.81%, 10/31/1313 | | | 503,230,000 | MXN | | | 38,326,523 | |
3.826%, 10/3/1313 | | | 551,100,000 | MXN | | | 42,089,818 | |
3.982%, 11/7/1313 | | | 212,400,000 | MXN | | | 16,149,183 | |
3.99%, 2/6/1413 | | | 131,700,000 | MXN | | | 9,933,316 | |
3.993%, 1/23/1413 | | | 104,900,000 | MXN | | | 7,923,418 | |
United Mexican States Unsec. Bonds: | | | | | | | | |
3.646%, 3/6/1413 | | | 417,190,000 | MXN | | | 31,373,950 | |
Series M, 7%, 6/19/142 | | | 134,300,000 | MXN | |
| 10,545,754
|
|
| | | | | | | 439,271,218 | |
Morocco—0.1% | | | | | | | | |
Morocco (Kingdom of) Sr. Unsec. Nts., 4.25%, 12/11/223 | | | 4,600,000 | | | | 4,209,920 | |
Nigeria—0.3% | | | | | | | | |
Nigeria (Federal Republic of) Sr. Unsec. Bonds, 5.125%, 7/12/183 | | | 2,840,000 | | | | 2,889,700 | |
Nigeria (Federal Republic of) Treasury Bills: | | | | | | | | |
11.235%, 1/23/1413 | | | 595,000,000 | NGN | | | 3,562,452 | |
11.835%, 10/24/1313 | | | 146,000,000 | NGN | | | 899,049 | |
11.851%, 10/10/1313 | | | 112,000,000 | NGN | | | 694,015 | |
Nigeria (Federal Republic of) Treasury Bonds: | | | | | | | | |
7%, 10/23/19 | | | 709,000,000 | NGN | | | 3,295,844 | |
16%, 6/29/19 | | | 723,000,000 | NGN | | | 4,975,262 | |
16.39%, 1/27/22 | | | 764,000,000 | NGN | |
| 5,482,419
|
|
| | | | | | | 21,798,741 | |
Panama—0.1% | | | | | | | | |
Panama (Republic of) Bonds: | | | | | | | | |
6.70%, 1/26/36 | | | 3,615,000 | | | | 4,148,213 | |
8.875%, 9/30/27 | | | 1,575,000 | | | | 2,177,438 | |
9.375%, 4/1/29 | | | 1,565,000 | | |
| 2,241,863
|
|
| | | | | | | 8,567,514 | |
Paraguay—0.0% | | | | | | | | |
Paraguay (Republic of) Sr. Unsec. Bonds, 4.625%, 1/25/233 | | | 1,260,000 | | | | 1,156,050 | |
Peru—0.3% | | | | | | | | |
El Fondo MIVIVIENDA SA Unsec. Nts., 3.50%, 1/31/233 | | | 3,630,000 | | | | 3,167,175 | |
Peru (Republic of) Sr. Unsec. Bonds, 8.20%, 8/12/263 | | | 22,480,000 | PEN | | | 9,840,670 | |
| | |
34 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Peru Continued | | | | | | | | |
Peru (Republic of) Sr. Unsec. Nts.: 6.55%, 3/14/37 | | $ | 2,870,000 | | | $ | 3,408,125 | |
7.84%, 8/12/203 | | | 21,095,000 | PEN | | | 8,787,109 | |
| | | | | |
|
|
|
| | | | | | | 25,203,079 | |
Philippines—0.2% | | | | | | | | |
Philippines (Republic of the) Sr. Unsec. Bonds, 6.375%, 1/15/32 | | | 5,235,000 | | | | 6,151,125 | |
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | | | 5,205,000 | | | | 6,148,406 | |
| | | | | |
|
|
|
| | | | | | | 12,299,531 | |
Poland—0.4% | | | | | | | | |
Poland (Republic of) Bonds: | | | | | | | | |
Series 0415, 5.50%, 4/25/15 | | | 7,270,000 | PLZ | | | 2,415,043 | |
Series 1017, 5.25%, 10/25/17 | | | 10,075,000 | PLZ | | | 3,413,357 | |
Poland (Republic of) Sr. Unsec. Bonds, 3%, 3/17/23 | | | 3,610,000 | | | | 3,315,785 | |
Poland (Republic of) Sr. Unsec. Nts.: 5%, 3/23/22 | | | 3,550,000 | | | | 3,826,900 | |
5.125%, 4/21/21 | | | 6,150,000 | | | | 6,703,500 | |
Poland (Republic of) Unsec. Bonds, Series 429, 5.75%, 4/25/29 | | | 31,305,000 | PLZ | | | 11,134,810 | |
| | | | | |
|
|
|
| | | | | | | 30,809,395 | |
Portugal—0.1% | | | | | | | | |
Portugal (Republic of) Sr. Unsec. Bonds, 4.10%, 4/15/37 | | | 2,535,000 | EUR | | | 2,370,591 | |
Portugal (Republic of) Sr. Unsec. Nts., 4.75%, 6/14/19 | | | 470,000 | EUR | | | 588,133 | |
Portugal (Republic of) Sr. Unsec. Unsub. Bonds., 4.35%, 10/16/17 | | | 7,265,000 | EUR | | | 9,312,514 | |
| | | | | |
|
|
|
| | | | | | | 12,271,238 | |
Romania—0.1% | | | | | | | | |
Romania Sr. Unsec. Bonds, 6.75%, 2/7/223 | | | 6,430,000 | | | | 7,355,599 | |
Russia—1.6% | | | | | | | | |
AHML Finance Ltd. Unsec. Nts., 7.75%, 2/13/183 | | | 148,000,000 | RUR | | | 4,466,744 | |
Russian Federation Bonds: | | | | | | | | |
7.50%, 3/15/182 | | | 457,600,000 | RUR | | | 14,613,570 | |
7.50%, 2/27/192 | | | 605,100,000 | RUR | | | 19,286,670 | |
7.60%, 4/14/212 | | | 648,300,000 | RUR | | | 20,688,616 | |
Russian Federation Sr. Unsec. Bonds: 5.875%, 9/16/433 | | | 2,955,000 | | | | 3,065,813 | |
Series 6211, 7%, 1/25/232 | | | 1,049,500,000 | RUR | | | 32,066,571 | |
Russian Federation Sr. Unsec. Nts., 4.875%, 9/16/233 | | | 4,375,000 | | | | 4,484,375 | |
Russian Federation Unsec. Bonds: Series 9, 7.90%, 3/18/212 | | | 109,800,000 | RUR | | | 3,407,370 | |
Series 6209, 7.60%, 7/20/222 | | | 465,500,000 | RUR | | | 14,776,067 | |
Vnesheconombank Sr. Unsec. Bonds, Series 18, 8.55%, 9/17/322 | | | 119,300,000 | RUR | | | 3,762,931 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 35 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Russia Continued | | | | | | | | |
Vnesheconombank Via VEB Finance plc Sr. Unsec. Unsub. Nts., 6.902%, 7/9/203 | | $ | 9,450,000 | | | $ | 10,395,473 | |
| | | | | |
|
|
|
| | | | | | | 131,014,200 | |
Rwanda—0.1% | | | | | | | | |
Rwanda (Republic of) Sr. Unsec. Bonds, 6.625%, 5/2/233 | | | 5,380,000 | | | | 4,747,850 | |
Serbia—0.1% | | | | | | | | |
Serbia (Republic of) Sr. Unsec. Nts., 5.25%, 11/21/173 | | | 3,540,000 | | | | 3,531,150 | |
Serbia (Republic of) Treasury Bills: 9.824%, 1/30/1413 | | | 135,000,000 | RSD | | | 1,550,844 | |
10.004%, 6/12/1413 | | | 544,000,000 | RSD | | | 6,010,839 | |
| | | | | |
|
|
|
| | | | | | | 11,092,833 | |
Singapore—0.0% | | | | | | | | |
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 | | | 2,445,000 | SGD | | | 2,067,123 | |
South Africa—1.1% | | | | | | | | |
South Africa (Republic of) Bonds: | | | | | | | | |
Series R208, 6.75%, 3/31/21 | | | 350,925,000 | ZAR | | | 33,701,592 | |
Series R213, 7%, 2/28/31 | | | 102,089,000 | ZAR | | | 8,753,192 | |
Series R207, 7.25%, 1/15/20 | | | 304,200,000 | ZAR | | | 30,289,415 | |
South Africa (Republic of) Sr. Unsec. Bonds, 5.875%, 9/16/25 | | | 4,375,000 | | | | 4,612,344 | |
South Africa (Republic of) Sr. Unsec. Nts., 5.875%, 5/30/22 | | | 1,000,000 | | | | 1,085,000 | |
South Africa (Republic of) Unsec. Bonds, Series 2023, 7.75%, 2/28/23 | | | 80,510,000 | ZAR | | | 8,076,780 | |
| | | | | |
|
|
|
| | | | | | | 86,518,323 | |
Spain—0.1% | | | | | | | | |
Comunidad De Madrid Sr. Unsec. Nts., 4.30%, 9/15/26 | | | 5,470,000 | EUR | | | 6,589,841 | |
Instituto de Credito Oficial Sr. Unsec. Nts., 5%, 5/15/15 | | | 7,800,000 | NOK | | | 1,306,612 | |
Spain (Kingdom of) Sr. Unsec. Bonds, 4.50%, 1/31/18 | | | 1,815,000 | EUR | | | 2,620,192 | |
| | | | | |
|
|
|
| | | | | | | 10,516,645 | |
Sri Lanka—0.1% | | | | | | | | |
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Bonds, 5.875%, 7/25/223 | | | 2,935,000 | | | | 2,714,875 | |
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: 6.25%, 10/4/203 | | | 3,240,000 | | | | 3,171,150 | |
6.25% 7/27/213 | | | 6,140,000 | | | | 5,909,750 | |
| | | | | |
|
|
|
| | | | | | | 11,795,775 | |
Tanzania—0.1% | | | | | | | | |
Tanzania (United Republic of) Sr. Unsec. Nts., 6.392%, 3/8/202 | | | 4,945,000 | | | | 5,130,438 | |
Thailand—0.5% | | | | | | | | |
Thailand (Kingdom of) Sr. Unsec. Bonds: 3.58%, 12/17/27 | | | 483,600,000 | THB | | | 14,588,038 | |
3.625%, 6/16/23 | | | 475,100,000 | THB | | | 14,892,259 | |
3.65%, 12/17/21 | | | 304,500,000 | THB | | | 9,652,485 | |
| | | | | |
|
|
|
| | | | | | | 39,132,782 | |
| | |
36 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
The Netherlands—0.1% | | | | | | | | |
Netherlands (Kingdom of the) Bonds: | | | | | | | | |
4%, 7/15/19 | | | 3,685,000 | EUR | | $ | 5,735,545 | |
4%, 1/15/37 | | | 1,315,000 | EUR | | | 2,158,270 | |
| | | | | |
|
|
|
| | | | | | | 7,893,815 | |
Turkey—1.4% | | | | | | | | |
Turkey (Republic of) Bonds: | | | | | | | | |
6.875%, 3/17/36 | | | 2,015,000 | | | | 2,148,998 | |
9%, 3/5/14 | | | 58,115,000 | TRY | | | 28,999,243 | |
9%, 3/8/17 | | | 47,225,000 | TRY | | | 23,670,361 | |
Turkey (Republic of) Sr. Unsec. Nts., 5.625%, 3/30/21 | | | 3,625,000 | | | | 3,784,500 | |
Turkey (Republic of) Unsec. Bonds: | | | | | | | | |
5%, 5/13/152 | | | 51,040,000 | TRY | | | 23,940,200 | |
5.828%, 2/11/1514 | | | 8,255,000 | TRY | | | 5,535,898 | |
6.25%, 9/26/22 | | | 5,690,000 | | | | 6,132,398 | |
7.10%, 3/8/232 | | | 18,700,000 | TRY | | | 8,169,476 | |
Series 5Y, 6.30%, 2/14/182 | | | 14,625,000 | TRY | | | 6,599,187 | |
| | | | | |
|
|
|
| | | | | | | 108,980,261 | |
United Arab Emirates—0.1% | | | | | | | | |
Emirates of Dubai Sr. Unsec. International Bonds, 5.591%, 6/22/21 | | | 5,910,000 | | | | 6,397,575 | |
United Kingdom—0.4% | | | | | | | | |
United Kingdom Treasury Bonds: | | | | | | | | |
3.75%, 9/7/21 | | | 10,140,000 | GBP | | | 18,178,507 | |
4%, 9/7/16 | | | 4,005,000 | GBP | | | 7,088,746 | |
4.25%, 12/7/55 | | | 1,475,000 | GBP | | | 2,797,684 | |
4.75%, 12/7/38 | | | 3,685,000 | GBP | | | 7,320,395 | |
| | | | | |
|
|
|
| | | | | | | 35,385,332 | |
Uruguay—0.1% | | | | | | | | |
Uruguay (Oriental Rupublic of) Sr. Unsec. Nts., 4.50%, 8/14/24 | | | 8,170,000 | | | | 8,312,975 | |
Venezuela—0.6% | | | | | | | | |
Venezuela (Republic of) Bonds, 9%, 5/7/23 | | | 13,130,000 | | | | 10,720,645 | |
Venezuela (Republic of) Nts., 8.25%, 10/13/24 | | | 9,595,000 | | | | 7,268,213 | |
Venezuela (Republic of) Sr. Unsec. Unsub. Nts., 12.75%, 8/23/22 | | | 4,370,000 | | | | 4,374,370 | |
Venezuela (Republic of) Unsec. Bonds: | | | | | | | | |
7%, 3/31/38 | | | 6,835,000 | | | | 4,494,013 | |
7.65%, 4/21/25 | | | 9,300,000 | | | | 6,742,500 | |
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/183 | | | 11,695,000 | | |
| 12,279,750
|
|
| | | | | | | 45,879,491 | |
| | | | | |
|
|
|
Total Foreign Government Obligations (Cost $2,067,677,359) | | | | | | | 1,975,678,399 | |
Corporate Bonds and Notes—33.5% | | | | | | | | |
Consumer Discretionary—4.5% | | | | | | | | |
Auto Components—0.6% | | | | | | | | |
Affinia Group, Inc., 7.75% Sr. Unsec. Nts., 5/1/213 | | | 5,805,000 | | | | 5,979,150 | |
Continental Rubber of America Corp., 4.50% Sr. Sec. Nts., 9/15/193 | | | 1,445,000 | | | | 1,514,360 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 37 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Auto Components Continued | | | | | | | | |
GKN Holdings plc, 6.75% Sr. Unsec. Unsub. Nts., 10/28/19 | | | 1,950,000 | GBP | | $ | 3,591,653 | |
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | | | 12,090,000 | | | | 13,571,025 | |
Lear Corp., 4.75% Sr. Unsec. Nts., 1/15/233 | | | 5,700,000 | | | | 5,315,250 | |
Servus Luxembourg Holding SCA, 7.75% Sr. Sec. Nts., 6/15/183 | | | 2,220,000 | EUR | | | 3,063,995 | |
Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 | | | 12,704,000 | | |
| 13,561,520
|
|
| | | | | | | 46,596,953 | |
Automobiles—0.2% | | | | | | | | |
Ford Motor Co., 7.45% Bonds, 7/16/31 | | | 3,645,000 | | | | 4,459,676 | |
Jaguar Land Rover plc: | | | | | | | | |
5.625% Sr. Unsec. Nts., 2/1/233 | | | 4,620,000 | | | | 4,539,150 | |
7.75% Sr. Unsec. Bonds, 5/15/183 | | | 1,945,000 | | | | 2,110,325 | |
8.25% Sr. Nts., 3/15/203 | | | 900,000 | GBP | | | 1,626,761 | |
| | | | | |
|
|
|
| | | | | | | 12,735,912 | |
Diversified Consumer Services—0.1% | | | | | | | | |
Monitronics International, Inc., 9.125% Sr. Unsec. Nts., 4/1/20 | | | 4,720,000 | | | | 4,967,800 | |
ServiceMaster Co.: | | | | | | | | |
7% Sr. Unsec. Unsub. Nts., 8/15/20 | | | 1,435,000 | | | | 1,363,250 | |
8% Sr. Unsec. Unsub. Nts., 2/15/20 | | | 5,700,000 | | | | 5,671,500 | |
| | | | | |
|
|
|
| | | | | | | 12,002,550 | |
Hotels, Restaurants & Leisure—1.0% | | | | | | | | |
Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 | | | 7,875,000 | | | | 8,603,438 | |
Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 | | | 4,080,000 | | | | 4,600,200 | |
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/173 | | | 7,760,000 | | | | 7,954,000 | |
Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 | | | 7,855,000 | | | | 8,287,025 | |
Landry’s, Inc., 9.375% Sr. Unsec. Nts., 5/1/203 | | | 7,860,000 | | | | 8,331,600 | |
MCE Finance Ltd., 5% Sr. Unsec. Nts., 2/15/213 | | | 5,815,000 | | | | 5,596,938 | |
MGM Resorts International: | | | | | | | | |
6.625% Sr. Unsec. Unsub. Nts., 12/15/21 | | | 5,695,000 | | | | 5,901,444 | |
6.75% Sr. Unsec. Nts., 10/1/20 | | | 5,390,000 | | | | 5,672,975 | |
MTR Gaming Group, Inc., 11.50% Sec. Nts., 8/1/19 | | | 4,442,100 | | | | 4,897,415 | |
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | | | 7,515,000 | | | | 8,266,500 | |
PNK Finance Corp., 6.375% Sr. Unsec. Nts., 8/1/213 | | | 5,655,000 | | | | 5,796,375 | |
Premier Cruise Ltd., 11% Sr. Nts., 3/15/081,7 | | | 14,750,000 | | | | — | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 6.375% Sr. Sec. Nts., 6/1/213 | | | 4,285,000 | | | | 4,113,600 | |
Viking Cruises Ltd., 8.50% Sr. Nts., 10/15/223 | | | 2,850,000 | | | | 3,170,625 | |
| | | | | |
|
|
|
| | | | | | | 81,192,135 | |
| | |
38 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Household Durables—0.2% | | | | | | | | |
Arcelik AS, 5% Sr. Unsec. Nts., 4/3/233 | | $ | 2,080,000 | | | $ | 1,796,600 | |
Beazer Homes USA, Inc., 9.125% Sr. Unsec. Nts., 5/15/19 | | | 7,550,000 | | | | 8,003,000 | |
K Hovnanian Enterprises, Inc., 9.125% Sec. Nts., 11/15/203 | | | 3,630,000 | | | | 3,947,625 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25% Sr. Unsec. Nts., 4/15/213 | | | 3,720,000 | | | | 3,478,200 | |
| | | | | |
|
|
|
| | | | | | | 17,225,425 | |
Media—1.5% | | | | | | | | |
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | | | 10,973,000 | | | | 11,686,245 | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75% Sr. Unsec. Nts., 9/1/233 | | | 5,730,000 | | | | 5,457,825 | |
Cinemark USA, Inc., 5.125% Sr. Unsec. Nts., 12/15/22 | | | 2,215,000 | | | | 2,087,638 | |
Cumulus Media Holdings, Inc., 7.75% Sr. Unsec. Unsub. Nts., 5/1/19 | | | 4,175,000 | | | | 4,352,438 | |
DISH DBS Corp.: | | | | | | | | |
5.875% Sr. Unsec. Nts., 7/15/22 | | | 6,115,000 | | | | 6,053,850 | |
6.75% Sr. Unsec. Nts., 6/1/21 | | | 2,985,000 | | | | 3,152,906 | |
7.875% Sr. Unsec. Nts., 9/1/19 | | | 7,315,000 | | | | 8,375,675 | |
DreamWorks Animation SKG, Inc., 6.875% Sr. Unsec. Unsub. Nts., 8/15/203 | | | 4,185,000 | | | | 4,362,863 | |
Gannett Co., Inc., 5.125% Sr. Unsec. Nts., 7/15/203 | | | 3,630,000 | | | | 3,575,550 | |
Globo Comunicacao e Participacoes SA, 5.307% Sr. Unsec. Unsub. Nts., 5/11/223 | | | 1,695,000 | | | | 1,711,950 | |
Gray Television, Inc., 7.50% Sr. Unsec. Nts., 10/1/20 | | | 7,640,000 | | | | 7,983,800 | |
Igloo Holdings Corp., 8.25% Sr. Unsec. Nts., 12/15/171,6 | | | 10,346,000 | | | | 10,611,116 | |
LIN Television Corp., 6.375% Sr. Unsec. Nts., 1/15/21 | | | 4,095,000 | | | | 4,115,475 | |
Myriad International Holdings BV, 6% Sr. Unsec. Nts., 7/18/203 | | | 2,390,000 | | | | 2,521,450 | |
Nexstar Broadcasting, Inc., 6.875% Sr. Unsec. Nts., 11/15/203 | | | 3,995,000 | | | | 4,084,888 | |
Sinclair Television Group, Inc.: | | | | | | | | |
5.375% Sr. Unsec. Nts., 4/1/21 | | | 4,215,000 | | | | 4,025,325 | |
6.125% Sr. Unsec. Nts., 10/1/22 | | | 8,300,000 | | | | 8,279,250 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50% Sr. Sec. Nts., 3/15/19 | | | 3,945,000 | | | | 4,280,325 | |
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/203 | | | 10,465,000 | | | | 11,498,419 | |
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/213 | | | 5,490,000 | | | | 6,011,550 | |
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/223 | | | 8,155,000 | | | | 8,685,075 | |
| | | | | |
|
|
|
| | | | | | | 122,913,613 | |
Multiline Retail—0.2% | | | | | | | | |
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 | | | 1,360,000 | | | | 1,519,800 | |
Burlington Holdings LLC/Burlington Holding Finance, Inc., 9% Sr. Unsec. Nts., 2/15/183,6 | | | 11,125,000 | | | | 11,486,563 | |
J.C. Penney Corp., Inc., 6.375% Sr. Unsec. Unsub. Nts., 10/15/36 | | | 5,355,000 | | |
| 3,761,888
|
|
| | | | | | | 16,768,251 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 39 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Specialty Retail—0.5% | | | | | | | | |
BC Mountain LLC/BC Mountain Finance, Inc., 7% Sr. Unsec. Nts., 2/1/213 | | $ | 11,550,000 | | | $ | 11,521,125 | |
Claire’s Stores, Inc.: | | | | | | | | |
7.75% Sr. Unsec. Nts., 6/1/203 | | | 4,295,000 | | | | 4,219,838 | |
8.875% Sr. Sec. Nts., 3/15/19 | | | 5,150,000 | | | | 5,536,250 | |
Hot Topic, Inc., 9.25% Sr. Sec. Nts., 6/15/213 | | | 4,755,000 | | | | 4,909,538 | |
Michaels FinCo Holdings LLC/Michaels FinCo., Inc., 7.50% Sr. Unsec. Nts., 8/1/183 | | | 8,560,000 | | | | 8,709,800 | |
Party City Holdings, Inc., 8.875% Sr. Unsec. Nts, 8/1/203 | | | 7,495,000 | | | | 8,094,600 | |
| | | | | |
|
|
|
| | | | | | | 42,991,151 | |
Textiles, Apparel & Luxury Goods—0.2% | | | | | | | | |
Levi Strauss & Co., 7.75% Sr. Unsec. Unsub. Nts., 5/15/18 | | | 505,000 | EUR | | | 730,330 | |
Quiksilver, Inc./QS Wholesale, Inc.: | | | | | | | | |
7.875% Sr. Sec. Nts., 8/1/183 | | | 3,640,000 | | | | 3,812,900 | |
10% Sr. Unsec. Nts., 8/1/203 | | | 3,640,000 | | | | 3,849,300 | |
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25% Sr. Sec. Nts., 6/1/213 | | | 4,295,000 | | | | 4,219,838 | |
| | | | | |
|
|
|
| | | | | | | 12,612,368 | |
Consumer Staples—1.0% | | | | | | | | |
Beverages—0.0% | | | | | | | | |
Coca-Cola Icecek AS, 4.75% Sr. Unsec. Nts., 10/1/183,5 | | | 2,825,000 | | | | 2,856,013 | |
Food & Staples Retailing—0.1% | | | | | | | | |
BI-LO LLC/BI-LO Finance Corp., 8.625% Sr. Unsec. Nts., 9/15/183,6 | | | 4,020,000 | | | | 4,100,400 | |
US Foods, Inc., 8.50% Sr. Sec. Nts., 6/30/19 | | | 5,670,000 | | | | 6,003,113 | |
| | | | | |
|
|
|
| | | | | | | 10,103,513 | |
Food Products—0.7% | | | | | | | | |
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/163 | | | 10,750,000 | | | | 11,233,750 | |
ARAMARK Corp., 5.75% Sr. Unsec. Nts., 3/15/203 | | | 5,735,000 | | | | 5,821,025 | |
ASG Consolidated LLC, 15% Sr. Nts., 5/15/173,6 | | | 7,970,347 | | | | 8,149,680 | |
BFF International Ltd., 7.25% Sr. Unsec. Unsub. Nts., 1/28/203 | | | 510,000 | | | | 566,100 | |
BRF SA, 5.875% Sr. Unsec. Unsub. Nts., 6/6/223 | | | 1,270,000 | | | | 1,266,825 | |
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/173 | | | 10,499,000 | | | | 11,417,663 | |
Chiquita Brands International, Inc., 7.875% Sr. Sec. Nts., 2/1/213 | | | 5,220,000 | | | | 5,559,300 | |
MHP SA, 8.25% Sr. Unsec. Nts., 4/2/203 | | | 5,405,000 | | | | 4,325,081 | |
Wells Enterprises, Inc., 6.75% Sr. Sec. Nts., 2/1/203 | | | 3,905,000 | | | | 3,992,863 | |
| | | | | |
|
|
|
| | | | | | | 52,332,287 | |
Household Products—0.1% | | | | | | | | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | | | | | | | | |
5.75% Sr. Sec. Nts., 10/15/20 | | | 5,510,000 | | | | 5,558,213 | |
9% Sr. Unsec. Unsub. Nts., 4/15/19 | | | 4,740,000 | | | | 5,000,700 | |
| | | | | |
|
|
|
| | | | | | | 10,558,913 | |
| | |
40 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Tobacco—0.1% | | | | | | | | |
Vector Group Ltd., 7.75% Sr. Sec. Nts., 2/15/21 | | $ | 3,930,000 | | | $ | 4,087,200 | |
Energy—5.7% | | | | | | | | |
Energy Equipment & Services—0.7% | | | | | | | | |
Drill Rigs Holdings, Inc., 6.50% Sr. Sec. Nts., 10/1/173 | | | 7,785,000 | | | | 8,076,938 | |
Exterran Partners LP/EXLP Finance Corp., 6% Sr. Unsec. Nts., 4/1/213 | | | 2,490,000 | | | | 2,427,750 | |
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 | | | 2,585,000 | | | | 2,610,850 | |
Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20 | | | 7,420,000 | | | | 7,531,300 | |
Odebrecht Offshore Drilling Finance Ltd., 6.75% Sr. Sec. Nts., 10/1/223 | | | 6,065,000 | | | | 6,231,788 | |
Offshore Group Investment Ltd.: 7.125% Sr. Sec. Nts., 4/1/23 | | | 5,135,000 | | | | 5,032,300 | |
7.50% Sr. Sec. Nts., 11/1/19 | | | 7,285,000 | | | | 7,703,888 | |
Pacific Drilling SA, 5.375% Sr. Sec. Nts., 6/1/203 | | | 4,360,000 | | | | 4,261,900 | |
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | | | 8,910,000 | | | | 9,466,875 | |
QGOG Constellation SA, 6.25% Sr. Unsec. Nts., 11/9/193 | | | 4,530,000 | | | | 4,314,825 | |
Seadrill Ltd., 5.625% Sr. Unsec. Nts., 9/15/173 | | | 3,760,000 | | | | 3,816,400 | |
| | | | | |
|
|
|
| | | | | | | 61,474,814 | |
Oil, Gas & Consumable Fuels—5.0% | | | | | | | | |
Access Midstream Partners LP/ACMP Finance Corp., 4.875% Sr. Unsec. Unsub. Nts., 5/15/23 | | | 2,695,000 | | | | 2,546,775 | |
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/153 | | | 7,520,000 | | | | 8,065,200 | |
Alpha Natural Resources, Inc., 6% Sr. Unsec. Unsub. Nts., 6/1/19 | | | 3,670,000 | | | | 3,082,800 | |
Antero Resources Finance Corp., 6% Sr. Unsec. Nts., 12/1/20 | | | 2,550,000 | | | | 2,588,250 | |
Arch Coal, Inc., 7.25% Sr. Unsec. Unsub. Nts., 6/15/21 | | | 3,840,000 | | | | 2,928,000 | |
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | | | | | | | | |
5.875% Sr. Unsec. Nts., 8/1/233 | | | 4,400,000 | | | | 4,158,000 | |
6.625% Sr. Nts., 10/1/203 | | | 2,475,000 | | | | 2,536,875 | |
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | | | 3,975,000 | | | | 4,074,375 | |
BreitBurn Energy Partners LP/BreitBurn Finance Corp.: | | | | | | | | |
7.875% Sr. Unsec. Nts., 4/15/22 | | | 1,670,000 | | | | 1,674,175 | |
8.625% Sr. Unsec. Nts., 10/15/20 | | | 10,920,000 | | | | 11,575,200 | |
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | | | 2,240,000 | | | | 2,531,200 | |
Chesapeake Energy Corp., 5.75% Sr. Unsec. Nts., 3/15/23 | | | 4,915,000 | | | | 4,951,863 | |
Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Unsub. Nts., 7/15/22 | | | 5,630,000 | | | | 5,812,975 | |
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 | | | 5,820,000 | | | | 5,907,300 | |
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 | | | 1,790,000 | | | | 1,942,150 | |
CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Unsub. Nts., 10/3/231,5 | | | 4,175,000 | | | | 4,213,076 | |
Denbury Resources, Inc., 4.625% Sr. Unsec. Sub. Nts., 7/15/23 | | | 3,565,000 | | | | 3,279,800 | |
Ecopetrol SA, 7.625% Sr. Unsec. Unsub. Nts., 7/23/19 | | | 1,030,000 | | | | 1,223,125 | |
Empresa Nacional del Petroleo, 4.75% Sr. Unsec. Unsub. Nts., 12/6/213 | | | 3,960,000 | | | | 3,915,909 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 41 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Oil, Gas & Consumable Fuels Continued | | | | | | | | |
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75% Sr. Unsec. Nts., 9/1/22 | | $ | 8,410,000 | | | $ | 9,166,900 | |
Gaz Capital SA: | | | | | | | | |
8.146% Sr. Sec. Nts., 4/11/183 | | | 9,990,000 | | | | 11,626,362 | |
8.625% Sr. Sec. Nts., 4/28/343 | | | 7,690,000 | | | | 9,228,000 | |
9.25% Sr. Unsec. Unsub. Nts., 4/23/193 | | | 15,170,000 | | | | 18,737,984 | |
Gazprom OAO Via Gaz Capital SA, 4.95% Sr. Unsec. Nts., 7/19/223 | | | 16,155,000 | | | | 15,650,156 | |
Gazprom Via Gaz Capital SA, 5.999% Sr. Unsec. Nts., 1/23/213 | | | 1,905,000 | | | | 2,002,631 | |
Genesis Energy LP/Genesis Energy Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 2/15/21 | | | 3,350,000 | | | | 3,299,750 | |
Halcon Resources Corp., 8.875% Sr. Unsec. Unsub. Nts., 5/15/21 | | | 9,505,000 | | | | 9,790,150 | |
Hiland Partners LP/Hiland Partners Finance Corp., 7.25% Sr. Nts., 10/1/203 | | | 2,415,000 | | | | 2,529,713 | |
Inergy Midstream LP/Finance Corp., 6% Sr. Unsec. Nts., 12/15/203 | | | 1,700,000 | | | | 1,695,750 | |
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/183 | | | 2,955,000 | | | | 3,630,956 | |
Kodiak Oil & Gas Corp., 5.50% Sr. Unsec. Nts., 1/15/213 | | | 4,570,000 | | | | 4,512,875 | |
LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/231 | | | 2,230,000 | | | | 2,252,300 | |
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | | | 12,230,000 | | | | 12,703,913 | |
Lukoil International Finance BV: | | | | | | | | |
4.563% Sr. Unsec. Nts., 4/24/233 | | | 1,975,000 | | | | 1,842,181 | |
7.25% Sr. Unsec. Unsub. Nts., 11/5/193 | | | 4,360,000 | | | | 4,976,068 | |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.50% Sr. Unsec. Unsub. Nts., 7/15/23 | | | 8,045,000 | | | | 7,622,638 | |
MEG Energy Corp.: | | | | | | | | |
6.50% Sr. Unsec. Nts., 3/15/213 | | | 17,095,000 | | | | 17,308,688 | |
7% Sr. Unsec. Nts., 3/31/243,5 | | | 1,875,000 | | | | 1,889,063 | |
Memorial Production Partners LP/Memorial Production Finance Corp., 7.625% Sr. Unsec. Nts., 5/1/21 | | | 2,550,000 | | | | 2,479,875 | |
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25% Sr. Unsec. Nts., 6/1/213 | | | 4,375,000 | | | | 4,342,188 | |
Murray Energy Corp., 8.625% Sr. Sec. Nts., 6/15/213 | | | 2,225,000 | | | | 2,241,688 | |
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | | | 3,375,000 | | | | 3,518,438 | |
Novatek OAO via Novatek Finance Ltd.: | | | | | | | | |
4.422% Sr. Unsec. Nts., 12/13/223 | | | 10,985,000 | | | | 10,106,200 | |
7.75% Unsec. Nts., 2/21/173 | | | 67,050,000 | RUR | | | 2,063,617 | |
Oasis Petroleum, Inc., 6.875% Sr. Unsec. Nts., 1/15/23 | | | 3,960,000 | | | | 4,217,400 | |
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/213 | | | 789,025 | | | | 806,778 | |
Pacific Rubiales Energy Corp., 5.125% Sr. Unsec. Nts., 3/28/233 | | | 4,245,000 | | | | 3,825,806 | |
Pemex Project Funding Master Trust: | | | | | | | | |
5.75% Sr. Unsec. Unsub. Nts., 3/1/18 | | | 2,740,000 | | | | 3,048,250 | |
6.625% Unsec. Unsub. Bonds, 6/15/35 | | | 4,195,000 | | | | 4,450,937 | |
Pertamina Persero PT, 4.875% Sr. Unsec. Unsub. Nts., 5/3/223 | | | 3,495,000 | | | | 3,171,713 | |
| | |
42 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Oil, Gas & Consumable Fuels Continued | | | | | | | | |
Petroleos de Venezuela SA: | | | | | | | | |
5.125% Sr. Unsec. Nts., 10/28/16 | | $ | 3,315,000 | | | $ | 2,676,863 | |
8.50% Sr. Nts., 11/2/173 | | | 13,735,000 | | | | 12,478,248 | |
12.75% Sr. Unsec. Nts., 2/17/223 | | | 7,700,000 | | | | 7,546,000 | |
Petroleos Mexicanos: | | | | | | | | |
1.95% Sr. Unsec. Nts., 12/20/22 | | | 622,250 | | | | 619,768 | |
2% Sr. Unsec. Nts., 12/20/22 | | | 3,092,250 | | | | 3,086,832 | |
3.50% Sr. Unsec. Unsub. Nts., 1/30/23 | | | 9,575,000 | | | | 8,727,344 | |
4.875% Sr. Unsec. Unsub. Nts., 1/18/24 | | | 12,880,000 | | | | 12,912,200 | |
5.50% Sr. Unsec. Unsub. Nts., 6/27/44 | | | 645,000 | | | | 588,701 | |
6% Sr. Unsec. Unsub. Nts., 3/5/20 | | | 11,880,000 | | | | 13,246,200 | |
6.50% Sr. Unsec. Unsub. Nts., 6/2/41 | | | 4,835,000 | | | | 5,034,429 | |
8% Unsec. Unsub. Nts., 5/3/19 | | | 6,970,000 | | | | 8,451,125 | |
Petroleum Co. of Trinidad & Tobago Ltd.: 6% Sr. Unsec. Unsub. Nts., 5/8/223 | | | 630,000 | | | | 675,675 | |
9.75% Sr. Unsec. Nts., 8/14/193 | | | 1,690,000 | | | | 2,180,100 | |
Petronas Capital Ltd., 7.875% Nts., 5/22/223 | | | 3,380,000 | | | | 4,307,786 | |
Range Resources Corp., 5% Sr. Unsec. Sub. Nts., 8/15/22 | | | 3,430,000 | | | | 3,335,675 | |
Reliance Industries Ltd., 5.875% Sr. Unsec. Perpetual Bonds3,15 | | | 2,270,000 | | | | 1,861,400 | |
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., 6.50% Sec. Nts., 4/15/213 | | | 3,720,000 | | | | 3,664,200 | |
Rosetta Resources, Inc., 5.625% Sr. Unsec. Unsub. Nts., 5/1/21 | | | 2,550,000 | | | | 2,435,250 | |
Sabine Pass Liquefaction LLC: | | | | | | | | |
5.625% Sr. Sec. Nts., 2/1/213 | | | 4,220,000 | | | | 4,151,425 | |
5.625% Sr. Sec. Nts., 4/15/233 | | | 3,510,000 | | | | 3,382,763 | |
Samson Investment Co., 10.25% Sr. Unsec. Nts., 2/15/203 | | | 4,655,000 | | | | 4,957,575 | |
Sanchez Energy Corp., 7.75% Sr. Unsec. Nts., 6/15/213 | | | 2,550,000 | | | | 2,499,000 | |
SandRidge Energy, Inc.: | | | | | | | | |
7.50% Sr. Unsec. Unsub. Nts., 2/15/23 | | | 2,185,000 | | | | 2,174,075 | |
7.50% Sr. Unsec. Unsub. Nts., 3/15/21 | | | 2,220,000 | | | | 2,253,300 | |
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/223 | | | 8,411,240 | | | | 8,053,762 | |
Sibur Securities Ltd., 3.914% Sr. Unsec. Nts., 1/31/183 | | | 4,815,000 | | | | 4,598,325 | |
SM Energy Co., 6.50% Sr. Unsec. Unsub. Nts., 1/1/23 | | | 4,005,000 | | | | 4,105,125 | |
Tengizchevroil LLP, 6.124% Nts., 11/15/143 | | | 1,566,275 | | | | 1,605,432 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875% Sr. Unsec. Nts., 10/1/20 | | | 1,675,000 | | | | 1,679,188 | |
Western Refining, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/21 | | | 4,300,000 | | |
| 4,235,500
|
|
| | | | | | | 399,269,282 | |
Financials—7.5% | | | | | | | | |
Capital Markets—1.0% | | | | | | | | |
American Capital Ltd., 6.50% Sr. Unsec. Nts., 9/15/183 | | | 4,300,000 | | | | 4,364,500 | |
Cantor Commercial Real Estate Co. LP/CCRE Finance, 7.75% Sr. Unsec. Nts., 2/15/183,5 | | | 6,455,000 | | | | 6,600,238 | |
Deutsche Bank AG, 4.296% Unsec. Sub. Nts., 5/24/28 | | | 2,350,000 | | | | 2,127,392 | |
Deutsche Bank Capital Trust, 4.901% Unsec. Sub. Perpetual Bonds2,3,15 | | | 2,160,000 | | | | 1,917,000 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 43 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Capital Markets Continued | | | | | | | | |
Nationstar Mortgage LLC/Nationstar Capital Corp.: | | | | | | | | |
6.50% Sr. Unsec. Nts., 8/1/18 | | $ | 1,450,000 | | | $ | 1,464,500 | |
6.50% Sr. Unsec. Unsub. Nts., 7/1/21 | | | 1,745,000 | | | | 1,679,563 | |
7.875% Sr. Unsec. Nts., 10/1/20 | | | 5,395,000 | | | | 5,651,263 | |
10.875% Sr. Unsec. Nts., 4/1/15 | | | 4,655,000 | | | | 4,872,389 | |
Nuveen Investments, Inc., 9.50% Sr. Unsec. Nts., 10/15/203 | | | 5,500,000 | | | | 5,403,750 | |
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 | | | 4,678,000 | | | | 5,122,410 | |
Prospect Medical Holdings, Inc., 8.375% Sr. Sec. Nts., 5/1/193 | | | 3,900,000 | | | | 4,114,500 | |
Red de Carreteras de Occidente SAPIB de CV, 9% Sr. Sec. Nts., 6/10/283 | | | 83,100,000 | MXN | | | 5,662,748 | |
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | | | 8,775,000 | | | | 9,213,750 | |
UBS AG (Jersey Branch): | | | | | | | | |
4.28% Jr. Sub. Perpetual Nts.15 | | | 660,000 | EUR | | | 902,864 | |
7.152% Jr. Sub. Perpetual Bonds15 | | | 455,000 | EUR | | | 680,949 | |
7.25% Unsec. Sub. Nts., 2/22/22 | | | 7,610,000 | | | | 8,192,355 | |
US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375% Sr. Unsec. Nts., 5/1/213 | | | 3,730,000 | | | | 3,916,500 | |
Verso Paper Holdings LLC/Verso Paper, Inc., 11.75% Sr. Sec. Nts., 1/15/19 | | | 3,795,000 | | | | 3,937,313 | |
Vnesheconombank Via VEB Finance plc, 5.45% Sr. Unsec. Unsub. Nts., 11/22/173 | | | 5,030,000 | | |
| 5,362,483
|
|
| | | | | | | 81,186,467 | |
Commercial Banks—3.9% | | | | | | | | |
Akbank TAS, 7.50% Sr. Unsec. Nts., 2/5/183 | | | 14,270,000 | TRY | | | 6,458,075 | |
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/173 | | | 5,630,000 | | | | 6,225,204 | |
Banco ABC Brasil SA, 8.50% Sr. Unsec. Nts., 3/28/161 | | | 3,575,000 | BRR | | | 1,447,711 | |
Banco Bilbao Vizcaya Argentaria SA, 9% Jr. Sub. Perpetual Bonds15 | | | 165,000 | | | | 163,543 | |
Banco BMG SA: | | | | | | | | |
8.875% Unsec. Sub. Nts., 8/5/203 | | | 1,850,000 | | | | 1,748,250 | |
9.15% Nts., 1/15/163 | | | 3,552,000 | | | | 3,694,080 | |
9.95% Unsec. Unsub. Nts., 11/5/193 | | | 4,565,000 | | | | 4,519,350 | |
Banco de Costa Rica, 5.25% Sr. Unsec. Nts., 8/12/183 | | | 3,635,000 | | | | 3,691,343 | |
Banco del Estado de Chile: | | | | | | | | |
3.875% Sr. Unsec. Nts., 2/8/223 | | | 2,285,000 | | | | 2,222,306 | |
4.125% Sr. Unsec. Nts., 10/7/203 | | | 3,835,000 | | | | 3,903,877 | |
Banco do Brasil SA (Cayman), 9.25% Jr. Sub. Perpetual Bonds3,15 | | | 15,435,000 | | | | 16,438,275 | |
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/223 | | | 14,190,000 | | | | 14,101,313 | |
Banco Santander Brasil SA (Cayman Islands), 8% Sr. Unsec. Unsub. Nts., 3/18/163 | | | 6,110,000 | BRR | | | 2,563,868 | |
Banco Santander Mexico SA, 4.125% Sr. Unsec. Nts., 11/9/223 | | | 5,805,000 | | | | 5,340,600 | |
Bancolombia SA, 5.125% Unsec. Sub. Nts., 9/11/22 | | | 8,770,000 | | | | 8,046,475 | |
Bank of Scotland plc: | | | | | | | | |
4.875% Sr. Sec. Nts., 12/20/24 | | | 805,000 | GBP | | | 1,475,051 | |
4.875% Sr. Sec. Unsub. Nts., 11/8/16 | | | 495,000 | GBP | | | 885,641 | |
| | |
44 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Banks Continued | | | | | | | | |
Barclays Bank plc: | | | | | | | | |
4.75% Jr. Sub. Perpetual Bonds15 | | | 1,320,000 | EUR | | $ | 1,421,413 | |
6% Jr. Sub. Perpetual Bonds15 | | | 5,175,000 | GBP | | | 7,561,013 | |
14% Jr. Sub. Perpetual Bonds15 | | | 2,575,000 | GBP | | | 5,606,388 | |
BBVA Banco Continental SA, 5% Sr. Unsec. Nts., 8/26/223 | | | 3,690,000 | | | | 3,551,625 | |
BNP Paribas SA: | | | | | | | | |
5.945% Jr. Sub. Perpetual Bonds15 | | | 4,990,000 | GBP | | | 7,978,184 | |
7.195% Jr. Sub. Perpetual Bonds3,15 | | | 1,405,000 | | | | 1,417,294 | |
BPCE SA, 9% Jr. Sub. Perpetual Bonds15 | | | 7,150,000 | EUR | | | 10,290,978 | |
Caixa Economica Federal, 4.50% Sr. Unsec. Nts., 10/3/183,5 | | | 5,635,000 | | | | 5,591,047 | |
CIT Group, Inc.: | | | | | | | | |
4.25% Sr. Unsec. Nts., 8/15/17 | | | 1,455,000 | | | | 1,487,738 | |
5% Sr. Unsec. Nts., 8/15/22 | | | 6,035,000 | | | | 5,924,994 | |
Commerzbank AG, 8.125% Unsec. Nts., 9/19/233 | | | 2,635,000 | | | | 2,694,288 | |
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/223 | | | 3,875,000 | | | | 3,768,438 | |
Corp Group Banking SA, 6.75% Sr. Unsec. Nts., 3/15/233 | | | 5,645,000 | | | | 4,826,475 | |
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds3,15 | | | 9,785,000 | | | | 10,751,269 | |
Danske Bank A/S, 5.684% Jr. Sub. Perpetual Bonds15 | | | 4,865,000 | GBP | | | 7,875,992 | |
EUROFIMA, 6.25% Bonds, 12/28/18 | | | 3,325,000 | AUD | | | 3,364,887 | |
European Investment Bank: | | | | | | | | |
6% Sr. Unsec. Nts., 8/6/20 | | | 3,760,000 | AUD | | | 3,771,312 | |
6.50% Sr. Unsec. Nts., 8/7/19 | | | 1,885,000 | AUD | | | 1,942,902 | |
Export-Import Bank of India, 4% Sr. Unsec. Nts., 1/14/23 | | | 1,515,000 | | | | 1,298,204 | |
Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/223 | | | 5,000,000 | | | | 4,500,000 | |
ICICI Bank Ltd., 6.375% Bonds, 4/30/222,3 | | | 3,090,000 | | | | 2,889,150 | |
LBG Capital No. 1 plc, 11.04% Unsec. Sub. Nts., 3/19/20 | | | 7,877,000 | GBP | | | 14,851,161 | |
LBG Capital No. 1 plc, 7.869% Sec. Sub. Nts., 8/25/20 | | | 940,000 | GBP | | | 1,616,100 | |
Lloyds TSB Bank plc, 6% Sr. Sec. Nts., 2/8/29 | | | 1,455,000 | GBP | | | 2,950,524 | |
Rabobank Capital Funding Trust IV, 5.556% Perpetual Bonds3,15 | | | 1,250,000 | GBP | | | 2,030,110 | |
RBS Capital Trust III, 5.512% Jr. Sub. Perpetual Bonds15 | | | 8,228,000 | | | | 7,631,470 | |
Royal Bank of Scotland NV: | | | | | | | | |
3.37% Sub. Nts., 5/17/18 | | | 940,000 | AUD | | | 768,588 | |
3.37% Sub. Nts., Series FRN, 5/17/18 | | | 1,125,000 | AUD | | | 919,853 | |
Royal Bank of Scotland plc (The): | | | | | | | | |
2.375% Sr. Unsec. Sub. Nts., 11/2/15 | | | 285,000 | CHF | | | 315,270 | |
13.125% Unsec. Sub. Nts., 3/19/22 | | | 1,225,000 | AUD | | | 1,365,672 | |
Sberbank of Russia Via SB Capital SA: | | | | | | | | |
5.125% Sub. Nts., 10/29/223 | | | 4,475,000 | | | | 4,196,208 | |
5.40% Sr. Unsec. Nts., 3/24/17 | | | 2,590,000 | | | | 2,764,825 | |
6.125% Sr. Nts., 2/7/223 | | | 6,875,000 | | | | 7,218,750 | |
Scottish Widows plc, 5.125% Jr. Sub. Perpetual Bonds15 | | | 1,555,000 | GBP | | | 2,435,588 | |
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds3,15 | | | 7,525,000 | | | | 7,714,299 | |
Stadshypotek AB, 6% Sec. Unsub. Bonds, 6/21/17 | | | 17,935,000 | SEK | | | 3,164,496 | |
Standard Chartered plc, 5.20% Unsec. Sub. Nts., 1/26/243 | | | 850,000 | | | | 856,072 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 45 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Banks Continued | | | | | | | | |
Turkiye Halk Bankasi AS, 4.875% Sr. Unsec. Nts., 7/19/173 | | $ | 4,885,000 | | | $ | 4,909,425 | |
Turkiye Is Bankasi AS: | | | | | | | | |
3.875% Sr. Unsec. Nts., 11/7/173 | | | 1,930,000 | | | | 1,860,038 | |
5.097% Unsec. Nts., 11/6/1313 | | | 46,400,000 | TRY | | | 22,788,727 | |
6% Sub. Nts., 10/24/223 | | | 5,500,000 | | | | 5,046,250 | |
7.293% Unsec. Nts., 10/9/1313 | | | 13,515,000 | TRY | | | 6,678,519 | |
Turkiye Sise ve Cam Fabrikalari AS, 4.25% Sr. Unsec. Nts., 5/9/203 | | | 1,955,000 | | | | 1,698,895 | |
Turkiye Vakiflar Bankasi Tao, 3.75% Sr. Unsec. Nts., 4/15/183 | | | 6,640,000 | | | | 6,208,400 | |
VTB Bank OJSC Via VTB Capital SA, 6% Sr. Unsec. Nts., 4/12/173 | | | 2,940,000 | | | | 3,101,700 | |
VTB Capital SA: | | | | | | | | |
6.465% Sr. Sec. Unsub. Nts., 3/4/153 | | | 2,070,000 | | | | 2,189,191 | |
6.875% Sr. Sec. Nts., 5/29/183 | | | 5,190,000 | | | | 5,592,225 | |
Yapi ve Kredi Bankasi AS: 5.50% Unsec. Sub. Nts., 12/6/223 | | | 7,055,000 | | | | 6,067,300 | |
6.75% Sr. Unsec. Nts., 2/8/173 | | | 4,085,000 | | | | 4,290,271 | |
| | | | | |
|
|
|
| | | | | | | 312,668,480 | |
Consumer Finance—0.6% | | | | | | | | |
Ahern Rentals, Inc., 9.50% Sr. Sec. Nts., 6/15/183 | | | 5,035,000 | | | | 5,324,513 | |
Ally Financial, Inc., 7.50% Sr. Unsec. Unsub. Nts., 9/15/20 | | | 4,995,000 | | | | 5,631,863 | |
Cash America International, Inc., 5.75% Sr. Unsec. Nts., 5/15/183 | | | 10,225,000 | | | | 9,969,375 | |
Community Choice Financial, Inc., 10.75% Sr. Sec. Nts., 5/1/19 | | | 1,855,000 | | | | 1,641,675 | |
JSC Astana Finance, 9.16% Nts., 3/14/127 | | | 27,100,000 | | | | 1,541,313 | |
Milestone Aviation Group LLC, 8.625% Sr. Unsec. Nts., 12/15/173 | | | 4,725,000 | | | | 4,996,688 | |
SLM Corp., 7.25% Sr. Unsec. Unsub. Nts., 1/25/22 | | | 3,870,000 | | | | 3,957,075 | |
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/183 | | | 7,105,000 | | | | 7,513,538 | |
TMX Finance LLC/TitleMax Finance Corp., 8.50% Sr. Sec. Nts., 9/15/183 | | | 6,550,000 | | | | 6,877,500 | |
| | | | | |
|
|
|
| | | | | | | 47,453,540 | |
Diversified Financial Services—1.0% | | | | | | | | |
AG Spring Finance Ltd., 7.50% Sr. Sec. Nts., 6/1/183 | | | 955,000 | EUR | | | 1,317,812 | |
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 4/15/243 | | | 9,145,823 | | | | 8,897,057 | |
AyT Cedulas Cajas X Fondo de Titulizacion, 3.75% Sec. Nts., 6/30/25 | | | 470,000 | EUR | | | 515,581 | |
Banco BTG Pactual SA (Cayman): 4% Sr. Unsec. Nts., 1/16/203 | | | 7,800,000 | | | | 7,000,500 | |
5.75% Unsec. Sub. Nts., 9/28/223 | | | 3,955,000 | | | | 3,579,275 | |
Banco Invex SA, 31.938% Mtg.-Backed Certificates, Series 062U, 3/13/347,14 | | | 17,961,653 | MXN | | | 908,187 | |
Brazil Loan Trust 1, 5.477% Sr. Sec. Nts., 7/24/233 | | | 4,560,000 | | | | 4,651,200 | |
Cedulas TDA 6 Fondo de Titulizacion de Activos, 3.875% Sec. Nts., 5/23/25 | | | 470,000 | EUR | | | 519,211 | |
CNG Holdings, Inc., 9.375% Sr. Sec. Nts., 5/15/203 | | | 1,360,000 | | | | 1,264,800 | |
European Investment Bank, 5% Sr. Unsec. Nts., 8/22/22 | | | 2,345,000 | AUD | | | 2,191,075 | |
Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/193 | | | 10,595,000 | | | | 10,899,606 | |
ING Verzekeringen NV, 6.375% Unsec. Sub. Nts., 5/7/27 | | | 5,565,000 | EUR | | | 7,822,643 | |
| | |
46 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Diversified Financial Services Continued | | | | | | | | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.375% Sr. Unsec. Nts., 4/1/203 | | $ | 5,865,000 | | | $ | 5,835,675 | |
Jefferies LoanCore LLC/JLC Finance Corp., 6.875% Sr. Unsec. Nts., 6/1/203 | | | 5,940,000 | | | | 5,850,900 | |
JPMorgan Hipotecaria su Casita: 8.448% Sec. Nts., 8/26/351,14 | | | 20,232,960 | MXN | | | 138,288 | |
30.266% Mtg.-Backed Certificates, Series 06U, 9/25/3514 | | | 5,694,285 | MXN | | | 694,496 | |
Magyar Export-Import Bank RT, 5.50% Sr. Unsec. Nts., 2/12/183 | | | 4,065,000 | | | | 4,110,731 | |
National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/183 | | | 3,005,000 | | | | 3,089,516 | |
Spencer Spirit Holdings, Inc., 9% Sr. Unsec. Nts., 5/1/183,6 | | | 5,950,000 | | | | 5,831,000 | |
Vnesheconombank via VEB Finance plc, 5.375% Sr. Unsec. Nts., 2/13/173 | | | 4,420,000 | | |
| 4,689,620
|
|
| | | | | | | 79,807,173 | |
Insurance—0.3% | | | | | | | | |
Assicurazioni Generali SpA, 7.75% Unsec. Sub. Nts., 12/12/42 | | | 190,000 | EUR | | | 278,569 | |
Aviva plc, 6.125% Jr. Sub. Perpetual Bonds15 | | | 4,805,000 | GBP | | | 7,743,852 | |
AXA SA, 6.379% Sub. Perpetual Bonds3,15 | | | 1,875,000 | | | | 1,811,719 | |
Hockey Merger Sub 2, Inc., 7.875% Sr. Unsec. Nts., 10/1/213,5 | | | 2,155,000 | | | | 2,168,469 | |
Patriot Merger Corp., 9% Sr. Unsec. Nts., 7/15/213 | | | 2,960,000 | | | | 3,063,600 | |
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds3,15 | | | 7,198,000 | | | | 7,559,296 | |
Swiss Reinsurance Co. via ELM BV: 3.96% Jr. Sub. Perpetual Bonds2,15 | | | 470,000 | AUD | | | 400,827 | |
7.635% Jr. Sub. Perpetual Bonds15 | | | 190,000 | AUD | |
| 182,244
|
|
| | | | | | | 23,208,576 | |
Real Estate Investment Trusts (REITs)—0.3% | | | | | | | | |
DuPont Fabros Technology LP, 5.875% Sr. Unsec. Nts., 9/15/213 | | | 5,020,000 | | | | 5,045,100 | |
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 | | | 4,035,000 | | | | 4,277,100 | |
Felcor Lodging LP, 5.625% Sr. Sec. Nts., 3/1/23 | | | 4,275,000 | | | | 4,002,469 | |
Geo Group, Inc. (The), 5.125% Sr. Unsec. Nts., 4/1/233 | | | 5,725,000 | | | | 5,267,000 | |
iStar Financial, Inc., 4.875% Sr. Unsec. Unsub. Nts., 7/1/18 | | | 3,715,000 | | | | 3,622,125 | |
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 | | | 3,860,000 | | |
| 4,168,800
|
|
| | | | | | | 26,382,594 | |
Real Estate Management & Development—0.4% | | | | | | | | |
BR Malls International Finance Ltd., 8.50% Perpetual Bonds3,15 | | | 3,240,000 | | | | 3,221,775 | |
Country Garden Holdings Co. Ltd., 7.50% Sr. Unsec. Unsub. Nts., 12/31/233 | | | 7,385,000 | | | | 7,144,988 | |
Realogy Corp.: 7.625% Sr. Sec. Nts., 1/15/203 | | | 9,400,000 | | | | 10,528,000 | |
9% Sr. Sec. Nts., 1/15/203 | | | 2,890,000 | | | | 3,352,400 | |
Techem GmbH, 6.125% Sr. Sec. Nts., 10/1/193 | | | 2,445,000 | EUR | |
| 3,572,337
|
|
| | | | | | | 27,819,500 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 47 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Health Care—1.4% | | | | | | | | |
Biotechnology—0.1% | | | | | | | | |
Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 | | $ | 3,760,000 | | | $ | 4,056,100 | |
Universal Hospital Services, Inc., 7.625% Sr. Sec. Nts, 8/15/20 | | | 5,530,000 | | |
| 5,737,375
|
|
| | | | | | | 9,793,475 | |
Health Care Equipment & Supplies—0.4% | | | | | | | | |
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | | | 2,675,000 | | | | 2,474,375 | |
Alere, Inc.: 7.25% Sr. Unsec. Unsub. Nts., 7/1/18 | | | 4,585,000 | | | | 4,974,725 | |
8.625% Sr. Unsec. Sub. Nts., 10/1/18 | | | 604,907 | | | | 654,812 | |
Biomet, Inc.: 6.50% Sr. Unsec. Sub. Nts., 10/1/20 | | | 2,235,000 | | | | 2,276,906 | |
6.50% Sr. Unsec. Unsub. Nts., 8/1/20 | | | 7,640,000 | | | | 7,926,500 | |
ConvaTec Healthcare ESA, 10.875% Sr. Unsec. Nts., 12/15/183 | | | 1,765,000 | EUR | | | 2,704,162 | |
Hologic, Inc., 6.25% Sr. Unsec. Unsub. Nts., 8/1/20 | | | 665,000 | | | | 695,756 | |
Kinetic Concepts, Inc./KCI USA, Inc., 10.50% Sec. Nts., 11/1/18 | | | 6,685,000 | | |
| 7,411,994
|
|
| | | | | | | 29,119,230 | |
Health Care Providers & Services—0.7% | | | | | | | | |
Acadia Healthcare Co., Inc., 6.125% Sr. Unsec. Nts., 3/15/213 | | | 1,560,000 | | | | 1,583,400 | |
CHS/Community Health Systems, Inc., 7.125% Sr. Unsec. Unsub. Nts., 7/15/20 | | | 3,340,000 | | | | 3,377,575 | |
DaVita HealthCare Partners, Inc., 5.75% Sr. Unsec. Unsub. Nts., 8/15/22 | | | 3,205,000 | | | | 3,184,969 | |
Fresenius Medical Care US Finance II, Inc.: 5.625% Sr. Unsec. Nts., 7/31/193 | | | 2,980,000 | | | | 3,121,550 | |
5.875% Sr. Unsec. Nts., 1/31/223 | | | 1,490,000 | | | | 1,534,700 | |
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | | | 4,645,000 | | | | 4,842,413 | |
HCA, Inc., 7.50% Sr. Unsec. Unsub. Nts., 2/15/22 | | | 5,965,000 | | | | 6,561,500 | |
Health Management Associates, Inc., 7.375% Sr. Unsec. Nts., 1/15/20 | | | 3,045,000 | | | | 3,351,403 | |
HealthSouth Corp.: 7.75% Sr. Unsec. Nts., 9/15/22 | | | 2,975,000 | | | | 3,205,563 | |
8.125% Sr. Unsec. Unsub. Nts., 2/15/20 | | | 2,081,000 | | | | 2,276,094 | |
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 | | | 6,420,000 | | | | 6,869,400 | |
Multiplan, Inc., 9.875% Sr. Nts., 9/1/183 | | | 4,240,000 | | | | 4,706,400 | |
Select Medical Corp., 6.375% Sr. Unsec. Nts., 6/1/213 | | | 3,715,000 | | | | 3,538,538 | |
Tenet Healthcare Corp., 6% Sr. Sec. Nts., 10/1/203 | | | 3,360,000 | | | | 3,441,900 | |
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | | | 7,295,000 | | |
| 7,732,700
|
|
| | | | | | | 59,328,105 | |
Life Sciences Tools & Services—0.1% | | | | | | | | |
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/193 | | | 3,730,000 | | | | 4,210,238 | |
Pharmaceuticals—0.1% | | | | | | | | |
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/183 | | | 2,915,000 | | | | 3,097,188 | |
| | |
48 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Pharmaceuticals Continued | | | | | | | | |
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 | | $ | 3,740,000 | | | $ | 4,085,950 | |
| | | | | |
|
|
|
| | | | | | | 7,183,138 | |
Industrials—4.2% | | | | | | | | |
Aerospace & Defense—1.0% | | | | | | | | |
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 | | | 4,026,000 | | | | 4,418,535 | |
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 | | | 14,610,000 | | | | 15,121,350 | |
Embraer SA, 5.15% Sr. Unsec. Unsub. Nts., 6/15/22 | | | 2,675,000 | | | | 2,601,438 | |
Erickson Air-Crane, Inc., 8.25% Sr. Sec. Nts., 5/1/203 | | | 10,234,000 | | | | 10,067,698 | |
FGI Operating Co. LLC/FGI Finance, Inc., 7.875% Sr. Sec. Nts., 5/1/203 | | | 9,370,000 | | | | 9,791,650 | |
GenCorp, Inc., 7.125% Sec. Nts., 3/15/213 | | | 11,560,000 | | | | 12,166,900 | |
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 | | | 6,075,000 | | | | 6,576,188 | |
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | | | 3,883,000 | | | | 4,242,178 | |
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/193 | | | 6,920,000 | | | | 7,750,400 | |
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 | | | 3,710,000 | | | | 3,969,700 | |
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 | | | 3,670,000 | | |
| 4,000,300
|
|
| | | | | | | 80,706,337 | |
Air Freight & Logistics—0.2% | | | | | | | | |
Air Medical Group Holdings, Inc., 9.25% Sr. Sec. Nts., 11/1/18 | | | 3,042,000 | | | | 3,285,360 | |
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/201 | | | 9,365,000 | | |
| 9,856,663
|
|
| | | | | | | 13,142,023 | |
Airlines—0.2% | | | | | | | | |
Air Canada, 6.75% Sr. Sec. Nts., 10/1/193 | | | 3,580,000 | | | | 3,566,575 | |
Emirates Airline, 4.50% Sr. Unsec. Nts., 2/28/253 | | | 9,510,000 | | | | 8,559,000 | |
US Airways 2011-1 Class A Pass-Through Trust, 7.125% Sec. Certificates, 10/22/23 | | | 4,485,215 | | |
| 4,922,524
|
|
| | | | | | | 17,048,099 | |
Building Products—0.2% | | | | | | | | |
Nortek, Inc., 8.50% Sr. Unsec. Nts., 4/15/21 | | | 5,880,000 | | | | 6,423,900 | |
Ply Gem Industries, Inc.: | | | | | | | | |
8.25% Sr. Sec. Nts., 2/15/18 | | | 3,851,000 | | | | 4,139,825 | |
9.375% Sr. Unsec. Nts., 4/15/17 | | | 6,273,000 | | | | 6,649,380 | |
| | | | | |
|
|
|
| | | | | | | 17,213,105 | |
Commercial Services & Supplies—0.5% | | | | | | | | |
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 | | | 9,880,000 | | | | 7,879,300 | |
Cenveo Corp., 8.875% Sec. Nts., 2/1/18 | | | 2,475,000 | | | | 2,475,000 | |
First Data Corp., 6.75% Sr. Sec. Nts., 11/1/203 | | | 7,710,000 | | | | 8,018,400 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 49 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Commercial Services & Supplies Continued | | | | | | | | |
R.R. Donnelley & Sons Co., 7.875% Sr. Unsec. Unsub. Nts., 3/15/21 | | $ | 4,075,000 | | | $ | 4,390,813 | |
STHI Holding Corp., 8% Sec. Nts., 3/15/183 | | | 3,755,000 | | | | 4,064,788 | |
Tervita Corp., 8% Sr. Sec. Nts., 11/15/183 | | | 4,205,000 | | | | 4,241,794 | |
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 | | | 7,580,000 | | | | 8,281,150 | |
| | | | | |
|
|
|
| | | | | | | 39,351,245 | |
Construction & Engineering—0.3% | | | | | | | | |
Andrade Gutierrez International SA, 4% Sr. Unsec. Nts., 4/30/183 | | | 3,715,000 | | | | 3,501,388 | |
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/241 | | | 13,419,163 | | | | 15,700,421 | |
OAS Investments GmbH, 8.25% Sr. Nts., 10/19/193 | | | 2,680,000 | | | | 2,713,500 | |
Odebrecht Finance Ltd., 8.25% Sr. Unsec. Nts., 4/25/183 | | | 3,985,000 | BRR | | | 1,497,949 | |
| | | | | |
|
|
|
| | | | | | | 23,413,258 | |
Electrical Equipment—0.1% | | | | | | | | |
General Cable Corp., 5.75% Sr. Unsec. Unsub. Nts., 10/1/223 | | | 4,230,000 | | | | 4,071,375 | |
Orion Engineered Carbons Bondco GmbH, 10% Sr. Sec. Nts., 6/15/181 | | | 2,493,000 | EUR | | | 3,760,849 | |
| | | | | |
|
|
|
| | | | | | | 7,832,224 | |
Industrial Conglomerates—0.1% | | | | | | | | |
GE Capital Australia Funding Pty Ltd., 7% Bonds, 10/8/15 | | | 2,230,000 | AUD | | | 2,220,050 | |
Hutchison Whampoa Europe Finance 13 Ltd., 3.75% Jr. Sub. Perpetual Bonds15 | | | 380,000 | EUR | | | 489,022 | |
KOC Holding AS, 3.50% Sr. Unsec. Nts., 4/24/203 | | | 6,135,000 | | | | 5,269,965 | |
| | | | | |
|
|
|
| | | | | | | 7,979,037 | |
Machinery—0.7% | | | | | | | | |
Actuant Corp., 5.625% Sr. Unsec. Unsub. Nts., 6/15/22 | | | 4,110,000 | | | | 4,130,550 | |
ArvinMeritor, Inc., 10.625% Sr. Unsec. Nts., 3/15/18 | | | 3,992,000 | | | | 4,331,320 | |
Cleaver-Brooks, Inc., 8.75% Sr. Sec. Nts., 12/15/193 | | | 5,510,000 | | | | 5,971,463 | |
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16 | | | 2,540,000 | | | | 2,806,700 | |
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | | | 10,315,000 | | | | 11,527,013 | |
Navistar International Corp., 8.25% Sr. Unsec. Nts., 11/1/21 | | | 3,425,000 | | | | 3,484,938 | |
Terex Corp., 6% Sr. Unsec. Nts., 5/15/21 | | | 9,515,000 | | | | 9,669,619 | |
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 | | | 7,000,000 | | | | 7,577,500 | |
Xerium Technologies, Inc., 8.875% Sr. Unsec. Nts., 6/15/18 | | | 5,745,000 | | | | 5,917,350 | |
| | | | | |
|
|
|
| | | | | | | 55,416,453 | |
Marine—0.0% | | | | | | | | |
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | | | 2,750,000 | | | | 2,887,500 | |
Professional Services—0.1% | | | | | | | | |
FTI Consulting, Inc., 6% Sr. Unsec. Unsub. Nts., 11/15/22 | | | 9,245,000 | | | | 9,221,888 | |
| | |
50 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Road & Rail—0.4% | | | | | | | | |
Avis Budget Car Rental LLC/Avis Budget Finance, 5.50% Sr. Unsec. Unsub. Nts., 4/1/23 | | $ | 5,950,000 | | | $ | 5,533,500 | |
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/203 | | | 2,785,000 | | | | 3,063,500 | |
Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/181 | | | 5,360,000 | | | | 5,648,100 | |
Rede Ferroviaria Nacional REFER EPE, 4% Sr. Unsec. Unsub. Nts., 3/16/15 | | | 1,915,000 | EUR | | | 2,487,080 | |
Transnet SOC Ltd., 4% Sr. Unsec. Nts., 7/26/223 | | | 1,790,000 | | | | 1,588,625 | |
Ukraine Railways via Shortline plc, 9.50% Unsec. Nts., 5/21/183 | | | 1,035,000 | | | | 833,175 | |
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/153 | | | 18,908,000 | | | | 10,966,640 | |
| | | | | |
|
|
|
| | | | | | | 30,120,620 | |
Trading Companies & Distributors—0.4% | | | | | | | | |
Air Lease Corp., 4.75% Sr. Unsec. Unsub. Nts., 3/1/20 | | | 3,025,000 | | | | 2,987,188 | |
HD Supply, Inc., 7.50% Sr. Unsec. Nts., 7/15/203 | | | 11,630,000 | | | | 12,080,663 | |
International Lease Finance Corp.: | | | | | | | | |
3.875% Sr. Unsec. Unsub. Nts., 4/15/18 | | | 4,470,000 | | | | 4,327,519 | |
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 | | | 6,613,000 | | | | 7,621,483 | |
United Rentals North America, Inc., 7.375% Sr. Unsec. Nts., 5/15/20 | | | 3,870,000 | | | | 4,189,275 | |
| | | | | |
|
|
|
| | | | | | | 31,206,128 | |
Information Technology—1.2% | | | | | | | | |
Communications Equipment—0.1% | | | | | | | | |
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/193 | | | 4,435,000 | | | | 4,168,900 | |
ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20 | | | 4,298,000 | | | | 4,480,665 | |
| | | | | |
|
|
|
| | | | | | | 8,649,565 | |
Computers & Peripherals—0.0% | | | | | | | | |
Denali Borrower LLC/Denali Finance Corp., 5.625% Sr. Sec. Nts., 10/15/203,5 | | | 4,005,000 | | | | 3,909,881 | |
Electronic Equipment, Instruments & Components—0.1% | | | | | | | | |
Anixter, Inc., 5.625% Sr. Unsec. Nts., 5/1/19 | | | 3,575,000 | | | | 3,700,125 | |
Belden, Inc., 5.50% Sr. Unsec. Sub. Nts., 9/1/223 | | | 4,240,000 | | | | 4,112,800 | |
| | | | | |
|
|
|
| | | | | | | 7,812,925 | |
Internet Software & Services—0.3% | | | | | | | | |
Cerved Group SpA, 6.375% Sr. Sec. Nts., 1/15/203 | | | 2,570,000 | EUR | | | 3,563,746 | |
EarthLink, Inc., 7.375% Sr. Sec. Nts., 6/1/203 | | | 11,145,000 | | | | 10,922,100 | |
Equinix, Inc., 4.875% Sr. Unsec. Nts., 4/1/20 | | | 4,135,000 | | | | 4,031,625 | |
IAC/InterActiveCorp, 4.75% Sr. Unsec. Unsub. Nts., 12/15/22 | | | 4,470,000 | | | | 4,134,750 | |
| | | | | |
|
|
|
| | | | | | | 22,652,221 | |
IT Services—0.4% | | | | | | | | |
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | | | 1,575,000 | | | | 1,598,625 | |
First Data Corp.: | | | | | | | | |
8.25% Sec. Nts., 1/15/213 | | | 4,755,000 | | | | 4,933,313 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 51 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
IT Services Continued | | | | | | | | |
First Data Corp.: Continued | | | | | | | | |
10.625% Sr. Unsec. Nts., 6/15/213 | | $ | 2,410,000 | | | $ | 2,458,200 | |
12.625% Sr. Unsec. Nts., 1/15/21 | | | 3,821,000 | | | | 4,222,205 | |
iPayment, Inc., 10.25% Sr. Unsec. Nts., 5/15/18 | | | 21,870,000 | | | | 15,746,400 | |
| | | | | |
|
|
|
| | | | | | | 28,958,743 | |
Semiconductors & Semiconductor Equipment—0.2% | | | | | | | | |
Freescale Semiconductor, Inc.: | | | | | | | | |
9.25% Sr. Sec. Nts., 4/15/183 | | | 7,605,000 | | | | 8,270,438 | |
10.75% Sr. Unsec. Nts., 8/1/20 | | | 7,099,000 | | | | 7,933,133 | |
| | | | | |
|
|
|
| | | | | | | 16,203,571 | |
Software—0.1% | | | | | | | | |
BMC Software Finance, Inc., 8.125% Sr. Unsec. Nts., 7/15/213 | | | 3,610,000 | | | | 3,763,425 | |
Infor US, Inc., 9.375% Sr. Unsec. Nts., 4/1/19 | | | 1,795,000 | | | | 2,014,888 | |
| | | | | |
|
|
|
| | | | | | | 5,778,313 | |
Materials—2.9% | | | | | | | | |
Chemicals—0.6% | | | | | | | | |
ADS Waste Holdings, Inc., 8.25% Sr. Nts., 10/1/203 | | | 1,310,000 | | | | 1,388,600 | |
Braskem Finance Ltd.: | | | | | | | | |
5.375% Sr. Unsec. Nts., 5/2/223 | | | 6,655,000 | | | | 6,239,063 | |
5.75% Sr. Unsec. Nts., 4/15/213 | | | 5,340,000 | | | | 5,259,900 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 | | | 2,310,000 | | | | 2,402,400 | |
Hexion US Finance Corp., 6.625% Sr. Sec. Nts., 4/15/20 | | | 3,125,000 | | | | 3,140,625 | |
Huntsman International LLC, 4.875% Sr. Unsec. Unsub. Nts., 11/15/20 | | | 780,000 | | | | 742,950 | |
Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/193 | | | 3,555,000 | | | | 3,932,719 | |
INEOS Group Holdings SA, 6.125% Sr. Unsec. Nts., 8/15/183 | | | 3,720,000 | | | | 3,645,600 | |
Mexichem SAB de CV, 4.875% Sr. Unsec. Nts., 9/19/223 | | | 4,480,000 | | | | 4,356,800 | |
Momentive Performance Materials, Inc., 8.875% Sr. Sec. Nts., 10/15/20 | | | 3,920,000 | | | | 4,135,600 | |
PetroLogistics LP/PetroLogistics Finance Corp., 6.25% Sr. Unsec. Nts., 4/1/203 | | | 1,490,000 | | | | 1,463,925 | |
PQ Corp., 8.75% Sr. Sec. Nts., 5/1/183 | | | 3,870,000 | | | | 4,140,900 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75% Sr. Sec. Nts., 2/1/193 | | | 3,865,000 | | | | 3,855,338 | |
| | | | | |
|
|
|
| | | | | | | 44,704,420 | |
Construction Materials—0.6% | | | | | | | | |
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/213 | | | 5,765,000 | | | | 6,211,788 | |
CEMEX Espana Luxembourg, 9.875% Sr. Sec. Nts., 4/30/193 | | | 9,890,000 | | | | 11,126,250 | |
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/203 | | | 10,755,000 | | | | 11,615,400 | |
CEMEX Finance LLC, 9.375% Sr. Sec. Nts., 10/12/223 | | | 6,520,000 | | | | 7,172,000 | |
Cemex SAB de CV: | | | | | | | | |
6.50% Sr. Sec. Nts., 12/10/193 | | | 5,120,000 | | | | 5,056,000 | |
| | |
52 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Construction Materials Continued | | | | | | | | |
Cemex SAB de CV: Continued | | | | | | | | |
7.25% Sr. Sec. Nts., 1/15/213,5 | | $ | 5,450,000 | | | $ | 5,443,188 | |
HeidelbergCement Finance BV, 8% Sr. Unsec. Unsub. Nts., 1/31/17 | | | 1,200,000 | EUR | | | 1,895,506 | |
Lafarge SA, 5.375% Sr. Unsec. Unsub. Nts., 6/26/17 | | | 1,330,000 | EUR | | | 1,941,363 | |
| | | | | |
|
|
|
| | | | | | | 50,461,495 | |
Containers & Packaging—0.6% | | | | | | | | |
Ardagh Packaging Finance plc/Ardagh MP Holdings USA, Inc., 7% Sr. Unsec. Nts., 11/15/203 | | | 7,865,000 | | | | 7,589,725 | |
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | | | 5,895,000 | | | | 6,838,200 | |
Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125% Sr. Unsec. Nts., 7/15/203 | | | 2,160,000 | | | | 2,322,000 | |
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50% Sr. Unsec. Nts., 1/15/233 | | | 10,075,000 | | | | 9,269,000 | |
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 | | | 5,295,000 | | | | 5,685,506 | |
Sealed Air Corp.: | | | | | | | | |
5.25% Sr. Unsec. Nts., 4/1/233 | | | 5,770,000 | | | | 5,495,925 | |
6.50% Sr. Unsec. Nts., 12/1/203 | | | 5,145,000 | | | | 5,415,113 | |
Smurfit Kappa Acquisitions, 7.75% Sr. Sec. Nts., 11/15/193 | | | 2,640,000 | EUR | | | 3,891,320 | |
| | | | | |
|
|
|
| | | | | | | 46,506,789 | |
Metals & Mining—1.0% | | | | | | | | |
Aleris International, Inc.: | | | | | | | | |
7.625% Sr. Unsec. Nts., 2/15/18 | | | 8,680,000 | | | | 9,124,850 | |
7.875% Sr. Unsec. Unsub. Nts., 11/1/20 | | | 9,150,000 | | | | 9,493,125 | |
Alrosa Finance SA, 7.75% Nts., 11/3/203 | | | 11,700,000 | | | | 13,047,840 | |
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/163 | | | 3,515,000 | | | | 3,576,513 | |
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/193 | | | 2,525,000 | | | | 2,626,000 | |
Evraz Group SA, 6.50% Sr. Unsec. Nts., 4/22/203 | | | 4,965,000 | | | | 4,589,547 | |
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/163 | | | 5,495,000 | | | | 5,000,450 | |
FMG Resources Pty Ltd., 6.875% Sr. Unsec. Unsub. Nts., 2/1/183 | | | 3,455,000 | | | | 3,623,431 | |
Gerdau Holdings, Inc., 7% Sr. Unsec. Nts., 1/20/203 | | | 1,005,000 | | | | 1,075,350 | |
Gerdau Trade, Inc., 5.75% Sr. Unsec. Nts., 1/30/213 | | | 2,670,000 | | | | 2,629,950 | |
JMC Steel Group, Inc., 8.25% Sr. Unsec. Nts., 3/15/183 | | | 740,000 | | | | 717,800 | |
Metalloinvest Finance Ltd., 5.625% Unsec. Nts., 4/17/203 | | | 3,735,000 | | | | 3,627,619 | |
Mexico Generadora de Energia S de RL, 5.50% Sr. Sec. Nts., 12/6/323 | | | 4,170,000 | | | | 3,763,425 | |
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 | | | 4,470,000 | | | | 4,928,175 | |
Samarco Mineracao SA, 4.125% Sr. Unsec. Nts., 11/1/223 | | | 3,140,000 | | | | 2,739,650 | |
Severstal OAO Via Steel Capital SA, 4.45% Sr. Unsec. Nts., 3/19/183 | | | 2,570,000 | | | | 2,521,813 | |
Vedanta Resources plc, 6% Sr. Unsec. Nts., 1/31/193 | | | 4,105,000 | | | | 3,920,275 | |
Walter Energy, Inc.: | | | | | | | | |
9.50% Sr. Sec. Nts., 10/15/19 | | | 2,860,000 | | | | 2,970,825 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 53 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Metals & Mining Continued | | | | | | | | |
Walter Energy, Inc.: Continued | | | | | | | | |
9.875% Sr. Unsec. Unsub. Nts., 12/15/203 | | $ | 5,080,000 | | | $ | 4,457,700 | |
| | | | | |
|
|
|
| | | | | | | 84,434,338 | |
Paper & Forest Products—0.1% | | | | | | | | |
Catalyst Paper Corp., 11% Sr. Sec. Nts., 10/30/176,16 | | | 8,034,634 | | | | 4,740,434 | |
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/147 | | | 12,640,364 | | | | — | |
| | | | | |
|
|
|
| | | | | | | 4,740,434 | |
Telecommunication Services—3.0% | | | | | | | | |
Diversified Telecommunication Services—1.7% | | | | | | | | |
Activision Blizzard, Inc., 5.625% Sr. Unsec. Unsub. Nts., 9/15/213 | | | 2,155,000 | | | | 2,163,081 | |
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/163 | | | 8,440,000 | BRR | | | 3,354,217 | |
Cequel Communications Escrow 1 LLC/Cequel Escrow Capital Corp., 6.375% Sr. Nts., 9/15/203 | | | 18,640,000 | | | | 19,106,000 | |
Colombia Telecomunicaciones SA ESP, 5.375% Sr. Unsec. Nts., 9/27/223 | | | 1,835,000 | | | | 1,692,788 | |
Fairpoint Communications, Inc., 8.75% Sr. Sec. Nts., 8/15/193 | | | 12,385,000 | | | | 12,663,663 | |
Frontier Communications Corp., 7.625% Sr. Unsec. Unsub. Nts., 4/15/24 | | | 5,730,000 | | | | 5,758,650 | |
Intelsat Jackson Holdings SA: | | | | | | | | |
5.50% Sr. Unsec. Nts., 8/1/233 | | | 3,710,000 | | | | 3,487,400 | |
7.25% Sr. Unsec. Nts., 10/15/20 | | | 5,205,000 | | | | 5,582,363 | |
Intelsat Luxembourg SA, 7.75% Sr. Unsec. Nts., 6/1/213 | | | 7,445,000 | | | | 7,733,494 | |
Koninklijke KPN NV, 6.125% Jr. Sub. Perpetual Bonds15 | | | 2,950,000 | EUR | | | 4,091,679 | |
Level 3 Communications, Inc., 8.875% Sr. Unsec. Unsub. Nts., 6/1/19 | | | 6,950,000 | | | | 7,471,250 | |
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 | | | 3,405,000 | | | | 3,771,038 | |
MetroPCS Wireless, Inc.: | | | | | | | | |
6.25% Sr. Unsec. Unsub. Nts., 4/1/213 | | | 5,735,000 | | | | 5,785,181 | |
6.625% Sr. Unsec. Nts., 11/15/20 | | | 9,170,000 | | | | 9,536,800 | |
Portugal Telecom International Finance BV, 5.625% Sr. Unsec. Unsub. Nts., 2/8/16 | | | 1,805,000 | EUR | | | 2,563,990 | |
Telecom Italia SpA, 7.75% Unsec. Sub. Nts., 3/20/73 | | | 7,970,000 | EUR | | | 10,774,347 | |
Telefonica Chile SA, 3.875% Sr. Unsec. Nts., 10/12/223 | | | 3,535,000 | | | | 3,157,119 | |
Telefonica Emisiones SAU, 3.987% Sr. Unsec. Unsub. Nts., 1/23/23 | | | 1,960,000 | EUR | | | 2,583,431 | |
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/203 | | | 13,945,000 | | | | 12,411,050 | |
Verizon Communications, Inc., 6.55% Sr. Unsec. Unsub. Nts., 9/15/43 | | | 430,000 | | | | 487,076 | |
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/183 | | | 9,355,000 | | | | 9,729,200 | |
Windstream Corp., 6.375% Sr. Unsec. Nts., 8/1/23 | | | 3,725,000 | | | | 3,427,000 | |
| | | | | |
|
|
|
| | | | | | | 137,330,817 | |
Wireless Telecommunication Services—1.3% | | | | | | | | |
America Movil SAB de CV: | | | | | | | | |
6.45% Sr. Unsec. Nts., 12/5/22 | | | 75,190,000 | MXN | | | 5,406,253 | |
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | | | 42,300,000 | MXN | | | 3,163,537 | |
Digicel Group Ltd., 8.25% Sr. Unsec. Nts., 9/30/203 | | | 2,005,000 | | | | 2,085,200 | |
| | |
54 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Principal Amount | | | Value | |
Wireless Telecommunication Services Continued | | | | | | | | |
Digicel Ltd., 6% Sr. Unsec. Nts., 4/15/213 | | $ | 3,770,000 | | | $ | 3,553,225 | |
Millicom International Cellular SA, 4.75% Sr. Unsec. Nts., 5/22/203 | | | 2,860,000 | | | | 2,666,950 | |
MTS International Funding Ltd.: | | | | | | | | |
5% Sr. Unsec. Nts., 5/30/233 | | | 3,745,000 | | | | 3,454,763 | |
8.625% Sr. Unsec. Nts., 6/22/203 | | | 6,080,000 | | | | 7,136,400 | |
SBA Telecommunications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 7/15/20 | | | 2,880,000 | | | | 2,872,800 | |
Sprint Capital Corp., 6.875% Sr. Unsec. Nts., 11/15/28 | | | 10,850,000 | | | | 9,737,875 | |
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/183 | | | 3,600,000 | | | | 4,230,000 | |
Vimpel Communications, Inc.: | | | | | | | | |
8.85% Sr. Unsec. Nts., 3/8/222 | | | 45,300,000 | RUR | | | 1,423,389 | |
8.85% Sr. Unsec. Nts., 3/8/222 | | | 40,700,000 | RUR | | | 1,278,850 | |
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: | | | | | | | | |
7.748% Sec. Nts., 2/2/213 | | | 7,020,000 | | | | 7,581,600 | |
9.125% Sr. Unsec. Nts., 4/30/183 | | | 14,815,000 | | | | 17,222,438 | |
VimpelCom, 7.504% Sr. Unsec. Unsub. Nts., 3/1/223 | | | 16,150,000 | | | | 17,058,438 | |
VimpelCom Holdings BV: | | | | | | | | |
5.95% Sr. Unsec. Unsub. Nts., 2/13/233 | | | 7,865,000 | | | | 7,476,941 | |
9% Sr. Unsec. Nts., 2/13/18 | | | 155,700,000 | RUR | | | 4,834,165 | |
| | | | | |
|
|
|
| | | | | | | 101,182,824 | |
Utilities—2.1% | | | | | | | | |
Electric Utilities—1.2% | | | | | | | | |
Dubai Electricity & Water Authority, 7.375% Sr. Unsec. Unsub. Nts., 10/21/203,5 | | | 16,745,000 | | | | 19,675,375 | |
EDP Finance BV, 6% Sr. Unsec. Unsub. Nts., 2/2/183 | | | 3,620,000 | | | | 3,755,750 | |
Electricite de France SA, 5.25% Jr. Sub. Perpetual Bonds2,3,15 | | | 7,180,000 | | | | 6,803,825 | |
Empresas Publicas de Medellin ESP, 8.375% Sr. Unsec. Unsub. Nts., 2/1/213 | | | 7,900,870,000 | COP | | | 4,348,133 | |
Enel SpA, 8.75% Unsec. Sub. Nts., 9/24/733 | | | 1,875,000 | | | | 1,921,875 | |
Eskom Holdings Ltd., 5.75% Sr. Unsec. Bonds, 1/26/213 | | | 1,820,000 | | | | 1,820,000 | |
Iberdrola International BV, 5.75% Jr. Sub. Perpetual Bonds15 | | | 2,750,000 | EUR | | | 3,757,542 | |
Israel Electric Corp. Ltd.: | | | | | | | | |
6.70% Sr. Unsec. Nts., 2/10/173 | | | 6,170,000 | | | | 6,630,992 | |
7.25% Nts., 1/15/193 | | | 28,745,000 | | | | 31,481,294 | |
9.375% Sr. Sec. Nts., 1/28/203 | | | 1,385,000 | | | | 1,661,021 | |
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | | | 421,000,000 | PHP | | | 10,434,109 | |
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/213 | | | 3,465,000 | | | | 3,326,400 | |
| | | | | |
|
|
|
| | | | | | | 95,616,316 | |
Energy Traders—0.6% | | | | | | | | |
AES Corp. (The): | | | | | | | | |
7.375% Sr. Unsec. Unsub. Nts., 7/1/21 | | | 3,745,000 | | | | 4,138,225 | |
8% Sr. Unsec. Unsub. Nts., 10/15/17 | | | 4,100,000 | | | | 4,735,500 | |
Calpine Corp.: | | | | | | | | |
7.50% Sr. Sec. Nts., 2/15/213 | | | 3,825,000 | | | | 4,083,188 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 55 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Principal Amount | | | Value | |
Energy Traders Continued | | | | | | | | |
Calpine Corp.: Continued | | | | | | | | |
7.875% Sr. Sec. Nts., 1/15/233 | | $ | 3,563,000 | | | $ | 3,767,873 | |
Colbun SA, 6% Sr. Unsec. Nts., 1/21/203 | | | 7,040,000 | | | | 7,560,080 | |
Dynegy, Inc., 5.875% Sr. Unsec. Nts., 6/1/233 | | | 1,485,000 | | | | 1,358,775 | |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | | | | | | | | |
10% Sr. Sec. Nts., 12/1/203 | | | 6,095,000 | | | | 6,430,225 | |
11.75% Sec. Nts., 3/1/223 | | | 5,700,000 | | | | 6,441,000 | |
Instituto Costarricense de Electricidad, 6.95% Sr. Unsec. Nts., 11/10/213 | | | 615,000 | | | | 634,988 | |
NRG Energy, Inc., 6.625% Sr. Unsec. Nts., 3/15/23 | | | 5,210,000 | | | | 5,131,850 | |
Perusahaan Listrik Negara PT, 5.25% Sr. Unsec. Nts., 10/24/423 | | | 1,120,000 | | | | 840,000 | |
Power Sector Assets & Liabilities Management Corp., 7.39% Sr. Gtd. Unsec. Nts., 12/2/243 | | | 1,095,000 | | | | 1,319,475 | |
| | | | | |
|
|
|
| | | | | | | 46,441,179 | |
Gas Utilities—0.2% | | | | | | | | |
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 | | | 8,895,000 | | | | 9,495,413 | |
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/213 | | | 3,745,000 | | | | 3,847,988 | |
Gas Natural de Lima y Callao SA, 4.375% Sr. Unsec. Nts., 4/1/233 | | | 2,330,000 | | | | 2,114,475 | |
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec. Nts., 3/20/223 | | | 1,910,000 | | | | 1,924,325 | |
| | | | | |
|
|
|
| | | | | | | 17,382,201 | |
Multi-Utilities—0.1% | | | | | | | | |
Eskom Holdings SOC Ltd., 6.75% Sr. Unsec. Nts., 8/6/233 | | | 6,070,000 | | | | 6,268,489 | |
Veolia Environnement SA, 4.44% Unsec. Perpetual Bonds2,15 | | | 2,990,000 | EUR | |
| 3,959,066
|
|
| | | | | |
| 10,227,555
|
|
Total Corporate Bonds and Notes (Cost $2,739,666,524) | | | | | | | 2,682,412,400 | |
| | |
| | Shares | | | | |
Preferred Stocks—0.1% | | | | | | | | |
Ally Financial, Inc., 7% Cum., Series G, Non-Vtg. (Cost $10,930,603) | | | 11,726 | | | | 11,204,926 | |
Common Stocks—0.3% | | | | | | | | |
American Media, Inc.16,17 | | | 801,816 | | | | 9,220,884 | |
Arco Capital Corp. Ltd.1,16,17 | | | 2,494,716 | | | | — | |
Catalyst Paper Corp.16,17 | | | 609,492 | | | | 704,136 | |
Global Aviation Holdings, Inc.17 | | | 7,700 | | | | — | |
NewPage Corp.17 | | | 54,820 | | | | 4,796,750 | |
Nortek, Inc.17 | | | 86,282 | | | | 5,928,436 | |
Premier Holdings Ltd.17 | | | 1,088,661 | | | | — | |
Revel Entertainment17 | | | 74,115 | | | | 1,704,645 | |
| | |
56 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
| | Shares | | | Value | |
Common Stocks Continued | | | | | | | | |
Wallace Theater Holdings, Inc.1,17 | | | 6,170 | | | $ | 61,885 | |
| | | | | |
|
|
|
Total Common Stocks (Cost $51,320,718) | | | | | | | 22,416,736 | |
| | Units | | | | |
Rights, Warrants and Certificates—0.0% | | | | | | | | |
MediaNews Group, Inc. Wts., Strike Price $48.72, Exp. 3/19/1717 (Cost $24,912,707) | | | 88,579 | | | | — | |
| | |
| | Principal Amount | | | | |
Structured Securities—1.0% | | | | | | | | |
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 | | | 5,392,000,000 | COP | | | 3,520,389 | |
Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/117 | | | 196,587,000 | RUR | | | — | |
Credit Suisse First Boston, Inc., Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/107 | | | 335,100,000 | RUR | | | — | |
Deutsche Bank AG: Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/253,13 | | | 4,314,472 | | | | 3,206,147 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/253,13 | | | 5,497,301 | | | | 4,085,125 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/253,13 | | | 4,746,039 | | | | 3,526,851 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/253,13 | | | 4,242,360 | | | | 3,152,560 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/253,13 | | | 5,282,082 | | | | 3,925,193 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.238%, 5/6/253,13 | | | 6,028,696 | | | | 4,480,012 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/253,13 | | | 4,816,222 | | | | 3,579,005 | |
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.338%, 5/6/253,13 | | | 4,527,043 | | | | 3,364,112 | |
Coriolanus Ltd. Sec. Credit Linked Nts., 17.954%, 12/31/171,14 | | | 36,050,000 | BRR | | | 22,147,579 | |
Opic Reforma I Credit Linked Nts., Cl. 2A, 7.455%, 5/22/151,2 | | | 1,803,555 | MXN | | | 129,781 | |
Opic Reforma I Credit Linked Nts., Cl. 2B, 7.455%, 5/22/151,2 | | | 3,155,364 | MXN | | | 227,055 | |
Opic Reforma I Credit Linked Nts., Cl. 2C, 7.455%, 5/22/151,2 | | | 47,575,229 | MXN | | | 3,423,439 | |
Opic Reforma I Credit Linked Nts., Cl. 2D, 7.455%, 5/22/151,2 | | | 3,467,217 | MXN | | | 249,496 | |
Opic Reforma I Credit Linked Nts., Cl. 2E, 7.455%, 5/22/151,2 | | | 2,518,999 | MXN | | | 181,263 | |
Opic Reforma I Credit Linked Nts., Cl. 2F, 7.455%, 5/22/151,2 | | | 1,608,758 | MXN | | | 115,764 | |
Opic Reforma I Credit Linked Nts., Cl. 2G, 7.455%, 5/22/151,2 | | | 296,268 | MXN | | | 21,319 | |
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., Cl. B, 10%, 7/30/243 | | | 14,950,000,000 | COP | | | 9,760,724 | |
Goldman Sachs Group, Inc. (The), United Mexican States Credit Linked Nts., 9.05%, 2/8/371,13 | | | 1,131,000,000 | MXN | | | 7,785,103 | |
LB Peru Trust II Certificates, Series 1998-A, 99.999%, 2/28/167,13 | | | 115,443 | | | | 115,608 | |
Morgan Stanley, Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | | | 158,649,558 | RUR | | | 2,454,260 | |
| | | | | |
|
|
|
Total Structured Securities (Cost $101,245,320) | | | | | | | 79,450,785 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 57 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Counterparty | | Exercise Price | | Expiration Date | | Contracts | | | | Value |
Over-the-Counter Options Purchased—0.2% |
AUD Currency Call17 | | | | BOFA | | | | | 95.500 | JPY | | | | 8/4/14 | | | | | 4,715,000 | AUD | | | | | $ | 77,999 | |
AUD Currency Call17 | | | | GSCO-OT | | | | | 102.000 | JPY | | | | 9/10/14 | | | | | 6,450,000 | AUD | | | | | | 38,163 | |
BRR Currency Call17 | | | | CITNA-B | | | | | 2.200 | BRR | | | | 10/15/13 | | | | | 93,500,000 | BRR | | | | | | 335,522 | |
BRR Currency Call17 | | | | BOFA | | | | | 2.240 | BRR | | | | 11/1/13 | | | | | 258,800,000 | BRR | | | | | | 2,269,301 | |
BRR Currency Call17 | | | | GSCO-OT | | | | | 2.210 | BRR | | | | 12/23/13 | | | | | 506,645,000 | BRR | | | | | | 4,320,101 | |
HUF Currency Call17 | | | | CITNA-B | | | | | 217.700 | HUF | | | | 11/1/13 | | | | | 16,795,000,000 | HUF | | | | | | 652,150 | |
HUF Currency Call17 | | | | BOFA | | | | | 218.300 | HUF | | | | 11/4/13 | | | | | 16,837,000,000 | HUF | | | | | | 785,446 | |
INR Curency Call17 | | | | GSCO-OT | | | | | 65.250 | INR | | | | 9/3/14 | | | | | 272,000,000 | INR | | | | | | 119,680 | |
INR Currency Call17 | | | | GSCO-OT | | | | | 65.000 | INR | | | | 9/2/14 | | | | | 271,700,000 | INR | | | | | | 112,625 | |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call17 | | | | GSCO-OT | | | | | 93.000 | USD | | | | 12/20/13 | | | | | 23,337 | USD | | | | | | 857,842 | |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call17 | | | | DEU | | | | | 92.000 | USD | | | | 12/20/13 | | | | | 7,782 | USD | | | | | | 495,405 | |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call17 | | | | DEU | | | | | 94.000 | USD | | | | 12/20/13 | | | | | 15,540 | USD | | | | | | 208,474 | |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call17 | | | | GSCO-OT | | | | | 94.000 | USD | | | | 12/20/13 | | | | | 15,535 | USD | | | | | | 296,745 | |
JPY Currency Call17 | | | | GSCO-OT | | | | | 95.500 | JPY | | | | 10/18/13 | | | | | 611,000,000 | JPY | | | | | | 13,387 | |
JPY Currency Put17 | | | | GSCO-OT | | | | | 108.000 | JPY | | | | 5/22/15 | | | | | 2,285,000,000 | JPY | | | | | | 429,786 | |
MXN Currency Call17 | | | | DEU | | | | | 12.650 | MXN | | | | 10/15/13 | | | | | 338,900,000 | MXN | | | | | | 34,663 | |
MXN Currency Call17 | | | | MSCO | | | | | 12.430 | MXN | | | | 10/18/13 | | | | | 498,500,000 | MXN | | | | | | 17,278 | |
MXN Currency Call17 | | | | GSCO-OT | | | | | 12.430 | MXN | | | | 10/18/13 | | | | | 498,500,000 | MXN | | | | | | 17,278 | |
MXN Currency Call17 | | | | DEU | | | | | 12.460 | MXN | | | | 10/31/13 | | | | | 1,442,000,000 | MXN | | | | | | 169,377 | |
MXN Currency Call17 | | | | BOFA | | | | | 12.360 | MXN | | | | 10/31/13 | | | | | 954,000,000 | MXN | | | | | | 70,253 | |
MXN Currency Call17 | | | | CITNA-B | | | | | 12.380 | MXN | | | | 11/1/13 | | | | | 955,075,000 | MXN | | | | | | 81,984 | |
MXN Currency Call17 | | | | CITNA-B | | | | | 12.460 | MXN | | | | 11/1/13 | | | | | 960,800,000 | MXN | | | | | | 115,815 | |
MXN Currency Call17 | | | | GSCO-OT | | | | | 12.680 | MXN | | | | 12/23/13 | | | | | 348,800,000 | MXN | | | | | | 253,407 | |
MXN Currency Call17 | | | | GSCO-OT | | | | | 13.000 | MXN | | | | 9/29/14 | | | | | 55,500,000 | MXN | | | | | | 152,683 | |
MYR Currency Call17 | | | | BAC | | | | | 3.170 | MYR | | | | 11/1/13 | | | | | 380,400,000 | MYR | | | | | | 607,792 | |
MYR Currency Call17 | | | | JPM | | | | | 3.180 | MYR | | | | 11/1/13 | | | | | 367,410,000 | MYR | | | | | | 628,826 | |
PLZ Currency Call17 | | | | DEU | | | | | 3.090 | PLZ | | | | 11/1/13 | | | | | 238,500,000 | PLZ | | | | | | 657,940 | |
PLZ Currency Call17 | | | | BOFA | | | | | 3.080 | PLZ | | | | 11/4/13 | | | | | 237,280,000 | PLZ | | | | | | 561,972 | |
RUR Currency Call17 | | | | JPM | | | | | 32.640 | RUR | | | | 11/1/13 | | | | | 4,406,125,000 | RUR | | | | | | 1,707,241 | |
RUR Currency Call17 | | | | BOFA | | | | | 32.380 | RUR | | | | 11/1/13 | | | | | 1,873,000,000 | RUR | | | | | | 499,342 | |
RUR Currency Call17 | | | | BAC | | | | | 32.470 | RUR | | | | 11/1/13 | | | | | 2,504,300,000 | RUR | | | | | | 767,117 | |
TRY Currency Call17 | | | | GSCO-OT | | | | | 1.910 | TRY | | | | 10/9/13 | | | | | 25,560,000 | TRY | | | | | | 388 | |
TRY Currency Call17 | | | | GSCO-OT | | | | | 1.890 | TRY | | | | 10/22/13 | | | | | 25,260,000 | TRY | | | | | | 2,157 | |
TRY Currency Call17 | | | | JPM | | | | | 1.910 | TRY | | | | 11/1/13 | | | | | 183,847,500 | TRY | | | | | | 84,176 | |
TRY Currency Call17 | | | | FIB | | | | | 1.910 | TRY | | | | 11/4/13 | | | | | 183,760,000 | TRY | | | | | | 99,300 | |
ZAR Currency Call17 | | | | MSCO | | | | | 9.580 | ZAR | | | | 11/1/13 | | | | | 738,900,000 | ZAR | | | | | | 221,108 | |
ZAR Currency Call17 | | | | JPM | | | | | 9.610 | ZAR | | | | 11/4/13 | | | | | 741,000,000 | ZAR | | | | | | 284,485 | |
ZAR Currency Call17 | | | | BOFA | | | | | 9.310 | ZAR | | | | 11/29/13 | | | | | 257,500,000 | ZAR | | | | | | 57,693 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Total Over-the-Counter Options Purchased (Cost $30,571,395) | | | | | | | 18,104,901 | |
| | |
58 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Counterparty | | Buy/Sell Protection | | Reference Asset | | Fixed Rate | | Expiration Date | | Notional Amount | | | | Value |
Over-the-Counter Credit Default Swaptions Purchased—0.0% | | |
Credit Default Swap maturing 6/20/18 Call17 | | | | BOFA | | | | | Buy | | | | | iTraxx Europe Senior Financials Series 19 Version 1 | | | | | 1.000 | % | | | | 10/17/13 | | | | | 30,280,000 | | | | | EUR | | | | $ | 170,186 | |
Credit Default Swap maturing 6/20/18 Call17 | | | | JPM | | | | | Buy | | | | | CDX.NA.HY.20 | | | | | 5.000 | | | | | 12/19/13 | | | | | 2,370,000 | | | | | | | | | | 11,692 | |
Total Over-the-Counter Credit Default Swaptions Purchased (Cost $189,609) | | | | | 181,878 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Counterparty | | Pay/ Receive Floating Rate | | Floating Rate | | Fixed Rate | | Expiration Date | | Notional Amount | | | | Value |
Over-the-Counter Interest Rate Swaptions Purchased—0.2% | | | | | | |
Interest Rate Swap maturing 7/27/46 Call17 | | | | BOFA | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 3.890 | % | | | | 7/26/16 | | | | | 23,260,000 | | | | | | | | | | 2,764,117 | |
Interest Rate Swap maturing 8/4/46 Call17 | | | | BOFA | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 4.860 | | | | | 8/3/16 | | | | | 4,710,000 | | | | | | | | | | 231,637 | |
Interest Rate Swap maturing 10/8/23 Call17 | | | | BOFA | | | | | Pay | | | Three-Month CAD BA CDOR | | | | 2.083 | | | | | 10/9/13 | | | | | 55,735,000 | | | | | CAD | | | | | — | |
Interest Rate Swap maturing 10/21/18 Call17 | | | | BOFA | | | | | Pay | | | Three-Month USD BBA LIBOR | | | | 1.398 | | | | | 10/18/13 | | | | | 278,465,000 | | | | | | | | | | 110,221 | |
Interest Rate Swap maturing 2/5/19 Call17 | | | | BOFA | | | | | Pay | | | Three-Month USD BBA LIBOR | | | | 1.858 | | | | | 2/4/14 | | | | | 74,215,000 | | | | | | | | | | 904,927 | |
Interest Rate Swap maturing 11/20/23 Call17 | | | | BAC | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 2.183 | | | | | 11/19/13 | | | | | 10,040,000 | | | | | | | | | | 585,543 | |
Interest Rate Swap maturing 4/27/47 Call17 | | | | BAC | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 3.480 | | | | | 4/26/17 | | | | | 18,080,000 | | | | | | | | | | 3,298,869 | |
Interest Rate Swap maturing 1/25/46 Call17 | | | | BAC | | | | | Receive | | | Six-Month GBP BBA LIBOR | | | | 3.540 | | | | | 1/26/16 | | | | | 4,715,000 | | | | | GBP | | | | | 597,993 | |
Interest Rate Swap maturing 5/30/33 Call17 | | | | BAC | | | | | Receive | | | Six-Month GBP BBA LIBOR | | | | 3.990 | | | | | 5/31/23 | | | | | 4,350,000 | | | | | GBP | | | | | 368,490 | |
Interest Rate Swap maturing 7/20/20 Call17 | | | | BAC | | | | | Pay | | | Six-Month GBP BBA LIBOR | | | | 2.270 | | | | | 7/21/15 | | | | | 14,115,000 | | | | | GBP | | | | | 275,060 | |
Interest Rate Swap maturing 6/20/21 Call17 | | | | BAC | | | | | Pay | | | Six-Month GBP BBA LIBOR | | | | 2.618 | | | | | 6/21/16 | | | | | 18,865,000 | | | | | GBP | | | | | 447,319 | |
Interest Rate Swap maturing 2/12/18 Call17 | | | | BAC | | | | | Pay | | | Three-Month USD BBA LIBOR | | | | 2.362 | | | | | 2/7/14 | | | | | 111,005,000 | | | | | | | | | | 733,978 | |
Interest Rate Swap maturing 1/16/16 Call17 | | | | GSCO-OT | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 1.750 | | | | | 3/14/14 | | | | | 752,800,000 | | | | | | | | | | 138,211 | |
Interest Rate Swap maturing 12/4/45 Call17 | | | | GSCO-OT | | | | | Receive | | | Six-Month GBP BBA LIBOR | | | | 3.275 | | | | | 12/7/15 | | | | | 4,755,000 | | | | | GBP | | | | | 773,439 | |
Interest Rate Swap maturing 1/22/44 Call17 | | | | GSCOI | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 4.320 | | | | | 1/17/14 | | | | | 32,710,000 | | | | | | | | | | 772,994 | |
Interest Rate Swap maturing 3/7/16 Call17 | | | | JPM | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 1.160 | | | | | 3/6/14 | | | | | 229,480,000 | | | | | | | | | | 148,556 | |
Interest Rate Swap maturing 11/19/23 Call17 | | | | JPM | | | | | Receive | | | Three-Month USD BBA LIBOR | | | | 2.256 | | | | | 11/18/13 | | | | | 9,300,000 | | | | | | | | | | 481,166 | |
Interest Rate Swap maturing 10/21/18 Call17 | | | | JPM | | | | | Pay | | | Three-Month USD BBA LIBOR | | | | 1.395 | | | | | 10/18/13 | | | | | 92,820,000 | | | | | | | | | | 35,029 | |
Interest Rate Swap maturing 10/11/17 Call17 | | | | JPM | | | | | Pay | | | Three-Month USD BBA LIBOR | | | | 2.014 | | | | | 10/10/13 | | | | | 22,600,000 | | | | | | | | | | 60,828 | |
Interest Rate Swap maturing 1/26/19 Call17 | | | | UBS | | | | | Pay | | | Six-Month EUR EURIBOR | | | | 1.545 | | | | | 1/25/17 | | | | | 39,455,000 | | | | | EUR | | | | | 343,630 | |
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $14,802,035) | | | | | | | | | | 13,072,007 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 59 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| | | | | | | | |
| | Shares | | | Value | |
Investment Companies—7.2% | | | | | | | | |
Oppenheimer Institutional Money Market Fund, Cl. E, 0.09%16,18 | | | 266,114,233 | | | $ | 266,114,233 | |
Oppenheimer Master Event-Linked Bond Fund, LLC16 | | | 12,936,682 | | | | 174,919,947 | |
Oppenheimer Master Loan Fund, LLC16 | | | 715,002 | | | | 9,893,701 | |
Oppenheimer Short Duration Fund, Cl. Y16 | | | 12,402,682 | | |
| 124,274,870
|
|
Total Investment Companies (Cost $567,151,616) | | | | 575,202,751 | |
Total Investments, at Value (Cost $8,630,064,912) | | | 105.3 | % | | | 8,435,700,526 | |
Liabilities in Excess of Other Assets | | | (5.3 | ) | | | (424,345,013 | ) |
| |
|
|
|
Net Assets | | | 100.0 | % | | $ | 8,011,355,513 | |
| |
|
|
|
Footnotes to Consolidated Statement of Investments
Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies:
| | |
AUD | | Australian Dollar |
BRR | | Brazilian Real |
CAD | | Canadian Dollar |
CHF | | Swiss Franc |
COP | | Colombian Peso |
DKK | | Danish Krone |
EUR | | Euro |
GBP | | British Pound Sterling |
HUF | | Hungarian Forint |
JPY | | Japanese Yen |
MXN | | Mexican Nuevo Peso |
MYR | | Malaysian Ringgit |
| | |
NGN | | Nigeria Naira |
NOK | | Norwegian Krone |
PEN | | Peruvian New Sol |
PHP | | Philippines Peso |
PLZ | | Polish Zloty |
RSD | | Serbian Dinar |
RUR | | Russian Ruble |
SEK | | Swedish Krona |
SGD | | Singapore Dollar |
THB | | Thai Bhat |
TRY | | New Turkish Lira |
ZAR | | South African Rand |
1. Restricted security. The aggregate value of restricted securities as of September 30, 2013 was $169,368,590, which represents 2.11% of the Fund’s net assets. See Note 7 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
| | | | | | | | | | | | | | | | | | | | |
Security | | Acquisition Dates | | Cost | | Value | | Unrealized Appreciation (Depreciation) |
Ally Auto Receviables Trust, Automobile Receivables Nts., Series 2012-A, Cl. D, 3.15%, 10/15/18 | | | | 6/8/12 | | | | $ | 7,551,680 | | | | $ | 7,901,029 | | | | $ | 349,349 | |
Arco Capital Corp. Ltd. | | | | 6/28/13 | | | | | — | | | | | — | | | | | — | |
Banco ABC Brasil SA, 8.50% Sr. Unsec. Nts., 3/28/16 | | | | 3/22/13 | | | | | 1,778,386 | | | | | 1,447,711 | | | | | (330,675 | ) |
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/24 | | | | 4/21/97 | | | | | 128,162 | | | | | 30,603 | | | | | (97,559 | ) |
CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Unsub. Nts., 10/3/23 | | | | 9/26/13 | | | | | 4,175,000 | | | | | 4,213,076 | | | | | 38,076 | |
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 17.954%, 12/31/17 | | | | 9/19/07 | | | | | 16,749,354 | | | | | 22,147,579 | | | | | 5,398,225 | |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 7.455%, 5/22/15 | | | | 5/21/08 | | | | | 173,895 | | | | | 129,781 | | | | | (44,114 | ) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 7.455%, 5/22/15 | | | | 6/12/08 | | | | | 297,596 | | | | | 227,055 | | | | | (70,541 | ) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 7.455%, 5/22/15 | | | | 6/18/08 | | | | | 4,615,780 | | | | | 3,423,439 | | | | | (1,192,341 | ) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 7.455%, 5/22/15 | | | | 7/8/08 | | | | | 336,091 | | | | | 249,496 | | | | | (86,595 | ) |
| | |
60 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | |
Security | | Acquisition Dates | | Cost | | Value | | Unrealized Appreciation (Depreciation) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 7.455%, 5/22/15 | | | | 7/15/08 | | | | $ | 244,584 | | | | $ | 181,263 | | | | $ | (63,321 | ) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 7.455%, 5/22/15 | | | | 8/8/08 | | | | | 158,390 | | | | | 115,764 | | | | | (42,626 | ) |
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 7.455%, 5/22/15 | | | | 8/22/08 | | | | | 28,080 | | | | | 21,319 | | | | | (6,761 | ) |
Deutsche Mortgage Securities, Inc., Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2013-RS1, Cl. 1A2, 0%, 6/28/47 | | | | 9/23/13 | | | | | 680,800 | | | | | 680,800 | | | | | — | |
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 | | | | 6/27/01 | | | | | 11,587,905 | | | | | 16,011,026 | | | | | 4,423,121 | |
Goldman Sachs Group, Inc. (The), United Mexican States Credit Linked Nts., 9.05%, 2/8/37 | | | | 9/12/12 | | | | | 13,265,730 | | | | | 7,785,103 | | | | | (5,480,627 | ) |
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.096%, 8/15/22 | | | | 11/6/07 | | | | | 18,934,626 | | | | | 18,375,000 | | | | | (559,626 | ) |
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.396%, 8/15/22 | | | | 6/8/07 | | | | | 17,780,000 | | | | | 15,379,700 | | | | | (2,400,300 | ) |
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.396%, 8/15/22 | �� | | | 6/8/07 | | | | | 17,780,000 | | | | | 15,379,700 | | | | | (2,400,300 | ) |
Igloo Holdings Corp., 8.25% Sr. Unsec. Nts., 12/15/17 | | | | 12/13/12-12/14/12 | | | | | 10,316,425 | | | | | 10,611,116 | | | | | 294,691 | |
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 | | | | 8/3/06-7/30/08 | | | | | 14,058,561 | | | | | 15,700,421 | | | | | 1,641,860 | |
JPMorgan Hipotecaria su Casita, 8.448% Sec. Nts., 8/26/35 | | | | 3/21/07 | | | | | 1,834,690 | | | | | 138,288 | | | | | (1,696,402 | ) |
Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/18 | | | | 12/7/12-3/15/13 | | | | | 5,447,819 | | | | | 5,648,100 | | | | | 200,281 | |
LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/23 | | | | 5/8/13 | | | | | 2,230,000 | | | | | 2,252,300 | | | | | 22,300 | |
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24 | | | | 1/28/02 | | | | | 144,659 | | | | | 129,247 | | | | | (15,412 | ) |
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 2.623%, 3/24/14 | | | | 2/23/01 | | | | | 3,209,935 | | | | | 462 | | | | | (3,209,473 | ) |
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1B, 2.366%, 11/1/36 | | | | 10/24/12 | | | | | 6,541,615 | | | | | 7,190,484 | | | | | 648,869 | |
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/29 | | | | 8/10/10 | | | | | 4,811,624 | | | | | 319,331 | | | | | (4,492,293 | ) |
Orion Engineered Carbons Bondco GmbH, 10% Sr. Sec. Nts., 6/15/18 | | | | 8/8/13-8/19/13 | | | | | 3,715,003 | | | | | 3,760,849 | | | | | 45,846 | |
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 | | | | 3/6/98 | | | | | 14,317,825 | | | | | — | | | | | (14,317,825 | ) |
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/20 | | | | 7/24/12 | | | | | 9,365,000 | | | | | 9,856,663 | | | | | 491,663 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 61 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | |
Security | | Acquisition Dates | | Cost | | Value | | Unrealized Appreciation (Depreciation) |
Wallace Theater Holdings, Inc. | | | | 3/28/13 | | | | $ | 62 | | | | $ | 61,885 | | | | $ | 61,823 | |
| | | | | | | |
|
|
|
| | | | | | | | $ | 192,259,277 | | | | $ | 169,368,590 | | | | $ | (22,890,687 | ) |
| | | | | | | |
|
|
|
2. Represents the current interest rate for a variable or increasing rate security.
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 $1,982,089,307 or 24.74% of the Fund’s net assets as of September 30, 2013.
4. 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.
5. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2013. See Note 1 of the accompanying Notes.
6. Interest or dividend is paid-in-kind, when applicable.
7. 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.
8. 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 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 $23,126,042 or 0.29% of the Fund’s net assets as of September 30, 2013.
9. 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.
10. Interest rate is less than 0.0005%.
11. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $13,989,746. See Note 6 of the accompanying Consolidated Notes.
12. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $8,399,790. See Note 6 of the accompanying Consolidated Notes.
13. Zero coupon bond reflects effective yield on the date of purchase.
14. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
15. 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.
16. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Shares/Principal September 28, 2012a | | Gross Additions | | Gross Reductions | | Shares/Principal September 30, 2013 |
American Media, Inc. | | | | 801,816 | | | | | — | | | | | — | | | | | 801,816 | |
Arco Capital Corp. Ltd. | | | | 2,494,716 | | | | | — | | | | | 2,494,716 | c | | | | — | |
Arco Capital Corp. Ltd.b | | | | — | | | | | 2,494,716 | c | | | | — | | | | | 2,494,716 | |
Catalyst Paper Corpb | | | | 754,474 | | | | | — | | | | | 144,982 | | | | | 609,492 | |
Catalyst Paper Corp., 11% Sr. Sec. Nts., 10/30/17b | | | | 13,074,634 | | | | | — | | | | | 5,040,000 | | | | | 8,034,634 | |
Catalyst Paper Corp., 13% Sec. Nts., 9/13/16 | | | | 3,328,703 | | | | | — | | | | | 3,328,703 | | | | | — | |
Greektown Superholdings, Inc., Series A-1 | | | | 11,417 | | | | | — | | | | | 11,417 | | | | | — | |
Greektown Superholdings, Inc., Cv., Series A-1 | | | | 90,979 | | | | | — | | | | | 90,979 | | | | | — | |
Oppenheimer Core Bond Fund, C. Y | | | | — | | | | | 7,906,328 | | | | | 7,906,328 | | | | | — | |
| | |
62 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | |
| | Shares/Principal September 28, 2012a | | Gross Additions | | Gross Reductions | | Shares/Principal September 30, 2013 |
Oppenheimer Institutional Money Market Fund, Cl. E | | | | 76,611,744 | | | | | 3,080,698,508 | | | | | 2,891,196,019 | | | | | 266,114,233 | |
Oppenheimer International Bond Fund, Cl. Y | | | | — | | | | | 3,343,516 | | | | | 3,343,516 | | | | | — | |
Oppenheimer Master Event-Linked Bond Fund, LLC | | | | 14,040,336 | | | | | — | | | | | 1,103,654 | | | | | 12,936,682 | |
Oppenheimer Master Loan Fund, LLC | | | | 86,834,596 | | | | | 6,265,387 | | | | | 92,384,981 | | | | | 715,002 | |
Oppenheimer Short Duration Fund, Cl. Y | | | | 2,015,944 | | | | | 10,386,738 | | | | | — | | | | | 12,402,682 | |
| | | | |
| | | | Value | | Income | | Realized Gain (Loss) |
American Media, Inc. | | | | | | | | $ | 9,220,884 | | | | $ | — | | | | $ | — | |
Arco Capital Corp. Ltd. | | | | | | | | | — | | | | | — | | | | | (33,553,930 | ) |
Arco Capital Corp. Ltd.b | | | | | | | | | — | d | | | | — | | | | | — | |
Catalyst Paper Corpb | | | | | | | | | — | d | | | | — | | | | | (139,179 | ) |
Catalyst Paper Corp., 11% Sr. Sec. Nts., 10/30/17b | | | | | | | | | — | d | | | | 1,433,777 | | | | | (3,998,610 | ) |
Catalyst Paper Corp., 13% Sec. Nts., 9/13/16 | | | | | | | | | — | | | | | 271,667 | | | | | 283,173 | |
Greektown Superholdings, Inc., Series A-1 | | | | | | | | | — | | | | | — | | | | | (7,436,697 | ) |
Greektown Superholdings, Inc., Cv., Series A-1 | | | | | | | | | — | | | | | — | | | | | (777,512 | ) |
Oppenheimer Core Bond Fund, C. Y | | | | | | | | | — | | | | | 53,676 | | | | | 5,156,791 | |
Oppenheimer Institutional Money Market Fund, Cl. E | | | | | | | | | 266,114,233 | | | | | 199,518 | | | | | — | |
Oppenheimer International Bond Fund, Cl. Y | | | | | | | | | — | | | | | 22,435 | | | | | 826,378 | |
Oppenheimer Master Event-Linked Bond Fund, LLC | | | | | | | | | 174,919,947 | | | | | 14,722,519 | e | | | | (414,342 | )e |
Oppenheimer Master Loan Fund, LLC | | | | | | | | | 9,893,701 | | | | | 43,531,495 | f | | | | 19,915,996 | f |
Oppenheimer Short Duration Fund, Cl. Y | | | | | | | | | 124,274,870 | | | | | 177,071 | | | | | — | |
| | | | | | | |
|
|
|
| | | | | | | | $ | 584,423,635 | | | | $ | 60,412,158 | | | | $ | (20,137,932 | ) |
| | | | | | | |
|
|
|
a. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
b. No longer an affiliate as of September 30, 2013.
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, 2013.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| | | | | | | | | | |
Geographic Holdings | | Value | | Percent |
United States | | | $ | 5,033,605,532 | | | | | 59.7 | % |
Mexico | | | | 582,330,134 | | | | | 6.9 | |
Brazil | | | | 462,931,806 | | | | | 5.5 | |
Russia | | | | 357,932,893 | | | | | 4.2 | |
Turkey | | | | 195,994,366 | | | | | 2.3 | |
Hungary | | | | 155,281,486 | | | | | 1.8 | |
United Kingdom | | | | 114,009,056 | | | | | 1.4 | |
South Africa | | | | 99,280,173 | | | | | 1.2 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 63 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | |
Geographic Holdings Continued | | Value | | Percent |
Japan | | | $ | 93,877,242 | | | | | 1.1 % | |
France | | | | 80,758,237 | | | | | 1.0 | |
Germany | | | | 80,646,359 | | | | | 1.0 | |
Peru | | | | 79,772,651 | | | | | 0.9 | |
Italy | | | | 76,976,456 | | | | | 0.9 | |
Colombia | | | | 76,811,523 | | | | | 0.9 | |
Venezuela | | | | 68,580,602 | | | | | 0.8 | |
Supranational | | | | 60,404,576 | | | | | 0.7 | |
Canada | | | | 55,687,428 | | | | | 0.7 | |
The Netherlands | | | | 47,230,903 | | | | | 0.6 | |
Australia | | | | 45,607,817 | | | | | 0.5 | |
Israel | | | | 39,773,307 | | | | | 0.5 | |
Thailand | | | | 39,132,782 | | | | | 0.5 | |
Malaysia | | | | 36,884,220 | | | | | 0.4 | |
Luxembourg | | | | 35,716,660 | | | | | 0.4 | |
United Arab Emirates | | | | 34,631,950 | | | | | 0.4 | |
Indonesia | | | | 34,591,189 | | | | | 0.4 | |
Poland | | | | 32,029,307 | | | | | 0.4 | |
Chile | | | | 25,585,766 | | | | | 0.3 | |
Philippines | | | | 24,053,115 | | | | | 0.3 | |
Spain | | | | 23,429,865 | | | | | 0.3 | |
Nigeria | | | | 21,798,741 | | | | | 0.3 | |
Portugal | | | | 21,078,058 | | | | | 0.3 | |
Croatia | | | | 18,717,385 | | | | | 0.2 | |
Switzerland | | | | 17,918,535 | | | | | 0.2 | |
Belgium | | | | 17,719,307 | | | | | 0.2 | |
China | | | | 16,955,002 | | | | | 0.2 | |
Ivory Coast | | | | 16,361,063 | | | | | 0.2 | |
Dominican Republic | | | | 16,022,645 | | | | | 0.2 | |
India | | | | 15,129,509 | | | | | 0.2 | |
Sri Lanka | | | | 14,885,291 | | | | | 0.2 | |
Lithuanua | | | | 14,640,544 | | | | | 0.2 | |
Angola | | | | 12,893,475 | | | | | 0.2 | |
Denmark | | | | 12,425,980 | | | | | 0.1 | |
Kazakhstan | | | | 12,173,864 | | | | | 0.1 | |
Serbia | | | | 11,092,833 | | | | | 0.1 | |
Ukraine | | | | 10,158,706 | | | | | 0.1 | |
Panama | | | | 8,567,514 | | | | | 0.1 | |
Uruguay | | | | 8,312,975 | | | | | 0.1 | |
Greece | | | | 8,076,938 | | | | | 0.1 | |
Romania | | | | 7,355,599 | | | | | 0.1 | |
Finland | | | | 6,346,962 | | | | | 0.1 | |
Jamaica | | | | 5,638,425 | | | | | 0.1 | |
Tanzania | | | | 5,130,438 | | | | | 0.1 | |
Costa Rica | | | | 5,010,781 | | | | | 0.1 | |
Rwanda | | | | 4,747,850 | | | | | 0.1 | |
Morocco | | | | 4,209,920 | | | | | 0.1 | |
Ireland | | | | 3,891,320 | | | | | — | |
Norway | | | | 3,816,400 | | | | | — | |
Guatemala | | | | 3,588,000 | | | | | — | |
Latvia | | | | 3,313,063 | | | | | — | |
Sweden | | | | 3,164,496 | | | | | — | |
Trinidad & Tobago | | | | 2,855,775 | | | | | — | |
Korea, Republic of South | | | | 2,843,764 | | | | | — | |
Singapore | | | | 2,067,123 | | | | | — | |
Paraguay | | | | 1,156,050 | | | | | — | |
| | |
64 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | |
Geographic Holdings Continued | | Value | | Percent |
Bolivia | | | $ | 1,085,956 | | | | | — % | |
European Union | | | | 513,816 | | | | | — | |
Hong Kong | | | | 489,022 | | | | | — | |
| | |
|
|
|
Total | | | $ | 8,435,700,526 | | | | | 100.0 | % |
| | |
|
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts as of September 30, 2013: |
Counterparty | | Settlement Month(s) | | Currency Purchased (000’s) | | | | Currency Sold (000’s) | | | | Unrealized Appreciation | | Unrealized Depreciation |
BAC | | | | 10/2013 | | | | | 10,055,000 | | | COP | | | | 5,245 | | | USD | | | $ | 26,018 | | | | $ | — | |
BAC | | | | 11/2013 | | | | | 28,155 | | | EUR | | | | 36,957 | | | USD | | | | 1,139,110 | | | | | — | |
BAC | | | | 11/2013 | | | | | 28,970 | | | PLZ | | | | 9,244 | | | USD | | | | 1,156 | | | | | — | |
BAC | | | | 10/2013 | | | | | 209,600 | | | RUR | | | | 6,465 | | | USD | | | | 19 | | | | | — | |
BAC | | | | 12/2013 | | | | | 1,570 | | | TRY | | | | 760 | | | USD | | | | 8,353 | | | | | — | |
BAC | | | | 1/2014 | | | | | 22,853 | | | USD | | | | 51,830 | | | BRR | | | | — | | | | | 33,695 | |
BAC | | | | 11/2013 | | | | | 6,038 | | | USD | | | | 4,655 | | | EUR | | | | — | | | | | 260,378 | |
BAC | | | | 11/2013 | | | | | 2,269 | | | USD | | | | 222,000 | | | JPY | | | | 42,938 | | | | | 33,616 | |
BAC | | | | 10/2013 | | | | | 38,285 | | | USD | | | | 124,850 | | | MYR | | | | 62,192 | | | | | 15,638 | |
BAC | | | | 10/2013-12/2013 | | | | | 29,141 | | | USD | | | | 967,040 | | | RUR | | | | 9,175 | | | | | 475,884 | |
BAC | | | | 12/2013 | | | | | 46,861 | | | USD | | | | 97,110 | | | TRY | | | | — | | | | | 657,086 | |
BAC | | | | 10/2013-11/2013 | | | | | 73,455 | | | USD | | | | 709,065 | | | ZAR | | | | 3,814,904 | | | | | 635,246 | |
BAC | | | | 10/2013-12/2013 | | | | | 131,780 | | | ZAR | | | | 13,236 | | | USD | | | | 105,444 | | | | | 286,482 | |
BNP | | | | 12/2013 | | | | | 9,370 | | | TRY | | | | 4,450 | | | USD | | | | 135,353 | | | | | — | |
BNP | | | | 11/2013 | | | | | 6,796 | | | USD | | | | 4,500 | | | GBP | | | | — | | | | | 485,304 | |
BNP | | | | 12/2013 | | | | | 8,549 | | | USD | | | | 1,912,000 | | | HUF | | | | — | | | | | 91,646 | |
BNP | | | | 12/2013-3/2014 | | | | | 78,431 | | | USD | | | | 1,023,900 | | | MXN | | | | 889,237 | | | | | — | |
BOFA | | | | 10/2013-12/2013 | | | | | 235,490,000 | | | IDR | | | | 21,380 | | | USD | | | | — | | | | | 1,281,608 | |
BOFA | | | | 11/2013 | | | | | 5,235,000 | | | JPY | | | | 51,969 | | | USD | | | | 1,307,398 | | | | | — | |
BOFA | | | | 11/2013 | | | | | 10,204,000 | | | KRW | | | | 9,483 | | | USD | | | | — | | | | | 18,265 | |
BOFA | | | | 10/2013 | | | | | 55,455 | | | MYR | | | | 17,063 | | | USD | | | | — | | | | | 68,051 | |
BOFA | | | | 11/2013 | | | | | 1,006,000 | | | THB | | | | 32,332 | | | USD | | | | — | | | | | 273,340 | |
BOFA | | | | 11/2013 | | | | | 1,046 | | | USD | | | | 1,180 | | | AUD | | | | — | | | | | 52,159 | |
BOFA | | | | 1/2014 | | | | | 65,027 | | | USD | | | | 149,760 | | | BRR | | | | — | | | | | 1,102,589 | |
BOFA | | | | 10/2013 | | | | | 1,982 | | | USD | | | | 1,033,000 | | | CLP | | | | — | | | | | 55,897 | |
BOFA | | | | 11/2013 | | | | | 6,005 | | | USD | | | | 69,034,000 | | | IDR | | | | 90,794 | | | | | — | |
BOFA | | | | 11/2013 | | | | | 195,786 | | | USD | | | | 19,139,000 | | | JPY | | | | 1,010,199 | | | | | — | |
BOFA | | | | 10/2013-6/2014 | | | | | 155,298 | | | USD | | | | 2,006,175 | | | MXN | | | | 3,018,463 | | | | | 176,889 | |
BOFA | | | | 10/2013 | | | | | 14,151 | | | USD | | | | 37,550 | | | PEN | | | | 720,052 | | | | | — | |
BOFA | | | | 10/2013 | | | | | 11,721 | | | USD | | | | 472,000 | | | PHP | | | | 873,579 | | | | | — | |
BOFA | | | | 10/2013 | | | | | 19,162 | | | USD | | | | 61,415 | | | PLZ | | | | — | | | | | 464,953 | |
BOFA | | | | 10/2013 | | | | | 13,883 | | | USD | | | | 462,580 | | | RUR | | | | — | | | | | 310,055 | |
BOFA | | | | 10/2013 | | | | | 13,445 | | | USD | | | | 26,620 | | | TRY | | | | 341,216 | | | | | — | |
BOFA | | | | 10/2013-12/2013 | | | | | 29,966 | | | USD | | | | 298,310 | | | ZAR | | | | 423,839 | | | | | 6,486 | |
BOFA | | | | 12/2013 | | | | | 121,620 | | | ZAR | | | | 12,572 | | | USD | | | | — | | | | | 573,115 | |
CITNA-B | | | | 11/2013 | | | | | 1,495 | | | CAD | | | | 1,459 | | | USD | | | | 363 | | | | | 10,178 | |
CITNA-B | | | | 10/2013 | | | | | 403,000 | | | CLP | | | | 798 | | | USD | | | | — | | | | | 2,832 | |
CITNA-B | | | | 10/2013 | | | | | 10,988,000 | | | COP | | | | 5,944 | | | USD | | | | — | | | | | 183,910 | |
CITNA-B | | | | 12/2013 | | | | | 10,500,000 | | | KRW | | | | 9,733 | | | USD | | | | — | | | | | 11,706 | |
CITNA-B | | | | 11/2013 | | | | | 32,453 | | | USD | | | | 34,130 | | | AUD | | | | 744,642 | | | | | 6,004 | |
CITNA-B | | | | 12/2013 | | | | | 6,920 | | | USD | | | | 13,204,000 | | | COP | | | | 43,864 | | | | | — | |
CITNA-B | | | | 1/2014 | | | | | 78,802 | | | USD | | | | 59,485 | | | EUR | | | | 1,419 | | | | | 1,694,868 | |
CITNA-B | | | | 11/2013-1/2014 | | | | | 50,198 | | | USD | | | | 32,575 | | | GBP | | | | — | | | | | 2,499,026 | |
CITNA-B | | | | 11/2013-3/2014 | | | | | 99,398 | | | USD | | | | 1,315,800 | | | MXN | | | | 549,156 | | | | | 627,509 | |
CITNA-B | | | | 10/2013 | | | | | 19,058 | | | USD | | | | 61,820 | | | PLZ | | | | — | | | | | 698,110 | |
CITNA-B | | | | 11/2013 | | | | | 10,952 | | | USD | | | | 345,000 | | | THB | | | | — | | | | | 42,603 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 65 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts Continued |
Counterparty | | Settlement Month(s) | | Currency Purchased (000’s) | | | | Currency Sold (000’s) | | | | Unrealized Appreciation | | Unrealized Depreciation |
CITNA-B | | | | 10/2013 | | | | | 18,955 | | | USD | | | | 190,900 | | | ZAR | | | $ | 33,853 | | | | $ | — | |
CITNA-B | | | | 11/2013 | | | | | 161,530 | | | ZAR | | | | 15,586 | | | USD | | | | 391,724 | | | | | — | |
DEU | | | | 10/2013 | | | | | 13,820 | | | PEN | | | | 4,935 | | | USD | | | | 36,367 | | | | | 27,346 | |
DEU | | | | 2/2014 | | | | | 108,176 | | | USD | | | | 80,620 | | | EUR | | | | — | | | | | 937,373 | |
DEU | | | | 2/2014 | | | | | 6,681 | | | USD | | | | 4,305 | | | GBP | | | | — | | | | | 280,644 | |
DEU | | | | 11/2013 | | | | | 2,583 | | | USD | | | | 8,500 | | | PLZ | | | | — | | | | | 129,056 | |
DEU | | | | 11/2013 | | | | | 5,096 | | | USD | | | | 52,410 | | | ZAR | | | | — | | | | | 88,281 | |
DEU | | | | 11/2013 | | | | | 3,260 | | | ZAR | | | | 324 | | | USD | | | | — | | | | | 2,309 | |
FIB | | | | 11/2013 | | | | | 168,760 | | | PLZ | | | | 52,748 | | | USD | | | | 1,105,726 | | | | | — | |
FIB | | | | 11/2013-2/2014 | | | | | 3,448 | | | USD | | | | 3,635 | | | CAD | | | | — | | | | | 69,093 | |
FIB | | | | 11/2013 | | | | | 21,236 | | | USD | | | | 67,940 | | | PLZ | | | | — | | | | | 445,147 | |
GSCO-OT | | | | 10/2013 | | | | | 1,505,000 | | | CLP | | | | 2,905 | | | USD | | | | 63,773 | | | | | — | |
GSCO-OT | | | | 11/2013 | | | | | 639,000 | | | JPY | | | | 6,424 | | | USD | | | | 78,963 | | | | | — | |
GSCO-OT | | | | 11/2013-9/2014 | | | | | 17,538 | | | USD | | | | 19,460 | | | AUD | | | | 282 | | | | | 538,497 | |
GSCO-OT | | | | 1/2014-7/2014 | | | | | 58,332 | | | USD | | | | 136,740 | | | BRR | | | | 49,727 | | | | | 458,760 | |
GSCO-OT | | | | 11/2013-12/2013 | | | | | 113,230 | | | USD | | | | 84,755 | | | EUR | | | | — | | | | | 1,448,585 | |
GSCO-OT | | | | 9/2014 | | | | | 4,136 | | | USD | | | | 296,500 | | | INR | | | | — | | | | | 236,399 | |
GSCO-OT | | | | 10/2014 | | | | | 1,495 | | | USD | | | | 20,220 | | | MXN | | | | — | | | | | 5,884 | |
HSBC | | | | 3/2014 | | | | | 28,266 | | | USD | | | | 58,115 | | | TRY | | | | 311,189 | | | | | — | |
JPM | | | | 10/2013 | | | | | 2,919,000 | | | COP | | | | 1,530 | | | USD | | | | — | | | | | 231 | |
JPM | | | | 12/2013 | | | | | 76,039,000 | | | IDR | | | | 6,829 | | | USD | | | | — | | | | | 423,835 | |
JPM | | | | 11/2013 | | | | | 10,484,000 | | | KRW | | | | 9,734 | | | USD | | | | — | | | | | 9,720 | |
JPM | | | | 10/2013 | | | | | 30,650 | | | MYR | | | | 9,578 | | | USD | | | | — | | | | | 186,937 | |
JPM | | | | 12/2013 | | | | | 50,570 | | | PLZ | | | | 16,368 | | | USD | | | | — | | | | | 236,543 | |
JPM | | | | 11/2013 | | | | | 246,500 | | | THB | | | | 7,710 | | | USD | | | | 144,986 | | | | | — | |
JPM | | | | 12/2013 | | | | | 43,610 | | | TRY | | | | 22,213 | | | USD | | | | — | | | | | 873,834 | |
JPM | | | | 11/2013 | | | | | 142,051 | | | USD | | | | 320,545 | | | BRR | | | | — | | | | | 1,308,392 | |
JPM | | | | 10/2013 | | | | | 12,581 | | | USD | | | | 23,219,000 | | | COP | | | | 409,179 | | | | | — | |
JPM | | | | 4/2014 | | | | | 18,725 | | | USD | | | | 4,207,000 | | | HUF | | | | — | | | | | 134,289 | |
JPM | | | | 1/2014 | | | | | 6,005 | | | USD | | | | 70,554,000 | | | IDR | | | | 83,845 | | | | | — | |
JPM | | | | 11/2013 | | | | | 4,594 | | | USD | | | | 454,000 | | | JPY | | | | 9,963 | | | | | 36,185 | |
JPM | | | | 10/2013 | | | | | 37,896 | | | USD | | | | 468,000 | | | MXN | | | | 2,243,756 | | | | | — | |
JPM | | | | 10/2013 | | | | | 30,859 | | | USD | | | | 100,815 | | | MYR | | | | — | | | | | 12,444 | |
JPM | | | | 10/2013-12/2013 | | | | | 90,741 | | | USD | | | | 3,054,120 | | | RUR | | | | — | | | | | 2,652,547 | |
JPM | | | | 5/2014 | | | | | 13,528 | | | USD | | | | 409,500 | | | THB | | | | 595,206 | | | | | — | |
JPM | | | | 10/2013-12/2013 | | | | | 90,947 | | | USD | | | | 175,565 | | | TRY | | | | 4,650,593 | | | | | — | |
MSCO | | | | 11/2013 | | | | | 350,100 | | | MXN | | | | 26,698 | | | USD | | | | 149,274 | | | | | 188,476 | |
MSCO | | | | 10/2013 | | | | | 19,800 | | | PEN | | | | 7,161 | | | USD | | | | — | | | | | 78,708 | |
MSCO | | | | 7/2014 | | | | | 20,216 | | | USD | | | | 46,720 | | | BRR | | | | 420,427 | | | | | — | |
MSCO | | | | 11/2013 | | | | | 16,380 | | | USD | | | | 12,305 | | | EUR | | | | 2,276 | | | | | 271,763 | |
MSCO | | | | 11/2013 | | | | | 6,742 | | | USD | | | | 4,325 | | | GBP | | | | — | | | | | 256,013 | |
MSCO | | | | 10/2013-4/2014 | | | | | 57,917 | | | USD | | | | 13,147,000 | | | HUF | | | | — | | | | | 1,529,181 | |
MSCO | | | | 10/2013-12/2013 | | | | | 150,500 | | | USD | | | | 1,933,400 | | | MXN | | | | 3,650,609 | | | | | 382,999 | |
MSCO | | | | 11/2013 | | | | | 408 | | | USD | | | | 2,640 | | | SEK | | | | — | | | | | 2,095 | |
MSCO | | | | 10/2013 | | | | | 341,310 | | | ZAR | | | | 33,145 | | | USD | | | | 812,453 | | | | | — | |
NOM | | | | 12/2013 | | | | | 3,210 | | | EUR | | | | 4,345 | | | USD | | | | — | | | | | 1,871 | |
NOM | | | | 11/2013 | | | | | 3,642,000 | | | JPY | | | | 36,131 | | | USD | | | | 933,412 | | | | | — | |
NOM | | | | 11/2013 | | | | | 66,430 | | | MYR | | | | 20,687 | | | USD | | | | — | | | | | 373,636 | |
NOM | | | | 11/2013 | | | | | 242,100 | | | THB | | | | 7,833 | | | USD | | | | 10,187 | | | | | 127,476 | |
NOM | | | | 11/2013 | | | | | 26,797 | | | USD | | | | 84,935 | | | MYR | | | | 824,860 | | | | | — | |
RBSC | | | | 11/2013 | | | | | 1,515 | | | CHF | | | | 1,576 | | | USD | | | | 99,744 | | | | | — | |
RBSC | | | | 11/2013 | | | | | 33,874,000 | | | KRW | | | | 30,419 | | | USD | | | | 981,184 | | | | | — | |
| | |
66 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | |
Forward Currency Exchange Contracts Continued |
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement Month(s) | | | Currency Purchased (000’s) | | | | | Currency Sold (000’s) | | | | | Unrealized Appreciation | | | Unrealized Depreciation | |
RBSC | | | 11/2013 | | | | 2,430 | | | NOK | | | 411 | | | USD | | $ | — | | | $ | 7,591 | |
RBSC | | | 11/2013 | | | | 48,720 | | | PLZ | | | 15,248 | | | USD | | | 298,968 | | | | — | |
RBSC | | | 11/2013 | | | | 120 | | | SEK | | | 18 | | | USD | | | 493 | | | | — | |
RBSC | | | 11/2013 | | | | 273 | | | USD | | | 1,545 | | | DKK | | | — | | | | 7,269 | |
RBSC | | | 12/2013 | | | | 1,932 | | | USD | | | 441,000 | | | HUF | | | — | | | | 63,302 | |
RBSC | | | 12/2013-3/2014 | | | | 49,213 | | | USD | | | 11,118,000 | | | HUF | | | — | | | | 966,790 | |
RBSC | | | 10/2013 | | | | 9,912 | | | USD | | | 93,710 | | | ZAR | | | 589,124 | | | | — | |
| | | | | | | | | | | | | | | | | |
|
|
|
Total unrealized appreciation and depreciation | | $ | 34,341,026 | | | $ | 27,934,629 | |
| | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | |
Futures Contracts as of September 30, 2013: | |
Description | | Exchange | | | Buy/Sell | | | Expiration Date | | | Number of Contracts | | | Unrealized Appreciation (Depreciation) | |
Australian Treasury Bonds, 10 yr. | | | SFE | | | | Sell | | | | 12/16/13 | | | | 267 | | | | $ (596,516 | ) |
Euro-Bundesobligation | | | EUX | | | | Sell | | | | 12/6/13 | | | | 73 | | | | (232,210 | ) |
U.S. Long Bonds | | | CBT | | | | Buy | | | | 12/19/13 | | | | 2,098 | | | | 7,160,280 | |
U.S. Long Bonds | | | CBT | | | | Sell | | | | 12/19/13 | | | | 910 | | | | (1,404,489 | ) |
U.S. Treasury Nts., 2 yr. | | | CBT | | | | Sell | | | | 12/31/13 | | | | 905 | | | | (406,675 | ) |
U.S. Treasury Nts., 5 yr. | | | CBT | | | | Buy | | | | 12/31/13 | | | | 1,057 | | | | 350,363 | |
U.S. Treasury Nts., 5 yr. | | | CBT | | | | Sell | | | | 12/31/13 | | | | 5,932 | | | | (8,867,392 | ) |
U.S. Treasury Nts., 10 yr. | | | CBT | | | | Buy | | | | 12/19/13 | | | | 453 | | | | 824,598 | |
U.S. Treasury Nts., 10 yr. | | | CBT | | | | Sell | | | | 12/19/13 | | | | 538 | | | | (1,217,358 | ) |
U.S. Treasury Ultra Bonds | | | CBT | | | | Buy | | | | 12/19/13 | | | | 806 | | | | 3,474,481 | |
United Kingdom Long Gilt | | | LIF | | | | Sell | | | | 12/27/13 | | | | 77 | | | | (174,780 | ) |
| | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $(1,089,698 | ) |
| | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Written Options as of September 30, 2013: | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Counterparty | | | Exercise Price | | | | | Expiration Date | | | Number of Contracts | | | | | Premiums Received | | | Value | |
AUD Currency Put | | | GSCO-OT | | | | 70.080 | | | JPY | | | 9/10/14 | | | | (6,450,000 | ) | | AUD | | $ | 57,973 | | | $ | (55,817 | ) |
AUD Currency Put | | | BOFA | | | | 70.000 | | | JPY | | | 8/4/14 | | | | (4,715,000 | ) | | AUD | | | 52,990 | | | | (32,166 | ) |
BRR Currency Call | | | GSCO-OT | | | | 2.133 | | | BRR | | | 12/23/13 | | | | (489,435,000 | ) | | BRR | | | 1,585,930 | | | | (1,739,051 | ) |
BRR Currency Put | | | CITNA-B | | | | 2.460 | | | BRR | | | 10/15/13 | | | | (104,550,000 | ) | | BRR | | | 347,225 | | | | (1,261 | ) |
France (Republic of) Bonds, 2.75%, 10/25/27 Put | | | JPM | | | | 98.875 | | | EUR | | | 10/22/13 | | | | (4,725,000 | ) | | EUR | | | 176,191 | | | | (80,894 | ) |
INR Currency Put | | | GSCO-OT | | | | 98.320 | | | INR | | | 9/2/14 | | | | (411,000,000 | ) | | INR | | | 82,385 | | | | (15,367 | ) |
INR Currency Put | | | GSCO-OT | | | | 100.000 | | | INR | | | 9/3/14 | | | | (417,000,000 | ) | | INR | | | 75,477 | | | | (13,477 | ) |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | | | GSCO-OT | | | | 90.000 | | | USD | | | 12/20/13 | | | | (4,664 | ) | | USD | | | 1,407,005 | | | | (807,761 | ) |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | | | DEU | | | | 89.000 | | | USD | | | 12/20/13 | | | | (1,556 | ) | | USD | | | 474,580 | | | | (214,837 | ) |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | | | GSCO-OT | | | | 89.000 | | | USD | | | 12/20/13 | | | | (3,111 | ) | | USD | | | 925,530 | | | | (424,056 | ) |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | | | DEU | | | | 90.000 | | | USD | | | 12/20/13 | | | | (1,554 | ) | | USD | | | 485,625 | | | | (271,525 | ) |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 67 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Written Options Continued | | | | | | | | | | | | | | |
Description | | Counterparty | | Exercise Price | | | | Expiration Date | | Number of Contracts | | | | | | Premiums Received | | Value |
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | | | | DEU | | | | | 91.000 | | | USD | | | | 12/20/13 | | | | | (1,554 | ) | | USD | | | | | $ | 520,590 | | | | $ | (346,210 | ) |
JPY Currency Call1 | | | | GSCO-OT | | | | | 90.000 | | | JPY | | | | 5/22/15 | | | | | (1,904,000,000 | ) | | JPY | | | | | | 359,644 | | | | | (569,296 | ) |
JPY Currency Put | | | | GSCO-OT | | | | | 120.000 | | | JPY | | | | 5/22/15 | | | | | (2,539,000,000 | ) | | JPY | | | | | | 429,514 | | | | | (125,909 | ) |
JPY Currency Put | | | | GSCO-OT | | | | | 100.000 | | | JPY | | | | 10/18/13 | | | | | (640,000,000 | ) | | JPY | | | | | | 16,256 | | | | | (22,957 | ) |
MXN Currency Call | | | | GSCO-OT | | | | | 12.275 | | | MXN | | | | 12/23/13 | | | | | (337,600,000 | ) | | MXN | | | | | | 165,568 | | | | | (82,189 | ) |
MXN Currency Call | | | | GSCO-OT | | | | | 12.250 | | | MXN | | | | 9/29/14 | | | | | (52,300,000 | ) | | MXN | | | | | | 59,131 | | | | | (61,286 | ) |
MXN Currency Put | | | | GSCO-OT | | | | | 13.310 | | | MXN | | | | 10/18/13 | | | | | (534,000,000 | ) | | MXN | | | | | | 404,813 | | | | | (316,828 | ) |
MXN Currency Put | | | | MSCO | | | | | 13.310 | | | MXN | | | | 10/18/13 | | | | | (534,000,000 | ) | | MXN | | | | | | 414,241 | | | | | (316,828 | ) |
MXN Currency Put | | | | GSCO-OT | | | | | 15.750 | | | MXN | | | | 9/29/14 | | | | | (67,200,000 | ) | | MXN | | | | | | 89,899 | | | | | (86,174 | ) |
TRY Currency Put2 | | | | GSCO-OT | | | | | 2.115 | | | TRY | | | | 10/9/13 | | | | | (28,375,000 | ) | | TRY | | | | | | 115,540 | | | | | (15,777 | ) |
TRY Currency Put | | | | GSCO-OT | | | | | 2.058 | | | TRY | | | | 10/22/13 | | | | | (27,545,000 | ) | | TRY | | | | | | 101,344 | | | | | (94,051 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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|
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Total Over-the-Counter Written Options | | | | | | | | | | | | | | | | | | | | $ | 8,347,451 | | | | $ | (5,693,717 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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1. Knock-in option becomes eligible for exercise if at any time prior to expiration spot rates are less than or equal to 79.50 JPY per 1 USD.
2. Knock-in option becomes eligible for exercise if at any time prior to expiration spot rates are greater than or equal to 2.1645 TRY per 1 USD.
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Over-the-Counter Credit Default Swaps at September 30, 2013 are as follows: | | |
Reference Entity | | Swap Counterparty | | Buy/Sell Protection | | Fixed Rate | | Maturity Date | | Notional Amount (000’s) | | | | Premiums Received/ (Paid) | | Value |
Banco Bilbao Vizcaya Argentaria Senior Finance SAU | | | | UBS | | | | | Sell | | | | | 3 | % | | | | 12/20/17 | | | | | 940 | | | | | EUR | | | | $ | 37,173 | | | | $ | 41,696 | |
Banco Santander SA | | | | UBS | | | | | Sell | | | | | 3 | | | | | 9/20/17 | | | | | 900 | | | | | EUR | | | | | (3,245 | ) | | | | 47,532 | |
Ireland (Republic of) | | | | GSCOI | | | | | Buy | | | | | 1 | | | | | 3/20/18 | | | | | 2,365 | | | | | USD | | | | | (99,348 | ) | | | | 30,988 | |
Ireland (Republic of) | | | | GSCOI | | | | | Buy | | | | | 1 | | | | | 3/20/18 | | | | | 2,080 | | | | | EUR | | | | | (76,956 | ) | | | | (39,183 | ) |
Italy (Republic of) | | | | GSCOI | | | | | Sell | | | | | 1 | | | | | 3/20/23 | | | | | 2,340 | | | | | USD | | | | | 374,113 | | | | | (346,102 | ) |
Peru (Republic of) | | | | DEU | | | | | Buy | | | | | 1 | | | | | 9/20/18 | | | | | 12,425 | | | | | USD | | | | | (199,286 | ) | | | | 287,592 | |
Ukraine | | | | JPM | | | | | Buy | | | | | 5 | | | | | 12/20/18 | | | | | 5,550 | | | | | USD | | | | | (1,116,079 | ) | | | | 1,228,936 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Total Over-the-Counter Credit Default Swaps | | | | | | | | | | | | | | $ | (1,083,628 | ) | | | $ | 1,251,459 | |
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The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
| | | | | | | | | | | | | | | |
Type of Reference Asset on which the Fund Sold Protection | | Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) | | Amount Recoverable* | | Reference Asset Rating Range** |
Investment Grade Single Name Corporate Debt (EUR) | | | | 1,840,000 | EUR | | | | — | EUR | | | | BBB to BBB- | |
Investment Grade Sovereign Debt | | | $ | 2,340,000 | | | | $ | — | | | | | BBB+ | |
| | |
|
|
| | | | | |
Total EUR | | | | 1,840,000 | EUR | | | | — | EUR | | | | | |
| | |
|
|
| | | | | |
Total USD | | | $ | 2,340,000 | | | | $ | — | | | | | | |
| | |
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| | | | | |
* 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.
| | |
68 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
** 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Cleared Interest Rate Swaps at September 30, 2013: | | | | |
Exchange | | Pay/Receive Floating Rate | | | Floating Rate | | Fixed Rate | | | Maturity Date | | | Notional Amount (000’s) | | | | | | Value | |
CITI | | | Receive | | | Three-Month USD BBA LIBOR | | | 2.855 | % | | | 9/20/23 | | | | 9,715 | | | | USD | | | $ | (82,227 | ) |
JPM | | | Receive | | | Six-Month EUR EURIBOR | | | 1.435 | | | | 9/5/18 | | | | 72,285 | | | | EUR | | | | (1,122,028 | ) |
JPM | | | Receive | | | Six-Month EUR EURIBOR | | | 2.254 | | | | 9/5/23 | | | | 8,925 | | | | EUR | | | | (227,405 | ) |
JPM | | | Receive | | | Six-Month EUR EURIBOR | | | 2.253 | | | | 9/6/23 | | | | 47,260 | | | | EUR | | | | (1,193,612 | ) |
JPM | | | Receive | | | Three-Month USD BBA LIBOR | | | 1.859 | | | | 3/6/17 | | | | 241,205 | | | | USD | | | | (2,473,089 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
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|
|
Total of Cleared Interest Rate Swaps | | | | | | | | | | | | | | | $ | (5,098,361 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | |
Over-the-Counter Interest Rate Swaps at September 30, 2013: | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Pay/Receive Floating Rate | | Floating Rate | | Fixed Rate | | Maturity Date | | Notional Amount (000’s) | | | | Value |
BAC | | | | Pay | | | | | MXN TIIE BANXICO | | | | | 8.255 | % | | | | 8/10/23 | | | | | 124,700 | | | MXN | | | $ | (46,499 | ) |
BAC | | | | Pay | | | | | Three-Month SEK STIBOR SIDE | | | | | 2.175 | | | | | 5/10/23 | | | | | 17,000 | | | SEK | | | | (116,528 | ) |
BAC | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 6.980 | | | | | 6/20/15 | | | | | 196,300 | | | ZAR | | | | 84,989 | |
BOFA | | | | Pay | | | | | MXN TIIE BANXICO | | | | | 7.530 | | | | | 5/18/33 | | | | | 9,500 | | | MXN | | | | (8,936 | ) |
BOFA | | | | Pay | | | | | Three-Month CAD BA CDOR | | | | | 1.660 | | | | | 5/9/16 | | | | | 23,415 | | | CAD | | | | (76,487 | ) |
BOFA | | | | Pay | | | | | Three-Month CAD BA CDOR | | | | | 3.155 | | | | | 9/18/23 | | | | | 9,970 | | | CAD | | | | 121,054 | |
GSCOI | | | | Pay | | | | | BZDI | | | | | 9.950 | | | | | 1/2/15 | | | | | 69,265 | | | BRR | | | | 23,080 | |
GSCOI | | | | Pay | | | | | Six-Month JPY BBA LIBOR | | | | | 0.820 | | | | | 4/15/23 | | | | | 280,000 | | | JPY | | | | 10,098 | |
GSCOI | | | | Pay | | | | | Three-Month SEK STIBOR SIDE | | | | | 1.565 | | | | | 5/3/18 | | | | | 68,000 | | | SEK | | | | (232,132 | ) |
GSCOI | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.000 | | | | | 6/20/15 | | | | | 302,500 | | | ZAR | | | | 136,555 | |
GSCOI | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.950 | | | | | 6/22/16 | | | | | 213,800 | | | ZAR | | | | 99,972 | |
GSCOI | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.850 | | | | | 6/25/16 | | | | | 206,400 | | | ZAR | | | | 80,357 | |
GSCOI | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.638 | | | | | 8/3/16 | | | | | 515,700 | | | ZAR | | | | 62,687 | |
HSBC | | | | Pay | | | | | MXN TIIE BANXICO | | | | | 7.775 | | | | | 7/28/23 | | | | | 127,600 | | | MXN | | | | (193,003 | ) |
JPM | | | | Pay | | | | | MXN TIIE BANXICO | | | | | 7.340 | | | | | 5/17/33 | | | | | 9,500 | | | MXN | | | | (23,750 | ) |
JPM | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.460 | | | | | 6/19/16 | | | | | 409,400 | | | ZAR | | | | 26,376 | |
JPM | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 7.920 | | | | | 6/20/16 | | | | | 325,900 | | | ZAR | | | | 152,976 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 69 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Interest Rate Swaps Continued | | |
Counterparty | | Pay/Receive Floating Rate | | Floating Rate | | Fixed Rate | | Maturity Date | | Notional Amount (000’s) | | | | Value |
JPM | | | | Pay | | | | | Three-Month ZAR JIBAR SAFEX | | | | | 6.450 | % | | | | 7/2/15 | | | | | 576,100 | | | ZAR | | | $ | (38,261 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Total of Over-the-Counter Interest Rate Swaps | | | | | | | | | | | $ | 62,548 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaptions Written at September 30, 2013 | |
| | Counterparty | | | Buy/Sell Protection | | | Reference Asset | | | Fixed Rate | | | Expiration Date | | | Notional Amount (000’s) | | | | | | Premium Received | | | Value | |
Credit Default Swap maturing 6/20/18 Call | | | BOFA | | | | Buy | | | | iTraxx Europe Senior Financials Series 19 Version 1 | | | | 1.000 | % | | | 10/17/13 | | | | 30,280 | | | | EUR | | | $ | 59,901 | | | $ | (90,617 | ) |
Credit Default Swap maturing 6/20/18 Call | | | JPM | | | | Sell | | | | CDX.NA.HY.20 | | | | 5.000 | | | | 12/19/13 | | | | 2,370 | | | | USD | | | | 37,920 | | | | (3,343 | ) |
Credit Default Swap maturing 6/20/18 Call | | | JPM | | | | Sell | | | | CDX.NA.HY.20 | | | | 5.000 | | | | 12/19/13 | | | | 2,370 | | | | USD | | | | 36,143 | | | | (61,583 | ) |
Credit Default Swap maturing 6/20/18 Call | | | JPM | | | | Buy | | | | iTraxx Europe Crossover Series 19 Version 1 | | | | 5.000 | | | | 11/21/13 | | | | 4,310 | | | | EUR | | | | 47,492 | | | | (12,958 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Total Over-the-Counter Credit Default Swaptions Written | | | | | | | $ | 181,456 | | | $ | (168,501 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Interest Rate Swaptions Written at September 30, 2013 |
| | Counterparty | | Pay/ Receive Floating Rate | | Floating Rate | | Fixed Rate | | Expiration Date | | Notional Amount (000’s) | | | | Premium Received | | Value |
Interest Rate Swap maturing 8/5/17 Call | | BAC | | Pay | | Six-Month EUR EURIBOR | | | | 1.490 | % | | | | 8/4/15 | | | | | 125,645 | | | EUR | | | $ | 1,148,630 | | | | $ | (1,199,989 | ) |
Interest Rate Swap maturing 6/1/33 Call | | BAC | | Pay | | Six-Month EUR EURIBOR | | | | 3.117 | | | | | 5/31/23 | | | | | 4,730 | | | EUR | | | | 416,352 | | | | | (446,902 | ) |
Interest Rate Swap maturing 10/20/23 Call | | BAC | | Pay | | MXN TIIE BANXICO | | | | 5.390 | | | | | 11/1/13 | | | | | 137,600 | | | MXN | | | | 229,728 | | | | | (1,041,473 | ) |
Interest Rate Swap maturing 6/20/21 Call | | BAC | | Receive | | Six-Month GBP BBA LIBOR | | | | 2.118 | | | | | 6/21/16 | | | | | 18,865 | | | GBP | | | | 498,840 | | | | | (195,050 | ) |
Interest Rate Swap maturing 6/20/21 Call | | BAC | | Pay | | Six-Month GBP BBA LIBOR | | | | 3.118 | | | | | 6/21/16 | | | | | 18,865 | | | GBP | | | | 398,482 | | | | | (808,439 | ) |
Interest Rate Swap maturing 1/25/21 Call | | BAC | | Pay | | Six-Month GBP BBA LIBOR | | | | 2.295 | | | | | 1/26/16 | | | | | 16,980 | | | GBP | | | | 634,874 | | | | | (1,137,849 | ) |
| | |
70 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Interest Rate Swaptions Written Continued |
| | Counterparty | | Pay/ Receive Floating Rate | | Floating Rate | | Fixed Rate | | Expiration Date | | Notional Amount (000’s) | | | | Premium Received | | Value |
Interest Rate Swap maturing 7/20/20 Call | | BAC | | Receive | | Six-Month GBP BBA LIBOR | | | | 1.770 | % | | | | 7/21/15 | | | | | 14,115 | | | GBP | | | $ | 200,488 | | | | $ | (96,016 | ) |
Interest Rate Swap maturing 7/20/20 Call | | BAC | | Pay | | Six-Month GBP BBA LIBOR | | | | 2.770 | | | | | 7/21/15 | | | | | 14,115 | | | GBP | | | | 284,564 | | | | | (471,532 | ) |
Interest Rate Swap maturing 1/14/19 Call | | BAC | | Receive | | Six-Month GBP BBA LIBOR | | | | 1.250 | | | | | 7/21/15 | | | | | 23,615 | | | GBP | | | | 71,997 | | | | | (12,502 | ) |
Interest Rate Swap maturing 1/14/19 Call | | BAC | | Pay | | Six-Month GBP BBA LIBOR | | | | 2.000 | | | | | 7/21/15 | | | | | 23,615 | | | GBP | | | | 233,200 | | | | | (242,091 | ) |
Interest Rate Swap maturing 4/27/22 Call | | BAC | | Pay | | Three-Month USD BBA LIBOR | | | | 3.100 | | | | | 4/26/17 | | | | | 76,315 | | | USD | | | | 1,976,559 | | | | | (3,735,542 | ) |
Interest Rate Swap maturing 2/12/18 Call | | BAC | | Receive | | Three-Month USD BBA LIBOR | | | | 1.862 | | | | | 2/7/14 | | | | | 111,005 | | | USD | | | | 249,761 | | | | | (191,840 | ) |
Interest Rate Swap maturing 12/9/18 Call | | BAC | | Receive | | Three-Month USD BBA LIBOR | | | | 1.950 | | | | | 12/6/13 | | | | | 130,540 | | | USD | | | | 881,145 | | | | | (2,368,995 | ) |
Interest Rate Swap maturing 1/2/24 Call | | BOFA | | Pay | | MXN TIIE BANXICO | | | | 6.060 | | | | | 1/14/14 | | | | | 23,685 | | | MXN | | | | 68,656 | | | | | (120,736 | ) |
Interest Rate Swap maturing 10/21/23 Call | | BOFA | | Receive | | Three-Month USD BBA LIBOR | | | | 3.070 | | | | | 10/18/13 | | | | | 56,355 | | | USD | | | | 586,092 | | | | | (1,428,853 | ) |
Interest Rate Swap maturing 12/18/18 Call | | BOFA | | Pay | | Three-Month USD BBA LIBOR | | | | 2.403 | | | | | 12/17/13 | | | | | 116,200 | | | USD | | | | 778,540 | | | | | (1,234,568 | ) |
Interest Rate Swap maturing 2/5/44 Call | | BOFA | | Receive | | Three-Month USD BBA LIBOR | | | | 3.760 | | | | | 2/4/14 | | | | | 18,555 | | | USD | | | | 894,351 | | | | | (694,616 | ) |
Interest Rate Swap maturing 8/4/21 Call | | BOFA | | Pay | | Three-Month USD BBA LIBOR | | | | 4.860 | | | | | 8/3/16 | | | | | 18,600 | | | USD | | | | 279,000 | | | | | (271,223 | ) |
Interest Rate Swap maturing 7/27/26 Call | | BOFA | | Pay | | Three-Month USD BBA LIBOR | | | | 3.960 | | | | | 7/26/16 | | | | | 50,010 | | | USD | | | | 2,707,518 | | | | | (2,675,630 | ) |
Interest Rate Swap maturing 10/8/23 Call | | BOFA | | Pay | | Three-Month CAD BA CDOR | | | | 2.583 | | | | | 10/9/13 | | | | | 55,735 | | | CAD | | | | 483,929 | | | | | (2,181,679 | ) |
Interest Rate Swap maturing 12/27/18 Call | | GSCOI | | Pay | | Six-Month EUR EURIBOR | | | | 2.055 | | | | | 12/23/13 | | | | | 23,645 | | | EUR | | | | 185,925 | | | | | (118,500 | ) |
Interest Rate Swap maturing 1/22/24 Call | | GSCOI | | Pay | | Three-Month USD BBA LIBOR | | | | 4.500 | | | | | 3/14/14 | | | | | 83,635 | | | USD | | | | 836,350 | | | | | (454,651 | ) |
Interest Rate Swap maturing 1/16/16 Call | | GSCO-OT | | Pay | | Three-Month USD BBA LIBOR | | | | 2.000 | | | | | 3/14/14 | | | | | 752,800 | | | USD | | | | 451,680 | | | | | (90,876 | ) |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 71 | |
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Interest Rate Swaptions Written Continued |
| | Counterparty | | Pay/ Receive Floating Rate | | Floating Rate | | Fixed Rate | | Expiration Date | | Notional Amount (000’s) | | | | Premium Received | | Value |
Interest Rate Swap maturing 12/4/20 Call | | GSCO-OT | | Pay | | Six-Month GBP BBA LIBOR | | | | 2.055 | % | | | | 12/7/15 | | | | | 18,075 | | | GBP | | | $ | 681,700 | | | | $ | (1,328,904 | ) |
Interest Rate Swap maturing 5/13/24 Call | | JPM | | Pay | | Six-Month AUD BBR BBSW | | | | 4.057 | | | | | 5/13/14 | | | | | 4,685 | | | AUD | | | | 121,950 | | | | | (207,106 | ) |
Interest Rate Swap maturing 10/12/23 Call | | JPM | | Pay | | MXN TIIE BANXICO | | | | 6.750 | | | | | 12/24/13 | | | | | 20,100 | | | MXN | | | | 43,457 | | | | | (43,457 | ) |
Interest Rate Swap maturing 10/19/23 Call | | JPM | | Pay | | MXN TIIE BANXICO | | | | 5.440 | | | | | 12/24/13 | | | | | 139,400 | | | MXN | | | | 237,538 | | | | | (1,013,719 | ) |
Interest Rate Swap maturing 3/7/19 Call | | JPM | | Pay | | Three-Month USD BBA LIBOR | | | | 2.860 | | | | | 3/6/14 | | | | | 94,050 | | | USD | | | | 752,400 | | | | | (209,924 | ) |
Interest Rate Swap maturing 1/26/27 Call | | UBS | | Pay | | Six-Month EUR EURIBOR | | | | 2.545 | | | | | 1/25/17 | | | | | 9,395 | | | EUR | | | | 575,184 | | | | | (392,660 | ) |
Interest Rate Swap maturing 12/9/18 Call | | UBS | | Receive | | Six-Month EUR EURIBOR | | | | 1.650 | | | | | 12/6/13 | | | | | 12,925 | | | EUR | | | | 136,488 | | | | | (309,590 | ) |
Interest Rate Swap maturing 3/7/24 Call | | UBS | | Receive | | Six-Month EUR EURIBOR | | | | 2.510 | | | | | 3/6/14 | | | | | 8,615 | | | EUR | | | | 226,024 | | | | | (414,866 | ) |
Interest Rate Swap maturing 6/12/17 Call | | UBS | | Pay | | Six-Month EUR EURIBOR | | | | 1.320 | | | | | 6/11/15 | | | | | 32,500 | | | EUR | | | | 305,814 | | | | | (300,297 | ) |
Interest Rate Swap maturing 12/5/18 Call | | UBS | | Receive | | Six-Month GBP BBA LIBOR | | | | 2.150 | | | | | 12/6/13 | | | | | 8,615 | | | GBP | | | | 122,208 | | | | | (246,638 | ) |
Interest Rate Swap maturing 5/23/18 Call | | UBS | | Pay | | Six-Month GBP BBA LIBOR | | | | 1.545 | | | | | 12/6/13 | | | | | 9,400 | | | GBP | | | | 124,295 | | | | | (312,998 | ) |
Interest Rate Swap maturing 11/5/23 Call | | UBS | | Pay | | Three-Month USD BBA LIBOR | | | | 3.408 | | | | | 11/4/13 | | | | | 14,130 | | | USD | | | | 105,269 | | | | | (3,975 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Total Over-the-Counter Interest Rate Swaptions Written | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 17,928,988 | | | | $ | (26,003,686 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
|
Glossary:
Counterparty Abbreviations
| | |
BAC | | Barclays Bank plc |
BOFA | | Bank of America |
BNP | | BNP Paribas |
CITNA-B | | Citibank NA |
DEU | | Deutsche Bank Securities, Inc. |
FIB | | Credit Suisse International |
GSCO-OT | | Goldman Sachs Bank USA |
GSCOI | | Goldman Sachs International |
HSBC | | HSBC Bank USA NA |
| | |
JPM | | JPMorgan Chase Bank NA |
MSCO | | Morgan Stanley Capital Services, Inc. |
NOM | | Nomura Global Financial Products, Inc. |
RBSC | | Royal Bank of Scotland plc (The) |
UBS | | UBS AG |
| | |
72 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Footnotes to Consolidated Statement of Investments Continued
Currency abbreviations indicate amounts reporting in currencies
| | |
AUD | | Australian Dollar |
BRR | | Brazilian Real |
CAD | | Canadian Dollar |
CHF | | Swiss Franc |
CLP | | Chilean Peso |
COP | | Colombian Peso |
DKK | | Danish Krone |
EUR | | Euro |
GBP | | British Pound Sterling |
HUF | | Hungarian Forint |
IDR | | Indonesia Rupiah |
INR | | Indian Rupee |
JPY | | Japanese Yen |
| | |
MXN | | Mexican Nuevo Peso |
MYR | | Malaysian Ringgit |
NOK | | Norwegian Krone |
PEN | | Peruvian New Sol |
PHP | | Philippines Peso |
PLZ | | Polish Zloty |
RUR | | Russian Ruble |
SEK | | Swedish Krona |
THB | | Thai Bhat |
TRY | | New Turkish Lira |
ZAR | | South African Rand |
Definitions
| | |
BA CDOR | | Canada Bankers Acceptances Deposit Offering Rate |
BANXICO | | Banco de Mexico |
BBA LIBOR | | British Bankers’ Association London-Interbank Offered Rate |
BBR BBSW | | Bank Bill Swap Reference Rate (Australian Financial Market) |
BZDI | | Brazil Interbank Deposit Rate |
CDX.NA.HY.20 | | Markit CDX North American High Yield |
EURIBOR | | Euro Interbank Offered Rate |
iTraxx Europe Crossover Series 19 Version 1 | | Credit Default Swap Trading Index for a Specific Basket of Securities |
| | |
iTraxx Europe Senior Financials Series 19 Version 1 | | Credit Default Swap Trading Index for a Specific Basket of Securities |
JIBAR SAFEX | | Johannesburg Intgerbank Agreed Rate South African Fututres Exchange |
STIBOR SIDE | | Stockholm Interbank Offered Rate |
TIIE | | Interbank Equilibrium Interest Rate |
Exchange Abbreviations
| | |
CBT | | Chicago Board of Trade |
CITI | | Citigroup |
JPM | | JPMorgan Chase Bank NA |
EUX | | European Stock Exchanges |
| | |
LIF | | London Interantional Financial Futures and Options Exchange |
SFE | | Sydney Futures Exchange |
See accompanying Consolidated Notes to Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 73 | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES September 30, 2013
| | | | |
Assets | | | |
Investments, at value—see accompanying consolidated statement of investments: | | | | |
Unaffiliated companies (cost $8,039,512,272) | | $ | 7,851,276,891 | |
Affiliated companies (cost $590,552,640) | |
| 584,423,635
|
|
| | | 8,435,700,526 | |
Cash—foreign currencies (cost $9,579) | | | 9,579 | |
Cash used for collateral on OTC derivatives | | | 12,501,248 | |
Unrealized appreciation on foreign currency exchange contracts | | | 34,341,026 | |
Swaps, at value (net premiums paid $1,380,785) | | | 2,434,888 | |
Receivables and other assets: | | | | |
Investments sold (including $141,057,494 sold on a when-issued or delayed delivery basis) | | | 194,619,286 | |
Interest, dividends and principal paydowns | | | 88,149,624 | |
Closed foreign currency contracts | | | 7,419,804 | |
Shares of beneficial interest sold | | | 5,050,855 | |
Variation margin receivable | | | 157,990 | |
Other | |
| 309,391
|
|
Total assets | | | 8,780,694,217 | |
Liabilities | | | |
Bank overdraft | | | 12,176,855 | |
Options written, at value (premiums received $8,347,451) | | | 5,693,717 | |
Swaptions written, at value (premiums received $18,110,444) | | | 26,172,187 | |
Unrealized depreciation on foreign currency exchange contracts | | | 27,934,629 | |
Swaps, at value (net premiums received $297,157) | | | 1,120,881 | |
Payables and other liabilities: | | | | |
Investments purchased (including $607,123,685 purchased on a when-issued or delayed delivery basis) | | | 649,178,877 | |
Shares of beneficial interest redeemed | | | 19,721,711 | |
Closed foreign currency contracts | | | 12,795,818 | |
Variation margin payable | | | 6,010,363 | |
Dividends | | | 4,649,410 | |
Distribution and service plan fees | | | 1,515,508 | |
Transfer and shareholder servicing agent fees | | | 1,066,959 | |
Shareholder communications | | | 369,674 | |
Trustees’ compensation | | | 272,999 | |
Other | |
| 659,116
|
|
Total liabilities | | | 769,338,704 | |
Net Assets | | $
| 8,011,355,513
|
|
Composition of Net Assets | | | |
Par value of shares of beneficial interest | | $ | 1,942,465 | |
Additional paid-in capital | | | 8,875,997,103 | |
Accumulated net investment income | | | 1,024,562 | |
Accumulated net realized loss on investments and foreign currency transactions | | | (668,395,078 | ) |
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | |
| (199,213,539
| )
|
Net Assets | | $
| 8,011,355,513
|
|
| | |
74 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | |
Net Asset Value Per Share | | | |
Class A Shares: | | | | |
Net asset value and redemption price per share (based on net assets of $5,599,882,505 and 1,357,329,718 shares of beneficial interest outstanding) | | $ | 4.13 | |
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 4.34 | |
Class B Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $205,204,454 and 49,567,408 shares of beneficial interest outstanding) | | $ | 4.14 | |
Class C Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,337,248,196 and 324,782,089 shares of beneficial interest outstanding) | | $ | 4.12 | |
Class I Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $87,638,850 and 21,324,786 shares of beneficial interest outstanding) | | $ | 4.11 | |
Class N Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $208,522,860 and 50,509,802 shares of beneficial interest outstanding) | | $ | 4.13 | |
Class Y Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $572,858,648 and 138,951,689 shares of beneficial interest outstanding) | | $ | 4.12 | |
See accompanying Notes to Consolidated Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 75 | |
CONSOLIDATED STATEMENT OF OPERATIONS For the Year Ended September 30, 2013
| | | | |
Allocation of Income and Expenses from Master Funds1 | | | |
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | | | | |
Interest | | $ | 14,714,607 | |
Dividends | | | 7,912 | |
Net expenses | |
| (726,542
| )
|
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | | | 13,995,977 | |
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | | | | |
Interest | | | 43,492,830 | |
Dividends | | | 38,665 | |
Net expenses | |
| (2,080,337
| )
|
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | |
| 41,451,158
|
|
Total allocation of net investment income from master funds | | | 55,447,135 | |
Investment Income | | | |
Interest: | | | | |
Unaffiliated companies | | | 474,236,801 | |
Affiliated companies | | | 1,705,444 | |
Dividends: | | | | |
Unaffiliated companies | | | 790,648 | |
Affiliated companies | | | 452,700 | |
Fee income on when-issued securities | | | 30,289,019 | |
Other income | |
| 100,221
|
|
Total investment income | | | 507,574,833 | |
Expenses | | | |
Management fees | | | 45,787,757 | |
Distribution and service plan fees: | | | | |
Class A | | | 15,126,902 | |
Class B | | | 2,518,574 | |
Class C | | | 15,080,039 | |
Class N | | | 1,153,318 | |
Transfer and shareholder servicing agent fees: | | | | |
Class A | | | 8,523,537 | |
Class B | | | 703,102 | |
Class C | | | 1,941,785 | |
Class I | | | 22,817 | |
Class N | | | 633,445 | |
Class Y | | | 1,004,898 | |
Shareholder communications: | | | | |
Class A | | | 886,165 | |
Class B | | | 78,405 | |
Class C | | | 201,696 | |
Class I | | | 303 | |
Class N | | | 25,070 | |
Class Y | | | 57,428 | |
Custodian fees and expenses | | | 1,215,323 | |
Trustees’ compensation | | | 214,901 | |
Other | |
| 779,539
|
|
Total expenses | | | 95,955,004 | |
Less waivers and reimbursements of expenses | |
| (2,784,726
| )
|
Net expenses | | | 93,170,278 | |
Net Investment Income | | | 469,851,690 | |
| | |
76 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on: | | | | |
Investments from: | | | | |
Unaffiliated companies (including premiums on options and swaptions exercised) | | $ | (12,176,244 | ) |
Affiliated companies | | | (39,639,586 | ) |
Closing and expiration of option contracts written | | | 40,860,988 | |
Closing and expiration of swaption contracts written | | | 6,052,314 | |
Closing and expiration of futures contracts | | | (56,176,040 | ) |
Foreign currency transactions | | | (191,539,138 | ) |
Swap contracts | | | (19,055,620 | ) |
Net realized gain (loss) allocated from: | | | | |
Oppenheimer Master Event-Linked Bond Fund, LLC | | | (414,342 | ) |
Oppenheimer Master Loan Fund, LLC | |
| 19,915,996
|
|
Net realized loss | | | (252,171,672 | ) |
Net change in unrealized appreciation/depreciation on: | | | | |
Investments | | | (122,651,967 | ) |
Translation of assets and liabilities denominated in foreign currencies | | | 18,112,205 | |
Futures contracts | | | 1,600,973 | |
Option contracts written | | | (1,398,952 | ) |
Swaption contracts written | | | (7,552,757 | ) |
Swap contracts | | | (6,182,448 | ) |
Net change in unrealized appreciation/depreciation allocated from: | | | | |
Oppenheimer Master Event-Linked Bond Fund, LLC | | | 4,662,497 | |
Oppenheimer Master Loan Fund, LLC | |
| (9,147,556
| )
|
Net change in unrealized appreciation/depreciation | | | (122,558,005 | ) |
Net Increase in Net Assets Resulting from Operations | | $
| 95,122,013
|
|
1. The Fund invests in certain affiliated funds that expect to be treated as partnerships for tax purposes. See Note 1 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 77 | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | Year Ended September 30, 2013 | | | Year Ended September 28, 20121,2 | |
Operations | | | | | | |
Net investment income | | $ | 469,851,690 | | | $ | 497,858,235 | |
Net realized loss | | | (252,171,672 | ) | | | (82,449,520 | ) |
Net change in unrealized appreciation/depreciation | |
| (122,558,005
| )
| |
| 597,223,016
|
|
Net increase in net assets resulting from operations | | | 95,122,013 | | | | 1,012,631,731 | |
Dividends and/or Distributions to Shareholders | | | | | | |
Dividends from net investment income: | | | | | | | | |
Class A | | | (254,192,723 | ) | | | (330,771,757 | ) |
Class B | | | (8,625,849 | ) | | | (13,000,514 | ) |
Class C | | | (53,343,001 | ) | | | (69,498,317 | ) |
Class I | | | (3,302,056 | ) | | | (723,309 | ) |
Class N | | | (8,876,327 | ) | | | (12,083,986 | ) |
Class Y | |
| (29,124,765
| )
| |
| (42,405,408
| )
|
| | | (357,464,721 | ) | | | (468,483,291 | ) |
Tax return of capital distribution: | | | | | | | | |
Class A | | | (76,629,049 | ) | | | (16,982,855 | ) |
Class B | | | (2,600,352 | ) | | | (667,487 | ) |
Class C | | | (16,080,805 | ) | | | (3,568,261 | ) |
Class I | | | (995,439 | ) | | | (37,137 | ) |
Class N | | | (2,675,862 | ) | | | (620,430 | ) |
Class Y | |
| (8,779,964
| )
| |
| (2,177,226
| )
|
| | | (107,761,471 | ) | | | (24,053,396 | ) |
Beneficial Interest Transactions | | | | | | |
Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
Class A | | | (419,396,363 | ) | | | 60,827,515 | |
Class B | | | (67,890,278 | ) | | | (18,958,333 | ) |
Class C | | | (121,974,759 | ) | | | 51,407,175 | |
Class I | | | 40,385,383 | | | | 49,687,337 | |
Class N | | | (20,696,374 | ) | | | (1,212,963 | ) |
Class Y | |
| (128,590,213
| )
| |
| (21,368,986
| )
|
| | | (718,162,604 | ) | | | 120,381,745 | |
Net Assets | | | | | | |
Total increase (decrease) | | | (1,088,266,783 | ) | | | 640,476,789 | |
Beginning of period | |
| 9,099,622,296
|
| |
| 8,459,145,507
|
|
End of period (including accumulated net investment income of $1,024,562 and $42,957,670 respectively) | | $
| 8,011,355,513
|
| | $
| 9,099,622,296
|
|
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
| | |
78 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | Year Ended September 30, | | | Year Ended September 28, | | | Year Ended September 30, | | | Year Ended September 30, | | | Year Ended September 30, | |
Class A | | 2013 | | | 20121,2 | | | 2011 | | | 2010 | | | 2009 | |
| | | | | | | | | | | | | | | | | | | | |
Per Share Operating Data | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $4.30 | | | | $4.05 | | | | $4.32 | | | | $3.91 | | | | $3.96 | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income3 | | | .23 | | | | .25 | | | | .27 | | | | .28 | | | | .24 | |
Net realized and unrealized gain (loss) | |
| (.17
| )
| |
| .25
|
| |
| (.28
| )
| |
| .40
|
| |
| (.05
| )
|
Total from investment operations | | | .06 | | | | .50 | | | | (.01 | ) | | | .68 | | | | .19 | |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.18 | ) | | | (.24 | ) | | | (.26 | ) | | | (.27 | ) | | | (.18 | ) |
Tax return of capital distribution | |
| (.05
| )
| |
| (.01
| )
| |
| —
|
| |
| —
|
| |
| (.06
| )
|
Total dividends and/or distributions to shareholders | | | (.23 | ) | | | (.25 | ) | | | (.26 | ) | | | (.27 | ) | | | (.24 | ) |
Net asset value, end of period | | $
| 4.13
|
| | $
| 4.30
|
| | $
| 4.05
|
| | $
| 4.32
|
| |
| $3.91
|
|
Total Return, at Net Asset Value4 | | | 1.30 | % | | | 12.61 | % | | | (0.31 | )% | | | 18.17 | % | | | 5.59 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $5,599,883 | | | | $6,276,192 | | | | $5,857,280 | | | | $6,368,118 | | | | $6,019,723 | |
Average net assets (in thousands) | | | $6,198,248 | | | | $5,865,852 | | | | $6,278,335 | | | | $6,047,257 | | | | $5,942,116 | |
Ratios to average net assets:5,6 | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.39 | % | | | 5.99 | % | | | 6.23 | % | | | 6.91 | % | | | 6.74 | % |
Expenses excluding interest and fees from borrowings | | | 0.96 | % | | | 0.98 | % | | | 0.97 | % | | | 0.99 | % | | | 0.97 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
| |
| —7
|
| |
| 0.28
| %
| |
| 0.01
| %
|
Total expenses8 | | | 0.96 | % | | | 0.98 | % | | | 0.97 | % | | | 1.27 | % | | | 0.98 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.93 | % | | | 0.93 | % | | | 0.92 | % | | | 1.23 | % | | | 0.96 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % | | | 53 | % | | | 94 | % | | | 96 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
7. Less than 0.005%.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 79 | |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 0.96 | % |
Year Ended September 28, 2012 | | | 0.98 | % |
Year Ended September 30, 2011 | | | 0.97 | % |
Year Ended September 30, 2010 | | | 1.27 | % |
Year Ended September 30, 2009 | | | 0.99 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Year Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
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 | |
See accompanying Notes to Consolidated Financial Statements.
| | |
80 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | | | | | | | | | | | | | |
| | Year Ended September 30, | | | Year Ended September 28, | | | Year Ended September 30, | | | Year Ended September 30, | | | Year Ended September 30, | |
Class B | | 2013 | | | 20121,2 | | | 2011 | | | 2010 | | | 2009 | |
| | | | | | | | | | | | | | | | | | | | |
Per Share Operating Data | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $4.32 | | | | $4.06 | | | | $4.33 | | | | $3.93 | | | | $3.98 | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income3 | | | .19 | | | | .21 | | | | .23 | | | | .24 | | | | .20 | |
Net realized and unrealized gain (loss) | |
| (.18
| )
| |
| .26
|
| |
| (.28
| )
| |
| .40
|
| |
| (.04
| )
|
Total from investment operations | | | .01 | | | | .47 | | | | (.05 | ) | | | .64 | | | | .16 | |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.15 | ) | | | (.20 | ) | | | (.22 | ) | | | (.24 | ) | | | (.16 | ) |
Tax return of capital distribution | |
| (.04
| )
| |
| (.01
| )
| |
| —
|
| |
| —
|
| |
| (.05
| )
|
Total dividends and/or distributions to shareholders | | | (.19 | ) | | | (.21 | ) | | | (.22 | ) | | | (.24 | ) | | | (.21 | ) |
Net asset value, end of period | | $
| 4.14
|
| | $
| 4.32
|
| |
| $4.06
|
| |
| $4.33
|
| |
| $3.93
|
|
Total Return, at Net Asset Value4 | | | 0.15 | % | | | 11.84 | % | | | (1.21 | )% | | | 16.74 | % | | | 4.64 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $205,204 | | | | $282,504 | | | | $284,757 | | | | $342,069 | | | | $353,248 | |
Average net assets (in thousands) | | | $252,333 | | | | $272,336 | | | | $320,622 | | | | $331,317 | | | | $355,973 | |
Ratios to average net assets:5,6 | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.50 | % | | | 5.08 | % | | | 5.31 | % | | | 5.96 | % | | | 5.83 | % |
Expenses excluding interest and fees from borrowings | | | 1.87 | % | | | 1.89 | % | | | 1.89 | % | | | 1.93 | % | | | 1.89 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
| |
| —7
|
| |
| 0.28
| %
| |
| 0.01
| %
|
Total expenses8 | | | 1.87 | % | | | 1.89 | % | | | 1.89 | % | | | 2.21 | % | | | 1.90 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.84 | % | | | 1.84 | % | | | 1.84 | % | | | 2.17 | % | | | 1.88 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % | | | 53 | % | | | 94 | % | | | 96 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
7. Less than 0.005%.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 81 | |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 1.87 | % |
Year Ended September 28, 2012 | | | 1.89 | % |
Year Ended September 30, 2011 | | | 1.89 | % |
Year Ended September 30, 2010 | | | 2.21 | % |
Year Ended September 30, 2009 | | | 1.91 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Year Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
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 | |
See accompanying Notes to Consolidated Financial Statements.
| | |
82 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | | | | | | | | | | | | | |
| | Year Ended September 30, | | | Year Ended September 28, | | | Year Ended September 30, | | | Year Ended September 30, | | | Year Ended September 30, | |
Class C | | 2013 | | | 20121,2 | | | 2011 | | | 2010 | | | 2009 | |
| | | | | | | | | | | | | | | | | | | | |
Per Share Operating Data | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $4.30 | | | | $4.04 | | | | $4.31 | | | | $3.91 | | | | $3.96 | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income3 | | | .20 | | | | .22 | | | | .24 | | | | .25 | | | | .21 | |
Net realized and unrealized gain (loss) | |
| (.18
| )
| |
| .26
|
| |
| (.28
| )
| |
| .39
|
| |
| (.05
| )
|
Total from investment operations | | | .02 | | | | .48 | | | | (.04 | ) | | | .64 | | | | .16 | |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.15 | ) | | | (.21 | ) | | | (.23 | ) | | | (.24 | ) | | | (.16 | ) |
Tax return of capital distribution | |
| (.05
| )
| |
| (.01
| )
| |
| —
|
| |
| —
|
| |
| (.05
| )
|
Total dividends and/or distributions to shareholders | | | (.20 | ) | | | (.22 | ) | | | (.23 | ) | | | (.24 | ) | | | (.21 | ) |
Net asset value, end of period | | $
| 4.12
|
| | $
| 4.30
|
| |
| $4.04
|
| |
| $4.31
|
| |
| $3.91
|
|
Total Return, at Net Asset Value4 | | | 0.30 | % | | | 12.05 | % | | | (1.08 | )% | | | 17.01 | % | | | 4.79 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $1,337,248 | | | | $1,522,039 | | | | $1,384,378 | | | | $1,448,886 | | | | $1,292,721 | |
Average net assets (in thousands) | | | $1,510,477 | | | | $1,411,513 | | | | $1,453,972 | | | | $1,330,764 | | | | $1,201,421 | |
Ratios to average net assets:5,6 | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.65 | % | | | 5.24 | % | | | 5.48 | % | | | 6.15 | % | | | 6.00 | % |
Expenses excluding interest and fees from borrowings | | | 1.71 | % | | | 1.73 | % | | | 1.73 | % | | | 1.75 | % | | | 1.73 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
| |
| —7
|
| |
| 0.28
| %
| |
| 0.01
| %
|
Total expenses8 | | | 1.71 | % | | | 1.73 | % | | | 1.73 | % | | | 2.03 | % | | | 1.74 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.68 | % | | | 1.68 | % | | | 1.68 | % | | | 1.99 | % | | | 1.72 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % | | | 53 | % | | | 94 | % | | | 96 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
7. Less than 0.005%.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 83 | |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 1.71 | % |
Year Ended September 28, 2012 | | | 1.73 | % |
Year Ended September 30, 2011 | | | 1.73 | % |
Year Ended September 30, 2010 | | | 2.03 | % |
Year Ended September 30, 2009 | | | 1.75 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Year Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
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 | |
See accompanying Notes to Consolidated Financial Statements.
| | |
84 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | |
Class I | | Year Ended September 30, 2013 | | | Period Ended September 28, 20121,2,3 | |
Per Share Operating Data | | | | | | |
Net asset value, beginning of period | | $ | 4.29 | | | $ | 4.17 | |
Income (loss) from investment operations: | | | | | | | | |
Net investment income4 | | | .24 | | | | .18 | |
Net realized and unrealized gain (loss) | |
| (.18
| )
| |
| .11
|
|
Total from investment operations | | | .06 | | | | .29 | |
Dividends and/or distributions to shareholders: | | | | | | | | |
Dividends from net investment income | | | (.19 | ) | | | (.16 | ) |
Tax return of capital distribution | |
| (.05
| )
| |
| (.01
| )
|
Total dividends and/or distributions to shareholders | | | (.24 | ) | | | (.17 | ) |
Net asset value, end of period | | $
| 4.11
|
| | $
| 4.29
|
|
Total Return, at Net Asset Value5 | | | 1.43 | % | | | 7.23 | % |
| | | | | | | | |
Ratios/Supplemental Data | | | | | | |
Net assets, end of period (in thousands) | | | $87,639 | | | | $51,011 | |
Average net assets (in thousands) | | | $76,202 | | | | $17,870 | |
Ratios to average net assets:6,7 | | | | | | | | |
Net investment income | | | 5.69 | % | | | 6.37 | % |
Expenses excluding interest and fees from borrowings | | | 0.60 | % | | | 0.64 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
|
Total expenses8 | | | 0.60 | % | | | 0.64 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.57 | % | | | 0.60 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. For the period from January 27, 2012 (inception of offering) to September 28, 2012.
4. Per share amounts calculated based on the average shares outstanding during the period.
5. 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.
6. Annualized for periods less than one full year.
7. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 0.60 | % |
Period Ended September 28, 2012 | | | 0.64 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Period Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
See accompanying Notes to Consolidated Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 85 | |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | |
| | Year Ended September 30, | | | Year Ended September 28, | | | Year Ended September 30, | | | Year Ended September 30, | | | Year Ended September 30, | |
Class N | | 2013 | | | 20121,2 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Data | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 4.31 | | | $ | 4.05 | | | $ | 4.32 | | | $ | 3.92 | | | $ | 3.97 | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income3 | | | .22 | | | | .23 | | | | .25 | | | | .26 | | | | .22 | |
Net realized and unrealized gain (loss) | |
| (.19
| )
| |
| .26
|
| |
| (.28
| )
| |
| .40
|
| |
| (.05
| )
|
Total from investment operations | | | .03 | | | | .49 | | | | (.03 | ) | | | .66 | | | | .17 | |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.16 | ) | | | (.22 | ) | | | (.24 | ) | | | (.26 | ) | | | (.16 | ) |
Tax return of capital distribution | |
| (.05
| )
| |
| (.01
| )
| |
| —
|
| |
| —
|
| |
| (.06
| )
|
Total dividends and/or distributions to shareholders | | | (.21 | ) | | | (.23 | ) | | | (.24 | ) | | | (.26 | ) | | | (.22 | ) |
Net asset value, end of period | | $
| 4.13
|
| | $
| 4.31
|
| |
| $4.05
|
| |
| $4.32
|
| |
| $3.92
|
|
Total Return, at Net Asset Value4 | | | 0.68 | % | | | 12.42 | % | | | (0.73 | )% | | | 17.34 | % | | | 5.14 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $208,523 | | | | $238,666 | | | | $225,889 | | | | $230,532 | | | | $186,857 | |
Average net assets (in thousands) | | | $233,104 | | | | $229,983 | | | | $237,655 | | | | $202,619 | | | | $164,067 | |
Ratios to average net assets:5,6 | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.01 | % | | | 5.59 | % | | | 5.81 | % | | | 6.45 | % | | | 6.34 | % |
Expenses excluding interest and fees from borrowings | | | 1.34 | % | | | 1.38 | % | | | 1.39 | % | | | 1.44 | % | | | 1.47 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
| |
| —
| 7
| |
| 0.28
| %
| |
| 0.01
| %
|
Total expenses8 | | | 1.34 | % | | | 1.38 | % | | | 1.39 | % | | | 1.72 | % | | | 1.48 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.31 | % | | | 1.33 | % | | | 1.34 | % | | | 1.68 | % | | | 1.39 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % | | | 53 | % | | | 94 | % | | | 96 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
7. Less than 0.005%.
| | |
86 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 1.34 | % |
Year Ended September 28, 2012 | | | 1.38 | % |
Year Ended September 30, 2011 | | | 1.39 | % |
Year Ended September 30, 2010 | | | 1.72 | % |
Year Ended September 30, 2009 | | | 1.49 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Year Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
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 | |
See accompanying Notes to Consolidated Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 87 | |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | |
| | Year Ended September 30, | | | Year Ended September 28, | | | Year Ended September 30, | | | Year Ended September 30, | | | Year Ended September 30, | |
Class Y | | 2013 | | | 20121,2 | | | 2011 | | | 2010 | | | 2009 | |
| | | | | | | | | | | | | | | | | | | | |
Per Share Operating Data | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 4.30 | | | $ | 4.05 | | | $ | 4.31 | | | $ | 3.91 | | | $ | 3.96 | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income3 | | | .24 | | | | .26 | | | | .28 | | | | .29 | | | | .24 | |
Net realized and unrealized gain (loss) | |
| (.18
| )
| |
| .25
|
| |
| (.27
| )
| |
| .39
|
| |
| (.05
| )
|
Total from investment operations | | | .06 | | | | .51 | | | | .01 | | | | .68 | | | | .19 | |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.18 | ) | | | (.25 | ) | | | (.27 | ) | | | (.28 | ) | | | (.18 | ) |
Tax return of capital distribution | |
| (.06
| )
| |
| (.01
| )
| |
| —
|
| |
| —
|
| |
| (.06
| )
|
Total dividends and/or distributions to shareholders | | | (.24 | ) | | | (.26 | ) | | | (.27 | ) | | | (.28 | ) | | | (.24 | ) |
Net asset value, end of period | | $
| 4.12
|
| | $
| 4.30
|
| | $
| 4.05
|
| | $
| 4.31
|
| | $
| 3.91
|
|
Total Return, at Net Asset Value4 | | | 1.30 | % | | | 12.82 | % | | | 0.13 | % | | | 18.10 | % | | | 5.67 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $572,859 | | | | $729,210 | | | | $706,842 | | | | $666,015 | | | | $290,726 | |
Average net assets (in thousands) | | | $678,607 | | | | $729,460 | | | | $718,536 | | | | $545,045 | | | | $266,712 | |
Ratios to average net assets:5,6 | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.64 | % | | | 6.17 | % | | | 6.44 | % | | | 7.08 | % | | | 6.82 | % |
Expenses excluding interest and fees from borrowings | | | 0.72 | % | | | 0.79 | % | | | 0.77 | % | | | 0.85 | % | | | 0.79 | % |
Interest and fees from borrowings | |
| —
|
| |
| —
|
| |
| —7
|
| |
| 0.28
| %
| |
| 0.01
| %
|
Total expenses8 | | | 0.72 | % | | | 0.79 | % | | | 0.77 | % | | | 1.13 | % | | | 0.80 | % |
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.69 | % | | | 0.74 | % | | | 0.72 | % | | | 1.05 | % | | | 0.78 | % |
Portfolio turnover rate9 | | | 95 | % | | | 74 | % | | | 53 | % | | | 94 | % | | | 96 | % |
1. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 1 of the accompanying Consolidated Notes.
2. Certain amounts have been restated to reflect a change in method of accounting. See Note 1 of the accompanying Consolidated Notes.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
7. Less than 0.005%.
| | |
88 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
8. Total expenses including all affiliated fund expenses were as follows:
| | | | |
Year Ended September 30, 2013 | | | 0.72 | % |
Year Ended September 28, 2012 | | | 0.79 | % |
Year Ended September 30, 2011 | | | 0.77 | % |
Year Ended September 30, 2010 | | | 1.13 | % |
Year Ended September 30, 2009 | | | 0.81 | % |
9. 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, 2013 | | $ | 19,306,537,913 | | | $ | 20,594,832,307 | |
Year Ended September 28, 2012 | | $ | 9,325,024,559 | | | $ | 7,885,278,752 | |
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 | |
See accompanying Notes to Consolidated Financial Statements.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 89 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS September 30, 2013
1. Significant Accounting Policies
Oppenheimer Global Strategic Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The Fund’s investment objective is to seek total return. The Fund’s investment adviser was OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”), through December 31, 2012. Effective January 1, 2013, the Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI, as of the same effective date.
The Fund offers Class A, Class C, Class I, Class N and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds will be allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class N shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies consistently followed by the Fund.
Change in Method of Accounting. The accompanying financial statements reflect the financial position of the Fund and its Subsidiary and the results of operations on a consolidated basis. Prior to September 30, 2013, the Subsidiary was shown as an investment of the Fund on the Statement of Investments and the financial statements of the Subsidiary were presented along with the Fund. The staff of the Securities and Exchange Commission has recently commented on their preference to have wholly-owned Cayman investment funds consolidated into the parent fund’s financial statements. Management of the Fund implemented the change in policy because it is a more effective method of providing transparency into the Fund’s holdings and operations. Accordingly, as a result of the change in method of accounting, the Fund consolidates the assets and liabilities as well as the operations of the Subsidiary within its financial statements.
| | |
90 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
The result of the policy change did not have an impact on total net assets of the Fund, however it resulted in the following changes to the financial statements. As of the beginning of the Fund’s fiscal period, the financial statement line items on the Consolidated Statement of Assets and Liabilities were affected by the change as follows: cash increased $1,469,786; other assets increased $3,318; payables and other liabilities increased $25,894 and investments at value, wholly-owned subsidiary decreased $1,447,210. For the year September 30, 2013, the financial statement line items on the Consolidated Statements of Operations and Changes in Net Assets were affected by the change as follows: net investment income includes a net investment loss from the Subsidiary of $46,325. For the year ended September 28, 2012, the following changes were made to the Consolidated Statement of Changes in Net Assets: net investment income decreased $52,790 and net change in unrealized appreciation increased by $52,790. The changes to the Consolidated Financial Highlights were immaterial.
Previous Annual Period. The last day of the Fund’s fiscal year was the last day the New York Stock Exchange was open for trading. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 91 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of September 30, 2013, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
| | | | |
| | When-Issued or Delayed Delivery Basis Transactions | |
Purchased securities | | $ | 607,123,685 | |
Sold securities | | | 141,057,494 | |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2013 is as follows:
| | | | |
Cost | | $ | 81,915,600 | |
Market Value | | $ | 18,120,764 | |
Market Value as a % of Net Assets | | | 0.23 | % |
Investment in Oppenheimer Global Strategic Income Fund (Cayman) Ltd. The Fund may invest up to 25% of its total assets in Oppenheimer Global Strategic Income Fund (Cayman) Ltd., a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). The Subsidiary invests primarily in commodity-linked derivatives (including
| | |
92 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
commodity related futures, options and swap contracts), exchange traded funds and certain fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. Investments in the Subsidiary are expected to provide the Fund with exposure to commodities markets within the limitations of the federal tax requirements that apply to the Fund. The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund. The Fund wholly owns and controls the Subsidiary, and the Fund and Subsidiary are both managed by the Manager.
For tax purposes, the Subsidiary is an exempted Cayman investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes through September of 2030. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax. However, as a wholly-owned Controlled Foreign Corporation, the Subsidiary’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the Fund’s investment company taxable income. For the six months ended September 30, 2013, the Subsidiary has a deficit of $46,325 in its taxable earnings and profits. In addition, any in-kind capital contributions made by the Fund to the Subsidiary will result in the Fund recognizing taxable gain to the extent of unrealized gain, if any, on securities transferred to the Subsidiary while any unrealized losses on securities so transferred will not be recognized at the time of transfer.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At September 30, 2013, the Fund owned 15,000 shares with a market value of $1,400,885.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Consolidated Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in Oppenheimer Master Funds. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 93 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and Oppenheimer Master Event-Linked Bond Fund, LLC (the “Master Funds”). Each Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Master Fund than in another, the Fund will have greater exposure to the risks of that Master Fund.
The investment objective of Oppenheimer Master Loan Fund, LLC is to seek as high a level of current income and preservation of capital as is consistent with investing primarily in loans and other debt securities. The investment objective of Oppenheimer Master Event-Linked Bond Fund, LLC is to seek a high level of current income principally derived from interest on debt securities. The Fund’s investments in the Master Funds are included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investments in each Master Fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Funds. As a shareholder, the Fund is subject to its proportional share of the Master Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Master Funds.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Consolidated Statement of Operations.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class
| | |
94 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
| | | | | | | | | | | | |
Undistributed Net Investment Income | | Undistributed Long-Term Gain | | | Accumulated Loss Carryforward1,2,3,4 | | | Net Unrealized Depreciation Based on Cost of Securities and Other Investments for Federal Income Tax Purposes | |
$— | | $ | — | | | $ | 630,655,797 | | | $ | 179,072,143 | |
1. As of September 30, 2013, the Fund had $630,079,766 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
| | | | |
Expiring | | | |
2016 | | $ | 20,567,236 | |
2017 | | | 114,107,166 | |
2018 | | | 240,345,967 | |
No expiration | | | 255,059,397 | |
| |
|
|
|
Total | | $ | 630,079,766 | |
| |
|
|
|
Of these losses, $29,916,437 are subject to Sec. 382 loss limitation rules resulting from merger activity. These limitations generally reduce the utilization of these losses to a maximum of $12,593,017 per year and have expiration dates ranging from 09/30/2016 to 09/30/2017.
Of these losses, $20,455,631 are subject to Sec. 382 loss limitation rules resulting from merger activity. These limitations generally reduce the utilization of these losses to a maximum of $12,593,017 per year but do not have expiration dates associated with them.
2. The Fund had $576,031 of straddle losses which were deferred.
3. During the fiscal year ended September 30, 2013, the Fund utilized $12,973,030 of capital loss carryforward to offset capital gains realized in that fiscal year.
4. During the fiscal year ended September 28, 2012, the Fund utilized $51,543,949 of capital loss carryforward to offset capital gains realized in that fiscal year.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 95 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
Accordingly, the following amounts have been reclassified for September 30, 2013. Net assets of the Fund were unaffected by the reclassifications.
| | | | | | | | |
Reduction to Paid-in Capital | | Reduction to Accumulated Net Investment Income | | | Reduction to Accumulated Net Realized Loss on Investments | |
$99,688,400 | | $ | 46,558,606 | | | $ | 146,247,006 | |
The tax character of distributions paid during the years ended September 30, 2013 and September 30, 2012 was as follows:
| | | | | | | | |
| | Year Ended September 30, 2013 | | | Year Ended September 30, 2012 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 357,464,271 | | | $ | 468,483,291 | |
Return of capital | | | 107,761,471 | | | | 24,053,396 | |
| |
|
|
|
Total | | $ | 465,226,192 | | | $ | 492,536,687 | |
| |
|
|
|
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| | | | |
Federal tax cost of securities | | $ | 8,604,223,640 | |
Federal tax cost of other investments | | | (2,331,006,311 | ) |
| |
|
|
|
Total federal tax cost | | $ | 6,273,217,329 | |
| |
|
|
|
Gross unrealized appreciation | | $ | 227,283,878 | |
Gross unrealized depreciation | | | (406,356,021 | ) |
| |
|
|
|
Net unrealized depreciation | | $ | (179,072,143 | ) |
| |
|
|
|
Certain foreign countries impose a tax on capital gains which is accrued by the Fund based on unrealized appreciation, if any, on affected securities. The tax is paid when the gain is realized.
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the
| | |
96 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Consolidated Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Consolidated Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Consolidated Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold (except for the investments in the Subsidiary) are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 97 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
1. Significant Accounting Policies Continued
estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
| | |
98 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| | |
Security Type | | Standard inputs generally considered by third-party pricing vendors |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. |
Loans | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
Event-linked bonds | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
Structured securities | | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. |
Swaps | | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 99 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
2. Securities Valuation Continued
event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) |
2) | | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) |
3) | | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
| | |
100 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2013 based on valuation input level:
| | | | | | | | | | | | | | | | | | | | |
| �� | Level 1— Unadjusted Quoted Prices | | Level 2— Other Significant Observable Inputs | | Level 3— Significant Unobservable Inputs | | Value |
Assets Table | | | | | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | $ | — | | | | $ | 297,518,585 | | | | $ | 49,134,400 | | | | $ | 346,652,985 | |
Corporate Loans | | | | — | | | | | 129,722,010 | | | | | 15,236,325 | | | | | 144,958,335 | |
Mortgage-Backed Obligations | | | | — | | | | | 2,023,072,603 | | | | | 17,187,414 | | | | | 2,040,260,017 | |
U.S. Government Obligations | | | | — | | | | | 526,104,406 | | | | | — | | | | | 526,104,406 | |
Foreign Government Obligations | | | | — | | | | | 1,975,678,399 | | | | | — | | | | | 1,975,678,399 | |
Corporate Bonds and Notes | | | | — | | | | | 2,662,173,047 | | | | | 20,239,353 | | | | | 2,682,412,400 | |
Preferred Stocks | | | | — | | | | | 11,204,926 | | | | | — | | | | | 11,204,926 | |
Common Stocks | | | | 6,632,572 | | | | | 14,017,634 | | | | | 1,766,530 | | | | | 22,416,736 | |
Rights, Warrants and Certificates | | | | — | | | | | — | | | | | — | | | | | — | |
Structured Securities | | | | — | | | | | 42,600,118 | | | | | 36,850,667 | | | | | 79,450,785 | |
Over-the-Counter Options Purchased | | | | — | | | | | 18,104,901 | | | | | — | | | | | 18,104,901 | |
Over-the-Counter Credit Default Swaptions Purchased | | | | — | | | | | 181,878 | | | | | — | | | | | 181,878 | |
Over-the-Counter Interest Rate Swaptions Purchased | | | | — | | | | | 13,072,007 | | | | | — | | | | | 13,072,007 | |
Investment Companies | | | | 390,389,103 | | | | | 184,813,648 | | | | | — | | | | | 575,202,751 | |
| | |
|
|
|
Total Investments, at Value | | | | 397,021,675 | | | | | 7,898,264,162 | | | | | 140,414,689 | | | | | 8,435,700,526 | |
Other Financial Instruments: | | | | | | | | | | | | | | | | | | | | |
Swaps, at value | | | | — | | | | | 2,434,888 | | | | | — | | | | | 2,434,888 | |
Variation margin receivable | | | | 157,990 | | | | | — | | | | | — | | | | | 157,990 | |
Foreign currency exchange contracts | | | | — | | | | | 34,341,026 | | | | | — | | | | | 34,341,026 | |
| | |
|
|
|
Total Assets | | | $ | 397,179,665 | | | | $ | 7,935,040,076 | | | | $ | 140,414,689 | | | | $ | 8,472,634,430 | |
| | |
|
|
|
Liabilities Table | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | | | | | |
Swaps, at value | | | $ | — | | | | $ | (1,120,881 | ) | | | $ | — | | | | $ | (1,120,881 | ) |
Options written, at value | | | | — | | | | | (5,693,717 | ) | | | | — | | | | | (5,693,717 | ) |
Variation margin payable | | | | (912,002 | ) | | | | (5,098,361 | ) | | | | — | | | | | (6,010,363 | ) |
Foreign currency exchange contracts | | | | — | | | | | (27,934,629 | ) | | | | — | | | | | (27,934,629 | ) |
Swaptions written, at value | | | | — | | | | | (26,172,187 | ) | | | | — | | | | | (26,172,187 | ) |
| | |
|
|
|
Total Liabilities | | | $ | (912,002 | ) | | | $ | (66,019,775 | ) | | | $ | — | | | | $ | (66,931,777 | ) |
| | |
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 101 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
2. Securities Valuation Continued
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| | | | | | | | | | | | | | | | | | | | |
| | Transfers into Level 2* | | Transfers out of Level 2** | | Transfers into Level 3** | | Transfers out of Level 3* |
Assets Table | | | | | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds and Notes | | | $ | 2,032,500 | | | | $ | (30,098,716 | ) | | | $ | 30,098,716 | | | | $ | (2,032,500 | ) |
Mortgage-Backed Obligations | | | | — | | | | | (6,740,407 | ) | | | | 6,740,407 | | | | | — | |
Structured Securities | | | | — | | | | | (38,933,526 | ) | | | | 38,933,526 | | | | | — | |
| | |
|
|
|
Total Assets | | | $ | 2,032,500 | | | | $ | (75,772,649 | ) | | | $ | 75,772,649 | | | | $ | (2,032,500 | ) |
| | |
|
|
|
*Transferred from Level 3 to Level 2 due to securities having evaluated prices based on observable inputs from broker.
**Transferred from Level 2 to Level 3 because of the lack of observable market data.
The following is a reconciliation of assets in which significant unobservable inputs (level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | |
| | Value as of September 28, 2012 | | Realized gain (loss) | | Change in unrealized appreciation/ depreciation | | Accretion/ (amortization) of premium/ discounta |
Assets Table | | | | | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | | | | | |
Asset Backed Securities | | | $ | 37,604,000 | | | | $ | — | | | | $ | 11,381,149 | | | | $ | 149,251 | |
Corporate Loans | | | | 11,394,688 | | | | | — | | | | | 3,841,637 | | | | | — | |
Mortgage-Backed Obligations | | | | — | | | | | — | | | | | 12,110,315 | | | | | (1,663,308 | ) |
Corporate Bonds and Notes | | | | 5,261,342 | | | | | 283,173 | | | | | (11,653,692 | ) | | | | 1,611,017 | |
Common Stocks | | | | 844,188 | | | | | — | | | | | (5,853,646 | ) | | | | — | |
Rights, Warrants and Certificates | | | | 3,187 | | | | | — | | | | | (3,187 | ) | | | | — | |
Structured Securities | | | | 1,402,959 | | | | | — | | | | | (7,177,734 | ) | | | | 3,691,916 | |
| | |
|
|
|
Total Assets | | | $ | 56,510,364 | | | | $ | 283,173 | | | | $ | 2,644,842 | | | | $ | 3,788,876 | |
| | |
|
|
|
a. Included in net investment income.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Value as of September 30, 2013 |
Assets Table | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Securities | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 49,134,400 | |
Corporate Loans | | | | — | | | | | — | | | | | — | | | | | — | | | | | 15,236,325 | |
Mortgage-Backed Obligations | | | | — | | | | | — | | | | | 6,740,407 | | | | | — | | | | | 17,187,414 | |
Corporate Bonds and Notes | | | | — | | | | | (3,328,703 | ) | | | | 30,098,716 | | | | | (2,032,500 | ) | | | | 20,239,353 | |
Common Stocks | | | | 8,372,227 | | | | | (1,596,239 | ) | | | | — | | | | | — | | | | | 1,766,530 | |
Rights, Warrants and Certificates | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Structured Securities | | | | — | | | | | — | | | | | 38,933,526 | | | | | — | | | | | 36,850,667 | |
| | |
|
|
|
Total Assets | | | $ | 8,372,227 | | | | $ | (4,924,942 | ) | | | $ | 75,772,649 | | | | $ | (2,032,500 | ) | | | $ | 140,414,689 | |
| | |
|
|
|
| | |
102 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
The total change in unrealized appreciation/depreciation included in the Consolidated Statement of Operations attributable to level 3 investments still held at September 30, 2013 includes:
| | | | |
| | Change in unrealized appreciation/depreciation | |
Asset-Backed Securities | | $ | 11,381,149 | |
Corporate Loans | | | 3,841,637 | |
Mortgage-Backed Obligations | | | 12,110,315 | |
Corporate Bonds and Notes | | | (11,419,949 | ) |
Common Stocks | | | (6,605,697 | ) |
Rights, Warrants and Certificates | | | (3,187 | ) |
Structured Securities | | | (7,177,734 | ) |
| |
|
|
|
Total | | $ | 2,126,534 | |
| |
|
|
|
The following provides information regarding assets in which significant unobservable inputs (level) were used by the Manager in determining fair value. Note that these amounts exclude any valuations provided by a pricing service or broker:
The following table summarizes the valuation techniques and significant unobservable inputs used in determining fair value measurements for those investments classified as Level 3 as of September 30, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Value as of September 30, 2013 | | | Valuation Technique | | | Unobservable input | | | Range of Unobservable Inputs | | | Unobservable Input Used | | | | |
Assets Table | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 49,134,400 | | | | Broker quotes | | | | N/A | | | | N/A | | | | N/A | | | | (a) | |
Corporate Loans | | | 15,236,325 | | | | Discount to appraised value | | |
| Discount rate
Appraisal of Collateral |
| |
$ | N/A
30 - 35 million |
| |
| 10%
$32.5 million |
| | | (b) | |
Mortgage-Backed Obligations | | | 857,057 | | | | Broker quotes through Pricing Service | | | | N/A | | | | N/A | | | | N/A | | | | (c) | |
Mortgage-Backed Obligations | | $ | 16,330,357 | | | | Broker quotes | | | | N/A | | | | N/A | | | | N/A | | | | (c) | |
Corporate Bonds and Notes | | | 20,239,353 | | | | Broker quotes | | | | N/A | | | | N/A | | | | N/A | | | | (c) | |
Common Stock | | | 1,704,645 | | | | Broker quotes | | | | N/A | | | | N/A | | | | N/A | | | | | |
Common Stock | | | 61,885 | | | | Discounted cash flow | | | | Future distributions | | | $ | 0 - 14.01/share | | | $ | 13.055/share | | | | | |
| | | | | | | | | | | Probability of payment | | | | 75% - 100% | | | | 76.8% | | | | (d) | |
Structured Securities | | | 36,735,059 | | | | Broker quotes | | | | N/A | | | | N/A | | | | N/A | | | | (c) | |
Structured Securities | | | 115,608 | | | | Estimated Recovery proceeds | | | | Probability of receipt of legal fees holdback | | | | N/A | | | | 50% | | | | (e) | |
| |
|
|
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 140,414,689 | | | | | | | | | | | | | | | | | | | | | |
| |
|
|
| | | | | | | | | | | | | | | | | | | | |
(a) The Fund fair values certain asset-backed securities using broker-dealer price quotations provided on a monthly basis. The Manager periodically reviews broker methodologies and inputs to confirm they are determined using unobservable inputs and have been appropriately classified. Such securities’ fair valuations could change significantly based on changes in unobservable inputs used by the broker.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 103 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
2. Securities Valuation Continued
(b) The Fund fair values its proportionate ownership of certain loans at a discount to an appraised value of underlying collateral to reflect the age of the appraisal, uncertainty of the sales price as compared to the appraised value, and illiquidity. A significant decrease (increase) to the discount rate, or a significant increase (decrease) to the underlying collateral’s appraised value, will result in a significant increase (decrease) to the fair value of the investment.
(c) Securities classified as Level 3 whose unadjusted values were provided by a pricing service or broker-dealer for which such inputs are unobservable. The Manager periodically reviews pricing vendor and broker methodologies and inputs to confirm they are determined using unobservable inputs and have been appropriately classified. Such securities’ fair valuations could change significantly based on changes in unobservable inputs used by the pricing service or broker.
(d) The Fund fair values certain cash distributions to be received as a result of a merger on common stock held using discounts to reflect the uncertainty of the future anticipated distributions. The Manager monitors such investments for additional market information or the occurrence of a significant event which would warrant a re-evaluation of the security’s fair valuation. A significant increase (decrease) in the future distribution amount, or a significant increase (decrease) to the probability of payment rate, will result in a significant increase (decrease) to the fair value of the investment.
(e) The Fund fair values certain structured securities using a discount to the legal fees that have been withheld for litigation. A significant increase (decrease) to the estimated probability of cash flows resulting from the litigation proceedings will result in a significant increase (decrease) to the value of the investment.
3. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | |
| | Year Ended September 30, 2013 | | | Year Ended September 28, 20121 | |
| | Shares | | | Amount | | | Shares | | | Amount | |
Class A | | | | | | | | | | | | | | | | |
Sold | | | 186,270,150 | | | $ | 802,025,435 | | | | 179,677,478 | | | $ | 749,557,749 | |
Dividends and/or distributions reinvested | | | 66,812,065 | | | | 286,425,233 | | | | 70,832,429 | | | | 295,211,895 | |
Acquisition—Note 8 | | | 13,404,148 | | | | 57,771,879 | | | | 73,155,128 | | | | 314,567,048 | |
Redeemed | | | (367,425,429 | ) | | | (1,565,618,910 | ) | | | (311,973,354 | ) | | | (1,298,509,177 | ) |
| |
|
|
|
Net increase (decrease) | | | (100,939,066 | ) | | $ | (419,396,363 | ) | | | 11,691,681 | | | $ | 60,827,515 | |
| |
|
|
|
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Sold | | | 2,772,646 | | | $ | 12,026,108 | | | | 10,263,297 | | | $ | 42,836,405 | |
Dividends and/or distributions reinvested | | | 2,328,599 | | | | 10,030,668 | | | | 2,860,313 | | | | 11,961,537 | |
Acquisition—Note 8 | | | 1,429,866 | | | | 6,191,320 | | | | 4,258,497 | | | | 18,396,708 | |
Redeemed | | | (22,376,192 | ) | | | (96,138,374 | ) | | | (22,059,177 | ) | | | (92,152,983 | ) |
| |
|
|
|
Net decrease | | | (15,845,081 | ) | | $ | (67,890,278 | ) | | | (4,677,070 | ) | | $ | (18,958,333 | ) |
| |
|
|
|
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Sold | | | 51,526,585 | | | $ | 221,881,298 | | | | 52,136,654 | | | $ | 216,949,813 | |
Dividends and/or distributions reinvested | | | 14,191,493 | | | | 60,738,613 | | | | 15,102,247 | | | | 62,850,869 | |
Acquisition—Note 8 | | | 4,533,002 | | | | 19,537,238 | | | | 15,949,561 | | | | 68,423,617 | |
Redeemed | | | (99,834,480 | ) | | | (424,131,908 | ) | | | (71,417,630 | ) | | | (296,817,124 | ) |
| |
|
|
|
Net increase (decrease) | | | (29,583,400 | ) | | $ | (121,974,759 | ) | | | 11,770,832 | | | $ | 51,407,175 | |
| |
|
|
|
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Sold | | | 13,133,513 | | | $ | 56,139,358 | | | | 12,098,223 | | | $ | 50,533,216 | |
Dividends and/or distributions reinvested | | | 1,005,246 | | | | 4,281,304 | | | | 168,686 | | | | 718,016 | |
Redeemed | | | (4,712,629 | ) | | | (20,035,279 | ) | | | (368,253 | ) | | | (1,563,895 | ) |
| |
|
|
|
Net increase | | | 9,426,130 | | | $ | 40,385,383 | | | | 11,898,656 | | | $ | 49,687,337 | |
| |
|
|
|
| | |
104 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | | | | | | | | | |
| | Year Ended September 30, 2013 | | | Year Ended September 28, 20121 | |
| | Shares | | | Amount | | | Shares | | | Amount | |
Class N | | | | | | | | | | | | | | | | |
Sold | | | 12,922,424 | | | $ | 55,631,942 | | | | 14,121,050 | | | $ | 58,879,745 | |
Dividends and/or distributions reinvested | | | 2,468,471 | | | | 10,592,626 | | | | 2,713,166 | | | | 11,316,412 | |
Acquisition—Note 8 | | | 1,645,832 | | | | 7,109,994 | | | | 2,539,125 | | | | 10,918,238 | |
Redeemed | | | (21,946,813 | ) | | | (94,030,936 | ) | | | (19,705,631 | ) | | | (82,327,358 | ) |
| |
|
|
|
Net decrease | | | (4,910,086 | ) | | $ | (20,696,374 | ) | | | (332,290 | ) | | $ | (1,212,963 | ) |
| |
|
|
|
| | | | | | | | | | | | | | | | |
Class Y | | | | | | | | | | | | | | | | |
Sold | | | 45,025,225 | | | $ | 194,013,136 | | | | 53,887,592 | | | $ | 224,195,334 | |
Dividends and/or distributions reinvested | | | 7,992,604 | | | | 34,231,041 | | | | 9,517,136 | | | | 39,629,052 | |
Acquisition—Note 8 | | | 638,039 | | | | 2,749,946 | | | | 1,620,678 | | | | 6,968,915 | |
Redeemed | | | (84,260,468 | ) | | | (359,584,336 | ) | | | (70,193,036 | ) | | | (292,162,287 | ) |
| |
|
|
|
Net decrease | | | (30,604,600 | ) | | $ | (128,590,213 | ) | | | (5,167,630 | ) | | $ | (21,368,986 | ) |
| |
|
|
|
1. For the year ended September 28, 2012, for Class A, Class B, Class C, Class N and Class Y shares, and for the period from January 27, 2012 (inception of offering) to September 28, 2012, for Class I shares.
4. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the year ended September 30, 2013, were as follows:
| | | | | | | | |
| | Purchases | | | Sales | |
Investment securities | | $ | 4,837,161,423 | | | $ | 6,475,783,300 | |
U.S. government and government agency obligations | | | 1,542,479,176 | | | | 1,405,980,516 | |
To Be Announced (TBA) mortgage-related securities | | | 19,306,537,913 | | | | 20,594,832,307 | |
5. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
| | | | | | | | | | | | | | | | |
Fee Schedule through October 31, 2013 | | | | | | Fee Schedule Effective November 1, 2013 | |
Up to $200 million | | | 0.75 | % | | | | | | | | Up to $200 million in assets | | | 0.75 | % |
Next $200 million | | | 0.72 | | | | | | | | | Next $200 million in assets | | | 0.72 | |
Next $200 million | | | 0.69 | | | | | | | | | Next $200 million in assets | | | 0.69 | |
Next $200 million | | | 0.66 | | | | | | | | | Next $200 million in assets | | | 0.66 | |
Next $200 million | | | 0.60 | | | | | | | | | Next $200 million in assets | | | 0.60 | |
Next $4 billion | | | 0.50 | | | | | | | | | Next $4 billion in assets | | | 0.50 | |
Over $5 billion | | | 0.48 | | | | | | | | | Next $5 billion in assets | | | 0.48 | |
| | | | | | | | | | | | Over $10 billion in assets | | | 0.46 | |
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund and the Subsidiary. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund and the Subsidiary, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 105 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
5. Fees and Other Transactions with Affiliates Continued
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of OFI, acted as the transfer and shareholder servicing agent for the Fund through December 31, 2012. Effective January 1, 2013, OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. Fees incurred by the Fund with respect to these services are detailed in the Statement of Operations.
Sub-Transfer Agent Fees. Effective January 1, 2013, the Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI, (the “Sub-Transfer Agent”) to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Consolidated Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations. The Distributor determines its uncompensated expenses under
| | |
106 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
the Plans at calendar quarter ends. The Distributor’s aggregate uncompensated expenses under the Plans at September 30, 2013 were as follows:
| | | | |
Class B | | $ | 170,601,908 | |
Class C | | | 71,491,160 | |
Class N | | | 6,325,930 | |
Sales Charges. Front-end sales charges and contingent deferred sales charges (“CDSC”) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
| | | | | | | | | | | | | | | | | | | | |
Year Ended | | Class A Front-End Sales Charges Retained by Distributor | | | Class A Contingent Deferred Sales Charges Retained by Distributor | | | Class B Contingent Deferred Sales Charges Retained by Distributor | | | Class C Contingent Deferred Sales Charges Retained by Distributor | | | Class N Contingent Deferred Sales Charges Retained by Distributor | |
September 30, 2013 | | $ | 1,893,068 | | | $ | 31,805 | | | $ | 427,009 | | | $ | 100,669 | | | $ | 3,770 | |
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive the management fee it receives from the Fund in an amount equal to the management fee it receives from the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary and may not be terminated unless approved by the Fund’s Board of Trustees. During the year ended September 30, 2013, the Manager waived $10,670.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investments in underlying funds managed by the Manager or its affiliates. During the year ended September 30, 2013, the Manager waived fees and/or reimbursed the Fund $2,774,056 for management fees.
The Transfer Agent has voluntarily agreed to limit transfer and shareholder servicing agent fees for Classes B, C, N, and Y shares to 0.35% of average annual net assets per class and for Class A shares to 0.30% of average net assets of the class.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
6. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 107 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform
| | |
108 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities as a receivable (or payable) and in the Consolidated Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the year ended September 30, 2013, the Fund had daily average contract amounts on forward contracts to buy and sell of $898,290,391 and $2,250,449,112, respectively.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 109 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations. Realized gains (losses) are reported in the Consolidated Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has purchased futures contracts on various currencies to increase exposure to foreign exchange rate risk.
The Fund has sold futures contracts on various currencies to decrease exposure to foreign exchange rate risk.
| | |
110 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
The Fund has purchased futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to increase exposure to volatility risk.
The Fund has sold futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to decrease exposure to volatility risk.
During the year ended September 30, 2013, the Fund had an ending monthly average market value of $634,794,716 and $1,490,053,081 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations.
The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the year ended September 30, 2013, the Fund had an ending monthly average market value of $6,981,756 and $1,599,316 on purchased call options and purchased put options, respectively.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 111 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written call options on treasury and/or euro futures to decrease exposure to interest rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the year ended September 30, 2013, the Fund had an ending monthly average market value of $1,569,295 and $3,651,315 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the year ended September 30, 2013 was as follows:
| | | | | | | | | | | | | | | | |
| | Call Options
| | | Put Options
| |
| | Number of Contracts | | | Amount of Premiums | | | Number of Contracts | | | Amount of Premiums | |
Options outstanding as of | | | | | | | | | | | | | | | | |
September 28, 2012 | | | 5,152,848,131 | | | $ | 3,896,584 | | | | 10,178,747,400 | | | $ | 7,632,956 | |
Options written | | | 261,578,585,433 | | | | 32,782,228 | | | | 259,034,259,274 | | | | 45,094,601 | |
Options closed or expired | | | (193,556,848,564 | ) | | | (27,096,418 | ) | | | (119,302,299,235 | ) | | | (32,156,527 | ) |
Options exercised | | | (70,391,250,000 | ) | | | (7,412,121 | ) | | | (144,592,135,000 | ) | | | (14,393,852 | ) |
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|
|
|
Options outstanding as of September 30, 2013 | | | 2,783,335,000 | | | $ | 2,170,273 | | | | 5,318,572,439 | | | $ | 6,177,178 | |
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Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset
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112 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Consolidated Statement of Assets and Liabilities. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 113 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
For the year ended September 30, 2013, the Fund had ending monthly average notional amounts of $93,516,166 and $70,065,689 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the year ended September 30, 2013, the Fund had ending monthly average notional amounts of $155,073,423 and $291,304,337 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset
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114 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
The Fund has entered into total return swaps on various equity securities or indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of securities or an index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities. The Fund will receive payments of a floating reference interest rate and an amount equal to the negative price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract.
For the year ended September 30, 2013, the Fund had ending monthly average notional amounts of $105,212,362 and $52,583,514 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of September 30, 2013 the Fund had no such total return swap agreements outstanding.
Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 115 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
The Fund has entered into volatility swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the Fund to pay the measured volatility and receive a fixed rate payment. If the measured volatility of the related reference investment increases over the period, the swaps will depreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will appreciate in value.
The Fund has entered into volatility swaps to decrease exposure to the volatility risk of various reference investments. These types of volatility swaps require the Fund to pay a fixed rate payment and receive the measured volatility. If the measured volatility of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value.
For the year ended September 30, 2013, the Fund had ending monthly average notional amounts of $844,958 and $1,302,686 on volatility swaps which pay measured volatility/variance and volatility swaps which receive measured volatility/variance, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of September 30, 2013 the Fund had no such volatility swap agreements outstanding.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities.
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116 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Consolidated Statement of Operations for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund has purchased swaptions which gives it the option to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
The Fund has purchased swaptions which gives it the option to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 117 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or, indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the year ended September 30, 2013, the Fund had an ending monthly average market value of $20,767,892 and $23,242,083 on purchased and written swaptions, respectively.
Written swaption activity for the year ended September 30, 2013 was as follows:
| | | | | | | | |
| | Call Swaptions
| |
| | Notional Amount | | | Amount of Premiums | |
Swaptions outstanding as of | | | | | | | | |
September 28, 2012 | | | 3,063,115,922 | | | $ | 34,151,151 | |
Swaptions written | | | 10,243,710,000 | | | | 85,064,834 | |
Swaptions closed or expired | | | (10,231,540,922 | ) | | | (95,073,284 | ) |
Swaptions exercised | | | (748,840,000 | ) | | | (6,032,257 | ) |
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|
|
| |
|
|
|
Swaptions outstanding as of September 30, 2013 | | | 2,326,445,000 | | | $ | 18,110,444 | |
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|
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each
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118 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of September 30, 2013 the Fund has required certain counterparties to post collateral of $13,410,950.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 119 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral posted for the benefit of the Fund at September 30, 2013:
| | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | | | | |
Counterparty | | Gross Amount of Assets in the Consolidated Statement of Assets & Liabilities* | | | Financial Instruments Available for Offset | | | Financial Instruments Collateral Received** | | | Cash Collateral Received** | | | Net Amount | |
Bank of America NA | | $ | 16,737,169 | | | $ | (13,419,005 | ) | | $ | (1,288,813 | ) | | $ | — | | | $ | 2,029,351 | |
Barclays Bank plc | | | 14,665,032 | | | | (14,665,032 | ) | | | — | | | | — | | | | — | |
BNP Paribas | | | 1,295,763 | | | | (576,950 | ) | | | (647,363 | ) | | | | | | | 71,450 | |
Citibank NA | | | 3,112,988 | | | | (3,112,988 | ) | | | — | | | | — | | | | — | |
Credit Suisse International | | | 1,205,026 | | | | (514,240 | ) | | | (583,837 | ) | | | — | | | | 106,949 | |
Deutsche Bank AG | | | 1,892,245 | | | | (1,892,245 | ) | | | — | | | | — | | | | — | |
Goldman Sachs Bank USA | | | 8,029,801 | | | | (8,029,801 | ) | | | — | | | | — | | | | — | |
Goldman Sachs International | | | 1,216,731 | | | | (1,190,568 | ) | | | — | | | | — | | | | 26,163 | |
HSBC Bank USA NA | | | 311,189 | | | | (193,003 | ) | | | — | | | | — | | | | 118,186 | |
JPMorgan Chase Bank NA | | | 14,907,264 | | | | (7,596,258 | ) | | | (6,924,222 | ) | | | — | | | | 386,784 | |
Morgan Stanley Capital Services, Inc. | | | 5,485,862 | | | | (5,485,862 | ) | | | — | | | | — | | | | — | |
Nomura Global Financial Products, Inc | | | 2,272,691 | | | | (1,355,561 | ) | | | (614,003 | ) | | | — | | | | 303,127 | |
Royal Bank of Scotland plc (The) | | | 3,989,885 | | | | (1,318,751 | ) | | | — | | | | (2,671,134 | ) | | | — | |
UBS AG | | | 432,858 | | | | (432,858 | ) | | | — | | | | — | | | | — | |
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|
Total | | $ | 75,554,504 | | | $ | (59,783,122 | ) | | $ | (10,058,238 | ) | | $ | (2,671,134 | ) | | $ | 3,042,010 | |
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| | |
120 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at September 30, 2013:
| | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | | | | |
Counterparty | | Gross Amount of Liabilities in the Consolidated Statement of Assets & Liabilities* | | | Financial Instruments Available for Offset | | | Financial Instruments Collateral Pledged** | | | Cash Collateral Pledged** | | | Net Amount | |
Bank of America NA | | $ | (13,419,005 | ) | | $ | 13,419,005 | | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank plc | | | (14,928,462 | ) | | | 14,665,032 | | | | — | | | | — | | | | (263,430 | ) |
BNP Paribas | | | (576,950 | ) | | | 576,950 | | | | — | | | | — | | | | — | |
Citibank NA | | | (5,879,688 | ) | | | 3,112,988 | | | | 2,766,700 | | | | — | | | | — | |
Credit Suisse International | | | (514,240 | ) | | | 514,240 | | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | (2,298,058 | ) | | | 1,892,245 | | | | 405,813 | | | | — | | | | — | |
Goldman Sachs Bank USA | | | (16,150,252 | ) | | | 8,029,801 | | | | 6,949,847 | | | | — | | | | (1,170,604 | ) |
Goldman Sachs International | | | (1,190,568 | ) | | | 1,190,568 | | | | — | | | | — | | | | — | |
HSBC Bank USA NA | | | (193,003 | ) | | | 193,003 | | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA | | | (7,596,258 | ) | | | 7,596,258 | | | | — | | | | — | | | | — | |
Morgan Stanley Capital Services, Inc. | | | (6,315,412 | ) | | | 5,485,862 | | | | 284,994 | | | | — | | | | (544,556 | ) |
Nomura Global Financial Products, Inc | | | (1,355,561 | ) | | | 1,355,561 | | | | — | | | | — | | | | — | |
Royal Bank of Scotland plc (The) | | | (1,318,751 | ) | | | 1,318,751 | | | | — | | | | — | | | | — | |
UBS AG | | | (1,981,024 | ) | | | 432,858 | | | | — | | | | — | | | | (1,548,166 | ) |
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|
|
| |
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Total | | $ | (73,717,232 | ) | | $ | 59,783,122 | | | $ | 10,407,354 | | | $ | — | | | $ | (3,526,756 | ) |
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*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Consolidated Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Consolidated Statement of Assets and Liabilities as of September 30, 2013:
| | | | | | | | | | | | |
| | Asset Derivatives
| | | Liability Derivatives
| |
Derivatives Not Accounted for as Hedging Instruments | | Consolidated Statement of Assets and Liabilities Location | | Value | | | Consolidated Statement of Assets and Liabilities Location | | Value | |
Credit contracts | | Swaps, at value | | $ | 1,636,744 | | | Swaps, at value | | $ | 385,285 | |
Interest rate contracts | | Swaps, at value | | | 798,144 | | | Swaps, at value | | | 735,596 | |
Interest rate contracts | | Variation margin receivable | | | 157,990 | * | | Variation margin payable | | | 6,010,363 | * |
Foreign exchange contracts | | Closed currency contracts | | | 7,419,804 | | | Closed currency contracts | | | 12,795,818 | |
Foreign exchange contracts | | Unrealized appreciation on foreign currency exchange contracts | | | 34,341,026 | | | Unrealized depreciation on foreign currency exchange contracts | | | 27,934,629 | |
| | | | |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 121 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
6. Risk Exposures and the Use of Derivative Instruments Continued
| | | | | | | | | | | | |
| | Asset Derivatives
| | | Liability Derivatives
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Derivatives Not Accounted for as Hedging Instruments | | Consolidated Statement of Assets and Liabilities Location | | Value | | | Consolidated Statement of Assets and Liabilities Location | | Value | |
Interest rate contracts | | | | | | | | Options written, at value | | $ | 2,145,283 | |
Foreign exchange contracts | | | | | | | | Options written, at value | | | 3,548,434 | |
Credit contracts | | | | | | | | Swaptions written, at value | | | 168,501 | |
Interest rate contracts | | | | | | | | Swaptions written, at value | | | 26,003,686 | |
Credit contracts | | Investments, at value | | $ | 181,878 | ** | | | | | | |
Interest rate contracts | | Investments, at value | | | 14,930,473 | ** | | | | | | |
Foreign exchange contracts | | Investments, at value | | | 16,246,435 | ** | | | | | | |
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Total | | | | $ | 75,712,494 | | | | | $ | 79,727,595 | |
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*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Consolidated Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased options and purchased swaptions.
The effect of derivative instruments on the Consolidated Statement of Operations is as follows:
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Amount of Realized Gain or (Loss) Recognized on Derivatives | |
Derivatives Not Accounted for as Hedging Instruments | | Investments from unaffiliated companies (including premiums on options and swaptions exercised)* | | | Closing and expiration of swaption contracts written | | | Closing and expiration of option contracts written | | | Closing and expiration of futures contracts | | | Foreign currency transactions | | | Swap contracts | | | Total | |
Credit contracts | | $ | (11,966,873 | ) | | $ | (105,091 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (10,001,861 | ) | | $ | (22,073,825 | ) |
Equity contracts | | | — | | | | — | | | | — | | | | (11,153,016 | ) | | | — | | | | 12,104,202 | | | | 951,186 | |
Foreign exchange contracts | | | 5,499,159 | | | | — | | | | 36,741,672 | | | | 1,918,271 | | | | (26,506,385 | ) | | | — | | | | 17,652,717 | |
Interest rate contracts | | | (48,423,213 | ) | | | 6,157,405 | | | | 4,119,316 | | | | (47,636,598 | ) | | | — | | | | (5,039,549 | ) | | | (90,822,639 | ) |
Volatility contracts | | | — | | | | — | | | | — | | | | 695,303 | | | | — | | | | (16,118,412 | ) | | | (15,423,109 | ) |
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Total | | $ | (54,890,927 | ) | | $ | 6,052,314 | | | $ | 40,860,988 | | | $ | (56,176,040 | ) | | $ | (26,506,385 | ) | | $ | (19,055,620 | ) | | $ | (109,715,670 | ) |
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*Includes purchased option contracts, purchased swaption contracts, written option contracts exercised and written swaption contracts exercised, if any.
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122 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | |
Derivatives Not Accounted for as Hedging Instruments | | Investments* | | | Option contracts written | | | Swaption contracts written | | | Futures contracts | | | Translation of assets and liabilities denominated in foreign currencies | | | Swap contracts | | | Total | |
Credit contracts | | $ | 11,709,405 | | | $ | — | | | $ | 7,058,363 | | | $ | — | | | $ | — | | | $ | (1,116,080 | ) | | $ | 17,651,688 | |
Equity contracts | | | — | | | | — | | | | — | | | | (664,390 | ) | | | — | | | | (3,201,001 | ) | | | (3,865,391 | ) |
Foreign exchange contracts | | | 2,699,975 | | | | (3,191,221 | ) | | | — | | | | (85,512 | ) | | | 49,112,285 | | | | — | | | | 48,535,527 | |
Interest rate contracts | | | 42,517,837 | | | | 1,792,269 | | | | (14,611,120 | ) | | | 2,715,802 | | | | — | | | | (3,100,245 | ) | | | 29,314,543 | |
Volatility contracts | | | — | | | | — | | | | — | | | | (364,927 | ) | | | — | | | | 1,234,878 | | | | 869,951 | |
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Total | | $ | 56,927,217 | | | $ | (1,398,952 | ) | | $ | (7,552,757 | ) | | $ | 1,600,973 | | | $ | 49,112,285 | | | $ | (6,182,448 | ) | | $ | 92,506,318 | |
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*Includes purchased option contracts and purchased swaption contracts, if any.
7. Restricted Securities
As of September 30, 2013, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
8. Acquisitions
Oppenheimer Portfolio Series Fixed Income Active Allocation Fund
Acquisition of Oppenheimer Portfolio Series Fixed Income Active Allocation Fund On October 4, 2012, the Fund acquired all of the net assets of Oppenheimer Portfolio Series Fixed Income Active Allocation Fund at fair market value, pursuant to an Agreement and Plan of Reorganization approved by the Oppenheimer Portfolio Series Fixed Income Active Allocation Fund shareholders on September 14, 2012. The purpose of the acquisition is to combine two funds with similar investment objectives, strategies, and risks to allow shareholders to benefit from greater asset growth potential, as well as lowered expenses.
The transaction qualified as a tax-free reorganization, (the “merger”) for federal income tax purposes allowing the Fund to use the original cost basis of the investments received to calculate subsequent gains and losses for tax reporting purposes.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 123 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
8. Acquisitions Continued
Details of the merger are shown in the following table:
| | | | | | | | | | | | | | | | |
| | Exchange Ratio to One Share of the Oppenheimer Portfolio Series Fixed Income Active Allocation Fund | | | Shares of Beneficial Interest Issued by the Fund | | | Value of Issued Shares of Beneficial Interest | | | Combined Net Assets on October 4, 20121 | |
Class A | | | 1.8290074246 | | | | 13,404,148 | | | $ | 57,771,879 | | | $ | 6,351,410,750 | |
Class B | | | 1.8202699769 | | | | 1,429,866 | | | $ | 6,191,320 | | | $ | 284,632,339 | |
Class C | | | 1.8279487239 | | | | 4,533,002 | | | $ | 19,537,238 | | | $ | 1,544,090,438 | |
Class N | | | 1.8237608796 | | | | 1,645,832 | | | $ | 7,109,994 | | | $ | 252,469,266 | |
Class Y | | | 1.8268703016 | | | | 638,039 | | | $ | 2,749,946 | | | $ | 734,363,889 | |
1. The net assets acquired included net unrealized appreciation of $8,979,792 and an unused capital loss carryforward of $551,452, potential utilization subject to tax limitations.
Had the merger occurred at the beginning of the reporting period, the Fund’s Consolidated Statement of Operations would have been adjusted to the following amounts:
| | | | |
Net investment income | | $ | 469,887,230 | |
Net loss on investments | | $ | (374,573,010 | ) |
Net increase in net assets resulting from operations | | $ | 95,314,220 | |
Oppenheimer Champion Income Fund
On September 21, 2012, the Fund acquired all of the net assets of Oppenheimer Champion Income Fund, pursuant to an Agreement and Plan of Reorganization approved by the Oppenheimer Champion Income Fund shareholders on February 14, 2012. The exchange qualified as a tax-free reorganization for federal income tax purposes. The purpose of this acquisition is to combine two funds with similar investment objectives, strategies and risks to allow shareholders to benefit from greater asset growth potential, as well as lowered total expenses.
Details of the merger are shown in the following table:
| | | | | | | | | | | | | | | | |
| | Exchange Ratio to One Share of the Oppenheimer Champion Income Fund | | | Shares of Beneficial Interest Issued by the Fund | | | Value of Issued Shares of Beneficial Interest | | | Combined Net Assets on September 21, 20121 | |
Class A | | | 0.4320069767 | | | | 73,155,128 | | | $ | 314,567,048 | | | $ | 6,264,006,608 | |
Class B | | | 0.4306256944 | | | | 4,258,197 | | | $ | 18,396,708 | | | $ | 281,804,959 | |
Class C | | | 0.4321876457 | | | | 15,949,561 | | | $ | 68,423,617 | | | $ | 1,517,047,234 | |
Class N | | | 0.4322581395 | | | | 2,539,125 | | | $ | 10,918,238 | | | $ | 240,418,510 | |
Class Y | | | 0.4242383721 | | | | 1,620,678 | | | $ | 6,968,915 | | | $ | 725,843,933 | |
1. The net assets acquired included net unrealized depreciation of $21,666,477 and an unused capital loss carryforward of $1,090,187,248, potential utilization subject to tax limitations.
Had the merger occurred at the beginning of the reporting period, the Fund’s Consolidated Statement of Operations would have been adjusted to the following amounts:
| | | | |
Net investment income | | $ | 536,922,081 | |
Net loss on investments | | $ | 556,454,238 | |
Net decrease in net assets resulting from operations | | $ | 1,093,376,319 | |
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124 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
9. Pending Litigation
Since 2009, seven class action lawsuits have been pending in the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “Defendant Funds”). The lawsuits also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raise claims under federal securities law and allege, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. The Defendant Funds’ Boards of Trustees have also engaged counsel to represent the Funds and the present and former Independent Trustees named in those suits. On August 26, 2013, the parties in six of these lawsuits executed a memorandum of understanding setting forth the terms of proposed settlements of those actions. The proposed settlements are subject to a variety of contingencies, including the execution of settlement agreements, which will require preliminary and final approval by the court. The proposed settlements do not resolve a seventh outstanding lawsuit relating to Oppenheimer California Municipal Fund.
Other class action and individual lawsuits have been filed since 2008 in various state and federal courts against OFI and certain of its affiliates by investors seeking to recover investments they allegedly lost as a result of the “Ponzi” scheme run by Bernard L. Madoff and his firm, Bernard L. Madoff Investment Securities, LLC (“BLMIS”). Plaintiffs in these suits allege that they suffered losses as a result of their investments in several funds managed by an affiliate of OFI and assert a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. Neither the Distributor, nor any of the Oppenheimer mutual funds, their independent trustees or directors are named as defendants in these lawsuits. None of the Oppenheimer mutual funds invested in any funds or accounts managed by Madoff or BLMIS. On February 28, 2011, a stipulation of partial settlement of three groups of consolidated putative class action lawsuits relating to these matters was filed in the U.S. District Court for the Southern District of New York. On August 19, 2011, the court entered an order and final judgment approving the settlement as fair, reasonable and adequate. In September 2011, certain parties filed notices of appeal from the court’s order approving the settlement. The settlement does not resolve other outstanding lawsuits against OFI and its affiliates relating to BLMIS.
On April 16, 2010, a lawsuit was filed in New York state court against OFI, an affiliate of OFI and AAArdvark IV Funding Limited (“AAArdvark IV”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark IV. Plaintiffs allege breach of contract and common law fraud claims against the defendants and seek compensatory damages, costs and disbursements, including attorney fees. On April 11,
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 125 | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS Continued
9. Pending Litigation Continued
2013, the court granted defendants’ motion for summary judgment, dismissing plaintiffs’ fraud claim with prejudice and dismissing their contract claim without prejudice, and granted plaintiffs leave to replead their contract claim to assert a cause of action for specific performance within 30 days. On May 9, 2013, plaintiffs filed a notice of appeal from the court’s dismissal order. On July 15, 2011, a lawsuit was filed in New York state court against OFI, an affiliate of OFI and AAArdvark Funding Limited (“AAArdvark I”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark I. The complaint alleges breach of contract and common law fraud claims against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees. On November 9, 2011, a lawsuit was filed in New York state court against OFI, an affiliate of OFI and AAArdvark XS Funding Limited (“AAArdvark XS”), an entity advised by OFI’s affiliate, in connection with investments made by the plaintiffs in AAArdvark XS. The complaint alleges breach of contract against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees.
OFI believes the lawsuits and appeals described above are without legal merit and, with the exception of actions it has settled, is defending against them vigorously. While it is premature to render any opinion as to the outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, OFI believes that these suits should not impair the ability of OFI or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer mutual funds.
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126 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer Global Strategic Income Fund:
We have audited the accompanying consolidated statement of assets and liabilities of Oppenheimer Global Strategic Income Fund and subsidiary, including the consolidated statement of investments, as of September 30, 2013, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2013, by correspondence with the custodian, transfer agent and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Global Strategic Income Fund and subsidiary as of September 30, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Denver, Colorado
November 26, 2013
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 127 | |
FEDERAL INCOME TAX INFORMATION Unaudited
In early 2013, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2012.
Dividends, if any, paid by the Fund during the fiscal year ended September 30, 2013 which are not designated as capital gain distributions should be multiplied by the maximum amount allowable but not less than 0.22% to arrive at the amount eligible for the corporate dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal year ended September 30, 2013 which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. The maximum amount allowable but not less than $790,647 of the Fund’s fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2013, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates.
Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal year ended September 30, 2013, the maximum amount allowable but not less than $218,614,122 of the ordinary distributions to be paid by the Fund qualifies as an interest related dividend.
The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
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128 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
BOARD APPROVAL OF THE FUND’S INVESTMENT
ADVISORY AGREEMENT Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to renew the Agreements. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Adviser, Sub-Adviser and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Sub-Adviser’s duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; securities trading services; oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; and risk management. The Managers are responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 129 | |
BOARD APPROVAL OF THE FUND’S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of the Fund’s shares. The Managers also provide the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Sub-Adviser’s advisory, administrative, accounting, legal, compliance services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Arthur Steinmetz, Krishna Memani, Sara Zervos and Jack Brown, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which its members have become knowledgeable about in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreement.
Investment Performance of the Fund, the Adviser and the Sub-Adviser. Throughout the year, the Adviser and the Sub-Adviser provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board also reviewed information, prepared by the Adviser, the Sub-Adviser and the independent consultant, comparing the Fund’s historical performance to its benchmarks and to the performance of other retail multi-sector bond funds. The Board considered that the Fund outperformed its category median for one- and three-year periods, although it underperformed its category median for the five-year period. The Fund’s performance was in line with its category median for the ten-year period. The Board considered that for the one- and three-year periods ended December 31, 2012, the Fund’s performance was in the second quintile of its peer group.
Costs of Services by the Adviser. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other
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130 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
clients or accounts advised by the Adviser. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail front-end load multi-sector bond funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fees and total expenses were lower than its peer group median and category median. The Board also noted that the Fund’s contractual management fees and total expenses both rank in the second quintile of its peer group. Within the total asset range of $5 billion to $10 billion, the Fund’s effective rate was lower than its category median and equal to its peer group median.
Economies of Scale and Profits Realized by the Adviser and Sub-Adviser. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow. Based on the Board’s evaluation of current fees, which are competitive even though the Fund is past its last breakpoint at its current asset level, the Managers agreed to a revised breakpoint schedule as negotiated by the Board that, effective November 2013, includes an additional breakpoint at 0.46% for assets in excess of $10 billion.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through September 30, 2014. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 131 | |
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
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132 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
TRUSTEES AND OFFICERS Unaudited
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Name, Position(s) Held with the Fund, Length of Service, Year of Birth | | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen |
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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. |
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Sam Freedman, Chairman of the Board of Trustees (since 2012) and Trustee (since 1996) Year of Birth: 1940 | | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Sub-Adviser and with subsidiary or affiliated companies of the Sub-Adviser (until October 1994). Oversees 38 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. |
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Edward L. Cameron, Trustee (since 2000) Year of Birth: 1938 | | 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 38 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. |
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Jon S. Fossel, Trustee (since 1990) Year of Birth: 1942 | | Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); 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 Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Sub-Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 38 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. |
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Richard F. Grabish, Trustee (since 2012) Year of Birth: 1948 | | Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, 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. |
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 133 | |
TRUSTEES AND OFFICERS Unaudited / Continued
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Beverly L. Hamilton, Trustee (since 2002) Year of Birth: 1946 | | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (December 2005-June 2011); 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 company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 38 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. |
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Victoria J. Herget, Trustee (since 2012) Year of Birth:1951 | | Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985-1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (and its predecessor firms); Board Chair (2008-Present) and Director (2004-Present), United Educators (insurance company); Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee (since 2000) and Chair (since 2010), Newberry Library; Trustee, Mather LifeWays (since 2001); Trustee, BoardSource (2006-2009) and Chicago City Day School (1994-2005). Oversees 38 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, 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. |
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Robert J. Malone, Trustee (since 2002) Year of Birth: 1944 | | Chairman of the Board (since 2012) and Director (since August 2005) 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); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Board of Directors of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); 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 U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990-1991 and Trustee (1984-1999) of Young Presidents Organization. Oversees 38 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. |
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134 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
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F. William Marshall, Jr., Trustee (since 2000) Year of Birth: 1942 | | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996), MML Series Investment Fund (investment company) (since 1996) and Mass Mutual Premier Funds (investment company) (since January 2012); President and Treasurer of the SIS Fund (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) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 42 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. |
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Karen L. Stuckey,
Trustee (since 2012)
Year of Birth: 1953 | | Partner (1990-2012) of PricewaterhouseCoopers LLP (held various positions 1975-1990); Emeritus Trustee (since 2006), Trustee (1992-2006) and member of Executive, Nominating and Audit Committees and Chair of Finance Committee of Lehigh University; and member, Women’s Investment Management Forum since inception. Oversees 38 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, 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. |
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James D. Vaughn,
Trustee (since 2012)
Year of Birth: 1945 | | Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee and Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, 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 | | Mr. Glavin is an “Interested Trustee” because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as an officer and director of the Manager and a director of the Sub-Adviser, and as a shareholder of the Sub-Adviser’s parent company. Both as a Trustee and as an officer, he serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin’s address is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. |
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 135 | |
TRUSTEES AND OFFICERS Unaudited / Continued
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William F. Glavin, Jr.,
Trustee, President and Principal Executive Officer (since 2009)
Year of Birth: 1958 | | Director, Chairman and Chief Executive Officer of the Manager (since January 2013); President of the Manager (January 2013-May 2013); Chairman of the Sub-Adviser (December 2009-December 2012); Chief Executive Officer (January 2009-December 2012) and Director of the Sub-Adviser (since January 2009); President of the Sub-Adviser (May 2009-December 2012); Management Director (since June 2009), President (since December 2009) and Chief Executive Officer (since January 2011) of Oppenheimer Acquisition Corp. (“OAC”) (the Sub-Adviser’s parent holding company); Director of Oppenheimer Real Asset Management, Inc. (since March 2010); 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. An officer of 89 portfolios in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Memani, Brown, Gabinet and Mss. Zervos and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. 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. |
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Arthur P. Steinmetz,
Vice President (since 1989)
Year of Birth: 1958 | | President of the Manager since May 2013; Chief Investment Officer of the OppenheimerFunds advisory entities (since January 2013); Director of the Manager (since January 2013); President and Director of OFI SteelPath, Inc. (since January 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. |
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136 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
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Krishna Memani,
Vice President (since 2009)
Year of Birth: 1960 | | President of the Sub-Adviser (since January 2013); Chief Investment Officer, Fixed Income of the Sub-Adviser (since January 2013) and Head of the Investment Grade Fixed Income Team of the Sub-Adviser (since March 2009). Director of Fixed Income of the Sub-Adviser (October 2010-December 2012) and Senior Vice President of the Sub-Adviser (March 2009-December 2012). 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). Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. |
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Sara J. Zervos, Ph.D.
Vice President (since 2010)
Year of Birth: 1969 | | Senior Vice President of the Sub-Adviser (since January 2011); Head of the Global Debt Team (since October 2010) and is the team’s Director of International Research; Vice President of the Sub-Adviser (April 2008-December 2010). 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 an officer of other portfolios in the OppenheimerFunds complex. |
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Jack Brown,
Vice President (since 2013)
Year of Birth: 1973 | | Vice President of the Sub-Adviser (since May 2009) and was a senior analyst for the High Yield Corporate Debt team (from 2000-2012). He joined the Sub-Adviser (in 1995) and has held numerous positions including fixed income liaison, analyst and senior analyst. A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. |
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Arthur S. Gabinet,
Secretary and Chief Legal Officer (since 2011)
Year of Birth: 1958 | | Executive Vice President, Secretary and General Counsel of the Manager (since January 2013); General Counsel OFI SteelPath, Inc. (since January 2013); Executive Vice President (May 2010-December 2012) and General Counsel (since January 2011) of the Sub-Adviser; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (January 2011-December 2012); Executive Vice President (January 2011-December 2012) 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; Director of Oppenheimer Real Asset Management, Inc. (January 2011-December 2012) and General Counsel (since January 2011); Executive Vice President (January 2011-December 2011) and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President (January 2011-December 2012) and General Counsel of OFI Private Investments Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (January 2011-December 2011); Executive Vice President (January 2011-December 2012) and General Counsel of OFI Global Institutional, Inc. (since January 2011); General Counsel, Asset Management of the Sub-Adviser (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 89 portfolios in the OppenheimerFunds complex. |
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Christina M. Nasta,
Vice President and Chief Business Officer (since 2011)
Year of Birth: 1973 | | Senior Vice President of OppenheimerFunds Distributor, Inc. (since January 2013); Senior Vice President of the Sub-Adviser (July 2010-December 2012); Vice President of the Sub-Adviser (January 2003-July 2010); Vice President of OppenheimerFunds Distributor, Inc. (January 2003-July 2010). An officer of 89 portfolios in the OppenheimerFunds complex. |
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 137 | |
TRUSTEES AND OFFICERS Unaudited / Continued
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Mark S. Vandehey,
Vice President and Chief Compliance Officer (since 2004)
Year of Birth: 1950 | | Senior Vice President and Chief Compliance Officer of the Manager (since January 2013); Chief Compliance Officer of OFI SteelPath, Inc. (since January 2013); Senior Vice President of the Sub-Adviser (March 2004-December 2012); Chief Compliance Officer of the Sub-Adviser, OppenheimerFunds Distributor, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (June 1983-December 2012). An officer of 89 portfolios in the OppenheimerFunds complex. |
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Brian W. Wixted,
Treasurer and Principal Financial & Accounting Officer (since 1999)
Year of Birth: 1959 | | Senior Vice President of the Manager (since January 2013); Treasurer of the Sub-Adviser, HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., and Oppenheimer Real Asset Management, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Global Institutional, Inc. (November 2000-June 2008), and OppenheimerFunds Legacy Program (charitable trust program established by the Sub-Adviser) (June 2003-December 2011); Treasurer and Chief Financial Officer of OFI Global Trust Company (since May 2000); Assistant Treasurer of Oppenheimer Acquisition Corporation (March 1999-June 2008). An officer of 89 portfolios in the OppenheimerFunds complex. |
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge, upon request, by calling 1.800.CALL OPP (225.5677).
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138 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
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Manager | | OFI Global Asset Management, Inc. |
Sub-Adviser | | OppenheimerFunds, Inc. |
Distributor | | OppenheimerFunds Distributor, Inc. |
Transfer and Shareholder Servicing Agent | | OFI Global Asset Management, Inc. |
Sub-Transfer Agent | | Shareholder Services, Inc. DBA OppenheimerFunds Services |
Independent Registered Public Accounting Firm | | KPMG LLP |
Legal Counsel | | K&L Gates LLP |
© 2013 OppenheimerFunds, Inc. All rights reserved.
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 139 | |
PRIVACY POLICY
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
l | | Applications or other forms |
l | | When you create a user ID and password for online account access |
l | | When you enroll in eDocs Direct, our electronic document delivery service |
l | | Your transactions with us, our affiliates or others |
l | | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited |
l | | When you set up challenge questions to reset your password online |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
We send your financial advisor (as designated by you) copies of confirmations, account statements and other documents reporting activity in your fund accounts. We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website.
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140 | | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND |
PRIVACY POLICY
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
l | | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
l | | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
l | | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., and each of its financial institution subsidiaries, the trustee of OppenheimerFunds Individual Retirement Accounts (IRAs) and the custodian of the OppenheimerFunds 403(b)(7) tax sheltered custodial accounts. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated November 2012. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about these privacy policies, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND | | | 141 | |
![LOGO](https://capedge.com/proxy/N-CSR/0001193125-13-465244/g608638g21l38.jpg)
Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at
800.Call opp (800.225.5677) for 24-hr automated information and automated transactions. representatives also available mon-Fri 8am-8pm et.
Oppenheimer funds are distributed by OppenheimerFunds Distributor, inc. two World Financial center, 225 Liberty street, new York, nY 10281-1008 © 2013 OppenheimerFunds Distributor, inc. All rights reserved.
Ra0230.001.0913 november 22, 2013
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that F. William Marshall, Jr., the Chairman of the Board’s Audit Committee, is the audit committee financial expert and that Mr. Marshall is “independent” for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
The principal accountant for the audit of the registrant’s annual financial statements billed $60,900 in fiscal 2013 and $59,700 in fiscal 2012.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2013 and $7,200 in fiscal 2012.
The principal accountant for the audit of the registrant’s annual financial statements billed $469,080 in fiscal 2013 and $424,956 in fiscal 2012 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: Internal control reviews, compliance procedures, GIPS attestation procedures, internal audit training, surprise exams, system conversion testing, and corporate restructuring.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2013 and $425 in fiscal 2012.
The principal accountant for the audit of the registrant’s annual financial statements billed $653,930 in fiscal 2013 and $359,124 in fiscal 2012 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2013 and no such fees in fiscal 2012.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2013 and no such fees in fiscal 2012 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrant’s retirement plan with respect to its Trustees.
(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 may be 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 its 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) 0%
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $1,123,010 in fiscal 2013 and $791,705 in fiscal 2012 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrant’s audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/30/2013, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
| | |
(a) | | (1) Exhibit attached hereto. |
| |
| | (2) Exhibits attached hereto. |
| |
| | (3) Not applicable. |
| |
(b) | | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Global Strategic Income Fund
| | |
By: | | /s/ William F. Glavin, Jr. |
| | William F. Glavin, Jr. |
| | Principal Executive Officer |
| |
Date: | | 11/11/2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By: | | /s/ William F. Glavin, Jr. |
| | William F. Glavin, Jr. |
| | Principal Executive Officer |
| |
Date: | | 11/11/2013 |
| | |
By: | | /s/ Brian W. Wixted |
| | Brian W. Wixted |
| | Principal Financial Officer |
| |
Date: | | 11/11/2013 |