UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
Oppenheimer Strategic Income Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices)
(Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
498 Seventh Avenue, New York, New York 10018
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
--------------
Date of fiscal year end: September 30
Date of reporting period: October 1, 2002 - September 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
FUND PERFORMANCE DISCUSSION
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How has the Fund performed? Below is a discussion by OppenheimerFunds, Inc., of
the Fund's performance during its fiscal year ended September 30, 2003, followed
by a graphical comparison of the Fund's performance to an appropriate
broad-based market index.
Management's Discussion of Fund Performance. Oppenheimer Strategic Income Fund's
positive returns during its fiscal year were driven primarily by its investments
in high-yield corporate bonds. As a group, lower-rated bonds rallied strongly
after falling to cyclical lows at the start of the reporting period. Improving
investor sentiment created greater demand for high-yield bonds as economic
expectations improved, and scandal-related concerns eased. Within the corporate
bond market, we emphasized securities in the wireless telecommunications and
utilities groups. We believed that prices of many such bonds had fallen too far
during the declines that roiled both industry groups. Indeed, the Fund received
strong returns from these areas as investors' concerns waned. In addition, the
Fund successfully employed some yield-enhancement strategies using index-linked
structured notes in the high-yield bond market.
The Fund also benefited from its relatively short duration posture among U.S.
government securities, which reduced the Fund's sensitivity to rising interest
rates. Although this relatively defensive posture hindered performance while
interest rates fell through June 2003, it helped the Fund avoid the brunt of the
market's sharp declines in July and August, when rates rose sharply. Similarly,
the Fund's relatively defensive posture helped it weather heightened volatility
in the mortgage-backed securities market. By focusing primarily on securities
backed by higher-rate mortgages, we reduced the uncertainty related to expected
prepayments as a record number of homeowners refinanced their mortgages.
Although the Fund benefited from its foreign investments as the U.S. dollar
generally weakened relative to the euro and yen, the foreign government sector
neither contributed nor detracted substantially from the Fund's returns during
the reporting period.
Because the year was characterized by declining interest rates and bond
yields, the Fund's dividend distribution rate was adjusted in February and again
in September, to reflect lower yields among many fixed-income securities,
ranging from U.S. Treasuries to high-yield corporates. However, the Fund's yield
should be considered in context of inflation. With inflation at very low levels,
the Fund's "real" yield remained relatively high and the purchasing power of its
income stream remained relatively strong.
Between the start and end of the reporting period, we increased the Fund's
emphasis on credit-sensitive securities over those that are more interest-rate
sensitive. However, after their recent gains, we recently have taken some
profits in emerging-market foreign bonds, reducing the Fund's exposure to the
sector and increasing its holdings of
5 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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developed-market bonds, which we expect to benefit if the U.S. dollar remains
relatively weak. In addition, during the spring, we sold the Fund's holdings of
investment-grade corporate bonds after they had appreciated to levels we no
longer considered attractive values. In the more interest rate-sensitive areas,
we have maintained a modestly heavier-than-average position in mortgage-backed
securities because of the declining risk of prepayments as refinancing activity
ebbs. Of course, the Fund's composition is likely to change as economic and
market conditions evolve. The Fund's holdings, strategies and management are
subject to change.
Comparing the Fund's Performance to the Market. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 2003. In the case of Class A and B shares,
performance is measured over a ten-year period; Class C shares since inception
of the Class on May 26, 1995 and Class Y shares since inception of the Class on
January 26, 1998. In the case of Class N shares, performance is measured from
inception of the Class on March 1, 2001. The Fund's performance reflects the
deduction of the maximum initial sales charge on Class A shares, the applicable
contingent deferred sales charge on Class B, Class C and Class N shares, and
reinvestments of all dividends and capital gains distributions.
The performance of each class of the Fund's shares is compared to two indices
because the Fund invests in a variety of debt securities in domestic and foreign
markets. The Fund's performance is compared to the performance of the Lehman
Brothers Aggregate Bond Index and the Citigroup World Government Bond Index,
formerly Salomon Brothers World Government Bond Index. The former is a
broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government
securities and mortgage-backed securities widely regarded as a measure of the
performance of the domestic debt securities market. The latter is an unmanaged
index of fixed-rate bonds having a maturity of one year or more, widely regarded
as a benchmark of fixed-income performance on a world-wide basis.
Index performance reflects the reinvestment of income but does not consider
the effect of capital gains or transaction costs, and none of the data in the
graphs that follow shows the effect of taxes. The Fund's performance reflects
the effects of Fund business and operating expenses. While index comparisons may
be useful to provide a benchmark for the Fund's performance, it must be noted
that the Fund's investments are not limited to the securities in the indices and
include below investment-grade obligations, which carry a greater risk of
default.
6 | OPPENHEIMER STRATEGIC INCOME FUND
Class A Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
[LINE CHART]
Oppenheimer Lehman Brothers Citigroup
Strategic Income Aggregate World Government
Date Fund (Class A) Bond Index Bond Index
09/30/1993 $9,525 $10,000 $10,000
12/31/1993 $9,959 $10,006 $9,996
03/31/1994 $9,628 $9,719 $9,996
06/30/1994 $9,580 $9,619 $10,063
09/30/1994 $9,706 $9,678 $10,181
12/31/1994 $9,516 $9,714 $10,230
03/31/1995 $9,665 $10,204 $11,349
06/30/1995 $10,223 $10,826 $11,954
09/30/1995 $10,543 $11,038 $11,829
12/31/1995 $10,979 $11,509 $12,178
03/31/1996 $11,179 $11,305 $11,949
06/30/1996 $11,474 $11,369 $11,998
09/30/1996 $11,920 $11,579 $12,325
12/31/1996 $12,361 $11,927 $12,619
03/31/1997 $12,333 $11,860 $12,097
06/30/1997 $12,832 $12,295 $12,463
09/30/1997 $13,265 $12,704 $12,622
12/31/1997 $13,395 $13,078 $12,648
03/31/1998 $13,753 $13,281 $12,747
06/30/1998 $13,843 $13,592 $13,001
09/30/1998 $13,371 $14,166 $14,083
12/31/1998 $13,618 $14,214 $14,584
03/31/1999 $13,691 $14,144 $14,021
06/30/1999 $13,736 $14,019 $13,538
09/30/1999 $13,760 $14,114 $14,151
12/31/1999 $14,168 $14,097 $13,962
03/31/2000 $14,393 $14,408 $13,986
06/30/2000 $14,472 $14,659 $13,965
09/30/2000 $14,610 $15,101 $13,599
12/31/2000 $14,482 $15,736 $14,183
03/31/2001 $14,740 $16,214 $13,752
06/30/2001 $14,617 $16,305 $13,536
09/30/2001 $14,349 $17,057 $14,505
12/31/2001 $14,991 $17,065 $14,043
03/31/2002 $15,242 $17,081 $13,817
06/30/2002 $15,236 $17,712 $15,426
09/30/2002 $15,300 $18,523 $16,023
12/31/2002 $16,017 $18,815 $16,781
03/31/2003 $16,630 $19,077 $17,302
06/30/2003 $17,718 $19,554 $17,973
09/30/2003 $18,297 $19,526 $18,328
Average Annual Total Returns of Class A Shares of the Fund at 9/30/03*
1-Year 13.91% 5-Year 5.44% 10-Year 6.23%
Class B Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
[LINE CHART]
Oppenheimer Lehman Brothers Citigroup
Strategic Income Aggregate World Government
Date Fund (Class B) Bond Index Bond Index
09/30/1993 $10,000 $10,000 $10,000
12/31/1993 $10,434 $10,006 $9,996
03/31/1994 $10,048 $9,719 $9,996
06/30/1994 $10,000 $9,619 $10,063
09/30/1994 $10,111 $9,678 $10,181
12/31/1994 $9,895 $9,714 $10,230
03/31/1995 $10,009 $10,204 $11,349
06/30/1995 $10,589 $10,826 $11,954
09/30/1995 $10,899 $11,038 $11,829
12/31/1995 $11,328 $11,509 $12,178
03/31/1996 $11,512 $11,305 $11,949
06/30/1996 $11,793 $11,369 $11,998
09/30/1996 $12,228 $11,579 $12,325
12/31/1996 $12,655 $11,927 $12,619
03/31/1997 $12,603 $11,860 $12,097
06/30/1997 $13,088 $12,295 $12,463
09/30/1997 $13,503 $12,704 $12,622
12/31/1997 $13,609 $13,078 $12,648
03/31/1998 $13,946 $13,281 $12,747
06/30/1998 $14,011 $13,592 $13,001
09/30/1998 $13,538 $14,166 $14,083
12/31/1998 $13,732 $14,214 $14,584
03/31/1999 $13,780 $14,144 $14,021
06/30/1999 $13,830 $14,019 $13,538
09/30/1999 $13,806 $14,114 $14,151
12/31/1999 $14,215 $14,097 $13,962
03/31/2000 $14,440 $14,408 $13,986
06/30/2000 $14,519 $14,659 $13,965
09/30/2000 $14,658 $15,101 $13,599
12/31/2000 $14,529 $15,736 $14,183
03/31/2001 $14,788 $16,214 $13,752
06/30/2001 $14,665 $16,305 $13,536
09/30/2001 $14,396 $17,057 $14,505
12/31/2001 $15,041 $17,065 $14,043
03/31/2002 $15,293 $17,081 $13,817
06/30/2002 $15,286 $17,712 $15,426
09/30/2002 $15,351 $18,523 $16,023
12/31/2002 $16,070 $18,815 $16,781
03/31/2003 $16,684 $19,077 $17,302
06/30/2003 $17,776 $19,554 $17,973
09/30/2003 $18,357 $19,526 $18,328
Average Annual Total Returns of Class B Shares of the Fund at 9/30/03*
1-Year 13.62% 5-Year 5.38% 10-Year 6.26%
*See Notes on page 10 for further details.
The performance information for both indices in the graphs begins on 9/30/93 for
Class A and B, 5/31/95 for Class C, 2/28/01 for Class N and 1/31/98 for Class Y
shares.
Past performance cannot guarantee future results. Graphs are not drawn to same
scale.
7 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
- --------------------------------------------------------------------------------
Class C Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
[LINE CHART]
Oppenheimer Lehman Brothers Citigroup
Strategic Income Aggregate World Government
Date Fund (Class C) Bond Index Bond Index
05/26/1995 $10,000 $10,000 $10,000
06/30/1995 $10,023 $10,073 $10,059
09/30/1995 $10,309 $10,271 $9,954
12/31/1995 $10,715 $10,709 $10,247
03/31/1996 $10,889 $10,519 $10,055
06/30/1996 $11,131 $10,579 $10,096
09/30/1996 $11,542 $10,774 $10,371
12/31/1996 $11,970 $11,098 $10,618
03/31/1997 $11,920 $11,036 $10,179
06/30/1997 $12,354 $11,441 $10,488
09/30/1997 $12,773 $11,821 $10,621
12/31/1997 $12,848 $12,169 $10,643
03/31/1998 $13,167 $12,358 $10,727
06/30/1998 $13,229 $12,647 $10,940
09/30/1998 $12,780 $13,182 $11,851
12/31/1998 $12,965 $13,226 $12,272
03/31/1999 $13,039 $13,160 $11,798
06/30/1999 $13,057 $13,045 $11,392
09/30/1999 $13,026 $13,133 $11,908
12/31/1999 $13,418 $13,117 $11,748
03/31/2000 $13,574 $13,407 $11,769
06/30/2000 $13,655 $13,640 $11,752
09/30/2000 $13,728 $14,051 $11,443
12/31/2000 $13,615 $14,642 $11,935
03/31/2001 $13,832 $15,087 $11,572
06/30/2001 $13,692 $15,172 $11,390
09/30/2001 $13,380 $15,872 $12,206
12/31/2001 $13,990 $15,879 $11,817
03/31/2002 $14,162 $15,894 $11,626
06/30/2002 $14,130 $16,481 $12,981
09/30/2002 $14,202 $17,236 $13,483
12/31/2002 $14,803 $17,507 $14,121
03/31/2003 $15,382 $17,751 $14,559
06/30/2003 $16,360 $18,195 $15,124
09/30/2003 $16,822 $18,168 $15,423
Average Annual Total Returns of Class C Shares of the Fund at 9/30/03*
1-Year 17.45% 5-Year 5.65% Since Inception 6.43%
Class N Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
[LINE CHART]
Oppenheimer Lehman Brothers Citigroup
Strategic Income Aggregate World Government
Date Fund (Class N) Bond Index Bond Index
03/01/2001 $10,000 $10,000 $10,000
03/31/2001 $9,799 $10,050 $9,712
06/30/2001 $9,717 $10,107 $9,560
09/30/2001 $9,539 $10,573 $10,244
12/31/2001 $9,988 $10,578 $9,917
03/31/2002 $10,122 $10,588 $9,757
06/30/2002 $10,112 $10,979 $10,894
09/30/2002 $10,177 $11,482 $11,316
12/31/2002 $10,617 $11,663 $11,851
03/31/2003 $11,044 $11,825 $12,219
06/30/2003 $11,753 $12,121 $12,693
09/30/2003 $12,092 $12,103 $12,944
Average Annual Total Returns of Class N Shares of the Fund at 9/30/03*
1-Year 17.82% Since Inception 7.64%
*See Notes on page 10 for further details.
8 | OPPENHEIMER STRATEGIC INCOME FUND
Class Y Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
[LINE CHART]
Oppenheimer Lehman Brothers Citigroup
Strategic Income Aggregate World Government
Date Fund (Class Y) Bond Index Bond Index
01/26/1998 $10,000 $10,000 $10,000
03/31/1998 $10,181 $10,027 $9,981
06/30/1998 $10,257 $10,261 $10,180
09/30/1998 $9,936 $10,695 $11,028
12/31/1998 $10,108 $10,731 $11,420
03/31/1999 $10,194 $10,678 $10,979
06/30/1999 $10,237 $10,584 $10,600
09/30/1999 $10,241 $10,656 $11,081
12/31/1999 $10,579 $10,643 $10,932
03/31/2000 $10,732 $10,878 $10,951
06/30/2000 $10,826 $11,067 $10,935
09/30/2000 $10,912 $11,401 $10,648
12/31/2000 $10,850 $11,880 $11,106
03/31/2001 $11,049 $12,241 $10,768
06/30/2001 $10,965 $12,310 $10,599
09/30/2001 $10,740 $12,877 $11,358
12/31/2001 $11,256 $12,883 $10,996
03/31/2002 $11,419 $12,895 $10,819
06/30/2002 $11,416 $13,372 $12,079
09/30/2002 $11,498 $13,984 $12,546
12/31/2002 $12,021 $14,204 $13,140
03/31/2003 $12,496 $14,402 $13,548
06/30/2003 $13,317 $14,762 $14,074
09/30/2003 $13,721 $14,741 $14,351
Average Annual Total Returns of Class Y Shares of the Fund at 9/30/03*
1-Year 19.33% 5-Year 6.67% Since Inception 5.73%
The performance information for both indices in the graphs begins on 9/30/93 for
Class A and B, 5/31/95 for Class C, 2/28/01 for Class N and 1/31/98 for Class Y
shares.
Past performance cannot guarantee future results. Graphs are not drawn to same
scale.
9 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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In reviewing performance and rankings, please remember that past performance
cannot guarantee future results. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than the original cost. Because of ongoing
market volatility, the Fund's performance may be subject to substantial
fluctuations, and current performance may be more or less than the results
shown. For updates on the Fund's performance, visit our website at
www.oppenheimerfunds.com.
Total returns and the ending account values in the graph includes changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares. For more complete information
about the Fund, including charges, expenses and risks, please refer to the
prospectus. To obtain a copy, call your financial advisor, call OppenheimerFunds
Distributor, Inc. at 1.800.CALL OPP (1.800.225.5677) or visit the
OppenheimerFunds website at www.oppenheimerfunds.com. Read the prospectus
carefully before you invest or send money.
Class A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower
prior to 2/1/93, so actual performance may have been higher.
Class B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the "since inception" return for Class
B uses Class A performance for the period after conversion. Class B shares are
subject to an annual 0.75% asset-based sales charge.
Class C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the one-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
Class N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the one-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
Class Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
10 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS September 30, 2003
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Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities--4.9%
American Money Management Corp., Commercial Debt Obligations
Sub. Bonds, Series I, Cl. D1, 13.602%, 1/15/12 1 $ 8,642,914 $ 6,222,898
- ---------------------------------------------------------------------------------------------------------------------------
Asset Backed Securities Corp., Home Equity Loan Trust Asset-Backed
Pass-Through Certificates, Series 2001-HE1, Cl. B, 3.62%, 4/15/31 2 5,000,000 4,905,027
- ---------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2003-A, Cl. A2, 1.45%, 11/25/05 12,610,000 12,626,566
- ---------------------------------------------------------------------------------------------------------------------------
Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.,
Series 2003-2, Cl. A2A, 1.20%, 5/16/05 7,930,000 7,927,683
- ---------------------------------------------------------------------------------------------------------------------------
Caterpillar Financial Asset Trust, Equipment Loan Pass-Through
Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 4,770,000 4,772,292
- ---------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2003-A, Cl. AF1, 1.836%, 10/25/17 2,027,781 2,030,752
Series 2003-B, Cl. AF1, 1.64%, 2/25/18 2,634,865 2,635,494
Series 2003-C, Cl. AF1, 2.14%, 7/25/18 1 9,310,000 9,310,000
- ---------------------------------------------------------------------------------------------------------------------------
Chase Funding Mortgage Loan Asset-Backed Certificates, Home
Equity Mtg. Obligations:
Series 2003-3, Cl. 1A1, 1.20%, 8/25/17 2 4,686,865 4,686,908
Series 2003-4, Cl. 1A1, 1.24%, 9/25/17 1,2 9,324,826 9,325,243
- ---------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan
Pass-Through Certificates:
Series 2003-A, Cl. A2, 1.26%, 1/16/06 3,420,000 3,420,464
Series 2003-B, Cl. A2, 1.287%, 3/15/06 3,720,000 3,721,570
- ---------------------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized
Mtg. Obligations:
Series 2003-1, Cl. AF1, 1.94%, 1/25/33 1 4,298,112 4,306,920
Series 2003-2, Cl. AF1, 1.21%, 5/25/33 2 5,277,571 5,276,670
Series 2003-3, Cl. AF1, 1.24%, 12/15/05 2 6,780,000 6,780,000
- ---------------------------------------------------------------------------------------------------------------------------
Conseco Finance Securitizations Corp., Home Equity Loan
Pass-Through Certificates, Series 2001-D, Cl. M2, 2.87%, 11/15/32 2 8,500,000 8,301,512
- ---------------------------------------------------------------------------------------------------------------------------
Conseco Finance Securitizations Corp., Manufactured Housing
Contract Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2,
10.32%, 12/1/30 1 5,000,000 1,153,125
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 1 15,000,000 15,863,672
- ---------------------------------------------------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed
Certificates, Series 2000-1, Cl. BV, 3.22%, 3/25/31 1,2 4,161,328 4,148,599
- ---------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2002-B, Cl. A2, 2.20%, 4/6/05 1,270,568 1,274,146
Series 2003-A, Cl. A2, 1.52%, 12/8/05 1 13,960,000 13,995,941
- ---------------------------------------------------------------------------------------------------------------------------
DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 1,3,4 15,000,000 1,500
- ---------------------------------------------------------------------------------------------------------------------------
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 1 3,083,887 2,006,454
- ---------------------------------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust, Airplane Collateral
Obligations, Series 2000-A, Cl. B, 0.678%, 8/15/25 1,3 2,275,078 11,375
- ---------------------------------------------------------------------------------------------------------------------------
First U.S.A. Credit Card Master Trust, Asset-Backed Certificates,
Series 2001-2, Cl. C, 2.07%, 11/20/06 2,5 10,000,000 10,020,426
- ---------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Installment Sales,
Series 2003-A, Cl. A2A, 1.62%, 8/15/05 5,919,717 5,930,348
11 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities Continued
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1 $ 7,200,842 $ 360,042
- ---------------------------------------------------------------------------------------------------------------------------
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 1 5,000,000 3,340,625
- ---------------------------------------------------------------------------------------------------------------------------
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 1 5,214,000 2,435,064
- ---------------------------------------------------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/16/07 3,988,720 4,003,065
Series 2003-3, Cl. A1, 1.50%, 1/15/08 12,398,618 12,432,693
- ---------------------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivables Obligations:
Series 2003-1, Cl. A2, 1.46%, 9/19/05 7,810,000 7,817,915
Series 2003-3, Cl. A2, 1.52%, 4/21/06 1 15,520,000 15,565,638
- ---------------------------------------------------------------------------------------------------------------------------
Lehman ABS Manufactured Housing Contract, Commercial Mtg.
Pass-Through Certificates, Series 2001-B, Cl. A4, 5.27%, 9/15/18 5,258,697 5,538,548
- ---------------------------------------------------------------------------------------------------------------------------
Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A,
Cl. C1, 3.43%, 3/24/14 1,2 3,000,000 30,000
- ---------------------------------------------------------------------------------------------------------------------------
MBNA Master Credit Card Trust, Asset-Backed Nts., Series 2000-H,
Cl. C, 2.32%, 1/15/13 2,5 5,000,000 4,901,246
- ---------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 12/25/28 1 4,737,986 1,421,396
- ---------------------------------------------------------------------------------------------------------------------------
Nissan Auto Receivables Owner Trust, Auto Receivable Nts.:
Series 2003-A, Cl. A2, 1.45%, 5/16/05 11,140,000 11,152,204
Series 2003-B, Cl. A2, 1.20%, 11/15/05 13,170,000 13,166,272
- ---------------------------------------------------------------------------------------------------------------------------
Providian Master Trust, Sub. Collateralized Mtg. Obligations,
Series 2000-2, Cl. C, 7.98%, 4/15/09 5 6,200,000 6,394,203
- ---------------------------------------------------------------------------------------------------------------------------
Residential Funding Mortgage Securities II, Inc., Home Equity Loan
Pass-Through Certificates, Series 2003-HS1, Cl. AI2, 1.22%, 1/25/33 1,2 5,645,372 5,647,055
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Home Equity
Pass-Through Certificates, Series 2002-WM1, Cl. M2, 2.675%, 1/25/32 1,2 8,000,000 8,014,746
- ---------------------------------------------------------------------------------------------------------------------------
SB Finance Trust, Mtg. Pass-Through Certificates, Series 1999-1, Cl. D,
10.50%, 6/25/29 1 129,279 129,198
- ---------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 1999-SP1, Cl. B, 9%, 5/25/29 5,417,369 5,461,807
- ---------------------------------------------------------------------------------------------------------------------------
Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 3,960,000 4,025,346
Series 2003-A, Cl. A2, 1.28%, 8/15/05 11,870,000 11,871,170
Series 2003-B, Cl. A2, 1.43%, 2/15/06 8,990,000 8,990,000
- ---------------------------------------------------------------------------------------------------------------------------
USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.,
Series 2003-1, Cl. A2, 1.22%, 4/17/06 7,860,000 7,861,295
- ---------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivables,
Series 2003-1, Cl. A2, 1.11%, 12/20/05 15,550,000 15,535,814
- ---------------------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivables, Series 2003-1,
Cl. A2A, 1.40%, 4/15/06 6 12,860,000 12,864,019
-----------------
Total Asset-Backed Securities (Cost $358,500,746) 319,614,946
12 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Mortgage-Backed Obligations--20.3%
- ---------------------------------------------------------------------------------------------------------------------------
Government Agency--15.1%
- ---------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored--14.5%
Federal Home Loan Mortgage Corp.:
7%, 9/1/33 6 $ 8,090,000 $ 8,542,534
7.50%, 2/1/32 7,975,595 8,533,969
8.50%, 8/1/31 5,280,441 5,679,184
10%, 4/1/20-5/1/20 779,243 881,100
10.50%, 5/1/20 833,912 969,337
11.50%, 10/1/16-1/1/18 741,148 839,849
12%, 6/1/17 1,656,698 1,890,606
- ---------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2347, Cl. PD, 6.50%, 8/15/31 15,413,000 16,300,675
Series 2368, Cl. PN, 6.50%, 7/15/28 4,746,158 4,774,015
Series 2410, Cl. NE, 6.50%, 9/15/30 25,000,000 26,322,532
Series 2413, Cl. MH, 6.50%, 2/15/32 25,000,000 26,698,632
Series 2423, Cl. PD, 6.50%, 11/15/30 13,700,000 14,002,838
Series 2430, Cl. GD, 6.50%, 11/15/30 25,000,000 25,782,032
Series 2430, Cl. ND, 6.50%, 1/15/31 25,000,000 25,703,235
Series 2500, Cl. FD, 1.62%, 6/15/32 2 3,786,591 3,820,565
Series 2526, Cl. FE, 1.52%, 6/15/29 2 3,695,839 3,717,110
Series 2551, Cl. FD, 1.52%, 1/15/33 2 3,215,663 3,228,173
- ---------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 204, Cl. IO, (16.409)%, 5/15/29 7 685,987 98,646
Series 206, Cl. IO, (29.393)%, 12/15/29 7 4,813,005 782,151
Series 207, Cl. IO, (41.686)%, 4/15/30 7 5,581,108 753,777
Series 208, Cl. IO, (40.435)%, 6/1/30 7 4,855,628 651,810
Series 212, Cl. IO, (24.476)%, 5/1/31 7 6,216,783 771,843
Series 214, Cl. IO, (41.10)%, 6/1/31 7 4,504,298 623,844
Series 217, Cl. IO, (38.747)%, 2/1/32 7 5,557,590 738,276
- ---------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Structured Pass-Through Securities,
Collateralized Mtg. Obligations:
Series H003, Cl. A2, 1.88%, 1/15/07 2,840,754 2,855,881
Series H006, Cl. A1, 1.724%, 4/15/08 1 2,987,562 2,990,982
Series T-42, Cl. A2, 5.50%, 2/25/42 2,106,457 2,151,730
- ---------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
5%, 10/1/33 6 15,474,000 15,478,828
5.50%, 10/1/33 75,104,000 76,629,512
6%, 10/25/33 6 107,052,000 110,497,790
6.50%, 1/1/29-11/25/33 64,755,341 67,428,786
6.50%, 10/25/33 6 111,971,000 116,729,767
7%, 9/1/29-12/1/29 1,297,209 1,374,138
7%, 10/25/33 6 307,357,000 324,934,132
8.50%, 7/1/32 1,325,134 1,427,739
9.50%, 4/1/20-3/15/21 332,213 368,056
10.50%, 10/1/19 82,565 94,053
11%, 10/15/15-2/1/26 1,210,973 1,383,415
15%, 4/15/13 808,615 969,054
13 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored Continued
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 $ 1,938,885 $ 1,969,079
Trust 2001-38, Cl. CD, 6.50%, 5/25/29 3,342,427 3,349,381
Trust 2001-50, Cl. LD, 6.50%, 5/25/30 11,012,000 11,254,761
Trust 2002-77, Cl. WF, 1.52%, 12/18/32 2 5,601,063 5,616,953
- ---------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, (11.625)%, 2/25/29 1,7 58,756,450 1,193,490
Trust 2001-T4, Cl. IO, (11.932)%, 7/25/28 1,7 98,012,124 2,511,561
- ---------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Security, Trust 2001-T10,
Cl. IO, 1.32%, 12/25/31 1,7 583,834,118 9,122,408
- ---------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 313, Cl. 2, (42.47)%, 6/25/31 7 24,595,679 3,311,137
Trust 321, Cl. 2, (9.30)%, 3/1/32 7 5,761,283 854,430
-----------------
946,603,796
- ---------------------------------------------------------------------------------------------------------------------------
GNMA/Guaranteed--0.6%
Government National Mortgage Assn.:
7%, 1/15/28-1/20/30 11,490,514 12,228,672
8%, 1/15/28-9/15/28 6,320,906 6,834,851
12.50%, 12/15/13-11/15/15 4,095,620 4,753,760
13%, 10/15/15 6,294,786 7,367,476
13.50%, 6/15/15 7,843,554 9,238,266
-----------------
40,423,025
- ---------------------------------------------------------------------------------------------------------------------------
Private--5.2%
- ---------------------------------------------------------------------------------------------------------------------------
Agricultural--0.0%
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 2.638%,1/15/03 1,3 661,737 --
Series 1992-2, Cl. B3, 8.13%, 4/15/09 1,2 1,388,705 305,515
-----------------
305,515
- ---------------------------------------------------------------------------------------------------------------------------
Commercial--3.9%
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 5,000,000 5,773,433
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,000,000 23,051,082
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 7,000,000 7,746,072
Series 1996-D2, Cl. A3, 4.786%, 2/14/29 2 11,767,000 12,518,736
Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,875,000 9,504,508
Series 1996-MD6, Cl. A7, 7.962%, 11/13/29 2 18,860,000 16,918,465
- ---------------------------------------------------------------------------------------------------------------------------
CBA Mortgage Corp., Commercial Mtg. Pass-Through Certificates,
Series 1993-C1, Cl. F, 6.72%, 12/25/03 1 14,300,000 14,180,461
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized Mtg.
Obligations, Series 1996-C2, Cl. F, 7.691%, 9/15/23 2,5 2,500,000 2,667,966
- ---------------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Commercial Mtg.
Interest-Only Certificates, Series 2002-CKP1, Cl. AX, 12.06%, 12/15/35 5,7 415,485,486 6,324,354
14 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Continued
DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through
Certificates, Series 1999-STF1, Cl. B6, 7/5/08 1,3 $ 55,709,338 $ 55,709
- ---------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 1 36,400,000 18,149,040
- ---------------------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates:
Series 1997-CHL1, Cl. D, 7.975%, 4/29/39 1,2 8,500,001 8,538,515
Series 1997-CHL1, Cl. E, 7.975%, 4/29/39 1,2 14,500,002 12,184,540
- ---------------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Interest-Only Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates:
Series 1999-5, Cl. S, (94.877)%, 5/25/29 1,7 71,892,440 179,731
Series 1999-11, Cl. S, (92.407)%, 7/25/29 1,7 94,224,085 206,115
- ---------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage Finance Corp., Commercial
Interest-Only Mtg. Obligations, Series 1999-PLS1, Cl. X, 13.964%, 2/15/32 1,7 115,301,812 2,274,905
- ---------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,700,000 12,746,804
- ---------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,429,000 9,914,057
- ---------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2000-C3, Cl. A2, 7.95%, 1/15/10 10,000,000 12,100,766
- ---------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Mtg. Obligations,
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1,2 1,864,242 1,789,672
- ---------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.689%, 6/15/21 2 1,311,423 1,428,387
- ---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.442%, 2/15/28 2,5 13,360,980 12,133,603
Series 1997-RR, Cl. D, 7.702%, 4/30/39 2,5 2,950,159 2,736,414
Series 1997-RR, Cl. E, 7.702%, 4/30/39 2,5 9,200,496 7,387,271
Series 1997-RR, Cl. F, 7.702%, 4/30/39 2,5 30,801,659 20,834,333
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 5 14,358,000 13,372,315
- ---------------------------------------------------------------------------------------------------------------------------
Norwest Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 1999-18, Cl. A2, 6%, 7/25/29 731,409 731,221
- ---------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 10,000,000 11,287,300
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1996-C1, Cl. F, 8.467%, 1/20/06 1,2 9,632,000 8,993,880
- ---------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg. Obligations,
Series 1995-C4, Cl. E, 8.598%, 6/25/26 1,2 234,418 234,453
-----------------
255,964,108
- ---------------------------------------------------------------------------------------------------------------------------
Multifamily--0.0%
Countrywide Funding Corp., Mtg. Pass-Through Certificates:
Series 1993-11, Cl. B1, 6.25%, 2/25/09 219,164 219,119
Series 1993-11, Cl. B3, 6.25%, 2/25/09 1 117,412 88,059
-----------------
307,178
- ---------------------------------------------------------------------------------------------------------------------------
Other--0.1%
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 3,370,000 3,370,000
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Residential--1.2%
Citicorp Mortgage Securities, Inc., Collateralized Mtg. Obligations,
Series 2001-6, Cl. A4, 6.50%, 5/25/29 $ 19,550,000 $ 20,002,324
- ---------------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1993-12, Cl. B1, 6.625%, 2/25/24 506,787 506,701
- ---------------------------------------------------------------------------------------------------------------------------
Granite Mortgages plc, Mtg.-Backed Obligations, Series 2002-2,
Cl. 1A1, 1.22%, 1/21/17 2 193,154 193,148
- ---------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Interest-Only Mtg.
Pass-Through Certificates, Series 2001-GE9, Cl. A, (99.999)%, 1/25/31 1,7 24,110,812 1,446,649
- ---------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Mtg. Obligations,
Series 2001-GE4, Cl. A, 8.946%, 10/25/30 2 3,665,102 3,710,916
- ---------------------------------------------------------------------------------------------------------------------------
Norwest Asset Securities Corp., Collateralized Mtg. Obligations,
Mtg. Pass-Through Certificates, Series 1999-18, Cl. A17, 6.75%, 7/25/29 11,886,286 11,977,596
- ---------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Collateralized Mtg. Obligations,
Mtg. Asset-Backed Pass-Through Certificates, Series 1997-QS8, Cl. M3,
7.50%, 8/25/27 2,428,578 2,426,890
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Collateralized
Mtg. Obligations:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 3,443,924 3,592,303
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 4,088,518 4,291,014
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1996-B, Cl. 1, 7.254%, 4/25/26 1,2 3,307,453 2,842,342
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 1 2,500,000 2,614,287
- ---------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 14,000,000 14,420,248
- ---------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, (15.256)%, 9/15/22 7 43,278,975 764,025
Series 1995-2B, Cl. 2IO, 17.595%, 6/15/25 7 3,594,545 56,228
Series 1995-3, Cl. 1IO, (20.741)%, 9/15/25 7 111,790,469 681,922
- ---------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized Mtg.
Obligations, Pass-Through Certificates, Series 2003-AR7, Cl. A1,
1.51%, 8/25/33 2 8,394,074 8,379,766
-----------------
77,906,359
-----------------
Total Mortgage-Backed Obligations (Cost $1,322,093,175) 1,324,879,981
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Obligations--6.8%
Federal Home Loan Mortgage Corp. Unsec. Nts.:
2.75%, 8/15/06 8 80,000,000 81,346,000
4.50%, 1/15/13 16,000,000 16,217,024
4.50%, 7/15/13 8 16,000,000 16,188,976
4.875%, 3/15/07 8 2,000,000 2,159,886
- ---------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 8 43,000,000 45,517,005
5.50%, 2/15/06 8 33,480,000 36,317,430
7.25%, 5/15/30 8 48,000,000 60,229,536
- ---------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Federal Book Entry Principal Strips,
6.14%, 1/15/21 8,9 52,460,000 20,486,574
16 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Obligations Continued
U.S. Treasury Bonds:
5.375%, 2/15/31 8 $ 4,553,000 $ 4,887,363
5.50%, 8/15/28 8,10 48,750,000 52,234,894
6.125%, 11/15/27 8 3,909,000 4,528,791
6.25%, 5/15/30 8 2,594,000 3,078,858
9.25%, 2/15/16 8,11,12 32,000,000 47,106,272
STRIPS, 4.93%, 2/15/16 9 34,499,000 19,300,293
STRIPS, 4.94%, 8/15/17 8,9 19,980,000 10,166,763
STRIPS, 5.94%, 11/15/24 8,9 32,490,000 10,542,973
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.75%, 8/15/10 7,000,000 8,016,372
6.50%, 2/15/10 8 4,615,000 5,477,973
-----------------
Total U.S. Government Obligations (Cost $436,627,514) 443,802,983
- ---------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations--27.2%
- ---------------------------------------------------------------------------------------------------------------------------
Argentina--0.9%
Argentina (Republic of) Bonds:
1.162%, 8/3/12 2 83,835,000 50,586,961
1.278%, 5/3/05 3,4 1,218,000 1,120,560
2%, 9/30/08 1 [ARP] 12,985,000 3,446,747
Series PR12, 2%, 1/3/16 1,3,4 [ARP] 224,891 52,314
- ---------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Disc. Bonds, 2.345%, 3/31/23 3,4 3,800,000 1,881,000
- ---------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Par Bonds, 5.984%, 3/31/23 3 5,450,000 2,697,750
- ---------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Treasury Bills, 14.75%, 10/8/04 9 [ARP] 253,000 76,791
- ---------------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 3.257%, 4/1/07 1,3 [ARP] 1,374,528 454,303
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Argentina (Republic of) Treasury Bills, 8.84%,
2/20/04 1,9 [ARP] 480,000 157,555
-----------------
60,473,981
- ---------------------------------------------------------------------------------------------------------------------------
Austria--0.7%
Austria (Republic of) Nts.:
5.50%, 10/20/07 [EUR] 19,935,000 25,405,662
Series 98-3, 3.90%, 10/20/05 [EUR] 8,085,000 9,712,487
- ---------------------------------------------------------------------------------------------------------------------------
Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 5%, 7/15/12 [EUR] 7,740,000 9,735,245
-----------------
44,853,394
- ---------------------------------------------------------------------------------------------------------------------------
Belgium--0.9%
Belgium (Kingdom of) Bonds:
5%, 9/28/11 [EUR] 4,695,000 5,898,405
Series 19, 6.50%, 3/31/05 [EUR] 11,800,000 14,601,916
Series 26, 6.25%, 3/28/07 [EUR] 19,320,000 24,980,751
Series 28, 5.75%, 3/28/08 [EUR] 8,780,000 11,323,907
-----------------
56,804,979
- ---------------------------------------------------------------------------------------------------------------------------
Brazil--1.4%
Brazil (Federal Republic of) Bonds, Series 15 yr., 2.188%, 4/15/09 2 165,583 149,645
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Brazil Continued
Brazil (Federal Republic of) Unsec. Unsub. Bonds:
10%, 8/7/11 $ 38,482,000 $ 37,904,770
11%, 8/17/39 200 190
Cl. B, 8.875%, 4/15/24 63,760,000 51,071,760
-----------------
89,126,365
- ---------------------------------------------------------------------------------------------------------------------------
Canada--0.3%
Canada (Government of) Bonds, 5.50%, 6/1/10 [CAD] 21,195,000 16,919,561
- ---------------------------------------------------------------------------------------------------------------------------
Colombia--0.1%
Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 7,235,000 6,620,025
- ---------------------------------------------------------------------------------------------------------------------------
Denmark--0.3%
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 119,500,000 19,232,599
- ---------------------------------------------------------------------------------------------------------------------------
Dominican Republic--0.1%
Dominican Republic Unsec. Unsub. Bonds, 9.50%, 9/27/06 4,968,000 4,918,320
- ---------------------------------------------------------------------------------------------------------------------------
Finland--0.1%
Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,990,000 3,497,760
- ---------------------------------------------------------------------------------------------------------------------------
France--1.9%
France (Government of) Obligations Assimilables du Tresor Bonds:
5%, 4/25/12 [EUR] 19,197,000 24,052,671
5.50%, 10/25/07 [EUR] 6,225,000 7,930,033
- ---------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
3.50%, 7/12/04 [EUR] 42,210,000 49,713,068
3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 24,763,357
5 yr., 4.75%, 7/12/07 [EUR] 795,000 985,773
5 yr., 5%, 7/12/05 [EUR] 15,700,000 19,152,807
-----------------
126,597,709
- ---------------------------------------------------------------------------------------------------------------------------
Germany--2.0%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 42,040,000 48,786,318
5.375%, 1/4/10 [EUR] 19,385,000 24,884,198
Series 01, 5%, 7/4/11 [EUR] 9,800,000 12,326,735
Series 02, 5%, 7/4/12 [EUR] 26,650,000 33,468,413
Series 140, 4.50%, 8/17/07 [EUR] 10,185,000 12,507,360
-----------------
131,973,024
- ---------------------------------------------------------------------------------------------------------------------------
Great Britain--0.5%
United Kingdom Treasury Nts., 7.50%, 12/7/06 [GBP] 19,525,000 35,510,793
- ---------------------------------------------------------------------------------------------------------------------------
Greece--1.0%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 41,835,000 49,345,706
4.60%, 5/20/13 [EUR] 2,720,000 3,282,099
5.35%, 5/18/11 [EUR] 10,900,000 13,930,963
-----------------
66,558,768
18 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Guatemala--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 $ 4,235,000 $ 4,870,250
10.25%, 11/8/11 5 2,910,000 3,346,500
-----------------
8,216,750
- ---------------------------------------------------------------------------------------------------------------------------
Italy--1.2%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
4%, 3/1/05 [EUR] 6,635,000 7,926,911
5%, 10/15/07 [EUR] 9,855,000 12,354,600
5%, 2/1/12 [EUR] 15,000,000 18,825,528
5.25%, 8/1/11 [EUR] 10,850,000 13,844,569
5.25%, 12/15/05 [EUR] 21,165,000 26,133,951
-----------------
79,085,559
- ---------------------------------------------------------------------------------------------------------------------------
Ivory Coast--0.0%
Ivory Coast (Government of) Front Loaded Interest Reduction Bonds,
2%, 3/29/18 1,3,4 87,000 14,817
- ---------------------------------------------------------------------------------------------------------------------------
Ivory Coast (Government of) Past Due Interest Bonds, 1.90%, 3/29/18 1,3,4 [FRF] 93,959,750 2,981,746
-----------------
2,996,563
- ---------------------------------------------------------------------------------------------------------------------------
Japan--6.7%
Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 48,740,000,000 437,340,227
- ---------------------------------------------------------------------------------------------------------------------------
Mexico--1.7%
Mexican Williams Sr. Nts., 1.258%, 11/15/08 1,2 1,500,000 1,563,750
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
6.75%, 6/6/06 [JPY] 707,000,000 7,241,822
7.50%, 4/8/33 10,545,000 11,045,887
8.30%, 8/15/31 6,210,000 7,066,980
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Global Bonds, 9.875%, 1/15/07 38,925,000 47,332,800
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Nts., 7.50%, 1/14/12 9,202,000 10,430,467
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Sr. Nts., 9.75%, 4/6/05 3,485,000 3,911,913
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts.:
8.50%, 2/1/06 10,455,000 11,929,155
Series 6 BR, 6.75%, 6/6/06 [JPY] 755,000,000 7,733,487
-----------------
108,256,261
- ---------------------------------------------------------------------------------------------------------------------------
Nigeria--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,695,000 3,288,550
- ---------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,978,570 3,335,211
-----------------
6,623,761
- ---------------------------------------------------------------------------------------------------------------------------
Peru--0.6%
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 9 64,200,557 38,282,792
- ---------------------------------------------------------------------------------------------------------------------------
Philippines--0.5%
Philippines (Republic of) Bonds, 9.375%, 1/18/17 12,665,000 13,915,669
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Philippines Continued
Philippines (Republic of) Nts.:
9.875%, 3/16/10 $ 2,975,000 $ 3,369,187
10.625%, 3/16/25 2,920,000 3,387,200
- ---------------------------------------------------------------------------------------------------------------------------
Philippines (Republic of) Unsec. Bonds:
8.875%, 4/15/08 5,910,000 6,523,163
9.875%, 1/15/19 4,489,000 4,898,621
-----------------
32,093,840
- ---------------------------------------------------------------------------------------------------------------------------
Portugal--0.1%
Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub.
Bonds, 5.85%, 5/20/10 [EUR] 4,365,000 5,742,914
- ---------------------------------------------------------------------------------------------------------------------------
Russia--3.0%
Ministry Finance of Russia Debs.:
Series V, 3%, 5/14/08 38,330,000 34,305,350
Series VI, 3%, 5/14/06 25,680,000 24,906,390
- ---------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Nts.:
8.75%, 7/24/05 73,565,000 81,197,369
10%, 6/26/07 44,060,000 52,541,550
- ---------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 2 510,250 484,020
-----------------
193,434,679
- ---------------------------------------------------------------------------------------------------------------------------
Spain--1.0%
Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado,
4.80%, 10/31/06 [EUR] 20,670,000 25,589,657
- ---------------------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 2.02%, 10/10/03 9 [EUR] 34,790,000 40,494,427
-----------------
66,084,084
- ---------------------------------------------------------------------------------------------------------------------------
Sweden--0.8%
Sweden (Kingdom of) Debs., Series 1040, 6.50%, 5/5/08 [SEK] 369,070,000 52,983,974
- ---------------------------------------------------------------------------------------------------------------------------
The Netherlands--0.9%
The Netherlands (Government of) Bonds:
4%, 7/15/05 [EUR] 4,475,000 5,367,701
5%, 7/15/11 [EUR] 8,795,000 11,080,028
Series 1, 5.75%, 2/15/07 [EUR] 34,200,000 43,571,394
-----------------
60,019,123
- ---------------------------------------------------------------------------------------------------------------------------
Turkey--0.1%
Turkey (Republic of) Sr. Unsec. Unsub. Nts., 11.875%, 1/15/30 5,045,000 5,852,200
- ---------------------------------------------------------------------------------------------------------------------------
Ukraine--0.2%
Ukraine (Government of) Bonds, 7.65%, 6/11/13 9,475,000 9,475,000
- ---------------------------------------------------------------------------------------------------------------------------
Ukraine (Government of) Sr. Unsec. Nts., 11%, 3/15/07 4,625,647 5,179,568
-----------------
14,654,568
-----------------
Total Foreign Government Obligations (Cost $1,685,272,874) 1,774,754,573
20 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Loan Participations--1.1%
Algeria (Republic of) Loan Participation Nts., 2.063%, 3/4/10 1,2 $ 8,624,817 $ 8,290,605
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 25,000,000 25,090,000
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesian Rupiah Loan Participation Nts.:
2.636%, 3/25/05 23,680,000 20,542,400
2.636%, 5/21/04 20,675,000 18,969,313
- ---------------------------------------------------------------------------------------------------------------------------
Telergy, Inc., Sr. Sec. Credit Facilities Term Loan Participation Nts., Tranche A,
11.111%, 1/1/02 1,3,4 8,877,258 --
-----------------
Total Loan Participations (Cost $76,504,437) 72,892,318
- ---------------------------------------------------------------------------------------------------------------------------
Corporate Bonds and Notes--35.4%
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary--10.2%
- ---------------------------------------------------------------------------------------------------------------------------
Auto Components--0.7%
Cambridge Industries, Inc., Liquidating Trust Interests, 7/15/07 1 5,189,534 --
- ---------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 1 1,900,000 2,014,000
- ---------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 8 2,700,000 2,349,000
- ---------------------------------------------------------------------------------------------------------------------------
Dana Corp.:
9% Unsec. Nts., 8/15/11 8 8,920,000 9,812,000
10.125% Nts., 3/15/10 8 3,500,000 3,928,750
- ---------------------------------------------------------------------------------------------------------------------------
Dura Operating Corp.:
8.625% Sr. Nts., Series B, 4/15/12 8 2,500,000 2,606,250
9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 3,000,000 3,231,625
9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 8 1,550,000 1,449,250
- ---------------------------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 5 2,500,000 2,637,500
- ---------------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 1,300,000 1,501,500
- ---------------------------------------------------------------------------------------------------------------------------
Metaldyne Corp., 11% Sr. Sub. Nts., 6/15/12 8 4,900,000 4,410,000
- ---------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 8 7,750,000 8,893,125
- ---------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., 7/15/13 5 3,100,000 3,379,000
- ---------------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 5 1,600,000 1,672,000
-----------------
47,884,000
- ---------------------------------------------------------------------------------------------------------------------------
Automobiles--0.3%
DirecTV Holdings LLC, 8.375% Sr. Nts., 3/15/13 5 11,450,000 12,967,125
- ---------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 7.375% Nts., 10/28/09 2,896,000 3,090,634
-----------------
16,057,759
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--2.8%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 1 4,875,000 1,730,625
- ---------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,000,000 4,345,000
- ---------------------------------------------------------------------------------------------------------------------------
Boca Resorts, Inc., 9.875% Sr. Sub. Nts., 4/15/09 6,800,000 7,284,500
- ---------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 8 3,600,000 3,919,500
- ---------------------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 1,3,4 33,500 --
- ---------------------------------------------------------------------------------------------------------------------------
Choctaw Resort Development Enterprise, 9.25% Sr. Unsec. Nts., 4/1/09 3,000,000 3,232,500
- ---------------------------------------------------------------------------------------------------------------------------
Coast Hotels & Casinos, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/09 4,000,000 4,290,000
- ---------------------------------------------------------------------------------------------------------------------------
Dominos, Inc., 8.25% Sr. Sub. Nts., 7/1/11 5,8 3,200,000 3,396,000
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure Continued
Family Restaurants, Inc., 10.875% Sr. Sub. Disc. Nts., 2/1/04 1,3,4 $ 4,800,000 $ 48,000
- ---------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625% Nts., 12/1/12 8 6,800,000 7,463,000
- ---------------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 8 5,250,000 5,387,812
- ---------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 8 8,050,000 8,502,813
- ---------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
8.75% Sr. Unsec. Nts., 4/15/09 2,900,000 3,088,500
9% Sr. Sub. Nts., 3/15/12 8 7,200,000 7,866,000
- ---------------------------------------------------------------------------------------------------------------------------
John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 3,100,000 3,371,250
- ---------------------------------------------------------------------------------------------------------------------------
Jupiters Ltd., 8.50% Sr. Unsec. Nts., 3/1/06 1 7,100,000 7,783,375
- ---------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 8 3,500,000 4,033,750
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 8 4,800,000 5,544,000
- ---------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 8 5,100,000 5,635,500
- ---------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.375% Sr. Sub. Nts., 7/15/09 5 3,300,000 3,345,375
8% Sr. Sub. Nts., 4/1/12 8 1,900,000 2,061,500
8.125% Sr. Nts., 1/1/06 3,750,000 4,064,063
8.375% Sr. Sub. Nts., 7/1/11 1,600,000 1,752,000
- ---------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8 7,000,000 7,525,000
- ---------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
8.875% Sr. Sub. Nts., 3/15/10 3,700,000 4,000,625
11.125% Sr. Unsec. Sub. Nts., 3/1/08 8 8,000,000 9,010,000
- ---------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 1,3,4 10,800,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Premier Parks, Inc., 9.75% Sr. Nts., 6/15/07 8 4,950,000 4,888,125
- ---------------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 1 3,900,000 3,861,000
- ---------------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd.:
8% Sr. Unsec. Nts., 5/15/10 8 1,000,000 1,060,000
8.75% Sr. Unsub. Nts., 2/2/11 1,8 3,100,000 3,394,500
- ---------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Nts., 2/1/10 8 6,000,000 5,535,000
9.75% Sr. Nts., 4/15/13 5,8 7,500,000 7,087,500
- ---------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,000,000 8,800,000
- ---------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
8.875% Sr. Unsec. Sub. Nts., 12/1/08 1 4,500,000 4,725,000
9.875% Sr. Unsec. Sub. Nts., 7/1/10 3,500,000 3,889,375
- ---------------------------------------------------------------------------------------------------------------------------
Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 5,000,000 5,443,750
- ---------------------------------------------------------------------------------------------------------------------------
Trump Casino Holdings LLC/Trump Casino Funding, Inc.,
11.625% Sr. Sec. Nts., 3/15/10 4,300,000 3,864,625
- ---------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners, 11.75% Sr. Nts., 4/1/10 1 3,800,000 4,294,000
- ---------------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc., 8.75% Sr. Unsec. Sub. Nts., 5/15/09 1 2,000,000 2,112,500
- ---------------------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 8 3,800,000 4,351,000
-----------------
181,987,063
22 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Household Durables--1.0%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 $ 6,600,000 $ 7,161,000
- ---------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 1 2,100,000 2,299,500
9.75% Sr. Sub. Nts., 9/15/10 10 2,325,000 2,627,250
- ---------------------------------------------------------------------------------------------------------------------------
Del Webb Corp., 10.25% Sr. Unsec. Sub. Debs., 2/15/10 8,000,000 8,640,000
- ---------------------------------------------------------------------------------------------------------------------------
Interface, Inc., 10.375% Sr. Nts., 2/1/10 8 1,500,000 1,511,250
- ---------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,600,000 2,795,000
- ---------------------------------------------------------------------------------------------------------------------------
KB Home:
7.75% Sr. Nts., 10/15/04 10,350,000 10,815,750
8.625% Sr. Sub. Nts., 12/15/08 2,050,000 2,229,375
9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 770,875
- ---------------------------------------------------------------------------------------------------------------------------
Meritage Corp., 9.75% Sr. Nts., 6/1/11 5 2,500,000 2,750,000
- ---------------------------------------------------------------------------------------------------------------------------
Salton, Inc.:
10.75% Sr. Unsec. Sub. Nts., 12/15/05 3,200,000 3,160,000
12.25% Sr. Sub. Nts., 4/15/08 8 2,000,000 1,965,000
- ---------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 1 2,000,000 2,195,000
- ---------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1 2,000,000 2,190,000
- ---------------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,500,000 3,762,500
- ---------------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,450,000 3,760,500
- ---------------------------------------------------------------------------------------------------------------------------
Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 4,800,000 4,752,000
-----------------
63,385,000
- ---------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail--0.1%
InterActiveCorp, 7% Nts., 1/15/13 6,842,000 7,730,995
- ---------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products--0.0%
Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 8 2,200,000 2,266,000
- ---------------------------------------------------------------------------------------------------------------------------
Media--4.2%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3,4 1,400,000 962,500
8.125% Sr. Nts., Series B, 7/15/03 3,4 3,750,000 2,587,500
8.375% Sr. Nts., Series B, 2/1/08 3,4 10,700,000 7,449,000
9.875% Sr. Nts., Series B, 3/1/07 3,4 1,500,000 1,053,750
10.25% Sr. Unsec. Nts., 11/1/06 3,4 6,300,000 4,378,500
10.25% Sr. Unsec. Sub. Nts., 6/15/11 3,4 2,600,000 1,872,000
10.50% Sr. Unsec. Nts., Series B, 7/15/04 3,4 4,000,000 2,800,000
10.875% Sr. Unsec. Nts., 10/1/10 3,4 100,000 70,500
- ---------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 5,000,000 5,125,000
- ---------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 9.50% Sr. Unsec. Sub. Nts., 2/1/11 12,200,000 12,871,000
- ---------------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,000,000 3,225,000
- ---------------------------------------------------------------------------------------------------------------------------
British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 5,537,000 6,578,742
- ---------------------------------------------------------------------------------------------------------------------------
Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 1,3,4 [EUR] 3,000,000 157,214
- ---------------------------------------------------------------------------------------------------------------------------
CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Cl. B, 4/15/13 8 900,000 967,500
- ---------------------------------------------------------------------------------------------------------------------------
Carmike Cinemas, Inc., 10.375% Gtd. Sr. Sub. Nts., Series B, 2/1/09 1,000,000 1,055,000
- ---------------------------------------------------------------------------------------------------------------------------
CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 5 900,000 960,750
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Media Continued
Charter Communications Holdings LLC/
Charter Communications Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11 13 $ 21,600,000 $ 15,390,000
8.625% Sr. Unsec. Nts., 4/1/09 8 16,600,000 12,782,000
10% Sr. Nts., 4/1/09 1,000,000 795,000
10% Sr. Unsec. Sub. Nts., 5/15/11 8 2,000,000 1,535,000
10.75% Sr. Unsec. Nts., 10/1/09 1,300,000 1,069,250
11.125% Sr. Unsec. Nts., 1/15/11 8 3,200,000 2,632,000
- ---------------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 3,200,000 3,432,000
- ---------------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 10.50% Sr. Sub. Nts., 3/1/10 1,3,4 2,725,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc.:
7.65% Sr. Nts., 9/15/10 4,690,000 5,569,347
7.875% Sr. Nts., 6/15/05 1,000,000 1,098,662
- ---------------------------------------------------------------------------------------------------------------------------
Comcast Cable Communications, Inc.:
6.75% Sr. Unsub. Nts., 1/30/11 8 374,000 422,502
8.875% Unsub. Nts., 5/1/17 1,845,000 2,409,957
- ---------------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 11.20% Sr. Unsec. Disc. Debs., 11/15/07 6,260,000 6,299,125
- ---------------------------------------------------------------------------------------------------------------------------
Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,200,000 2,409,000
- ---------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 8 19,000,000 19,047,500
- ---------------------------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 8 1,600,000 1,602,000
- ---------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
9.125% Sr. Nts., 1/15/09 2,206,000 2,509,325
9.375% Sr. Unsec. Nts., 2/1/09 8,000,000 8,570,000
10.375% Sr. Unsec. Nts., 10/1/07 11,850,000 13,242,375
- ---------------------------------------------------------------------------------------------------------------------------
Emmis Communications Corp.:
0%/12.50% Sr. Unsec. Disc. Nts., 3/15/11 8,13 8,128,000 7,274,560
8.125% Sr. Unsec. Sub. Nts., Series B, 3/15/09 8 5,925,000 6,206,438
- ---------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec.
Sub. Nts., 3/1/14 2,000,000 2,115,000
- ---------------------------------------------------------------------------------------------------------------------------
Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 8 1,400,000 1,473,500
- ---------------------------------------------------------------------------------------------------------------------------
Hollinger International Publishing, Inc., 9% Sr. Unsec. Nts., 12/15/10 3,175,000 3,361,531
- ---------------------------------------------------------------------------------------------------------------------------
Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 8 1,700,000 1,789,250
- ---------------------------------------------------------------------------------------------------------------------------
Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 8 1,500,000 1,518,750
- ---------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 8 1,800,000 1,890,000
- ---------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 5 2,200,000 2,150,500
- ---------------------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,550,000 1,650,750
- ---------------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 8 2,700,000 2,571,750
- ---------------------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 8.50% Sr. Unsec. Nts., 2/1/12 8 9,200,000 9,683,000
- ---------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 8% Sr. Nts., 5/15/13 5 7,600,000 7,714,000
- ---------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I:
8.875% Sr. Nts., 12/15/10 5,8 2,800,000 3,150,000
10.875% Sr. Sub. Nts., 12/15/12 5 4,300,000 5,095,500
- ---------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 8 2,900,000 3,168,250
- ---------------------------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc., 9.375% Sr. Sub. Nts., Series B, 2/1/12 5,400,000 6,102,000
- ---------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,580,000 9,419,277
24 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Media Continued
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 8 $ 11,400,000 $ 12,084,000
8.75% Sr. Sub. Nts., 12/15/11 800,000 874,000
- ---------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,850,000 11,528,125
- ---------------------------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 5 2,250,000 2,379,375
- ---------------------------------------------------------------------------------------------------------------------------
Vivendi Universal SA, 9.25% Sr. Nts., 4/15/10 5 3,100,000 3,576,625
- ---------------------------------------------------------------------------------------------------------------------------
World Color Press, Inc., 7.75% Sr. Unsec. Sub. Nts., 2/15/09 2,500,000 2,642,863
- ---------------------------------------------------------------------------------------------------------------------------
WRC Media, Inc./Weekly Reader Corp./Compass Learning Corp.,
12.75% Sr. Sub. Nts., 11/15/09 7,900,000 7,949,375
-----------------
270,297,418
- ---------------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.3%
J. C. Penney Co., Inc., 8% Nts., 3/1/10 8 7,050,000 7,772,625
- ---------------------------------------------------------------------------------------------------------------------------
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 5,420,000 5,962,000
9.875% Nts., 10/1/11 1 2,700,000 3,199,500
-----------------
16,934,125
- ---------------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.6%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 8 5,900,000 5,929,500
- ---------------------------------------------------------------------------------------------------------------------------
AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,500,000 6,187,500
- ---------------------------------------------------------------------------------------------------------------------------
CSK Auto, Inc., 12% Sr. Unsec. Nts., 6/15/06 8 6,700,000 7,520,750
- ---------------------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 3,775,000 3,737,250
- ---------------------------------------------------------------------------------------------------------------------------
Finlay Enterprises, Inc., 9% Debs., 5/1/08 3,200,000 3,196,000
- ---------------------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 1,8 3,125,000 3,234,375
- ---------------------------------------------------------------------------------------------------------------------------
Gap, Inc. (The):
6.90% Nts., 9/15/07 500,000 540,000
10.55% Unsub. Nts., 12/15/08 1,200,000 1,449,000
- ---------------------------------------------------------------------------------------------------------------------------
Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 3,200,000 3,496,000
- ---------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 1,3,4 4,300,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 1 4,000,000 4,620,000
- ---------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Sub. Nts., Cl. B, 5/1/10 1,250,000 1,320,313
- ---------------------------------------------------------------------------------------------------------------------------
United Auto Group, Inc., 9.625% Sr. Unsec. Sub. Nts., 3/15/12 8 400,000 439,000
-----------------
41,669,688
- ---------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.2%
Broder Brothers Co., 11.25% Sr. Nts., 10/15/10 5 2,800,000 2,849,000
- ---------------------------------------------------------------------------------------------------------------------------
Galey & Lord, Inc., 9.125% Sr. Unsec. Sub. Nts., 3/1/08 1,3,4 5,050,000 63,125
- ---------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
11.625% Sr. Unsec. Nts., 1/15/08 1,950,000 1,608,750
12.25% Sr. Nts., 12/15/12 8 2,200,000 1,771,000
- ---------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 5 1,500,000 1,605,000
- ---------------------------------------------------------------------------------------------------------------------------
Phillips/Van Heusen Corp.:
8.125% Sr. Nts., 5/1/13 1 600,000 631,500
9.50% Sr. Unsec. Sub. Nts., 5/1/08 1 3,750,000 3,881,250
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Continued
Russell Corp., 9.25% Sr. Nts., 5/1/10 1 $ 2,500,000 $ 2,662,500
-----------------
15,072,125
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Staples--1.5%
- ---------------------------------------------------------------------------------------------------------------------------
Beverages--0.1%
Canandaigua Brands, Inc.:
8.50% Sr. Unsec. Sub. Nts., 3/1/09 1,500,000 1,590,000
8.625% Sr. Unsec. Nts., 8/1/06 8 1,300,000 1,425,125
- ---------------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,000,000 2,170,000
-----------------
5,185,125
- ---------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing--0.3%
Delhaize America, Inc., 8.125% Unsub. Debs., 4/15/11 9,605,000 10,613,525
- ---------------------------------------------------------------------------------------------------------------------------
Fleming Cos., Inc.:
10.125% Sr. Unsec. Nts., 4/1/08 3 6,000,000 1,020,000
10.625% Sr. Unsec. Sub. Nts., Series D, 7/31/07 1,3,8 1,000,000 5,100
- ---------------------------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 8 1,400,000 1,323,000
- ---------------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,588,000
- ---------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 13% Disc. Nts., 5/31/09 1,3,4,14 8,836,185 176,724
- ---------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 5 4,000,000 4,280,000
9.50% Sr. Sec. Nts., 2/15/11 8 2,000,000 2,270,000
-----------------
23,276,349
- ---------------------------------------------------------------------------------------------------------------------------
Food Products--0.8%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 1 4,700,000 5,522,500
- ---------------------------------------------------------------------------------------------------------------------------
Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 3 2,400,000 1,368,000
- ---------------------------------------------------------------------------------------------------------------------------
Burns Philp Capital Pty Ltd., 9.75% Sr. Sub. Nts., 7/15/12 5 4,350,000 4,371,750
- ---------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 10.56% Sr. Unsec. Nts., 3/15/09 8 622,000 688,865
- ---------------------------------------------------------------------------------------------------------------------------
Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 5 3,900,000 4,280,250
- ---------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 1 3,200,000 3,536,000
- ---------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 7,500,000 8,025,000
8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,819,000
- ---------------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Nts., 10/1/11 5 1,800,000 1,890,000
- ---------------------------------------------------------------------------------------------------------------------------
New World Pasta Co., 9.25% Sr. Nts., 2/15/09 1,000,000 270,000
- ---------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 8 3,050,000 3,187,250
8% Sr. Nts., Series B, 10/15/09 8 1,000,000 1,095,000
- ---------------------------------------------------------------------------------------------------------------------------
Swift & Co., 10.125% Sr. Nts., 10/1/09 8 2,000,000 2,220,000
- ---------------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 5,500,000 5,197,500
- ---------------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 4,000,000 7,310,160
-----------------
50,781,275
26 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Household Products--0.3%
AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 1 $ 3,700,000 $ 3,903,500
- ---------------------------------------------------------------------------------------------------------------------------
Holmes Products Corp.:
9.875% Sr. Sub. Nts., Series C, 11/15/07 1 1,000,000 960,000
9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 1 4,610,000 4,425,600
- ---------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 9.375% Sr. Unsec. Sub. Nts., 6/1/11 4,500,000 4,342,500
- ---------------------------------------------------------------------------------------------------------------------------
Rayovac Corp., 8.50% Sr. Sub. Nts., 10/1/13 5 1,600,000 1,644,000
- ---------------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 12% Sr. Sec. Nts., 12/1/05 8 3,450,000 3,467,250
- ---------------------------------------------------------------------------------------------------------------------------
Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 1,3,4 6,340,000 --
-----------------
18,742,850
- ---------------------------------------------------------------------------------------------------------------------------
Energy--2.6%
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services--0.6%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 8 1,900,000 2,004,500
- ---------------------------------------------------------------------------------------------------------------------------
Grant Geophysical, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/15/08 1,3,4 5,925,000 1,481,250
- ---------------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 8 1,900,000 1,966,500
- ---------------------------------------------------------------------------------------------------------------------------
Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 12,750,000 14,056,875
- ---------------------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 14,250,000 12,753,750
- ---------------------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,000,000 2,190,000
- ---------------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,200,000 3,312,000
-----------------
37,764,875
- ---------------------------------------------------------------------------------------------------------------------------
Oil & Gas--2.0%
Chesapeake Energy Corp.:
7.75% Sr. Unsec. Nts., 1/15/15 8 9,300,000 9,858,000
8.125% Sr. Unsec. Nts., 4/1/11 8 3,650,000 3,978,500
9% Sr. Nts., 8/15/12 1,000,000 1,130,000
- ---------------------------------------------------------------------------------------------------------------------------
El Paso Energy Partners LP:
8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 2,300,000 2,489,750
10.625% Sr. Sub. Nts., 12/1/12 3,900,000 4,592,250
- ---------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,500,000 3,657,500
- ---------------------------------------------------------------------------------------------------------------------------
Frontier Escrow Corp., 8% Sr. Nts., 4/15/13 5 1,500,000 1,530,000
- ---------------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 9,735,000 11,049,225
- ---------------------------------------------------------------------------------------------------------------------------
GulfTerra Energy Partners LP, 8.50% Sr. Sub. Unsec. Nts., Series B, 6/1/10 2,700,000 2,922,750
- ---------------------------------------------------------------------------------------------------------------------------
Leviathan Gas Pipeline Partners LP/Leviathan Finance Corp.,
10.375% Sr. Unsec. Sub. Nts., Series B, 6/1/09 1 7,000,000 7,980,000
- ---------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,250,000 3,542,500
- ---------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
6.625% Nts., 4/4/10 [EUR] 8,610,000 10,670,993
8.50% Unsub. Nts., 2/15/08 8 3,450,000 4,019,250
- ---------------------------------------------------------------------------------------------------------------------------
Petroleos Mexicanos:
6.50% Unsub. Nts., 2/1/05 11,855,000 12,536,663
9.375% Sr. Unsec. Bonds, 12/2/08 9,030,000 10,836,000
- ---------------------------------------------------------------------------------------------------------------------------
Pioneer Natural Resources Co., 7.50% Sr. Nts., 4/15/12 8 3,000,000 3,420,000
- ---------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,800,000 6,409,000
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Oil & Gas Continued
Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 $ 1,000,000 $ 1,065,000
- ---------------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 2,000,000 2,220,000
- ---------------------------------------------------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 7,800,000 8,034,000
9.625% Sr. Sub. Nts., 4/1/12 8 2,250,000 2,250,000
- ---------------------------------------------------------------------------------------------------------------------------
Tom Brown, Inc., Units (each unit consists of $512 principal amount of
7.25% sr. sub. nts., due 2013 and $488 principal amount of Tom Brown
Resources Funding Corp., 7.25% sr. sub. nts., due 2013) 15 1,800,000 1,872,000
- ---------------------------------------------------------------------------------------------------------------------------
Westport Resources Corp.:
8.25% Sr. Sub. Nts., 11/1/11 5 2,000,000 2,195,000
8.25% Sr. Unsec. Sub. Nts., 11/1/11 6,700,000 7,353,250
- ---------------------------------------------------------------------------------------------------------------------------
XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,200,000 5,811,000
-----------------
131,422,631
- ---------------------------------------------------------------------------------------------------------------------------
Financials--2.1%
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5%
Bank Plus Corp., 12% Sr. Nts., 7/18/07 1 4,167,000 4,479,525
- ---------------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 1 10,050,000 10,979,625
- ---------------------------------------------------------------------------------------------------------------------------
Local Financial Corp., 11% Sr. Nts., 9/8/04 1 10,000,000 10,200,000
- ---------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 1,3,4 4,970,000 31,062
- ---------------------------------------------------------------------------------------------------------------------------
Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 1,000,000 1,191,326
- ---------------------------------------------------------------------------------------------------------------------------
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,800,000 4,132,500
-----------------
31,014,038
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services--0.4%
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 3,200,000 3,584,000
- ---------------------------------------------------------------------------------------------------------------------------
Finova Group, Inc. (The), 7.50% Nts., 11/15/09 8,848,000 4,424,000
- ---------------------------------------------------------------------------------------------------------------------------
LaBranche & Co., Inc., 12% Sr. Unsec. Sub. Nts., 3/2/07 5,900,000 6,696,500
- ---------------------------------------------------------------------------------------------------------------------------
MBNA Corp., 6.125% Nts., 3/1/13 8 3,740,000 4,005,428
- ---------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 7.375% Bonds,12/15/14 8,570,000 9,255,600
- ---------------------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV, 10.25% Bonds, 7/21/00 1,3,4 14,961,000 --
-----------------
27,965,528
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--0.1%
Arbor I Ltd., 16.64% Nts., 6/15/06 1,2 6,250,000 6,339,063
- ---------------------------------------------------------------------------------------------------------------------------
Conseco, Inc., Escrow Shares, 6/15/09 3,4 3,050,000 --
-----------------
6,339,063
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate--0.9%
Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 8 7,700,000 7,642,250
- ---------------------------------------------------------------------------------------------------------------------------
CB Richard Ellis Services, Inc., 11.25% Sr. Unsec. Sub. Nts., 6/15/11 1,450,000 1,576,875
- ---------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
7.50% Sr. Nts., 5/1/11 8 1,500,000 1,554,375
9.875% Sr. Nts., 5/1/09 2,000,000 2,255,000
28 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Continued
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 $ 2,609,000 $ 2,791,630
- ---------------------------------------------------------------------------------------------------------------------------
Felcor Suites LP, 7.375% Sr. Nts., 10/1/04 2,200,000 2,263,250
- ---------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc.:
7.875% Sr. Nts., Series B, 8/1/08 6,300,000 6,504,750
8.45% Sr. Nts., Series C, 12/1/08 8 3,000,000 3,138,750
- ---------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 9.50% Sr. Nts., 1/15/07 5,000,000 5,500,000
- ---------------------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp.:
8.75% Sr. Unsec. Sub. Nts., 8/15/07 6,800,000 6,749,000
9.125% Sr. Unsec. Nts., 1/15/11 4,850,000 5,116,750
- ---------------------------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts., Series B, 4/1/08 15,590,000 15,745,900
-----------------
60,838,530
- ---------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.2%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,250,000 4,856,250
- ---------------------------------------------------------------------------------------------------------------------------
Ocwen Financial Corp., 11.875% Nts., 10/1/03 1 4,817,000 4,817,000
-----------------
9,673,250
- ---------------------------------------------------------------------------------------------------------------------------
Health Care--1.2%
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies--0.2%
Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 3,400,000 3,629,500
- ---------------------------------------------------------------------------------------------------------------------------
HMP Equity Holdings Corp., Units (each unit consists of $1,000 principal
amount of 15.43% Sr. Sec. Disc. Nts., 5/15/08 and one warrant to purchase
2.8094 shares of Huntsman Corp. common stock) 9,15 3,500,000 1,715,000
- ---------------------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4,150,000 4,440,500
- ---------------------------------------------------------------------------------------------------------------------------
Vanguard Health Systems, Inc., 9.75% Sr. Unsec. Sub. Nts., 8/1/11 550,000 588,500
-----------------
10,373,500
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services--1.0%
Alliance Imaging, Inc., 10.375% Sr. Unsec. Sub. Nts., 4/15/11 800,000 836,000
- ---------------------------------------------------------------------------------------------------------------------------
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,800,000 3,010,000
- ---------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen Corp., 7.25% Sr. Unsec. Nts., 11/15/12 2,200,000 2,249,500
- ---------------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc., 9.50% Sr. Unsec. Sub. Nts., 7/1/10 8 1,900,000 2,071,000
- ---------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 3,290,000 3,429,825
- ---------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,042,589
- ---------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 3,000,000 3,150,000
- ---------------------------------------------------------------------------------------------------------------------------
Hanger Orthopedic Group, Inc., 10.375% Sr. Nts., 2/15/09 2,850,000 3,195,562
- ---------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 3,900,000 3,981,756
- ---------------------------------------------------------------------------------------------------------------------------
Healthsouth Corp., 7.625% Nts., 6/1/12 10,500,000 9,082,500
- ---------------------------------------------------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 8 3,300,000 3,498,000
- ---------------------------------------------------------------------------------------------------------------------------
NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 3,700,000 4,033,000
- ---------------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 4,600,000 5,313,000
- ---------------------------------------------------------------------------------------------------------------------------
Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 5 2,450,000 2,541,875
- ---------------------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 8 5,200,000 5,512,000
- ---------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 6.375% Sr. Nts., 12/1/11 6,931,000 6,671,087
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Continued
Triad Hospitals, Inc., 8.75% Sr. Unsec. Nts., Series B, 5/1/09 $ 4,000,000 $ 4,370,000
- ---------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc., 9.625% Sr. Sub. Nts., 2/1/12 1,600,000 1,704,000
-----------------
65,691,694
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.0%
aaiPharma, Inc., 11% Sr. Sub. Nts., 4/1/10 8 1,200,000 1,344,000
- ---------------------------------------------------------------------------------------------------------------------------
Industrials--4.3%
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense--0.4%
Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,900,000 3,175,500
- ---------------------------------------------------------------------------------------------------------------------------
American Plumbing & Mechanical, Inc., 11.625% Sr. Sub. Nts.,
Series B, 10/15/08 1,3 6,700,000 1,917,875
- ---------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.875% Sr. Unsec. Sub. Nts., 5/1/11 8 1,800,000 1,566,000
9.50% Sr. Unsec. Sub. Nts., 11/1/08 8 2,500,000 2,287,500
- ---------------------------------------------------------------------------------------------------------------------------
K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 8 2,100,000 2,320,500
- ---------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp., 7.625% Sr. Sub. Nts., 6/15/12 1,700,000 1,848,750
- ---------------------------------------------------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,150,000 2,397,250
- ---------------------------------------------------------------------------------------------------------------------------
TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 5 3,100,000 3,348,000
- ---------------------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 5,8 2,200,000 2,486,000
11% Sr. Sub. Nts., 2/15/13 5,8 2,500,000 2,925,000
- ---------------------------------------------------------------------------------------------------------------------------
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 5 1,950,000 1,998,750
-----------------
26,271,125
- ---------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics--0.1%
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08 3 6,200,000 2,790,000
9.375% Sr. Unsec. Nts., 11/15/06 3 2,700,000 1,215,000
-----------------
4,005,000
- ---------------------------------------------------------------------------------------------------------------------------
Airlines--0.4%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 16,843,956
- ---------------------------------------------------------------------------------------------------------------------------
Amtran, Inc., 10.50% Sr. Nts., 8/1/04 9,750,000 7,556,250
-----------------
24,400,206
- ---------------------------------------------------------------------------------------------------------------------------
Building Products--0.2%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,400,000 2,550,000
- ---------------------------------------------------------------------------------------------------------------------------
Green Star Products, Inc., 10.15% Bonds, 6/24/10 5 577,603 600,588
- ---------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 5 3,100,000 3,231,750
- ---------------------------------------------------------------------------------------------------------------------------
Nortek, Inc.:
9.125% Sr. Unsec. Nts., Series B, 9/1/07 1 5,200,000 5,382,000
9.25% Sr. Nts., Series B, 3/15/07 1 2,990,000 3,094,650
9.875% Sr. Unsec. Sub. Nts., 6/15/11 1 1,150,000 1,221,875
-----------------
16,080,863
30 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies--1.5%
Allied Waste North America, Inc.:
7.875% Sr. Nts., 4/15/13 $ 3,800,000 $ 3,999,500
7.875% Sr. Unsec. Nts., Series B, 1/1/09 800,000 834,000
8.50% Sr. Sub. Nts., 12/1/08 8 10,300,000 11,175,500
8.875% Sr. Nts., Series B, 4/1/08 14,800,000 16,095,000
9.25% Sr. Sec. Debs., Series B, 9/1/12 15,550,000 17,260,500
10% Sr. Unsec. Sub. Nts., Series B, 8/1/09 8 1,900,000 2,068,625
- ---------------------------------------------------------------------------------------------------------------------------
American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 5,8 1,550,000 1,646,875
- ---------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1,3,4 3,462,000 24,234
- ---------------------------------------------------------------------------------------------------------------------------
Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 1,3,4 10,175,000 2,403,844
- ---------------------------------------------------------------------------------------------------------------------------
Buhrmann US, Inc., 12.25% Sr. Unsec. Sub. Nts., 11/1/09 2,500,000 2,787,500
- ---------------------------------------------------------------------------------------------------------------------------
Coinmach Corp., 9% Sr. Nts., 2/1/10 3,300,000 3,531,000
- ---------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2,920,000 1,941,800
- ---------------------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 5,800,000 4,089,000
- ---------------------------------------------------------------------------------------------------------------------------
IT Group, Inc., 11.25% Sr. Unsec. Sub. Nts., Series B, 4/1/09 1,3,4 5,300,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 3,050,000 3,080,500
- ---------------------------------------------------------------------------------------------------------------------------
Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 5,900,000 6,431,000
- ---------------------------------------------------------------------------------------------------------------------------
Moore North American Finance, Inc., 7.875% Sr. Nts., 1/15/11 5 1,600,000 1,708,000
- ---------------------------------------------------------------------------------------------------------------------------
Protection One, Inc./Protection One Alarm Monitoring, Inc.,
7.375% Sr. Unsec. Nts., 8/15/05 5,150,000 4,255,187
- ---------------------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 1,3,4 13,150,000 657,500
- ---------------------------------------------------------------------------------------------------------------------------
Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 8 2,400,000 2,640,000
- ---------------------------------------------------------------------------------------------------------------------------
United Rentals (North America), Inc.:
9% Sr. Unsec. Sub. Nts., Series B, 4/1/09 8 2,000,000 2,080,000
9.25% Sr. Unsec. Sub. Nts., Series B, 1/15/09 8 250,000 260,000
10.75% Sr. Nts., 4/15/08 5,8 3,000,000 3,337,500
10.75% Sr. Unsec. Nts., 4/15/08 8 3,450,000 3,838,125
10.75% Sr. Unsec. Nts., Series B, 4/15/08 2,800,000 3,115,000
-----------------
99,260,190
- ---------------------------------------------------------------------------------------------------------------------------
Construction & Engineering--0.1%
Integrated Electrical Services, Inc.:
9.375% Sr. Sub. Nts., Series B, 2/1/09 1 300,000 310,500
9.375% Sr. Sub. Nts., Series C, 2/1/09 2,150,000 2,225,250
- ---------------------------------------------------------------------------------------------------------------------------
URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 1 6,350,000 6,985,000
-----------------
9,520,750
- ---------------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.0%
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,900,000 2,595,500
- ---------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--0.5%
Great Lakes Dredge & Dock Corp., 11.25% Sr. Unsec. Sub. Nts., 8/15/08 7,105,000 7,540,181
- ---------------------------------------------------------------------------------------------------------------------------
Tyco International Group SA:
6.375% Nts., 10/15/11 19,200,000 19,896,000
6.75% Sr. Unsub. Nts., 2/15/11 8 1,900,000 2,014,000
-----------------
29,450,181
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Machinery--0.8%
Actuant Corp., 13% Sr. Sub. Nts., 5/1/09 $ 1,977,000 $ 2,500,905
- ---------------------------------------------------------------------------------------------------------------------------
AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 9,900,000 10,741,500
- ---------------------------------------------------------------------------------------------------------------------------
Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 4,750,000 4,251,250
- ---------------------------------------------------------------------------------------------------------------------------
Insilco Corp., 12% Sr. Sub. Nts., 8/15/07 1,3,4 10,550,000 105,500
- ---------------------------------------------------------------------------------------------------------------------------
NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,400,000 2,652,000
- ---------------------------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts., Series B, 6/15/07 10,400,000 9,620,000
- ---------------------------------------------------------------------------------------------------------------------------
SPX Corp., 7.50% Sr. Nts., 1/1/13 8 5,700,000 6,027,750
- ---------------------------------------------------------------------------------------------------------------------------
Terex Corp.:
8.875% Sr. Unsec. Sub. Nts., 4/1/08 600,000 628,500
8.875% Sr. Unsec. Sub. Nts., Series C, 4/1/08 1,325,000 1,387,938
9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,700,000 2,970,000
10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 8 6,000,000 6,750,000
- ---------------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 1 4,000,000 4,040,000
-----------------
51,675,343
- ---------------------------------------------------------------------------------------------------------------------------
Marine--0.2%
CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,350,000 7,270,750
- ---------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 1,3,4 5,400,000 2,352,780
- ---------------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1,3 11,650,000 4,019,250
-----------------
13,642,780
- ---------------------------------------------------------------------------------------------------------------------------
Road & Rail--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,000,000 2,085,000
- ---------------------------------------------------------------------------------------------------------------------------
Stena AB, 9.625% Sr. Nts., 12/1/12 8 2,150,000 2,348,875
-----------------
4,433,875
- ---------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure--0.0%
Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 5,8 1,350,000 1,420,875
- ---------------------------------------------------------------------------------------------------------------------------
Information Technology--1.3%
- ---------------------------------------------------------------------------------------------------------------------------
Communications Equipment--0.1%
Orion Network Systems, Inc., 12.50% Sr. Disc. Nts., 1/15/07 3 11,975,000 5,155,237
- ---------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals--0.1%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 8 4,600,000 5,094,500
- ---------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.3%
Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 1 12,553,000 12,804,060
- ---------------------------------------------------------------------------------------------------------------------------
Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 1 5,000,000 5,412,500
- ---------------------------------------------------------------------------------------------------------------------------
Xerox Capital plc (Europe), 5.875% Nts., 5/15/04 8 1,000,000 1,010,000
-----------------
19,226,560
- ---------------------------------------------------------------------------------------------------------------------------
Internet Software & Services--0.0%
Exodus Communications, Inc.:
10.75% Sr. Nts., 12/15/09 1,3,4 [EUR] 2,165,754 113,496
10.75% Sr. Unsec. Sub. Nts., 12/15/09 1,3,4 7,121,396 --
- ---------------------------------------------------------------------------------------------------------------------------
FirstWorld Communications, Inc., 0%/13% Sr. Disc. Nts., 4/15/08 1,3,4,13 5,700,000 570
- ---------------------------------------------------------------------------------------------------------------------------
Globix Corp., 11% Sr. Nts., 4/26/08 1 962,364 736,208
32 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Internet Software & Services Continued
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 1,3,4 [EUR] 6,150,000 $ 349,147
-----------------
1,199,421
- ---------------------------------------------------------------------------------------------------------------------------
IT Services--0.2%
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 11,650,000 12,086,875
- ---------------------------------------------------------------------------------------------------------------------------
Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 5 1,600,000 1,880,000
-----------------
13,966,875
- ---------------------------------------------------------------------------------------------------------------------------
Office Electronics--0.0%
ASAT Finance LLC, 12.50% Sr. Unsec. Nts., 11/1/06 1,8 1,430,000 1,508,650
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--0.6%
AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 4,750,000 5,391,250
- ---------------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc.:
7.75% Sr. Nts., 5/15/13 5,8 6,500,000 6,565,000
9.25% Sr. Unsec. Sub. Nts., 2/15/08 8 5,850,000 6,347,250
- ---------------------------------------------------------------------------------------------------------------------------
ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 8 4,000,000 4,480,000
- ---------------------------------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 1 14,000,000 13,580,000
-----------------
36,363,500
- ---------------------------------------------------------------------------------------------------------------------------
Materials--4.2%
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals--1.5%
Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 8 3,600,000 3,168,000
- ---------------------------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1 1,700,000 688,500
- ---------------------------------------------------------------------------------------------------------------------------
Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,800,000 4,237,000
- ---------------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 8 3,400,000 3,196,000
10.625% Sr. Nts., 5/1/11 5 2,650,000 2,636,750
- ---------------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
13.09% Sr. Unsec. Disc. Nts., 12/31/09 9 14,040,000 5,616,000
10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 3,300,000 3,372,245
10.125% Sr. Unsec. Sub. Nts., 7/1/09 8 14,350,000 13,704,250
- ---------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
9.875% Sr. Nts., 3/1/09 3,200,000 3,376,000
9.875% Sr. Nts., 3/1/09 5,8 2,300,000 2,426,500
- ---------------------------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 4,100,000 4,489,500
- ---------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 5,6 3,050,000 3,179,625
- ---------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 8 2,700,000 2,511,000
9.625% Sr. Sec. Nts., Series A, 5/1/07 6,000,000 5,730,000
9.875% Sec. Nts., Series B, 5/1/07 8 19,350,000 18,527,625
- ---------------------------------------------------------------------------------------------------------------------------
Millennium America, Inc., 9.25% Sr. Nts., 6/15/08 5 1,200,000 1,251,000
- ---------------------------------------------------------------------------------------------------------------------------
Noveon, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 2/28/11 1,8 4,500,000 5,107,500
- ---------------------------------------------------------------------------------------------------------------------------
OM Group, Inc., 9.25% Sr. Sub. Nts., 12/15/11 8 4,500,000 4,488,750
- ---------------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 8 2,557,668 2,231,565
- ---------------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc., 4.64% Sr. Sec. Nts., 12/31/06 2 809,925 706,660
- ---------------------------------------------------------------------------------------------------------------------------
Rockwood Specialties Corp., 10.625% Sr. Sub. Nts., 5/15/11 5 1,200,000 1,284,000
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals Continued
Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 1,8 $ 2,000,000 $ 1,605,000
- ---------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
10% Sr. Sec. Nts., 12/19/07 1 1,816,791 1,716,867
11.25% Sr. Sub. Nts., 8/15/06 1,3,4 7,915,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 5 3,100,000 3,231,750
-----------------
98,482,087
- ---------------------------------------------------------------------------------------------------------------------------
Construction Materials--0.1%
Formica Corp., 10.875% Sr. Unsec. Sub. Nts., Series B, 3/1/09 3,4 4,300,000 1,096,500
- ---------------------------------------------------------------------------------------------------------------------------
Texas Industries, Inc., 10.25% Sr. Nts., 6/15/11 5 3,200,000 3,520,000
-----------------
4,616,500
- ---------------------------------------------------------------------------------------------------------------------------
Containers & Packaging--1.1%
Ball Corp.:
6.875% Sr. Unsec. Nts., 12/15/12 5 2,200,000 2,279,750
7.75% Sr. Unsec. Nts., 8/1/06 2,300,000 2,507,000
- ---------------------------------------------------------------------------------------------------------------------------
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 1,3,4 5,875,000 14,688
- ---------------------------------------------------------------------------------------------------------------------------
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 5,8 3,600,000 3,888,000
10.875% Sr. Sec. Nts., 3/1/13 5,8 1,850,000 2,048,875
- ---------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5 5,700,000 6,198,750
9.50% Sr. Sub. Nts., 8/15/13 5 2,550,000 2,811,375
- ---------------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,365,000
- ---------------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,200,000 3,520,000
- ---------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,900,000 3,016,000
8.25% Sr. Unsec. Nts., 5/15/13 5,8 1,500,000 1,537,500
8.75% Sr. Sec. Nts., 11/15/12 8 12,500,000 13,468,750
8.875% Sr. Sec. Nts., 2/15/09 5,800,000 6,206,000
- ---------------------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 8 4,700,000 4,958,500
9.25% Sr. Unsec. Nts., 2/1/08 4,500,000 4,916,250
9.75% Sr. Unsec. Nts., 2/1/11 7,900,000 8,650,500
- ---------------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,550,000 5,661,000
-----------------
73,047,938
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.9% AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 7,000,000 4,865,000
7.875% Sr. Unsec. Nts., 2/15/09 8 3,925,000 2,826,000
- ---------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 5 3,200,000 3,312,000
- ---------------------------------------------------------------------------------------------------------------------------
Better Minerals & Aggregates Co., 13% Sr. Unsec. Sub. Nts., 9/15/09 1 1,050,000 672,000
- ---------------------------------------------------------------------------------------------------------------------------
California Steel Industries Corp., 8.50% Sr. Unsec. Nts., Series B, 4/1/09 8 3,000,000 3,135,000
- ---------------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 11.75% Sr. Sec. Nts., 4/15/08 6,750,000 7,256,250
- ---------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 1,3,4 1,586,000 15,860
- ---------------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 5,8 1,000,000 1,050,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining Continued
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 1 $ 5,200,000 $ 5,564,000
- ---------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 1,3,4,8 4,500,000 3,487,500
- ---------------------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 1 5,700,000 598,500
- ---------------------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 9,595,000 5,037,375
- ---------------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 1,3,4 3,856,845 289,263
- ---------------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 8 1,100,000 1,199,000
- ---------------------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 8 3,700,000 3,052,500
- ---------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,300,000 3,456,750
- ---------------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 8 2,000,000 2,150,000
- ---------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,400,000 2,634,000
- ---------------------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 3,200,000 3,296,000
10.75% Sr. Nts., 8/1/08 8 4,700,000 5,029,000
-----------------
58,925,998
- ---------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.6%
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,859,122
- ---------------------------------------------------------------------------------------------------------------------------
Ainsworth Lumber Co. Ltd.:
12.50% Sr. Nts., 7/15/07 8,14 3,650,000 4,197,500
13.875% Sr. Sec. Nts., 7/15/07 400,000 460,000
- ---------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 5 1,450,000 1,500,750
- ---------------------------------------------------------------------------------------------------------------------------
Doman Industries Ltd., 8.75% Sr. Nts., 3/15/04 1,3 15,250,000 2,516,250
- ---------------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 10.85% Debs., 8/5/17 [CAD] 1,700,000 1,764,576
- ---------------------------------------------------------------------------------------------------------------------------
Fort James Corp.:
6.625% Sr. Unsec. Nts., 9/15/04 8 500,000 515,000
6.875% Sr. Nts., 9/15/07 2,500,000 2,587,500
- ---------------------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 8 10,675,000 11,155,375
9.375% Sr. Unsec. Nts., 2/1/13 6,400,000 7,176,000
- ---------------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp., 10.875% Sr. Sub. Nts., 11/15/08 1 3,000,000 3,502,500
- ---------------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 1,3,4 4,025,000 100,625
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 5,000,000 2,725,000
-----------------
40,060,198
- ---------------------------------------------------------------------------------------------------------------------------
Telecommunication Services--4.5%
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services--2.4%
360networks, Inc.:
13% Sr. Unsec. Nts., 5/1/08 1,3,4 1,100,000 110
13% Sr. Unsec. Nts., 5/1/08 1,3,4 [EUR] 1,900,000 221
- ---------------------------------------------------------------------------------------------------------------------------
Adelphia Business Solutions, Inc., 12% Sr. Sub. Nts., 11/1/07 1,3,4,8 2,490,000 18,675
- ---------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 9.375% Sr. Nts., 2/1/09 8 5,400,000 5,535,000
- ---------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 3,4,5 5,340,408 40,053
- ---------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., Escrow Shares, 12/15/07 1,3,4 4,085,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 9,415,000 11,534,910
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services Continued
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec.
Nts., 11/15/09 $ 4,300,000 $ 4,891,250
- ---------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 5 2,450,000 2,676,625
9.875% Sr. Sub. Nts., 8/15/13 5 4,400,000 4,994,000
- ---------------------------------------------------------------------------------------------------------------------------
Focal Communications Corp.:
12.125% Sr. Unsec. Disc. Nts., 2/15/08 1,3 2,150,000 180,062
11.875% Sr. Unsec. Nts., Series B, 1/15/10 1,3 1,090,000 91,288
- ---------------------------------------------------------------------------------------------------------------------------
France Telecom SA, 9.25% Sr. Unsec. Nts., 3/1/11 18,005,000 22,030,504
- ---------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 0%/12.25% Sr. Disc. Nts.,
Series B, 3/1/09 3,4,8,13 6,950,000 2,797,375
- ---------------------------------------------------------------------------------------------------------------------------
IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 8 1,050,000 1,102,500
- ---------------------------------------------------------------------------------------------------------------------------
KPNQwest BV, 8.875% Sr. Nts., 2/1/08 1,3,4 [EUR] 5,000,000 14,557
- ---------------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc.:
0%/10.50% Sr. Disc. Nts., 12/1/08 8,13 3,300,000 2,788,500
9.125% Sr. Unsec. Nts., 5/1/08 8 5,400,000 4,617,000
- ---------------------------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.75% Sr. Unsec. Debs., 3/23/25 3,4,8 2,150,000 1,703,875
- ---------------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 3,4 10,100,000 782,750
- ---------------------------------------------------------------------------------------------------------------------------
Nextlink Communications, Inc.:
Escrow Shares, 10/1/07 1,3,4 9,283,000 --
Escrow Shares, 3/15/08 1,3,4 7,300,000 --
Escrow Shares, 4/15/08 1,3,4 2,750,000 --
Escrow Shares, 11/15/08 1,3,4 5,200,000 --
Escrow Shares, 6/1/09 1,3,4 1,400,000 --
- ---------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4 2,400,000 519,000
- ---------------------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc.:
5.875% Nts., 8/3/04 7,500,000 7,462,500
7.75% Nts., 8/15/06 8 2,300,000 2,265,500
- ---------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.50% Sr. Unsec. Nts.,
Series B, 11/1/08 5,000,000 4,825,000
- ---------------------------------------------------------------------------------------------------------------------------
Qwest Corp.:
7.20% Unsec. Nts., 11/1/04 2,000,000 2,065,000
8.875% Nts., 3/15/12 5 15,200,000 16,948,000
- ---------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., 13.50% Nts., 12/15/10 5,8 6,900,000 8,073,000
- ---------------------------------------------------------------------------------------------------------------------------
Sprint Capital Corp.:
8.375% Nts., 3/15/12 8 5,100,000 6,027,129
8.75% Nts., 3/15/32 8 5,237,000 6,244,625
- ---------------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/9.25% Sr. Disc. Nts., 4/15/09 3,4,8,13 11,300,000 4,463,500
0%/9.875% Sr. Disc. Nts., 4/15/09 1,3,4,13 [GBP] 9,500,000 6,273,862
- ---------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 1,3,4 4,835,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC/Time Warner Telecom, Inc.,
9.75% Sr. Nts., 7/15/08 8,500,000 8,415,000
- ---------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 8 1,200,000 1,203,000
- ---------------------------------------------------------------------------------------------------------------------------
Verizon Global Funding Corp., 7.375% Sr. Nts., 9/1/12 8 13,245,000 15,651,285
- ---------------------------------------------------------------------------------------------------------------------------
Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 1,3,4 9,480,000 --
-----------------
156,235,656
36 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services--2.1%
Alamosa Delaware, Inc., 12.50% Sr. Unsec. Nts., 2/1/11 8 $ 6,500,000 $ 6,305,000
- ---------------------------------------------------------------------------------------------------------------------------
American Tower Escrow Corp., Sr. Sub. Disc. Nts., 12.25%, 8/1/08 9 6,000,000 4,020,000
- ---------------------------------------------------------------------------------------------------------------------------
Arch Wireless Holdings, Inc., 12% Sub. Nts., 5/15/09 233,000 273,775
- ---------------------------------------------------------------------------------------------------------------------------
AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 5,237,000 5,965,755
- ---------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., 14% Sr. Unsec. Disc. Nts., 10/1/07 1,3,4 21,148,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co./Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 5 5,100,000 5,278,500
- ---------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp.:
0%/10.375% Sr. Disc. Nts., 5/15/11 8,13 7,200,000 7,272,000
9% Sr. Nts., 5/15/11 8 1,000,000 1,037,500
- ---------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 5 4,100,000 4,166,625
10.875% Sr. Unsec. Nts., 7/1/10 8 3,200,000 3,504,000
- ---------------------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc., 13.75% Sr. Nts., 6/15/11 3 1,000,000 255,000
- ---------------------------------------------------------------------------------------------------------------------------
IPCS, Inc., 0%/14% Sr. Unsec. Disc. Nts., 7/15/10 1,3,13 2,200,000 253,000
- ---------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc.:
0%/14.50% Sr. Unsec. Disc. Nts., 4/15/10 1,3,4,13 5,400,000 540,000
12.50% Sr. Nts., 4/15/10 1,3 5,775,000 721,875
- ---------------------------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 3,4 7,470,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
7.375% Sr. Nts., 8/1/15 8 2,170,000 2,202,550
9.375% Sr. Unsec. Nts., 11/15/09 8 16,250,000 17,712,500
9.95% Sr. Disc. Nts., 2/15/08 14,350,000 15,157,187
12% Sr. Unsec. Nts., 11/1/08 8 2,950,000 3,167,563
- ---------------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc.:
8.125% Sr. Nts., 7/1/11 5 1,300,000 1,274,000
11% Sr. Unsec. Nts., 3/15/10 1,400,000 1,536,500
12.50% Sr. Nts., 11/15/09 11,700,000 13,396,500
- ---------------------------------------------------------------------------------------------------------------------------
Orbcomm Global LP, Escrow Shares, 8/15/04 1,3,4 15,930,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
9.625% Sr. Sub. Nts., Series B, 5/15/08 4,300,000 3,934,500
9.75% Sr. Sub. Nts., 1/15/10 8 5,400,000 4,941,000
9.875% Sr. Nts., 2/1/10 5 4,550,000 4,515,875
- ---------------------------------------------------------------------------------------------------------------------------
SBA Communications Corp.:
10.25% Sr. Unsec. Nts., 2/1/09 400,000 362,000
12% Sr. Unsec. Disc. Nts., 3/1/08 8 13,545,000 14,357,700
- ---------------------------------------------------------------------------------------------------------------------------
SpectraSite, Inc., 8.25% Sr. Nts., 5/15/10 5,8 1,400,000 1,484,000
- ---------------------------------------------------------------------------------------------------------------------------
Triton PCS, Inc.:
8.50% Sr. Unsec. Nts., 6/1/13 8 3,200,000 3,448,000
8.75% Sr. Unsec. Sub. Nts., 11/15/11 8 1,200,000 1,203,000
9.375% Sr. Unsec. Sub. Nts., 2/1/11 8 2,300,000 2,351,750
- ---------------------------------------------------------------------------------------------------------------------------
US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 13 8,800,000 6,468,000
- ---------------------------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc. II, Escrow Shares, 11/1/04 1,3,4 5,885,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 9.25% Sr. Nts., 7/15/13 5 4,200,000 4,305,000
-----------------
141,410,655
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Utilities--3.5%
- ---------------------------------------------------------------------------------------------------------------------------
Electric Utilities--1.6%
AES Corp. (The):
8.75% Sr. Sec. Nts., 5/15/13 5,8 $ 11,000,000 $ 11,605,000
8.75% Sr. Unsec. Unsub. Nts., 6/15/08 8 2,015,000 2,030,113
8.875% Sr. Unsec. Nts., 2/15/11 8 1,031,000 1,031,000
9.375% Sr. Unsec. Nts., 9/15/10 8 989,000 1,013,725
9.50% Sr. Unsec. Nts., 6/1/09 8 502,000 519,570
- ---------------------------------------------------------------------------------------------------------------------------
AES Drax Holdings Ltd., 10.41% Sr. Sec. Sub. Nts., Series B, 12/31/20 1,3 2,700,000 2,025,000
- ---------------------------------------------------------------------------------------------------------------------------
Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,674,752 2,888,732
- ---------------------------------------------------------------------------------------------------------------------------
Calpine Corp.:
8.25% Sr. Unsec. Nts., 8/15/05 8 1,550,000 1,379,500
8.50% Sr. Sec. Nts., 7/15/10 5 16,300,000 15,077,500
8.50% Sr. Unsec. Nts., 2/15/11 8,400,000 5,964,000
8.625% Sr. Nts., 8/15/10 8 600,000 426,000
8.75% Sr. Nts., 7/15/07 5,700,000 4,275,000
8.75% Sr. Sec. Nts., 7/15/13 5 8,150,000 7,498,000
- ---------------------------------------------------------------------------------------------------------------------------
Central Termica Guemes SA, 2% Nts., 1/1/12 1 5,422,500 542,250
- ---------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 8 1,200,000 1,194,000
7.75% Sr. Nts., 8/1/10 5 1,550,000 1,542,250
8.50% Sr. Nts., 4/15/11 2,500,000 2,556,250
9.875% Sr. Unsec. Nts., 10/15/07 8 8,610,000 9,255,750
- ---------------------------------------------------------------------------------------------------------------------------
CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec.
Pass-Through Certificates, 1/15/05 5,200,000 5,187,000
- ---------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy:
9.875% Sr. Unsec. Nts., 4/15/11 1,900,000 1,634,000
10% Sr. Unsec. Nts., 8/15/08 5,200,000 4,602,000
- ---------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 4,000,000 4,720,128
- ---------------------------------------------------------------------------------------------------------------------------
Funding Corp./Beaver Valley Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 956,000 1,062,030
- ---------------------------------------------------------------------------------------------------------------------------
Messer Griesheim Holding AG, 10.375% Sr. Nts., 6/1/11 [EUR] 3,000,000 3,991,494
- ---------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
7.625% Sr. Unsec. Nts., 5/1/06 3 2,300,000 1,834,250
8.30% Sr. Unsec. Nts., 5/1/11 3 700,000 556,500
- ---------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 5 1,550,000 1,627,500
- ---------------------------------------------------------------------------------------------------------------------------
PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 5 3,100,000 3,270,500
- ---------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 5 2,300,000 2,093,000
9.50% Sr. Sec. Nts., 7/15/13 5 3,000,000 2,715,000
- ---------------------------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/15/07 1,200,000 1,353,000
-----------------
105,470,042
- ---------------------------------------------------------------------------------------------------------------------------
Gas Utilities--1.1%
AmeriGas Partners LP/AmeriGas Eagle Finance Corp.,
8.875% Sr. Unsec. Nts., Series B, 5/20/11 10 6,400,000 6,896,000
- ---------------------------------------------------------------------------------------------------------------------------
ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,800,000 1,935,000
- ---------------------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 8 9,185,000 7,761,325
38 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Gas Utilities Continued
El Paso Energy Corp., 7.625% Nts., 7/15/11 8 $ 6,875,000 $ 5,706,250
- ---------------------------------------------------------------------------------------------------------------------------
NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 1,259,000 1,503,073
- ---------------------------------------------------------------------------------------------------------------------------
SEMCO Energy, Inc.:
7.125% Sr. Nts., 5/15/08 5 1,200,000 1,212,000
7.75% Sr. Nts., 5/15/13 5,8 1,200,000 1,215,000
- ---------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 3,100,000 2,867,500
8% Sr. Unsub. Nts., 3/1/32 4,500,000 4,398,750
8.875% Sr. Nts., 3/15/10 8 2,700,000 2,902,500
- ---------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 14,050,000 13,488,000
- ---------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 7.125% Nts., 9/1/11 18,450,000 18,311,625
-----------------
68,197,023
- ---------------------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power--0.8%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 3,892,946 4,019,467
- ---------------------------------------------------------------------------------------------------------------------------
Aquila, Inc., 7% Sr. Unsec. Nts., 7/15/04 8 1,000,000 1,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Consumers Energy Co.:
6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,317,395
7.375% Nts., 9/15/23 1,900,000 1,969,801
- ---------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 18,850,000 15,881,125
8.75% Sr. Nts., 2/15/12 8 6,950,000 6,394,000
10.125% Sr. Sec. Nts., 7/15/13 5,8 6,600,000 6,996,000
- ---------------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Nts., 6/1/13 5 4,800,000 4,584,000
- ---------------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,141,232 3,127,489
- ---------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
8.625% Sr. Nts., 6/1/10 8 3,200,000 3,416,000
9.25% Sr. Unsec. Unsub. Nts., 3/15/04 8 2,800,000 2,870,000
- ---------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,072,500
-----------------
52,647,777
- ---------------------------------------------------------------------------------------------------------------------------
Water Utilities--0.0%
National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 1 1,900,000 2,085,250
-----------------
Total Corporate Bonds and Notes (Cost $2,435,075,581) 2,310,147,436
Shares
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Stocks--0.9%
- ---------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1,4,14 338,141 3,381
- ---------------------------------------------------------------------------------------------------------------------------
Crown American Realty Trust, 11% Cum., Series A, Non-Vtg. 49,500 2,838,825
- ---------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 11.125% Cum., Series M, Non-Vtg. 14 85,396 8,945,231
- ---------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub. Debs., Non-Vtg. 1,4 255,000 10,263,750
- ---------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
6% Cv., Series F (converts into Dobson Communications Corp.,
Cl. A common stock), Non-Vtg. 4 6,800 1,372,750
12.25% Sr. Exchangeable, Non-Vtg. 14 1 1,064
- ---------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1,4,14 11,723 1,172
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Market Value
Shares See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Stocks Continued
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1,4 39,000 $ 2,583,750
- ---------------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 10.50% Sr. Exchangeable, Non-Vtg. 1,4,14 21,050 --
- ---------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 1,4,14 5,773 --
- ---------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 13.50% Exchangeable, Series B 1,4,14 1 32
- ---------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc., 2.50% Cv., Series A 4 6,516 46,198
- ---------------------------------------------------------------------------------------------------------------------------
Metrocall Holdings, Inc., 15% Cum., Series A 1 5,863 65,959
- ---------------------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable,
Non-Vtg. 1,4,14 96,993 --
- ---------------------------------------------------------------------------------------------------------------------------
NTL Europe, Inc., 10% Nts., Series A, Non-Vtg. 1 323 1,131
- ---------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp.:
14.25% Cum. 4,14 -- 2,166
14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 1,447 13,059,175
- ---------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 14 10,825 8,849,438
- ---------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 13.75% Exchangeable, Non-Vtg. 1,4 3 2,985
- ---------------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 57,800 8,568,850
- ---------------------------------------------------------------------------------------------------------------------------
Supermarkets General Holdings Corp., $14.08 Exchangeable 1,4,14 200,000 --
- ---------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., 14% Cum. Sr. Exchangeable Redeemable,
Non-Vtg. 1,4,14 3 --
- ---------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc., 10% Nts., Series E-1 1,4 240 600
-----------------
Total Preferred Stocks (Cost $92,360,273) 56,606,457
- ---------------------------------------------------------------------------------------------------------------------------
Common Stocks--2.3%
Adelphia Business Solutions, Inc. 4 6,272 69
- ---------------------------------------------------------------------------------------------------------------------------
Adobe Systems, Inc. 30,496 1,197,273
- ---------------------------------------------------------------------------------------------------------------------------
Albertson's, Inc. 56,926 1,170,968
- ---------------------------------------------------------------------------------------------------------------------------
Allegheny Energy, Inc. 4 128,913 1,178,265
- ---------------------------------------------------------------------------------------------------------------------------
Altera Corp. 4 53,714 1,015,195
- ---------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc. 28,770 1,260,126
- ---------------------------------------------------------------------------------------------------------------------------
AO VimpelCom, Sponsored ADR 4 20,685 1,258,889
- ---------------------------------------------------------------------------------------------------------------------------
Apache Corp. 17,511 1,214,213
- ---------------------------------------------------------------------------------------------------------------------------
Arch Wireless, Inc., Cl. A 4 53,116 597,024
- ---------------------------------------------------------------------------------------------------------------------------
AutoNation, Inc. 4 63,288 1,110,072
- ---------------------------------------------------------------------------------------------------------------------------
Bank Pekao SA, Sponsored GDR 52,692 1,508,730
- ---------------------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. (The) 16,641 1,244,747
- ---------------------------------------------------------------------------------------------------------------------------
Best Buy Co., Inc. 4 22,573 1,072,669
- ---------------------------------------------------------------------------------------------------------------------------
Brasil Telecom Participacoes SA, Sponsored ADR 86,125 3,298,587
- ---------------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 24,860 1,198,252
- ---------------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp. 21,637 1,234,174
- ---------------------------------------------------------------------------------------------------------------------------
Cavco Industries, Inc. 4 770 16,555
- ---------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc. 136,700 1,253,539
- ---------------------------------------------------------------------------------------------------------------------------
Centex Corp. 16,215 1,262,824
- ---------------------------------------------------------------------------------------------------------------------------
Cesky Telecom AS, GDR 4 121,441 1,196,194
40 | OPPENHEIMER STRATEGIC INCOME FUND
Market Value
Shares See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Common Stocks Continued
Charles River Laboratories International, Inc. 4 45,220 $ 1,387,802
- ---------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 875,000 9,432,500
- ---------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc. 4 88,293 1,562,786
- ---------------------------------------------------------------------------------------------------------------------------
Citrix Systems, Inc. 4 57,530 1,270,262
- ---------------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc. 4 7,208 --
- ---------------------------------------------------------------------------------------------------------------------------
Companhia de Bebidas das Americas, ADR 188,400 4,078,860
- ---------------------------------------------------------------------------------------------------------------------------
Companhia Siderurgica Nacional SA, Sponsored ADR 10,390 369,053
- ---------------------------------------------------------------------------------------------------------------------------
Companhia Vale do Rio Doce, ADR 51,520 2,103,046
- ---------------------------------------------------------------------------------------------------------------------------
Compuware Corp. 4 194,175 1,040,778
- ---------------------------------------------------------------------------------------------------------------------------
Conseco, Inc. 4 142,199 2,568,114
- ---------------------------------------------------------------------------------------------------------------------------
Cooper Industries Ltd., Cl. A 23,424 1,125,055
- ---------------------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp. 17,423 1,363,872
- ---------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. 4 168,383 931,158
- ---------------------------------------------------------------------------------------------------------------------------
Criimi MAE, Inc. 4 431,792 4,482,001
- ---------------------------------------------------------------------------------------------------------------------------
Devon Energy Corp. 23,220 1,118,972
- ---------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 4 437,675 2,843,137
- ---------------------------------------------------------------------------------------------------------------------------
Dollar General Corp. 52,379 1,047,580
- ---------------------------------------------------------------------------------------------------------------------------
Edison International 4 63,517 1,213,175
- ---------------------------------------------------------------------------------------------------------------------------
Equinix, Inc. 4 133,114 2,481,245
- ---------------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. 27,041 1,133,018
- ---------------------------------------------------------------------------------------------------------------------------
Freddie Mac 22,272 1,165,939
- ---------------------------------------------------------------------------------------------------------------------------
Gap, Inc. (The) 57,061 976,884
- ---------------------------------------------------------------------------------------------------------------------------
Gedeon Richter Rt, GDR, S Shares 10,499 1,028,902
- ---------------------------------------------------------------------------------------------------------------------------
General Motors Corp. 28,249 1,156,232
- ---------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc. 1,4 6,475 --
- ---------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc., Series B, Escrow Shares 1,4 625 --
- ---------------------------------------------------------------------------------------------------------------------------
Globix Corp. 1,4 100,917 252,292
- ---------------------------------------------------------------------------------------------------------------------------
Horizon Natural Resources Co. 1,4 133,333 --
- ---------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 1,4 276,705 235,199
- ---------------------------------------------------------------------------------------------------------------------------
J. C. Penney Co., Inc. (Holding Co.) 54,595 1,166,695
- ---------------------------------------------------------------------------------------------------------------------------
JSC Mining & Metallurgical Co. Norilsk Nickel, ADR 28,135 1,396,199
- ---------------------------------------------------------------------------------------------------------------------------
KB Home 20,856 1,244,269
- ---------------------------------------------------------------------------------------------------------------------------
KGHM Polska Miedz SA, GDR 4 48,216 501,446
- ---------------------------------------------------------------------------------------------------------------------------
Komercni Banka AS, GDR 81,233 2,367,942
- ---------------------------------------------------------------------------------------------------------------------------
Kroger Co. (The) 4 62,048 1,108,798
- ---------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 4 30,000 187,500
- ---------------------------------------------------------------------------------------------------------------------------
LUKOIL, Sponsored ADR 13,205 1,090,205
- ---------------------------------------------------------------------------------------------------------------------------
Magyar Tavkozlesi Rt, Sponsored ADR 68,963 1,288,918
- ---------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 7,919 171,763
- ---------------------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 42,328 1,206,348
- ---------------------------------------------------------------------------------------------------------------------------
MBIA, Inc. 21,138 1,161,956
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Market Value
Shares See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Common Stocks Continued
Metrocall Holdings, Inc. 4 6,801 $ 986,145
- ---------------------------------------------------------------------------------------------------------------------------
MGIC Investment Corp. 20,819 1,084,045
- ---------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. 4 45,738 584,668
- ---------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. A 4 381 4,659
- ---------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B 4 45,465 539,401
- ---------------------------------------------------------------------------------------------------------------------------
MOL Magyar Olaj-es Gazipari Rt, Sponsored GDR 44,938 1,244,783
- ---------------------------------------------------------------------------------------------------------------------------
Network Appliance, Inc. 4 53,050 1,089,117
- ---------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., Cl. A 4 61,567 1,212,254
- ---------------------------------------------------------------------------------------------------------------------------
Nordstrom, Inc. 45,714 1,134,164
- ---------------------------------------------------------------------------------------------------------------------------
NTL, Inc. 4 259,147 12,211,007
- ---------------------------------------------------------------------------------------------------------------------------
OAO Gazprom, Sponsored ADR 50,020 1,240,496
- ---------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 33,987 1,197,362
- ---------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. 4 36,365 337,467
- ---------------------------------------------------------------------------------------------------------------------------
OTP Bank Ltd., GDR, S Shares 4 86,263 2,053,059
- ---------------------------------------------------------------------------------------------------------------------------
Paccar, Inc. 13,984 1,044,465
- ---------------------------------------------------------------------------------------------------------------------------
PerkinElmer, Inc. 73,037 1,118,196
- ---------------------------------------------------------------------------------------------------------------------------
Petroleo Brasileiro SA, Sponsored ADR 189,770 4,351,426
- ---------------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc. 4 165,394 756,678
- ---------------------------------------------------------------------------------------------------------------------------
Polski Koncern Naftowy Orlen SA, GDR 123,888 1,499,045
- ---------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 1,4 6,989 38,824
- ---------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 4,16 1,019,757 316,125
- ---------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 1,4,16 799,833 --
- ---------------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 27,759 1,165,878
- ---------------------------------------------------------------------------------------------------------------------------
Pulte Homes, Inc. 18,013 1,225,064
- ---------------------------------------------------------------------------------------------------------------------------
RadioShack Corp. 38,011 1,079,893
- ---------------------------------------------------------------------------------------------------------------------------
Scientific-Atlanta, Inc. 33,441 1,041,687
- ---------------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 26,226 1,146,863
- ---------------------------------------------------------------------------------------------------------------------------
Sempra Energy 39,894 1,171,288
- ---------------------------------------------------------------------------------------------------------------------------
Sibneft, Sponsored ADR 4 42,555 1,244,734
- ---------------------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., Liquidating Trust 1 7,946,502 --
- ---------------------------------------------------------------------------------------------------------------------------
Sprint Corp. (Fon Group) 80,731 1,219,038
- ---------------------------------------------------------------------------------------------------------------------------
Staples, Inc. 4 48,465 1,151,044
- ---------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 4 9,927 155,109
- ---------------------------------------------------------------------------------------------------------------------------
Surgutneftegaz, Sponsored ADR 48,075 1,088,899
- ---------------------------------------------------------------------------------------------------------------------------
Symantec Corp. 4 20,833 1,312,896
- ---------------------------------------------------------------------------------------------------------------------------
Telekomunikacja Polska SA, GDR 388,030 1,389,147
- ---------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp. 4 74,086 1,072,765
- ---------------------------------------------------------------------------------------------------------------------------
Toys 'R' Us, Inc. 4 87,912 1,057,581
- ---------------------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 1,4 56,750 --
- ---------------------------------------------------------------------------------------------------------------------------
UGC Europe, Inc. 4 171,530 8,979,596
- ---------------------------------------------------------------------------------------------------------------------------
United States Steel Corp. 65,217 1,198,688
42 | OPPENHEIMER STRATEGIC INCOME FUND
Market Value
Shares See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Common Stocks Continued
Viatel Holding Ltd. (Bermuda) 1,4 37,131 $ 144,811
- ---------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 60,000 643,800
- ---------------------------------------------------------------------------------------------------------------------------
Washington Mutual, Inc. 30,395 1,196,651
- ---------------------------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc. 4 560,000 2,598,400
- ---------------------------------------------------------------------------------------------------------------------------
Winn-Dixie Stores, Inc. 117,302 1,131,964
- ---------------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 1,4 15,559 311
- ---------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc. 4 28,777 166,907
- ---------------------------------------------------------------------------------------------------------------------------
YUKOS, ADR 20,670 1,281,747
-----------------
Total Common Stocks (Cost $171,488,642) 150,456,413
Units
- ---------------------------------------------------------------------------------------------------------------------------
Rights, Warrants and Certificates--1.1%
American Tower Corp. Wts., Exp. 8/1/08 1,4 6,000 738,000
- ---------------------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 1,4 2,200 3,025
- ---------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. Wts.:
Exp. 5/1/05 1,4 27,926 279
Exp. 9/1/04 4 36,061 1,848
- ---------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. Litigation Wts., Exp. 12/31/50 4 48,080 51,926
- ---------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 1,4 6,350 64
- ---------------------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA Wts., Exp. 11/15/03 1,4 8,109 81
- ---------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 1,4 4,650 --
- ---------------------------------------------------------------------------------------------------------------------------
Covergent Communications, Inc. Wts., Exp. 4/1/08 1,4 18,300 183
- ---------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 1,4 5,225 52
- ---------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 1,4 34,425 4,647
- ---------------------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc. Wts., Exp. 10/1/10 1,4 11,000 --
- ---------------------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/15/05 1,4 46,860 469
- ---------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 1,4 69,399 347
Exp. 5/16/06 1,4 103 --
- ---------------------------------------------------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 1,4 86,946 --
- ---------------------------------------------------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07 1,4 7,780 --
- ---------------------------------------------------------------------------------------------------------------------------
IPCS, Inc. Wts., Exp. 6/15/10 1,4 6,600 66
- ---------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. Wts., Exp. 4/15/10 1,4 6,700 --
- ---------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 1,4 4,160 --
- ---------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,4 6,250 63
- ---------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc. Wts., Exp. 4/16/07 1,4 14,440 7,509
- ---------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc.:
Cl. A Wts., Exp. 5/1/05 4 16,888 19,773
Cl. B Wts., Exp. 5/1/08 4 28,147 48,599
- ---------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 1,4 5,800 58
- ---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc. All Country Asia Free
(except for Japan) Wts., Exp. 3/4/05 4 1,413,050 18,169,138
- ---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc. Basket of countries Wts., Exp. 3/4/05 4 2,187,446 26,159,229
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Market Value
Units See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Rights, Warrants and Certificates Continued
Morgan Stanley Capital III, Inc. All Country Asia Free
(except for Japan) Wts., Exp. 3/4/05 4 2,733,566 $ 29,486,156
- ---------------------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 1,4 8,000 7,000
- ---------------------------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA Wts., Exp. 3/15/04 1,4 21,600 --
- ---------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06
(cv. into Metromedia International Group, Inc.) 1,4 16,650 167
- ---------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts.:
Exp. 11/1/03 1,4 182,000 --
Exp. 6/30/05 1,4 13,440 --
- ---------------------------------------------------------------------------------------------------------------------------
Real Time Data Co. Wts., Exp. 5/31/04 1,4 2,251,489 --
- ---------------------------------------------------------------------------------------------------------------------------
Republic Technologies International LLC Wts., Exp. 7/15/09 1,4 4,900 49
- ---------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,4 16,111 --
- ---------------------------------------------------------------------------------------------------------------------------
Telergy, Inc. Wts., Exp. 9/25/10 1,4 18,175 --
- ---------------------------------------------------------------------------------------------------------------------------
Telus Corp. Wts., Exp. 9/15/05 4 12,147 71,522
- ---------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts.,
Exp. 4/15/20 1,4 18,600 --
- ---------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 1,4 7,000 105
- ---------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc.:
Cl. A Wts., Exp. 1/16/10 4 57,557 105,042
Cl. B Wts., Exp. 1/16/10 4 43,168 69,069
Cl. C Wts., Exp. 1/16/10 4 43,168 44,463
- ---------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 1,4 44,000 440
-----------------
Total Rights, Warrants and Certificates (Cost $65,578,044) 74,989,369
Principal
Amount
- ---------------------------------------------------------------------------------------------------------------------------
Structured Notes--8.4%
Citigroup Global Capital Markets Holdings, Inc.,
Brazilian Real Linked Nts., 23.18%, 5/20/04 9 [BRR] 7,236,940 2,177,386
- ---------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.,
Argentine Peso Linked Nts., 7/6/04 3,325,000 3,265,815
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman):
Russia (Government of) Linked Bonds, Series 24, 15%, 9/2/05 [RUR] 82,770,000 2,888,710
Russia (Government of) Linked Bonds, Series 26, 15%, 3/11/05 [RUR] 83,913,000 2,888,822
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Nassau Branch),
U.S. Dollar/Philippine Peso Linked Nts., 12.50%, 3/5/12 2 [PHP] 804,270,000 14,688,645
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (New York Branch):
Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 27011,
10.028%, 10/8/03 1,2 [RUR] 131,512,500 4,301,771
Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 27011,
10.028%, 10/8/03 1,2 [RUR] 10,781,020 352,647
Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 28001,
10.028%, 1/21/04 1,2 [RUR] 10,781,020 354,973
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International, U.S. Dollar/
South African Rand Linked Nts., Series FBi 43, 1.065%, 5/23/22 2 13,740,000 13,329,174
44 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Structured Notes Continued
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Basket of Emerging Market Currencies Linked Nts.:
0.85%, 1/20/04 $ 25,470,000 $ 25,808,751
0.85%, 3/24/04 27,465,000 27,602,325
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesian Rupiah Linked Nts.:
14%, 6/22/09 13,171,778 15,331,950
14%, 6/22/09 6,708,285 7,383,139
14%, 6/22/09 6,147,455 7,055,434
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Peru Credit Default Linked Nts., 4.716%, 4/29/06 2 22,035,000 22,458,072
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Turkish Lira Treasury Bill Linked Nts, 0.985%, 8/20/04 2 13,210,000 14,437,209
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Venezuela (Republic of) Credit Linked Certificate
of Deposit, 8.18%, 9/20/06 2 16,900,000 16,455,530
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Venezuela (Republic of) Credit Linked Nts.,
1.094%, 6/15/04 2 10,685,000 11,216,044
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
High Yield Beta Index Linked Nts., 10%, 6/20/08 8 32,000,000 31,440,000
High Yield Index B Linked Nts., 9%, 6/20/08 8 157,037,037 160,177,778
High Yield Index-100 Linked Nts., 8%, 6/20/08 8 89,100,000 90,882,000
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked
Certificate of Deposit:
7.79%, 9/20/05 2 15,385,000 15,372,692
7.84%, 9/20/05 2 15,225,000 15,226,522
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked
Default Bonds, 7.94%, 9/20/05 2 15,225,000 15,253,927
- ---------------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd., Catastrophe Linked Nts., 5.54%, 11/19/07 2,5 2,400,000 2,444,856
- ---------------------------------------------------------------------------------------------------------------------------
Pioneer 2002 Ltd., Sec. Catastrophe Linked Nts.:
Series 2002-1, Cl. E-A, 5.39%, 6/15/06 2 1,250,000 1,251,812
Series 2003-II, Cl. A, 7.14%, 6/15/06 1,2 6,250,000 6,385,937
Series 2003-II, Cl. B, 6.14%, 6/15/06 1,2 6,250,000 6,329,063
Series 2003-II, Cl. C, 6.89%, 6/15/06 1,2 6,250,000 6,304,063
- ---------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Fujiyama Ltd.,
Catastrophe Linked Nts., 5.13%, 5/16/05 2,5 2,500,000 2,510,225
-----------------
Total Structured Notes (Cost $546,574,997) 545,575,272
Date Strike Contracts
- ---------------------------------------------------------------------------------------------------------------------------
Options Purchased--0.2%
Chilean Peso Call 1,4 3/22/04 655CLP 18,986,184 400,267
- ---------------------------------------------------------------------------------------------------------------------------
Euro Call 1,4 4/1/04 1.20EUR 192,325,000 3,577,245
- ---------------------------------------------------------------------------------------------------------------------------
Japanese Yen Call 1,4 6/1/04 107JPY 8,608,000,000 1,768,083
- ---------------------------------------------------------------------------------------------------------------------------
Japanese Yen Put 1,4 2/25/04 122EUR 42,280,000 417,304
- ---------------------------------------------------------------------------------------------------------------------------
Standard & Poor's 500 Index Futures,
12/18/03 Put 11/21/03 $1,005 414 3,736,350
-----------------
Total Options Purchased (Cost $8,976,593) 9,899,249
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- ---------------------------------------------------------------------------------------------------------------------------
Joint Repurchase Agreements--1.2%
Undivided interest of 12.92% in joint repurchase agreement (Principal
Amount/Market Value $626,785,000, with a maturity value of $626,801,192) with
Banc One Capital Markets, Inc., 0.93%, dated 9/30/03, to be repurchased at
$80,999,092 on 10/1/03, collateralized by U.S. Treasury Nts., 7.25%, 5/15/04,
with a value of $53,265,500, U.S. Treasury Bonds, 1.75%--9%, 9/30/05--8/15/23,
with a value of $448,490,782 and U.S. Treasury Bills, 2/5/04--2/19/04, with
a value of $138,244,579 (Cost $80,997,000) $ 80,997,000 $ 80,997,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $7,280,049,876) 109.8% 7,164,615,997
- ---------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (9.8) (636,700,790)
------------------------------------
Net Assets 100.0% $ 6,527,915,207
====================================
Footnotes to Statement of Investments
Principal amount and strike are reported in U.S. dollars, except for those
denoted in the following currencies:
ARP Argentine Peso
BRR Brazilian Real
CAD Canadian Dollar
CLP Chilean Peso
DEM German Mark
DKK Danish Krone
EUR Euro
FRF French Franc
GBP British Pound Sterling
JPY Japanese Yen
PHP Philippines Peso
RUR Russian Ruble
SEK Swedish Krona
1. Identifies issues considered to be illiquid or restricted. See Note 11 of
Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Issuer is in default. See Note 1 of Notes to Financial Statements.
4. Non-income producing security.
5. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $371,018,228 or 5.68% of the Fund's net
assets as of September 30, 2003.
6. Delayed settlement security to be delivered and settled after September 30,
2003. See Note 1 of Notes to Financial Statements.
7. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $33,347,302 or 0.51% of the Fund's net assets
as of September 30, 2003.
8. Partial or fully-loaned security--See Note 12 of Notes to Financial
Statements.
9. Zero coupon bond reflects effective yield on the date of purchase.
10. Securities with an aggregate market value of $23,186,304 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
11. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
46 | OPPENHEIMER STRATEGIC INCOME FUND
12. A sufficient amount of liquid assets has been designated to cover
outstanding written options, as follows:
Contracts Expiration Exercise Premium Market Value
Subject to Call Dates Price Received See Note 1
- --------------------------------------------------------------------------------------------------------------
Chilean Peso 18,986 3/22/04 665.00CLP $ 446,173 $ 562,938
Japanese Yen 84,560 4/28/04 141.00JPY 1,178,420 289,195
Japanese Yen 42,280 2/25/04 132.00EUR 485,887 655,763
Japanese Yen 31,174 10/23/03-10/30/03 110.00JPY 2,840,757 2,318,022
Thailand Baht 8,600 10/27/03 140.00THB 56,330 56,760
----------------------------
5,007,567 3,882,678
----------------------------
Contracts
Subject to Put
- --------------------------------------------------------------------------------------------------------------
Japanese Yen 9,703 6/1/04 120.00JPY 1,811,227 595,764
Thailand Baht 8,600 10/27/03 40.50THB 34,830 20,210
----------------------------
1,846,057 615,974
----------------------------
$6,853,624 $4,498,652
============================
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
14. Interest or dividend is paid-in-kind.
15. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units, which
represent debt securities, principal amount disclosed represents total
underlying principal.
16. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended September 30,
2003. The aggregate fair value of securities of affiliated companies held by the
Fund as of September 30, 2003 amounts to $316,125. Transactions during the
period in which the issuer was an affiliate are as follows:
Shares Gross Gross Shares Unrealized
Sept. 30, 2002 Additions Reductions Sept. 30, 2003 Depreciation
- ------------------------------------------------------------------------------------------------------------
Stocks and/or Warrants
Prandium, Inc. 1,019,757 -- -- 1,019,757 $11,669,875
Premier Holdings Ltd. 799,833 -- -- 799,833 --
-----------
$11,669,875
===========
See accompanying Notes to Financial Statements.
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2003
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Assets
Investments, at value--see accompanying statement:
Unaffiliated companies (cost $7,268,063,876) $7,164,299,872
Affiliated companies (cost $11,986,000) 316,125
---------------
7,164,615,997
- -----------------------------------------------------------------------------------------------------------
Cash 9,383,247
- -----------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $35,702) 35,891
- -----------------------------------------------------------------------------------------------------------
Collateral for securities loaned 588,906,159
- -----------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 34,547,946
- -----------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 102,015,903
Investments sold (including $15,860,173 sold on a delayed settlement basis) 60,472,674
Shares of beneficial interest sold 8,621,604
Futures margins 6,740,676
Other 331,906
---------------
Total assets 7,975,672,003
- -----------------------------------------------------------------------------------------------------------
Liabilities
Return of collateral for securities loaned 588,906,159
- -----------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 15,578,484
- -----------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $6,853,624)--see accompanying statement 4,498,652
- -----------------------------------------------------------------------------------------------------------
Swaptions written, at value (premiums received $395,561)--see accompanying statement 210,508
- -----------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $745,964,382 purchased on a delayed statement basis) 803,960,305
Closed foreign currency contracts 12,274,625
Shares of beneficial interest redeemed 11,459,381
Dividends 3,941,132
Distribution and service plan fees 3,833,112
Swap contract 1,295,578
Transfer and shareholder servicing agent fees 900,100
Shareholder reports 643,607
Trustees' compensation 37,209
Other 217,944
---------------
Total liabilities 1,447,756,796
- -----------------------------------------------------------------------------------------------------------
Net Assets $6,527,915,207
===============
- -----------------------------------------------------------------------------------------------------------
Composition of Net Assets
Par value of shares of beneficial interest $ 1,598,743
- -----------------------------------------------------------------------------------------------------------
Additional paid-in capital 7,806,869,657
- -----------------------------------------------------------------------------------------------------------
Overdistributed net investment income (26,416,177)
- -----------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (1,179,105,482)
- -----------------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments and translation of assets and
liabilities denominated in foreign currencies (75,031,534)
---------------
Net Assets $6,527,915,207
===============
48 | OPPENHEIMER STRATEGIC INCOME FUND
- ----------------------------------------------------------------------------------------------
Net Asset Value Per Share
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$3,873,017,762 and 949,148,024 shares of beneficial interest outstanding) $4.08
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $4.28
- ----------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$1,686,295,194 and 411,775,837 shares of beneficial interest outstanding) $4.10
- ----------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $698,196,252
and 171,429,718 shares of beneficial interest outstanding) $4.07
- ----------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $30,109,834
and 7,373,613 shares of beneficial interest outstanding) $4.08
- ----------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net
assets of $240,296,165 and 59,015,579 shares of beneficial interest outstanding) $4.07
See accompanying Notes to Financial Statements.
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2003
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
Investment Income
Interest (net of foreign withholding taxes of $139,783) $ 455,805,209
- ----------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $57,828) 6,625,529
- ----------------------------------------------------------------------------------------------------------------
Lending fees 180,468
---------------
Total investment income 462,611,206
- ----------------------------------------------------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------------------------------------------------
Management fees 32,424,727
Distribution and service plan fees:
Class A 8,660,139
Class B 17,575,847
Class C 6,232,376
Class N 112,928
- ----------------------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 5,069,181
Class B 2,182,038
Class C 780,257
Class N 64,078
Class Y 1,647,219
- ----------------------------------------------------------------------------------------------------------------
Shareholder reports 747,393
- ----------------------------------------------------------------------------------------------------------------
Custodian fees and expenses 698,630
- ----------------------------------------------------------------------------------------------------------------
Trustees' compensation 194,499
- ----------------------------------------------------------------------------------------------------------------
Other 254,723
---------------
Total expenses 76,644,035
Less reduction to custodian expenses (76,611)
Less voluntary waiver of transfer and shareholder servicing agent fees--Class Y (978,905)
---------------
Net expenses 75,588,519
- ----------------------------------------------------------------------------------------------------------------
Net Investment Income 387,022,687
- ----------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (including premiums on options exercised) (197,258,234)
Closing of futures contracts (31,459,200)
Closing and expiration of option contracts written 1,705,390
Foreign currency transactions 48,585,976
---------------
Net realized loss (178,426,068)
- ----------------------------------------------------------------------------------------------------------------
Net change in unrealized depreciation on:
Investments 789,582,547
Translation of assets and liabilities denominated in foreign currencies 80,586,248
Futures contracts (6,780,389)
---------------
Net change in unrealized depreciation 863,388,406
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $1,071,985,025
===============
See accompanying Notes to Financial Statements.
50 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended September 30, 2003 2002
- ---------------------------------------------------------------------------------------------------------------
Operations
Net investment income $ 387,022,687 $ 457,975,004
- ---------------------------------------------------------------------------------------------------------------
Net realized loss (178,426,068) (159,493,130)
- ---------------------------------------------------------------------------------------------------------------
Net change in unrealized depreciation 863,388,406 81,078,629
----------------------------------------
Net increase in net assets resulting from operations 1,071,985,025 379,560,503
- ---------------------------------------------------------------------------------------------------------------
Dividends and/or Distributions to Shareholders
Dividends from net investment income:
Class A (228,607,620) (265,599,919)
Class B (101,542,711) (151,627,069)
Class C (35,917,109) (42,267,132)
Class N (1,359,641) (694,273)
Class Y (12,603,902) (10,529,269)
- ---------------------------------------------------------------------------------------------------------------
Tax return of capital distribution:
Class A -- (15,387,732)
Class B -- (9,696,394)
Class C -- (2,693,708)
Class N -- (42,219)
Class Y -- (603,497)
- ---------------------------------------------------------------------------------------------------------------
Beneficial Interest Transactions
Net increase (decrease) in net assets resulting from beneficial interest
transactions:
Class A 271,084,579 84,394,819
Class B (358,847,116) (304,556,289)
Class C 59,394,216 27,485,800
Class N 12,050,473 12,727,093
Class Y 65,509,777 52,746,414
- ---------------------------------------------------------------------------------------------------------------
Net Assets
Total increase (decrease) 741,145,971 (246,782,872)
- ---------------------------------------------------------------------------------------------------------------
Beginning of period 5,786,769,236 6,033,552,108
----------------------------------------
End of period [including overdistributed net investment income of
$26,416,177 and $68,166,742, respectively] $6,527,915,207 $5,786,769,236
========================================
See accompanying Notes to Financial Statements.
51 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Class A Year Ended September 30, 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $3.64 $3.72 $4.18 $4.33 $4.59
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .26 .32 .36 .43 .42
Net realized and unrealized gain (loss) .43 (.08) (.43) (.17) (.29)
-----------------------------------------------------------------
Total from investment operations .69 .24 (.07) .26 .13
- --------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.25) (.30) (.26) (.41) (.39)
Tax return of capital distribution -- (.02) (.13) -- --
-----------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.25) (.32) (.39) (.41) (.39)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.08 $3.64 $3.72 $4.18 $4.33
=================================================================
- --------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 1 19.59% 6.63% (1.79)% 6.18% 2.91%
- --------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net assets, end of period (in thousands) $3,873,018 $3,202,825 $3,186,441 $3,431,763 $3,578,105
- --------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $3,521,307 $3,263,490 $3,349,859 $3,517,517 $3,798,380
- --------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 6.60% 7.91% 8.90% 9.98% 9.34%
Total expenses 0.95% 3 1.01% 3 0.93% 3 0.95% 3 0.94% 3
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 104% 117% 209% 136% 172%
<FN>
1. Assumes an 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 of 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.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
See accompanying Notes to Financial Statements.
</FN>
52 | OPPENHEIMER STRATEGIC INCOME FUND
Class B Year Ended September 30, 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $3.66 $3.73 $4.19 $4.34 $4.61
- ------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .22 .28 .33 .39 .39
Net realized and unrealized gain (loss) .44 (.05) (.43) (.17) (.30)
----------------------------------------------------------------------
Total from investment operations .66 .23 (.10) .22 .09
- ------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.22) (.28) (.24) (.37) (.36)
Tax return of capital distribution -- (.02) (.12) -- --
----------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.22) (.30) (.36) (.37) (.36)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.10 $3.66 $3.73 $4.19 $4.34
======================================================================
- ------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 1 18.62% 6.11% (2.53)% 5.37% 1.92%
- ------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net assets, end of period (in thousands) $1,686,295 $1,847,182 $2,186,638 $2,581,391 $3,380,689
- ------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,757,152 $2,056,449 $2,394,886 $2,907,627 $3,838,145
- ------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets :2
Net investment income 5.92% 7.22% 8.14% 9.01% 8.55%
Total expenses 1.68% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3
- ------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 104% 117% 209% 136% 172%
<FN>
1. Assumes an 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 business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of 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.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
</FN>
See accompanying Notes to Financial Statements.
53 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
Class C Year Ended September 30, 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $3.64 $3.71 $4.17 $4.32 $4.59
- ------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .23 .29 .33 .39 .39
Net realized and unrealized gain (loss) .42 (.06) (.43) (.17) (.30)
-------------------------------------------------------------
Total from investment operations .65 .23 (.10) .22 .09
- ------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.22) (.28) (.24) (.37) (.36)
Tax return of capital distribution -- (.02) (.12) -- --
-------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.22) (.30) (.36) (.37) (.36)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.07 $3.64 $3.71 $4.17 $4.32
=============================================================
- ------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 1 18.45% 6.15% (2.54)% 5.39% 1.92%
- ------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net assets, end of period (in thousands) $698,196 $568,487 $553,399 $548,332 $610,686
- ------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $623,598 $571,292 $554,279 $568,742 $650,197
- ------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 5.85% 7.15% 8.15% 9.21% 8.58%
Total expenses 1.69% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3
- ------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 104% 117% 209% 136% 172%
<FN>
1. Assumes an 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 of 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.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less
than 0.01%.
See accompanying Notes to Financial Statements.
</FN>
54 | OPPENHEIMER STRATEGIC INCOME FUND
Class N Year Ended September 30, 2003 2002 2001 1
- -----------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $3.65 $3.72 $4.13
- -----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .25 .30 .22
Net realized and unrealized gain (loss) .42 (.05) (.41)
----------------------------------------------
Total from investment operations .67 .25 (.19)
- -----------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.24) (.30) (.15)
Tax return of capital distribution -- (.02) (.07)
----------------------------------------------
Total dividends and/or distributions
to shareholders (.24) (.32) (.22)
- -----------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.08 $3.65 $3.72
==============================================
- -----------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 2 18.82% 6.70% (4.61)%
- -----------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net assets, end of period (in thousands) $30,110 $15,508 $3,215
- -----------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $22,627 $ 8,954 $1,348
- -----------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 6.08% 7.07% 9.74%
Total expenses 1.34% 4 1.22% 4 0.98% 4
- -----------------------------------------------------------------------------------------------------------
Portfolio turnover rate 104% 117% 209%
<FN>
1. For the period from March 1, 2001 (inception of offering) to September 30,
2001.
2. Assumes an investment on the business day before the first day of the fiscal
period (or inception of offering), 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 of less than one full year. Returns do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption of
Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
See accompanying Notes to Financial Statements.
</FN>
55 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
Class Y Year Ended September 30, 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------------
Per Share Operating Data
Net asset value, beginning of period $3.64 $3.71 $4.17 $4.32 $4.59
- -----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .26 .32 .36 .46 .44
Net realized and unrealized gain (loss) .42 (.06) (.42) (.19) (.30)
-------------------------------------------------------------
Total from investment operations .68 .26 (.06) .27 .14
- -----------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.25) (.31) (.26) (.42) (.41)
Tax return of capital distribution -- (.02) (.14) -- --
-------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.25) (.33) (.40) (.42) (.41)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.07 $3.64 $3.71 $4.17 $4.32
=============================================================
- -----------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 1 19.33% 7.06% (1.58)% 6.55% 3.07%
- -----------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net assets, end of period (in thousands) $240,296 $152,767 $103,858 $75,748 $48,566
- -----------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $194,308 $127,992 $ 94,400 $57,127 $32,310
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 6.57% 7.86% 9.09% 11.39% 10.16%
Total expenses 1.41% 1.74% 1.35% 0.83% 0.57%
Expenses after expense reimbursement or fee
waiver and reduction to custodian expenses 0.91% 0.90% 0.78% N/A 3 N/A 3
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 104% 117% 209% 136% 172%
<FN>
1. Assumes an 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 of 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.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
</FN>
See accompanying Notes to Financial Statements.
56 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies
Oppenheimer Strategic Income Fund (the Fund) is a separate series of
Oppenheimer Strategic Funds Trust, an open-end management investment company
registered under the Investment Company Act of 1940, as amended. The Fund's
investment objective is to seek high current income by investing mainly in debt
securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the
Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class
A shares are sold at their offering price, which is normally net asset value
plus a front-end sales charge. Class B, Class C and Class N shares are sold
without a front-end sales charge but may be subject to a contingent deferred
sales charge (CDSC). Class N shares are sold only through retirement plans.
Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC. All classes of shares have identical
rights and voting privileges. Earnings, net assets and net asset value per
share may differ by minor amounts due to each class having its own expenses
directly attributable to that class. Classes A, B, C and N have separate
distribution and/or service plans. No such plan has been adopted for Class Y
shares. Class B shares will automatically convert to Class A shares six years
after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
Securities Valuation. Securities listed or traded on National Stock Exchanges
or other domestic or foreign exchanges are valued based on the last sale price
of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ are valued based on the closing
price provided by NASDAQ prior to the time when the Fund's assets are valued.
In the absence of a sale, the security is valued at the last sale price on the
prior trading day, if it is within the spread of the closing bid and asked
prices, and if not, at the closing bid price. Securities (including restricted
securities) for which quotations are not readily available are valued primarily
using dealer-supplied valuations, a portfolio pricing service authorized by the
Board of Trustees, or at their fair value. Fair value is determined in good
faith using consistently applied procedures under the supervision of the Board
of Trustees. Short-term "money market type" debt securities with remaining
maturities of sixty days or less are valued at amortized cost (which
approximates market value).
- --------------------------------------------------------------------------------
Structured Notes. The Fund invests in foreign currency-linked structured notes
whose market values and redemption prices are linked to foreign currency
exchange rates. The Fund also invests in "index-linked" notes whose principal
and/or interest payments depend on the performance of an underlying index. The
structured notes are leveraged, increasing the volatility of each note's market
value relative to the change in the underlying foreign currency exchange rate
or underlying index. Fluctuations in value of these securities are recorded as
unrealized gains and losses in the accompanying financial statements. The Fund
records a realized gain or loss when a structured note is sold or
57 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies Continued
matures. As of September 30, 2003, the market value of these securities
comprised 8.4% of the Fund's net assets and resulted in unrealized losses of
$999,725. The Fund also hedges a portion of the foreign currency exposure
generated by these securities, as discussed in Note 5.
- --------------------------------------------------------------------------------
Securities on a Delayed Settlement Basis. Delivery and payment for securities
that have been purchased by the Fund on a delayed settlement basis can take
place a month or more after the trade date. Normally the settlement date occurs
within six months after the trade date; however, the Fund may, from time to
time, purchase securities whose settlement date extends six months or more
beyond trade date. During this period, such securities do not earn interest,
are subject to market fluctuation and may increase or decrease in value prior
to their delivery. The Fund maintains segregated assets with a market value
equal to or greater than the amount of its purchase commitments. The purchase
of securities on a deferred settlement basis may increase the volatility of the
Fund's net asset value to the extent the Fund executes such purchases while
remaining substantially fully invested. As of September 30, 2003, the Fund had
entered into delayed settlement purchase commitments of $745,964,382.
Additionally, the Fund had delayed settlement sale commitments of $15,860,173.
In connection with its ability to purchase securities on a delayed
settlement basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of
each forward roll as interest income or realized gain (loss) on investments.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities to what was sold to the counterparty
at redelivery; counterparty credit risk; and the potential pay down speed
variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
Security Credit Risk. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of September 30, 2003, securities with an
aggregate market value of $86,491,371, representing 1.32% of the Fund's net
assets, were in default.
58 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
Foreign Currency Translation. The Fund's accounting records are maintained in
U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
Joint Repurchase Agreements. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint
trading accounts on a daily basis. Secured by U.S. government securities, these
balances are invested in one or more repurchase agreements. Securities pledged
as collateral for repurchase agreements are held by a custodian bank until the
agreements mature. Each agreement requires that the market value of the
collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
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 tax components of capital shown in the table below represent distribution
requirements the Fund must satisfy under the income tax regulations, losses the
Fund may be able to offset against income and gains realized in future years
and unrealized appreciation or depreciation of securities and other investments
for federal income tax purposes.
59 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies Continued
Net Unrealized
Depreciation
Based on Cost of
Securities and
Undistributed Undistributed Accumulated Other Investments
Net Investment Long-Term Loss for Federal Income
Income Gain Carryforward 1,2,3,4 Tax Purposes
--------------------------------------------------------------------------------
$20,228,658 $-- $1,136,669,728 $117,865,111
1. As of September 30, 2003, the Fund had $1,022,131,149 of net capital loss
carryforwards available to offset future realized capital gains, if any, and
thereby reduce future taxable gain distributions. As of September 30, 2003,
details of the capital loss carryforwards were as follows:
Expiring
------------------------------
2004 $ 114,650,580
2007 16,381,920
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
--------------
Total $1,022,131,149
==============
2. During the fiscal years ended September 30, 2003 and September 30, 2002, the
Fund did not utilize any capital loss carryforwards.
3. As of September 30, 2003, the Fund had $108,416,056 of post-October losses
available to offset future realized capital gains, if any. Such losses, if
unutilized, will expire in 2012.
4. The Fund had $6,122,523 of straddle losses which were deferred.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund. Accordingly,
the following amounts have been reclassified for September 30, 2003. Net assets
of the Fund were unaffected by the reclassifications.
From To Net
Ordinary Capital Tax Return Investment
Loss Loss of Capital Loss
---------------------------------------------------------------
$34,758,861 $34,758,861 $-- $--
The tax character of distributions paid during the years ended September 30,
2003 and September 30, 2002 was as follows:
Year Ended Year Ended
September 30, 2003 September 30, 2002
--------------------------------------------------------------------
Distributions paid from:
Ordinary income $380,030,983 $470,717,662
Return of capital -- 28,423,550
------------------------------------
Total $380,030,983 $499,141,212
====================================
60 | OPPENHEIMER STRATEGIC INCOME 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 September 30, 2003 are noted below. The
primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
Federal tax cost of securities
and other investments $10,105,769,435
===============
Gross unrealized appreciation $ 423,704,765
Gross unrealized depreciation (541,569,876)
---------------
Net unrealized depreciation $ (117,865,111)
===============
- -------------------------------------------------------------------------------
Trustees' Compensation. The Board of Trustees has adopted a deferred
compensation 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. Under the plan, deferred amounts are treated as
though equal dollar amounts had been invested in shares of the Fund or are
invested in other selected Oppenheimer funds. Deferral of trustees' fees under
the plan will not affect the net assets of the Fund, and will not materially
affect the Fund's assets, liabilities or net investment income per share.
Amounts will be deferred until distributed in accordance to the Plan.
- -------------------------------------------------------------------------------
Dividends and Distributions to Shareholders. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
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, which includes accretion of discount and
amortization of premium, is accrued as earned.
- -------------------------------------------------------------------------------
Expense Offset Arrangement. The reduction of custodian fees represents earnings
on cash balances maintained by the Fund.
- -------------------------------------------------------------------------------
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.
- -------------------------------------------------------------------------------
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 income and
expenses during the reporting period. Actual results could differ from those
estimates.
61 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial
interest were as follows:
Year Ended September 30, 2003 Year Ended September 30, 2002
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------
Class A
Sold 239,075,415 $ 920,837,843 172,101,425 $ 646,946,497
Dividends and/or
distributions reinvested 39,925,641 153,907,293 48,064,194 180,500,573
Redeemed (208,815,336) (803,660,557) (197,799,204) (743,052,251)
--------------------------------------------------------------------------
Net increase 70,185,720 $ 271,084,579 22,366,415 $ 84,394,819
==========================================================================
- -----------------------------------------------------------------------------------------------------------
Class B
Sold 63,952,473 $ 246,602,223 72,239,653 $ 272,446,824
Dividends and/or
distributions reinvested 15,896,757 61,263,462 24,126,021 90,899,162
Redeemed (173,280,500) (666,712,801) (177,141,272) (667,902,275)
--------------------------------------------------------------------------
Net decrease (93,431,270) $(358,847,116) (80,775,598) $(304,556,289)
==========================================================================
- -----------------------------------------------------------------------------------------------------------
Class C
Sold 44,468,531 $ 171,414,411 38,283,028 $ 143,665,045
Dividends and/or
distributions reinvested 6,320,901 24,316,496 7,553,119 28,283,682
Redeemed (35,649,094) (136,336,691) (38,550,880) (144,462,927)
--------------------------------------------------------------------------
Net increase 15,140,338 $ 59,394,216 7,285,267 $ 27,485,800
==========================================================================
- -----------------------------------------------------------------------------------------------------------
Class N
Sold 4,309,056 $ 16,669,277 3,786,342 $ 14,209,840
Dividends and/or
distributions reinvested 334,213 1,294,796 187,836 702,952
Redeemed (1,522,702) (5,913,600) (585,248) (2,185,699)
--------------------------------------------------------------------------
Net increase 3,120,567 $ 12,050,473 3,388,930 $ 12,727,093
==========================================================================
- -----------------------------------------------------------------------------------------------------------
Class Y
Sold 41,339,112 $ 159,458,161 25,193,404 $ 94,584,057
Dividends and/or
distributions reinvested 2,467,304 9,527,352 2,410,896 9,023,067
Redeemed (26,811,939) (103,475,736) (13,562,379) (50,860,710)
--------------------------------------------------------------------------
Net increase 16,994,477 $ 65,509,777 14,041,921 $ 52,746,414
==========================================================================
- -------------------------------------------------------------------------------
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the year ended September 30, 2003, were
$7,839,630,741 and $7,216,140,023, respectively.
62 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
4. Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with
the investment advisory agreement with the Fund which provides for a fee at an
annual rate of 0.75% of the first $200 million of average annual net assets of
the Fund, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66%
of the next $200 million, 0.60% of the next $200 million, and 0.50% of average
annual net assets in excess of $1 billion.
- --------------------------------------------------------------------------------
Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the
Manager, acts as the transfer and shareholder servicing agent for the Fund. The
Fund pays OFS a per account fee. For the year ended September 30, 2003, the
Fund paid $9,133,117 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $5,000 for
assets of less than $10 million and $10,000 for assets of $10 million or more.
The Class Y shares are subject to the minimum fees in the event that the per
account fee does not equal or exceed the applicable minimum fees. OFS may
voluntarily waive the minimum fees.
OFS has voluntarily agreed to limit transfer and shareholder servicing agent
fees up to an annual rate of 0.35% of average annual net assets for all
classes. This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
Distribution and Service Plan (12b-1) Fees. Under its General Distributor's
Agreement with the Manager, OppenheimerFunds Distributor, Inc. (the
Distributor) acts as the Fund's principal underwriter in the continuous public
offering of the different classes of shares of the Fund.
The compensation paid to (or retained by) the Distributor from the sale of
shares or on the redemption of shares is shown in the table below for the
period indicated.
Aggregate Class A Concessions Concessions Concessions Concessions
Front-End Front-End on Class A on Class B on Class C on Class N
Sales Charges Sales Charges Shares Shares Shares Shares
on Class A Retained by Advanced by Advanced by Advanced by Advanced by
Year Ended Shares Distributor Distributor 1 Distributor 1 Distributor 1 Distributor 1
- -------------------------------------------------------------------------------------------------------------------------
September 30, 2003 $5,134,030 $1,418,393 $594,870 $6,186,560 $1,150,531 $122,428
1. The Distributor advances concession payments to dealers for certain sales of
Class A shares and for sales of Class B, Class C and Class N shares from its
own resources at the time of sale.
Class A Class B Class C Class N
Contingent Contingent Contingent Contingent
Deferred Deferred Deferred Deferred
Sales Charges Sales Charges Sales Charges Sales Charges
Retained by Retained by Retained by Retained by
Year Ended Distributor Distributor Distributor Distributor
- --------------------------------------------------------------------------------------------
September 30, 2003 $115,085 $6,274,772 $97,016 $41,724
- -------------------------------------------------------------------------------
Service Plan for Class A Shares. The Fund has adopted a Service Plan for Class
A shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
quarterly at an annual rate of up to 0.25% of the average annual net assets of
Class A shares of the Fund. For the year ended September 30, 2003, expense
under the Class A Plan totaled $8,660,139, all of
63 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. Fees and Other Transactions with Affiliates Continued
which were paid by the Distributor to recipients, which included $25,427
retained by the Distributor and $554,215 which was paid to an affiliate of the
Manager. Any unreimbursed expenses the Distributor incurs with respect to Class
A shares in any fiscal year cannot be recovered in subsequent years.
- --------------------------------------------------------------------------------
Distribution and Service Plans for Class B, Class C and Class N Shares. The
Fund has adopted Distribution and Service Plans for Class B, Class C and Class
N shares. Under the plans, the Fund pays the Distributor an annual asset-based
sales charge of 0.75% per year on Class B shares and on Class C shares and the
Fund pays the Distributor an annual asset-based sales charge of 0.25% per year
on Class N shares. The Distributor also receives a service fee of 0.25% per
year under each plan.
Distribution fees paid to the Distributor for the year ended September 30,
2003, were as follows:
Distributor's
Distributor's Aggregate
Aggregate Uncompensated
Uncompensated Expenses as %
Total Expenses Amount Retained Expenses of Net Assets
Under Plan by Distributor Under Plan of Class
- --------------------------------------------------------------------------------------------------
Class B Plan $17,575,847 $12,679,658 $101,273,876 6.01%
Class C Plan 6,232,376 1,064,235 18,958,511 2.72
Class N Plan 112,928 91,162 545,064 1.81
- -------------------------------------------------------------------------------
5. Foreign Currency Contracts
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into
foreign currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation
or depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gain or loss. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
64 | OPPENHEIMER STRATEGIC INCOME FUND
As of September 30, 2003, the Fund had outstanding foreign currency contracts
as follows:
Contract Valuation
Expiration Amount as of Unrealized Unrealized
Contract Description Dates (000s) Sept. 30, 2003 Appreciation Depreciation
- -----------------------------------------------------------------------------------------------------------------------------
Contracts to Purchase
Argentine Peso [ARP] 5/28/04-6/8/04 36,401ARP $ 11,794,482 $ 415,253 $ --
British Pound
Sterling [GBP] 11/20/03 16,395GBP 27,139,961 1,252,256 --
Chilean Peso [CLP] 11/25/03 13,103,380CLP 19,812,088 1,096,984 --
Columbian Peso [COP] 10/29/03 12,299,560COP 4,237,371 -- 24,431
Euro [EUR] 11/20/03-3/8/04 184,960EUR 214,931,006 10,332,482 28,623
Japanese Yen [JPY] 10/14/03-3/17/04 58,830,545JPY 528,462,302 21,089,080 15,239
Swiss Franc [CHF] 10/29/03 20,390CHF 15,451,941 298,850 --
Turkish Lira [TRL] 10/27/03 5,114,912,000TRL 3,606,013 -- 26,737
--------------------------------
34,484,905 95,030
--------------------------------
Contracts to Sell
Australian Dollar [AUD] 10/29/03 25,410AUD 17,143,491 53,997 --
British Pound
Sterling [GBP] 10/29/03-3/9/04 23,570GBP 38,865,706 -- 1,007,924
Canadian Dollar [CAD] 2/23/04 20,695CAD 15,238,326 -- 603,058
Euro [EUR] 10/8/03-4/27/04 322,465EUR 374,381,698 -- 12,885,891
Indonesia Rupiah [IDR] 11/12/03 127,453,529IDR 15,182,137 -- 632,660
Japanese Yen [JPY] 4/27/04 800,000JPY 7,209,516 -- 353,921
New Zealand
Dollar [NZD] 10/29/03 27,415NZD 16,227,490 9,044 --
--------------------------------
63,041 15,483,454
--------------------------------
Total unrealized appreciation and depreciation $34,547,946 $15,578,484
================================
- --------------------------------------------------------------------------------
6. Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy
and sell futures contracts that relate to broadly based securities indices
"financial futures" or debt securities "interest rate futures" in order to gain
exposure to or protection from changes in market value of stock and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it
may be more efficient or cost effective than actually buying fixed income
securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
65 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
6. Futures Contracts Continued
Cash held by the broker to cover initial margin requirements on open futures
contracts is noted in the Statement of Assets and Liabilities. Securities held
in collateralized accounts to cover initial margin requirements on open futures
contracts are noted in the Statement of Investments. The Statement of Assets
and Liabilities reflects a receivable and/or payable for the daily mark to
market for variation margin. Realized gains and losses are reported on the
Statement of Operations as closing and expiration of futures contracts. The net
change in unrealized appreciation and depreciation is reported on the Statement
of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of September 30, 2003, the Fund had outstanding futures contracts as
follows:
Unrealized
Expiration Number of Valuation as of Appreciation
Contract Description Dates Contracts Sept. 30, 2003 (Depreciation)
- --------------------------------------------------------------------------------------------------
Contracts to Purchase
Euro-Bundesobligation 12/8/03 126 $ 16,897,803 $ 225,467
NASDAQ 100 Index 12/18/03 126 16,455,600 (458,267)
U.S. Long Bonds 12/19/03 1,886 211,526,688 7,202,686
U.S. Treasury Nts., 10 yr. 12/19/03 5,031 576,678,375 22,083,034
------------
29,052,920
------------
Contracts to Sell
DAX Index 12/19/03 51 4,853,072 141,981
FTSE 100 Index 12/19/03 13 886,822 14,326
Japan (Government of) Bonds 12/11/03 86 105,449,403 1,001,387
Standard & Poor's 500 Index 12/18/03 401 99,658,525 1,929,792
U.S. Long Bonds 12/19/03 560 62,807,500 (4,325,428)
U.S. Treasury Nts., 2 yr. 12/29/03 1,203 259,359,281 (3,122,633)
U.S. Treasury Nts., 5 yr. 12/19/03 1,429 162,146,844 (4,930,367)
United Kingdom Long Gilt 12/29/03 25 4,918,159 (31,722)
------------
(9,322,664)
------------
$19,730,256
============
- --------------------------------------------------------------------------------
7. Option Activity
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction.
66 | OPPENHEIMER STRATEGIC INCOME FUND
When an option is exercised, the proceeds on sales for a written call option,
the purchase cost for a written put option, or the cost of the security for a
purchased put or call option is adjusted by the amount of premium received
or paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Shares subject to call, expiration
date, exercise price, premium received and market value are detailed in a note
to the Statement of Investments. Options written are reported as a liability in
the Statement of Assets and Liabilities. Realized gains and losses are reported
in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Fund may incur a loss
if the market price of the security decreases and the option is exercised. The
risk in buying an option is that the Fund pays a premium whether or not the
option is exercised. The Fund also has the additional risk of not being able to
enter into a closing transaction if a liquid secondary market does not exist.
Written option activity for the year ended September 30, 2003 was as follows:
Call Options Put Options
-------------------------------- ------------------------------------
Principal (000s)/ Principal (000s)/
Number of Amount of Number of Amount of
Contracts Premiums Contracts Premiums
- --------------------------------------------------------------------------------------------------------------
Options outstanding as of
September 30, 2002 -- $ -- -- $ --
Options written 31,540,373,204 7,285,837 9,753,444,550 3,755,725
Options closed or expired (14,030,000) (155,733) (41,844,550) (1,909,668)
Options exercised (197,917,100) (2,122,537) -- --
---------------------------------------------------------------------------
Options outstanding as of
September 30, 2003 31,328,426,104 $5,007,567 9,711,600,000 $1,846,057
===========================================================================
- --------------------------------------------------------------------------------
8. Interest Rate Swap Contracts
The Fund may enter into an interest rate swap transaction to maintain a total
return or yield spread on a particular investment, or portion of its portfolio,
or for other non-speculative purposes. Interest rate swaps involve the exchange
of commitments to pay or receive interest, e.g., an exchange of floating rate
payments for fixed rate payments. The coupon payments are based on an agreed
upon principal amount and a specified index. Because the principal amount is
not exchanged, it represents neither an asset nor a liability to either
counterparty, and is referred to as notional. The Fund records an increase or
decrease to interest income, in the amount due to or owed by the Fund at
termination or settlement.
Interest rate swaps are subject to credit risk (if the counterparty fails to
meet its obligations) and interest rate risk. The Fund could be obligated to
pay more under its swap agreements than it receives under them, as a result of
interest rate changes.
67 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. Interest Rate Swap Contracts Continued
As of September 30, 2003, the Fund had entered into the following interest rate
swap agreements:
Floating Rate
Rate Paid by Received by Unrealized
Swap Notional the Fund at the Fund at Floating Termination Appreciation
Counterparty Principal Sept. 30, 2003 Sept. 30, 2003 Rate Index Dates (Depreciation)
- --------------------------------------------------------------------------------------------------------------------
Deutsche Bank Three-Month
AG $ 43,910,000 3.1025% 1.330628% LIBOR flat 3/4/08 $116,460
JPMorgan Three-Month
Chase Bank 22,120,000 3.052 1.317499 LIBOR flat 3/10/08 306,541
JPMorgan Six-Month
Chase Bank 11,025,000 0.0314 0.02081 LIBOR flat 7/14/08 114,936
JPMorgan Six-Month
Chase Bank 3,075,000,000 9.13 7.00 LIBOR flat 7/14/08 (121,417)
---------
$416,520
=========
- --------------------------------------------------------------------------------
9. Credit Swap Contracts
The Fund may enter into a credit swap transaction to maintain a total return on
a particular investment or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as a notional principal amount. The Fund records an increase or
decrease to interest income, in the amount due to or owed by the Fund at
termination or settlement. Credit swaps are subject to credit risks (if the
counterparty fails to meet its obligations).
During the year ended September 30, 2003, the Fund entered into a transaction
to hedge credit risk. The Fund pays an annual 2% interest fee on the notional
amount in exchange for the counterparty paying in a potential credit event.
Information regarding the credit swap is as follows:
68 | OPPENHEIMER STRATEGIC INCOME FUND
Unrealized
Expiration Notional Valuation as of Appreciation
Contract Description Dates Amount Sept. 30, 2003 (Depreciation)
- ----------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Colombia
(Republic of) Credit Nts. 9/20/13 $ 3,355,000 $ 115,939 $ 115,939
Deutsche Bank AG, Colombia
(Republic of) Credit Nts. 9/20/13 3,355,000 72,627 72,627
Deutsche Bank AG,
United Mexican States Credit Bonds 9/20/13 14,505,000 (147,927) (147,927)
Deutsche Bank AG, Philippines
(Republic of) 5 yr. Credit Nts. 7/25/08 15,770,000 (11,381) (11,381)
Deutsche Bank AG, Philippines
(Republic of) 10 yr. Credit Bonds 7/25/13 15,770,000 15,300 15,300
Deutsche Bank AG, Philippines
(Republic of) Credit Nts. 12/20/08 3,725,000 (3,967) (3,967)
Deutsche Bank AG, Russia Federation
Credit Bonds 9/20/13 18,125,000 59,232 59,232
Deutsche Bank AG, Russia Federation
Credit Bonds 9/10/13 14,745,000 101,718 101,718
Deutsche Bank AG, Turkey
(Republic of) Credit Bonds 9/20/10 8,405,000 (48,387) (48,387)
JPMorgan Chase Bank, Jordan
(Kingdom of) Credit Nts. 6/6/06 4,350,000 26,025 26,025
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 10,000,000 (587,938) (587,938)
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 17,610,000 (856,790) (856,790)
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 8,805,000 (446,549) (446,549)
------------
$(1,712,098)
============
- --------------------------------------------------------------------------------
10. Swaption Transactions
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable
changes in the preset rate on the underlying interest rate swap. Swaption
contracts written by the Fund do not give rise to counterparty credit risk as
they obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
As of September 30, 2003, the Fund had entered into the following swaption
contracts:
Contracts Expiration Exercise Premium Market Value
Swaptions Subject to Call Date Price Received See Note 1
- ----------------------------------------------------------------------------------------------------------
Deutsche Swaption 44,445,000 5/17/04 2.825% $395,561 $210,508
69 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. Illiquid or Restricted Securities
As of September 30, 2003, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private
placement transactions, are not registered under the Securities Act of 1933,
may have contractual restrictions on resale, and are valued under methods
approved by the Board of Trustees as reflecting fair value. A security may also
be considered illiquid if it lacks a readily available market or if its
valuation has not changed for a certain period of time. The Fund intends to
invest no more than 10% of its net assets (determined at the time of purchase
and reviewed periodically) in illiquid or restricted securities. Certain
restricted securities, eligible for resale to qualified institutional
investors, are not subject to that limitation. The aggregate value of illiquid
or restricted securities subject to this limitation as of September 30, 2003
was $500,248,561, which represents 7.66% of the Fund's net assets, of which
zero is considered restricted. Information concerning restricted securities is
as follows:
Acquisition Valuation as of Unrealized
Security Dates Cost September 30, 2003 Depreciation
- ---------------------------------------------------------------------------------------------------------------
Stocks and/or Warrants
Geotek Communications, Inc. 4/6/00 $ -- $-- $ --
Geotek Communications, Inc.,
Series B, Escrow Shares 1/4/01 2,500 -- 2,500
Real Time Data Co. Wts., Exp. 5/31/04 6/30/99 22,515 -- 22,515
- --------------------------------------------------------------------------------
12. Securities Lending
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of US
Treasury obligations or cash, against the loaned securities and maintains
collateral in an amount not less than 100% of the market value of the loaned
securities during the period of the loan. The market value of the loaned
securities is determined at the close of business of the funds and any
additional required collateral is delivered to the Fund on the next business
day. If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the
collateral. Cash collateral is invested in cash equivalents. As of September
30, 2003, the Fund had on loan securities valued at $579,509,275. Cash of
$588,906,159 was received as collateral for the loans, and has been invested in
approved instruments.
70 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
13. Borrowing and Lending Arrangements
The Fund entered into an "interfund borrowing and lending arrangement" with
other funds in the Oppenheimer funds complex, to allow funds to borrow for
liquidity purposes. The arrangement was initiated pursuant to exemptive relief
granted by the Securities and Exchange Commission to allow these affiliated
funds to lend money to, and borrow money from, each other, in an attempt to
reduce borrowing costs below those of bank loan facilities. Under the
arrangement the Fund may lend money to other Oppenheimer funds and may borrow
from other Oppenheimer funds at a rate set by the Fund's Board of Trustees,
based upon a recommendation by the Manager. The Fund's borrowings, if any, are
subject to asset coverage requirements under the Investment Company Act and the
provisions of the SEC order and other applicable regulations. If the Fund
borrows money, there is a risk that the loan could be called on one day's
notice, in which case the Fund might have to borrow from a bank at higher rates
if a loan were not available from another Oppenheimer fund. If the Fund lends
money to another fund, it will be subject to the risk that the other fund might
not repay the loan in a timely manner, or at all.
The Fund had no interfund borrowings or loans outstanding during the year
ended or at September 30, 2003.
71 | OPPENHEIMER STRATEGIC INCOME FUND
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders of Oppenheimer Strategic Income Fund:
We have audited the accompanying statement of assets and liabilities of
Oppenheimer Strategic Income Fund, including the statement of investments, as
of September 30, 2003, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two years
in the period then ended, and the financial highlights for the periods
indicated. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of September 30, 2003, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Oppenheimer Strategic Income Fund as of September 30, 2003, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America.
Deloitte & Touche LLP
Denver, Colorado
November 14, 2003
72 | OPPENHEIMER STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
In early 2004, if applicable, shareholders of record will receive information
regarding all dividends and distributions paid to them by the Fund during
calendar year 2003. Regulations of the U.S. Treasury Department require the
Fund to report this information to the Internal Revenue Service.
Dividends paid by the Fund during the fiscal year ended September 30, 2003
which are not designated as capital gain distributions should be multiplied by
1.19% to arrive at the amount eligible for the corporate dividend-received
deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal year
ended September 30, 2003 which are not designated as capital gain distributions
are eligible for lower individual income tax rates to the extent that the Fund
has received qualified dividend income as stipulated by recent tax legislation.
$6,683,357 of the Fund's fiscal year taxable income may be eligible for the
lower individual income tax rates. In early 2004, shareholders of record will
receive information regarding the percentage of distributions that are eligible
for lower individual income tax rates.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because
of the complexity of the federal regulations which may affect your individual
tax return and the many variations in state and local tax regulations, we
recommend that you consult your tax advisor for specific guidance.
PORTFOLIO PROXY VOTING
POLICIES AND PROCEDURES Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and
Procedures is available (i) without charge, upon request, by calling the Fund
toll-free at 1.800.225.5677, (ii) on the Fund's website at
www.oppenheimerfunds.com, and (iii) on the SEC's website at www.sec.gov. In
addition, the Fund will be required to file new 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 first such filing is due no later than August 31, 2004,
for the twelve months ended June 30, 2004. Once filed, the Fund's Form N-PX
filing will be available (i) without charge, upon request, by calling the Fund
toll-free at 1.800.225.5677, and (ii) on the SEC's website at www.sec.gov.
73 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Name, Position(s) Held with Principal Occupation(s) During Past 5 Years;
Fund, Length of Service, Age Other Trusteeships/Directorships Held by
Trustee; Number of Portfolios in Fund Complex
Currently Overseen by Trustee
INDEPENDENT The address of each Trustee in the chart
TRUSTEES below is 6803 S. Tucson Way, Centennial, CO
80112-3924. Each Trustee serves for an
indefinite term, until his or her
resignation, retirement, death or removal.
James C. Swain, Formerly, Chief Executive Officer (until
Chairman and Trustee August 27, 2002) of the Board II Funds, Vice
(since 1995) Chairman (until January 2, 2002) of
Age: 69 OppenheimerFunds, Inc. and President and a
director (until 1997) of Centennial Asset
Management Corporation (a wholly-owned
investment advisory subsidiary of the
Manager). Oversees 41 portfolios in the
OppenheimerFunds complex.
William L. Armstrong, Chairman of the following private mortgage
Vice Chairman and Trustee banking companies: Cherry Creek Mortgage
(since 1999) Company (since 1991), Centennial State
Age: 66 Mortgage Company (since 1994), The El Paso
Mortgage Company (since 1993), Transland
Financial Services, Inc. (since 1997);
Chairman of the following private companies:
Great Frontier Insurance (insurance agency)
(since 1995), Ambassador Media Corporation
and Broadway Ventures (since 1984); a
director of the following public companies:
Helmerich & Payne, Inc. (oil and gas
drilling/production company) (since 1992) and
UNUMProvident (insurance company) (since
1991). Mr. Armstrong is also a
Director/Trustee of Campus Crusade for Christ
and the Bradley Foundation. Formerly a
director of the following: Storage Technology
Corporation (a publicly-held computer
equipment company) (1991-February 2003), and
International Family Entertainment
(television channel) (1992-1997), Frontier
Real Estate, Inc. (residential real estate
brokerage) (1994-1999), and Frontier Title
(title insurance agency) (1995-June 1999); a
U.S. Senator (January 1979-January 1991).
Oversees 41 portfolios in the
OppenheimerFunds complex.
Robert G. Avis, Formerly, Director and President of A.G.
Trustee (since 1995) Edwards Capital, Inc. (General Partner of
Age: 72 private equity funds) (until February 2001);
Chairman, President and Chief Executive
Officer of A.G. Edwards Capital, Inc. (until
March 2000); Vice Chairman and Director of
A.G. Edwards, Inc. and Vice Chairman of A.G.
Edwards & Sons, Inc. (its brokerage company
subsidiary) (until March 1999); Chairman of
A.G. Edwards Trust Company and A.G.E. Asset
Management (investment advisor) (until March
1999); and a Director (until March 2000) of
A.G. Edwards & Sons and A.G. Edwards Trust
Company. Oversees 41 portfolios in the
OppenheimerFunds complex.
George C. Bowen, Formerly (until April 1999): Senior Vice
Trustee (since 1997) President (from September 1987) and Treasurer
Age: 67 (from March 1985) of the Manager; Vice
President (from June 1983) and Treasurer
(since March 1985) of OppenheimerFunds
Distributor, Inc. (a subsidiary of the
Manager); Senior Vice President (since
February 1992), Treasurer (since July 1991)
Assistant Secretary and a director (since
December 1991) of Centennial Asset Management
Corporation; Vice President (since October
1989) and Treasurer (since April 1986) of
HarbourView Asset Management Corporation (an
investment advisory subsidiary of the
Manager); President, Treasurer and a director
(June 1989-January 1990) of Centennial
Capital Corporation (an investment advisory
subsidiary of the Manager); Vice President
and Treasurer (since August 1978) and
Secretary (since April 1981) of Shareholder
Services, Inc. (a transfer agent subsidiary
of the Manager); Vice President, Treasurer
and Secretary (since November 1989) of
Shareholder Financial Services, Inc. (a
transfer agent subsidiary of the Manager);
Assistant Treasurer (since March 1998) of
Oppenheimer Acquisition Corp. (the Manager's
parent corporation); Treasurer (since
November 1989) of Oppenheimer Partnership
Holdings, Inc. (a holding company subsidiary
of the Manager); Vice President and Treasurer
(since July
74 | OPPENHEIMER STRATEGIC INCOME FUND
George C. Bowen, 1996) of Oppenheimer Real Asset Management,
Continued Inc. (an investment advisory subsidiary of
the Manager); Chief Executive Officer and
director (since March 1996) of MultiSource
Services, Inc. (a broker-dealer subsidiary of
the Manager); Treasurer (since October 1997)
of OppenheimerFunds International Ltd. and
OppenheimerFunds plc (offshore fund
management subsidiaries of the Manager).
Oversees 41 portfolios in the
OppenheimerFunds complex.
Edward L. Cameron, A member of The Life Guard of Mount Vernon,
Trustee (since 1999) George Washington's home (since June 2000).
Age: 65 Formerly (March 2001 - May 2002) Director of
Genetic ID, Inc. and its subsidiaries (a
privately held biotech company); a partner
with PricewaterhouseCoopers LLP (from
1974-1999) (an accounting firm) and Chairman
(from 1994-1998), Price Waterhouse LLP Global
Investment Management Industry Services
Group. Oversees 41 portfolios in the
OppenheimerFunds complex.
Jon S. Fossel, Chairman and Director (since 1998) of Rocky
Trustee (since 1995) Mountain Elk Foundation (a not-for-profit
Age: 61 foundation); and a director (since October
1999) of P.R. Pharmaceuticals (a privately
held company) and UNUMProvident (an insurance
company) (since June 1, 2002). Formerly
Chairman and a director (until October 1996)
and President and Chief Executive Officer
(until October 1995) of the Manager;
President, Chief Executive Officer and a
director of Oppenheimer Acquisition Corp.,
Shareholders Services Inc. and Shareholder
Financials Services, Inc. (until October
1995). Oversees 41 portfolios in the
OppenheimerFunds complex.
Sam Freedman, Director of Colorado Uplift (a non-profit
Trustee (since 1996) charity) (since September 1984). Formerly
Age: 62 (until October 1994) Mr. Freedman held
several positions in subsidiary or affiliated
companies of the Manager. Oversees 41
portfolios in the OppenheimerFunds complex.
Beverly L. Hamilton, Trustee (since 1996) of MassMutual
Trustee (since 2002) Institutional Funds and of MML Series
Age: 56 Investment Fund (open-end investment
companies); Director of MML Services (since
April 1987) and America Funds Emerging
Markets Growth Fund (since October 1991)
(both are investment companies), The
California Endowment (a philanthropy
organization) (since April 2002), and
Community Hospital of Monterey Peninsula,
(since February 2002); a trustee (since
February 2000) of Monterey International
Studies (an educational organization), and an
advisor to Unilever (Holland)'s pension fund
and to Credit Suisse First Boston's Sprout
venture capital unit. Mrs. Hamilton also is a
member of the investment committees of the
Rockefeller Foundation, the University of
Michigan and Hartford Hospital. Formerly,
President (February 1991-April 2000) ARCO
Investment Management Company. Oversees 42
portfolios in the OppenheimerFunds complex.
Robert J. Malone, Chairman and CEO (since August 2003) of
Trustee (since 2002) Steele Street Bank (a commercial banking
Age: 59 entity) Director (since 2001) of Jones
Knowledge, Inc. (a privately held company),
U.S. Exploration, Inc., (since 1997),
Colorado UpLIFT (a non-profit organization)
(since 1986) and a trustee of the Gallagher
Family Foundation (non-profit organization)
(since 2000). Formerly, Chairman of U.S. Bank
(a subsidiary of U.S. Bancorp and formerly
Colorado National Bank,) (July 1996-April 1,
1999) and a director of Commercial Assets,
Inc. (a REIT) (1993-2000). Oversees 40
portfolios in the OppenheimerFunds complex.
75 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
- --------------------------------------------------------------------------------
F. William Marshall, Jr., Trustee (since 1996) of MassMutual
Trustee (since 2000) Institutional Funds and of MML Series
Age: 61 Investment Fund (open-end investment
companies); Trustee (since 1987), Chairman of
the Board (since 2003) and Chairman of the
investment committee (since 1994) for the
Worcester Polytech Institute; President and
Treasurer (since January 1999) of the SIS
Fund (a private not for profit charitable
fund); Trustee (since 1995) of the
Springfield Library and Museum Association;
Trustee (since 1996) of the Community Music
School of Springfield. Formerly, member of
the investment committee of the Community
Foundation of Western Massachusetts (1998 -
2003); Chairman (January 1999-July 1999) of
SIS & Family Bank, F.S.B. (formerly SIS
Bank); President, Chief Executive Officer and
Director (May 1993-December 1998) of SIS
Bankcorp, Inc. and SIS Bank (formerly
Springfield Institution for Savings) and
Executive Vice President (January 1999-July
1999) of Peoples Heritage Financial Group,
Inc. Oversees 43 portfolios in the
OppenheimerFunds complex.
- --------------------------------------------------------------------------------
INTERESTED TRUSTEE The address of Mr. Murphy in the chart below
AND OFFICER is Two World Financial Center, New York, NY
10080. Mr. Murphy serves for an indefinite
term, until his resignation, death or
removal.
John V. Murphy, Chairman, Chief Executive Officer and
President and Trustee director (since June 2001) and President
(since 2001) (since September 2000) of the Manager;
Age: 54 President and a director or trustee of other
Oppenheimer funds; President and a director
(since July 2001) of Oppenheimer Acquisition
Corp. and of Oppenheimer Partnership
Holdings, Inc.; a director (since November
2001) of OppenheimerFunds Distributor, Inc.;
Chairman and a director (since July 2001) of
Shareholder Services, Inc. and of Shareholder
Financial Services, Inc.; President and a
director (since July 2001) of
OppenheimerFunds Legacy Program (a charitable
trust program established by the Manager); a
director of the following investment advisory
subsidiaries of OppenheimerFunds, Inc.: OFI
Institutional Asset Management, Inc. and
Centennial Asset Management Corporation
(since November 2001), HarbourView Asset
Management Corporation and OFI Private
Investments, Inc. (since July 2001);
President (since November 1, 2001) and a
director (since July 2001) of Oppenheimer
Real Asset Management, Inc.; a director
(since November 2001) of Trinity Investment
Management Corp. and Tremont Advisers, Inc.
(investment advisory affiliates of the
Manager); Executive Vice President (since
February 1997) of Massachusetts Mutual Life
Insurance Company (the Manager's parent
company); a director (since June 1995) of DLB
Acquisition Corporation (a holding company
that owns the shares of David L. Babson &
Company, Inc.); formerly, Chief Operating
Officer (September 2000-June 2001) of the
Manager; President and trustee (November
1999-November 2001) of MML Series Investment
Fund and MassMutual Institutional Funds
(open-end investment companies); a director
(September 1999-August 2000) of C.M. Life
Insurance Company; President, Chief Executive
Officer and director (September 1999-August
2000) of MML Bay State Life Insurance
Company; a director (June 1989-June 1998) of
Emerald Isle Bancorp and Hibernia Savings
Bank (a wholly-owned subsidiary of Emerald
Isle Bancorp). Oversees 75 portfolios in the
OppenheimerFunds complex.
76 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
OFFICERS The address of the Officers in the chart
below is as follows: for Messrs. Steinmetz
and Zack, Two World Financial Center, New
York, NY 10080, for Mr. Wixted, 6803 S.
Tucson Way, Centennial, CO 80112-3924. Each
Officer serves for an annual term or until
his earlier resignation, death or removal.
Arthur P. Steinmetz, Senior Vice President of the Manager (since
Senior Vice President March 1993) and of HarbourView Asset
and Portfolio Manager Management Corporation (since March 2000); an
(since 1993) officer of 6 portfolios in the
Age: 44 OppenheimerFunds complex.
Brian W. Wixted, Senior Vice President and Treasurer (since
Treasurer (since 1999) March 1999) of the Manager; Treasurer (since
Age: 43 March 1999) of HarbourView Asset Management
Corporation, Shareholder Services, Inc.,
Oppenheimer Real Asset Management
Corporation, Shareholder Financial Services,
Inc., Oppenheimer Partnership Holdings, Inc.,
OFI Private Investments, Inc. (since March
2000), OppenheimerFunds International Ltd.
and OppenheimerFunds plc (offshore fund
management subsidiaries of the Manager)
(since May 2000) and OFI Institutional Asset
Management, Inc. (since November 2000);
Treasurer and Chief Financial Officer (since
May 2000) of Oppenheimer Trust Company (a
trust company subsidiary of the Manager);
Assistant Treasurer (since March 1999) of
Oppenheimer Acquisition Corp. and
OppenheimerFunds Legacy Program (since April
2000); formerly Principal and Chief Operating
Officer (March 1995-March 1999), Bankers
Trust Company-Mutual Fund Services Division.
An officer of 91 portfolios in the
OppenheimerFunds complex.
Robert G. Zack, Senior Vice President (since May 1985) and
Vice President and Secretary General Counsel (since February 2002) of the
(since 2001) Manager; General Counsel and a director
Age: 55 (since November 2001) of OppenheimerFunds
Distributor, Inc.; Senior Vice President and
General Counsel (since November 2001) of
HarbourView Asset Management Corporation;
Vice President and a director (since November
2000) of Oppenheimer Partnership Holdings,
Inc.; Senior Vice President, General Counsel
and a director (since November 2001) of
Shareholder Services, Inc., Shareholder
Financial Services, Inc., OFI Private
Investments, Inc., Oppenheimer Trust Company
and OFI Institutional Asset Management, Inc.;
General Counsel (since November 2001) of
Centennial Asset Management Corporation; a
director (since November 2001) of Oppenheimer
Real Asset Management, Inc.; Assistant
Secretary and a director (since November
2001) of OppenheimerFunds International Ltd.;
Vice President (since November 2001) of
OppenheimerFunds Legacy Program; Secretary
(since November 2001) of Oppenheimer
Acquisition Corp.; formerly Acting General
Counsel (November 2001-February 2002) and
Associate General Counsel (May 1981-October
2001) of the Manager; Assistant Secretary of
Shareholder Services, Inc. (May 1985-November
2001), Shareholder Financial Services, Inc.
(November 1989-November 2001);
OppenheimerFunds International Ltd. And
OppenheimerFunds plc (October 1997-November
2001). An officer of 91 portfolios in the
OppenheimerFunds complex.
The Fund's Statement of Additional Information contains additional information
about the Fund's Trustees and is available without charge upon request.
77 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The Board of Trustees of the Fund has determined that Edward
L. Cameron, the Chairman of the Board's Audit Committee, and George C. Bowen, a
member of the Board's Audit Committee, possess the technical attributes
identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as "audit
committee financial experts," and has designated Messrs. Cameron and Bowen as
the Audit Committee's financial experts. Messrs. Cameron and Bowen are
"independent" Trustees pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES - NOT REQUIRED
ITEM 5. NOT APPLICABLE
ITEM 6. RESERVED
ITEM 7. NOT APPLICABLE
ITEM 8. RESERVED
ITEM 9. CONTROLS AND PROCEDURES
(a) Based on their evaluation of registrant's disclosure controls and
procedures (as defined in rule 30a-2(c) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(c)) as of September 30, 2003,
registrant's principal executive officer and principal financial
officer found registrant's disclosure controls and procedures to be
appropriately designed to ensure that information required to be
disclosed by registrant in the reports that it files under the
Securities Exchange Act of 1934 (a) is accumulated and communicated to
registrant's management, including its principal executive officer and
principal financial officer, to allow timely decisions regarding
required disclosure, and (b) is recorded, processed, summarized and
reported, within the time periods specified in the rules and forms
adopted by the U.S. Securities and Exchange Commission.
(b) There have been no significant changes in registrant's internal
controls or in other factors that could significantly affect
registrant's internal controls subsequent to the date of the most
recent evaluation as indicated, including no significant deficiencies
or material weaknesses that required corrective action.
ITEM 10. EXHIBITS.
(A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)