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 811-21268
Oppenheimer Total Return Bond Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices)
(Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
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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: April 30
Date of reporting period: May 1, 2003 - October 31, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
STATEMENT OF INVESTMENTS October 31, 2003 / Unaudited
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Principal Market Value
Amount See Note 1
- -----------------------------------------------------------------------------------
Asset-Backed Securities--16.8%
- -----------------------------------------------------------------------------------
Bank One Auto Securitization Trust, Automobile Receivables,
Series 2003-1, Cl A2, 1.29%, 8/21/06 $ 190,000 $ 189,518
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BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2003-A,
Cl. A2, 1.45%, 11/25/05 270,000 270,266
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Capital Auto Receivables Asset Trust,
Automobile Mtg.-Backed Nts.,
Series 2003-2, Cl. A2A, 1.20%, 5/16/05 180,000 179,885
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Caterpillar Financial Asset Trust,
Equipment Loan Pass-Through
Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 110,000 109,984
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Centex Home Equity Co. LLC, Home Equity Loan
Asset-Backed Certificates:
Series 2003-A, Cl. AF1, 1.836%, 10/25/17 41,715 41,750
Series 2003-B, Cl. AF1, 1.64%, 2/25/18 52,666 52,631
Series 2003-C, Cl. AF1, 2.14%, 7/25/18 1 207,152 207,629
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Chase Funding Mortgage Loan Asset-Backed Certificates,
Home Equity
Mtg. Obligations:
Series 2003-3, Cl. 1A1, 1.20%, 8/25/17 2 82,591 82,587
Series 2003-4, Cl. 1A1, 1.24%, 9/25/17 1,2 174,344 174,358
- -----------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan
Pass-Through Certificates:
Series 2003-A, Cl. A2, 1.26%, 1/16/06 70,000 69,967
Series 2003-B, Cl. A2, 1.287%, 3/15/06 80,000 79,939
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CitiFinancial Mortgage Securities, Inc.,
Home Equity Collateralized
Mtg. Obligations:
Series 2003-1, Cl. AF1, 1.94%, 1/25/33 77,472 77,555
Series 2003-2, Cl. AF1, 1.22%, 5/25/33 2 91,456 91,444
Series 2003-3, Cl. AF1, 1.24%, 8/25/33 1,2 173,147 173,146
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DaimlerChrysler Auto Trust, Automobile Loan
Pass-Through Certificates:
Series 2002-B, Cl. A2, 2.20%, 4/6/05 21,629 21,679
Series 2003-A, Cl. A2, 1.52%, 12/8/05 1 320,000 320,324
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Harley-Davidson Motorcycle Trust, Motorcycle
Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/16/07 61,844 62,049
Series 2003-3, Cl. A1, 1.50%, 1/15/08 308,047 308,356
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Honda Auto Receivables Owner Trust, Automobile
Receivables Obligations:
Series 2003-2, Cl. A2, 1.34%, 12/21/05 191,000 190,999
Series 2003-3, Cl. A2, 1.52%, 4/21/06 1 360,000 360,281
Series 2003-4, Cl. A2, 1.52%, 7/17/06 330,000 329,892
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Nissan Auto Lease Trust, Auto Lease Obligations,
Series 2003-A,
Cl. A2, 1.69%, 12/15/05 220,000 220,029
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Nissan Auto Receivables Owner Trust, Automobile
Receivable Nts.:
Series 2002-C, Cl. A3, 2.60%, 8/15/06 350,000 353,302
Series 2003-B, Cl. A2, 1.20%, 11/15/05 260,000 259,789
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Residential Funding Mortgage Securities II,
Inc., Home Equity Loan
Pass-Through Certificates, Series 2003-HS1,
Cl. AI2, 1.22%, 1/25/33 2 100,662 100,695
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Toyota Auto Receivables Owner Trust,
Automobile Mtg.-Backed Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 98,760 100,150
Series 2003-A, Cl. A2, 1.28%, 8/15/05 260,000 260,063
Series 2003-B, Cl. A2, 1.43%, 2/15/06 1 240,000 239,891
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USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 140,000 141,055
Series 2003-1, Cl. A2, 1.22%, 4/17/06 150,000 149,878
8 | OPPENHEIMER TOTAL RETURN BOND FUND
Principal Market Value
Amount See Note 1
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Asset-Backed Securities Continued
- -----------------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust,
Automobile Loan Receivables:
Series 2003-1, Cl. A2, 1.11%, 12/20/05 $ 330,000 $ 329,456
Series 2003-2, Cl. A2, 1.55%, 6/20/06 190,000 189,911
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Whole Auto Loan Trust, Automobile Loan Receivables:
Series 2002-1, Cl. A2, 1.88%, 6/15/05 299,097 299,953
Series 2003-1, Cl. A2A, 1.40%, 4/15/06 340,000 339,935
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Total Asset-Backed Securities (Cost $6,377,579) 6,378,346
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Mortgage-Backed Obligations--47.1%
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Government Agency--44.2%
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FHLMC/FNMA/Sponsored--44.2%
Federal Home Loan Mortgage Corp.:
5%, 11/1/33 3 464,000 456,750
7%, 9/1/33 219,837 231,336
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment
Conduit Multiclass Pass-Through Certificates:
Series 2500, Cl. FD, 1.62%, 3/15/32 2 89,486 89,783
Series 2526, Cl. FE, 1.52%, 6/15/29 2 73,120 72,986
Series 2551, Cl. FD, 1.52%, 1/15/33 2 65,705 65,983
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Federal Home Loan Mortgage Corp., Structured Pass-Through
Securities,
Collateralized Mtg. Obligations:
Series H003, Cl. A2, 1.88%, 1/15/07 3,120 3,122
Series H006, Cl. A1, 1.724%, 4/15/08 52,599 52,539
Series T-42, Cl. A2, 5.50%, 2/25/42 52,045 53,030
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Federal National Mortgage Assn.:
5%, 11/1/33 3 727,000 717,231
5.50%, 11/25/18-11/14/33 3 2,739,000 2,774,225
6%, 11/25/18 3 700,000 728,218
6.50%, 11/25/18-11/25/33 3 5,300,000 5,513,344
7%, 9/1/33-11/1/33 119,974 126,424
7%, 11/25/33 3 5,204,000 5,480,463
8.50%, 7/1/32 27,937 30,074
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Federal National Mortgage Assn., Collateralized Mtg.
Obligations,
Trust 2003-21, Cl. FK, 1.52%, 3/25/33 2 201,187 201,837
- -----------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg.
Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates,
Trust 2002-77, Cl. WF, 1.52%, 12/18/32 2 113,731 114,080
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Federal National Mortgage Assn.,
Interest-Only Stripped Mtg.-Backed Security:
Trust 222, Cl. 2, 1.25%, 6/1/23 4 285,188 47,172
Trust 240, Cl. 2, 1.073%, 9/1/23 4 113,395 19,728
Trust 321, Cl. 2, (4.745)%, 3/1/32 4 139,274 23,203
-------------
16,801,528
9 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- -----------------------------------------------------------------------------------
Private--2.9%
- -----------------------------------------------------------------------------------
Commercial--2.2%
Bear Stearns Commercial Mortgage Securities,
Inc., Commercial Mtg.
Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 $ 261,341 $ 260,832
- -----------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp.,
Commercial Mtg. Obligations,
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 215,739
- -----------------------------------------------------------------------------------
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial
Mtg. Pass-Through Certificates, Series 2003-ML1A,
Cl. A1, 3.972%, 3/12/39 157,861 157,367
- -----------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC,
Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2,
7.306%, 10/6/15 182,000 209,293
-------------
843,231
- -----------------------------------------------------------------------------------
Other--0.2%
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 1 90,000 89,888
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Residential--0.5%
Washington Mutual Mortgage Securities Corp.,
Collateralized Mtg.
Obligations Pass-Through Certificates,
Series 2003-AR7,
Cl. A1, 1.51%, 8/25/33 2 167,052 166,819
-------------
Total Mortgage-Backed Obligations (Cost $17,893,974) 17,901,466
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U.S. Government Obligations--33.6%
- -----------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
4.50%, 1/15/13-7/15/13 1,100,000 1,082,241
5.50%, 7/15/06 1,800,000 1,941,323
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Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 1,150,000 1,199,152
5.50%, 2/15/06 550,000 589,646
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Freddie Mac Unsec. Nts., 6.875%, 9/15/10 300,000 347,641
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Tennessee Valley Authority Bonds, 5.375%, 11/13/08 110,000 118,860
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U.S. Treasury Bonds:
4.25%, 8/15/13 278,000 276,958
5.375%, 2/15/31 257,000 265,664
5.50%, 8/15/28 1,115,000 1,151,587
6.875%, 8/15/25 1,310,000 1,588,324
STRIPS, 3.23%, 2/15/11 5,6 498,000 369,499
STRIPS, 3.81%, 2/15/13 5 1,321,000 869,205
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U.S. Treasury Nts.:
1.125%, 6/30/05 1,900,000 1,884,787
3.125%, 9/15/08 18,000 17,923
5.75%, 8/15/10 500,000 559,454
7%, 7/15/06 450,000 506,004
-------------
Total U.S. Government Obligations (Cost $13,104,121) 12,768,268
- -----------------------------------------------------------------------------------
Foreign Government Obligations--0.2%
- -----------------------------------------------------------------------------------
United Mexican States Nts., 7.50%, 1/14/12 (Cost $83,420) 75,000 84,000
10 | OPPENHEIMER TOTAL RETURN BOND FUND
Principal Market Value
Amount See Note 1
- -----------------------------------------------------------------------------------
Corporate Bonds and Notes--20.2%
- -----------------------------------------------------------------------------------
Consumer Discretionary--5.2%
- -----------------------------------------------------------------------------------
Auto Components--0.2%
Delphi Corp., 6.55% Nts., 6/15/06 $ 80,000 $ 85,295
- -----------------------------------------------------------------------------------
Automobiles--2.4%
DaimlerChrysler NA Holding Corp., 6.40% Nts., 5/15/06 170,000 181,835
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Ford Motor Co., 7.45% Bonds, 7/16/31 110,000 99,083
- -----------------------------------------------------------------------------------
General Motors Acceptance Corp., 6.875%
Unsec. Unsub. Nts., 8/28/12 310,000 318,295
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General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 95,000 100,515
- -----------------------------------------------------------------------------------
Hertz Corp. (The), 7.625% Sr. Nts., 6/1/12 200,000 201,355
-------------
901,083
- -----------------------------------------------------------------------------------
Household Durables--0.1%
Pulte Homes, Inc., 8.375% Sr. Nts., 8/15/04 35,000 36,232
- -----------------------------------------------------------------------------------
Media--2.0%
British Sky Broadcasting Group plc, 8.20%
Sr. Unsec. Nts., 7/15/09 65,000 75,834
- -----------------------------------------------------------------------------------
Liberty Media Corp., 3.50% Nts., 9/25/06 90,000 88,955
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News America Holdings, Inc., 7.75% Sr.
Unsec. Debs., 12/1/45 130,000 149,604
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TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 220,000 286,222
- -----------------------------------------------------------------------------------
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 90,000 112,833
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Time Warner Entertainment Co. LP, 8.375% Sr. Debs., 3/15/23 40,000 48,820
-------------
762,268
- -----------------------------------------------------------------------------------
Multiline Retail--0.3%
Sears Roebuck Acceptance Corp., 3.03% Nts.,
Series VII, 2/25/04 2 115,000 115,218
- -----------------------------------------------------------------------------------
Specialty Retail--0.2%
Gap, Inc. (The), 6.90% Nts., 9/15/07 80,000 87,400
- -----------------------------------------------------------------------------------
Consumer Staples--1.2%
- -----------------------------------------------------------------------------------
Food & Staples Retailing--1.2%
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 135,000 152,888
- -----------------------------------------------------------------------------------
Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 135,000 155,268
- -----------------------------------------------------------------------------------
Safeway, Inc., 3.80% Sr. Unsec. Nts., 8/15/05 150,000 153,146
-------------
461,302
- -----------------------------------------------------------------------------------
Energy--0.4%
- -----------------------------------------------------------------------------------
Oil & Gas--0.4%
Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 60,000 70,050
- -----------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts.,
Series B, 6/1/13 7 65,000 63,311
-------------
133,361
- -----------------------------------------------------------------------------------
Financials--4.2%
- -----------------------------------------------------------------------------------
Capital Markets--0.4%
Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 15,000 17,167
- -----------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (USA),
6.125% Nts., 11/15/11 140,000 151,538
-------------
168,705
11 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
Principal Market Value
Amount See Note 1
- -----------------------------------------------------------------------------------
Commercial Banks--0.4%
Household Finance Corp., 7% Nts., 5/15/12 $ 130,000 $ 147,879
- -----------------------------------------------------------------------------------
Diversified Financial Services--1.1%
American Honda Finance Corp., 3.85% Nts., 11/6/08 3 50,000 49,995
- -----------------------------------------------------------------------------------
CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 75,000 87,669
- -----------------------------------------------------------------------------------
Franklin Resources, Inc., 3.70% Nts., 4/15/08 50,000 49,909
- -----------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 3.375% Nts., Series B, 9/14/07 105,000 105,538
- -----------------------------------------------------------------------------------
Morgan Stanley, 6.60% Nts., 4/1/12 70,000 78,071
- -----------------------------------------------------------------------------------
NiSource Finance Corp., 3.20% Nts., 11/1/06 30,000 30,059
-------------
401,241
- -----------------------------------------------------------------------------------
Insurance--1.7%
AXA Group, 8.60% Unsec. Sub. Nts., 12/15/30 90,000 111,302
- -----------------------------------------------------------------------------------
Hartford Financial Services Group, Inc.
(The), 2.375% Nts., 6/1/06 50,000 49,492
- -----------------------------------------------------------------------------------
John Hancock Global Funding II, 7.90% Nts., 7/2/10 7 140,000 166,352
- -----------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 7 105,000 127,360
- -----------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 7 145,000 176,732
-------------
631,238
- -----------------------------------------------------------------------------------
Real Estate--0.6%
EOP Operating LP, 6.763% Sr. Unsec. Nts., 6/15/07 98,000 108,365
- -----------------------------------------------------------------------------------
Shopping Center Associates, 6.75% Sr.
Unsec. Nts., 1/15/04 7 30,000 30,304
- -----------------------------------------------------------------------------------
Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 100,000 105,707
-------------
244,376
- -----------------------------------------------------------------------------------
Health Care--0.4%
- -----------------------------------------------------------------------------------
Health Care Providers & Services--0.4%
Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 60,000 66,306
- -----------------------------------------------------------------------------------
Health Net, Inc., 8.375% Sr. Unsec. Unsub. Nts., 4/15/11 75,000 88,825
-------------
155,131
- -----------------------------------------------------------------------------------
Industrials--3.0%
- -----------------------------------------------------------------------------------
Aerospace & Defense--1.2%
Boeing Capital Corp., 7.375% Sr. Nts., 9/27/10 200,000 227,635
- -----------------------------------------------------------------------------------
Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 75,000 86,307
- -----------------------------------------------------------------------------------
Raytheon Co., 6.50% Unsec. Nts., 7/15/05 120,000 128,514
-------------
442,456
- -----------------------------------------------------------------------------------
Commercial Services & Supplies--0.4%
Allied Waste North America, Inc., 10% Sr. Unsec.
Sub. Nts., Series B, 8/1/09 60,000 65,550
- -----------------------------------------------------------------------------------
Waste Management, Inc., 7% Sr. Nts., 7/15/28 70,000 75,214
-------------
140,764
- -----------------------------------------------------------------------------------
Industrial Conglomerates--1.2%
General Electric Capital Corp., 2.75% Nts.,
Series A, 9/25/06 40,000 40,039
- -----------------------------------------------------------------------------------
Hutchison Whampoa International Ltd., 6.50% Nts., 2/13/13 7 95,000 99,153
12 | OPPENHEIMER TOTAL RETURN BOND FUND
Principal Market Value
Amount See Note 1
- -----------------------------------------------------------------------------------
Industrial Conglomerates Continued
Tyco International Group SA, 6.75% Sr.
Unsub. Nts., 2/15/11 $ 300,000 $ 320,625
-------------
459,817
- -----------------------------------------------------------------------------------
Road & Rail--0.2%
CSX Corp., 6.25% Unsec. Nts., 10/15/08 85,000 93,401
- -----------------------------------------------------------------------------------
Materials--0.4%
- -----------------------------------------------------------------------------------
Paper & Forest Products--0.4%
Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 130,000 135,494
- -----------------------------------------------------------------------------------
Telecommunication Services--2.4%
- -----------------------------------------------------------------------------------
Diversified Telecommunication Services--1.9%
British Telecommunications plc, 7.875% Nts., 12/15/05 120,000 132,948
- -----------------------------------------------------------------------------------
Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 65,000 81,266
- -----------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50%
Unsub. Nts., 6/15/10 125,000 150,674
- -----------------------------------------------------------------------------------
France Telecom SA:
9% Sr. Unsec. Nts., 3/1/11 50,000 60,422
9.75% Sr. Unsec. Nts., 3/1/31 2 55,000 72,839
- -----------------------------------------------------------------------------------
Sprint Capital Corp., 8.75% Nts., 3/15/32 145,000 165,488
- -----------------------------------------------------------------------------------
Telefonos de Mexico SA, 8.25% Sr. Unsec. Nts., 1/26/06 75,000 83,344
-------------
746,981
- -----------------------------------------------------------------------------------
Wireless Telecommunication Services--0.5%
AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 140,000 157,180
- -----------------------------------------------------------------------------------
Rogers Wireless Communications, Inc., 9.625%
Sr. Sec. Nts., 5/1/11 21,000 24,465
-------------
181,645
- -----------------------------------------------------------------------------------
Utilities--3.0%
- -----------------------------------------------------------------------------------
Electric Utilities--2.3%
AEP Resources, Inc., 6.50% Sr. Nts., 12/1/03 7 135,000 135,432
- -----------------------------------------------------------------------------------
CenterPoint Energy, Inc., 5.875% Nts., 6/1/08 7 105,000 108,169
- -----------------------------------------------------------------------------------
Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 80,000 95,807
- -----------------------------------------------------------------------------------
DTE Energy Co., 6.375% Sr. Nts., 4/15/33 85,000 84,996
- -----------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 5.875% Sr. Nts., 10/1/12 130,000 134,741
- -----------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 55,000 56,779
- -----------------------------------------------------------------------------------
Progress Energy, Inc., 6.55% Sr. Unsec. Nts., 3/1/04 175,000 177,848
- -----------------------------------------------------------------------------------
TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 65,000 73,613
-------------
867,385
- -----------------------------------------------------------------------------------
Gas Utilities--0.7%
El Paso Natural Gas Co., 6.75% Unsec. Unsub.
Nts., 11/15/03 1 25,000 25,000
- -----------------------------------------------------------------------------------
Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 90,000 99,291
- -----------------------------------------------------------------------------------
NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 125,000 148,110
- -----------------------------------------------------------------------------------
NorAm Energy Corp., 6.375% Unsec. Term Enhanced
Remarketable Nts., 11/1/03 13,000 13,000
-------------
285,401
-------------
Total Corporate Bonds and Notes (Cost $7,646,663) 7,684,073
13 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
Market Value
Shares See Note 1
- -----------------------------------------------------------------------------------
Common Stocks--3.3%
- -----------------------------------------------------------------------------------
iShares GS$ InvesTop Corp. Bond Fund (Cost $1,248,186) 11,400 $ 1,255,710
Principal
Amount
- -----------------------------------------------------------------------------------
Structured Notes--5.5%
- -----------------------------------------------------------------------------------
Bank of New York (The), Core Investment Grade Bond Trust I
Pass-Through Certificates, Series 2002-1,
4.727%, 11/30/07 $1,000,000 1,036,415
- -----------------------------------------------------------------------------------
JPMorgan Chase Bank, High Yield Index BB Linked
Nts., 6.40%, 6/20/08 1,050,000 1,047,375
-------------
Total Structured Notes (Cost $2,041,511) 2,083,790
- -----------------------------------------------------------------------------------
Joint Repurchase Agreements--14.4% 8
- -----------------------------------------------------------------------------------
Undivided interest of 3.64% in joint repurchase agreement
(Principal Amount/Market Value $149,808,000, with a
maturity value of $149,820,109) with Banc One Capital
Markets, Inc., 0.97%, dated 10/31/03, to be repurchased at
$5,455,441 on 11/3/03, collateralized by U.S. Treasury
Bonds, 3.625%--9%, 3/31/04--8/15/23, with a value of
$152,949,680 (Cost $5,455,000) 5,455,000 5,455,000
- -----------------------------------------------------------------------------------
Total Investments, at Value (Cost $53,850,454) 141.1% 53,610,653
- -----------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (41.1) (15,628,066)
-----------------------
Net Assets 100.0% $37,982,587
=======================
<FN>
Footnotes to Statement of Investments
1. Identifies issues considered to be illiquid. See Note 7 of Notes to Financial
Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. When-issued security to be delivered and settled after October 31, 2003. See
Note 1 of Notes to Financial Statements.
4. 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 $90,103 or 0.24% of the Fund's net assets as
of October 31, 2003.
5. Zero coupon bond reflects effective yield on the date of purchase.
6. Securities with an aggregate market value of $237,429 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
7. 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 $906,813 or 2.39% of the Fund's net assets
as of October 31, 2003.
8. The Fund may have elements of risk due to concentrated investments. Such
concentrations may subject the Fund to additional risks.
</FN>
See accompanying Notes to Financial Statements.
14 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
October 31, 2003
- ----------------------------------------------------------------------------------
Assets
- -----------------------------------------------------------------------------------
Investments, at value (including cost and market value of $5,455,000 in
repurchase agreements) (cost $53,850,454)--see accompanying statement $53,610,653
- -----------------------------------------------------------------------------------
Cash 660
- -----------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $1,176,183 sold on a when-issued basis) 1,176,183
Interest, dividends and principal paydowns 376,814
Shares of beneficial interest sold 84,372
Other 2,010
------------
Total assets 55,250,692
- -----------------------------------------------------------------------------------
Liabilities
- -----------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $16,918,409 purchased
on a when-issued basis) 17,150,363
Dividends 69,943
Shares of beneficial interest redeemed 22,352
Shareholder reports 5,735
Futures margins 4,744
Transfer and shareholder servicing agent fees 2,102
Distribution and service plan fees 1,681
Trustees' compensation 1,093
Other 10,092
------------
Total liabilities 17,268,105
- -----------------------------------------------------------------------------------
Net Assets $37,982,587
============
- -----------------------------------------------------------------------------------
Composition of Net Assets
- -----------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 3,788
- -----------------------------------------------------------------------------------
Additional paid-in capital 37,975,895
- -----------------------------------------------------------------------------------
Undistributed net investment income 9,859
- -----------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions 329,427
- -----------------------------------------------------------------------------------
Net unrealized depreciation on investments (336,382)
------------
Net Assets $37,982,587
============
15 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Net Asset Value Per Share
- --------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net
assets of $33,289,731 and 3,320,140 shares of beneficial interest
outstanding) $10.03
Maximum offering price per share (net asset value plus sales
charge of 4.75% of offering price) $10.53
- --------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $2,584,366 and 257,755 shares of beneficial interest
outstanding) $10.03
- --------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $1,696,975 and 169,295 shares of beneficial interest
outstanding) $10.02
- --------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $411,515 and 41,026 shares of beneficial interest
outstanding) $10.03
See accompanying Notes to Financial Statements.
16 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended October 31, 2003
- -----------------------------------------------------------------------------------
Investment Income
- -----------------------------------------------------------------------------------
Interest $540,240
- -----------------------------------------------------------------------------------
Dividends 31,941
---------
Total investment income 572,181
- -----------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------
Management fees 86,136
- -----------------------------------------------------------------------------------
Distribution and service plan fees:
Class A (3,808)
Class B 10,867
Class C 5,793
Class N 548
- -----------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 5,317
Class B 4,245
Class C 1,794
Class N 113
- -----------------------------------------------------------------------------------
Legal, auditing and other professional fees 11,188
- -----------------------------------------------------------------------------------
Trustees' compensation 5,539
- -----------------------------------------------------------------------------------
Shareholder reports 4,015
- -----------------------------------------------------------------------------------
Custodian fees and expenses 924
- -----------------------------------------------------------------------------------
Other 1,045
---------
Total expenses 133,716
Less voluntary reimbursement of expenses (4,584)
Less voluntary waiver of transfer and shareholder
servicing agent fees--Class A (26)
Less voluntary waiver of transfer and shareholder
servicing agent fees--Class B (395)
Less voluntary waiver of transfer and shareholder
servicing agent fees--Class C (3)
---------
Net expenses 128,708
- -----------------------------------------------------------------------------------
Net Investment Income 443,473
- -----------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -----------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (610)
Closing of futures contracts 330,797
Foreign currency transactions (42)
---------
Net realized gain 330,145
- -----------------------------------------------------------------------------------
Net change in unrealized depreciation on:
Investments (503,442)
Futures contracts (59,572)
---------
Net change in unrealized depreciation (563,014)
- -----------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $210,604
=========
See accompanying Notes to Financial Statements.
17 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Period
Ended Ended
October 31, 2003 April 30,
(Unaudited) 2003 1
- ------------------------------------------------------------------------------------
Operations
- ------------------------------------------------------------------------------------
Net investment income $ 443,473 $ 87,633
- ------------------------------------------------------------------------------------
Net realized gain (loss) 330,145 (718)
- ------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) (563,014) 226,632
---------------------------
Net increase in net assets resulting from operations 210,604 313,547
- ------------------------------------------------------------------------------------
Dividends and/or Distributions to Shareholders
- ------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (411,596) (87,071)
Class B (18,891) (550)
Class C (10,534) (143)
Class N (2,305) (16)
- ------------------------------------------------------------------------------------
Beneficial Interest Transactions
- ------------------------------------------------------------------------------------
Net increase in net assets resulting from beneficial interest transactions:
Class A 5,885,602 27,282,368
Class B 1,810,847 790,499
Class C 1,319,078 383,530
Class N 394,196 20,422
- ------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------
Total increase 9,177,001 28,702,586
- ------------------------------------------------------------------------------------
Beginning of period 28,805,586 103,000 2
---------------------------
End of period [including undistributed net investment
income of $9,859 and $9,712, respectively] $37,982,587 $28,805,586
===========================
<FN>
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Reflects the value of the Manager's initial seed money investment on February
6, 2003.
</FN>
See accompanying Notes to Financial Statements.
18 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Class A Class B
Six Months Period Six Months Period
Ended Ended Ended Ended
October 31, 2003 April 30, October 31, 2003 April 30,
(Unaudited) 2003 1 (Unaudited) 2003 1
- -----------------------------------------------------------------------------------------------
Per Share Operating Data
- -----------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.08 $ 10.00 $ 10.08 $10.00
- -----------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .14 .03 .08 .02
Net realized and unrealized gain (loss) (.05) .08 (.05) .08
-------------------------------------------------
Total from investment operations .09 .11 .03 .10
- -----------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.14) (.03) (.08) (.02)
- -----------------------------------------------------------------------------------------------
Net asset value, end of period $10.03 $10.08 $10.03 $10.08
=================================================
- -----------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 2 0.86% 1.14% 0.34% 0.97%
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $33,290 $27,598 $2,584 $798
- -----------------------------------------------------------------------------------------------
Average net assets (in thousands) $30,682 $26,027 $2,166 $340
- -----------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 2.66% 1.77% 1.73% 0.85%
Total expenses 0.65% 1.29% 1.97% 2.36%
Expenses after expense reimbursement or fee
waiver and reduction to custodian expenses N/A4 0.90% 1.64% 1.65%
- -----------------------------------------------------------------------------------------------
Portfolio turnover rate 97% 77% 97% 77%
<FN>
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value 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 a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
4. Voluntary waiver of transfer agent fees less than 0.01%.
</FN>
See accompanying Notes to Financial Statements.
19 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
Class C Class N
Six Months Period Six Months Period
Ended Ended Ended Ended
October 31, 2003 April 30, October 31, 2003 April 30,
(Unaudited) 2003 1 (Unaudited) 2003 1
- --------------------------------------------------------------------------------------------
Per Share Operating Data
- --------------------------------------------------------------------------------------------
Net asset value, beginning of period $10.08 $10.00 $10.08 $10.00
- --------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 .02 .11 .03
Net realized and unrealized gain (loss) (.06) .08 (.05) .08
----------------------------------------------
Total from investment operations .02 .10 .06 .11
- --------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.08) (.02) (.11) (.03)
- --------------------------------------------------------------------------------------------
Net asset value, end of period $10.02 $10.08 $10.03 $10.08
==============================================
- --------------------------------------------------------------------------------------------
Total Return, at Net Asset Value 2 0.25% 0.96% 0.59% 1.08%
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $1,697 $388 $412 $22
- --------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,156 $126 $220 $ 6
- --------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 1.81% 0.59% 2.08% 1.50%
Total expenses 1.89% 2.28% 1.16% 2.63%
Expenses after expense reimbursement or fee
waiver and reduction to custodian expenses 1.65% 1.65% 1.14% 1.15%
- --------------------------------------------------------------------------------------------
Portfolio turnover rate 97% 77% 97% 77%
<FN>
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value 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 a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
</FN>
See accompanying Notes to Financial Statements.
20 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies
Oppenheimer Total Return Bond Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek to maximize total return through both
capital appreciation and income. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager).
The Fund offers Class A, Class B, Class C and Class N 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. 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. 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 index-linked structured notes whose
principal and/or interest depend on the performance of an underlying index. The
structured notes are leveraged, which increases the volatility of each note's
market value relative to the change in the 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 matures. As of October 31, 2003, the market value
of these securities comprised 5.5% of the Fund's net assets, and resulted in
unrealized gains of $42,279.
21 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies Continued
Securities on a When-Issued Basis. Delivery and payment for securities that have
been purchased by the Fund on a when-issued 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
when-issued 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 October 31, 2003, the Fund had entered into when-issued purchase
commitments of $16,918,409. Additionally, the Fund had when-issued sale
commitments of $1,176,183.
In connection with its ability to purchase securities on a when-issued 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 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.
- --------------------------------------------------------------------------------
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
22 | OPPENHEIMER TOTAL RETURN BOND FUND
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.
As of October 31, 2003, the Fund had available for federal income tax
purposes an estimated unused capital loss carryforward of zero. This estimated
capital loss carryforward represents carryforward as of the end of the last
fiscal year, increased for losses deferred under tax accounting rules to the
current fiscal year and is increased or decreased by capital losses or gains
realized in the first six months of the current fiscal year. During the six
months ended October 31, 2003 and the period ended April 30, 2003, the Fund did
not use carryforward to offset capital gains realized.
The tax character of distributions paid during the six months ended October 31,
2003 and the year ended April 30, 2003 was as follows:
Six Months Ended Period Ended
October 31, 2003 April 30, 2003 1
-------------------------------------------------------
Distributions paid from:
Ordinary income $443,326 $87,780
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
23 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. Significant Accounting Policies Continued
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.
- --------------------------------------------------------------------------------
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
Six Months Ended October 31, 2003 Period Ended April 30, 2003 1,2
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------
Class A
Sold 668,982 $6,757,818 2,736,090 $ 27,361,875
Dividends and/or
distributions reinvested 6,709 67,250 275 2,768
Redeemed (93,688) (939,466) (8,228) (82,275)
-------------------------------------------------------
Net increase 582,003 $5,885,602 2,728,137 $27,282,368
=======================================================
- -------------------------------------------------------------------------------------
Class B
Sold 227,859 $2,305,078 88,955 $ 888,971
Dividends and/or
distributions reinvested 1,657 16,617 36 365
Redeemed (50,956) (510,848) (9,896) (98,837)
-------------------------------------------------------
Net increase 178,560 $1,810,847 79,095 $ 790,499
=======================================================
- -------------------------------------------------------------------------------------
Class C
Sold 151,632 $1,528,032 39,178 $ 391,527
Dividends and/or
distributions reinvested 1,025 10,274 10 103
Redeemed (21,845) (219,228) (805) (8,100)
-------------------------------------------------------
Net increase 130,812 $1,319,078 38,383 $ 383,530
=======================================================
- -------------------------------------------------------------------------------------
Class N
Sold 53,465 $ 539,481 2,032 $ 20,408
Dividends and/or
distributions reinvested 232 2,327 1 14
Redeemed (14,804) (147,612) -- --
-------------------------------------------------------
Net increase 38,893 $ 394,196 2,033 $ 20,422
=======================================================
<FN>
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. The Fund sold 10,000 shares of Class A and 100 shares of Class B, Class C and
Class N to the Manager upon seeding of the Fund on February 6, 2003.
</FN>
24 | OPPENHEIMER TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the six months ended October 31, 2003, were
$47,875,405 and $39,326,344, respectively.
- --------------------------------------------------------------------------------
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 0.50% of the first $250 million of average annual net assets of
the Fund, 0.475% of the next $500 million, and 0.45% of average annual net
assets in excess of $750 million. The Manager has voluntarily agreed to waive
fees and reimburse expenses such that "Total Annual Operating Expenses" will not
exceed 0.90% for Class A shares, 1.65% for Class B Shares, 1.65% for Class C
shares, and 1.15% for Class N shares, respectively. The voluntary waivers
described above may be amended or withdrawn at any time. For the six months
ended October 31, 2003, management fees in the amount of $4,584 were voluntarily
waived by the Manager.
- --------------------------------------------------------------------------------
Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended October 31, 2003, the Fund paid
$9,231 to OFS for services to the Fund.
OFS has voluntarily agreed to limit transfer and shareholder servicing agent
fees for all classes, up to an annual rate of 0.35% of average net assets per
class. This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
Offering and Organizational Costs. The Manager paid all offering and
organizational costs associated with the registration and seeding of the Fund.
- --------------------------------------------------------------------------------
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
Six Months on Class A Retained by Advanced by Advanced by Advanced by Advanced by
Ended Shares Distributor Distributor 1 Distributor 1 Distributor 1 Distributor 1
- -----------------------------------------------------------------------------------------------------
October 31, 2003 $56,843 $10,497 $18,213 $1,101,861 $140,640 $32,876
<FN>
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.
</FN>
25 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. Fees and Other Transactions with Affiliates Continued
Class A Class B Class C Class N
Contingent Contingent Contingent Contingent
Deferred Deferred Deferred Deferred
Sales Charges Sales Charges Sales Charges Sales Charges
Six Months Retained by Retained by Retained by Retained by
Ended Distributor Distributor Distributor Distributor
- --------------------------------------------------------------------------------
October 31, 2003 $433 $2,413 $322 $914
- --------------------------------------------------------------------------------
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 six months ended October 31, 2003, expense
under the Class A Plan totaled $(3,808) which is comprised of a decrease in
estimated prior period expenses of $7,880 and $4,072 in expenses for anticipated
current period payments by the Distributor to recipients. 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 six months ended October 31,
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 $10,867 $10,255 $72,326 2.80%
Class C Plan 5,793 5,427 22,562 1.33
Class N Plan 548 520 7,316 1.78
- --------------------------------------------------------------------------------
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
26 | OPPENHEIMER TOTAL RETURN BOND FUND
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.
As of October 31, 2003, the Fund had no outstanding foreign currency
contracts.
- --------------------------------------------------------------------------------
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.
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.
27 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. Futures Contracts Continued
As of October 31, 2003, the Fund had outstanding futures contracts as follows:
Expiration Number of Valuation as of Unrealized
Contract Description Dates Contracts October 31, 2003 Depreciation
- -----------------------------------------------------------------------------------------
Contracts to Purchase
U.S. Treasury Nts., 10 yr. 12/19/03 27 $3,032,016 $ 4,617
--------
Contracts to Sell
U.S. Long Bonds 12/19/03 10 1,087,188 37,662
U.S. Treasury Nts., 2 yr. 12/29/03 14 3,002,563 177
U.S. Treasury Nts., 5 yr. 12/19/03 27 3,018,938 54,125
--------
91,964
--------
$96,581
========
- --------------------------------------------------------------------------------
7. Illiquid Securities
As of October 31, 2003, investments in securities included issues that are
illiquid. A security may 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 15% of its net assets (determined at the
time of purchase and reviewed periodically) in illiquid securities. The
aggregate value of illiquid securities subject to this limitation as of October
31, 2003 was $1,590,517, which represents 4.19% of the Fund's net assets.
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8. 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 six
months ended or at October 31, 2003.
28 | OPPENHEIMER TOTAL RETURN BOND FUND
PORTFOLIO PROXY VOTING
POLICIES AND PROCEDURES Unaudited
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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.
29 |OPPENHEIMER TOTAL RETURN BOND FUND
ITEM 2. CODE OF ETHICS
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The Board of Trustees of the Fund has determined that Joseph M. Wikler, the
Chairman of the Board's Audit Committee, possesses the technical attributes
identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an "audit
committee financial expert," and has designated Mr. Wikler as the Audit
Committee's financial expert. Mr. Wikler is an "independent" Trustee 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 October 31, 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)