|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
|
NFR Energy LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.75%, 12/31/18
6
|
|
|
$455,000
|
|
|
$
|
461,066
|
|
|
NTELOS, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 5.75%, 11/9/19
6
|
|
|
320,938
|
|
|
|
322,339
|
|
|
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.50%, 2/28/19
6
|
|
|
705,000
|
|
|
|
704,119
|
|
|
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10.00%, 6/9/18
6
|
|
|
620,000
|
|
|
|
625,425
|
|
|
Quicksilver Resources, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7.00%, 6/21/19
6
|
|
|
735,000
|
|
|
|
733,162
|
|
|
Revel Entertainment, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 14.573%, 5/20/18
6
|
|
|
315,433
|
|
|
|
197,146
|
|
|
Templar Energy, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.00%, 11/25/20
6
|
|
|
740,000
|
|
|
|
748,557
|
|
|
TWCC Holding Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7.00%, 6/26/20
6
|
|
|
690,000
|
|
|
|
697,762
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Loans (Cost $13,371,058)
|
|
|
|
|
|
|
13,717,316
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
|
Investment Companies—22.8%
|
|
|
|
|
|
|
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E, 0.08%
9,10
|
|
|
52,957,316
|
|
|
|
52,957,316
|
|
|
Oppenheimer Master Event-Linked Bond Fund, LLC
9
|
|
|
9,251,612
|
|
|
|
128,493,567
|
|
|
Oppenheimer Master Loan Fund, LLC
9
|
|
|
12,415,260
|
|
|
|
177,015,732
|
|
|
Oppenheimer Ultra-Short Duration Fund, Cl. Y
9
|
|
|
4,517,321
|
|
|
|
45,263,558
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies (Cost $399,079,483)
|
|
|
|
|
|
|
403,730,173
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exercise Price
|
|
|
Expiration Date
|
|
|
Contracts
|
|
|
|
|
|
Exchange-Traded Options Purchased—1.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chicago Board Options Exchange Volatility Index Call
1
|
|
|
USD
|
|
|
|
19.000
|
|
|
|
3/18/14
|
|
|
|
USD
|
|
|
|
30000
|
|
|
|
4,800,000
|
|
|
Chicago Board Options Exchange Volatility Index Call
1
|
|
|
USD
|
|
|
|
21.000
|
|
|
|
2/19/14
|
|
|
|
USD
|
|
|
|
40000
|
|
|
|
3,400,000
|
|
|
Euro Stoxx 50 Index Call
1
|
|
|
EUR
|
|
|
|
3,100.000
|
|
|
|
2/21/14
|
|
|
|
EUR
|
|
|
|
4000
|
|
|
|
1,220,777
|
|
|
Euro Stoxx 50 Index Call
1
|
|
|
EUR
|
|
|
|
3,225.000
|
|
|
|
2/21/14
|
|
|
|
EUR
|
|
|
|
4000
|
|
|
|
127,219
|
|
|
Nikkei Index Call
1
|
|
|
JPY
|
|
|
|
17,000.000
|
|
|
|
2/14/14
|
|
|
|
JPY
|
|
|
|
650
|
|
|
|
6,362
|
|
|
Nikkei Index Call
1
|
|
|
JPY
|
|
|
|
15,750.000
|
|
|
|
3/14/14
|
|
|
|
JPY
|
|
|
|
700
|
|
|
|
1,096,213
|
|
|
Standard & Poor’s 500 Index Put
1
|
|
|
USD
|
|
|
|
1,740.000
|
|
|
|
2/22/14
|
|
|
|
USD
|
|
|
|
5000
|
|
|
|
7,400,000
|
|
|
Standard & Poor’s 500 Index Call
1
|
|
|
USD
|
|
|
|
1,895.000
|
|
|
|
2/22/14
|
|
|
|
USD
|
|
|
|
7000
|
|
|
|
280,000
|
|
|
Standard & Poor’s 500 Index Call
1
|
|
|
USD
|
|
|
|
1,820.000
|
|
|
|
3/22/14
|
|
|
|
USD
|
|
|
|
1500
|
|
|
|
2,964,000
|
|
|
U.S. Treasury Nts., 10 yr. Call
1
|
|
|
USD
|
|
|
|
125.500
|
|
|
|
2/21/14
|
|
|
|
USD
|
|
|
|
9600
|
|
|
|
7,350,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Exchange-Traded Options Purchased (Cost $24,530,058)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,644,571
|
|
22
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
Total Investments, at Value (Cost $1,507,373,470)
|
|
|
|
|
|
|
98.8
|
%
|
|
|
1,751,623,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets in Excess of Other Liabilities
|
|
|
|
|
|
|
1.2
|
|
|
|
21,623,761
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
|
|
|
|
|
|
|
|
|
100.0
|
%
|
|
$
|
1,773,247,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Footnotes to Consolidated Statement of Investments
1.
Non-income producing security.
2.
All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements with respect to outstanding written options. The aggregate market value of such securities is $129,146,018. See accompanying
Consolidated Notes.
3.
Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as
amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $71,136,888 or 4.01% of the Fund’s net assets as of January 31, 2014.
4.
Restricted security. The aggregate value of restricted securities as of January 31, 2014 was $2,778,929, which represents 0.16% of the
Fund’s net assets. See accompanying Consolidated Notes. Information concerning restricted securities is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
|
|
|
|
Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/18
|
|
|
12/7/12-3/15/13
|
|
|
$
|
521,263
|
|
|
$
|
538,050
|
|
|
$
|
16,787
|
|
|
LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/23
|
|
|
5/8/13
|
|
|
|
140,000
|
|
|
|
144,900
|
|
|
|
4,900
|
|
|
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19
|
|
|
2/2/12-1/7/13
|
|
|
|
432,889
|
|
|
|
471,450
|
|
|
|
38,561
|
|
|
Sinopharm Group Co. Ltd., Cl. H
|
|
|
6/15/12-4/26/13
|
|
|
|
1,040,266
|
|
|
|
963,536
|
|
|
|
(76,730
|
)
|
|
STHI Holding Corp., 8% Sec. Nts., 3/15/18
|
|
|
3/11/11-2/9/12
|
|
|
|
316,620
|
|
|
|
325,969
|
|
|
|
9,349
|
|
|
Wallace Theater Holdings, Inc.
|
|
|
3/28/13
|
|
|
|
4
|
|
|
|
3,324
|
|
|
|
3,320
|
|
|
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15
|
|
|
8/24/10-1/24/11
|
|
|
|
527,534
|
|
|
|
331,700
|
|
|
|
(195,834
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,978,576
|
|
|
$
|
2,778,929
|
|
|
$
|
(199,647
|
)
|
|
|
|
|
|
|
|
|
|
|
5.
The Fund holds securities which have been issued by the same entity and that trade on separate exchanges.
6.
Represents the current interest rate for a variable or increasing rate security.
7.
All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after January 31, 2014. See
accompanying Consolidated Notes.
8.
Interest or dividend is paid-in-kind, when applicable.
23
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
9.
Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the
period ended January 31, 2014, 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
October 31, 2013
|
|
|
Gross
Additions
|
|
|
Gross
Reductions
|
|
|
Shares
January 31, 2014
|
|
|
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E
|
|
|
1,392,718
|
|
|
|
167,042,617
|
|
|
|
115,478,019
|
|
|
|
52,957,316
|
|
|
Oppenheimer Master Event-Linked Bond Fund, LLC
|
|
|
9,251,612
|
|
|
|
—
|
|
|
|
—
|
|
|
|
9,251,612
|
|
|
Oppenheimer Master Loan Fund, LLC
|
|
|
12,766,071
|
|
|
|
—
|
|
|
|
350,811
|
|
|
|
12,415,260
|
|
|
Oppenheimer Ultra-Short Duration Fund, Cl. Y (formerly Oppenheimer Short Duration Fund)
|
|
|
4,513,213
|
|
|
|
4,108
|
|
|
|
—
|
|
|
|
4,517,321
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
Income
|
|
|
Realized
Loss
|
|
|
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E
|
|
|
$
|
52,957,316
|
|
|
$
|
4,765
|
|
|
$
|
—
|
|
|
Oppenheimer Master Event-Linked Bond Fund, LLC
|
|
|
|
128,493,567
|
|
|
|
2,424,618
|
a
|
|
|
22,640
|
a
|
|
Oppenheimer Master Loan Fund, LLC
|
|
|
|
177,015,732
|
|
|
|
2,925,421
|
b
|
|
|
73,177
|
b
|
|
Oppenheimer Ultra-Short Duration Fund, Cl. Y (formerly Oppenheimer Short Duration Fund)
|
|
|
|
45,263,558
|
|
|
|
41,295
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
403,730,173
|
|
|
$
|
5,396,099
|
|
|
$
|
95,817
|
|
|
|
|
|
|
|
|
|
|
|
|
|
a.
|
Represents the amount of allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC.
|
|
|
b.
|
Represents the amount of allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
|
10.
Rate
shown is the 7-day yield as of January 31, 2014.
Distribution of investments representing geographic holdings, as a percentage of total
investments at value, is as follows:
|
|
|
|
|
|
|
|
|
|
|
Geographic Holdings
|
|
Value
|
|
|
Percent
|
|
|
United States
|
|
$
|
1,199,147,182
|
|
|
|
68.5
|
%
|
|
United Kingdom
|
|
|
66,330,402
|
|
|
|
3.8
|
|
|
Germany
|
|
|
56,215,812
|
|
|
|
3.2
|
|
|
Switzerland
|
|
|
50,549,125
|
|
|
|
2.9
|
|
|
Japan
|
|
|
49,947,167
|
|
|
|
2.8
|
|
|
France
|
|
|
44,061,652
|
|
|
|
2.5
|
|
|
India
|
|
|
30,951,167
|
|
|
|
1.8
|
|
|
Netherlands
|
|
|
27,146,135
|
|
|
|
1.5
|
|
|
Brazil
|
|
|
26,273,283
|
|
|
|
1.5
|
|
|
Spain
|
|
|
25,204,492
|
|
|
|
1.4
|
|
|
China
|
|
|
24,521,343
|
|
|
|
1.4
|
|
|
Sweden
|
|
|
23,529,147
|
|
|
|
1.3
|
|
|
Italy
|
|
|
18,727,452
|
|
|
|
1.1
|
|
|
Mexico
|
|
|
15,411,444
|
|
|
|
0.9
|
|
|
Russia
|
|
|
12,507,463
|
|
|
|
0.7
|
|
|
Ireland
|
|
|
10,496,245
|
|
|
|
0.6
|
|
|
Denmark
|
|
|
7,190,848
|
|
|
|
0.4
|
|
|
Taiwan
|
|
|
6,200,097
|
|
|
|
0.4
|
|
|
Canada
|
|
|
6,122,924
|
|
|
|
0.3
|
|
|
Hong Kong
|
|
|
6,060,204
|
|
|
|
0.3
|
|
|
Australia
|
|
|
5,133,881
|
|
|
|
0.3
|
|
|
Luxembourg
|
|
|
3,763,626
|
|
|
|
0.2
|
|
|
Turkey
|
|
|
3,382,645
|
|
|
|
0.2
|
|
24
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
Philippines
|
|
|
3,027,480
|
|
|
|
0.2
|
|
|
Indonesia
|
|
|
2,895,533
|
|
|
|
0.2
|
|
|
Bermuda
|
|
|
2,844,205
|
|
|
|
0.2
|
|
|
Colombia
|
|
|
2,712,942
|
|
|
|
0.2
|
|
|
Thailand
|
|
|
2,650,080
|
|
|
|
0.1
|
|
|
South Korea
|
|
|
2,068,659
|
|
|
|
0.1
|
|
|
Malaysia
|
|
|
1,725,068
|
|
|
|
0.1
|
|
|
Jersey, Channel Islands
|
|
|
1,613,699
|
|
|
|
0.1
|
|
|
Nigeria
|
|
|
1,561,267
|
|
|
|
0.1
|
|
|
South Africa
|
|
|
1,474,136
|
|
|
|
0.1
|
|
|
United Arab Emirates
|
|
|
1,473,160
|
|
|
|
0.1
|
|
|
Eurozone
|
|
|
1,347,996
|
|
|
|
0.1
|
|
|
Austria
|
|
|
1,220,334
|
|
|
|
0.1
|
|
|
Egypt
|
|
|
1,039,144
|
|
|
|
0.1
|
|
|
Israel
|
|
|
983,662
|
|
|
|
0.1
|
|
|
Chile
|
|
|
958,022
|
|
|
|
0.1
|
|
|
Argentina
|
|
|
871,305
|
|
|
|
0.0
|
|
|
Greece
|
|
|
664,950
|
|
|
|
0.0
|
|
|
Singapore
|
|
|
510,548
|
|
|
|
0.0
|
|
|
Norway
|
|
|
384,037
|
|
|
|
0.0
|
|
|
Finland
|
|
|
303,864
|
|
|
|
0.0
|
|
|
Peru
|
|
|
274,597
|
|
|
|
0.0
|
|
|
Belgium
|
|
|
144,900
|
|
|
|
0.0
|
|
|
Mongolia
|
|
|
352
|
|
|
|
0.0
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,751,623,676
|
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
Futures Contracts as of January 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Exchange
|
|
|
Buy/Sell
|
|
|
Expiration
Date
|
|
|
Number of
Contracts
|
|
|
Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
|
|
|
CBOE Volatility Index
|
|
|
CBE
|
|
|
|
Sell
|
|
|
|
4/15/14
|
|
|
|
3,000
|
|
|
$
|
52,200,000
|
|
|
$
|
(5,450,070
|
)
|
|
CBOE Volatility Index
|
|
|
CBE
|
|
|
|
Buy
|
|
|
|
2/21/14
|
|
|
|
1,290
|
|
|
|
57,904,000
|
|
|
|
6,365,674
|
|
|
U.S. Treasury Long Bonds
|
|
|
CBT
|
|
|
|
Sell
|
|
|
|
3/20/14
|
|
|
|
5
|
|
|
|
667,969
|
|
|
|
(5,359
|
)
|
|
U.S. Treasury Nts., 10 yr.
|
|
|
CBT
|
|
|
|
Sell
|
|
|
|
3/20/14
|
|
|
|
201
|
|
|
|
25,275,750
|
|
|
|
(110,205
|
)
|
|
U.S. Treasury Nts., 2 yr.
|
|
|
CBT
|
|
|
|
Sell
|
|
|
|
3/31/14
|
|
|
|
173
|
|
|
|
38,095,140
|
|
|
|
2,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
802,332
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written at January 31, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Number of Contracts
|
|
|
Premiums Received
|
|
|
Value
|
|
|
|
|
|
Chicago Board Options Exchange
Volatility Index Call
|
|
|
USD
|
|
|
|
28.000
|
|
|
|
2/19/14
|
|
|
USD
|
(40,000)
|
|
|
$
|
1,758,588
|
|
|
$
|
(1,280,000)
|
|
|
|
|
|
Chicago Board Options Exchange
Volatility Index Call
|
|
|
USD
|
|
|
|
27.000
|
|
|
|
3/18/14
|
|
|
USD
|
(30,000)
|
|
|
|
1,078,827
|
|
|
|
(2,100,000)
|
|
|
|
|
|
Standard & Poor’s 500 Index Put
|
|
|
USD
|
|
|
|
1700.000
|
|
|
|
2/22/14
|
|
|
USD
|
(5,000)
|
|
|
|
3,484,804
|
|
|
|
(3,950,000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total of Exchange-Traded Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,322,219
|
|
|
$
|
(7,330,000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
Glossary:
|
|
|
|
|
|
Currency abbreviations indicate amounts reporting in currencies
|
|
EUR
|
|
Euro
|
|
JPY
|
|
Japan Yen
|
|
MYR
|
|
Malaysian Ringgit
|
|
|
|
|
|
Exchange Abbreviations
|
|
CBE
|
|
Chicago Board Options Exchange
|
|
CBT
|
|
Chicago Board of Trade
|
26
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited
|
Oppenheimer Global Allocation Fund (the “Fund”), a series of Oppenheimer
Quest for Value Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI
Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
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 January 31, 2014, 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
|
|
|
$2,341,719
|
|
|
Sold securities
|
|
|
377,275
|
|
Basis for Consolidation.
The Fund has established a Cayman Islands exempted company, Oppenheimer
Global Allocation Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The
Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange-traded funds related to gold or other special minerals. The Subsidiary may also invest in certain
fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. Investments in the Subsidiary are expected to provide the Fund with exposure to commodities markets within the limitations of the
federal tax requirements that apply to the Fund. The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.
The statement of investments have been consolidated and include investments of the Fund and the Subsidiary. At
January 31, 2014, the Fund owned 2,921 shares of the Subsidiary with a market value of $14,815,537.
27
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Investment in Oppenheimer Institutional Money Market Fund.
The Fund is
permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving
liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and
related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Consolidated Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to
its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in Oppenheimer Master Funds.
The Fund is permitted to invest in entities sponsored and/or advised by the Manager
or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and
Oppenheimer Master Event-Linked Bond Fund, LLC (the “Master Funds”). Each Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To
the extent that the Fund invests more of its assets in one Master Fund than in another, the Fund will have greater exposure to the risks of that Master Fund.
The investment objectives of the Master Funds are as follows: Oppenheimer Master Loan Fund, LLC seeks income;
Oppenheimer Master Event-Linked Bond Fund, LLC seeks total return. The Fund’s investments in the Master Funds are included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investments in each
Master Fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Funds. As a
shareholder, the Fund is subject to its proportional share of the Master Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred
through the Fund’s investment in the Master Funds.
Foreign Currency Translation.
The Fund’s accounting records
are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New
York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of
Trustees.
28
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation
of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair
valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next
regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and
futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last
sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a
foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior
to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing
price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from
either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single
dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange
are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or
foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices
utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
29
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Securities Valuation (continued)
Short-term money market type debt securities with a remaining maturity of sixty
days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean
between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or
official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is
provided below.
|
|
|
|
|
Security Type
|
|
Standard inputs generally considered by third-party pricing vendors
|
|
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities
|
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
|
|
Loans
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
|
Event-linked bonds
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the
“good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the
security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in
good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a
security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair
valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate
securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted
quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be
assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
30 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Securities Valuation (Continued)
To assess the continuing appropriateness of security valuations, the Manager, or its third party
service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the
third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness
of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or
liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting
period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1)
Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted
prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3)
Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of January 31, 2014 based on valuation input level:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1—
Unadjusted
Quoted Prices
|
|
|
Level 2—
Other Significant
Observable Inputs
|
|
|
Level 3—
Significant
Unobservable
Inputs
|
|
|
Value
|
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
87,207,952
|
|
|
$
|
79,999,139
|
|
|
$
|
—
|
|
|
$
|
167,207,091
|
|
|
Consumer Staples
|
|
|
35,039,903
|
|
|
|
55,268,080
|
|
|
|
—
|
|
|
|
90,307,983
|
|
|
Energy
|
|
|
27,478,531
|
|
|
|
23,660,641
|
|
|
|
—
|
|
|
|
51,139,172
|
|
|
Financials
|
|
|
81,350,096
|
|
|
|
83,454,089
|
|
|
|
3,470
|
|
|
|
164,807,655
|
|
|
Health Care
|
|
|
120,809,398
|
|
|
|
38,336,702
|
|
|
|
—
|
|
|
|
159,146,100
|
|
|
Industrials
|
|
|
73,732,841
|
|
|
|
73,725,930
|
|
|
|
—
|
|
|
|
147,458,771
|
|
|
Information Technology
|
|
|
176,452,949
|
|
|
|
81,611,187
|
|
|
|
—
|
|
|
|
258,064,136
|
|
|
Materials
|
|
|
13,926,369
|
|
|
|
20,527,093
|
|
|
|
—
|
|
|
|
34,453,462
|
|
|
Telecommunication Services
|
|
|
4,229,669
|
|
|
|
14,006,324
|
|
|
|
—
|
|
|
|
18,235,993
|
|
|
Utilities
|
|
|
2,730,739
|
|
|
|
1,141,062
|
|
|
|
—
|
|
|
|
3,871,801
|
|
|
Preferred Stock
|
|
|
—
|
|
|
|
638,186
|
|
|
|
—
|
|
|
|
638,186
|
|
31 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Securities Valuation (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1—
Unadjusted
Quoted Prices
|
|
|
Level 2—
Other Significant
Observable Inputs
|
|
|
Level 3—
Significant
Unobservable
Inputs
|
|
|
Value
|
|
|
Rights, Warrants and Certificates
|
|
$
|
108,022
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
108,022
|
|
|
Mortgage-Backed Obligations
|
|
|
—
|
|
|
|
76,925,114
|
|
|
|
—
|
|
|
|
76,925,114
|
|
|
Non-Convertible Corporate Bonds and Notes
|
|
|
—
|
|
|
|
133,168,130
|
|
|
|
—
|
|
|
|
133,168,130
|
|
|
Corporate Loans
|
|
|
—
|
|
|
|
13,717,316
|
|
|
|
—
|
|
|
|
13,717,316
|
|
|
Investment Companies
|
|
|
98,220,874
|
|
|
|
305,509,299
|
|
|
|
—
|
|
|
|
403,730,173
|
|
|
Exchange-Traded Options Purchased
|
|
|
28,644,571
|
|
|
|
—
|
|
|
|
—
|
|
|
|
28,644,571
|
|
|
Total Investments, at Value
|
|
|
749,931,914
|
|
|
|
1,001,688,292
|
|
|
|
3,470
|
|
|
|
1,751,623,676
|
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Variation margin receivable
|
|
|
1,225,500
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,225,500
|
|
|
Total Assets
|
|
$
|
751,157,414
|
|
|
$
|
1,001,688,292
|
|
|
$
|
3,470
|
|
|
$
|
1,752,849,176
|
|
|
Liabilities Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written, at value
|
|
$
|
(7,330,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(7,330,000
|
)
|
|
Variation margin payable
|
|
|
(1,585,524
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(1,585,524
|
)
|
|
Total Liabilities
|
|
$
|
(8,915,524
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(8,915,524
|
)
|
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.
The table below shows the transfers between Level
1, Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 1
|
|
|
Transfers into
Level 2
|
|
|
Transfers out of Level 3
|
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples
|
|
$
|
(735,264)
a
|
|
|
$
|
735,264
a
|
|
|
$
|
—
|
|
|
|
|
|
|
|
Financials
|
|
|
(2,772,680)
a
|
|
|
|
2,772,680
a
|
|
|
|
—
|
|
|
|
|
|
|
|
Materials
|
|
|
(365,289)
a
|
|
|
|
365,641
a,b
|
|
|
|
(352)
b
|
|
|
Total Assets
|
|
$
|
(3,873,233)
|
|
|
$
|
3,873,585
|
|
|
$
|
(352)
|
|
a.
Transferred from Level 1 to Level 2 because of the absence of a readily unadjusted quoted market price.
b.
Transferred from Level 3 to Level 2 due to the availability of market data for this security.
32 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of
derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will
employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it
were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures
exchange and cleared through a clearinghouse.
Market Risk Factors.
In accordance with its investment objectives, the Fund may us
derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk.
Commodity risk
relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil,
heating oil, metals, livestock, and agricultural products.
Credit Risk.
Credit risk relates to the ability of the issuer to meet
interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk.
Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk.
Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a
foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk.
Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship
between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt
securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk.
Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s
price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower
volatility risk.
33
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
Derivatives may have little or no initial cash investment relative to their
market value exposure and therefore can produce significant gains or losses in excess of their cost due to
unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its
market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities
held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s
initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have
significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from
investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the
counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and
associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a
stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and
cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to
deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from
the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant
can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a
schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures
commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities in the
annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated
Statement of Operations in the annual and semiannual reports 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.
34 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
The Fund has sold futures contracts on various bonds and notes to decrease
exposure to interest rate risk.
The Fund has purchased futures contracts, which have values that are linked to the price
movement of the related volatility indexes, in order to increase exposure to volatility risk.
The Fund has sold futures
contracts, which have values that are linked to the price movement of the related volatility indexes, in order to decrease exposure to volatility risk.
During the period ended January 31, 2014, the Fund had an ending monthly average market value of $124,159,594 and
$143,193,262 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures
contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the
contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction.
Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation
or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds
of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call
option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased call options on individual equity securities and/or equity indexes to increase exposure to equity 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 individual equity securities and/or equity indexes to decrease exposure to equity 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 volatility indexes to increase exposure to volatility risk. A purchased call option
becomes more valuable as the level of the underlying volatility index increases relative to the strike price.
35 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
During the period ended January 31, 2014, the Fund had an ending monthly
average market value of $13,068,646 and $5,568,578 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the
Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of
Investments.
The risk in writing a call option is that the market price of the security increases and if the option is
exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market
price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the
Fund is unable to close the contract.
The Fund has written put options on individual equity securities and/or equity
indexes to increase exposure to equity 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 individual equity securities and/or equity indexes to decrease exposure to equity risk. A
written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written call options on volatility indexes to decrease exposure to volatility risk. A written call option becomes
more valuable as the level of the underlying volatility index decreases relative to the strike price.
During the period
ended January 31, 2014, the Fund had an ending monthly average market value of $2,810,000 and $4,734,375 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the period ended January 31, 2014 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options
|
|
|
Put Options
|
|
|
|
|
Number of Contracts
|
|
|
Amount of
Premiums
|
|
|
Number of Contracts
|
|
|
Amount of
Premiums
|
|
|
|
|
|
Options outstanding as of October 31, 2013
|
|
|
115,000
|
|
|
|
$10,998,142
|
|
|
|
4,000
|
|
|
|
$10,667,858
|
|
|
Options written
|
|
|
160,000
|
|
|
|
5,469,324
|
|
|
|
12,750
|
|
|
|
10,061,272
|
|
|
Options closed or expired
|
|
|
(125,000)
|
|
|
|
(8,552,951)
|
|
|
|
(3,000)
|
|
|
|
(1,100,894)
|
|
|
Options exercised
|
|
|
(80,000)
|
|
|
|
(5,077,100)
|
|
|
|
(8,750)
|
|
|
|
(16,143,432)
|
|
|
|
|
|
|
|
|
Options outstanding as of January 31, 2014
|
|
|
70,000
|
|
|
|
$2,837,415
|
|
|
|
5,000
|
|
|
|
$3,484,804
|
|
|
|
|
|
|
|
36 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the
price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or
executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return,
credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Statement of
Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The values of OTC swap contracts are
aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of
the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations in the
annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations in the annual and
semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate
or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash
securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Volatility Swap Contracts.
A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility
of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the
specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the
specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than
general directional increases or decreases in its price.
37 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
Volatility swaps are less standard in structure than other types of swaps and
provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to
decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where
counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be
exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied
by the notional amount of the contract.
The Fund has entered into volatility swaps to decrease exposure to the volatility
risk of various reference investments. These types of volatility swaps require the Fund to pay a fixed rate payment and receive the measured volatility. If the measured volatility of the related reference investment increases over the period, the
swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value.
For the period ended January 31, 2014, the Fund had ending monthly average notional amount of $10,331 on volatility swaps
which receive measured volatility/variance.
Additional associated risks to the Fund include counterparty credit risk and
liquidity risk.
As of January 31, 2014, the fund no longer held volatility swaps.
Counterparty Credit Risk.
Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund
intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to
netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in
bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded
derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund
that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
38 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
Risk Exposures and the Use of Derivative Instruments
(Continued)
With respect to cleared swaps, such transactions will be submitted for
clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own
assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or
clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses
to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a
transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any
time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a
default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the
broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are
established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory
minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has
been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in
the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its
counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
39 OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Restricted Securities
As of January 31, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on
its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported
on a schedule following the Consolidated Statement of Investments.
Federal Taxes
The approximate 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 January 31, 2014 are noted below. 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.
|
|
|
|
|
|
|
Federal tax cost of securities
|
|
$
|
1,513,929,383
|
|
|
Federal tax cost of other investments
|
|
|
(86,176,894
|
)
|
|
|
|
|
|
|
|
Total federal tax cost
|
|
$
|
1,427,752,489
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
290,119,085
|
|
|
Gross unrealized depreciation
|
|
|
(66,068,650
|
)
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
224,050,435
|
|
|
|
|
|
|
|
40
OPPENHEIMER GLOBAL ALLOCATION FUND
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
January 31, 2014
/ Unaudited
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Shares
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Value
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Common Stocks—48.2%
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Consumer Discretionary—5.3%
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Hotels, Restaurants & Leisure—1.2%
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McDonald’s Corp.
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104,500
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$
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9,840,765
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Media—2.8%
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Cinemark Holdings, Inc.
1
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363,000
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10,639,530
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Comcast Corp., Cl. A
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248,400
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13,525,380
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24,164,910
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Multiline Retail—1.3%
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Macy’s, Inc.
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207,300
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11,028,360
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Consumer Staples—2.1%
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Beverages—1.0%
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Coca-Cola Co. (The)
1
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215,500
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8,150,210
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Tobacco—1.1%
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Altria Group, Inc.
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108,000
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3,803,760
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Philip Morris International, Inc.
1
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69,500
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5,430,730
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9,234,490
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Energy—7.4%
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Energy Equipment & Services—1.8%
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Baker Hughes, Inc.
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111,300
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6,304,032
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Schlumberger Ltd.
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100,000
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8,757,000
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15,061,032
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Oil, Gas & Consumable Fuels—5.6%
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Apache Corp.
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17,800
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1,428,628
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Chevron Corp.
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111,520
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12,448,978
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EOG Resources, Inc.
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55,000
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9,088,200
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Exxon Mobil Corp.
1
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49,200
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4,534,272
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HollyFrontier Corp.
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106,820
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4,945,766
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Kinder Morgan, Inc.
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100,000
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3,401,000
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Royal Dutch Shell plc, Cl. B, ADR
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96,100
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6,998,963
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Valero Energy Corp.
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83,000
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4,241,300
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47,087,107
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Financials—7.5%
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Commercial Banks—2.0%
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Bond Street Holdings, Inc., Cl. A
2,3
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375,000
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5,625,000
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Bond Street Holdings, Inc., Cl. B
2,3
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120,000
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1,680,000
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JPMorgan Chase & Co.
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91,500
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5,065,440
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M&T Bank Corp.
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39,640
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4,420,256
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16,790,696
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Diversified Financial Services—0.6%
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Citigroup, Inc.
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109,800
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5,207,814
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Insurance—1.1%
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ACE Ltd.
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96,570
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9,059,232
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Real Estate Investment Trusts (REITs)—3.8%
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American Assets Trust, Inc.
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60,788
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2,034,574
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Blackstone Mortgage Trust, Inc., Cl. A
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206,110
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5,783,447
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Macerich Co. (The)
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89,500
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5,065,700
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1 OPPENHEIMER FLEXIBLE STRATEGIES FUND
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CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
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Shares
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Value
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Real Estate Investment Trusts (REITs) (Continued)
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Starwood Property Trust, Inc.
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634,000
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$
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19,146,800
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32,030,521
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Health Care—7.1%
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Health Care Equipment & Supplies—0.6%
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Baxter International, Inc.
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35,000
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2,390,500
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Covidien plc
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38,000
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2,593,120
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4,983,620
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Health Care Providers & Services—1.8%
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HCA Holdings, Inc.
2
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20,000
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1,005,400
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UnitedHealth Group, Inc.
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160,420
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11,595,158
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Universal Health Services, Inc., Cl. B
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31,000
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2,542,620
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15,143,178
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Pharmaceuticals—4.7%
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Actavis plc
2
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74,000
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13,984,520
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Merck & Co., Inc.
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208,000
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11,017,760
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Novartis AG, ADR
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78,000
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6,167,460
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Roche Holding AG
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32,500
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8,931,134
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40,100,874
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Industrials—7.0%
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Aerospace & Defense—2.1%
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Honeywell International, Inc.
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102,000
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9,305,460
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Northrop Grumman Corp.
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69,000
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7,972,950
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17,278,410
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Commercial Services & Supplies—1.2%
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Tyco International Ltd.
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255,000
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10,324,950
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Construction & Engineering—1.6%
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Quanta Services, Inc.
2
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425,000
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13,247,250
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Electrical Equipment—0.1%
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Hubbell, Inc., Cl. B
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9,500
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1,108,935
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Trading Companies & Distributors—2.0%
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AerCap Holdings NV
2
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290,901
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10,818,608
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WESCO International, Inc.
2
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74,000
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6,139,040
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16,957,648
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Information Technology—6.8%
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Communications Equipment—3.5%
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Cisco Systems, Inc.
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250,000
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5,477,500
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Juniper Networks, Inc.
2
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345,790
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9,201,472
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QUALCOMM, Inc.
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143,160
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10,625,335
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Telefonaktiebolaget LM Ericsson, Cl. B
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310,000
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3,805,699
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29,110,006
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Computers & Peripherals—1.3%
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Apple, Inc.
1
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22,498
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11,262,499
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Internet Software & Services—1.1%
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Google, Inc., Cl. A
2
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7,750
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9,152,517
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IT Services—0.1%
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Accenture plc, Cl. A
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10,000
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798,800
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2 OPPENHEIMER FLEXIBLE STRATEGIES FUND
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CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
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Shares
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Value
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Semiconductors & Semiconductor Equipment—0.8%
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Xilinx, Inc.
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152,000
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$
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7,055,840
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Materials—2.5%
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Chemicals—2.5%
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Celanese Corp., Series A
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212,500
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10,761,000
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LyondellBasell Industries NV, Cl. A
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136,900
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10,782,244
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21,543,244
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Telecommunication Services—1.0%
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Diversified Telecommunication Services—1.0%
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BCE, Inc.
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202,000
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8,477,940
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Utilities—1.5%
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Electric Utilities—1.5%
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Cleco Corp.
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75,000
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3,664,500
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Edison International
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75,000
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3,612,000
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PPL Corp.
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174,050
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5,320,708
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12,597,208
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Total Common Stocks (Cost $331,893,548)
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406,798,056
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Preferred Stocks—3.5%
|
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M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg.
|
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5,167
|
|
|
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4,882,815
|
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M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg.
|
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7,500
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|
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7,005,000
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M&T Capital Trust IV, 8.50% Cum., Non-Vtg.
|
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8,124
|
|
|
|
206,350
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PPL Corp. 8.75% Cv., Non-Vtg.
|
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185,000
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9,529,350
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US Bancorp, 6% Non-Cum., Series G, Non-Vtg.
|
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300,000
|
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8,268,000
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|
|
|
|
|
|
|
|
|
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|
Total Preferred Stocks (Cost $31,214,834)
|
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|
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|
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29,891,515
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Principal Amount
|
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|
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Asset-Backed Securities—11.2%
|
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|
|
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Home Equity Loan—7.9%
|
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|
|
|
|
|
|
|
|
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Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.46%, 9/15/41
3,4
|
|
|
$31,961,524
|
|
|
|
23,012,297
|
|
|
|
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New Century Home Equity Loan Trust, Series 2005-2, Cl. M3, 0.648%, 6/25/35
4
|
|
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5,500,000
|
|
|
|
4,116,744
|
|
|
|
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Park Place Securities, Inc., Series 2005-WCW3, Cl. M1, 0.638%, 8/25/35
4
|
|
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5,000,000
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|
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4,379,980
|
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Saxon Asset Securities Trust, Series 2007-3, Cl. 2A4, 0.648%, 9/25/47
4
|
|
|
7,595,000
|
|
|
|
3,949,347
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|
|
|
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Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2,
Cl. A2, 0.478%, 5/25/37
4,5
|
|
|
34,961,309
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|
|
|
31,152,065
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
66,610,433
|
|
|
|
|
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Loans: Other—3.3%
|
|
|
|
|
|
|
|
|
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|
Airspeed Ltd.:
|
|
|
|
|
|
|
|
|
|
Series 2007-1A, Cl. G1, 0.43%, 6/15/32
3,4
|
|
|
27,891,921
|
|
|
|
22,034,618
|
|
|
Series 2007-1A, Cl. G2, 0.44%, 6/15/32
3,4
|
|
|
8,018,927
|
|
|
|
6,375,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,409,665
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (Cost $82,687,267)
|
|
|
|
|
|
|
95,020,098
|
|
|
|
|
|
|
3 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
|
|
|
|
Mortgage-Backed Obligations—2.9%
|
|
|
|
|
|
Ameriquest Mortgage Securities, Inc., Series 2004-R2, Cl. M1, 0.803%, 4/25/34
4
|
|
$
|
3,558,338
|
|
|
$
|
3,249,037
|
|
|
|
|
|
Bear Stearns Asset Backed Securities I Trust, Series 2004-HE9, Cl. M2, 1.958%,
11/25/34
4
|
|
|
8,305,184
|
|
|
|
5,972,399
|
|
|
|
|
|
First NLC Trust, Series 2005-4, Cl. A4, 0.548%, 2/25/36
4
|
|
|
11,003,000
|
|
|
|
7,331,288
|
|
|
|
|
|
Home Equity Asset Trust, Series 2005-5, Cl. M2, 0.668%, 11/25/35
4
|
|
|
1,888,088
|
|
|
|
1,586,583
|
|
|
|
|
|
Home Equity Mortgage Loan Asset-Backed Trust, Series 2005-B, Cl. M3, 0.648%,
8/25/35
4
|
|
|
1,298,061
|
|
|
|
1,096,991
|
|
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.652%, 4/21/34
4
|
|
|
792,941
|
|
|
|
829,365
|
|
|
|
|
|
RAMP Trust, Series 2005-RS6, Cl. M2, 0.668%, 6/25/35
4
|
|
|
944,044
|
|
|
|
877,446
|
|
|
|
|
|
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2,
Cl. A3, 0.608%, 5/25/37
4,5
|
|
|
4,486,000
|
|
|
|
3,199,164
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage-Backed Obligations (Cost $15,661,269)
|
|
|
|
|
|
|
24,142,273
|
|
|
|
|
|
|
|
Non-Convertible Corporate Bonds and Notes—3.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds
4,6
|
|
|
999,000
|
|
|
|
752,996
|
|
|
|
|
|
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/20
5
|
|
|
14,000,000
|
|
|
|
14,945,000
|
|
|
|
|
|
Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Bonds
4,6
|
|
|
11,000,000
|
|
|
|
10,340,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Convertible Corporate Bonds and Notes (Cost $25,183,429)
|
|
|
|
|
|
|
26,037,996
|
|
|
|
|
|
|
|
Convertible Corporate Bonds and Notes—1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
Amylin Pharmaceuticals LLC, 3% Cv. Sr. Unsec. Nts., 6/15/14
|
|
|
7,000,000
|
|
|
|
7,323,750
|
|
|
|
|
|
SEACOR Holdings, Inc., 2.50% Cv. Sr. Unsec. Nts., 12/15/27
|
|
|
3,000,000
|
|
|
|
3,541,875
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Corporate Bonds and Notes (Cost $9,958,708)
|
|
|
|
|
|
|
10,865,625
|
|
|
|
|
|
|
|
Corporate Loans—1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
Appvion, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan,
0.178%-5.75%, 6/28/19
4
|
|
|
6,965,000
|
|
|
|
7,041,907
|
|
|
|
|
|
Dynegy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan,
Tranche B2, 4.00%, 4/23/20
4
|
|
|
4,975,000
|
|
|
|
5,011,278
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Loans (Cost $11,850,340)
|
|
|
|
|
|
|
12,053,185
|
|
|
|
|
|
|
|
Structured Security—0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
Africa Telecommunications Media & Technology Fund 1
LLC
2,3
(Cost $10,000,000)
|
|
|
9,542,930
|
|
|
|
2,576,591
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
|
|
|
|
Investment Companies—22.6%
|
|
|
|
|
|
|
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E, 0.08%
7,8
|
|
|
56,496,771
|
|
|
|
56,496,771
|
|
|
|
|
|
Oppenheimer Master Loan Fund, LLC
7
|
|
|
8,288,014
|
|
|
|
118,169,802
|
|
|
|
|
|
SPDR Gold Trust Exchange Traded Fund
2
|
|
|
135,900
|
|
|
|
16,320,231
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies (Cost $190,003,624)
|
|
|
|
|
|
|
190,986,804
|
|
|
|
|
|
|
4 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
|
|
|
Contracts
|
|
|
Value
|
|
|
|
|
|
Exchange-Traded Options Purchased—0.2%
|
|
|
Standard & Poor’s 500 Index
(The) Call
2
|
|
|
|
USD
|
|
|
|
1,895.000
|
|
|
|
3/22/14
|
|
|
|
USD
|
|
|
|
580
|
|
|
$
|
153,700
|
|
|
Standard & Poor’s 500 Index
(The) Call
2
|
|
|
|
USD
|
|
|
|
1,860.000
|
|
|
|
3/22/14
|
|
|
|
USD
|
|
|
|
500
|
|
|
|
347,500
|
|
|
Standard & Poor’s 500 Index
(The) Call
2
|
|
|
|
USD
|
|
|
|
1,850.000
|
|
|
|
2/22/14
|
|
|
|
USD
|
|
|
|
550
|
|
|
|
121,000
|
|
|
Standard & Poor’s 500 Index
(The) Call
2
|
|
|
|
USD
|
|
|
|
1,890.000
|
|
|
|
2/22/14
|
|
|
|
USD
|
|
|
|
300
|
|
|
|
12,000
|
|
|
U.S. Treasury Nts., 10 yr.
Call
2
|
|
|
|
USD
|
|
|
|
127.000
|
|
|
|
3/21/14
|
|
|
|
USD
|
|
|
|
2000
|
|
|
|
218,750
|
|
|
U.S. Treasury Nts., 10 yr.
Call
2
|
|
|
|
USD
|
|
|
|
125.000
|
|
|
|
3/21/14
|
|
|
|
USD
|
|
|
|
1000
|
|
|
|
546,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Exchange-Traded Options Purchased (Cost $2,874,577)
|
|
|
|
|
|
|
|
1,399,825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
|
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Option Purchased—–0.0%
|
|
|
JPY Currency Put
2
(Cost $390,000)
|
|
|
JPM
|
|
|
|
JPY
|
|
|
|
120.000
|
|
|
|
5/27/14
|
|
|
|
JPY
|
|
|
|
6,000,000,000
|
|
|
|
–
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
|
Pay/Receive
Floating
Rate
|
|
|
Floating
Rate
|
|
|
Fixed
Rate
|
|
|
Expiration
Date
|
|
|
|
|
|
Notional
Amount
(000’s)
|
|
|
|
|
|
|
|
|
Over-the-Counter Interest Rate Swaptions Purchased—0.9%
|
|
|
Interest Rate
Swap maturing
1/21/25 Put
2
|
|
|
GSG
|
|
|
|
Receive
|
|
|
|
Six-Month
JPY BBA
LIBOR
|
|
|
|
2.000
|
%
|
|
|
1/19/15
|
|
|
|
JPY
|
|
|
|
3,838,000
|
|
|
|
47,881
|
|
|
Interest Rate
Swap maturing
1/25/26 Put
2
|
|
|
GSG
|
|
|
|
Receive
|
|
|
|
Six-Month
JPY BBA
LIBOR
|
|
|
|
1.870
|
|
|
|
1/21/16
|
|
|
|
JPY
|
|
|
|
5,406,000
|
|
|
|
172,026
|
|
|
Interest Rate
Swap maturing
2/28/27 Put
2
|
|
|
JPM
|
|
|
|
Receive
|
|
|
|
Three-
Month USD
BBA LIBOR
|
|
|
|
4.500
|
|
|
|
2/24/17
|
|
|
|
USD
|
|
|
|
50,000
|
|
|
|
1,840,958
|
|
|
Interest Rate
Swap maturing
4/13/26 Call
2
|
|
|
JPM
|
|
|
|
Receive
|
|
|
|
Three-
Month USD
BBA LIBOR
|
|
|
|
3.410
|
|
|
|
4/11/16
|
|
|
|
USD
|
|
|
|
33,000
|
|
|
|
1,907,183
|
|
|
Interest Rate
Swap maturing
4/13/26 Call
2
|
|
|
JPM
|
|
|
|
Receive
|
|
|
|
Three-
Month USD
BBA LIBOR
|
|
|
|
3.468
|
|
|
|
4/11/16
|
|
|
|
USD
|
|
|
|
33,000
|
|
|
|
1,820,992
|
|
|
Interest Rate
Swap maturing
4/27/26 Call
2
|
|
|
JPM
|
|
|
|
Receive
|
|
|
|
Three-
Month USD
BBA LIBOR
|
|
|
|
3.373
|
|
|
|
4/25/16
|
|
|
|
USD
|
|
|
|
30,000
|
|
|
|
1,815,011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $8,098,189)
|
|
|
|
|
|
|
|
7,604,051
|
|
|
|
|
|
|
|
Total Investments, at Value (Cost $719,815,785)
|
|
|
|
95.6
|
%
|
|
|
|
|
|
|
807,376,019
|
|
|
|
|
|
Assets in Excess of Other Liabilities
|
|
|
|
4.4
|
|
|
|
|
|
|
|
37,296,546
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
|
|
100.0
|
%
|
|
|
|
|
|
$
|
|
|
|
|
844,672,565
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Footnotes to Consolidated Statement of Investments
Exercise price and notional amount is reported in U.S. Dollars, except for those denoted in the following currency:
JPY Japanese Yen
1.
All or portion of the security position is held in segregated accounts and pledged to cover margin requirements with respect
to securities sold short. The aggregate market value of such securities is $33,179,122. See accompanying Consolidated Notes.
2.
Non-income producing security.
3.
Restricted security. The aggregate value of restricted securities as of January 31, 2014 was $61,303,553, which represents
7.26% of the Fund’s net assets. See accompanying Consolidated Notes. Information concerning restricted securities is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
|
|
|
|
Africa Telecommunications
Media & Technology Fund 1 LLC
|
|
|
4/20/11
|
|
|
$
|
10,000,000
|
|
|
$
|
2,576,591
|
|
|
$
|
(7,423,409)
|
|
|
Airspeed Ltd., Series 2007-1A,
Cl. G1, 0.43%, 6/15/32
|
|
|
1/9/13-7/10/13
|
|
|
|
21,594,077
|
|
|
|
22,034,618
|
|
|
|
440,541
|
|
|
Airspeed Ltd., Series 2007-1A,
Cl. G2, 0.44%, 6/15/32
|
|
|
1/9/13-1/25/13
|
|
|
|
6,490,755
|
|
|
|
6,375,047
|
|
|
|
(115,708)
|
|
|
Blade Engine Securitization Ltd.,
Series 2006-1AW, Cl. A1,
0.46%, 9/15/41
|
|
|
4/19/13-5/29/13
|
|
|
|
23,911,122
|
|
|
|
23,012,297
|
|
|
|
(898,825)
|
|
|
Bond Street Holdings, Inc., Cl. A
|
|
|
11/4/09
|
|
|
|
7,500,000
|
|
|
|
5,625,000
|
|
|
|
(1,875,000)
|
|
|
Bond Street Holdings, Inc., Cl. B
|
|
|
11/4/09
|
|
|
|
2,400,000
|
|
|
|
1,680,000
|
|
|
|
(720,000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
71,895,954
|
|
|
$
|
61,303,553
|
|
|
$
|
(10,592,401)
|
|
|
|
|
|
|
|
|
|
|
|
4.
Represents the current interest rate for a variable or increasing rate security.
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 $49,296,229 or 5.84% of the Fund’s net assets as of January 31, 2014.
6.
This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate
reported represents the current interest rate for this variable rate security.
|
|
|
|
|
6 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
7.
Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended January 31, 2014, 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
October 31, 2013
|
|
|
Gross
Additions
|
|
|
Gross
Reductions
|
|
|
Shares
January 31, 2014
|
|
|
|
|
|
Oppenheimer Institutional
Money Market Fund, Cl. E
|
|
|
341,351
|
|
|
|
132,399,271
|
|
|
|
73,243,851
|
|
|
|
59,496,771
|
|
|
Oppenheimer Master Loan Fund, LLC
|
|
|
8,288,014
|
|
|
|
—
|
|
|
|
—
|
|
|
|
8,288,014
|
|
|
Oppenheimer Ultra-Short
Duration Fund, Cl. Y (formerly
Oppenheimer Short Duration Fund)
|
|
|
3,016,273
|
|
|
|
901
|
|
|
|
3,017,174
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
Income
|
|
|
Realized
Loss
|
|
|
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E
|
|
|
$
|
56,496,771
|
|
|
$
|
4,025
|
|
|
$
|
—
|
|
|
Oppenheimer Master Loan Fund, LLC
|
|
|
|
118,169,802
|
|
|
|
1,901,012
a
|
|
|
|
285,749
a
|
|
|
Oppenheimer Ultra-Short Duration Fund, Cl. Y
(formerly Oppenheimer Short Duration Fund)
|
|
|
|
—
|
|
|
|
17,719
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
174,666,573
|
|
|
$
|
1,922,756
|
|
|
$
|
285,749
|
|
|
|
|
|
|
|
|
|
|
|
a.
Represents the amount allocated to the Fund from Oppenheimer Master Loan
Fund, LLC.
8.
Rate shown is the 7-day yield as of January 31, 2014.
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares Sold
Short
|
|
|
Value
|
|
|
|
|
|
Securities Sold Short—(20.3)%
|
|
|
Common Stock Securities Sold Short—(20.3)%
|
|
|
|
|
|
|
|
|
|
ADT Corp. (The)
|
|
|
(91,000)
|
|
|
$
|
(2,733,640)
|
|
|
|
|
|
Aeropostale, Inc.
|
|
|
(300)
|
|
|
|
(2,115)
|
|
|
|
|
|
Aflac, Inc.
|
|
|
(139,000)
|
|
|
|
(8,726,420)
|
|
|
|
|
|
Air Lease Corp., Cl. A
|
|
|
(176,000)
|
|
|
|
(5,540,480)
|
|
|
|
|
|
Aircastle Ltd.
|
|
|
(165,000)
|
|
|
|
(3,116,850)
|
|
|
|
|
|
Assurant, Inc.
|
|
|
(63,500)
|
|
|
|
(4,149,725)
|
|
|
|
|
|
BHP Billiton Ltd., Sponsored ADR
|
|
|
(98,000)
|
|
|
|
(6,267,100)
|
|
|
|
|
|
BJ’s Restaurants, Inc.
|
|
|
(165,700)
|
|
|
|
(4,699,252)
|
|
|
|
|
|
Boeing Co. (The)
|
|
|
(50,000)
|
|
|
|
(6,263,000)
|
|
|
|
|
|
Camden Property Trust
|
|
|
(60,000)
|
|
|
|
(3,709,200)
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
(86,000)
|
|
|
|
(8,076,260)
|
|
|
|
|
|
CBL & Associates Properties, Inc.
|
|
|
(361,000)
|
|
|
|
(6,133,390)
|
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
(217,000)
|
|
|
|
(5,839,470)
|
|
|
|
|
|
City National Corp.
|
|
|
(50,000)
|
|
|
|
(3,617,500)
|
|
|
|
|
|
Cliffs Natural Resources, Inc.
|
|
|
(479,000)
|
|
|
|
(9,254,280)
|
|
|
|
|
|
Comerica, Inc.
|
|
|
(186,000)
|
|
|
|
(8,518,800)
|
|
|
|
|
|
Commerce Bancshares, Inc.
|
|
|
(69,457)
|
|
|
|
(3,019,296)
|
|
|
|
|
|
Daido Steel Co. Ltd.
|
|
|
(233,000)
|
|
|
|
(1,155,267)
|
|
|
|
|
|
EI du Pont de Nemours & Co.
|
|
|
(67,000)
|
|
|
|
(4,087,670)
|
|
|
|
|
|
First Niagara Financial Group, Inc.
|
|
|
(400,000)
|
|
|
|
(3,456,000)
|
|
|
|
|
|
FirstMerit Corp.
|
|
|
(155,000)
|
|
|
|
(3,154,250)
|
|
|
|
|
|
FMC Technologies, Inc.
|
|
|
(51,000)
|
|
|
|
(2,521,440)
|
|
|
|
|
|
Glimcher Realty Trust
|
|
|
(614,000)
|
|
|
|
(5,255,840)
|
|
|
|
|
|
Kohl’s Corp.
|
|
|
(94,000)
|
|
|
|
(4,759,220)
|
|
|
|
|
|
Montpelier Re Holdings Ltd.
|
|
|
(120,000)
|
|
|
|
(3,344,400)
|
|
|
|
|
|
|
7 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares Sold
Short
|
|
|
Value
|
|
|
Common Stock Securities Sold Short (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Nationstar Mortgage Holdings, Inc.
|
|
|
(100,000)
|
|
|
$
|
(2,798,000)
|
|
|
|
|
|
Oracle Corp.
|
|
|
(113,000)
|
|
|
|
(4,169,700)
|
|
|
|
|
|
Pennsylvania Real Estate Investment Trust
|
|
|
(430,000)
|
|
|
|
(8,019,500)
|
|
|
|
|
|
Quicksilver Resources, Inc.
|
|
|
(598,734)
|
|
|
|
(1,862,063)
|
|
|
|
|
|
Rio Tinto plc, Sponsored ADR
|
|
|
(55,000)
|
|
|
|
(2,923,250)
|
|
|
|
|
|
Rosetta Resources, Inc.
|
|
|
(75,000)
|
|
|
|
(3,195,750)
|
|
|
|
|
|
Rouse Properties, Inc.
|
|
|
(203,392)
|
|
|
|
(3,547,156)
|
|
|
|
|
|
SanDisk Corp.
|
|
|
(126,500)
|
|
|
|
(8,798,075)
|
|
|
|
|
|
SandRidge Energy, Inc.
|
|
|
(200,000)
|
|
|
|
(1,230,000)
|
|
|
|
|
|
Southern Copper Corp.
|
|
|
(195,000)
|
|
|
|
(5,456,100)
|
|
|
|
|
|
United Technologies Corp.
|
|
|
(26,500)
|
|
|
|
(3,021,530)
|
|
|
|
|
|
Walter Energy, Inc.
|
|
|
(266,000)
|
|
|
|
(3,021,760)
|
|
|
|
|
|
Weingarten Realty Investors
|
|
|
(197,000)
|
|
|
|
(5,711,030)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock Securities Sold Short (Proceeds $161,545,352)
|
|
|
$
|
(171,154,779)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency Exchange Contracts as of January 31, 2014
|
|
|
Counterparty
|
|
Settlement Month(s)
|
|
|
Currency
Purchased (000’s)
|
|
|
Currency Sold
(000’s)
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
Depreciation
|
|
|
|
|
|
CITNA-B
|
|
|
04/2014
|
|
|
EUR
|
|
|
7,400
|
|
|
|
USD
|
|
|
|
10,126
|
|
|
$
|
–
|
|
|
$
|
145,346
|
|
|
CITNA-B
|
|
|
02/2014
|
|
|
TRY
|
|
|
23,000
|
|
|
|
USD
|
|
|
|
9,861
|
|
|
|
275,214
|
|
|
|
–
|
|
|
GSCO-OT
|
|
|
02/2014
|
|
|
USD
|
|
|
18,589
|
|
|
|
AUD
|
|
|
|
19,760
|
|
|
|
1,297,709
|
|
|
|
–
|
|
|
JPM
|
|
|
04/2014
|
|
|
USD
|
|
|
30,319
|
|
|
|
EUR
|
|
|
|
22,000
|
|
|
|
646,830
|
|
|
|
–
|
|
|
JPM
|
|
|
02/2014
|
|
|
USD
|
|
|
39,405
|
|
|
|
TRY
|
|
|
|
81,840
|
|
|
|
3,338,236
|
|
|
|
–
|
|
|
NOM
|
|
|
02/2014
|
|
|
USD
|
|
|
24,915
|
|
|
|
JPY
|
|
|
|
2,500,000
|
|
|
|
444,515
|
|
|
|
–
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Unrealized Appreciation and Depreciation
|
|
|
$
|
6,002,504
|
|
|
$
|
145,346
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts as of January 31, 2014:
|
|
|
Description
|
|
Exchange
|
|
|
Buy/Sell
|
|
|
Expiration
Date
|
|
|
Number of
Contracts
|
|
|
Value
|
|
|
Unrealized
Depreciation
|
|
|
|
|
|
Euro BTP
|
|
|
EUX
|
|
|
|
Sell
|
|
|
|
3/6/14
|
|
|
|
43
|
|
|
$
|
6,824,166
|
|
|
$
|
217,513
|
|
|
U.S. Treasury Nts., 10 yr.
|
|
|
CBT
|
|
|
|
Sell
|
|
|
|
3/20/14
|
|
|
|
107
|
|
|
|
13,455,250
|
|
|
|
39,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
256,923
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Credit Default Swaps at January 31, 2014
|
|
|
Reference Asset
|
|
Counterparty
|
|
|
Buy/Sell
Protection
|
|
|
Fixed
Rate
|
|
|
Maturity
Date
|
|
|
Notional
Amount (000’s)
|
|
|
Premiums
Received/(Paid)
|
|
|
Value
|
|
|
|
|
|
CDX.NA.IG.21
|
|
|
JPM
|
|
|
|
Sell
|
|
|
|
1.000
|
|
|
|
6/20/18
|
|
|
|
USD
|
|
|
|
25,000
|
|
|
$
|
(118,806)
|
|
|
$
|
273,596
|
|
|
|
|
|
Federal Republic of Germany
|
|
|
GSG
|
|
|
|
Buy
|
|
|
|
0.250
|
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
50,000
|
|
|
|
(1,804,216)
|
|
|
|
(1,953,050)
|
|
|
|
|
|
iTraxx Europe, Series 19, Version 1
|
|
|
JPM
|
|
|
|
Buy
|
|
|
|
1.000
|
|
|
|
6/20/18
|
|
|
|
EUR
|
|
|
|
19,490
|
|
|
|
(332,086)
|
|
|
|
(624,778)
|
|
|
|
|
|
Republic of Austria
|
|
|
GSG
|
|
|
|
Buy
|
|
|
|
1.000
|
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
25,000
|
|
|
|
(874,393)
|
|
|
|
(1,412,074)
|
|
|
|
|
|
Republic of France
|
|
|
GSG
|
|
|
|
Buy
|
|
|
|
0.250
|
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
25,000
|
|
|
|
(1,910,232)
|
|
|
|
(1,873,218)
|
|
|
|
|
|
Republic of Italy
|
|
|
BAC
|
|
|
|
Buy
|
|
|
|
1.000
|
|
|
|
9/20/18
|
|
|
|
USD
|
|
|
|
15,000
|
|
|
|
(1,316,379)
|
|
|
|
(886,627)
|
|
|
|
|
|
Republic of Italy
|
|
|
GSG
|
|
|
|
Buy
|
|
|
|
1.000
|
|
|
|
9/20/18
|
|
|
|
USD
|
|
|
|
30,000
|
|
|
|
(2,689,419)
|
|
|
|
(1,829,915)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total of Over-the-Counter Credit Default Swaps
|
|
|
$
|
(9,045,531)
|
|
|
$
|
(8,306,066)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
The table that follows shows the undiscounted maximum potential payment by the Fund
related to selling credit protection in credit default swaps:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type of Reference Asset on
which
the Fund Sold Protection
|
|
Total
Maximum
Potential
Payments for
Selling Credit
Protection
(Undiscounted)
|
|
|
Amount Recoverable*
|
|
|
Reference
Asset
Rating
Range**
|
|
|
|
|
|
Investment Grade Single Name Corporate Debt Indexes
|
|
|
$25,000,000
|
|
|
|
$—
|
|
|
|
BBB to BBB-
|
|
*
Amounts recoverable includes potential payments from related purchased protection for instances
where the Fund is the seller of 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Total Return Swaps at January 31, 2014
|
|
|
Reference Asset
|
|
Counterparty
|
|
|
Pay/Receive
Total Return
|
|
Floating
Rate
|
|
Maturity
Date
|
|
|
Notional Amount
(000’s)
|
|
|
Value
|
|
|
|
|
|
Blackstone Group LP (The)
|
|
|
GSG
|
|
|
Eight-
Month USD
BBA LIBOR
plus 58
Receive basis points
|
|
|
7/25/14
|
|
|
|
USD
|
|
|
|
6,058
|
|
|
$
|
1,437,228
|
|
Glossary:
Counterparty Abbreviations
|
|
|
|
|
BAC
CITNA-B
GSCO-OT
GSG
JPM
NOM
|
|
Barclays Bank plc
Citibank NA
Goldman Sachs Bank USA
Goldman Sachs International
JPMorgan Chase Bank NA
Nomura Global Financial Products, Inc.
|
|
Currency abbreviations indicate amounts reporting in currencies
|
|
AUD
|
|
Australian Dollar
|
|
EUR
JPY
TRY
|
|
Euro
Japanese Yen
New Turkish Lira
|
|
Definitions
|
|
|
|
BBA LIBOR
CDX.NA.IG.21
iTraxx Europe Series 19 Version 1
|
|
British Bankers’ Association London -Interbank Offered Rate
CDX North America Investment Grade Index, Series 21
Credit Default Swap Trading Index
for a Specific Basket of Securities
|
|
Exchange Abbreviations
|
|
|
|
CBT
EUX
|
|
Chicago Board of Trade
European Stock Exchanges
|
|
|
|
|
|
9 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited
|
Oppenheimer Flexible Strategies Fund (the “Fund”), a series of Oppenheimer
Quest for Value Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI
Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
Structured Securities.
The Fund invests in structured securities whose market values, interest rates and/or redemption
prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The
structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized
gains and losses in the accompanying Consolidated Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities Sold Short.
The Fund sells securities that it does not own, and it will therefore be obligated to purchase such
securities at a future date. Upon entering into a short position, the Fund is required to segregate cash or securities at its custodian which are pledged for the benefit of the lending broker and/or to deposit and pledge cash directly at the lending
broker, with a value equal to a certain percentage, exceeding 100%, of the value of the securities that it sold short. Cash that has been segregated and pledged for this purpose will be disclosed on the Consolidated Statement of Assets and
Liabilities in the annual and semiannual reports; securities that have been segregated and pledged for this purpose are disclosed as such in the Consolidated Statement of Investments. The aggregate market value of such cash and securities at period
end is $217,012,627. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the change in value of the open short position.
The Fund records a realized gain or loss when the short position is closed out. By entering into short sales, the Fund bears the market risk of increases in value of the security sold short in excess of the proceeds received. Until the security is
replaced, the Fund is required to pay the lender any dividend or interest earned. Dividend expense on short sales is treated as an expense in the Consolidated Statement of Operations in the annual and semiannual reports.
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
|
|
|
|
|
10 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
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 January 31, 2014, the Fund had sold securities issued on a delayed delivery basis as follows:
|
|
|
|
|
|
|
|
|
When-Issued or
Delayed Delivery
Basis Transactions
|
|
|
|
|
|
Sold securities
|
|
|
$7,416,813
|
|
Basis for Consolidation.
The Fund has established a Cayman Islands exempted company, Oppenheimer
Flexible Strategies Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The
Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange-traded funds related to gold or other special minerals. The Subsidiary may also invest in certain
fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. Investments in the Subsidiary are expected to provide the Fund with exposure to commodities markets within the limitations of the
federal tax requirements that apply to the Fund. The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.
The Statement of Investments has been consolidated and includes investments of the Fund and the Subsidiary. At
January 31, 2014, the Fund owned 7,500 shares of the subsidiary with a market value of $22,473,954.
Investment in
Oppenheimer Institutional Money Market Fund.
The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market
Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the
investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Consolidated Statement of Investments. Shares of IMMF are valued
at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the
indirect management fees incurred through the Fund’s investment in IMMF.
|
|
|
|
|
11 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Investment in Oppenheimer Master Fund.
The Fund is permitted to invest in
entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes,
specifically Oppenheimer Master Loan Fund, LLC (the “Master Fund”). The Master Fund has its own investment risks, and those risks affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the
extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.
The investment objective of Oppenheimer Master Loan Fund, LLC seeks income. The Fund’s investment in the Master
Fund is included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investment in the master fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master
Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Fund. As a shareholder, the Fund is subject to its proportional share of the Master Fund’s 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 the Master Fund.
Foreign Currency Translation.
The Fund’s accounting records are maintained in U.S. dollars. The values of securities
denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the “Exchange”), normally
4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”),
normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted
procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for
determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the
Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or
dealers.
The following methodologies are used to determine the market value or the fair value of the types of
securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded
derivatives other than futures and futures options) are valued based on the last sale price of
|
|
|
|
|
12 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Securities Valuation (Continued)
the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the
absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid
price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third
party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is
traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers.
If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between
the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a
registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds,
loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services
or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market
type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining
maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices
obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are
valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated
forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be
valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated
prices is provided below.
|
|
|
|
|
13 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Securities Valuation (Continued)
|
|
|
|
|
Security Type
|
|
Standard inputs generally considered by third-party pricing vendors
|
|
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities
|
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
|
|
Loans
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
|
Event-linked bonds
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
|
Structured securities
|
|
Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other
specific events.
|
|
Swaps
|
|
Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility
measures, and forward currency rates.
|
If a market value or price cannot be determined for a security using the methodologies described above,
or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the
security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as
determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the
fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was
determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals,
changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market
inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in
those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is
subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service
or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation
|
|
|
|
|
14 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Securities Valuation (Continued)
Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a
regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the
inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting
standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities
(including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted
prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market
participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an
indication of the risks associated with investing in those securities.
The table below categorizes amounts as of January 31,
2014 based on valuation input level:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1—
Unadjusted
Quoted Prices
|
|
|
Level 2—
Other Significant
Observable Inputs
|
|
|
Level 3—
Significant
Unobservable
Inputs
|
|
|
Value
|
|
|
Assets Table
|
|
|
Investments, at Value:
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
45,034,035
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
45,034,035
|
|
|
Consumer Staples
|
|
|
17,384,700
|
|
|
|
—
|
|
|
|
—
|
|
|
|
17,384,700
|
|
|
Energy
|
|
|
62,148,139
|
|
|
|
—
|
|
|
|
—
|
|
|
|
62,148,139
|
|
|
Financials
|
|
|
55,783,263
|
|
|
|
7,305,000
|
|
|
|
—
|
|
|
|
63,088,263
|
|
|
Health Care
|
|
|
51,296,538
|
|
|
|
8,931,134
|
|
|
|
—
|
|
|
|
60,227,672
|
|
|
Industrials
|
|
|
58,917,193
|
|
|
|
—
|
|
|
|
—
|
|
|
|
58,917,193
|
|
|
Information Technology
|
|
|
53,573,963
|
|
|
|
3,805,699
|
|
|
|
—
|
|
|
|
57,379,662
|
|
|
Materials
|
|
|
21,543,244
|
|
|
|
—
|
|
|
|
—
|
|
|
|
21,543,244
|
|
|
Telecommunication Services
|
|
|
8,477,940
|
|
|
|
—
|
|
|
|
—
|
|
|
|
8,477,940
|
|
|
Utilities
|
|
|
12,597,208
|
|
|
|
—
|
|
|
|
—
|
|
|
|
12,597,208
|
|
|
Preferred Stocks
|
|
|
11,887,815
|
|
|
|
18,003,700
|
|
|
|
—
|
|
|
|
29,891,515
|
|
|
Asset-Backed Securities
|
|
|
—
|
|
|
|
72,007,801
|
|
|
|
23,012,297
|
|
|
|
95,020,098
|
|
|
Mortgage-Backed Obligations
|
|
|
—
|
|
|
|
24,142,273
|
|
|
|
—
|
|
|
|
24,142,273
|
|
|
Non-Convertible Corporate Bond and Notes
|
|
|
—
|
|
|
|
26,037,996
|
|
|
|
—
|
|
|
|
26,037,996
|
|
|
Convertible Corporate Bond and Notes
|
|
|
—
|
|
|
|
10,865,625
|
|
|
|
—
|
|
|
|
10,865,625
|
|
|
Corporate Loans
|
|
|
—
|
|
|
|
12,053,185
|
|
|
|
—
|
|
|
|
12,053,185
|
|
|
Structured Security
|
|
|
—
|
|
|
|
—
|
|
|
|
2,576,591
|
|
|
|
2,576,591
|
|
|
|
|
|
|
15 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT
OF
INVESTMENTS
Unaudited / Continued
|
Securities Valuation (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1—
Unadjusted Quoted
Prices
|
|
|
Level 2—
Other Significant
Observable Inputs
|
|
|
Level 3—
Significant
Unobservable
Inputs
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Investment Companies
|
|
|
72,817,002
|
|
|
|
118,169,802
|
|
|
|
—
|
|
|
|
190,986,804
|
|
|
Exchange-Traded Options Purchased
|
|
|
1,399,825
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,399,825
|
|
|
Over-the-Counter Option Purchased
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
Over-the-Counter Interest Rate Swaptions Purchased
|
|
|
—
|
|
|
|
7,604,051
|
|
|
|
—
|
|
|
|
7,604,051
|
|
|
|
|
|
|
|
|
Total Investments, at Value
|
|
|
472,860,865
|
|
|
|
308,926,266
|
|
|
|
25,588,888
|
|
|
|
807,376,019
|
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps, at value
|
|
|
—
|
|
|
|
1,710,824
|
|
|
|
—
|
|
|
|
1,710,824
|
|
|
Foreign currency exchange contracts
|
|
|
—
|
|
|
|
6,002,504
|
|
|
|
—
|
|
|
|
6,002,504
|
|
|
|
|
|
|
|
|
Total Assets
|
|
$
|
472,860,865
|
|
|
$
|
316,639,594
|
|
|
$
|
25,588,888
|
|
|
$
|
815,089,347
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock Securities Sold Short
|
|
$
|
(169,999,512)
|
|
|
$
|
(1,155,267)
|
|
|
$
|
—
|
|
|
$
|
(171,154,779)
|
|
|
Foreign currency exchange contracts
|
|
|
—
|
|
|
|
(145,346)
|
|
|
|
—
|
|
|
|
(145,346)
|
|
|
Swaps, at value
|
|
|
—
|
|
|
|
(8,579,662)
|
|
|
|
—
|
|
|
|
(8,579,662)
|
|
|
Variation margin payable
|
|
|
(54,556)
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(54,556)
|
|
|
|
|
|
|
|
|
Total Liabilities
|
|
$
|
(170,054,068)
|
|
|
$
|
(9,880,275)
|
|
|
$
|
—
|
|
|
$
|
(179,934,343)
|
|
|
|
|
|
|
|
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.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into
various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing
so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and
efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through
a securities or futures exchange and cleared through a clearinghouse.
Market Risk Factors.
In accordance with its
investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk.
Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or
decreases in the commodities market.
|
|
|
|
|
16 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals,
livestock, and agricultural products.
Credit Risk.
Credit risk relates to the ability of the issuer to meet
interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk.
Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the
general market.
Foreign Exchange Rate Risk.
Foreign exchange rate risk relates to the change in the U.S. dollar value of a
security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar
depreciates against the currency.
Interest Rate Risk.
Interest rate risk refers to the fluctuations in value of fixed-income
securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates
will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter
maturities.
Volatility Risk.
Volatility risk refers to the magnitude of the movement, but not the direction of the movement,
in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its
price typically indicate lower volatility risk.
Derivatives may have little or no initial cash investment relative
to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase
its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for
securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the
Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and
potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the
additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which
is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to
these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
|
|
|
|
|
17 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign
currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized
appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated Statement of Operations in the annual and semiannual reports
within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of
Operations in the annual semiannual reports.
The Fund has entered into forward contracts with the obligation to
purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the
future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a
currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a
currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended January 31, 2014, the Fund had daily average contract amounts on forward contracts to buy
and sell of $43,949,233 and $167,310,628, respectively.
Additional associated risk to the Fund includes
counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated
price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange
and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund
is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments
|
|
|
|
|
18 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
(variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such
payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a
futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures
contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and
depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated Statement of Operations in the annual and semiannual reports at the closing or
expiration of futures contracts.
The Fund has sold futures contracts on various bonds and notes to decrease
exposure to interest rate risk.
The Fund has purchased futures contracts, which have values that are linked to the
price movement of the related commodities, in order to increase exposure to commodity risk.
During the period ended
January 31, 2014, the Fund had an ending monthly average market value of $891,550 and $20,353,868 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there
may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the
Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium
and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC
transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized
appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or
the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations in the annual and semiannual
reports.
|
|
|
|
|
19 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put
option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A
purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased call options on individual equity securities and/or equity indexes to increase exposure to equity
risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the period ended January 31, 2014, the Fund had an ending monthly average market value of $1,986,256 and
$20,190 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in
a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations
with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in
writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity
for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is
exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of January 31, 2014, the fund had no outstanding written options.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified
reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction
(“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“cleared swaps”). Swap contracts may include interest rate, equity,
debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a
schedule following the Consolidated Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Consolidated Statement of Assets and Liabilities in the annual and semiannual
reports. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation
(depreciation)
|
|
|
|
|
20 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the
Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of
Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty,
including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap
contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for
instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts.
A credit default swap is a contract that enables an investor to buy or sell protection against a
defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a
corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of
protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the
reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk
of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized
loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized
loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment
from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is
recorded as realized gain (loss) and is included on the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual
issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
|
|
|
|
|
21 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has purchased credit protection through credit default swaps to take an outright negative investment
perspective on the credit risk of an individual issuer or basket or index of issuers as opposed to decreasing its credit risk exposure related to debt securities of such issuer(s) held by the Fund.
For the period ended January 31, 2014, the Fund had ending monthly average notional amounts of $171,509,590 and
$25,000,000 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.
Total Return Swap Contracts.
A total return swap is an agreement between counterparties to exchange periodic payments based on
the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities
index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or
index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity
risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index (expressed as a percentage) multiplied by the notional amount
of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
The Fund has entered into total return swaps on various equity securities or indexes to decrease exposure to equity
risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of securities or an index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases,
dividends paid on the securities. The Fund will receive payments of a floating reference interest rate and an amount equal to the negative price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount
of the contract.
For the period ended January 31, 2014, the Fund had ending monthly average notional amounts
of $5,876,958 and $5,192,333 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.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap
transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
|
|
|
|
|
22 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the
Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line
item in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations in
the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the
Consolidated Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund
writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the
Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the
counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund has
purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type
becomes more valuable as the reference interest rate increases relative to the preset interest rate.
During the
period ended January 31, 2014, the Fund had an ending monthly average market value of $9,147,336 on purchased swaptions.
Counterparty Credit Risk.
Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to
the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate
unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the
counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements,
established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out
netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual
|
|
|
|
|
23 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover
their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of January 31, 2014, the Fund has required certain counterparties to post collateral of $13,972,404.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to
terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate
payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset
derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The
Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists
with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in
accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker,
futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers,
U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the
Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also
subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another
customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures
commission merchant.
|
|
|
|
|
24 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
NOTES TO CONSOLIDATED STATEMENT OF
INVESTMENTS
Unaudited /
Continued
|
Risk Exposures and the Use of Derivative Instruments (Continued)
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker,
futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the
margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For
derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently
pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to
cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in
the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from
its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of January 31, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual
restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted
securities are reported on a schedule following the Consolidated Statement of Investments.
Federal Taxes
The approximate 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 January 31, 2014 are noted below. 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.
|
|
|
|
|
|
|
Federal tax cost of securities
|
|
$
|
719,991,665
|
|
|
Federal tax cost of other investments
|
|
|
(160,294,047)
|
|
|
|
|
|
|
|
|
Total federal tax cost
|
|
$
|
559,697,618
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
127,059,532
|
|
|
Gross unrealized depreciation
|
|
|
(59,008,406)
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
68,051,126
|
|
|
|
|
|
|
|
|
|
|
|
|
25 OPPENHEIMER FLEXIBLE STRATEGIES FUND
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT
OF
INVESTMENTS
January 31, 2014 / Unaudited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Common Stocks—99.3%
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary—14.8%
|
|
|
Auto Components—1.6%
|
|
|
BorgWarner, Inc.
|
|
|
252,650
|
|
|
$
|
13,567,305
|
|
|
Dana Holding Corp.
|
|
|
677,800
|
|
|
|
12,823,976
|
|
|
|
|
|
|
|
|
|
26,391,281
|
|
|
Diversified Consumer Services—2.4%
|
|
|
Apollo Education Group,
Inc.
1
|
|
|
388,300
|
|
|
|
12,538,207
|
|
|
H&R Block, Inc.
|
|
|
622,050
|
|
|
|
18,910,320
|
|
|
ITT Educational Services, Inc.
1
|
|
|
283,610
|
|
|
|
8,338,134
|
|
|
|
|
|
|
|
|
|
39,786,661
|
|
|
Household Durables—4.5%
|
|
|
|
|
|
|
|
|
|
Leggett & Platt, Inc.
|
|
|
390,690
|
|
|
|
11,728,514
|
|
|
Lennar Corp., Cl. A
|
|
|
305,580
|
|
|
|
12,272,093
|
|
|
Newell Rubbermaid, Inc.
|
|
|
1,113,830
|
|
|
|
34,417,347
|
|
|
PulteGroup, Inc.
|
|
|
472,890
|
|
|
|
9,609,125
|
|
|
Tupperware Brands Corp.
|
|
|
71,040
|
|
|
|
5,566,694
|
|
|
|
|
|
|
|
|
|
73,593,773
|
|
|
Leisure Equipment & Products—0.6%
|
|
|
Hasbro, Inc.
|
|
|
187,880
|
|
|
|
9,228,665
|
|
|
Media—3.8%
|
|
|
|
|
|
|
|
|
|
Cinemark Holdings, Inc.
|
|
|
293,790
|
|
|
|
8,610,985
|
|
|
Gannett Co., Inc.
|
|
|
354,450
|
|
|
|
9,758,009
|
|
|
Interpublic Group of Cos., Inc. (The)
|
|
|
493,720
|
|
|
|
8,057,510
|
|
|
Meredith Corp.
|
|
|
164,370
|
|
|
|
7,524,859
|
|
|
National CineMedia, Inc.
|
|
|
556,333
|
|
|
|
10,392,300
|
|
|
Regal Entertainment Group, Cl. A
|
|
|
516,060
|
|
|
|
10,063,170
|
|
|
Valassis Communications, Inc.
|
|
|
194,110
|
|
|
|
6,599,740
|
|
|
|
|
|
|
|
|
|
61,006,573
|
|
|
Specialty Retail—1.9%
|
|
|
|
|
|
|
|
|
|
GameStop Corp., Cl. A
|
|
|
339,282
|
|
|
|
11,898,620
|
|
|
Office Depot,
Inc.
1
|
|
|
2,169,015
|
|
|
|
10,606,483
|
|
|
PetSmart, Inc.
|
|
|
133,630
|
|
|
|
8,418,690
|
|
|
|
|
|
|
|
|
|
30,923,793
|
|
|
Consumer Staples—3.4%
|
|
|
|
|
|
|
|
|
|
Beverages—0.7%
|
|
|
|
|
|
|
|
|
|
Cott Corp.
|
|
|
1,326,060
|
|
|
|
10,422,832
|
|
|
Food Products—1.7%
|
|
|
|
|
|
|
|
|
|
B&G Foods, Inc.
|
|
|
370,025
|
|
|
|
12,125,719
|
|
|
J.M. Smucker Co. (The)
|
|
|
164,590
|
|
|
|
15,864,830
|
|
|
|
|
|
|
|
|
|
27,990,549
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Tobacco—1.0%
|
|
|
|
|
|
|
|
|
|
Lorillard, Inc.
|
|
|
336,234
|
|
|
|
$ 16,549,438
|
|
|
Energy—6.8%
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services—1.8%
|
|
|
Diamond Offshore Drilling, Inc.
|
|
|
181,900
|
|
|
|
8,829,426
|
|
|
Noble Corp. plc
|
|
|
420,650
|
|
|
|
13,052,770
|
|
|
Oceaneering International, Inc.
|
|
|
98,795
|
|
|
|
6,732,879
|
|
|
|
|
|
|
|
|
|
28,615,075
|
|
|
Oil, Gas & Consumable Fuels—5.0%
|
|
|
Cameco Corp.
|
|
|
375,070
|
|
|
|
7,958,986
|
|
|
Cimarex Energy Co.
|
|
|
51,100
|
|
|
|
5,006,778
|
|
|
EQT Corp.
|
|
|
115,210
|
|
|
|
10,692,640
|
|
|
HollyFrontier Corp.
|
|
|
191,640
|
|
|
|
8,872,932
|
|
|
Kodiak Oil & Gas
Corp.
1
|
|
|
358,810
|
|
|
|
3,806,974
|
|
|
Pioneer Natural Resources Co.
|
|
|
64,000
|
|
|
|
10,836,480
|
|
|
QEP Resources, Inc.
|
|
|
201,200
|
|
|
|
6,215,068
|
|
|
Southwestern Energy
Co.
1
|
|
|
192,893
|
|
|
|
7,848,816
|
|
|
Tesoro Corp.
|
|
|
179,300
|
|
|
|
9,237,536
|
|
|
Whiting Petroleum Corp.
1
|
|
|
192,030
|
|
|
|
11,210,711
|
|
|
|
|
|
|
|
|
|
81,686,921
|
|
|
Financials—26.6%
|
|
|
|
|
|
|
|
|
|
Capital Markets—4.7%
|
|
|
|
|
|
|
|
|
|
Federated Investors, Inc., Cl. B
|
|
|
296,599
|
|
|
|
7,975,547
|
|
|
Invesco Ltd.
|
|
|
650,324
|
|
|
|
21,623,273
|
|
|
Lazard Ltd., Cl. A
|
|
|
875,526
|
|
|
|
37,437,492
|
|
|
Legg Mason, Inc.
|
|
|
244,882
|
|
|
|
10,370,753
|
|
|
|
|
|
|
|
|
|
77,407,065
|
|
|
Commercial Banks—8.7%
|
|
|
|
|
|
|
|
|
|
Bank of the Ozarks, Inc.
|
|
|
334,990
|
|
|
|
21,238,366
|
|
|
Boston Private Financial Holdings, Inc.
|
|
|
348,450
|
|
|
|
4,282,450
|
|
|
CIT Group, Inc.
|
|
|
423,000
|
|
|
|
19,690,650
|
|
|
East West Bancorp, Inc.
|
|
|
525,090
|
|
|
|
17,569,511
|
|
|
First NBC Bank Holding
Co.
1
|
|
|
350,850
|
|
|
|
11,437,710
|
|
|
Huntington Bancshares, Inc.
|
|
|
1,963,700
|
|
|
|
17,810,759
|
|
|
KeyCorp
|
|
|
1,322,770
|
|
|
|
16,878,545
|
|
|
OFG Bancorp
|
|
|
280,205
|
|
|
|
4,085,389
|
|
|
SunTrust Banks, Inc.
|
|
|
449,450
|
|
|
|
16,638,639
|
|
|
TCF Financial Corp.
|
|
|
745,925
|
|
|
|
12,009,393
|
|
|
|
|
|
|
|
|
|
141,641,412
|
|
|
Consumer Finance—1.0%
|
|
|
|
|
|
|
|
|
|
SLM Corp.
|
|
|
726,810
|
|
|
|
16,542,196
|
|
1 OPPENHEIMER
SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
STATEMENT
OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Insurance—8.2%
|
|
|
|
|
|
|
|
|
|
Axis Capital Holdings Ltd.
|
|
|
183,499
|
|
|
$
|
8,261,125
|
|
|
Everest Re Group Ltd.
|
|
|
67,670
|
|
|
|
9,795,909
|
|
|
Fidelity National Financial, Inc., Cl. A
|
|
|
464,151
|
|
|
|
14,639,323
|
|
|
Genworth Financial, Inc., Cl. A
1
|
|
|
1,000,210
|
|
|
|
14,753,098
|
|
|
Lincoln National Corp.
|
|
|
274,410
|
|
|
|
13,179,912
|
|
|
Reinsurance Group of America, Inc., Cl. A
|
|
|
416,260
|
|
|
|
31,082,134
|
|
|
Unum Group
|
|
|
488,850
|
|
|
|
15,740,970
|
|
|
Validus Holdings Ltd.
|
|
|
526,750
|
|
|
|
18,920,860
|
|
|
XL Group plc
|
|
|
228,206
|
|
|
|
6,558,640
|
|
|
|
|
|
|
|
|
|
132,931,971
|
|
|
Real Estate Investment Trusts (REITs)—3.7%
|
|
|
Aviv REIT, Inc.
|
|
|
399,070
|
|
|
|
9,733,317
|
|
|
CBL & Associates Properties, Inc.
|
|
|
463,580
|
|
|
|
7,876,224
|
|
|
Equity Lifestyle Properties, Inc.
|
|
|
251,730
|
|
|
|
9,895,506
|
|
|
LaSalle Hotel Properties
|
|
|
383,474
|
|
|
|
11,795,660
|
|
|
Omega Healthcare Investors, Inc.
|
|
|
472,861
|
|
|
|
15,103,181
|
|
|
Retail Opportunity Investments Corp.
|
|
|
402,027
|
|
|
|
5,813,311
|
|
|
|
|
|
|
|
|
|
60,217,199
|
|
|
Thrifts & Mortgage Finance—0.3%
|
|
|
Essent Group
Ltd.
1
|
|
|
225,270
|
|
|
|
5,654,277
|
|
|
Health Care—8.3%
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies—4.0%
|
|
|
Boston Scientific
Corp.
1
|
|
|
2,553,047
|
|
|
|
34,542,726
|
|
|
Teleflex, Inc.
|
|
|
210,577
|
|
|
|
19,718,430
|
|
|
Zimmer Holdings, Inc.
|
|
|
112,010
|
|
|
|
10,525,580
|
|
|
|
|
|
|
|
|
|
64,786,736
|
|
|
Health Care Providers & Services—3.2%
|
|
|
Humana, Inc.
|
|
|
162,210
|
|
|
|
15,783,033
|
|
|
Omnicare, Inc.
|
|
|
395,961
|
|
|
|
24,731,724
|
|
|
Universal Health Services, Inc., Cl. B
|
|
|
150,571
|
|
|
|
12,349,833
|
|
|
|
|
|
|
|
|
|
52,864,590
|
|
|
Pharmaceuticals—1.1%
|
|
|
|
|
|
|
|
|
|
Actavis
plc
1
|
|
|
91,110
|
|
|
|
17,217,968
|
|
|
Industrials—15.6%
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense—1.4%
|
|
|
|
|
|
|
L-3 Communications Holdings, Inc.
|
|
|
122,930
|
|
|
|
13,653,835
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Aerospace & Defense (Continued)
|
|
|
|
|
|
|
Raytheon Co.
|
|
|
89,170
|
|
|
$
|
8,477,392
|
|
|
|
|
|
|
|
|
|
22,131,227
|
|
|
Airlines—2.0%
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc.
|
|
|
1,065,172
|
|
|
|
32,604,915
|
|
|
Building Products—0.6%
|
|
|
Masco Corp.
|
|
|
434,886
|
|
|
|
9,202,188
|
|
|
Commercial Services & Supplies—1.1%
|
|
|
ACCO Brands
Corp.
1
|
|
|
1,457,480
|
|
|
|
8,467,959
|
|
|
Deluxe Corp.
|
|
|
200,010
|
|
|
|
9,710,485
|
|
|
|
|
|
|
|
|
|
18,178,444
|
|
|
Construction & Engineering—0.3%
|
|
|
Chicago Bridge & Iron Co. NV
|
|
|
62,450
|
|
|
|
4,683,126
|
|
|
Electrical Equipment—4.7%
|
|
|
Eaton Corp. plc
|
|
|
568,070
|
|
|
|
41,520,236
|
|
|
Hubbell, Inc., Cl. B
|
|
|
129,510
|
|
|
|
15,117,702
|
|
|
Rockwell Automation, Inc.
|
|
|
173,920
|
|
|
|
19,972,973
|
|
|
|
|
|
|
|
|
|
76,610,911
|
|
|
Machinery—4.9%
|
|
|
|
|
|
|
|
|
|
Oshkosh Corp.
|
|
|
340,110
|
|
|
|
18,413,555
|
|
|
Parker Hannifin Corp.
|
|
|
180,100
|
|
|
|
20,417,937
|
|
|
Pentair Ltd.
|
|
|
257,170
|
|
|
|
19,115,446
|
|
|
Timken Co.
|
|
|
404,420
|
|
|
|
22,780,979
|
|
|
|
|
|
|
|
|
|
80,727,917
|
|
|
Trading Companies & Distributors—0.6%
|
|
|
HD Supply Holdings,
Inc.
1
|
|
|
480,060
|
|
|
|
10,306,888
|
|
|
Information Technology—13.5%
|
|
|
Computers & Peripherals—4.0%
|
|
|
NCR
Corp.
1
|
|
|
1,159,300
|
|
|
|
40,795,767
|
|
|
Seagate Technology plc
|
|
|
240,200
|
|
|
|
12,696,972
|
|
|
Western Digital Corp.
|
|
|
142,360
|
|
|
|
12,267,161
|
|
|
|
|
|
|
|
|
|
65,759,900
|
|
|
Electronic Equipment, Instruments, &
Components—1.6%
|
|
|
Anixter International, Inc.
|
|
|
172,699
|
|
|
|
15,149,157
|
|
|
Dolby Laboratories, Inc., Cl. A
1
|
|
|
252,580
|
|
|
|
10,353,254
|
|
|
|
|
|
|
|
|
|
25,502,411
|
|
|
Internet Software & Services—0.5%
|
|
|
IAC/InterActiveCorp
|
|
|
112,090
|
|
|
|
7,850,784
|
|
|
IT Services—1.8%
|
|
|
|
|
|
|
|
|
|
Paychex, Inc.
|
|
|
126,530
|
|
|
|
5,291,484
|
|
2 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
IT Services (Continued)
|
|
|
|
|
|
|
|
|
|
VeriFone Systems,
Inc.
1
|
|
|
406,070
|
|
|
$
|
11,780,091
|
|
|
Western Union Co.
|
|
|
791,040
|
|
|
|
12,182,016
|
|
|
|
|
|
|
|
|
|
29,253,591
|
|
|
Semiconductors & Semiconductor Equipment—3.0%
|
|
|
Analog Devices, Inc.
|
|
|
240,250
|
|
|
|
11,596,867
|
|
|
Microchip Technology, Inc.
|
|
|
337,249
|
|
|
|
15,128,990
|
|
|
ON Semiconductor
Corp.
1
|
|
|
997,100
|
|
|
|
8,335,756
|
|
|
Skyworks Solutions,
Inc.
1
|
|
|
135,390
|
|
|
|
4,095,548
|
|
|
Spansion, Inc., Cl. A
1
|
|
|
673,690
|
|
|
|
10,105,350
|
|
|
|
|
|
|
|
|
|
49,262,511
|
|
|
Software—2.6%
|
|
|
|
|
|
|
|
|
|
CA, Inc.
|
|
|
546,400
|
|
|
|
17,528,512
|
|
|
Synopsys, Inc.
1
|
|
|
618,030
|
|
|
|
24,634,676
|
|
|
|
|
|
|
|
|
|
42,163,188
|
|
|
Materials—3.8%
|
|
|
|
|
|
|
|
|
|
Chemicals—0.8%
|
|
|
|
|
|
|
|
|
|
PPG Industries, Inc.
|
|
|
73,000
|
|
|
|
13,312,280
|
|
|
Containers & Packaging—1.2%
|
|
|
Ball Corp.
|
|
|
261,770
|
|
|
|
13,400,006
|
|
|
Rock-Tenn Co., Cl. A
|
|
|
62,280
|
|
|
|
6,320,175
|
|
|
|
|
|
|
|
|
|
19,720,181
|
|
|
Metals & Mining—1.0%
|
|
|
|
|
|
|
|
|
|
Nucor Corp.
|
|
|
185,720
|
|
|
|
8,979,562
|
|
|
Steel Dynamics, Inc.
|
|
|
434,600
|
|
|
|
7,170,900
|
|
|
|
|
|
|
|
|
|
16,150,462
|
|
|
Paper & Forest Products—0.8%
|
|
|
|
|
|
|
Louisiana-Pacific
Corp.
1
|
|
|
742,310
|
|
|
|
13,012,694
|
|
|
Telecommunication Services—1.2%
|
|
|
Diversified Telecommunication Services—1.2%
|
|
|
Frontier Communications Corp.
|
|
|
2,076,740
|
|
|
|
9,760,678
|
|
|
Windstream Holdings, Inc.
|
|
|
1,356,990
|
|
|
|
10,150,285
|
|
|
|
|
|
|
|
|
|
19,910,963
|
|
|
Utilities—5.3%
|
|
|
|
|
|
|
|
|
|
Electric Utilities—1.4%
|
|
|
|
|
|
|
|
|
|
Entergy Corp.
|
|
|
172,762
|
|
|
|
10,889,189
|
|
|
Pepco Holdings, Inc.
|
|
|
652,050
|
|
|
|
12,669,332
|
|
|
|
|
|
|
|
|
|
23,558,521
|
|
|
Gas Utilities—0.9%
|
|
|
|
|
|
|
|
|
|
Questar Corp.
|
|
|
625,360
|
|
|
|
14,583,395
|
|
|
Multi-Utilities—3.0%
|
|
|
|
|
|
|
|
|
|
Alliant Energy Corp.
|
|
|
256,300
|
|
|
|
13,317,348
|
|
|
Ameren Corp.
|
|
|
273,360
|
|
|
|
10,343,942
|
|
|
Avista Corp.
|
|
|
182,710
|
|
|
|
5,267,529
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Multi-Utilities (Continued)
|
|
|
|
|
|
|
|
|
|
|
DTE Energy Co.
|
|
|
|
218,510
|
|
|
|
$ 14,906,752
|
|
|
Vectren Corp.
|
|
|
|
148,272
|
|
|
|
5,414,894
|
|
|
|
|
|
|
49,250,465
|
|
|
Total Common Stocks
(Cost $1,349,738,298)
|
|
|
|
|
|
|
|
|
|
|
1,619,195,937
|
|
|
Investment Company—0.5%
|
|
|
|
|
|
|
|
|
|
|
Oppenheimer Institutional Money
|
|
|
|
|
|
|
|
|
|
|
Market Fund, Cl. E, 0.08%
2,3
|
|
|
|
|
|
|
|
|
|
|
(Cost $8,822,108)
|
|
|
|
|
|
|
8,822,108
|
|
|
|
8,822,108
|
|
|
Total Investments, at
Value (Cost
$1,358,560,406)
|
|
|
99.8%
|
|
|
|
|
|
|
|
1,628,018,045
|
|
|
Assets in Excess of
Other Liabilities
|
|
|
0.2
|
|
|
|
|
|
|
|
3,592,915
|
|
|
Net Assets
|
|
|
100.0%
|
|
|
|
|
|
|
|
$1,631,610,960
|
|
3 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
Footnotes to Statement of Investments
1.
Non-income producing security.
2.
Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended January 31, 2014, 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
October 31, 2013
|
|
|
Gross
Additions
|
|
|
Gross
Reductions
|
|
|
Shares
January 31,
2014
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E
|
|
|
28,250,948
|
|
|
|
57,707,733
|
|
|
|
77,136,573
|
|
|
|
8,822,108
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
Income
|
|
|
Oppenheimer Institutional Money Market Fund, Cl. E
|
|
|
|
|
|
|
|
|
|
$
|
8,822,108
|
|
|
$
|
4,186
|
|
3.
Rate shown is the 7-day yield as of January 31, 2014.
4 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO STATEMENT OF
INVESTMENTS
Unaudited
|
|
|
Oppenheimer Small- & Mid- Cap Value Fund (the “Fund”), a series of Oppenheimer Quest
for Value Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI
Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
Investment in Oppenheimer Institutional Money Market Fund.
The Fund is permitted to invest daily available cash
balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end
management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to
IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s
Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has
delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for
which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering
the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services
or dealers.
The following methodologies are used to determine the market value or the fair value of the
types of securities described below:
Securities traded on a registered U.S. securities exchange
(including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are
valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current
day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as
identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal
5 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO
STATEMENT OF INVESTMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
Securities Valuation (Continued)
|
|
|
exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per
the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of
priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment
company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign
issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing
evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost
adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and
“asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A
description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
|
|
|
|
|
Security Type
|
|
Standard inputs generally considered by third-party pricing vendors
|
|
|
|
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities
|
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate
factors.
|
|
|
|
Loans
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
|
|
|
Event-linked bonds
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
If a market value or price cannot be determined for a security using the methodologies described
above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value
of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or
(ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when
determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair
valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific
fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further
6 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Valuation (Continued)
|
|
|
adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities,
observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the
fair value assigned to a security if it were to sell the security.
To assess the continuing
appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and
challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation
determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of
each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including
securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted
prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that
market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not
necessarily an indication of the risks associated with investing in those securities.
7 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
Securities Valuation (Continued)
The table below categorizes amounts as of
January 31, 2014 based on valuation input level:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1—
Unadjusted
Quoted Prices
|
|
|
Level 2—
Other Significant
Observable Inputs
|
|
|
Level 3—
Significant
Unobservable
Inputs
|
|
|
Value
|
|
|
|
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
240,930,746
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
240,930,746
|
|
|
Consumer Staples
|
|
|
54,962,819
|
|
|
|
—
|
|
|
|
—
|
|
|
|
54,962,819
|
|
|
Energy
|
|
|
110,301,996
|
|
|
|
—
|
|
|
|
—
|
|
|
|
110,301,996
|
|
|
Financials
|
|
|
434,394,120
|
|
|
|
—
|
|
|
|
—
|
|
|
|
434,394,120
|
|
|
Health Care
|
|
|
134,869,294
|
|
|
|
—
|
|
|
|
—
|
|
|
|
134,869,294
|
|
|
Industrials
|
|
|
254,445,616
|
|
|
|
—
|
|
|
|
—
|
|
|
|
254,445,616
|
|
|
Information Technology
|
|
|
219,792,385
|
|
|
|
—
|
|
|
|
—
|
|
|
|
219,792,385
|
|
|
Materials
|
|
|
62,195,617
|
|
|
|
—
|
|
|
|
—
|
|
|
|
62,195,617
|
|
|
Telecommunication Services
|
|
|
19,910,963
|
|
|
|
—
|
|
|
|
—
|
|
|
|
19,910,963
|
|
|
Utilities
|
|
|
87,392,381
|
|
|
|
—
|
|
|
|
—
|
|
|
|
87,392,381
|
|
|
Investment Company
|
|
|
8,822,108
|
|
|
|
—
|
|
|
|
—
|
|
|
|
8,822,108
|
|
|
|
|
|
|
|
|
Total Assets
|
|
$
|
1,628,018,045
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,628,018,045
|
|
|
|
|
|
|
|
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.
Federal Taxes
The approximate 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 January 31, 2014 are noted below. 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.
|
|
|
|
|
|
|
Federal tax cost of securities
|
|
$
|
1,361,208,031
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
286,147,524
|
|
|
Gross unrealized depreciation
|
|
|
(19,337,510)
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
266,810,014
|
|
|
|
|
|
|
|
8 OPPENHEIMER SMALL- & MID- CAP VALUE FUND
Item 2. Controls and Procedures.
|
|
(a)
|
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 1/31/2014, 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 the 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.
|
|
|
(b)
|
There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably
likely to materially affect, the registrant’s internal control over financial reporting.
|
Item 3. Exhibits.
Exhibits 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 Quest for Value Funds
|
|
|
|
|
By:
|
|
/s/ William F. Glavin, Jr.
|
|
|
|
William F. Glavin, Jr.
|
|
|
|
Principal Executive Officer
|
|
|
|
|
Date:
|
|
3/13/2014
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
By:
|
|
/s/ William F. Glavin, Jr.
|
|
|
|
William F. Glavin, Jr.
|
|
|
|
Principal Executive Officer
|
|
|
|
|
Date:
|
|
3/13/2014
|
|
|
|
|
|
By:
|
|
/s/ Brian W. Wixted
|
|
|
|
Brian W. Wixted
|
|
|
|
Principal Financial Officer
|
|
|
|
|
Date:
|
|
3/13/2014
|
Texas Gulf Energy (CE) (USOTC:TXGE)
過去 株価チャート
から 5 2024 まで 6 2024
Texas Gulf Energy (CE) (USOTC:TXGE)
過去 株価チャート
から 6 2023 まで 6 2024
