Oppenheimer Cash Reserves

N-Q 1 d191636dnq.htm OPPENHEIMER CASH RESERVES Oppenheimer Cash Reserves

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-5582

Oppenheimer Cash Reserves

(Exact name of registrant as specified in charter)

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

Cynthia Lo Bessette

OFI Global Asset Management, Inc.

225 Liberty Street, New York, New York 10281-1008

(Name and address of agent for service)

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end: July 31

Date of reporting period: 4/29/2016

Item 1. Schedule of Investments.

STATEMENT OF INVESTMENTS April 29, 2016* Unaudited


	Maturity Date**		Final Legal Maturity Date***		Principal Amount		Value
Certificates of Deposit—28.3%
Yankee Certificates of Deposit—28.3%
Bank of Montreal, Chicago:
0.636%¹		5/13/16		5/13/16	$	10,000,000	$	10,000,281
0.728%¹		5/7/16		6/7/16		9,000,000		9,000,000
0.777%¹		5/3/16		9/2/16		6,000,000		6,002,116
0.803%¹		5/15/16		8/15/16		13,000,000		13,000,000
Bank of Nova Scotia, Houston TX, 0.779%¹		5/23/16		8/23/16		15,000,000		15,004,921
Bank of Tokyo-Mitsubishi UFJ NY, 0.85%²		8/9/16		8/9/16		10,000,000		10,003,023
DnB Bank ASA NY, 0.73%		9/23/16		9/23/16		10,000,000		10,000,000
HSBC Bank USA NA, 0.811%¹		5/22/16		9/1/16		10,000,000		10,000,000
Mitsubishi UFJ TR & BK NY:
0.75%²		8/18/16		8/18/16		6,000,000		6,000,000
0.81%²		9/28/16		9/28/16		19,500,000		19,500,000
Skandinaviska Enskilda Banken, New York,
0.80%		7/19/16		7/19/16		6,000,000		6,000,911
Sumitomo Mutsui Bank NY:
0.62%		7/15/16		7/15/16		10,000,000		10,000,000
0.85%		6/9/16		6/9/16		10,000,000		10,001,396
Swedbank AB, New York, 0.35%		5/5/16		5/5/16		10,000,000		10,000,000
Toronto Dominion Bank, New York:
0.92%		8/16/16		8/16/16		8,000,000		8,000,000
0.92%		8/15/16		8/15/16		3,500,000		3,500,000
UBS AG, Stamford CT:
0.87%		7/7/16		7/7/16		5,000,000		5,000,000
0.88%		7/6/16		7/6/16		20,000,000		20,000,000
Wells Fargo Bank NA:
0.567%¹		5/3/16		5/3/16		16,500,000		16,500,000
0.636%¹		5/19/16		5/19/16		8,000,000		8,000,000
0.86%		9/28/16		9/28/16		3,000,000		3,001,239
Westpac Banking Corp., New York:
0.567%¹		5/27/16		5/27/16		17,600,000		17,600,000
0.599%¹		5/3/16		7/1/16		15,000,000		15,000,000
Total Certificates of Deposit (Cost $241,113,887)								241,113,887

Direct Bank Obligations—22.0%
Bank of Nova Scotia, 0.854%²		8/25/16		8/25/16		9,700,000		9,673,433
BNP Paribas, New York:
0.38%		5/2/16		5/2/16		4,000,000		3,999,958
0.80%		9/2/16		9/2/16		20,000,000		19,944,889
0.904%		9/12/16		9/12/16		17,000,000		16,943,050
Credit Agricole Corporate & Investment Bank, New York Branch:
0.40%		5/6/16		5/6/16		31,000,000		30,998,278
0.44%		5/4/16		5/4/16		5,000,000		4,999,833
0.732%		6/3/16		6/3/16		5,000,000		4,996,654
Danske Corp.:
0.59%³		5/5/16		5/5/16		7,500,000		7,499,512
0.655%³		8/5/16		8/5/16		8,600,000		8,585,008

1 OPPENHEIMER CASH RESERVES

STATEMENT OF INVESTMENTS Unaudited / Continued

Maturity

Date**

Final Legal
Maturity

Date***

Principal

Amount

Value

Direct Bank Obligations (Continued)

ING (US) Funding LLC:

0.621%

7/7/16

10,000,000

9,988,461

0.676%

5/3/16

10,500,000

10,499,606

Natixis, New York Branch, 0.30%

5/2/16

41,500,000

41,499,654

Societe Generale, 0.46%³

6/9/16

2,000,000

1,999,003

Swedbank AB, 0.36%

5/2/16

16,500,000

16,499,835

Total Direct Bank Obligations (Cost $188,127,174)

188,127,174

Short-Term Notes/Commercial Paper—49.5%

Automobiles—0.8%

Mountain Agency, Inc. (The) Securities, Series
2003, 0.65%¹

5/6/16

6,915,000

Commercial Services & Supplies—0.7%

World Wildlife Fund, Inc., 0.45%¹

5/6/16

5,700,000

Health Care Providers & Services—0.4%

Tallahassee Orthopedic Center LC, Series 04, 0.42%¹

5/6/16

3,145,000

Leasing & Factoring—1.6%

Toyota Motor Credit Corp., 0.631%

6/8/16

14,000,000

13,990,690

Municipal—7.1%

Albany Industrial Development Agency Bonds,
Albany Medical Center Hospital, Series
2007B, 0.49%¹

5/6/16

1,710,000

Albany Industrial Development Agency Bonds,
Albany Medical Center Hospital, Series
2007D, 0.66%¹

5/6/16

1,030,000

Baltimore, MD General Obligation Bonds,
Series 2003D, 0.40%¹

5/6/16

1,850,000

Berks Cnty. Industrial Development Authority Revenue Bonds,
Lebanon Valley Mall Project, Series 96B, 0.48%¹

5/6/16

690,000

Easton, MD Bonds, William Hill Manor Facility,
Series 2009B, 0.45%¹

5/6/16

3,575,000

Grand River Dam Authority Revenue Bonds,
Series 2014C, 0.40%¹

5/6/16

12,500,000

MI Finance Authority School Loan Revolving Fund
Revenue Bonds, Series 2010B, 0.42%¹

5/6/16

2,000,000

MI Finance Authority School Loan Revolving Fund
Revenue Bonds, Series 2014A, 0.40%¹

5/6/16

5,000,000

MS Business Finance Corp. Bonds, Olin Corp. Project,
Series 2005, 0.48%¹

5/6/16

1,700,000

Newport News, VA Economic Development Authority Bonds,
Newport News Shipbuilding Project, Series A, 0.48%¹

5/6/16

2,640,000

NYS Housing Finance Agency Clinton Park Phase ll Housing
Revenue Bonds, MH Rental LLC, Series 2011B, 0.40%¹

5/6/16

5,000,000

2 OPPENHEIMER CASH RESERVES

Maturity
Date**

Final Legal
Maturity

Date***

Principal
Amount

Value

Municipal (Continued)

OH Air Quality Development Authority,
AK Steel Project, Series 2004B, 0.42%¹

5/6/16

10,000,000

University Hospitals Health System, Inc. Hospital Revenue Bonds, Series 2013C, 0.40%¹

5/6/16

13,500,000

61,195,000

Oil, Gas & Consumable Fuels—2.2%

Total Capital SA, 0.33%³

5/2/16

18,540,000

18,539,830

Real Estate Management and Development—1.0%

Tennis For Charity, Inc., Series 2004, 0.43%¹

5/6/16

8,295,000

Receivables Finance—21.5%

Barton Capital SA:

0.34%³

5/2/16

12,100,000

12,099,886

0.53%³

6/10/16

5,000,000

4,997,056

0.591%³

5/23/16

4,000,000

3,998,558

Gotham Funding Corp., 0.35%³

5/2/16

8,000,000

7,999,922

Manhattan Asset Funding Co.:

0.48%³

5/5/16

20,000,000

19,998,933

0.54%³

5/16/16

10,000,000

9,997,750

0.61%³

7/18/16

6,000,000

5,992,070

Old Line Funding Corp.:

0.78%³

9/26/16

6,000,000

5,980,760

0.854%³

9/1/16

10,000,000

9,970,958

0.874%³

9/27/16

8,000,000

7,971,193

0.874%³

9/15/16

9,000,000

8,970,203

0.884%³

9/16/16

6,500,000

6,478,073

Sheffield Receivables Corp., 0.50%³

5/23/16

25,600,000

25,592,178

Starbird Funding Corp.:

0.621%^2,3

5/10/16

15,000,000

14,997,675

0.854%^2,3

8/2/16

5,500,000

5,487,923

0.884%³

8/23/16

3,000,000

2,991,640

Thunder Bay Funding LLC, 0.864%^2,3

8/4/16

5,000,000

4,988,653

Victory Receivables Corp.:

0.48%³

5/13/16

5,900,000

5,899,056

0.49%³

5/11/16

5,000,000

4,999,319

0.49%³

5/12/16

10,000,000

9,998,503

0.53%³

6/20/16

4,000,000

3,997,056

183,407,365

Special Purpose Financial—14.2%

Anglesea Funding LLC:

0.38%^2,3

5/4/16

7,000,000

6,999,778

0.38%²

5/6/16

15,000,000

14,999,208

0.38%²

5/3/16

9,500,000

9,499,800

0.546%^1,2

5/13/16

6/3/16

10,000,000

Bennington Stark Capital Co., 0.43%³

5/4/16

5,000,000

4,999,821

Cedar Springs Capital Co. LLC:

0.651%

6/16/16

3,500,000

3,497,093

3 OPPENHEIMER CASH RESERVES

STATEMENT OF INVESTMENTS Unaudited / Continued


	Maturity Date**		Final Legal Maturity Date***		Principal Amount		Value
Special Purpose Financial (Continued)
Cedar Springs Capital Co. LLC: (Continued)
0.671%²		5/10/16		5/10/16	$	5,300,000	$	5,299,112
Concord Minutemen Cap. Co. LLC:
0.42%		5/13/16		5/13/16		9,000,000		8,998,740
0.43%		5/10/16		5/10/16		9,000,000		8,999,033
0.44%		5/11/16		5/11/16		9,000,000		8,998,900
Lexington Parker Capital Co. LLC:
0.42%³		5/20/16		5/20/16		4,000,000		3,999,113
0.42%³		5/12/16		5/12/16		22,500,000		22,497,113
Ridgefield Funding Co. LLC, 0.55%		5/6/16		5/6/16		13,000,000		12,999,007
								121,786,718
Total Short-Term Notes/Commercial Paper (Cost $422,974,603)								422,974,603

U.S. Government Agencies—0.2%
Federal Home Loan Bank, 0.65% (Cost $2,000,000)		4/28/17		4/28/17		2,000,000		2,000,000
Corporate Bonds and Notes—0.1%
Svenska Handelsbanken AB, 3.125% (Cost $1,004,691)		7/12/16		7/12/16		1,000,000		1,004,691

Total Investments, at Value (Cost $855,220,355)						100.1%		855,220,355

Net Other Assets (Liabilities)						(0.1)		(452,317)

Net Assets						100.0%	$	854,768,038

Footnotes to Statement of Investments

Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown.

*April 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

** The Maturity Date represents the date used to calculate the Fund’s weighted average maturity as determined under Rule 2a-7.

*** If different from the Maturity Date, the Final Legal Maturity Date includes any maturity date extensions which may be affected at the option of the issuer or unconditional payments of principal by the issuer which may be affected at the option of the Fund, and represents the date used to calculate the Fund’s weighted average life as determined under Rule 2a-7.

1. Represents the current interest rate for a variable or increasing rate security.

2. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $117,448,605 or 13.74% of the Fund’s net assets at period end.

3. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $258,526,543 or 30.25% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.

4 OPPENHEIMER CASH RESERVES

NOTES TO STATEMENT OF INVESTMENTS April 29, 2016 Unaudited

1. Organization

Oppenheimer Cash Reserves (the “Fund”) is registered under the Investment Company Act of 1940 (“1940 Act”), as amended, as a diversified open-end management investment company. The Fund’s investment objective is to seek income consistent with stability of principal. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

3. Securities Valuation

The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Fund’s Board of Trustees.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee.

5 OPPENHEIMER CASH RESERVES

NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

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 at period end based on valuation input level:

6 OPPENHEIMER CASH RESERVES




3. 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:
Certificates of Deposit	$	—	$	241,113,887	$	—	$	241,113,887
Direct Bank Obligations		—		188,127,174		—		188,127,174
Short-Term Notes/Commercial Paper		—		422,974,603		—		422,974,603
U.S. Government Agencies		—		2,000,000		—		2,000,000
Corporate Bonds and Notes		—		1,004,691		—		1,004,691

Total Assets	$	—	$	855,220,355	$	—	$	855,220,355

4. Market Risk Factors

The Fund’s investments in securities and/or financial derivatives may expose the Fund to various 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 of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

7 OPPENHEIMER CASH RESERVES

Item 2. Controls and Procedures.

(a)

Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 4/29/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

(b)

There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibits attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Cash Reserves


By:		/s/ Arthur P. Steinmetz
		Arthur P. Steinmetz
		Principal Executive Officer
Date:		6/15/2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Arthur P. Steinmetz
		Arthur P. Steinmetz
		Principal Executive Officer
Date:		6/15/2016


By:		/s/ Brian S. Petersen
		Brian S. Petersen
		Principal Financial Officer
Date:		6/15/2016