25 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
INVESTMENTS
Unaudited / Continued
|
|
|
Currency abbreviations indicate amounts reporting in currencies (Continued)
|
|
|
|
|
RSD
|
|
Serbian Dinar
|
|
|
RUB
|
|
Russian Ruble
|
|
|
THB
|
|
Thai Bhat
|
|
|
TRY
|
|
New Turkish Lira
|
|
|
ZAR
|
|
South African Rand
|
|
Definitions
|
|
|
BANXICO
|
|
Banco de Mexico
|
|
|
BBA LIBOR
|
|
British Bankers Association London -Interbank Offered Rate
|
|
|
BZDI
|
|
Brazil Interbank Deposit Rate
|
|
|
JIBAR SAFEX
|
|
Johannesburg Interbank Agreed Rate South African Futures Exchange
|
|
|
TIIE
|
|
Interbank Equilibrium Interest Rate
|
|
Exchange Abbreviations
|
|
|
CBT
|
|
Chicago Board of Trade
|
See accompanying Notes to Financial Statements.
26 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
ASSETS AND LIABILITIES
November 29, 2013
1
Unaudited
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Investments, at valuesee accompanying statement of investments:
|
|
|
|
|
Unaffiliated companies (cost $80,826,164)
|
|
$
|
77,010,084
|
|
Affiliated companies (cost $284,933)
|
|
|
284,933
|
|
|
|
|
|
|
|
|
|
77,295,017
|
|
|
|
Cash
|
|
|
194,023
|
|
|
|
Cash used for collateral on OTC derivatives
|
|
|
194,599
|
|
|
|
Unrealized appreciation on foreign currency exchange contracts
|
|
|
927,414
|
|
|
|
Swaps, at value (premiums paid $25,240)
|
|
|
43,736
|
|
|
|
Receivables and other assets:
|
|
|
|
|
Interest and dividends
|
|
|
1,355,720
|
|
Investments sold
|
|
|
1,040,332
|
|
Variation margin receivable
|
|
|
101,959
|
|
Shares of beneficial interest sold
|
|
|
94,764
|
|
Other
|
|
|
20,170
|
|
|
|
|
|
|
Total assets
|
|
|
81,267,734
|
|
Liabilities
|
|
|
|
|
Unrealized depreciation on foreign currency exchange contracts
|
|
|
1,312,655
|
|
|
|
Options written, at value (premiums received $96,036)
|
|
|
34,514
|
|
|
|
Swaps, at value
|
|
|
156,780
|
|
|
|
Payables and other liabilities:
|
|
|
|
|
Shares of beneficial interest redeemed
|
|
|
192,384
|
|
Investments purchased
|
|
|
191,736
|
|
Dividends
|
|
|
81,919
|
|
Distribution and service plan fees
|
|
|
15,304
|
|
Transfer and shareholder servicing agent fees
|
|
|
15,192
|
|
Trustees compensation
|
|
|
4,074
|
|
Shareholder communications
|
|
|
2,246
|
|
Variation margin payable
|
|
|
625
|
|
Other
|
|
|
47,649
|
|
|
|
|
|
|
Total liabilities
|
|
|
2,055,078
|
|
|
|
Net Assets
|
|
$
|
79,212,656
|
|
|
|
|
|
|
|
|
|
|
|
Composition of Net Assets
|
|
|
|
|
Par value of shares of beneficial interest
|
|
$
|
8,461
|
|
|
|
Additional paid-in capital
|
|
|
89,955,832
|
|
|
|
Accumulated net investment loss
|
|
|
(173,598)
|
|
|
|
Accumulated net realized loss on investments and foreign currency transactions
|
|
|
(6,490,369)
|
|
|
|
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies
|
|
|
(4,087,670)
|
|
|
|
|
|
|
Net Assets
|
|
$
|
79,212,656
|
|
|
|
|
|
|
27 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
ASSETS AND
LIABILITIES
Unaudited / Continued
|
|
|
|
|
|
|
|
Net Asset Value Per Share
|
|
|
|
|
Class A Shares:
|
|
|
|
|
Net asset value and redemption price per share (based on net assets of $51,049,669 and 5,453,003 shares of beneficial interest outstanding)
|
|
$
|
9.36
|
|
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price)
|
|
$
|
9.83
|
|
Class C Shares:
|
|
|
|
|
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of
$17,765,555 and 1,896,753 shares of beneficial interest outstanding)
|
|
$
|
9.37
|
|
Class I Shares:
|
|
|
|
|
Net asset value, redemption price and offering price per share (based on net assets of $8,890 and 950 shares of beneficial interest
outstanding)
|
|
$
|
9.36
|
|
Class N Shares:
|
|
|
|
|
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of
$2,066,416 and 220,721 shares of beneficial interest outstanding)
|
|
$
|
9.36
|
|
Class Y Shares:
|
|
|
|
|
Net asset value, redemption price and offering price per share (based on net assets of $8,322,126 and 889,274 shares of beneficial interest outstanding)
|
|
$
|
9.36
|
|
1.
November 29, 2013 represents the last business day of the Funds reporting period. See
Note 1 of the accompanying Notes.
See accompanying Notes to Financial Statements
28 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENT OF
OPERATIONS
For the Six Months Ended November
29, 2013
1
Unaudited
|
|
|
|
|
|
|
|
Investment Income
|
|
|
|
|
Interest
|
|
$
|
2,670,522
|
|
Dividends:
|
|
|
|
|
Unaffiliated companies
|
|
|
4,628
|
|
Affiliated companies
|
|
|
679
|
|
Other income
|
|
|
1,739
|
|
|
|
|
|
|
Total investment income
|
|
|
2,677,568
|
|
Expenses
|
|
|
|
|
Management fees
|
|
|
338,857
|
|
Distribution and service plan fees:
|
|
|
|
|
Class A
|
|
|
52,101
|
|
Class C
|
|
|
104,128
|
|
Class N
|
|
|
6,053
|
|
Transfer and shareholder servicing agent fees:
|
|
|
|
|
Class A
|
|
|
63,524
|
|
Class C
|
|
|
30,195
|
|
Class I
|
|
|
2
|
|
Class N
|
|
|
3,692
|
|
Class Y
|
|
|
13,031
|
|
Shareholder communications:
|
|
|
|
|
Class A
|
|
|
10,099
|
|
Class C
|
|
|
4,691
|
|
Class N
|
|
|
442
|
|
Class Y
|
|
|
1,934
|
|
Custodian fees and expenses
|
|
|
35,873
|
|
Trustees compensation
|
|
|
5,401
|
|
Other
|
|
|
31,956
|
|
|
|
|
|
|
Total expenses
|
|
|
701,979
|
|
Less waivers and reimbursements of expenses
|
|
|
(76,316
|
)
|
|
|
|
|
|
Net expenses
|
|
|
625,663
|
|
Net Investment Income
|
|
|
2,051,905
|
|
Realized and Unrealized Gain (Loss)
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments from:
|
|
|
|
|
Unaffiliated companies (including premiums on options exercised)
|
|
|
(7,485,236
|
)
|
Closing and expiration of option contracts written
|
|
|
52,353
|
|
Closing and expiration of futures contracts
|
|
|
450,575
|
|
Foreign currency transactions
|
|
|
(1,772,349
|
)
|
Swap contracts
|
|
|
168,623
|
|
Closing and expiration of swaption contracts written
|
|
|
(125,387
|
)
|
|
|
|
|
|
Net realized loss
|
|
|
(8,711,421
|
)
|
29 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENT OF OPERATIONS
Unaudited Continued
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) Continued
|
|
|
|
|
Net change in unrealized appreciation/depreciation on:
|
|
|
|
|
Investments
|
|
$
|
(293,740
|
)
|
Translation of assets and liabilities denominated in foreign currencies
|
|
|
(326,602
|
)
|
Futures contracts
|
|
|
(138,316
|
)
|
Option contracts written
|
|
|
68,518
|
|
Swap contracts
|
|
|
(158,508
|
)
|
Swaption contracts written
|
|
|
76,573
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation
|
|
|
(772,075
|
)
|
Net Decrease in Net Assets Resulting from Operations
|
|
$
|
(7,431,591
|
)
|
|
|
|
|
|
1.
November 29, 2013 represents the last business day of the Funds reporting period. See
Note 1 of the accompanying Notes.
See accompanying Notes to Financial Statements.
30 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
STATEMENTS OF
CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
November 29,
2013
1
(Unaudited)
|
|
|
Year Ended
May 31, 2013
|
|
Operations
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
2,051,905
|
|
|
$
|
4,651,581
|
|
Net realized gain (loss)
|
|
|
(8,711,421
|
)
|
|
|
3,678,763
|
|
Net change in unrealized appreciation/depreciation
|
|
|
(772,075
|
)
|
|
|
(157,274
|
)
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations
|
|
|
(7,431,591
|
)
|
|
|
8,173,070
|
|
Dividends and/or Distributions to Shareholders
|
|
|
|
|
|
|
|
|
Dividends from net investment income:
|
|
|
|
|
|
|
|
|
Class A
|
|
|
(1,356,070
|
)
|
|
|
(3,119,614
|
)
|
Class C
|
|
|
(422,722
|
)
|
|
|
(811,507
|
)
|
Class I
|
|
|
(244
|
)
|
|
|
(352
|
)
|
Class N
|
|
|
(55,821
|
)
|
|
|
(103,847
|
)
|
Class Y
|
|
|
(275,905
|
)
|
|
|
(616,173
|
)
|
|
|
|
|
|
|
|
|
(2,110,762
|
)
|
|
|
(4,651,493
|
)
|
Beneficial Interest Transactions
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from beneficial interest transactions:
|
|
|
|
|
|
|
|
|
Class A
|
|
|
(7,942,201
|
)
|
|
|
10,505,639
|
|
Class C
|
|
|
(6,064,494
|
)
|
|
|
13,648,128
|
|
Class I
|
|
|
0
|
|
|
|
10,000
|
|
Class N
|
|
|
(670,765
|
)
|
|
|
1,511,353
|
|
Class Y
|
|
|
(5,964,334
|
)
|
|
|
7,857,100
|
|
|
|
|
|
|
|
|
|
(20,641,794
|
)
|
|
|
33,532,220
|
|
Net Assets
|
|
|
|
|
|
|
|
|
Total increase (decrease)
|
|
|
(30,184,147
|
)
|
|
|
37,053,797
|
|
Beginning of period
|
|
|
109,396,803
|
|
|
|
72,343,006
|
|
|
|
|
|
|
End of period (including accumulated net investment loss of $173,598 and $114,741, respectively)
|
|
$
|
79,212,656
|
|
|
$
|
109,396,803
|
|
|
|
|
|
|
1.
November 29, 2013 represents the last business day of the Funds reporting period. See
Note 1 of the accompanying Notes.
See accompanying Notes to Financial Statements.
31 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
Six Months
Ended
November 29,
2013
1
(Unaudited)
|
|
|
Year Ended
May 31, 2013
|
|
|
Year Ended
May 31, 2012
|
|
|
Period Ended
May 31, 2011
2
|
|
|
|
Per Share Operating Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
$
|
10.00
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
3
|
|
|
0.23
|
|
|
|
0.53
|
|
|
|
0.56
|
|
|
|
0.52
|
|
Net realized and unrealized gain (loss)
|
|
|
(0.99)
|
|
|
|
0.62
|
|
|
|
(0.94)
|
|
|
|
0.75
|
|
|
|
|
|
|
Total from investment operations
|
|
|
(0.76)
|
|
|
|
1.15
|
|
|
|
(0.38)
|
|
|
|
1.27
|
|
|
|
Dividends and/or distributions to shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.23)
|
|
|
|
(0.53)
|
|
|
|
(0.41)
|
|
|
|
(0.52)
|
|
Distributions from net realized gain
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.02)
|
|
Tax return of capital distribution
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.21)
|
|
|
|
0.00
|
|
|
|
|
|
|
Total dividends and/or distributions to shareholders
|
|
|
(0.23)
|
|
|
|
(0.53)
|
|
|
|
(0.62)
|
|
|
|
(0.54)
|
|
|
|
Net asset value, end of period
|
|
$
|
9.36
|
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
|
|
|
|
|
|
|
Total Return, at Net Asset Value
4
|
|
|
(7.34)%
|
|
|
|
11.84%
|
|
|
|
(3.67)%
|
|
|
|
12.85%
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
51,050
|
|
|
$
|
64,789
|
|
|
$
|
51,319
|
|
|
$
|
43,912
|
|
|
|
Average net assets (in thousands)
|
|
$
|
55,787
|
|
|
$
|
62,849
|
|
|
$
|
48,137
|
|
|
$
|
35,869
|
|
|
|
Ratios to average net assets:
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
4.71%
|
|
|
|
4.96%
|
|
|
|
5.49%
|
|
|
|
5.31%
|
|
Total expenses
6
|
|
|
1.37%
|
|
|
|
1.30%
|
|
|
|
1.26%
|
|
|
|
1.26%
|
|
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
|
|
1.25%
|
|
|
|
1.25%
|
|
|
|
1.23%
|
|
|
|
1.24%
|
|
|
|
Portfolio turnover rate
|
|
|
120%
|
|
|
|
130%
|
|
|
|
93%
|
|
|
|
80%
|
|
1.
November 29, 2013 represents the last business day of the Funds semiannual period. See
Note 1 of the accompanying Notes.
2.
For the period from June 30, 2010 (commencement of operations) to May 31, 2011.
3.
Per share amounts calculated based on the average shares outstanding during the period.
4.
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5.
Annualized for periods less than one full year.
6.
Total expenses including indirect
expenses from affiliated fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended November 29, 2013
|
|
|
1.37
|
%
|
|
|
|
|
Year Ended May 31, 2013
|
|
|
1.30
|
%
|
|
|
|
|
Year Ended May 31, 2012
|
|
|
1.26
|
%
|
|
|
|
|
Period Ended May 31, 2011
|
|
|
1.26
|
%
|
|
|
See accompanying Notes to Financial Statements.
32 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class C
|
|
Six Months
Ended
November 29,
2013
1
(Unaudited)
|
|
|
Year Ended
May 31, 2013
|
|
|
Year Ended
May 31, 2012
|
|
|
Period Ended
May 31, 2011
2
|
|
|
|
Per Share Operating Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
$
|
10.00
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
3
|
|
|
0.19
|
|
|
|
0.44
|
|
|
|
0.48
|
|
|
|
0.44
|
|
Net realized and unrealized gain (loss)
|
|
|
(0.97)
|
|
|
|
0.63
|
|
|
|
(0.94)
|
|
|
|
0.75
|
|
|
|
|
|
|
Total from investment operations
|
|
|
(0.78)
|
|
|
|
1.07
|
|
|
|
(0.46)
|
|
|
|
1.19
|
|
|
|
Dividends and/or distributions to shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.20)
|
|
|
|
(0.45)
|
|
|
|
(0.36)
|
|
|
|
(0.44)
|
|
Distributions from net realized gain
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.02)
|
|
Tax return of capital distribution
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.18)
|
|
|
|
0.00
|
|
|
|
|
|
|
Total dividends and/or distributions to shareholders
|
|
|
(0.20)
|
|
|
|
(0.45)
|
|
|
|
(0.54)
|
|
|
|
(0.46)
|
|
|
|
Net asset value, end of period
|
|
$
|
9.37
|
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
|
|
|
|
|
|
Total Return, at Net Asset Value
4
|
|
|
(7.59)%
|
|
|
|
11.00%
|
|
|
|
(4.40)%
|
|
|
|
12.05%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
17,766
|
|
|
$
|
26,066
|
|
|
$
|
12,070
|
|
|
$
|
7,241
|
|
|
|
Average net assets (in thousands)
|
|
$
|
20,663
|
|
|
$
|
19,486
|
|
|
$
|
9,819
|
|
|
$
|
3,962
|
|
|
|
Ratios to average net assets:
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
3.96%
|
|
|
|
4.16%
|
|
|
|
4.73%
|
|
|
|
4.56%
|
|
Total expenses
6
|
|
|
2.26%
|
|
|
|
2.26%
|
|
|
|
2.36%
|
|
|
|
2.46%
|
|
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
|
|
2.00%
|
|
|
|
2.00%
|
|
|
|
2.00%
|
|
|
|
2.00%
|
|
|
|
Portfolio turnover rate
|
|
|
120%
|
|
|
|
130%
|
|
|
|
93%
|
|
|
|
80%
|
|
1.
November 29, 2013 represents the last business day of the Funds semiannual period. See
Note 1 of the accompanying Notes.
2.
For the period from June 30, 2010 (commencement of operations) to May 31, 2011.
3.
Per share amounts calculated based on the average shares outstanding during the period.
4.
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5.
Annualized for periods less than one full year.
6.
Total expenses including indirect
expenses from affiliated fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended November 29, 2013
|
|
|
2.26
|
%
|
|
|
|
|
Year Ended May 31, 2013
|
|
|
2.26
|
%
|
|
|
|
|
Year Ended May 31, 2012
|
|
|
2.36
|
%
|
|
|
|
|
Period Ended May 31, 2011
|
|
|
2.46
|
%
|
|
|
See accompanying Notes to Financial Statements.
33 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
FINANCIAL
HIGHLIGHTS
Continued
|
|
|
|
|
|
|
|
|
|
|
|
Class I
|
|
Six Months
Ended
November 29,
2013
1
(Unaudited)
|
|
|
Period Ended
May 31,
2013
2
|
|
|
|
Per Share Operating Data
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.34
|
|
|
$
|
10.53
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
Net investment income
3
|
|
|
0.25
|
|
|
|
0.37
|
|
Net realized and unrealized loss
|
|
|
(0.98)
|
|
|
|
(0.19)
|
|
|
|
|
|
|
Total from investment operations
|
|
|
(0.73)
|
|
|
|
0.18
|
|
|
|
Dividends and/or distributions to shareholders:
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.25)
|
|
|
|
(0.37)
|
|
Distributions from net realized gain
|
|
|
0.00
|
|
|
|
0.00
|
|
Tax return of capital distribution
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
|
|
|
Total dividends and/or distributions to shareholders
|
|
|
(0.25)
|
|
|
|
(0.37)
|
|
|
|
Net asset value, end of period
|
|
$
|
9.36
|
|
|
$
|
10.34
|
|
|
|
|
|
|
|
|
Total Return, at Net Asset Value
4
|
|
|
(7.06)%
|
|
|
|
1.69%
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
9
|
|
|
$
|
10
|
|
|
|
Average net assets (in thousands)
|
|
$
|
9
|
|
|
$
|
10
|
|
|
|
Ratios to average net assets:
5
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
5.14%
|
|
|
|
5.20%
|
|
Total expenses
6
|
|
|
0.94%
|
|
|
|
0.95%
|
|
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
|
|
0.84%
|
|
|
|
0.85%
|
|
|
|
Portfolio turnover rate
|
|
|
120%
|
|
|
|
130%
|
|
1.
November 29, 2013 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes.
2.
For the period from September 28, 2012 (commencement of operations) to May 31, 2013.
3.
Per share amounts calculated based on the average shares outstanding during the period.
4.
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5.
Annualized for periods less than one full year.
6.
Total expenses including indirect
expenses from affiliated fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended November 29, 2013
|
|
|
0.94
|
%
|
|
|
|
|
Period Ended May 31, 2013
|
|
|
0.95
|
%
|
|
|
See accompanying Notes to Financial Statements.
34 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class N
|
|
Six Months
Ended
November 29,
2013
1
(Unaudited)
|
|
|
Year Ended
May 31, 2013
|
|
|
Year Ended
May 31, 2012
|
|
|
Period Ended
May 31, 2011
2
|
|
|
|
Per Share Operating Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
$
|
10.00
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
3
|
|
|
0.22
|
|
|
|
0.50
|
|
|
|
0.53
|
|
|
|
0.49
|
|
Net realized and unrealized gain (loss)
|
|
|
(0.99)
|
|
|
|
0.62
|
|
|
|
(0.94)
|
|
|
|
0.75
|
|
|
|
|
|
|
Total from investment operations
|
|
|
(0.77)
|
|
|
|
1.12
|
|
|
|
(0.41)
|
|
|
|
1.24
|
|
|
|
Dividends and/or distributions to shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.22)
|
|
|
|
(0.50)
|
|
|
|
(0.39)
|
|
|
|
(0.49)
|
|
Distributions from net realized gain
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.02)
|
|
Tax return of capital distribution
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.20)
|
|
|
|
0.00
|
|
|
|
|
|
|
Total dividends and/or distributions to shareholders
|
|
|
(0.22)
|
|
|
|
(0.50)
|
|
|
|
(0.59)
|
|
|
|
(0.51)
|
|
|
|
Net asset value, end of period
|
|
$
|
9.36
|
|
|
$
|
10.35
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
|
|
|
|
|
|
|
Total Return, at Net Asset Value
4
|
|
|
(7.46)%
|
|
|
|
11.57%
|
|
|
|
(3.90)%
|
|
|
|
12.59%
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
2,066
|
|
|
$
|
3,014
|
|
|
$
|
1,452
|
|
|
$
|
538
|
|
|
|
Average net assets (in thousands)
|
|
$
|
2,433
|
|
|
$
|
2,210
|
|
|
$
|
1,154
|
|
|
$
|
300
|
|
|
|
Ratios to average net assets:
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
4.45%
|
|
|
|
4.69%
|
|
|
|
5.23%
|
|
|
|
5.06%
|
|
Total expenses
6
|
|
|
1.75%
|
|
|
|
1.72%
|
|
|
|
1.69%
|
|
|
|
2.07%
|
|
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
|
|
1.50%
|
|
|
|
1.50%
|
|
|
|
1.50%
|
|
|
|
1.50%
|
|
|
|
Portfolio turnover rate
|
|
|
120%
|
|
|
|
130%
|
|
|
|
93%
|
|
|
|
80%
|
|
1.
November 29, 2013 represents the last business day of the Funds semiannual period.
See Note 1 of the accompanying Notes.
2.
For the period from June 30, 2010 (commencement of operations) to May 31,
2011.
3.
Per share amounts calculated based on the average shares outstanding during the period.
4.
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5.
Annualized for periods less than one full year.
6.
Total expenses including indirect
expenses from affiliated fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended November 29, 2013
|
|
|
1.75
|
%
|
|
|
|
|
Year Ended May 31, 2013
|
|
|
1.72
|
%
|
|
|
|
|
Year Ended May 31, 2012
|
|
|
1.69
|
%
|
|
|
|
|
Period Ended May 31, 2011
|
|
|
2.07
|
%
|
|
|
See accompanying Notes to Financial Statements.
35 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
FINANCIAL HIGHLIGHTS
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class Y
|
|
Six Months
Ended
November 29,
2013
1
(Unaudited)
|
|
|
Year Ended
May 31, 2013
|
|
|
Year Ended
May 31, 2012
|
|
|
Period Ended
May 31, 2011
2
|
|
|
|
Per Share Operating Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.34
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
$
|
10.00
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
3
|
|
|
0.25
|
|
|
|
0.55
|
|
|
|
0.59
|
|
|
|
0.55
|
|
Net realized and unrealized gain (loss)
|
|
|
(0.98)
|
|
|
|
0.62
|
|
|
|
(0.94)
|
|
|
|
0.74
|
|
|
|
|
|
|
Total from investment operations
|
|
|
(0.73)
|
|
|
|
1.17
|
|
|
|
(0.35)
|
|
|
|
1.29
|
|
|
|
Dividends and/or distributions to shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(0.25)
|
|
|
|
(0.56)
|
|
|
|
(0.43)
|
|
|
|
(0.54)
|
|
Distributions from net realized gain
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.02)
|
|
Tax return of capital distribution
|
|
|
0.00
|
|
|
|
0.00
|
|
|
|
(0.22)
|
|
|
|
0.00
|
|
|
|
|
|
|
Total dividends and/or distributions to shareholders
|
|
|
(0.25)
|
|
|
|
(0.56)
|
|
|
|
(0.65)
|
|
|
|
(0.56)
|
|
|
|
Net asset value, end of period
|
|
$
|
9.36
|
|
|
$
|
10.34
|
|
|
$
|
9.73
|
|
|
$
|
10.73
|
|
|
|
|
|
|
|
|
|
Total Return, at Net Asset Value
4
|
|
|
(7.10)%
|
|
|
|
12.07%
|
|
|
|
(3.37)%
|
|
|
|
13.11%
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
8,322
|
|
|
$
|
15,518
|
|
|
$
|
7,502
|
|
|
$
|
2,514
|
|
|
|
Average net assets (in thousands)
|
|
$
|
10,599
|
|
|
$
|
11,863
|
|
|
$
|
5,855
|
|
|
$
|
883
|
|
|
|
Ratios to average net assets:
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
5.06%
|
|
|
|
5.20%
|
|
|
|
5.74%
|
|
|
|
5.66%
|
|
Total expenses
6
|
|
|
1.21%
|
|
|
|
1.17%
|
|
|
|
1.23%
|
|
|
|
1.33%
|
|
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses
|
|
|
0.95%
|
|
|
|
0.95%
|
|
|
|
0.95%
|
|
|
|
0.95%
|
|
|
|
Portfolio turnover rate
|
|
|
120%
|
|
|
|
130%
|
|
|
|
93%
|
|
|
|
80%
|
|
1.
November 29, 2013 represents the last business day of the Funds reporting period. See
Note 1 of the accompanying Notes.
2.
For the period from June 30, 2010 (commencement of operations) to May 31, 2011.
3.
Per share amounts calculated based on the average shares outstanding during the period.
4.
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5.
Annualized for periods less than one full year.
6.
Total expenses including indirect
expenses from affiliated fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended November 29, 2013
|
|
|
1.21
|
%
|
|
|
|
|
Year Ended May 31, 2013
|
|
|
1.17
|
%
|
|
|
|
|
Year Ended May 31, 2012
|
|
|
1.23
|
%
|
|
|
|
|
Period Ended May 31, 2011
|
|
|
1.33
|
%
|
|
|
See accompanying Notes to Financial Statements.
36 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
November 29, 2013 Unaudited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1. Significant Accounting Policies
|
|
|
Oppenheimer Emerging Markets Debt Fund (the Fund) is a non-diversified open-end
management investment company registered under the Investment Company Act of 1940, as amended. The Funds investment objective is to seek total return. The Funds investment adviser is OFI Global Asset Management, Inc. (OFI
Global or the Manager), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OppenheimerFunds, Inc. (OFI or the Sub-Adviser).
The Fund offers Class A, Class C, Class I, Class N and Class Y shares. Class A shares are sold at their offering price,
which is normally net asset value plus a front-end sales charge. Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through
retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however,
the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on
matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly
attributable to that class. Class A, C and N shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees.
The following is a summary of significant accounting policies consistently followed by the Fund.
Semiannual Period.
The last day of the Funds semiannual period was the last day the New York Stock Exchange was open for trading. The
Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
Structured Securities.
The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to
the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are
often leveraged, increasing the volatility of each notes market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.
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
37 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1. Significant Accounting Policies (Continued)
|
|
|
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 Funds 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 IMMFs 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 Funds investment in IMMF.
Foreign Currency Translation.
The Funds accounting records are maintained in U.S.
dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the
Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and
maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding
taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from
changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign
currency gains and losses in the Funds Statement of Operations.
Allocation of Income, Expenses, Gains and Losses.
Income,
expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly
attributable to a specific class are charged against the operations of that class.
Federal Taxes.
The Fund intends to comply
with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss
carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Funds tax return
filings generally remain open for the three preceding fiscal reporting period ends.
38 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
1. Significant Accounting Policies (Continued)
|
|
|
During the fiscal year ended May 31, 2013, the Fund utilized $456,095 of
capital loss carryforward to offset capital gains realized in that fiscal year. The Fund had straddle losses of $146.
As
of November 29, 2013, it is estimated that the capital loss carryforwards would be $8,711,421 which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or
decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended November 29, 2013, it is estimated that the Fund will not utilize any capital loss carryforward to offset
realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and
tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends
and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities
and other investments for federal income tax purposes as of November 29, 2013 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is
attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
|
|
|
|
|
Federal tax cost of securities
|
|
$
|
81,418,621
|
|
Federal tax cost of other investments
|
|
|
(8,247,485)
|
|
|
|
|
|
|
Total federal tax cost
|
|
$
|
73,171,136
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
591,659
|
|
Gross unrealized depreciation
|
|
|
(4,700,053)
|
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(4,108,394
)
|
|
|
|
|
|
|
Certain foreign countries impose a tax on capital gains which is accrued by the Fund based on unrealized
appreciation, if any, on affected securities. The tax is paid when the gain is realized.
Trustees Compensation.
The Board
of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the
amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of Other within the asset section of the Statement
of Assets and Liabilities.
39 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1. Significant Accounting Policies (Continued)
|
|
|
Deferral of trustees fees under the plan will not affect the net assets of the Fund, and
will not materially affect the Funds assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Dividends and Distributions to Shareholders.
Dividends and distributions to shareholders, which are determined in accordance with income tax
regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid
annually.
Investment Income.
Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of
certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis.
Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees.
Custodian fees and expenses in the Statement of Operations may include interest expense incurred by the Fund on
any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund
pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The Reduction to custodian expenses line
item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions.
Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on
the basis of identified cost.
Indemnifications.
The Funds organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general
indemnifications. The Funds maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
40 OPPENHEIMER EMERGING MARKETS DEBT FUND
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 Funds
Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and
ratification by the Funds 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 Funds 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 days closing bid and asked prices, and
if not, at the current days 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 Funds 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 companys 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
41 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES
TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2. Securities Valuation (Continued)
|
|
|
(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 Funds assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is
provided below.
|
|
|
Security Type
|
|
Standard inputs generally considered by third-
party pricing vendors
|
Corporate debt, government debt, municipal, mortgage-backed and asset-backed
securities
|
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity,
and other appropriate factors.
|
Loans
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
Event-linked bonds
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
Structured securities
|
|
Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads,
commodities, or the occurrence of other specific events.
|
Swaps
|
|
Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates,
variable interest rates, volatility measures, and forward currency rates.
|
If a market value or price cannot be determined for a security using the methodologies described above, or
if, in the good faith opinion of the Manager, the market value or price obtained does not constitute a readily available market quotation, or a significant 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 Funds Board or (ii) as
determined in good faith by the Managers Valuation Committee. The Valuation
42 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
2. Securities Valuation
(Continued)
|
|
|
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 Funds Board at its next regularly scheduled meeting covering
the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value
based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When
possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an
indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to
oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker
source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such
methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at
measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Funds 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 Managers own judgments about assumptions that market participants would use in
pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with
investing in those securities.
The table below categorizes amounts that are included in the Funds Statement of Assets and
Liabilities as of November 29, 2013 based on valuation input level:
43 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2. Securities Valuation (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
Unadjusted
Quoted Prices
|
|
|
Level 2
Other Significant
Observable Inputs
|
|
|
Level 3
Significant
Unobservable
Inputs
|
|
|
Value
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations
|
|
$
|
|
|
|
$
|
399,779
|
|
|
$
|
|
|
|
$
|
399,779
|
|
Foreign Government Obligations
|
|
|
|
|
|
|
62,244,105
|
|
|
|
|
|
|
|
62,244,105
|
|
Corporate Bonds and Notes
|
|
|
|
|
|
|
14,010,244
|
|
|
|
112,038
|
|
|
|
14,122,282
|
|
Structured Securities
|
|
|
|
|
|
|
220,600
|
|
|
|
|
|
|
|
220,600
|
|
Options Purchased
|
|
|
|
|
|
|
23,318
|
|
|
|
|
|
|
|
23,318
|
|
Investment Company
|
|
|
284,933
|
|
|
|
|
|
|
|
|
|
|
|
284,933
|
|
|
|
|
|
|
Total Investments, at Value
|
|
|
284,933
|
|
|
|
76,898,046
|
|
|
|
112,038
|
|
|
|
77,295,017
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
|
|
|
|
|
|
927,414
|
|
|
|
|
|
|
|
927,414
|
|
Swaps, at value
|
|
|
|
|
|
|
43,736
|
|
|
|
|
|
|
|
43,736
|
|
Variation margin receivable
|
|
|
101,959
|
|
|
|
|
|
|
|
|
|
|
|
101,959
|
|
|
|
|
|
|
Total Assets
|
|
$
|
386,892
|
|
|
$
|
77,869,196
|
|
|
$
|
112,038
|
|
|
$
|
78,368,126
|
|
|
|
|
|
|
Liabilities Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
|
$
|
|
|
|
$
|
(1,312,655
|
)
|
|
$
|
|
|
|
$
|
(1,312,655
|
)
|
Swap, at value
|
|
|
|
|
|
|
(156,780
|
)
|
|
|
|
|
|
|
(156,780
|
)
|
Options written, at value
|
|
|
|
|
|
|
(34,514
|
)
|
|
|
|
|
|
|
(34,514
|
)
|
Variation margin payable
|
|
|
(625
|
)
|
|
|
|
|
|
|
|
|
|
|
(625
|
)
|
|
|
|
|
|
Total Liabilities
|
|
$
|
(625
|
)
|
|
$
|
(1,503,949
|
)
|
|
$
|
|
|
|
$
|
(1,504,574
|
)
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement
date, which represents the change in the contracts 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 2 and Level 3. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfer out of
Level 2*
|
|
|
Transfer into
Level 3*
|
|
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
|
|
$
|
(114,929
|
)
|
|
$
|
114,929
|
|
|
|
|
|
|
|
|
Total Assets
|
|
$
|
(114,929
|
)
|
|
$
|
114,929
|
|
|
|
|
|
|
|
|
* Transferred from Level 2 to Level 3 because of the lack of observable market data.
3. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
44 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
3. Shares of Beneficial Interest (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
November 29, 2013
|
|
|
Year Ended
May 31, 2013
1
|
|
|
|
Shares
|
|
|
Amount
|
|
|
Shares
|
|
|
Amount
|
|
Class A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold
|
|
|
755,294
|
|
|
$
|
7,358,412
|
|
|
|
2,938,109
|
|
|
$
|
31,271,647
|
|
Dividends and/or distributions reinvested
|
|
|
97,250
|
|
|
|
932,536
|
|
|
|
189,956
|
|
|
|
2,006,813
|
|
Redeemed
|
|
|
(1,661,594
|
)
|
|
|
(16,233,149
|
)
|
|
|
(2,140,646
|
)
|
|
|
(22,772,821
|
)
|
|
|
|
|
|
Net increase (decrease)
|
|
|
(809,050
|
)
|
|
$
|
(7,942,201
|
)
|
|
|
987,419
|
|
|
$
|
10,505,639
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class C
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold
|
|
|
210,413
|
|
|
$
|
2,050,807
|
|
|
|
1,619,600
|
|
|
$
|
17,274,890
|
|
Dividends and/or distributions reinvested
|
|
|
37,705
|
|
|
|
362,080
|
|
|
|
68,819
|
|
|
|
728,684
|
|
Redeemed
|
|
|
(869,747
|
)
|
|
|
(8,477,381
|
)
|
|
|
(410,222
|
)
|
|
|
(4,355,446
|
)
|
|
|
|
|
|
Net increase (decrease)
|
|
|
(621,629
|
)
|
|
$
|
(6,064,494
|
)
|
|
|
1,278,197
|
|
|
$
|
13,648,128
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold
|
|
|
|
|
|
$
|
|
|
|
|
950
|
|
|
$
|
10,000
|
|
Dividends and/or distributions reinvested
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Redeemed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase
|
|
|
|
|
|
$
|
|
|
|
|
950
|
|
|
$
|
10,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class N
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold
|
|
|
45,881
|
|
|
$
|
445,423
|
|
|
|
159,845
|
|
|
$
|
1,699,422
|
|
Dividends and/or distributions reinvested
|
|
|
5,645
|
|
|
|
54,165
|
|
|
|
9,749
|
|
|
|
103,152
|
|
Redeemed
|
|
|
(122,059
|
)
|
|
|
(1,170,353
|
)
|
|
|
(27,536
|
)
|
|
|
(291,221
|
)
|
|
|
|
|
|
Net increase (decrease)
|
|
|
(70,533
|
)
|
|
$
|
(670,765
|
)
|
|
|
142,058
|
|
|
$
|
1,511,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class Y
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold
|
|
|
200,737
|
|
|
$
|
1,979,780
|
|
|
|
1,628,012
|
|
|
$
|
17,325,843
|
|
Dividends and/or distributions reinvested
|
|
|
25,859
|
|
|
|
248,266
|
|
|
|
53,867
|
|
|
|
569,756
|
|
Redeemed
|
|
|
(837,480
|
)
|
|
|
(8,192,380
|
)
|
|
|
(952,996
|
)
|
|
|
(10,038,499
|
)
|
|
|
|
|
|
Net increase (decrease)
|
|
|
(610,884
|
)
|
|
$
|
(5,964,334
|
)
|
|
|
728,883
|
|
|
$
|
7,857,100
|
|
|
|
|
|
|
1.
For the year ended May 31, 2013 for Class A, Class C, Class N and Class Y shares, and for the
period from September 28, 2012 (inception of offering) to May 31, 2013, for Class I shares.
4. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended November 29, 2013 were as follows:
45 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4. Purchases and Sales of Securities (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
Sales
|
|
Investment securities
|
|
$
|
82,377,949
|
|
|
$
|
118,188,116
|
|
U.S. government and government agency obligations
|
|
|
|
|
|
|
1,087,613
|
|
5. Fees and Other Transactions with Affiliates
Management Fees.
Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the
Fund at an annual rate as shown in the following table:
|
|
|
|
|
Fee Schedule
|
|
|
|
Up to $500 million
|
|
|
0.75
|
%
|
Next $500 million
|
|
|
0.70
|
|
Next $4 billion
|
|
|
0.65
|
|
Over $5 billion
|
|
|
0.60
|
|
Sub-Adviser Fees.
The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of
the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any
investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent
Fees.
OFI Global (the Transfer Agent) serves as the transfer and shareholder servicing agent for the Fund. Fees incurred by the Fund with respect to these services are detailed in the Statement of Operations.
Sub-Transfer Agent Fees.
The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the
Sub-Transfer Agent), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to
a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Distribution and Service Plan (12b-1) Fees.
Under its General Distributors Agreement with the Fund, OppenheimerFunds Distributor, Inc.
(the Distributor) acts as the Funds principal underwriter in the continuous public offering of the Funds classes of shares.
Service Plan for Class A Shares.
The Fund has adopted a Service Plan (the Plan) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund
reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the
Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions
46 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
5. Fees and Other Transactions with Affiliates (Continued)
|
|
|
periodically for providing personal service and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of
Operations.
Distribution and Service Plans for Class C and Class N Shares.
The Fund has adopted Distribution and Service
Plans (the Plans) for Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under
the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan.
If either the Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a
portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations. The Distributor determines
its uncompensated expenses under the Plans at calendar quarter ends. The Distributors aggregate uncompensated expenses under the Plans at September 30, 2013 were as follows:
|
|
|
|
|
Class C
|
|
$
|
299,700
|
|
Class N
|
|
|
27,408
|
|
Sales Charges.
Front-end sales charges and contingent deferred sales charges (CDSC) do not
represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and
the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
|
|
Class A
Front-End
Sales Charges
Retained
by
Distributor
|
|
|
Class A
Contingent
Deferred Sales
Charges
Retained by
Distributor
|
|
|
Class C
Contingent
Deferred Sales
Charges
Retained by
Distributor
|
|
|
Class N
Contingent
Deferred Sales
Charges
Retained by
Distributor
|
|
|
|
November 29, 2013
|
|
|
$14,297
|
|
|
|
$88
|
|
|
|
$2,595
|
|
|
|
$4
|
|
|
|
Waivers and Reimbursements of Expenses.
The Manager has agreed to voluntarily waive a portion of its
management fees and/or reimburse the Fund for certain expenses so that Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses will not exceed 1.25% of average annual net assets for Class A shares,
2.00% for Class C shares, 0.85% for Class I, 1.50% for Class N shares and 0.95% for Class Y shares. During the six months ended November 29, 2013, the Manager reimbursed the Fund $32,615, $26,729, $5, $3,037 and $13,512 for Class A, Class
C, Class I, Class N and Class Y shares, respectively.
47 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5. Fees and Other Transactions with Affiliates (Continued)
|
|
|
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to
the indirect management fees incurred through the Funds investment in IMMF. During the six months ended November 29, 2013, the Manager waived fees and/or reimbursed the Fund $418 for IMMF management fees.
The Transfer Agent has voluntarily agreed to limit transfer and shareholder servicing agent fees for Classes C, N and Y
shares to 0.35% of average annual net assets per class and for Class A shares to 0.30% of average annual net assets of the class.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
6. Risk Exposures and the Use of Derivative Instruments
The Funds 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. 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
48 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
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
instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds actual exposures to these market risk factors and
associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign
currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Statement of Investments. The unrealized appreciation (depreciation) is
reported in the Statement of Assets and Liabilities as a receivable (or payable) and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the
contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund
has 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.
49 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
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 six months ended November 29, 2013, the Fund had daily average contract amounts on forward contracts to buy and sell of $62,698,414 and $53,336,251, 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 merchants 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 Funds payment obligations.
Futures contracts are
reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures
commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in
unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
50 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
6. 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.
During the six months ended November 29, 2013, the Fund had an ending monthly
average market value of $10,547,787 on futures contracts sold.
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 Funds 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 Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a
gain or loss is reported in the Statement of Operations.
The Fund has purchased call options on currencies to increase
exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes
more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the
six months ended November 29, 2013, the Fund had an ending monthly average market value of $50,899 and $10,181 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of
Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the 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.
51 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
The Fund has written put options on currencies to increase exposure to foreign
exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates
relative to the strike price.
During the six months ended November 29, 2013, the Fund had an ending monthly average
market value of $11,032 and $52,131 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 six months ended
November 29, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options
|
|
|
|
|
Put Options
|
|
|
|
|
|
Number of
Contracts
|
|
|
|
|
Amount of
Premiums
|
|
|
|
|
Number of
Contracts
|
|
|
|
|
Amount of
Premiums
|
|
|
|
Options outstanding as of May 31, 2013
|
|
|
37,900,000
|
|
|
|
|
$
|
9,878
|
|
|
|
|
|
41,900,000
|
|
|
|
|
$
|
17,404
|
|
|
|
Options written
|
|
|
360,320,000
|
|
|
|
|
|
78,662
|
|
|
|
|
|
815,780,000
|
|
|
|
|
|
218,546
|
|
|
|
Options closed or expired
|
|
|
(317,900,000
|
)
|
|
|
|
|
(43,704
|
)
|
|
|
|
|
(108,700,000
|
)
|
|
|
|
|
(86,696
|
)
|
|
|
Options exercised
|
|
|
(55,100,000
|
)
|
|
|
|
|
(26,602
|
)
|
|
|
|
|
(313,650,000
|
)
|
|
|
|
|
(71,452
|
)
|
|
|
|
|
|
|
|
|
|
Options outstanding as of November 29, 2013
|
|
|
25,220,000
|
|
|
|
|
$
|
18,234
|
|
|
|
|
|
435,330,000
|
|
|
|
|
$
|
77,802
|
|
|
|
|
|
|
|
|
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 Statement of Assets and Liabilities. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities. The
unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount
during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of
Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or
asset. Swap contracts are typically more attractively priced compared to
52 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
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 issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a
corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of
protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the
reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the
credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit
protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit
event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit
event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset.
Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers
and/or indexes of issuers.
For the six months ended November 29, 2013, the Fund had ending monthly average notional
amounts of $44,286 on credit default swaps to buy protection.
Additional associated risks to the Fund include
counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts.
An interest rate swap is an agreement between
counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
53 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
The Fund has entered into interest rate swaps in which it pays a floating interest
rate and receives a fixed interest rate in order to increase exposure to interest rate risk.
Typically, if relative interest rates rise,
payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has
entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the
swap agreement will be greater than the payments made by the Fund.
For the six months ended November 29, 2013, the
Fund had ending monthly average notional amounts of $3,540,330 and $112,693,981 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions
The
Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a
premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Statement of Investments and the Statement of Assets and
Liabilities. Written swaptions are reported on achedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities. The net change in unrealized
appreciation or depreciation on written swaptions is separately reported in the Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an
unexercised swaption contract, a gain or loss is reported in the Statement of Operations for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the
terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks
losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption
contract.
The Fund purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a
floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed
interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
54 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
The Fund has written swaptions which gives it the obligation, if exercised by the
purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference
interest rate decreases relative to the preset interest rate.
The Fund has written swaptions which gives it the
obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes
more valuable as the reference interest rate increases relative to the preset interest rate.
During the six months ended
November 29, 2013, the Fund had an ending monthly average market value of $88,078 and $124,485 on purchased and written swaptions, respectively.
Written swaption activity for the six months ended November 29, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Swaptions
|
|
|
|
|
|
|
|
Notional
Amount
|
|
|
Amount
of
Premiums
|
|
|
|
|
|
Swaptions outstanding as of
May 31, 2013
|
|
|
17,600,000
|
|
|
$
|
198,794
|
|
|
|
|
|
Swaptions written
|
|
|
23,005,000
|
|
|
|
134,573
|
|
|
|
|
|
Swaptions closed or expired
|
|
|
(40,605,000
|
)
|
|
|
(333,367
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaptions outstanding as of
November 29, 2013
|
|
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Funds 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 Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting)
for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post
cash and/or securities in collateral accounts to cover their net payment obligations for those derivative
55 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited /
Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
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
November 29, 2013, the Fund has required certain counterparties to post collateral of $392,332.
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 Funds 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 Statement of Assets and Liabilities. Bankruptcy or insolvency
laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds 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 brokers, futures commission merchants or clearinghouses 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 Funds
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 Funds 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.
56 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
Collateral terms are contract specific for OTC derivatives. For derivatives traded
under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the
Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations
of the Fund, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral
due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund
bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Funds OTC derivative
assets net of the related collateral posted for the benefit of the Fund as of November 29, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Statement of Assets & Liabilities
|
|
|
|
|
Counterparty
|
|
Gross Amount
of Assets in
the Statement
of Assets &
Liabilities*
|
|
Financial
Instruments
Available for
Offset
|
|
|
Financial
Instruments
Collateral
Received**
|
|
|
Cash
Collateral
Received**
|
|
|
Net Amount
|
|
Bank of America NA
|
|
$ 187,487
|
|
$
|
(187,487)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
Bank of America Corp.
|
|
3,282
|
|
|
(716)
|
|
|
|
|
|
|
|
|
|
|
|
2,566
|
|
Barclays Bank plc
|
|
131,130
|
|
|
(131,130)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas
|
|
136,756
|
|
|
(87,053)
|
|
|
|
|
|
|
|
|
|
|
|
49,703
|
|
Citibank NA
|
|
43,458
|
|
|
(43,458)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse International
|
|
65
|
|
|
(65)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank AG
|
|
4,612
|
|
|
(4,612)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Bank USA
|
|
72,837
|
|
|
(72,837)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group, Inc. (The)
|
|
29,415
|
|
|
(29,415)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Chase Bank NA
|
|
255,493
|
|
|
(255,493)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
71,931
|
|
|
(71,931)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nomura Global Financial Products, Inc
|
|
961
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
961
|
|
Royal Bank of Scotland plc (The)
|
|
57,041
|
|
|
|
|
|
|
|
|
|
|
(57,041)
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ 994,468
|
|
$
|
(884,197)
|
|
|
$
|
|
|
|
$
|
(57,041)
|
|
|
$
|
53,230
|
|
|
|
|
|
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin
related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral pledged within this table is
limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
57 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Statement of Assets & Liabilities
|
|
|
|
|
Counterparty
|
|
Gross Amount
of Liabilities in
the Statement
of Assets &
Liabilities*
|
|
Financial
Instruments
Available for
Offset
|
|
|
Financial
Instruments
Collateral
Pledged**
|
|
|
Cash
Collateral
Pledged**
|
|
|
Net Amount
|
|
Bank of America NA
|
|
$ (274,850)
|
|
$
|
187,487
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
(87,363)
|
|
Bank of America Corp.
|
|
(716)
|
|
|
716
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
Barclays Bank plc
|
|
(162,740)
|
|
|
131,130
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(31,610)
|
|
BNP Paribas
|
|
(87,053)
|
|
|
87,053
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
Citibank NA
|
|
(151,720)
|
|
|
43,458
|
|
|
|
-
|
|
|
|
108,262
|
|
|
|
-
|
|
Citigroup Funding, Inc.
|
|
(17,232)
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(17,232)
|
|
Credit Suisse International
|
|
(29,835)
|
|
|
65
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(29,770)
|
|
Deutsche Bank AG
|
|
(29,468)
|
|
|
4,612
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(24,856)
|
|
Goldman Sachs Bank USA
|
|
(96,658)
|
|
|
72,837
|
|
|
|
23,821
|
|
|
|
-
|
|
|
|
-
|
|
Goldman Sachs Group, Inc. (The)
|
|
(86,117)
|
|
|
29,415
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(56,702)
|
|
HSBC Bank USA, N.A.
|
|
(18,060)
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(18,060)
|
|
JPMorgan Chase Bank NA
|
|
(438,792)
|
|
|
255,493
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(183,299)
|
|
Morgan Stanley
|
|
(13,787)
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(13,787)
|
|
Morgan Stanley Capital Services, Inc.
|
|
(96,921)
|
|
|
71,931
|
|
|
|
19,989
|
|
|
|
-
|
|
|
|
(5,001)
|
|
|
|
|
|
Total
|
|
$ (1,503,949)
|
|
$
|
884,197
|
|
|
$
|
43,810
|
|
|
$
|
108,262
|
|
|
$
|
(467,680)
|
|
|
|
|
|
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and
margin related to cleared swaps and futures are excluded from these reported amounts.
**Reported collateral pledged within this table is
limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities
as of November 29, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
Derivatives Not Accounted for as
Hedging Instruments
|
|
Statement of
Assets and
Liabilities
Location
|
|
Value
|
|
|
Statement of
Assets and
Liabilities
Location
|
|
Value
|
|
Interest rate contracts
|
|
Swaps, at value
|
|
$
|
21,156
|
|
|
Swaps, at value
|
|
$
|
156,780
|
|
Credit contracts
|
|
Swaps, at value
|
|
|
22,580
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
Variation margin receivable
|
|
|
101,959*
|
|
|
Variation margin payable
|
|
|
625*
|
|
Foreign exchange contracts
|
|
Unrealized appreciation on foreign currency exchange contracts
|
|
|
927,414
|
|
|
Unrealized depreciation on foreign currency exchange contracts
|
|
|
1,312,655
|
|
Foreign exchange contracts
|
|
Investments, at value
|
|
|
23,318**
|
|
|
Options written, at value
|
|
|
34,514
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
$
|
1,096,427
|
|
|
|
|
$
|
1,504,574
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Includes only the current days variation margin. Prior variation margin movements have been reflected
in cash on the Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased option contracts and purchased
swaption contracts.
58 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
6. Risk Exposures and the Use of Derivative Instruments (Continued)
|
|
|
The effect of derivative instruments on the Statement of Operations is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Realized Gain or (Loss) Recognized on Derivatives
|
|
|
|
|
Derivatives
Not
Accounted
for as
Hedging
Instruments
|
|
Investments
from
unaffiliated
companies
(including
premiums on
options
exercised)*
|
|
|
Closing
and
expiration
of
swaption
contracts
written
|
|
|
Closing
and
expiration
of option
contracts
written
|
|
|
Closing
and
expiration
of futures
contracts
|
|
|
Foreign
currency
transactions
|
|
|
Swap
contracts
|
|
|
Total
|
|
|
|
Foreign exchange contracts
|
|
$
|
51,109
|
|
|
$
|
|
|
|
$
|
52,353
|
|
|
$
|
|
|
|
$
|
(340,937
|
)
|
|
$
|
|
|
|
$
|
(237,475)
|
|
Interest rate contracts
|
|
|
|
|
|
|
(125,387
|
)
|
|
|
|
|
|
|
450,575
|
|
|
|
|
|
|
|
168,623
|
|
|
|
493,811
|
|
|
|
|
|
|
Total
|
|
$
|
51,109
|
|
|
$
|
(125,387
|
)
|
|
$
|
52,353
|
|
|
$
|
450,575
|
|
|
$
|
(340,937
|
)
|
|
$
|
168,623
|
|
|
$
|
256,336
|
|
|
|
|
|
|
*Includes purchased option contracts, purchased swaption contracts and
written swaption and option contracts exercised, if any.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
|
|
Derivatives
Not
Accounted
for as
Hedging
Instruments
|
|
Investments*
|
|
|
Option
contracts
written
|
|
|
Swaption
contracts
written
|
|
|
Future
contracts
|
|
|
Translation of
assets and
liabilities
denominated
in foreign
currencies
|
|
|
Swap
contracts
|
|
|
Total
|
|
|
|
Credit contracts
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(1,342
|
)
|
|
$
|
(1,342)
|
|
Foreign exchange contracts
|
|
|
(58,983
|
)
|
|
|
68,518
|
|
|
|
|
|
|
|
|
|
|
|
(556,584
|
)
|
|
|
|
|
|
|
(547,049)
|
|
Interest rate contracts
|
|
|
(32,410
|
)
|
|
|
|
|
|
|
76,573
|
|
|
|
(138,316
|
)
|
|
|
|
|
|
|
(157,166
|
)
|
|
|
(251,319)
|
|
|
|
|
|
|
Total
|
|
$
|
(91,393
|
)
|
|
$
|
68,518
|
|
|
$
|
76,573
|
|
|
$
|
(138,316
|
)
|
|
$
|
(556,584
|
)
|
|
$
|
(158,508
|
)
|
|
$
|
(799,710)
|
|
|
|
|
|
|
*Includes purchased option contracts and purchased swaption contracts, if any.
7. Restricted Securities
As of November 29, 2013, investments in securities included
issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable
footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
59 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
NOTES TO
FINANCIAL STATEMENTS
Unaudited / Continued
|
|
|
Since 2009, seven class action lawsuits have been pending in the U.S. District Court for the
District of Colorado against OppenheimerFunds, Inc. (OFI), OppenheimerFunds Distributor, Inc., the Funds principal underwriter and distributor (the Distributor), and certain funds (but not including the Fund) advised by
OFI Global Asset Management, Inc. and distributed by the Distributor (the Defendant Funds). The lawsuits also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raise
claims under federal securities law and allege, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds investment policies were not
followed. The plaintiffs in these actions seek unspecified damages, equitable relief and awards of attorneys fees and litigation expenses. The Defendant Funds Boards of Trustees have also engaged counsel to represent the Funds and the
present and former Independent Trustees named in those suits. On August 26, 2013, the parties in six of these lawsuits executed a memorandum of understanding setting forth the terms of proposed settlements of those actions. The proposed
settlements are subject to a variety of contingencies, including the execution of settlement agreements, which will require preliminary and final approval by the court. The proposed settlements do not resolve a seventh outstanding lawsuit relating
to Oppenheimer California Municipal Fund.
Other class action and individual lawsuits have been filed since 2008 in
various state and federal courts against OFI and certain of its affiliates by investors seeking to recover investments they allegedly lost as a result of the Ponzi scheme run by Bernard L. Madoff and his firm, Bernard L. Madoff
Investment Securities, LLC (BLMIS). Plaintiffs in these suits allege that they suffered losses as a result of their investments in several funds managed by an affiliate of OFI and assert a variety of claims, including breach of fiduciary
duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and awards of attorneys fees and litigation
expenses. Neither the Distributor, nor any of the Oppenheimer mutual funds, their independent trustees or directors are named as defendants in these lawsuits. None of the Oppenheimer mutual funds invested in any funds or accounts managed by Madoff
or BLMIS. On February 28, 2011, a stipulation of partial settlement of three groups of consolidated putative class action lawsuits relating to these matters was filed in the U.S. District Court for the Southern District of New York. On
August 19, 2011, the court entered an order and final judgment approving the settlement as fair, reasonable and adequate. In September 2011, certain parties filed notices of appeal from the courts order approving the settlement. The
settlement does not resolve other outstanding lawsuits against OFI and its affiliates relating to BLMIS.
On
April 16, 2010, a lawsuit was filed in New York state court against (i) OFI, (ii) an affiliate of OFI and (iii) AAArdvark IV Funding Limited (AAArdvark IV), an entity advised by OFIs affiliate, in connection
with investments made by the plaintiffs in AAArdvark IV. Plaintiffs allege breach of contract and common law fraud claims against the defendants and seek compensatory damages, costs and disbursements, including attorney fees. On April 11, 2013,
the court granted defendants motion for summary judgment, dismissing plaintiffs
60 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
8. Pending Litigation
(Continued)
|
|
|
fraud claim with prejudice and dismissing their contract claim without prejudice, and granted
plaintiffs leave to replead their contract claim to assert a cause of action for specific performance within 30 days. On May 9, 2013, plaintiffs filed a notice of appeal from the courts dismissal order. On July 15, 2011, a lawsuit
was filed in New York state court against OFI, an affiliate of OFI and AAArdvark Funding Limited (AAArdvark I), an entity advised by OFIs affiliate, in connection with investments made by the plaintiffs in AAArdvark I. The
complaint alleges breach of contract and common law fraud claims against the defendants and seeks compensatory damages, costs and disbursements, including attorney fees. On November 9, 2011, a lawsuit was filed in New York state court against
OFI, an affiliate of OFI and AAArdvark XS Funding Limited (AAArdvark XS), an entity advised by OFIs affiliate, in connection with investments made by the plaintiffs in AAArdvark XS. The complaint alleged breach of contract against
the defendants and sought compensatory damages, costs and disbursements, including attorney fees. On November 8, 2013, the parties filed a stipulation of discontinuance dismissing the lawsuit with prejudice.
OFI believes the lawsuits and appeals described above are without legal merit and, with the exception of actions it has settled, is
defending against them vigorously. While it is premature to render any opinion as to the outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, OFI believes that
these suits should not impair the ability of OFI or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer
mutual funds.
61 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
BOARD APPROVAL OF THE FUNDS
INVESTMENT
ADVISORY AGREEMENT
Unaudited
|
|
|
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (OFI Global or the Adviser), a wholly-owned subsidiary of OppenheimerFunds, Inc.
(OFI or the Sub-Adviser) (OFI Global and OFI together the Managers) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services
to the Fund (collectively, the Agreements). Each year, the Board of Trustees (the Board), including a majority of the independent Trustees, is required to determine whether to renew the Agreements. The Investment Company Act
of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a
report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services,
fees, expenses and performance.
The Adviser, Sub-Adviser and the independent consultant provided information to the
Board on the following factors: (i) the nature, quality and extent of the Managers services, (ii) the investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative expense
information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies
of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Boards conclusions.
Nature, Quality and Extent of Services.
The Board considered information about the nature, quality and extent of
the services provided to the Fund and information regarding the Managers key personnel who provide such services. The Sub-Advisers duties include providing the Fund with the services of the portfolio manager and the Sub-Advisers
investment team, who provide research, analysis and other advisory services in regard to the Funds investments; securities trading services; oversight of third-party service providers; monitoring compliance with applicable Fund policies and
procedures and adherence to the Funds investment restrictions; and risk management. The Managers are responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all
administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Funds operations; preparing and filing reports required by the
Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state
securities laws for the sale of the Funds shares. The Managers also provide the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Managers resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has had over
fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Sub-Advisers advisory, administrative, accounting, legal,
compliance
62 OPPENHEIMER EMERGING MARKETS DEBT FUND
services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers key personnel and the size and functions of its
staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Sara Zervos, the portfolio manager for the Fund, and the Sub-Advisers investment team and analysts. The Board members
also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the
Managers, which its members have become knowledgeable about in connection with the renewal of the Funds service agreements. The Board concluded, in light of the Managers experience, reputation, personnel, operations and resources that
the Fund benefits from the services provided under the Agreement.
Investment Performance of the Manager and the
Fund.
Throughout the year, the Manager provided information on the investment performance of the Fund, including comparative performance information. The Board also reviewed information, prepared by the Manager and by the independent consultant,
comparing the Funds historical performance to relevant market indices and to the performance of other retail emerging markets bond funds. The Board noted that the Fund underperformed its category median for the one-year period. The Board
considered that the Funds underperformance versus its category median was mostly due to the fact that, unlike other competitors in its category, the Fund has a blended approach that incorporates hard currency debt, local currency debt, and
corporate debt. The Board noted that given that hard currency emerging market debt outperformed the other two sub-asset classes in 2012, the Funds structural allocations to corporate debt and local currency debt modestly detracted from
performance versus competitors that do not invest in those areas
Costs of Services by the Manager.
The Board
reviewed the fees paid to the Manager and the other expenses borne by the Fund. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail emerging markets bond funds with comparable asset
levels and distribution features. The Board noted that the Funds contractual management fee was higher than its respective peer group median and equal to its respective category median. The Board also considered that within the total asset
range of $50-$100 million, the Funds effective management fee was higher than its respective peer group median and equal to its respective category median. The Board noted that the Funds total expenses were higher than its peer group
median and lower than its category median. The Board noted that the Funds contractual management fees and total expenses rank in the 4th quintile but are only two basis points above its peer group median. The Board also considered that the
Manager has agreed to voluntarily limit the total annual operating expenses after fee waiver and/or reimbursement for all classes of shares of the Fund so that total expenses, as percentage of average daily net assets, will not exceed the following
annual rates: 1.25% for Class A Shares; 2.00% for Class C Shares; 1.50% for Class N Shares; 0.95% for Class Y Shares; and 0.85% for Class I Shares. This waiver and/or reimbursement may not be amended or withdrawn until one year
after the date of the Funds prospectus.
Economies of Scale and Profits Realized by the Adviser and
Sub-Adviser.
The Board considered information regarding the Managers costs in serving as the Funds investment adviser and sub-adviser, including the costs associated with the personnel and
63 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
BOARD APPROVAL OF THE FUNDS INVESTMENT
ADVISORY AGREEMENT
Unaudited / Continued
|
|
|
systems necessary to manage the Fund, and information regarding the Managers profitability from their relationship with the Fund. The Board reviewed whether the Managers may realize
economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Funds assets grow.
Other Benefits to the Managers.
In addition to considering the profits realized by the Managers, the Board
considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers affiliates. The Board also considered that
the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund.
Conclusions.
These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel
and the independent Trustees counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through September 30,
2014. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management
fees, in light of all the surrounding circumstances.
64 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
PORTFOLIO PROXY VOTING POLICIES AND
PROCEDURES;
UPDATES TO STATEMENTS OF
INVESTMENTS
U
naudited
|
|
|
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (portfolio proxies) held by the Fund. A description of the Funds
Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Funds website at oppenheimerfunds.com, and (iii) on the
SECs website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Funds voting record is
available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SECs website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal
year on Form N-Q. The Funds Form N-Q filings are available on the SECs website at www.sec.gov. Those forms may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
HouseholdingDelivery of Shareholder Documents
This is to inform you about OppenheimerFunds householding policy. If more than one member of your household maintains an account
in a particular fund, OppenheimerFunds will mail only one copy of the funds prospectus (or, if available, the funds summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called
householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you
request otherwise. If you prefer to receive multiple copies of these materials, please call us at
1.800.CALL-OPP (225-5677).
You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if
available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
65 OPPENHEIMER EMERGING MARKETS DEBT FUND
|
|
|
|
|
|
|
|
|
|
OPPENHEIMER
EMERGING
MARKETS DEBT FUND
|
|
|
|
|
|
|
|
Trustees and Officers
|
|
Sam Freedman, Chairman of the Board of Trustees and Trustee
|
|
|
|
|
Edward L. Cameron, Trustee
|
|
|
|
|
Jon S. Fossel, Trustee
|
|
|
|
|
Richard F. Grabish, Trustee
|
|
|
|
|
Beverly L. Hamilton, Trustee
|
|
|
|
|
Victoria J. Herget, Trustee
|
|
|
|
|
Robert J. Malone, Trustee
|
|
|
|
|
F. William Marshall, Jr., Trustee
|
|
|
|
|
Karen L. Stuckey, Trustee
|
|
|
|
|
James D. Vaughn, Trustee
|
|
|
|
|
William F. Glavin, Jr., Trustee, President and Principal Executive Officer
|
|
|
|
|
Sara J. Zervos, Ph.D., Vice President
|
|
|
|
|
Arthur S. Gabinet, Secretary and Chief Legal Officer
|
|
|
|
|
Christina M. Nasta, Vice President and Chief Business Officer
|
|
|
|
|
Mark S. Vandehey, Vice President and Chief Compliance Officer
|
|
|
|
|
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer
|
|
|
Manager
|
|
OFI Global Asset Management, Inc.
|
|
|
Sub-Adviser
|
|
OppenheimerFunds, Inc.
|
|
|
Distributor
|
|
OppenheimerFunds Distributor, Inc.
|
|
|
Transfer and Shareholder Servicing Agent
|
|
OFI Global Asset Management, Inc.
|
|
|
Sub-Transfer Agent
|
|
Shareholder Services, Inc.
DBA OppenheimerFunds
Services
|
|
|
Independent Registered Public Accounting Firm
|
|
KPMG LLP
|
|
|
Counsel
|
|
K&L Gates LLP
|
© 2014 OppenheimerFunds, Inc. All rights reserved.
66 OPPENHEIMER EMERGING MARKETS DEBT FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal
information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
|
|
|
Applications or other forms
|
|
|
|
When you create a user ID and password for online account access
|
|
|
|
When you enroll in eDocs Direct, our electronic document delivery service
|
|
|
|
Your transactions with us, our affiliates or others
|
|
|
|
A software program on our website, often referred to as a cookie, which indicates which parts of our site youve visited
|
|
|
|
When you set up challenge questions to reset your password online
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If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and
password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the
website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by
turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us
improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website
visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
We send your financial advisor (as designated by you) copies of confirmations, account statements and other documents reporting activity in your
fund accounts. We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest
financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to opt in or opt out of such information sharing with a firm not affiliated with us, you will
receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable
opportunity to refuse or opt out of such disclosure.
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PRIVACY POLICY
NOTICE
Continued
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Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect
your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails,
and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure
Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are
free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
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All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between
your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format.
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Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable
converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data.
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You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser.
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Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide
services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password
for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds,
OppenheimerFunds, Inc., and each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your
Social Security numberwhether or not you remain a shareholder of our funds. This notice was last updated November 2013. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have
any questions about these privacy policies, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the
Contact Us
section of our website at oppenheimerfunds.com or call us at
1.800.CALL OPP (225.5677)
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