UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANIES
Investment Company Act file number 811-07255
Oppenheimer International Bond Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 03/31/2011
Item 1. Reports to Stockholders.
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March 31, 2011 Oppenheimer International Bond Fund Management Commentary and Semiannual Report MANAGEMENT COMMENTARY An Interview with Your Fund’s Portfolio Managers SEMIANNUAL REPORT Listing of Top Holdings Financial Statements |
TOP HOLDINGS AND ALLOCATIONS
Top Ten Geographical Holdings | ||||
Japan | 21.8 | % | ||
United States | 7.1 | |||
Brazil | 7.1 | |||
Germany | 5.6 | |||
Mexico | 4.8 | |||
United Kingdom | 4.7 | |||
Russia | 4.0 | |||
Italy | 4.0 | |||
South Africa | 3.7 | |||
Indonesia | 3.2 |
Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2011, and are based on the total market value of investments.
Regional Allocation
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Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2011, and are based on the total market value of investments.
8 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized. The Fund’s total returns shown do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.
Investors should consider the Fund’s investment objectives, risks, expenses and other charges carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor, calling us at 1.800.525.7048 or visiting our website at www.oppenheimerfunds.com. Read the prospectus and, if available, the summary prospectus carefully before investing.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Class A shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%.
Class B shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). 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. Class B shares are subject to an annual 0.75% asset-based sales charge.
Class C shares of the Fund were first publicly offered on 6/15/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge.
Class N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period. Class N shares are subject to an annual 0.25% asset-based sales charge.
Class Y shares of the Fund were first publicly offered on 9/27/04. Class Y shares are offered only to fee-based clients of dealers that have a special agreement with the Distributor, to certain institutional investors under a special agreement with the Distributor, and to present or former officers, directors, trustees or employees (and their eligible family members) of the Fund, the Manager, its affiliates, its parent company and the subsidiaries of its parent company, and retirement plans established for the benefit of such individuals. There is no sales charge for Class Y shares.
An explanation of the calculation of performance is in the Fund’s Statement of Additional Information.
9 | OPPENHEIMER INTERNATIONAL BOND FUND
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (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 March 31, 2011.
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.
10 | OPPENHEIMER INTERNATIONAL BOND FUND
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
October 1, 2010 | March 31, 2011 | March 31, 2011 | ||||||||||
Actual | ||||||||||||
Class A | $ | 1,000.00 | $ | 992.50 | $ | 4.88 | ||||||
Class B | 1,000.00 | 986.60 | 9.16 | |||||||||
Class C | 1,000.00 | 987.40 | 8.36 | |||||||||
Class N | 1,000.00 | 989.00 | 6.77 | |||||||||
Class Y | 1,000.00 | 993.70 | 3.59 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,020.04 | 4.95 | |||||||||
Class B | 1,000.00 | 1,015.76 | 9.29 | |||||||||
Class C | 1,000.00 | 1,016.55 | 8.48 | |||||||||
Class N | 1,000.00 | 1,018.15 | 6.87 | |||||||||
Class Y | 1,000.00 | 1,021.34 | 3.63 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended March 31, 2011 are as follows:
Class | Expense Ratios | |||
Class A | 0.98 | % | ||
Class B | 1.84 | |||
Class C | 1.68 | |||
Class N | 1.36 | |||
Class Y | 0.72 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager and Transfer Agent. 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. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
11 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS March 31, 2011 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Obligations—0.2% | ||||||||
U.S. Treasury Bills, 0.13%, 6/2/111,2 (Cost $31,193,283) | $ | 31,200,000 | $ | 31,196,942 | ||||
Foreign Government Obligations—72.1% | ||||||||
Argentina—1.3% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
2.50%, 12/31/383 | 28,590,000 | 12,479,535 | ||||||
7%, 10/3/15 | 83,545,000 | 78,741,163 | ||||||
Series VII, 7%, 9/12/13 | 21,385,000 | 21,706,963 | ||||||
Argentina (Republic of) Sr. Unsec. Nts., 13.692%, 1/30/143 | 12,980,000 | APP | 3,062,098 | |||||
Argentina (Republic of) Sr. Unsec. Unsub. Nts., 9.083%, 12/31/333 | 124,893,072 | ARP | 41,013,044 | |||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/214 | 12,010,000 | 11,187,315 | ||||||
168,190,118 | ||||||||
Australia—2.2% | ||||||||
Australia (Commonwealth of) Sr. Unsec. Bonds: | ||||||||
Series 119, 6.25%, 4/15/15 | 33,375,000 | AUD | 35,941,291 | |||||
Series 120, 6%, 2/15/17 | 18,370,000 | AUD | 19,663,951 | |||||
New South Wales Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/1/16 | 178,990,000 | AUD | 188,329,124 | |||||
Queensland Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/21/16 | 40,550,000 | AUD | 42,450,686 | |||||
286,385,052 | ||||||||
Austria—0.7% | ||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/195 | 28,065,000 | EUR | 41,861,285 | |||||
Austria (Republic of) Sr. Unsec. Unsub. Bonds, Series 2, 4.65%, 1/15/18 | 30,645,000 | EUR | 46,652,911 | |||||
88,514,196 | ||||||||
Belgium—1.0% | ||||||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 | 86,785,000 | EUR | 134,392,283 | |||||
Belize—0.0% | ||||||||
Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/293,5 | 3,590,000 | 3,024,575 | ||||||
Brazil—5.1% | ||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
10%, 1/1/17 | 883,992,000 | BRR | 480,044,768 | |||||
10%, 1/1/21 | 279,002,000 | BRR | 144,967,474 | |||||
11.879%, 5/15/456 | 32,095,000 | BRR | 40,928,608 | |||||
665,940,850 | ||||||||
Canada—2.8% | ||||||||
Canada (Government of) Nts.: | ||||||||
3%, 12/1/15 | 211,305,000 | CAD | 221,234,918 | |||||
3.75%, 6/1/19 | 54,210,000 | CAD | 58,070,401 | |||||
4%, 6/1/17 | 77,875,000 | CAD | 85,197,419 | |||||
364,502,738 |
12 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Colombia—0.6% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/285 | 16,413,000,000 | COP | $ | 10,196,845 | ||||
Colombia (Republic of) Bonds, 7.375%, 9/18/37 | 11,920,000 | 14,214,600 | ||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 18,875,000 | 22,744,375 | ||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 21,600,000 | 22,140,000 | ||||||
Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 | 7,434,000,000 | COP | 4,304,292 | |||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 9,320,000 | 11,044,200 | ||||||
84,644,312 | ||||||||
Denmark—0.3% | ||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | 214,850,000 | DKK | 42,609,535 | |||||
Dominican Republic—0.1% | ||||||||
Dominican Republic Bonds, 7.50%, 5/6/215 | 12,570,000 | 12,852,825 | ||||||
Finland—0.2% | ||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 | 19,035,000 | EUR | 28,036,147 | |||||
France—0.2% | ||||||||
France (Government of) Bonds, 4%, 4/25/60 | 18,005,000 | EUR | 24,465,208 | |||||
Germany—5.5% | ||||||||
Germany (Federal Republic of) Bonds: | ||||||||
0.50%, 6/15/12 | 65,915,000 | EUR | 92,364,139 | |||||
3.50%, 7/4/191 | 124,780,000 | EUR | 180,448,764 | |||||
Series 07, 4.25%, 7/4/39 | 34,855,000 | EUR | 52,962,489 | |||||
Series 08, 4.25%, 7/4/18 | 141,540,000 | EUR | 215,593,651 | |||||
Series 157, 2.25%, 4/10/15 | 132,175,000 | EUR | 186,172,652 | |||||
727,541,695 | ||||||||
Ghana—0.1% | ||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/175 | 10,185,000 | 11,559,975 | ||||||
Greece—0.7% | ||||||||
Hellenic Republic Bonds: | ||||||||
4.30%, 3/20/12 | 7,305,000 | EUR | 9,545,095 | |||||
4.60%, 5/20/13 | 11,065,000 | EUR | 12,691,145 | |||||
Hellenic Republic Sr. Unsec. Unsub. Bonds: | ||||||||
30 yr., 4.50%, 9/20/37 | 52,895,000 | EUR | 41,544,187 | |||||
30 yr., 4.60%, 9/20/40 | 31,355,000 | EUR | 24,630,930 | |||||
88,411,357 | ||||||||
Hungary—1.4% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 15/A, 8%, 2/12/15 | 7,975,450,000 | HUF | 44,406,057 | |||||
Series 16/C, 5.50%, 2/12/16 | 7,956,700,000 | HUF | 40,160,566 | |||||
Series 17/B, 6.75%, 2/24/17 | 5,022,200,000 | HUF | 26,480,057 | |||||
Series 19/A, 6.50%, 6/24/19 | 4,959,000,000 | HUF | 25,433,121 | |||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | 41,925,000 | 42,120,538 | ||||||
178,600,339 |
13 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Indonesia—0.7% | ||||||||
Indonesia (Republic of) Nts., 6.875%, 1/17/185 | $ | 33,390,000 | $ | 38,148,075 | ||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/385 | 15,030,000 | 18,073,575 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/375 | 8,990,000 | 9,754,150 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/355 | 19,610,000 | 25,443,975 | ||||||
91,419,775 | ||||||||
Italy—3.9% | ||||||||
Italy (Republic of) Bonds: | ||||||||
3.75%, 3/1/21 | 82,225,000 | EUR | 107,518,143 | |||||
4%, 9/1/20 | 127,460,000 | EUR | 171,481,767 | |||||
5%, 9/1/40 | 27,870,000 | EUR | 36,210,619 | |||||
Italy (Republic of) Treasury Bonds, 3.75%, 12/15/13 | 139,335,000 | EUR | 200,275,550 | |||||
515,486,079 | ||||||||
Cayman Islands—0.0% | ||||||||
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/325,7 | 8,430,000 | 3,983,175 | ||||||
Japan—21.6% | ||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29 | 33,861,000,000 | JPY | 415,060,631 | |||||
Japan (Government of) Sr. Unsec. Bonds: | ||||||||
2 yr., 0.20%, 1/15/12 | 41,291,000,000 | JPY | 496,573,171 | |||||
5 yr., 0.50%, 12/20/14 | 41,941,000,000 | JPY | 506,858,851 | |||||
10 yr., Series 308, 1.30%, 6/20/20 | 38,258,000,000 | JPY | 466,531,887 | |||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: | ||||||||
5 yr., Series 91, 0.40%, 9/20/15 | 53,949,000,000 | JPY | 647,550,794 | |||||
10 yr., Series 311, 0.80%, 9/20/20 | 26,439,000,000 | JPY | 307,349,084 | |||||
2,839,924,418 | ||||||||
Korea, Republic of South—1.5% | ||||||||
Korea (Republic of) Sr. Unsec. Bonds, Series 2006, 5%, 6/10/20 | 110,821,000,000 | KRW | 105,399,212 | |||||
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: | ||||||||
Series 1208, 3.81%, 8/2/12 | 32,639,000,000 | KRW | 29,877,561 | |||||
Series 1210, 3.28%, 10/2/12 | 35,050,000,000 | KRW | 31,840,430 | |||||
Korea (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||
5.125%, 12/7/16 | 11,887,000 | 12,739,637 | ||||||
7.125%, 4/16/19 | 10,855,000 | 12,821,644 | ||||||
192,678,484 | ||||||||
Malaysia—1.0% | ||||||||
1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/155 | 17,925,000 | 18,706,781 | ||||||
Malaysia (Government of) Bonds, Series 0110, 3.835%, 8/12/15 | 135,310,000 | MYR | 45,163,943 | |||||
Malaysia (Government of) Sr. Unsec. Bonds, Series 0309, 2.711%, 2/14/12 | 200,330,000 | MYR | 66,113,034 | |||||
129,983,758 |
14 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Mexico—3.6% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | $ | 28,250,000 | $ | 31,301,000 | ||||
Series M, 6.50%, 6/10/213 | 1,414,100,000 | MXN | 109,385,069 | |||||
Series M20, 7.50%, 6/3/27 | 1,046,930,000 | MXN | 83,203,757 | |||||
Series M10, 7.75%, 12/14/17 | 502,845,000 | MXN | 43,742,562 | |||||
Series M10, 8%, 12/17/15 | 297,000,000 | MXN | 26,053,311 | |||||
Series M20, 10%, 12/5/243 | 1,731,340,000 | MXN | 172,326,877 | |||||
United Mexican States Sr. Nts., 5.75%, 10/12/2110 | 8,860,000 | 8,027,160 | ||||||
474,039,736 | ||||||||
Norway—0.1% | ||||||||
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 | 71,755,000 | NOK | 13,816,028 | |||||
Panama—0.3% | ||||||||
Panama (Republic of) Bonds: | ||||||||
7.25%, 3/15/15 | 9,010,000 | 10,519,175 | ||||||
8.875%, 9/30/27 | 6,640,000 | 8,997,200 | ||||||
9.375%, 4/1/29 | 6,770,000 | 9,579,550 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 7,870,000 | 9,377,105 | ||||||
38,473,030 | ||||||||
Peru—0.5% | ||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 | 30,020,000 | 35,828,870 | ||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/205 | 65,640,000 | PEN | 24,240,357 | |||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/505 | 10,590,000 | 9,636,900 | ||||||
69,706,127 | ||||||||
Philippines—0.2% | ||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 7,515,000 | 7,947,113 | ||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Nts., 4.95%, 1/15/21 | 652,000,000 | PHP | 14,766,568 | |||||
22,713,681 | ||||||||
Poland—3.1% | ||||||||
Poland (Republic of) Bonds: | ||||||||
Series 0415, 5.50%, 4/25/15 | 667,630,000 | PLZ | 234,053,971 | |||||
Series 0416, 5%., 4/25/16 | 318,760,000 | PLZ | 109,169,014 | |||||
Series 1015, 6.25%, 10/24/15 | 161,235,000 | PLZ | 58,081,962 | |||||
Series 1017, 5.25%, 10/25/17 | 18,090,000 | PLZ | 6,132,495 | |||||
407,437,442 | ||||||||
Qatar—0.1% | ||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/205 | 11,640,000 | 12,140,520 | ||||||
Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/405 | 5,400,000 | 5,710,500 | ||||||
17,851,020 |
15 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
South Africa—3.0% | ||||||||
South Africa (Republic of) Bonds: | ||||||||
5.50%, 3/9/20 | $ | 13,080,000 | $ | 13,913,850 | ||||
Series R208, 6.75%, 3/31/21 | 320,500,000 | ZAR | 41,491,935 | |||||
Series R207, 7.25%, 1/15/20 | 1,108,960,000 | ZAR | 150,184,658 | |||||
Series R204, 8%, 12/21/18 | 430,290,000 | ZAR | 61,449,992 | |||||
Series R186, 10.50%, 12/21/26 | 728,890,000 | ZAR | 121,427,795 | |||||
388,468,230 | ||||||||
Spain—1.7% | ||||||||
Spain (Kingdom of) Bonds, 5.50%, 7/30/17 | 90,045,000 | EUR | 133,168,646 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 | 68,025,000 | EUR | 92,472,238 | |||||
225,640,884 | ||||||||
Sri Lanka—0.1% | ||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/205 | 9,970,000 | 9,745,675 | ||||||
Sweden—0.3% | ||||||||
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 | 216,000,000 | SEK | 35,244,114 | |||||
The Netherlands—0.9% | ||||||||
Netherlands (Kingdom of the) Bonds, 4%, 7/15/18 | 46,720,000 | EUR | 69,126,359 | |||||
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 | 35,305,000 | EUR | 53,843,803 | |||||
122,970,162 | ||||||||
Turkey—2.2% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.75%, 4/3/18 | 24,225,000 | 27,132,000 | ||||||
6.875%, 3/17/36 | 17,955,000 | 19,095,143 | ||||||
7%, 3/11/19 | 9,650,000 | 10,952,750 | ||||||
10.50%, 1/15/203 | 53,065,000 | TRY | 36,824,680 | |||||
11%, 8/6/14 | 128,080,000 | TRY | 87,927,723 | |||||
Series CPI, 14.419%, 8/14/133 | 23,725,000 | TRY | 22,437,157 | |||||
Turkey (Republic of) Nts.: | ||||||||
7%, 6/5/20 | 6,870,000 | 7,797,450 | ||||||
7.50%, 7/14/17 | 12,420,000 | 14,469,300 | ||||||
Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 | 15,000,000 | 17,550,000 | ||||||
Turkey (Republic of) Unsec. Nts.: | ||||||||
6%, 1/14/41 | 18,230,000 | 17,136,200 | ||||||
6.75%, 5/30/40 | 14,500,000 | 15,116,250 | ||||||
7.25%, 3/5/38 | 10,200,000 | 11,309,250 | ||||||
287,747,903 | ||||||||
Ukraine—0.6% | ||||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/174 | 15,050,000 | 15,877,750 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts., 7.95%, 2/23/215 | 10,420,000 | 10,797,725 |
16 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Ukraine Continued | ||||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/205 | $ | 14,640,000 | $ | 15,170,700 | ||||
Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/175 | 22,470,000 | 22,896,930 | ||||||
Ukraine (Republic of) Sr. Unsec. Unsub. Bonds, 6.58%, 11/21/165 | 5,865,000 | 5,989,631 | ||||||
Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/125 | 3,270,000 | 3,412,245 | ||||||
74,144,981 | ||||||||
United Kingdom—2.9% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
2.25%, 3/7/14 | 63,660,000 | GBP | 103,395,621 | |||||
4.75%, 3/7/20 | 95,145,000 | GBP | 166,094,237 | |||||
4.75%, 12/7/38 | 68,370,000 | GBP | 116,990,946 | |||||
386,480,804 | ||||||||
Uruguay—0.5% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | 20,090,000 | 24,108,000 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 13,000,000 | 15,015,000 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 23,255,000 | 29,068,750 | ||||||
68,191,750 | ||||||||
Venezuela—1.1% | ||||||||
Venezuela (Republic of) Bonds, 9%, 5/7/23 | 52,010,000 | 35,886,900 | ||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 | 8,895,000 | 5,772,855 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||
7.75%, 10/13/19 | 19,205,000 | 13,280,258 | ||||||
12.75%, 8/23/22 | 2,950,000 | 2,566,500 | ||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | 38,520,000 | 21,860,100 | ||||||
7.65%, 4/21/25 | 47,405,000 | 29,035,563 | ||||||
9.375%, 1/13/34 | 15,475,000 | 10,600,375 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/185 | 21,165,000 | 20,424,225 | ||||||
139,426,776 | ||||||||
Total Foreign Government Obligations (Cost $8,992,290,203) | 9,465,245,237 | |||||||
Corporate Bonds and Notes—14.9% | ||||||||
Consumer Discretionary—0.1% | ||||||||
Hotels, Restaurants & Leisure—0.1% | ||||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/155 | 9,895,000 | 9,622,888 | ||||||
Consumer Staples—0.3% | ||||||||
Beverages—0.1% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/173 | 11,985,000 | BRR | 7,212,362 |
17 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Food & Staples Retailing—0.1% | ||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/215 | $ | 15,075,000 | $ | 14,905,316 | ||||
Food Products—0.1% | ||||||||
Arcor, 7.25% Sr. Unsec. Nts., 11/9/175 | 6,040,000 | 6,402,400 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/155 | 15,005,000 | 16,130,375 | ||||||
22,532,775 | ||||||||
Energy—3.5% | ||||||||
Oil, Gas & Consumable Fuels—3.5% | ||||||||
Afren plc, 11.50% Sr. Sec. Nts., 2/1/165 | 12,325,000 | 13,033,688 | ||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/155 | 11,200,000 | 12,237,120 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/205 | 5,965,000 | 5,964,571 | ||||||
Gaz Capital SA: | ||||||||
6.212% Sr. Unsec. Unsub. Nts., 11/22/165 | 13,460,000 | 14,765,620 | ||||||
7.288% Sr. Sec. Nts., 8/16/375 | 36,720,000 | 39,841,200 | ||||||
8.125% Nts., 7/31/145 | 1,095,000 | 1,256,513 | ||||||
8.146% Sr. Sec. Nts., 4/11/185 | 18,820,000 | 22,277,234 | ||||||
8.625% Sr. Sec. Nts., 4/28/345 | 11,855,000 | 14,744,064 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/195 | 25,645,000 | 32,022,912 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/215 | 10,940,000 | 11,377,600 | ||||||
KMG Finance Sub BV: | ||||||||
7% Sr. Unsec. Bonds, 5/5/205 | 8,400,000 | 9,093,000 | ||||||
9.125% Sr. Unsec. Unsub. Nts., 7/2/185 | 30,360,000 | 36,887,400 | ||||||
Lukoil International Finance BV: | ||||||||
6.125% Sr. Unsec. Nts., 11/9/205 | 27,090,000 | 27,767,250 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/225 | 5,525,000 | 5,801,250 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/195 | 4,390,000 | 4,856,218 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 20,240,000 | 22,365,200 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/215 | 9,020,000 | 9,549,925 | ||||||
Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/215 | 14,940,000 | 16,154,622 | ||||||
Pemex Project Funding Master Trust: | ||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 11,890,000 | 11,890,036 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 | 10,395,000 | 10,471,840 | ||||||
Petrobras International Finance Co.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 14,160,000 | 14,662,680 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 15,275,000 | 17,993,125 | ||||||
Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/17 | 33,260,000 | 23,681,120 | ||||||
Petroleos Mexicanos: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 | 11,900,000 | 12,138,000 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 | 14,380,000 | 15,336,270 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/195 | 17,320,000 | 21,087,100 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/115 | 1,168,856 | 1,167,837 |
18 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/195 | $ | 14,950,000 | $ | 16,594,500 | ||||
Tengizchevroil LLP, 6.124% Nts., 11/15/145 | 7,353,582 | 7,794,797 | ||||||
452,812,692 | ||||||||
Financials—6.3% | ||||||||
Capital Markets—0.1% | ||||||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/695 | 5,300,000 | 6,148,000 | ||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec. Bonds, 9/7/11 | 4,800,000 | 4,871,712 | ||||||
11,019,712 | ||||||||
Commercial Banks—4.0% | ||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/154 | 14,880,000 | 15,010,944 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/175 | 11,700,000 | 12,431,250 | ||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/165 | 10,630,000 | 11,214,650 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/195 | 8,380,000 | 8,924,700 | ||||||
Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/165 | 6,025,000 | 5,994,875 | ||||||
Banco de Credito del Peru: | ||||||||
5.375% Sr. Nts., 9/16/205 | 7,160,000 | 6,802,000 | ||||||
6.95% Sub. Nts., 11/7/213,5 | 5,410,000 | 5,680,500 | ||||||
Banco do Brasil SA: | ||||||||
5.375% Unsec. Sub. Nts., 1/15/215 | 7,320,000 | 7,137,000 | ||||||
8.50% Jr. Sub. Perpetual Bonds5,8 | 7,905,000 | 9,100,631 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/205 | 8,650,000 | 9,125,750 | ||||||
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/165 | 6,015,000 | 6,210,488 | ||||||
Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/165 | 12,150,000 | 12,058,875 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 94,433,000 | EUR | 134,081,557 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 64,642,000 | EUR | 88,192,879 | |||||
Halyk Savings Bank of Kazakhstan JSC: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/175 | 3,275,000 | 3,418,118 | ||||||
9.25% Sr. Nts., 10/16/135 | 60,130,000 | 66,894,625 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/155 | 21,660,000 | 22,579,467 | ||||||
6.375% Bonds, 4/30/223,5 | 22,793,000 | 22,735,516 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/044,7 | 550,000 | — | ||||||
PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/125 | 8,980,000 | 9,097,863 | ||||||
Salisbury International Investments Ltd., 4.453% Sec. Nts., Series 2006-003, Tranche E, 7/22/113,4 | 2,400,000 | 2,273,520 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/165 | 9,045,000 | 9,013,908 |
19 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/205 | $ | 25,215,000 | $ | 27,199,421 | ||||
VTB Capital SA: | ||||||||
6.315% Nts., 2/22/185 | 15,040,000 | 15,428,784 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/155 | 8,300,000 | 8,932,460 | ||||||
6.551% Sr. Unsec. Nts., 10/13/205 | 11,820,000 | 12,041,034 | ||||||
531,580,815 | ||||||||
Consumer Finance—0.0% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/127 | 14,000,000 | 1,762,600 | ||||||
Diversified Financial Services—0.6% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 | 18,487,974 | 16,361,857 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 19,452,000 | EUR | 27,308,169 | |||||
Banco Invex SA, 29.593% Mtg.-Backed Certificates, Series 062U, 3/13/343,6 | 27,603,725 | MXN | 5,142,372 | |||||
BM&F BOVESPA SA, 5.50% Sr. Unsec. Nts., 7/16/205 | 6,010,000 | 6,170,936 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.812% Sec. Nts., 8/26/354 | 34,101,099 | MXN | 2,935,195 | |||||
27.987% Mtg.-Backed Certificates, Series 06U, 9/25/353 | 11,728,193 | MXN | 1,874,411 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/6/16 | 10,500,000 | 10,622,451 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/975,9 | 5,310,000 | 3,207,649 | ||||||
TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/205 | 3,300,000 | 3,646,500 | ||||||
77,269,540 | ||||||||
Thrifts & Mortgage Finance—1.6% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/165 | 5,360,000 | 5,547,600 | ||||||
WM Covered Bond Program: | ||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 124,455,000 | EUR | 175,923,162 | |||||
4.375% Sec. Nts., 5/19/14 | 16,200,000 | EUR | 23,552,929 | |||||
205,023,691 | ||||||||
Industrials—0.3% | ||||||||
Construction & Engineering—0.2% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/245 | 15,383,182 | 17,229,164 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/205 | 5,290,000 | 5,811,065 | ||||||
23,040,229 | ||||||||
Road & Rail—0.1% | ||||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/205 | 5,795,000 | 6,069,683 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/265 | 9,755,200 | 8,826,505 | ||||||
14,896,188 |
20 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Transportation Infrastructure—0.0% | ||||||||
Aeropuertos Argentina 2000 SA, 10.75% Sr. Sec. Nts., 12/1/205 | $ | 3,004,650 | $ | 3,260,045 | ||||
Materials—1.4% | ||||||||
Chemicals—0.2% | ||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/185 | 15,030,000 | 16,608,150 | ||||||
Braskem SA, 7% Sr. Unsec. Nts., 5/7/205 | 8,400,000 | 9,156,000 | ||||||
25,764,150 | ||||||||
Construction Materials—0.3% | ||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/205 | 8,115,000 | 8,449,744 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/165 | 8,940,000 | 9,677,550 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/185 | 8,280,000 | 8,725,050 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/205 | 7,170,000 | 7,815,300 | ||||||
West China Cement Ltd., 7.50% Sr. Nts., 1/25/165 | 7,840,000 | 7,967,008 | ||||||
42,634,652 | ||||||||
Metals & Mining—0.9% | ||||||||
Alrosa Finance SA, 7.75% Nts., 11/3/205 | 12,010,000 | 12,934,770 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/195 | 5,700,000 | 6,355,500 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/165,10 | 9,645,000 | 9,645,000 | ||||||
JSC Severstal, 6.70% Nts., 10/25/175 | 14,820,000 | 15,190,500 | ||||||
Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/185 | 12,030,000 | 12,511,200 | ||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/185 | 51,960,000 | 57,156,000 | ||||||
113,792,970 | ||||||||
Telecommunication Services—1.0% | ||||||||
Diversified Telecommunication Services—0.4% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/195 | 17,935,000 | 17,307,275 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/205 | 30,216,000 | 29,838,300 | ||||||
47,145,575 | ||||||||
Wireless Telecommunication Services—0.6% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 | 4,600,000 | 4,830,235 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 140,800,000 | MXN | 10,334,559 | |||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/205 | 15,235,000 | 17,500,445 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/215 | 9,040,000 | 9,537,200 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/185 | 32,440,000 | 37,078,920 | ||||||
79,281,359 |
21 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Utilities—2.0% | ||||||||
Electric Utilities—1.5% | ||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/195 | $ | 15,405,000 | $ | 17,330,625 | ||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/225 | 6,005,000 | 6,215,175 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/195 | 10,125,000 | 11,593,125 | ||||||
Eskom Holdings Ltd.: | ||||||||
5.75% Sr. Unsec. Bonds., 1/26/215 | 21,105,000 | 21,500,719 | ||||||
9.25% Bonds, Series ES18, 4/20/18 | 70,000,000 | ZAR | 10,378,667 | |||||
10% Nts., Series ES23, 1/25/23 | 368,000,000 | ZAR | 56,711,547 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/195 | 31,120,000 | 33,078,631 | ||||||
Majapahit Holding BV: | ||||||||
7.75% Nts., 10/17/165 | 15,500,000 | 17,515,000 | ||||||
8% Sr. Unsec. Nts., 8/7/195 | 11,150,000 | 12,711,000 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 665,100,000 | PHP | 16,272,361 | |||||
203,306,850 | ||||||||
Energy Traders—0.3% | ||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/205 | 12,290,000 | 12,626,525 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/195 | 7,500,000 | 8,587,500 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/245 | 8,120,000 | 9,297,400 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/155 | 8,410,000 | 9,311,594 | ||||||
39,823,019 | ||||||||
Gas Utilities—0.1% | ||||||||
TGI International Ltd., 9.50% Nts., 10/3/175 | 10,420,000 | 11,722,500 | ||||||
Water Utilities—0.1% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/205 | 10,885,000 | 11,238,763 | ||||||
Total Corporate Bonds and Notes (Cost $1,871,421,397) | 1,949,648,691 | |||||||
Shares | ||||||||
Common Stocks—0.0% | ||||||||
MHP SA, GDR5,11 (Cost $15,289) | 169,861 | 3,222,263 | ||||||
Principal | ||||||||
Amount | ||||||||
Structured Securities—6.7% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 100,330,000,000 | IDR | 12,704,814 | |||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 134,050,000,000 | IDR | 16,974,787 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 100,660,000,000 | IDR | 13,521,999 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 27,100,000,000 | IDR | 3,400,025 |
22 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Barclays Bank plc: Continued | ||||||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 53,310,000,000 | IDR | $ | 6,688,389 | ||||
Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 | 67,450,000,000 | IDR | 8,541,211 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 69,180,000,000 | IDR | 8,760,281 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 69,180,000,000 | IDR | 9,293,184 | |||||
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/133 | 550,300,000 | RUR | 19,867,858 | |||||
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/133 | 563,400,000 | RUR | 20,182,291 | |||||
Citigroup Funding, Inc.: | ||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/153,4 | 182,270,000 | RUR | 6,538,949 | |||||
Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 | 62,980,000,000 | IDR | 7,901,609 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 | 67,110,000,000 | IDR | 9,015,114 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 25, 11%, 9/17/25 | 101,170,000,000 | IDR | 13,590,509 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 10.50%, 8/19/30 | 101,170,000,000 | IDR | 12,811,184 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 68,100,000,000 | IDR | 9,148,104 | |||||
Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.303%, 10/25/113 | 14,720,000 | 14,813,709 | ||||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,4 | 377,910,000 | RUR | 13,439,252 | |||||
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/153,4 | 169,861,500 | UAH | 19,109,819 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 | 11,920,000,000 | COP | 7,403,202 | |||||
Colombia (Republic of) Credit Linked Nts., 13.661%, 2/26/154,6 | 10,435,000,000 | COP | 11,930,693 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 13.661%, 2/26/154,6 | 3,833,000,000 | COP | 4,382,400 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 13.661%, 2/26/154,6 | 4,568,000,000 | COP | 5,222,751 | |||||
Colombia (Republic of) Total Return Linked Bonds, 7.25%, 6/16/16 | 16,791,000,000 | COP | 8,770,438 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 | 26,964,000,000 | COP | 16,840,578 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/124 | 289,700,000 | DOP | 7,915,254 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 21%, 3/30/117 | 220,242,600 | RUR | 23,239 | |||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/123 | 45,458,000 | RUR | 1,575,010 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch): | ||||||||
Russian Oreniz Total Return Linked Nts., Series 009, 9.24%, 2/24/123 | 52,500,000 | RUR | 1,818,998 | |||||
Russian Specialized Construction & Installation | ||||||||
Administration Total Return Linked Nts., 13%, 5/20/107 | 64,600,000 | RUR | 227 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance | ||||||||
Total Return Linked Nts., 9.25%, 6/27/12 | 45,150,000 | RUR | 1,554,651 |
23 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 106,500,000 | RUR | $ | 4,069,789 | ||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 155,430,000 | RUR | 5,939,600 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 144,200,000 | RUR | 5,510,457 | |||||
Deutsche Bank AG: | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.01%, 4/30/254,12 | 4,790,419 | 3,093,074 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/255,12 | 6,103,731 | 3,941,052 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/255,12 | 5,269,594 | 3,402,467 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/255,12 | 4,710,353 | 3,041,377 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/255,12 | 5,864,772 | 3,786,761 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/255,12 | 6,693,746 | 4,322,013 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/255,12 | 5,347,520 | 3,452,782 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/255,12 | 5,026,441 | 3,245,469 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/113,4 | 8,755,000 | 10,259,985 | ||||||
Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 | 119,230,000,000 | IDR | 15,098,126 | |||||
Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 | 38,920,000,000 | IDR | 5,906,556 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 | 97,410,000,000 | IDR | 13,085,416 | |||||
JSC Gazprom Credit Linked Nts., Series 4, 13.12%, 6/28/123 | 160,790,000 | RUR | 6,144,427 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 133,110,000 | RUR | 5,086,663 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.315%, 5/22/153,4 | 2,585,931 | MXN | 216,706 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.315%, 5/22/153,4 | 4,524,148 | MXN | 379,132 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.315%, 5/22/153,4 | 68,213,181 | MXN | 5,716,391 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.315%, 5/22/153,4 | 4,971,283 | MXN | 416,603 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.315%, 5/22/153,4 | 3,611,731 | MXN | 302,670 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.315%, 5/22/153,4 | 2,306,631 | MXN | 193,300 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.315%, 5/22/153,4 | 424,788 | MXN | 35,598 | |||||
Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 | 2,505,000 | 2,257,030 | ||||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 | 2,505,000 | 1,990,648 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 | 2,505,000 | 1,780,980 | ||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.103%, 4/30/123,4 | 11,200,000 | 10,758,720 | ||||||
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/175,12 | 129,050,000 | TRY | 41,283,296 | |||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/374,12 | 376,977,600,000 | COP | 7,452,937 | |||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.51%, 12/20/173,4 | 42,470,000 | 39,178,575 | ||||||
Series 2008-01, 9.888%, 8/2/104,7,12 | 63,164,246 | BRR | 3,868,817 | |||||
Series 2008-2A, 7.91%, 9/17/133,4 | 15,837,500 | 16,168,504 | ||||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/164,12 | 68,635,000,000 | COP | 26,988,243 | |||||
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/164,12 | 90,697,000,000 | COP | 32,963,986 | |||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/204 | 12,645,000,000 | COP | 7,899,831 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/204 | 45,193,500,000 | COP | 28,234,165 | |||||
Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/215 | 136,330,000,000 | IDR | 15,811,274 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/255 | 69,180,000,000 | IDR | 9,293,184 |
24 | OPPENHEIMER INTERNATIONAL BOND FUND
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
JPMorgan Chase & Co.: Continued | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/305 | 66,900,000,000 | IDR | $ | 8,471,564 | ||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/305 | 67,450,000,000 | IDR | 8,541,211 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/255 | 67,450,000,000 | IDR | 9,060,787 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/305 | 19,010,000,000 | IDR | 2,407,241 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/255 | 68,100,000,000 | IDR | 9,148,104 | |||||
JPMorgan Chase Bank NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 11, 10.50%, 8/19/305 | 100,000,000,000 | IDR | 12,663,026 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/305 | 119,230,000,000 | IDR | 15,098,126 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/255 | 46,070,000,000 | IDR | 6,188,739 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/255 | 92,130,000,000 | IDR | 12,376,135 | |||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,4 | 377,810,000 | RUR | 13,538,014 | |||||
Russian Federation Credit Linked Bonds, 10%, 9/30/113,5 | 442,790,000 | RUR | 16,018,339 | |||||
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/133,4 | 464,490,000 | RUR | 16,777,970 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/167,12 | 1,426,420 | 142,642 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/164 | 13,289,000,000 | COP | 7,633,275 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/175 | 26,120,000 | PEN | 7,752,831 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 340,888,717 | RUR | 5,660,153 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/225,12 | 173,500,000 | BRR | 14,602,629 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 | 11,760,000 | 10,685,430 | ||||||
VimpelCom Total Return Linked Nts., 9.25%, 7/26/133 | 692,500,000 | RUR | 25,081,740 | |||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 11.155%, 9/21/1112 | 16,895,000 | GHS | 10,583,916 | |||||
Standard Charter Bank: | ||||||||
Kenya (Republic of) Credit Linked Bonds, 11.441%, 9/1/114,12 | 10,050,000 | GHS | 6,355,028 | |||||
Kenya (Republic of) Credit Linked Bonds, 11.44%, 9/8/114,12 | 18,310,000 | GHS | 11,553,234 | |||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/114 | 7,369,232 | GHS | 4,940,472 | |||||
Total Structured Securities (Cost $898,341,927) | 881,597,739 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.0% | ||||||||||||||||
Japanese Yen (JPY) Call11 | 4/25/11 | $ | 76.00 | 13,581,000,000 | 16,976 | |||||||||||
Japanese Yen (JPY) Call11 | 4/25/11 | $ | 76.00 | 13,581,000,000 | 14,260 | |||||||||||
Japanese Yen (JPY) Call11 | 4/25/11 | $ | 76.00 | 13,581,000,000 | 13,445 | |||||||||||
Japanese Yen (JPY) Call11 | 4/26/11 | $ | 76.30 | 12,740,000,000 | 20,639 | |||||||||||
Total Options Purchased (Cost $2,188,106) | 65,320 |
25 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Investment Companies—5.1% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%13,14 | 26,303,084 | $ | 26,303,084 | |||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%13,15 | 640,728,171 | 640,728,171 | ||||||
Total Investment Companies (Cost $667,031,255) | 667,031,255 | |||||||
Total Investments, at Value (Cost $12,462,481,460) | 99.0 | % | 12,998,007,447 | |||||
Other Assets Net of Liabilities | 1.0 | 132,222,915 | ||||||
Net Assets | 100.0 | % | $ | 13,130,230,362 | ||||
Footnotes to Statement of Investments
Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies:
ARP | Argentine Peso | |
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Unknown Currency Code | |
COP | Colombian Peso | |
CZK | Unknown Currency Code | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
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 | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
ZAR | South African Rand | |
1. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $68,344,382. See Note 5 of the accompanying Notes. | |
2. | All or a portion of the security position is held in collateral accounts to cover the Fund’s obligations under certain derivative contracts. The aggregate market value of such securities is $3,879,620. See Note 5 of the accompanying Notes. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | Restricted security. The aggregate value of restricted securities as of March 31, 2011 was $405,199,561, which represents 3.09% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15 | 7/15/10 | $ | 14,795,333 | $ | 15,010,944 | $ | 215,611 | |||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 | 2/22/06-10/20/09 | 16,050,458 | 16,361,857 | 311,399 | ||||||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 | 3/1/11 | 6,458,695 | 6,538,949 | 80,254 | ||||||||||||
Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/2/11 | 13,442,150 | 13,439,252 | (2,898 | ) | |||||||||||
Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 | 9/7/10 | 17,694,008 | 19,109,819 | 1,415,811 |
26 | OPPENHEIMER INTERNATIONAL BOND FUND
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/9/08 | $ | 5,031,782 | $ | 7,403,202 | $ | 2,371,420 | |||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.661%, 2/26/15 | 7/18/08 | 8,876,750 | 11,930,693 | 3,053,943 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01,13.661%, 2/26/15 | 7/31/08 | 3,298,201 | 4,382,400 | 1,084,199 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.661%, 2/26/15 | 8/8/08 | 3,957,968 | 5,222,751 | 1,264,783 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/7/07 | 8,695,818 | 7,915,254 | (780,564 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.01%, 4/30/25 | 10/8/10 | 3,155,711 | 3,093,074 | (62,637 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11 | 12/8/08 | 8,750,504 | 10,259,985 | 1,509,481 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.315%, 5/22/15 | 5/21/08 | 249,324 | 216,706 | (32,618 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.315%, 5/22/15 | 6/12/08 | 436,168 | 379,132 | (57,036 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.315%, 5/22/15 | 6/18/08 | 6,617,724 | 5,716,391 | (901,333 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.315%, 5/22/15 | 7/8/08 | 481,935 | 416,603 | (65,332 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.315%, 5/22/15 | 7/15/08 | 350,722 | 302,670 | (48,052 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.315%, 5/22/15 | 8/8/08 | 227,066 | 193,300 | (33,766 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.315%, 5/22/15 | 8/22/08 | 41,897 | 35,598 | (6,299 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.103%, 4/30/12 | 9/17/07-2/24/09 | 10,986,130 | 10,758,720 | (227,410 | ) | |||||||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/17 | 10/29/10 | 15,258,185 | 15,877,750 | 619,565 | ||||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 | 1/18/07 | 32,798,162 | 7,452,937 | (25,345,225 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.51%, 12/20/17 | 12/13/07 | 42,470,000 | 39,178,575 | (3,291,425 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 | 4/18/08-10/1/08 | 31,666,704 | 3,868,817 | (27,797,887 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.91%, 9/17/13 | 10/23/08-2/26/09 | 15,964,171 | 16,168,504 | 204,333 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 | 12/6/05 | 11,167,708 | 26,988,243 | 15,820,535 |
27 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 | 10/16/06 | $ | 14,183,697 | $ | 32,963,986 | $ | 18,780,289 | |||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 | 8/24/10 | 8,784,552 | 7,899,831 | (884,721 | ) | |||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., Series 2, 11%, 7/28/20 | 10/6/10 | 31,799,326 | 28,234,165 | (3,565,161 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/1/11 | 13,273,534 | 13,538,014 | 264,480 | ||||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 | 2/28/11 | 16,374,493 | 16,777,970 | 403,477 | ||||||||||||
JPMorgan Hipotecaria su Casita, 7.812% Sec. Nts., 8/26/35 | 3/21/07 | 3,092,229 | 2,935,195 | (157,034 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/20/06 | 5,679,060 | 7,633,275 | 1,954,215 | ||||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 | 11/3/05 | 11,760,000 | 10,685,430 | (1,074,570 | ) | |||||||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 | 6/30/09 | 548,813 | — | (548,813 | ) | |||||||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/21 | 1/19/11 | 11,762,214 | 11,187,315 | (574,899 | ) | |||||||||||
Salisbury International Investments Ltd., 4.453% Sec. Nts., Series 2006-003, Tranche E, 7/22/11 | 7/12/06 | 2,400,000 | 2,273,520 | (126,480 | ) | |||||||||||
Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 11.441%, 9/1/11 | 3/3/11 | 6,303,320 | 6,355,028 | 51,708 | ||||||||||||
Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 11.44%, 9/8/11 | 3/8/11 | 11,468,797 | 11,553,234 | 84,437 | ||||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 | 12/22/06 | 8,051,047 | 4,940,472 | (3,110,575 | ) | |||||||||||
$ | 424,404,356 | $ | 405,199,561 | $ | (19,204,795 | ) | ||||||||||
5. | 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 $1,756,358,245 or 13.38% of the Fund’s net assets as of March 31, 2011. | |
6. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
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. | 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. | |
9. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
10. | When-issued security or delayed delivery to be delivered and settled after March 31, 2011. See Note 1 of the accompanying Notes. | |
11. | Non-income producing security. | |
12. | Zero coupon bond reflects effective yield on the date of purchase. |
28 | OPPENHEIMER INTERNATIONAL BOND FUND
13. | Rate shown is the 7-day yield as of March 31, 2011. | |
14. | Interest rate is less than 0.0005%. | |
15. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2010 | Additions | Reductions | March 31, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 30,173,589 | 1,954,059,056 | 1,343,504,474 | 640,728,171 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 640,728,171 | $ | 241,559 |
Valuation Inputs
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 (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). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of March 31, 2011 based on valuation input level:
Level 2— | ||||||||||||||||
Level 1— | Other | Level 3— | ||||||||||||||
Unadjusted | Significant | Significant | ||||||||||||||
Quoted | Observable | Unobservable | ||||||||||||||
Prices | Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 31,196,942 | $ | — | $ | 31,196,942 | ||||||||
Foreign Government Obligations | — | 9,465,245,237 | — | 9,465,245,237 | ||||||||||||
Corporate Bonds and Notes | — | 1,949,648,691 | — | 1,949,648,691 | ||||||||||||
Common Stocks | 3,222,263 | — | — | 3,222,263 | ||||||||||||
Structured Securities | — | 875,076,603 | 6,521,136 | 881,597,739 | ||||||||||||
Options Purchased | — | 65,320 | — | 65,320 | ||||||||||||
Investment Companies | 667,031,255 | — | — | 667,031,255 | ||||||||||||
Total Investments, at Value | 670,253,518 | 12,321,232,793 | 6,521,136 | 12,998,007,447 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 13,645,713 | — | 13,645,713 | ||||||||||||
Depreciated swaps, at value | — | 201,167 | — | 201,167 | ||||||||||||
Futures margins | 525,118 | — | — | 525,118 | ||||||||||||
Foreign currency exchange contracts | — | 115,371,224 | — | 115,371,224 | ||||||||||||
Total Assets | $ | 670,778,636 | $12,450,450,897 | $ | 6,521,136 | $ | 13,127,750,669 | |||||||||
29 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Level 2— | ||||||||||||||||
Level 1— | Other | Level 3— | ||||||||||||||
Unadjusted | Significant | Significant | ||||||||||||||
Quoted | Observable | Unobservable | ||||||||||||||
Prices | Inputs | Inputs | Value | |||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | (6,645,219 | ) | $ | — | $ | (6,645,219 | ) | ||||||
Depreciated swaps, at value | — | (18,920,391 | ) | — | (18,920,391 | ) | ||||||||||
Appreciated options written, at value | — | (94,313 | ) | — | (94,313 | ) | ||||||||||
Futures margins | (757,480 | ) | — | — | (757,480 | ) | ||||||||||
Foreign currency exchange contracts | — | (38,016,231 | ) | — | (38,016,231 | ) | ||||||||||
Total Liabilities | $ | (757,480 | ) | $ | (63,676,154 | ) | $ | — | $ | (64,433,634 | ) | |||||
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.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation methodologies, if any, during the reporting period.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
Japan | $ | 2,839,989,738 | 21.8 | % | ||||
United States | 925,012,457 | 7.1 | ||||||
Brazil | 918,031,625 | 7.1 | ||||||
Germany | 727,541,695 | 5.6 | ||||||
Mexico | 620,720,991 | 4.8 | ||||||
United Kingdom | 608,755,240 | 4.7 | ||||||
Russia | 526,578,277 | 4.0 | ||||||
Italy | 515,486,079 | 4.0 | ||||||
South Africa | 477,059,163 | 3.7 | ||||||
Indonesia | 423,052,568 | 3.2 | ||||||
Poland | 407,437,442 | 3.1 | ||||||
Canada | 364,502,738 | 2.8 | ||||||
Turkey | 353,056,051 | 2.7 | ||||||
Australia | 286,385,052 | 2.2 | ||||||
Colombia | 285,741,311 | 2.2 | ||||||
Spain | 225,640,884 | 1.7 | ||||||
Argentina | 205,769,960 | 1.6 | ||||||
Korea, Republic of South | 203,300,935 | 1.6 | ||||||
Hungary | 178,600,339 | 1.4 | ||||||
Ukraine | 177,127,071 | 1.4 | ||||||
Venezuela | 163,107,896 | 1.3 | ||||||
Kazakhstan | 143,297,823 | 1.1 | ||||||
Peru | 141,746,259 | 1.1 | ||||||
Belgium | 134,392,283 | 1.0 | ||||||
Malaysia | 129,983,758 | 1.0 | ||||||
The Netherlands | 122,970,162 | 0.9 | ||||||
India | 102,470,983 | 0.8 | ||||||
Philippines | 99,257,166 | 0.8 | ||||||
Austria | 88,514,196 | 0.7 |
30 | OPPENHEIMER INTERNATIONAL BOND FUND
Geographic Holdings | Value | Percent | ||||||
Greece | $ | 88,411,357 | 0.7 | % | ||||
Uruguay | 68,191,750 | 0.5 | ||||||
Panama | 47,299,535 | 0.4 | ||||||
Ghana | 44,992,625 | 0.3 | ||||||
Denmark | 42,609,535 | 0.3 | ||||||
Dominican Republic | 37,129,936 | 0.3 | ||||||
Sweden | 35,244,114 | 0.3 | ||||||
Chile | 33,496,412 | 0.3 | ||||||
Israel | 33,078,631 | 0.2 | ||||||
Finland | 28,036,147 | 0.2 | ||||||
France | 24,465,208 | 0.2 | ||||||
Trinidad & Tobago | 21,087,100 | 0.2 | ||||||
Qatar | 17,851,020 | 0.1 | ||||||
Costa Rica | 14,813,709 | 0.1 | ||||||
Norway | 13,816,028 | 0.1 | ||||||
Nigeria | 13,033,688 | 0.1 | ||||||
Supranational | 13,032,240 | 0.1 | ||||||
Sri Lanka | 9,745,675 | 0.1 | ||||||
China | 7,967,008 | 0.1 | ||||||
Ivory Coast | 3,983,175 | — | ||||||
Belize | 3,024,575 | — | ||||||
Egypt | 1,167,837 | — | ||||||
Total | $ | 12,998,007,447 | 100.0 | % | ||||
Foreign Currency Exchange Contracts as of March 31, 2011 are as follows:
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 399,660 | ARP | 4/28/11-6/29/11 | $ | 97,719,952 | $ | — | $ | 141,582 | ||||||||||||||
Australian Dollar (AUD) | Sell | 65,150 | AUD | 4/15/11 | 67,263,646 | — | 2,172,281 | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 24,010 | CAD | 5/24/11 | 24,735,749 | 356,367 | — | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 89,980 | CAD | 5/24/11 | 92,699,819 | — | 1,207,957 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 446,400 | CNY | 6/7/11 | 68,408,255 | 2,460,552 | — | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 141,995 | CNY | 5/24/11 | 21,742,366 | — | 33,911 | |||||||||||||||||
Euro (EUR) | Sell | 17,235 | EUR | 4/6/11 | 24,422,630 | — | 838,428 | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 325,824,000 | IDR | 5/18/11-6/1/11 | 37,096,236 | 715,805 | 46,514 | |||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 101,498,000 | IDR | 5/18/11-6/1/11 | 11,543,654 | — | 145,176 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 207,025 | TRY | 4/25/11 | 133,505,433 | 2,310,052 | — | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 103,150 | TRY | 4/1/11 | 66,804,831 | — | 2,000,720 | |||||||||||||||||
South African Rand (ZAR) | Sell | 452,900 | ZAR | 4/4/11 | 66,909,553 | — | 2,280,645 | |||||||||||||||||
South Korean Won (KRW) | Sell | 73,645,000 | KRW | 5/3/11 | 67,002,147 | — | 1,452,526 | |||||||||||||||||
5,842,776 | 10,319,740 | |||||||||||||||||||||||
Bank Paribas Asia — FGN | ||||||||||||||||||||||||
South African Rand (ZAR) | Buy | 221,370 | ZAR | 5/24/11 | 32,457,828 | 555,353 | — | |||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Colombian Peso (COP) | Sell | 12,397,000 | COP | 7/5/11 | 6,659,024 | — | 92,816 | |||||||||||||||||
Euro (EUR) | Buy | 182,950 | EUR | 4/27/11-5/24/11 | 259,116,155 | 7,965,124 | — |
31 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
Contract | |||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | |||||||||||||||||||
Barclay’s Capital: Continued | |||||||||||||||||||||||||
Euro (EUR) | Sell | 6,160 | EUR | 4/11/11 | $ | 8,728,143 | $ | — | $ | 333,295 | |||||||||||||||
Hungarian Forint (HUF) | Buy | 7,081,000 | HUF | 4/11/11 | 37,691,207 | 519,020 | — | ||||||||||||||||||
Japanese Yen (JPY) | Buy | 1,619,000 | JPY | 4/7/11 | 19,464,578 | — | 185,865 | ||||||||||||||||||
Japanese Yen (JPY) | Sell | 16,280,000 | JPY | 4/27/11 | 195,749,776 | 2,558,030 | — | ||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 460,500 | MXN | 5/24/11 | 38,516,054 | 584,201 | — | ||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 150,400 | MXN | 5/24/11 | 12,579,402 | — | 150,128 | ||||||||||||||||||
Russian Ruble (RUR) | Buy | 964,120 | RUR | 4/29/11 | 33,829,748 | 641,452 | — | ||||||||||||||||||
South African Rand (ZAR) | Buy | 452,900 | ZAR | 4/4/11 | 66,909,553 | 2,059,193 | — | ||||||||||||||||||
South African Rand (ZAR) | Sell | 128,220 | ZAR | 4/6/11 | 18,937,312 | — | 1,521,222 | ||||||||||||||||||
South Korean Won (KRW) | Buy | 83,176,000 | KRW | 5/11/11 | 75,628,527 | 2,301,745 | — | ||||||||||||||||||
South Korean Won (KRW) | Sell | 36,156,000 | KRW | 5/2/11 | 32,897,115 | — | 42,289 | ||||||||||||||||||
16,628,765 | 2,325,615 | ||||||||||||||||||||||||
Citigroup: | |||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 75,820 | AUD | 5/24/11 | 77,879,813 | 1,905,680 | — | ||||||||||||||||||
Australian Dollar (AUD) | Sell | 10,910 | AUD | 5/24/11 | 11,206,394 | — | 291,977 | ||||||||||||||||||
Colombian Peso (COP) | Buy | 12,397,000 | COP | 7/5/11 | 6,659,024 | 82,366 | — | ||||||||||||||||||
Euro (EUR) | Buy | 137,140 | EUR | 4/7/11-4/27/11 | 194,287,270 | 5,290,589 | — | ||||||||||||||||||
Euro (EUR) | Sell | 19,655 | EUR | 5/10/11 | 27,833,638 | — | 1,091,877 | ||||||||||||||||||
Indian Rupee (INR) | Buy | 2,964,500 | INR | 5/24/11 | 65,792,610 | 674,543 | — | ||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 2,318,000 | IDR | 6/1/11 | 263,348 | 1,403 | — | ||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 1,044,000 | IDR | 6/1/11 | 118,609 | — | 632 | ||||||||||||||||||
Japanese Yen (JPY) | Sell | 8,969,000 | JPY | 4/27/11 | 107,842,736 | 1,270,514 | — | ||||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 1,948,000 | TWD | 5/24/11 | 66,321,446 | 72,555 | — | ||||||||||||||||||
New Turkish Lira (TRY) | Buy | 131,310 | TRY | 4/1/11-6/14/11 | 84,807,135 | 477,459 | — | ||||||||||||||||||
New Turkish Lira (TRY) | Sell | 103,150 | TRY | 6/1/11 | 66,092,364 | 8,244 | — | ||||||||||||||||||
New Zealand Dollar (NZD) | Buy | 59,410 | NZD | 5/24/11 | 45,163,973 | 1,467,615 | — | ||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 30 | NZD | 5/24/11 | 22,806 | — | 871 | ||||||||||||||||||
South African Rand (ZAR) | Buy | 175,820 | ZAR | 5/24/11 | 25,779,172 | 1,413,299 | — | ||||||||||||||||||
South African Rand (ZAR) | Sell | 178,640 | ZAR | 5/24/11 | 26,192,648 | — | 645,311 | ||||||||||||||||||
12,664,267 | 2,030,668 | ||||||||||||||||||||||||
Citigroup EM: | |||||||||||||||||||||||||
Chilean Peso (CLP) | Buy | 15,298,000 | CLP | 6/30/11 | 31,735,166 | 173,375 | — | ||||||||||||||||||
Chilean Peso (CLP) | Sell | 13,503,000 | CLP | 6/1/11 | 28,098,879 | 69,642 | 219,671 | ||||||||||||||||||
Colombian Peso (COP) | Buy | 17,519,679 | COP | 4/5/11 | 9,366,318 | 96,647 | — | ||||||||||||||||||
Colombian Peso (COP) | Sell | 127,274,901 | COP | 4/1/11-4/18/11 | 68,105,592 | — | 539,097 | ||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 135,045 | EGP | 5/5/11 | 22,341,433 | — | 203,266 | ||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 13,705,000 | IDR | 6/1/11 | 1,557,025 | 17,656 | — | ||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 13,000,000 | IDR | 6/1/11 | 1,476,930 | — | 11,316 | ||||||||||||||||||
357,320 | 973,350 | ||||||||||||||||||||||||
Credit Suisse: | |||||||||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 181,345 | MYR | 7/5/11 | 59,477,349 | — | 359,254 | ||||||||||||||||||
New Turkish Lira (TRY) | Sell | 152,060 | TRY | 4/4/11-4/11/11 | 98,369,658 | — | 3,489,484 | ||||||||||||||||||
Swedish Krona (SEK) | Buy | 194,800 | SEK | 5/24/11 | 30,772,941 | 125,092 | 1,441 | ||||||||||||||||||
Swedish Krona (SEK) | Sell | 150,600 | SEK | 5/24/11 | 23,790,580 | — | 287,418 | ||||||||||||||||||
125,092 | 4,137,597 |
32 | OPPENHEIMER INTERNATIONAL BOND FUND
Foreign Currency Exchange Contracts: Continued
Contract | |||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | |||||||||||||||||||
Credit Suisse EM: | |||||||||||||||||||||||||
New Turkish Lira (TRY) | Buy | 84,705 | TRY | 4/11/11 | $ | 54,755,680 | $ | 1,511,396 | $ | — | |||||||||||||||
Deutsche Bank Capital Corp.: | |||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 3,279 | AUD | 4/7/11 | 3,388,717 | 77,668 | — | ||||||||||||||||||
British Pound Sterling (GBP) | Buy | 8,160 | GBP | 4/7/11 | 13,089,320 | — | 186,624 | ||||||||||||||||||
British Pound Sterling (GBP) | Sell | 12,990 | GBP | 5/24/11 | 20,823,649 | 261,199 | — | ||||||||||||||||||
Canadian Dollar (CAD) | Buy | 12,950 | CAD | 4/7/11 | 13,355,345 | 71,413 | — | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 510,510 | CNY | 1/6/12 | 79,058,857 | — | 180,750 | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 572,760 | CNY | 4/11/11-6/20/11 | 87,753,309 | — | 105,853 | ||||||||||||||||||
Euro (EUR) | Buy | 144,860 | EUR | 4/27/11 | 205,192,570 | 7,164,604 | — | ||||||||||||||||||
Japanese Yen (JPY) | Sell | 16,257,000 | JPY | 4/27/11 | 195,473,225 | 2,913,759 | — | ||||||||||||||||||
Polish Zloty (PLZ) | Buy | 189,850 | PLZ | 4/15/11 | 66,771,704 | 1,665,171 | — | ||||||||||||||||||
Polish Zloty (PLZ) | Sell | 189,850 | PLZ | 4/26/11 | 66,708,414 | — | 70,062 | ||||||||||||||||||
Swiss Franc (CHF) | Buy | 101,664 | CHF | 4/7/11-5/24/11 | 110,724,458 | 2,618,399 | 174,234 | ||||||||||||||||||
Swiss Franc (CHF) | Sell | 82,230 | CHF | 5/24/11 | 89,559,360 | — | 2,373,802 | ||||||||||||||||||
14,772,213 | 3,091,325 | ||||||||||||||||||||||||
Deutsche Bank EM: | |||||||||||||||||||||||||
Chinese Renminbi | |||||||||||||||||||||||||
(Yuan) (CNY) | Sell | 41,090 | CNY | 4/11/11 | 6,278,414 | — | 14,695 | ||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 543,585 | MYR | 4/18/11 | 179,262,127 | 1,724,404 | — | ||||||||||||||||||
Russian Ruble (RUR) | Buy | 1,607,005 | RUR | 4/11/11-6/2/11 | 56,384,352 | 1,392,202 | — | ||||||||||||||||||
3,116,606 | 14,695 | ||||||||||||||||||||||||
Goldman Sachs EM: | |||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 215,350 | BRR | 5/3/11 | 131,054,703 | 1,955,727 | — | ||||||||||||||||||
Brazilian Real (BRR) | Sell | 246,400 | BRR | 5/3/11 | 149,950,679 | — | 2,237,712 | ||||||||||||||||||
Chilean Peso (CLP) | Buy | 8,940,000 | CLP | 6/1/11 | 18,603,568 | — | 89,584 | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 428,540 | CNY | 2/16/12 | 66,497,455 | 7,872 | 75,559 | ||||||||||||||||||
Hungarian Forint (HUF) | Buy | 4,327,000 | HUF | 4/11/11 | 23,032,037 | 78,956 | — | ||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 157,130 | MYR | 4/18/11 | 51,817,946 | 257,650 | — | ||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 1,888,645 | MXN | 4/18/11-4/19/11 | 158,512,762 | 2,782,620 | — | ||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 834,420 | MXN | 4/18/11 | 70,033,831 | — | 1,141,823 | ||||||||||||||||||
5,082,825 | 3,544,678 | ||||||||||||||||||||||||
Goldman, Sachs & Co.: | |||||||||||||||||||||||||
Euro (EUR) | Buy | 405,000 | EUR | 5/16/11 | 573,451,385 | 17,946,455 | — | ||||||||||||||||||
Hungarian Forint (HUF) | Buy | 8,303,000 | HUF | 4/11/11 | 44,195,748 | 1,092,613 | — | ||||||||||||||||||
Japanese Yen (JPY) | Sell | 3,824,000 | JPY | 5/24/11 | 45,987,803 | 595,950 | 19,399 | ||||||||||||||||||
19,635,018 | 19,399 | ||||||||||||||||||||||||
Hong Kong & Shanghai Bank Corp. | |||||||||||||||||||||||||
New Turkish Lira (TRY) | Buy | 15,560 | TRY | 4/4/11 | 10,070,494 | 113,942 | — | ||||||||||||||||||
HSBC EM: | |||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 194,830 | BRR | 5/3/11 | 118,566,927 | — | 1,699,313 | ||||||||||||||||||
New Turkish Lira (TRY) | Buy | 110,660 | TRY | 4/4/11 | 71,619,592 | 3,392,233 | — | ||||||||||||||||||
3,392,233 | 1,699,313 | ||||||||||||||||||||||||
JP Morgan Chase: | |||||||||||||||||||||||||
Chilean Peso (CLP) | Sell | 17,083,000 | CLP | 6/1/11 | 35,548,630 | — | 298,084 | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 290,405 | CNY | 5/24/11 | 44,467,001 | — | 72,749 | ||||||||||||||||||
Czech Koruna (CZK) | Sell | 783,025 | CZK | 5/18/11 | 45,206,504 | 45,224 | 188,582 |
33 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
Contract | |||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | |||||||||||||||||||
JP Morgan Chase: Continued | |||||||||||||||||||||||||
Euro (EUR) | Buy | 108,650 | EUR | 4/27/11 | $ | 153,901,510 | $ | 5,317,203 | $ | — | |||||||||||||||
Indian Rupee (INR) | Buy | 525,660 | INR | 4/11/11 | 11,763,086 | 312,235 | — | ||||||||||||||||||
Japanese Yen (JPY) | Sell | 12,200,000 | JPY | 4/27/11 | 146,692,092 | 2,145,934 | — | ||||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 63,550 | MYR | 5/10/11 | 20,924,362 | — | 183,501 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 374,500 | MXN | 4/18/11 | 31,432,216 | 490,397 | — | ||||||||||||||||||
New Taiwan Dollar (TWD) | Buy | 200,370 | TWD | 4/11/11 | 6,815,330 | 23,383 | — | ||||||||||||||||||
New Turkish Lira (TRY) | Buy | 166,585 | TRY | 4/11/11 | 107,685,200 | 3,019,015 | — | ||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 42,110 | NZD | 5/24/11 | 32,012,370 | — | 1,216,573 | ||||||||||||||||||
Norwegian Krone (NOK) | Buy | 248,100 | NOK | 5/24/11 | 44,726,049 | 1,200,199 | — | ||||||||||||||||||
Norwegian Krone (NOK) | Sell | 150,200 | NOK | 5/24/11 | 27,077,197 | — | 945,175 | ||||||||||||||||||
Philippines Peso (PHP) | Sell | 2,837,000 | PHP | 6/1/11 | 65,179,936 | 158,618 | — | ||||||||||||||||||
Singapore Dollar (SGD) | Buy | 109,800 | SGD | 4/25/11-5/10/11 | 87,111,806 | 458,333 | 25,660 | ||||||||||||||||||
Singapore Dollar (SGD) | Sell | 83,450 | SGD | 4/25/11 | 66,206,076 | — | 167,063 | ||||||||||||||||||
13,170,541 | 3,097,387 | ||||||||||||||||||||||||
JP Morgan EM: | |||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 65,150 | AUD | 4/15/11 | 67,263,646 | 1,971,619 | — | ||||||||||||||||||
Chilean Peso (CLP) | Buy | 15,585,000 | CLP | 6/1/11 | 32,431,388 | 201,008 | — | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 1,048,870 | CNY | 6/20/11-2/17/12 | 162,390,740 | 618,253 | 491,118 | ||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 64,400 | CNY | 6/7/11 | 9,868,933 | 11,399 | — | ||||||||||||||||||
Czech Koruna (CZK) | Buy | 783,025 | CZK | 5/18/11 | 45,206,504 | 511,766 | — | ||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 245,855 | EGP | 6/6/11 | 40,104,956 | — | 265,323 | ||||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 513,600 | HKD | 5/24/11 | 66,059,663 | — | 160,283 | ||||||||||||||||||
Indian Rupee (INR) | Buy | 276,780 | INR | 4/11/11 | 6,193,713 | 115,979 | — | ||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 440,562,000 | IDR | 4/18/11 | 50,450,076 | 1,293,354 | — | ||||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 200,370 | TWD | 4/11/11 | 6,815,330 | — | 39,205 | ||||||||||||||||||
Philippines Peso (PHP) | Buy | 3,765,000 | PHP | 5/2/11 | 86,609,141 | 255,930 | — | ||||||||||||||||||
Polish Zloty (PLZ) | Buy | 18,760 | PLZ | 4/4/11 | 6,604,290 | — | 21,173 | ||||||||||||||||||
Polish Zloty (PLZ) | Sell | 161,410 | PLZ | 6/6/11 | 56,508,872 | 189,877 | — | ||||||||||||||||||
Russian Ruble (RUR) | Buy | 965,280 | RUR | 4/25/11 | 33,881,489 | 738,828 | — | ||||||||||||||||||
South Korean Won (KRW) | Sell | 73,598,000 | KRW | 5/2/11 | 66,964,318 | — | 420,013 | ||||||||||||||||||
5,908,013 | 1,397,115 | ||||||||||||||||||||||||
Nomura Securities: | |||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 207,920 | CNY | 2/19/13 | 32,802,476 | — | 109,277 | ||||||||||||||||||
New Zealand Dollar (NZD) | Buy | 39,200 | NZD | 5/24/11 | 29,800,164 | 270,598 | — | ||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 94,700 | NZD | 5/24/11 | 71,991,722 | — | 1,056,868 | ||||||||||||||||||
270,598 | 1,166,145 | ||||||||||||||||||||||||
RBS Greenwich Capital: | |||||||||||||||||||||||||
Japanese Yen (JPY) | Sell | 5,340,000 | JPY | 4/25/11 | 64,207,129 | 1,751,369 | — | ||||||||||||||||||
Swiss Franc (CHF) | Buy | 26,835 | CHF | 5/10/11 | 29,223,750 | 1,357,706 | — | ||||||||||||||||||
3,109,075 | — | ||||||||||||||||||||||||
Santander EM | |||||||||||||||||||||||||
Colombian Peso (COP) | Sell | 47,754,000 | COP | 4/15/11 | 25,557,463 | 123,634 | — |
34 | OPPENHEIMER INTERNATIONAL BOND FUND
Foreign Currency Exchange Contracts: Continued
Contract | |||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | |||||||||||||||||||
Standard Chartered Bank EM | |||||||||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 200,880 | MYR | 4/5/11 | $ | 66,302,471 | $ | — | $ | 192,002 | |||||||||||||||
Standard NY EM | |||||||||||||||||||||||||
South African Rand (ZAR) | Sell | 405,090 | ZAR | 4/6/11 | 59,829,322 | — | 3,537,180 | ||||||||||||||||||
State Street: | |||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 6,480 | GBP | 5/24/11 | 10,387,779 | — | 223,545 | ||||||||||||||||||
British Pound Sterling (GBP) | Sell | 17,940 | GBP | 5/24/11 | 28,758,758 | 220,656 | — | ||||||||||||||||||
Hungarian Forint (HUF) | Buy | 29,149,000 | HUF | 4/11/11 | 155,156,192 | 8,405,953 | — | ||||||||||||||||||
Polish Zloty (PLZ) | Sell | 18,760 | PLZ | 4/4/11 | 6,604,290 | — | 246,477 | ||||||||||||||||||
South African Rand (ZAR) | Buy | 65,610 | ZAR | 6/1/11 | 9,607,876 | 364,948 | — | ||||||||||||||||||
8,991,557 | 470,022 | ||||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 115,371,224 | $ | 38,016,231 | |||||||||||||||||||||
Futures Contracts as of March 31, 2011 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Euro-Bundesobligation | Buy | 1,490 | 6/8/11 | $ | 256,097,049 | $ | (196,085 | ) | ||||||||||||
Financial Times Stock Exchange 100 Index | Sell | 560 | 6/17/11 | 52,863,835 | (2,586,466 | ) | ||||||||||||||
Japan (Government of) Bonds, 10 yr. | Buy | 126 | 6/9/11 | 211,388,555 | 1,561,473 | |||||||||||||||
NIKKEI 225 Index | Sell | 538 | 6/9/11 | 63,126,713 | 5,039,545 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 6,721 | 6/30/11 | 784,939,292 | (49,517 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Buy | 205 | 6/30/11 | 23,941,758 | 133,594 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 468 | 6/21/11 | 55,706,625 | (237,656 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 826 | 6/21/11 | 98,319,813 | 613,030 | |||||||||||||||
$ | 4,277,918 | |||||||||||||||||||
Written Options as of March 31, 2011 are as follows:
Number of | Exercise | Expiration | Premiums | Unrealized | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | Appreciation | |||||||||||||||||||||
Japanese Yen (JPY) | Call | 762,000,000 | $ | 83 | 4/6/11 | $ | 58,986 | $ | (55,352 | ) | $ | 3,634 | ||||||||||||||||
Japanese Yen (JPY) | Put | 762,000,000 | $ | 83 | 4/6/11 | 58,986 | (38,961 | ) | 20,025 | |||||||||||||||||||
$ | 117,972 | $ | (94,313 | ) | $ | 23,659 | ||||||||||||||||||||||
35 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Credit Default Swap Contracts as of March 31, 2011 are as follows:
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Federative Republic of Brazil: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 10,510 | 1.00 | % | 3/20/16 | $ | 47,865 | $ | (69,633 | ) | $ | (21,768 | ) | ||||||||||||||
Credit Suisse International | Sell | 16,750 | 1.00 | 6/20/16 | 114,593 | (115,473 | ) | (880 | ) | |||||||||||||||||||
Total | 27,260 | 162,458 | (185,106 | ) | (22,648 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS | ||||||||||||||||||||||||||||
Morgan Stanley Capital | ||||||||||||||||||||||||||||
Services, Inc. | Sell | 10,410 | 1.30 | 3/24/13 | — | (613,913 | ) | (613,913 | ) | |||||||||||||||||||
Total | 10,410 | — | (613,913 | ) | (613,913 | ) | ||||||||||||||||||||||
Petroleos de Venezuela SA | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 30,150 | 5.00 | 7/20/11 | 779,456 | (212,374 | ) | 567,082 | ||||||||||||||||||||
Total | 30,150 | 779,456 | (212,374 | ) | 567,082 | |||||||||||||||||||||||
Republic of Hungary: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 9,030 | 1.00 | 3/20/16 | 760,081 | (680,120 | ) | 79,961 | ||||||||||||||||||||
Barclays Bank plc | Sell | 18,565 | 1.00 | 6/20/16 | 1,497,143 | (1,452,453 | ) | 44,690 | ||||||||||||||||||||
HSBC Bank USA | Sell | 15,020 | 1.00 | 3/20/16 | 1,309,655 | (1,131,274 | ) | 178,381 | ||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 12,045 | 1.00 | 3/20/16 | 1,003,834 | (907,203 | ) | 96,631 | ||||||||||||||||||||
Merrill Lynch Capital Services, Inc. | Sell | 15,020 | 1.00 | 3/20/16 | 1,309,655 | (1,131,274 | ) | 178,381 | ||||||||||||||||||||
UBS AG | Sell | 15,010 | 1.00 | 3/20/16 | 1,307,035 | (1,130,521 | ) | 176,514 | ||||||||||||||||||||
Total | 84,690 | 7,187,403 | (6,432,845 | ) | 754,558 | |||||||||||||||||||||||
State of Qatar: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 10,665 | 1.00 | 3/20/16 | (74,753 | ) | 49,720 | (25,033 | ) | |||||||||||||||||||
HSBC Bank USA | Buy | 21,340 | 1.00 | 3/20/16 | (139,611 | ) | 99,487 | (40,124 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Buy | 10,665 | 1.00 | 6/20/16 | (79,185 | ) | 51,960 | (27,225 | ) | |||||||||||||||||||
Total | 42,670 | (293,549 | ) | 201,167 | (92,382 | ) | ||||||||||||||||||||||
United Mexican States: | ||||||||||||||||||||||||||||
Goldman Sachs International | Sell | 18,270 | 1.00 | 6/20/16 | 71,353 | (73,504 | ) | (2,151 | ) | |||||||||||||||||||
HSBC Bank USA | Sell | 15,010 | 1.00 | 3/20/16 | 15,439 | (58,120 | ) | (42,681 | ) | |||||||||||||||||||
Merrill Lynch Capital Services, Inc. | Sell | 15,010 | 1.00 | 3/20/16 | 21,176 | (58,120 | ) | (36,944 | ) | |||||||||||||||||||
Total | 48,290 | 107,968 | (189,744 | ) | (81,776 | ) | ||||||||||||||||||||||
Grand Total Buys | (293,549 | ) | 201,167 | (92,382 | ) | |||||||||||||||||||||||
Grand Total Sells | 8,237,285 | (7,633,982 | ) | 603,303 | ||||||||||||||||||||||||
Total Credit Default Swaps | $ | 7,943,736 | $ | (7,432,815 | ) | $ | 510,921 | |||||||||||||||||||||
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 | Total Maximum Potential | |||||||||||
Asset on which | Payments for Selling | Reference | ||||||||||
the Fund Sold | Credit Protection | Amount | Asset Rating | |||||||||
Protection | (Undiscounted) | Recoverable* | Range** | |||||||||
Investment Grade Sovereign Debt | $ | 170,650,000 | $ | — | BBB to BBB- | |||||||
Non-Investment Grade Sovereign Debt | 30,150,000 | — | BB- | |||||||||
Total | $ | 200,800,000 | $ | — | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
36 | OPPENHEIMER INTERNATIONAL BOND FUND
Interest Rate Swap Contracts as of March 31, 2011 are as follows:
Notional | |||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
BZDI: | |||||||||||||||||||||
Banco Santander SA, Inc. | 96,790 | BRR | BZDI | 12.320 | % | 1/2/17 | $ | 611,574 | |||||||||||||
Goldman Sachs Group, Inc. (The) | 106,930 | BRR | BZDI | 11.390 | 1/5/15 | (1,008,867 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 38,900 | BRR | BZDI | 12.800 | 1/2/17 | 1,252,453 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 99,940 | BRR | BZDI | 11.420 | 1/3/14 | (796,557 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 56,300 | BRR | BZDI | 13.900 | 1/2/17 | 2,881,571 | |||||||||||||||
Morgan Stanley | 242,460 | BRR | BZDI | 12.300 | 1/2/17 | 1,526,207 | |||||||||||||||
Total | 641,320 | BRR | 4,466,381 | ||||||||||||||||||
MXN TIIE BANXICO: | |||||||||||||||||||||
MXN TIIE | |||||||||||||||||||||
Bank of America Merrill Lynch | 872,000 | MXN | BANXICO | 5.875 | 12/6/12 | (93,837 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Bank of America Merrill Lynch | 2,173,500 | MXN | BANXICO | 5.735 | 11/29/12 | (337,710 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Bank of America Merrill Lynch | 1,341,500 | MXN | BANXICO | 5.750 | 12/5/12 | (185,922 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Barclays Bank plc | 829,100 | MXN | BANXICO | 5.630 | 1/21/13 | (69,766 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Citibank NA | 829,200 | MXN | BANXICO | 5.640 | 1/16/13 | (71,568 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Deutsche Bank AG | 1,731,500 | MXN | BANXICO | 5.890 | 1/10/13 | (159,957 | ) | ||||||||||||||
MXN TIIE | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 2,141,500 | MXN | BANXICO | 5.880 | 12/14/12 | (212,231 | ) | ||||||||||||||
Total | 9,918,300 | MXN | (1,130,991 | ) | |||||||||||||||||
Six-Month AUD BBR BBSW | |||||||||||||||||||||
Westpac Banking Corp | 130,595 | AUD | 6.098 | % | Six-Month AUD BBR BBSW | 1/5/21 | (1,299,104 | ) | |||||||||||||
Six-Month CZK PRIBOR PRBO: | |||||||||||||||||||||
Morgan Stanley | 1,713,400 | CZK | 3.060 | Six-Month CZK PRIBOR PRBO | 12/16/15 | 764,016 | |||||||||||||||
Barclays Bank plc | 1,806,900 | CZK | 3.200 | Six-Month CZK PRIBOR PRBO | 12/21/15 | 549,593 | |||||||||||||||
Total | 3,520,300 | CZK | 1,313,609 | ||||||||||||||||||
Six-Month EUR EURIBOR: | |||||||||||||||||||||
Six-Month | |||||||||||||||||||||
EUR | |||||||||||||||||||||
Barclays Bank plc | 70,270 | EUR | EURIBOR | 3.580 | 2/21/15 | (248,906 | ) | ||||||||||||||
Six-Month | |||||||||||||||||||||
EUR | |||||||||||||||||||||
Morgan Stanley | 68,260 | EUR | EURIBOR | 3.410 | 12/16/15 | (527,311 | ) | ||||||||||||||
Total | 138,530 | EUR | (776,217 | ) |
37 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts: Continued
Notional | |||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
Six-Month GBP BBA LIBOR | |||||||||||||||||||||
Six-Month | |||||||||||||||||||||
GBP BBA | |||||||||||||||||||||
Barclays Bank plc | 85,995 | GBP | LIBOR | 3.605 | % | 1/4/21 | $ | (1,624,563 | ) | ||||||||||||
Six-Month JPY BBA LIBOR | |||||||||||||||||||||
Six-Month | |||||||||||||||||||||
JPY BBA | |||||||||||||||||||||
JPMorgan Chase Bank NA | 11,025,000 | JPY | 1.233 | % | LIBOR | 1/7/21 | 501,944 | ||||||||||||||
Three-Month USD BBA LIBOR | |||||||||||||||||||||
Three-Month | |||||||||||||||||||||
USD BBA | |||||||||||||||||||||
Barclays Bank plc | 133,000 | LIBOR | 3.371 | 1/6/21 | (1,584,059 | ) | |||||||||||||||
Three-Month ZAR JIBAR SAFEX: | |||||||||||||||||||||
Three-Month ZAR JIBAR | |||||||||||||||||||||
Barclays Bank plc | 438,580 | ZAR | 7.040 | SAFEX | 1/21/14 | 10,049 | |||||||||||||||
Three-Month ZAR JIBAR | |||||||||||||||||||||
Barclays Bank plc | 434,700 | ZAR | 7.050 | SAFEX | 1/24/14 | 9,960 | |||||||||||||||
Total where Fund pays a fixed rate | 873,280 | ZAR | 20,009 | ||||||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
Barclays Bank plc | 171,750 | ZAR | SAFEX | 8.350 | 1/24/21 | (192,114 | ) | ||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
Barclays Bank plc | 173,030 | ZAR | SAFEX | 8.310 | 1/21/21 | (192,215 | ) | ||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,383,820 | ZAR | SAFEX | 8.700 | 3/11/14 | 12,069 | |||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
JPMorgan Chase Bank NA | 1,095,720 | ZAR | SAFEX | 8.650 | 3/4/14 | 9,556 | |||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
JPMorgan Chase Bank NA | 1,391,920 | ZAR | SAFEX | 8.480 | 3/1/14 | 11,728 | |||||||||||||||
Three-Month | |||||||||||||||||||||
ZAR JIBAR | |||||||||||||||||||||
JPMorgan Chase Bank NA | 1,392,320 | ZAR | SAFEX | 8.390 | 3/2/14 | 11,525 | |||||||||||||||
Total where Fund pays a variable rate | 5,608,560 | ZAR | �� | (339,451 | ) | ||||||||||||||||
Total | 6,481,840 | ZAR | (319,442 | ) | |||||||||||||||||
Total Interest Rate Swaps | $ | (452,442 | ) | ||||||||||||||||||
38 | OPPENHEIMER INTERNATIONAL BOND FUND
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: | ||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CZK | Czech Koruna | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
ZAR | South African Rand | |
Abbreviations/Definitions are as follows: | ||
BANIXCO | 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 | |
EURIBOR | Euro Interbank Offered Rate | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
PRIBOR PRBO | Prague Interbank Offering Rate | |
SAFEX | South African Futures Exchange | |
TIIE | Interbank Equilibrium Interest Rate |
Total Return Swap Contracts as of March 31, 2011 are as follows:
Notional | |||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | |||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||
Custom Basket of Securities: | |||||||||||||||
Citibank NA | 13,356 | CHF | One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | $ | 242,083 | ||||||||
Citibank NA | 29,959 | EUR | One-Month EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 671,389 | |||||||||
Citibank NA | 22,871 | GBP | One-Month GBP BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (513,216 | ) | ||||||||
Citibank NA | 52,030 | SEK | One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 318,096 |
39 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Total Return Swap Contracts: Continued
Notional | |||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | |||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||
Custom Basket of Securities: Continued | |||||||||||||||
Citibank NA, New York | 6,371,374 | JPY | One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/14/11 | $ | (6,803,246 | ) | |||||||
Morgan Stanley | 47,630 | GBP | One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/16/12 | (2,001,462 | ) | ||||||||
Reference Entity Total | (8,086,356 | ) | |||||||||||||
Custom Basket of Securities replicating STATOIL ASA ordinary shares | |||||||||||||||
Citibank NA | 11,485 | NOK | One-Month NOK NIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities replicating STATOIL ASA ordinary shares | If positive, the Total Return of a custom basket of securities replicating STATOIL ASA ordinary shares | 1/12/12 | 76,604 | |||||||||
MSCI Daily Gross TR Europe EURO Index: | |||||||||||||||
Citibank NA | 4,214 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/6/12 | 92,995 | |||||||||
Goldman Sachs Group, Inc. (The) | 69,976 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/12/12 | 1,740,222 |
40 | OPPENHEIMER INTERNATIONAL BOND FUND
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||
MSCI Daily Gross TR Europe EURO Index: Continued | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,137 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/12/12 | $ | 28,017 | |||||||||
Reference Entity Total | 1,861,234 | |||||||||||||||
MSCI Daily TR Gross EAFE USD Index: | ||||||||||||||||
Citibank NA | 7,648 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 192,848 | |||||||||||
Citibank NA | 12,796 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 299,584 | |||||||||||
Goldman Sachs Group, Inc. (The) | 788 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | 13,663 | |||||||||||
Goldman Sachs Group, Inc. (The) | 7,112 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 5/11/11 | 137,886 |
41 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||
MSCI Daily TR Gross EAFE USD Index: Continued | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 6,028 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | $ | 114,575 | |||||||||||
Goldman Sachs Group, Inc. (The) | 58 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 11/5/11 | 14,861 | |||||||||||||
Morgan Stanley | 11,882 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 193,690 | |||||||||||||
UBS AG | 18,866 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 463,433 | |||||||||||||
Reference Entity Total | 1,430,540 | |||||||||||||||||
MSCI Daily TR Net Belgium USD Index | ||||||||||||||||||
Nomura International | 13,139 | One-Month USD BBA LIBOR minus 37 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Belguim USD Index | If positive, the Total Return of the MSCI Daily Net Belgium USD Index | 3/6/12 | 121,826 |
42 | OPPENHEIMER INTERNATIONAL BOND FUND
Total Return Swap Contracts: Continued
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net France USD Index | ||||||||||||||
Citibank NA | $ | 12,021 | One-Month USD BBA LIBOR minus 57 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 1/9/12 | $ | (9,017 | ) | ||||||
MSCI Daily TR Net Italy USD Index | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 13,264 | One-Month USD BBA LIBOR minus 25 basis points and if negative, the absolute value of the MSCI Daily Net Italy USD Index | If positive, the absolute value of the Total Return of the MSCI Daily Net Italy USD Index | 3/6/12 | 60,560 | |||||||||
MSCI Daily TR Net Netherlands USD Index | ||||||||||||||
Deutsche Bank AG | 13,009 | One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the MSCI Daily Net Netherlands USD Index | If positive, the Total Return of the MSCI Daily Net Netherlands USD Index | 3/6/12 | 253,644 | |||||||||
MSCI Daily TR Net Spain USD Index | ||||||||||||||
Nomura International | 12,926 | One-Month USD BBA LIBOR minus 33 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the Total Return of the MSCI Daily Net Spain USD Index | 3/6/12 | 457,492 | |||||||||
Total of Total Return Swaps | $ | (3,833,473 | ) | |||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: | ||
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
SEK | Swedish Krona | |
Abbreviations are as follows: | ||
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
EAFE | Europe, Australasia, Far East | |
EURIBOR | Euro Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
NIBOR | Norwegian Interbank Offered Rate |
43 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
Swap Summary as of March 31, 2011 is as follows:
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Banco Santander SA, Inc. | Interest Rate | 96,790 | BRR | $ | 611,574 | |||||
Bank of America Merrill Lynch | Interest Rate | 4,387,000 | MXN | (617,469 | ) | |||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 10,665 | 49,720 | ||||||||
Credit Default Sell Protection | 68,255 | (2,414,580 | ) | |||||||
Interest Rate | 1,806,900 | CZK | 549,593 | |||||||
Interest Rate | 70,270 | EUR | (248,906 | ) | ||||||
Interest Rate | 85,995 | GBP | (1,624,563 | ) | ||||||
Interest Rate | 829,100 | MXN | (69,766 | ) | ||||||
Interest Rate | 133,000 | (1,584,059 | ) | |||||||
Interest Rate | 1,218,060 | ZAR | (364,320 | ) | ||||||
(5,706,881 | ) | |||||||||
Citibank NA: | ||||||||||
Interest Rate | 829,200 | MXN | (71,568 | ) | ||||||
Total Return | 13,356 | CHF | 242,083 | |||||||
Total Return | 34,173 | EUR | 764,384 | |||||||
Total Return | 22,871 | GBP | (513,216 | ) | ||||||
Total Return | 11,485 | NOK | 76,604 | |||||||
Total Return | 52,030 | SEK | 318,096 | |||||||
Total Return | 32,465 | 483,415 | ||||||||
1,299,798 | ||||||||||
Citibank NA, New York | Total Return | 6,371,374 | JPY | (6,803,246 | ) | |||||
Credit Suisse International | Credit Default Sell Protection | 16,750 | (115,473 | ) | ||||||
Deutsche Bank AG: | ||||||||||
Interest Rate | 1,731,500 | MXN | (159,957 | ) | ||||||
Total Return | 13,009 | 253,644 | ||||||||
93,687 | ||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 245,770 | BRR | (552,971 | ) | ||||||
Interest Rate | 2,141,500 | MXN | (212,231 | ) | ||||||
Interest Rate | 1,383,820 | ZAR | 12,069 | |||||||
Total Return | 71,113 | EUR | 1,768,239 | |||||||
Total Return | 27,250 | 341,545 | ||||||||
1,356,651 | ||||||||||
Goldman Sachs International | Credit Default Sell Protection | 18,270 | (73,504 | ) | ||||||
HSBC Bank USA: | ||||||||||
Credit Default Buy Protection | 21,340 | 99,487 | ||||||||
Credit Default Sell Protection | 30,030 | (1,189,394 | ) | |||||||
(1,089,907 | ) |
44 | OPPENHEIMER INTERNATIONAL BOND FUND
Swap Summary: Continued
Notional | |||||||||||
Swap Type from | Amount | ||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | ||||||||
JPMorgan Chase Bank NA: | |||||||||||
Interest Rate | 56,300 | BRR | $ | 2,881,571 | |||||||
Interest Rate | 11,025,000 | JPY | 501,944 | ||||||||
Interest Rate | 3,879,960 | ZAR | 32,809 | ||||||||
3,416,324 | |||||||||||
JPMorgan Chase Bank NA, NY Branch: | |||||||||||
Credit Default Buy Protection | 10,665 | 51,960 | |||||||||
Credit Default Sell Protection | 12,045 | (907,203 | ) | ||||||||
(855,243 | ) | ||||||||||
Merrill Lynch Capital Services, Inc. | Credit Default Sell Protection | 30,030 | (1,189,394 | ) | |||||||
Morgan Stanley: | |||||||||||
Interest Rate | 242,460 | BRR | 1,526,207 | ||||||||
Interest Rate | 1,713,400 | CZK | 764,016 | ||||||||
Interest Rate | 68,260 | EUR | (527,311 | ) | |||||||
Total Return | 47,630 | GBP | (2,001,462 | ) | |||||||
Total Return | 11,882 | 193,690 | |||||||||
(44,860 | ) | ||||||||||
Morgan Stanley Capital Services, Inc. | Credit Default Sell Protection | 10,410 | (613,913 | ) | |||||||
Nomura International | Total Return | 26,065 | 579,318 | ||||||||
UBS AG: | |||||||||||
Credit Default Sell Protection | 15,010 | (1,130,521 | ) | ||||||||
Total Return | 18,866 | 463,433 | |||||||||
(667,088 | ) | ||||||||||
Westpac Banking Corp | Interest Rate | 130,595 | AUD | (1,299,104 | ) | ||||||
Total Swaps | $ | (11,718,730 | ) | ||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CHF | Swiss Franc | |
CZK | Czech Koruna | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NOK | Norwegian Krone | |
SEK | Swedish Krona | |
ZAR | South African Rand |
See accompanying Notes to Financial Statements.
45 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
March 31, 2011
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $11,821,753,289) | $ | 12,357,279,276 | ||
Affiliated companies (cost $640,728,171) | 640,728,171 | |||
12,998,007,447 | ||||
Cash—foreign currencies (cost $4,946,884) | 4,934,578 | |||
Unrealized appreciation on foreign currency exchange contracts | 115,371,224 | |||
Appreciated swaps, at value (upfront payments $0) | 13,645,713 | |||
Depreciated swaps, at value (upfront payments paid $293,549) | 201,167 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 195,949,786 | |||
Shares of beneficial interest sold | 28,132,224 | |||
Investments sold (including $3,022,732 sold on a when-issued or delayed delivery basis) | 22,657,425 | |||
Closed foreign currency contracts | 21,458,666 | |||
Futures margins | 525,118 | |||
Other | 297,924 | |||
Total assets | 13,401,181,272 | |||
Liabilities | ||||
Appreciated options written, at value (premiums received $117,972) | 94,313 | |||
Unrealized depreciation on foreign currency exchange contracts | 38,016,231 | |||
Appreciated swaps, at value (upfront payments received $7,966,859) | 6,645,219 | |||
Depreciated swaps, at value (upfront payments received $270,426) | 18,920,391 | |||
Payables and other liabilities: | ||||
Investments purchased (including $22,031,303 purchased on a when-issued or delayed delivery basis) | 125,413,027 | |||
Shares of beneficial interest redeemed | 31,695,014 | |||
Closed foreign currency contracts | 31,113,636 | |||
Dividends | 7,446,079 | |||
Distribution and service plan fees | 5,620,259 | |||
Transfer and shareholder servicing agent fees | 1,807,137 | |||
Shareholder communications | 854,609 | |||
Futures margins | 757,480 | |||
Foreign capital gains tax | 592,622 | |||
Trustees’ compensation | 123,127 | |||
Other | 1,851,766 | |||
Total liabilities | 270,950,910 | |||
Net Assets | $ | 13,130,230,362 | ||
46 | OPPENHEIMER INTERNATIONAL BOND FUND
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 2,006,634 | ||
Additional paid-in capital | 12,628,368,605 | |||
Accumulated net investment loss | (131,331,568 | ) | ||
Accumulated net realized gain on investments and foreign currency transactions | 13,925,021 | |||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 617,261,670 | |||
Net Assets | $ | 13,130,230,362 | ||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $6,960,678,773 and 1,062,977,888 shares of beneficial interest outstanding) | $ | 6.55 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $ | 6.88 | ||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $253,306,549 and 38,827,002 shares of beneficial interest outstanding) | $ | 6.52 | ||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,843,324,709 and 282,513,746 shares of beneficial interest outstanding) | $ | 6.52 | ||
Class N Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $322,763,413 and 49,430,659 shares of beneficial interest outstanding) | $ | 6.53 | ||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $3,750,156,918 and 572,884,256 shares of beneficial interest outstanding) | $ | 6.55 |
See accompanying Notes to Financial Statements.
47 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended March 31, 2011
Investment Income | ||||
Interest | $ | 319,390,578 | ||
Dividends: | ||||
Unaffiliated companies | 951 | |||
Affiliated companies | 241,559 | |||
Total investment income | 319,633,088 | |||
Expenses | ||||
Management fees | 33,117,351 | |||
Distribution and service plan fees: | ||||
Class A | 8,912,283 | |||
Class B | 1,340,548 | |||
Class C | 9,667,004 | |||
Class N | 786,824 | |||
Transfer and shareholder servicing agent fees: | ||||
Class A | 6,797,110 | |||
Class B | 389,823 | |||
Class C | 1,393,998 | |||
Class N | 521,796 | |||
Class Y | 4,089,942 | |||
Shareholder communications: | ||||
Class A | 379,049 | |||
Class B | 31,124 | |||
Class C | 93,982 | |||
Class N | 9,926 | |||
Class Y | 183,985 | |||
Custodian fees and expenses | 1,412,758 | |||
Trustees’ compensation | 122,978 | |||
Administration service fees | 750 | |||
Other | 203,818 | |||
Total expenses | 69,455,049 | |||
Less waivers and reimbursements of expenses | (906,645 | ) | ||
Net expenses | 68,548,404 | |||
Net Investment Income | 251,084,684 |
48 | OPPENHEIMER INTERNATIONAL BOND FUND
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | 31,094,991 | ||
Closing and expiration of option contracts written | 12,997,164 | |||
Closing and expiration of futures contracts | (60,825,463 | ) | ||
Foreign currency transactions | 92,771,254 | |||
Swap contracts | 8,232,695 | |||
Net realized gain | 84,270,641 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (565,319,780 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 135,157,746 | |||
Futures contracts | 5,780,073 | |||
Option contracts written | (8,419,511 | ) | ||
Swap contracts | (32,202,322 | ) | ||
Unfunded purchase agreements | (61,345 | ) | ||
Net change in unrealized appreciation/depreciation | (465,065,139 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (129,709,814 | ) | |
See accompanying Notes to Financial Statements.
49 | OPPENHEIMER INTERNATIONAL BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
March 31, 2011 | September 30, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 251,084,684 | $ | 500,647,351 | ||||
Net realized gain | 84,270,641 | 98,041,754 | ||||||
Net change in unrealized appreciation/depreciation | (465,065,139 | ) | 482,610,389 | |||||
Net increase (decrease) in net assets resulting from operations | (129,709,814 | ) | 1,081,299,494 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (145,596,148 | ) | (296,432,756 | ) | ||||
Class B | (4,298,565 | ) | (8,864,193 | ) | ||||
Class C | (32,583,772 | ) | (65,570,834 | ) | ||||
Class N | (5,806,128 | ) | (10,206,685 | ) | ||||
Class Y | (76,375,142 | ) | (119,575,884 | ) | ||||
(264,659,755 | ) | (500,650,352 | ) | |||||
Distributions from net realized gain: | ||||||||
Class A | (67,640,779 | ) | (55,884,772 | ) | ||||
Class B | (2,573,242 | ) | (2,086,033 | ) | ||||
Class C | (18,386,099 | ) | (14,369,469 | ) | ||||
Class N | (2,982,182 | ) | (1,990,184 | ) | ||||
Class Y | (33,433,111 | ) | (15,689,901 | ) | ||||
(125,015,413 | ) | (90,020,359 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (160,493,409 | ) | (110,452,426 | ) | ||||
Class B | (21,904,765 | ) | (8,501,080 | ) | ||||
Class C | (108,654,316 | ) | 146,052,684 | |||||
Class N | 24,643,994 | 41,033,889 | ||||||
Class Y | 495,183,108 | 1,347,593,402 | ||||||
228,774,612 | 1,415,726,469 | |||||||
Net Assets | ||||||||
Total increase (decrease) | (290,610,370 | ) | 1,906,355,252 | |||||
Beginning of period | 13,420,840,732 | 11,514,485,480 | ||||||
End of period (including accumulated net investment loss of $131,331,568 and $117,756,497, respectively) | $ | 13,130,230,362 | $ | 13,420,840,732 | ||||
See accompanying Notes to Financial Statements.
50 | OPPENHEIMER INTERNATIONAL BOND FUND
FINANCIAL HIGHLIGHTS
Six Months | |||||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | ||||||||||||||||||||||||||
Class A | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||
Per Share Operating Data | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | $ | 6.01 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||
Net investment income1 | .13 | .26 | .22 | .26 | .24 | .22 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (.19 | ) | .31 | .74 | (.23 | ) | .62 | (.04 | ) | ||||||||||||||||||
Total from investment operations | (.06 | ) | .57 | .96 | .03 | .86 | .18 | ||||||||||||||||||||
Dividends and/or distributions to shareholders: | |||||||||||||||||||||||||||
Dividends from net investment income | (.13 | ) | (.26 | ) | (.33 | ) | (.45 | ) | (.24 | ) | (.37 | ) | |||||||||||||||
Distributions from net realized gain | (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | (.02 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.19 | ) | (.31 | ) | (.38 | ) | (.48 | ) | (.25 | ) | (.39 | ) | |||||||||||||||
Net asset value, end of period | $ | 6.55 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | |||||||||||||||
Total Return, at Net Asset Value2 | (0.75 | )% | 9.04 | % | 16.83 | % | (0.01 | )% | 15.18 | % | 3.23 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,960,679 | $ | 7,406,875 | $ | 7,268,308 | $ | 8,241,801 | $ | 6,300,320 | $ | 4,075,172 | |||||||||||||||
Average net assets (in thousands) | $ | 7,170,434 | $ | 7,345,330 | $ | 6,632,191 | $ | 8,331,255 | $ | 4,988,412 | $ | 3,430,374 | |||||||||||||||
Ratios to average net assets:3 | |||||||||||||||||||||||||||
Net investment income | 3.87 | % | 4.04 | % | 3.77 | % | 4.02 | % | 3.97 | % | 3.72 | % | |||||||||||||||
Total expenses | 0.98 | %4 | 0.98 | %4 | 0.99 | %4 | 0.92 | %4 | 0.94 | %4 | 0.98 | % | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.98 | % | 0.98 | % | 0.98 | % | 0.91 | % | 0.93 | % | 0.97 | % | |||||||||||||||
Portfolio turnover rate | 24 | % | 146 | % | 112 | % | 105 | % | 68 | % | 144 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 31, 2011 | 0.98 | % | ||
Year Ended September 30, 2010 | 0.98 | % | ||
Year Ended September 30, 2009 | 1.00 | % | ||
Year Ended September 30, 2008 | 0.93 | % | ||
Year Ended September 30, 2007 | 0.95 | % |
See accompanying Notes to Financial Statements.
51 | OPPENHEIMER INTERNATIONAL BOND FUND
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class B | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | $ | 5.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .10 | .20 | .17 | .21 | .19 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.19 | ) | .31 | .74 | (.24 | ) | .62 | (.04 | ) | |||||||||||||||
Total from investment operations | (.09 | ) | .51 | .91 | (.03 | ) | .81 | .13 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.20 | ) | (.28 | ) | (.39 | ) | (.19 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain | (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | (.02 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.17 | ) | (.25 | ) | (.33 | ) | (.42 | ) | (.20 | ) | (.34 | ) | ||||||||||||
Net asset value, end of period | $ | 6.52 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | ||||||||||||
Total Return, at Net Asset Value2 | (1.34 | )% | 8.13 | % | 15.87 | % | (0.84 | )% | 14.26 | % | 2.35 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 253,306 | $ | 286,029 | $ | 284,424 | $ | 314,676 | $ | 259,285 | $ | 234,848 | ||||||||||||
Average net assets (in thousands) | $ | 268,669 | $ | 279,115 | $ | 269,970 | $ | 311,097 | $ | 240,238 | $ | 229,871 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.00 | % | 3.18 | % | 2.89 | % | 3.19 | % | 3.12 | % | 2.88 | % | ||||||||||||
Total expenses | 1.84 | %4 | 1.85 | %4 | 1.86 | %4 | 1.74 | %4 | 1.79 | %4 | 1.83 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.84 | % | 1.85 | % | 1.85 | % | 1.73 | % | 1.78 | % | 1.83 | % | ||||||||||||
Portfolio turnover rate | 24 | % | 146 | % | 112 | % | 105 | % | 68 | % | 144 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 31, 2011 | 1.84 | % | ||
Year Ended September 30, 2010 | 1.85 | % | ||
Year Ended September 30, 2009 | 1.87 | % | ||
Year Ended September 30, 2008 | 1.75 | % | ||
Year Ended September 30, 2007 | 1.80 | % |
See accompanying Notes to Financial Statements.
52 | OPPENHEIMER INTERNATIONAL BOND FUND
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class C | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | $ | 5.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .10 | .21 | .18 | .21 | .20 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.19 | ) | .31 | .74 | (.23 | ) | .62 | (.03 | ) | |||||||||||||||
Total from investment operations | (.09 | ) | .52 | .92 | (.02 | ) | .82 | .14 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.21 | ) | (.29 | ) | (.40 | ) | (.20 | ) | (.33 | ) | ||||||||||||
Distributions from net realized gain | (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | (.02 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.17 | ) | (.26 | ) | (.34 | ) | (.43 | ) | (.21 | ) | (.35 | ) | ||||||||||||
Net asset value, end of period | $ | 6.52 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | ||||||||||||
Total Return, at Net Asset Value2 | (1.26 | )% | 8.29 | % | 16.04 | % | (0.74 | )% | 14.39 | % | 2.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,843,325 | $ | 2,029,424 | $ | 1,812,805 | $ | 1,835,312 | $ | 1,357,937 | $ | 875,032 | ||||||||||||
Average net assets (in thousands) | $ | 1,937,701 | $ | 1,965,153 | $ | 1,594,278 | $ | 1,833,929 | $ | 1,078,601 | $ | 717,977 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.17 | % | 3.34 | % | 3.05 | % | 3.29 | % | 3.24 | % | 2.98 | % | ||||||||||||
Total expenses | 1.68 | %4 | 1.69 | %4 | 1.71 | %4 | 1.64 | %4 | 1.67 | %4 | 1.71 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.68 | % | 1.69 | % | 1.70 | % | 1.63 | % | 1.66 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 24 | % | 146 | % | 112 | % | 105 | % | 68 | % | 144 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 31, 2011 | 1.68 | % | ||
Year Ended September 30, 2010 | 1.69 | % | ||
Year Ended September 30, 2009 | 1.72 | % | ||
Year Ended September 30, 2008 | 1.65 | % | ||
Year Ended September 30, 2007 | 1.68 | % |
See accompanying Notes to Financial Statements.
53 | OPPENHEIMER INTERNATIONAL BOND FUND
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class N | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.79 | $ | 6.52 | $ | 5.95 | $ | 6.40 | $ | 5.79 | $ | 6.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .11 | .23 | .20 | .23 | .22 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.19 | ) | .32 | .72 | (.23 | ) | .61 | (.04 | ) | |||||||||||||||
Total from investment operations | (.08 | ) | .55 | .92 | — | .83 | .15 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.23 | ) | (.30 | ) | (.42 | ) | (.21 | ) | (.34 | ) | ||||||||||||
Distributions from net realized gain | (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | (.02 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.18 | ) | (.28 | ) | (.35 | ) | (.45 | ) | (.22 | ) | (.36 | ) | ||||||||||||
Net asset value, end of period | $ | 6.53 | $ | 6.79 | $ | 6.52 | $ | 5.95 | $ | 6.40 | $ | 5.79 | ||||||||||||
Total Return, at Net Asset Value2 | (1.10 | )% | 8.80 | % | 16.23 | % | (0.44 | )% | 14.71 | % | 2.78 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 322,763 | $ | 310,338 | $ | 258,219 | $ | 258,223 | $ | 153,181 | $ | 63,432 | ||||||||||||
Average net assets (in thousands) | $ | 315,666 | $ | 279,336 | $ | 233,767 | $ | 223,531 | $ | 112,319 | $ | 55,216 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.48 | % | 3.65 | % | 3.37 | % | 3.59 | % | 3.56 | % | 3.29 | % | ||||||||||||
Total expenses | 1.37 | %4 | 1.65 | %4 | 1.68 | %4 | 1.49 | %4 | 1.61 | %4 | 1.58 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.36 | % | 1.38 | % | 1.38 | % | 1.34 | % | 1.37 | % | 1.42 | % | ||||||||||||
Portfolio turnover rate | 24 | % | 146 | % | 112 | % | 105 | % | 68 | % | 144 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 31, 2011 | 1.37 | % | ||
Year Ended September 30, 2010 | 1.65 | % | ||
Year Ended September 30, 2009 | 1.69 | % | ||
Year Ended September 30, 2008 | 1.50 | % | ||
Year Ended September 30, 2007 | 1.62 | % |
See accompanying Notes to Financial Statements.
54 | OPPENHEIMER INTERNATIONAL BOND FUND
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class Y | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | $ | 6.01 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .14 | .28 | .25 | .28 | .27 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.19 | ) | .31 | .73 | (.23 | ) | .62 | (.04 | ) | |||||||||||||||
Total from investment operations | (.05 | ) | .59 | .98 | .05 | .89 | .20 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.28 | ) | (.35 | ) | (.47 | ) | (.27 | ) | (.39 | ) | ||||||||||||
Distributions from net realized gain | (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | (.02 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.20 | ) | (.33 | ) | (.40 | ) | (.50 | ) | (.28 | ) | (.41 | ) | ||||||||||||
Net asset value, end of period | $ | 6.55 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | ||||||||||||
Total Return, at Net Asset Value2 | (0.63 | )% | 9.38 | % | 17.26 | % | 0.38 | % | 15.63 | % | 3.64 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,750,157 | $ | 3,388,175 | $ | 1,890,729 | $ | 1,372,959 | $ | 454,240 | $ | 176,728 | ||||||||||||
Average net assets (in thousands) | $ | 3,551,112 | $ | 2,732,256 | $ | 1,317,017 | $ | 932,774 | $ | 299,298 | $ | 97,992 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 4.11 | % | 4.38 | % | 4.16 | % | 4.39 | % | 4.38 | % | 4.11 | % | ||||||||||||
Total expenses | 0.77 | %4 | 0.67 | %4 | 0.62 | %4 | 0.55 | %4 | 0.55 | %4 | 0.56 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.72 | % | 0.67 | % | 0.61 | % | 0.54 | % | 0.54 | % | 0.56 | % | ||||||||||||
Portfolio turnover rate | 24 | % | 146 | % | 112 | % | 105 | % | 68 | % | 144 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 31, 2011 | 0.77 | % | ||
Year Ended September 30, 2010 | 0.67 | % | ||
Year Ended September 30, 2009 | 0.63 | % | ||
Year Ended September 30, 2008 | 0.56 | % | ||
Year Ended September 30, 2007 | 0.56 | % |
See accompanying Notes to Financial Statements.
55 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer International Bond Fund (the “Fund”) is a registered investment company organized as a Massachusetts Business Trust. The Fund is registered as a non-diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund’s primary objective is to seek total return. As a secondary objective, the Fund seeks income when consistent with total return. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are 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 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 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 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.
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.
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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” observable market inputs other than unadjusted quoted prices are classified as “Level 2” and significant unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability, are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by portfolio pricing services approved by the Board of Trustees or dealers.
Securities traded on a registered U.S. securities exchange 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. Securities whose principal exchange is NASDAQ® are
56 | OPPENHEIMER INTERNATIONAL BOND FUND
valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
Structured securities are valued utilizing price quotations obtained from broker-dealers or independent pricing services. Values are determined based upon market inputs which typically include the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.
Swap contracts are valued utilizing price quotations obtained from broker-dealer counterparties or independent pricing services. Values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from independent pricing services.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value.
In the absence of a current price quotation obtained from an independent pricing service or broker-dealer, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related
57 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
to 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.
There have been no significant changes to the fair valuation methodologies of the Fund during the period.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.
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 also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of March 31, 2011, 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 | $ | 22,031,303 | ||
Sold securities | 3,022,732 |
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
58 | OPPENHEIMER INTERNATIONAL BOND FUND
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 March 31, 2011 is as follows:
Cost | $ | 62,146,860 | ||
Market Value | $ | 9,780,700 | ||
Market Value as a % of Net Assets | 0.07 | % |
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
59 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended September 30, 2010, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of September 30, 2010, the Fund had available for federal income tax purposes post-October foreign currency losses of $34,113,747, post-October passive foreign investment company losses of $2,719 and straddle losses of $5,126,404.
As of March 31, 2011, the Fund had available for federal income tax purposes an estimated capital loss carryforward of zero. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended March 31, 2011, it is estimated that the Fund will utilize $39,242,870 of capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2011 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 | $ | 12,464,439,950 | ||
Federal tax cost of other investments | (374,204,440 | ) | ||
Total federal tax cost | $ | 12,090,235,510 | ||
Gross unrealized appreciation | $ | 750,186,733 | ||
Gross unrealized depreciation | (216,697,582 | ) | ||
Net unrealized appreciation | $ | 533,489,151 | ||
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.
60 | OPPENHEIMER INTERNATIONAL BOND FUND
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may
61 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold | 148,865,898 | $ | 986,897,668 | 413,552,195 | $ | 2,683,284,275 | ||||||||||
Dividends and/or distributions reinvested | 27,843,384 | 182,522,746 | 44,899,820 | 288,851,058 | ||||||||||||
Redeemed | (202,310,747 | ) | (1,329,913,823 | ) | (481,006,084 | ) | (3,082,587,759 | ) | ||||||||
Net decrease | (25,601,465 | ) | $ | (160,493,409 | ) | (22,554,069 | ) | $ | (110,452,426 | ) | ||||||
Class B | ||||||||||||||||
Sold | 3,557,248 | $ | 23,584,510 | 12,119,738 | $ | 78,314,631 | ||||||||||
Dividends and/or distributions reinvested | 830,085 | 5,418,677 | 1,328,034 | 8,511,119 | ||||||||||||
Redeemed | (7,751,541 | ) | (50,907,952 | ) | (14,895,865 | ) | (95,326,830 | ) | ||||||||
Net decrease | (3,364,208 | ) | $ | (21,904,765 | ) | (1,448,093 | ) | $ | (8,501,080 | ) | ||||||
Class C | ||||||||||||||||
Sold | 23,002,968 | $ | 152,360,633 | 92,547,734 | $ | 599,983,342 | ||||||||||
Dividends and/or distributions reinvested | 5,481,883 | 35,788,128 | 8,559,194 | 54,852,181 | ||||||||||||
Redeemed | (45,290,905 | ) | (296,803,077 | ) | (79,888,240 | ) | (508,782,839 | ) | ||||||||
Net increase (decrease) | (16,806,054 | ) | $ | (108,654,316 | ) | 21,218,688 | $ | 146,052,684 | ||||||||
Class N | ||||||||||||||||
Sold | 10,215,588 | $ | 67,486,718 | 22,530,911 | $ | 145,064,683 | ||||||||||
Dividends and/or distributions reinvested | 1,237,706 | 8,088,234 | 1,750,642 | 11,237,134 | ||||||||||||
Redeemed | (7,760,997 | ) | (50,930,958 | ) | (18,125,733 | ) | (115,267,928 | ) | ||||||||
Net increase | 3,692,297 | $ | 24,643,994 | 6,155,820 | $ | 41,033,889 | ||||||||||
62 | OPPENHEIMER INTERNATIONAL BOND FUND
Six Months Ended March 31, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y | ||||||||||||||||
Sold | 138,414,769 | $ | 913,851,511 | 353,980,672 | $ | 2,279,546,391 | ||||||||||
Dividends and/or distributions reinvested | 13,264,659 | 86,881,145 | 17,207,750 | 110,715,751 | ||||||||||||
Redeemed | (76,900,353 | ) | (505,549,548 | ) | (162,208,516 | ) | (1,042,668,740 | ) | ||||||||
Net increase | 74,779,075 | $ | 495,183,108 | 208,979,906 | $ | 1,347,593,402 | ||||||||||
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended March 31, 2011, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 2,672,251,902 | $ | 3,011,384,195 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Next $4 billion | 0.50 | |||
Next $10 billion | 0.48 | |||
Over $15 billion | 0.45 |
Administration Service Fees. The Fund pays the Manager a fee of $1,500 per year for preparing and filing the Fund’s tax returns.
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the six months ended March 31, 2011, the Fund paid $12,448,125 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 annually for assets of $10 million or more. The Class Y shares are subject to the minimum fees in the event that the per account fee does not equal or exceed the applicable minimum fees. OFS may voluntarily waive the minimum fees.
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.
63 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Fees and Other Transactions with Affiliates Continued
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations. The Distributor determines its uncompensated expenses under the Plans at calendar quarter ends. The Distributor’s aggregate uncompensated expenses under the Plans at March 31, 2011 were as follows:
Class B | $ | 7,276,692 | ||
Class C | 33,278,356 | |||
Class N | 5,519,146 |
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.
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Six Months | Retained by | Retained by | Retained by | Retained by | Retained by | |||||||||||||||
Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
March 31, 2011 | $ | 535,226 | $ | 140,868 | $ | 289,369 | $ | 111,852 | $ | 5,429 |
64 | OPPENHEIMER INTERNATIONAL BOND FUND
Waivers and Reimbursements of Expenses. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended March 31, 2011, the Manager waived fees and/or reimbursed the Fund $113,682 for IMMF management fees.
OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
During the six months ended March 31, 2011, OFS waived transfer and shareholder servicing agent fees as follows:
Class N | 14,458 | |||
Class Y | 778,505 |
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.
5. 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 foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors.
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.
65 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
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. 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.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to
66 | OPPENHEIMER INTERNATIONAL BOND FUND
market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of March 31, 2011, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $150,324,884, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $73,280,628 as of March 31, 2011. 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 International Swap and Derivatives Association, Inc. 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 March 31, 2011 the Fund has required certain counterparties to post collateral of $18,535,410.
Credit Related Contingent Features. The Fund’s agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
As of March 31, 2011, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $19,736,869 for which the Fund has posted collateral of $3,879,620. If a contingent feature would have been triggered as of March 31, 2011, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities; securities posted as collateral, if any, are reported on the Statement of Investments.
67 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
Valuations of derivative instruments as of March 31, 2011 are as follows:
Asset Derivatives | Liability Derivatives | |||||||||||||||
Statement of | Statement of | |||||||||||||||
Derivatives | Assets and | Assets and | ||||||||||||||
Not Accounted for as | Liabilities | Liabilities | ||||||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||||||
Credit contracts | Appreciated swaps, at value | $ | 6,645,219 | |||||||||||||
Credit contracts | Depreciated swaps, at value | $ | 201,167 | Depreciated swaps, at value | 988,763 | |||||||||||
Equity contracts | Appreciated swaps, at value | 5,493,468 | ||||||||||||||
Equity contracts | Depreciated swaps, at value | 9,326,941 | ||||||||||||||
Interest rate contracts | Appreciated swaps, at value | 8,152,245 | ||||||||||||||
Interest rate contracts | Depreciated swaps, at value | 8,604,687 | ||||||||||||||
Equity contracts | Futures margins | 166,196 | * | Futures margins | 323,395 | * | ||||||||||
Interest rate contracts | Futures margins | 358,922 | * | Futures margins | 434,085 | * | ||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 115,371,224 | Unrealized depreciation on foreign currency exchange contracts | 38,016,231 | ||||||||||||
Foreign exchange contracts | Appreciated options written, at value | 94,313 | ||||||||||||||
Foreign exchange contracts | Investments, at value | 65,320 | ** | |||||||||||||
Total | $ | 129,808,542 | $ | 64,433,634 | ||||||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||
from | ||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||
companies | Closing and | |||||||||||||||||||||||
Derivatives Not | (including | expiration | Closing and | |||||||||||||||||||||
Accounted | premiums on | of option | expiration of | Foreign | ||||||||||||||||||||
for as Hedging | options | contracts | futures | currency | Swap | |||||||||||||||||||
Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (70,892 | ) | $ | (70,892 | ) | ||||||||||
Equity contracts | — | — | (15,414,175 | ) | — | 3,999,597 | (11,414,578 | ) | ||||||||||||||||
Foreign exchange contracts | (15,011,129 | ) | 12,997,164 | — | 10,760,223 | — | 8,746,258 | |||||||||||||||||
Interest rate contracts | (28,732,994 | ) | — | (45,411,288 | ) | — | 4,303,990 | (69,840,292 | ) | |||||||||||||||
Total | $ | (43,744,123 | ) | $ | 12,997,164 | $ | (60,825,463 | ) | $ | 10,760,223 | $ | 8,232,695 | $ | (72,579,504 | ) | |||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
68 | OPPENHEIMER INTERNATIONAL BOND FUND
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||
Derivatives Not | liabilities | |||||||||||||||||||||||
Accounted | Option | denominated | ||||||||||||||||||||||
for as Hedging | contracts | Futures | in foreign | Swap | ||||||||||||||||||||
Instruments | Investments* | written | contracts | currencies | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,809,194 | $ | 1,809,194 | ||||||||||||
Equity contracts | — | — | 4,981,884 | — | (11,189,861 | ) | (6,207,977 | ) | ||||||||||||||||
Foreign exchange contracts | (15,077,919 | ) | (8,419,511 | ) | — | 23,566,467 | — | 69,037 | ||||||||||||||||
Interest rate contracts | — | — | 798,189 | — | (22,821,655 | ) | (22,023,466 | ) | ||||||||||||||||
Total | $ | (15,077,919 | ) | $ | (8,419,511 | ) | $ | 5,780,073 | $ | 23,566,467 | $ | (32,202,322 | ) | $ | (26,353,212 | ) | ||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Foreign Currency Exchange Contracts
The Fund may enter into foreign currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
The Fund has entered into forward foreign currency exchange 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 foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange 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 foreign currency exchange 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.
69 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange 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 six months ended March 31, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $5,240,143,968 and $3,129,067,688, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
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.
70 | OPPENHEIMER INTERNATIONAL BOND FUND
During the six months ended March 31, 2011, the Fund had an ending monthly average market value of $683,383,803 and $707,043,196 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 at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
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 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 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.
During the six months ended March 31, 2011, the Fund had an average market value of $19,672,739 and $64,840 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
71 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
During the six months ended March 31, 2011, the Fund had an ending monthly average market value of $221,203 and $113,296 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
Written option activity for the six months ended March 31, 2011 was as follows:
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of September 30, 2010 | 35,181,000,000 | $ | 9,173,441 | — | $ | — | ||||||||||
Options written | 7,922,740,000 | 3,883,721 | 7,922,740,000 | 3,897,692 | ||||||||||||
Options closed or expired | (40,578,555,000 | ) | (11,281,731 | ) | (1,763,185,000 | ) | (1,715,433 | ) | ||||||||
Options exercised | (1,763,185,000 | ) | (1,716,445 | ) | (5,397,555,000 | ) | (2,123,273 | ) | ||||||||
Options outstanding as of March 31, 2011 | 762,000,000 | $ | 58,986 | 762,000,000 | $ | 58,986 | ||||||||||
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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 at termination or settlement.
72 | OPPENHEIMER INTERNATIONAL BOND FUND
The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and/or, indexes that are either unavailable or considered to be less attractive in the bond market.
73 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes.
For the six months ended March 31, 2011, the Fund had ending monthly average notional amounts of $10,132,857 and $53,185,714 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 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 six months ended March 31, 2011, the Fund, had ending monthly average notional amounts of $487,877,050 and $1,417,009,943 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 asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
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, or an amount equal to the negative price movement of securities or an index 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 multiplied by the notional amount of the contract.
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
74 | OPPENHEIMER INTERNATIONAL BOND FUND
multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same securities or index multiplied by the notional amount of the contract.
For the six months ended March 31, 2011, the Fund had ending monthly average notional amounts of $329,467,472 and $166,381,009 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.
6. Restricted Securities
As of March 31, 2011, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
7. Pending Litigation
Since 2009, a number of lawsuits have been pending in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The lawsuits raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”). Those suits allege 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 an award of attorneys’ fees and
75 | OPPENHEIMER INTERNATIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
7. Pending Litigation Continued
litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors as defendants. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff. On February 28, 2011, a Stipulation of Partial Settlement of certain of those lawsuits was filed in the U.S. District Court for the Southern District of New York. That proposed settlement is subject to final approval of the Court and the determination by the settling defendants that class members representing a sufficient proportion of the losses allegedly suffered by class members had elected to participate in the settlement. The proposed settlement does not settle any of the other outstanding lawsuits pending in other courts relating to these matters.
The Manager believes that the lawsuits described above are without legal merit and is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. 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, the Manager believes that these suits should not impair the ability of the Manager 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 funds.
8. Subsequent Event
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Although the Act provides a number of benefits, including the unlimited carryover of future capital losses, there may be a greater likelihood that all or a portion of a fund’s prior year capital loss carryovers will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending 2012. Specific information regarding the impact of the Act on the Fund will be contained within the “Federal Taxes” section of the financial statement notes for the fiscal year ending 2012.
76 | OPPENHEIMER INTERNATIONAL BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at 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.
77 | OPPENHEIMER INTERNATIONAL BOND FUND
OPPENHEIMER INTERNATIONAL BOND FUND
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee George C. Bowen, Trustee Edward L. Cameron, Trustee Jon S. Fossel, Trustee Sam Freedman, Trustee Beverly L. Hamilton, Trustee Robert J. Malone, Trustee F. William Marshall, Jr., Trustee William F. Glavin, Jr., Trustee, President and Principal Executive Officer Arthur P. Steinmetz, Vice President and Portfolio Manager Sara J. Zervos, Ph.D, Vice President and Portfolio Manager Arthur S. Gabinet, Secretary Thomas W. Keffer, Vice President and Chief Business Officer Mark S. Vandehey, Vice President and Chief Compliance Officer Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer Robert G. Zack, Vice President | |
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. ©2011 OppenheimerFunds, Inc. All rights reserved. |
78 | OPPENHEIMER INTERNATIONAL BOND FUND
PRIVACY POLICY NOTICE
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
• | Applications or other forms | |
• | When you create a user ID and password for online account access | |
• | When you enroll in eDocs Direct, our electronic document delivery service | |
• | Your transactions with us, our affiliates or others | |
• | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited | |
• | When you set up challenge questions to reset your password online |
If you visit www.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.
79 | OPPENHEIMER INTERNATIONAL BOND FUND
PRIVACY POLICY NOTICE
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website.
As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
• | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. | |
• | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | |
• | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds Distributor, Inc., 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 January 16, 2004. In the event it is updated or changed, we will post an updated notice on our website at www.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 www.oppenheimerfunds.com or call us at 1.800.525.7048.
80 | OPPENHEIMER INTERNATIONAL BOND FUND
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. | |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. | |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. |
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” | |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 03/31/2011, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) Not applicable to semiannual reports. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer International Bond Fund
By: | /s/ William F. Glavin, Jr. | |||
Principal Executive Officer | ||||
Date: | 05/10/2011 |
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. | |||
Principal Executive Officer | ||||
Date: | 05/10/2011 |
By: | /s/ Brian W. Wixted | |||
Principal Financial Officer | ||||
Date: | 05/10/2011 |