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 811-09373
Oppenheimer Senior Floating Rate 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
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Date of fiscal year end: July 31
Date of reporting period: August 1, 2003 - January 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
STATEMENT OF INVESTMENTS JANUARY 31, 2004 / UNAUDITED
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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CORPORATE LOANS--108.2%
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CONSUMER DISCRETIONARY--28.5%
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AUTO COMPONENTS--5.2%
Collins & Aikman Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
7.75%, 12/21/05 1 $2,870,699 $ 2,894,923
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Federal Mogul Corp., Sr. Sec. Credit Facilities Term Loan, Debtor in
Possession, Tranche B, 4.125%-4.25%, 2/6/05 1,2 4,000,000 4,040,000
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Goodyear Tire & Rubber Co., Sr. Sec. Credit Facilities Term Loan,
5.125%, 3/28/05 1,2 2,000,000 2,017,500
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Hayes Lemmerz International, Inc., Sr. Sec. Credit Facilities Term Loan,
4.90%-4.98%, 6/3/09 1,2 1,994,998 2,030,538
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Mark IV Industries, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.35%-4.43%, 5/1/07 1,2 3,000,000 3,011,250
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Meridian Automotive Systems, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche A, 4.59%, 7/14/06 1,2 957,309 944,146
Tranche B, 5.59%, 7/14/07 1,2 3,350,157 3,304,093
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Metaldyne Co. LLC, Sr. Sec. Credit Facilities Term Loan, Tranche D,
5.40%-5.413%, 12/31/09 1,2 3,376,918 3,388,879
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Progressive Group of Cos., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.625%, 8/11/07 1,2 2,853,142 2,870,973
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Tenneco Automotive, Inc., Sr. Sec. Credit Facilities Letter of Credit
Term Loan, Tranche B, 4.37%, 12/12/08 1,2 1,551,724 1,577,587
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Tenneco Automotive, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.44%, 12/12/10 1,2 3,448,276 3,505,748
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TRW Automotive, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche D1,
3.688%, 2/28/11 1,2 2,434,783 2,477,391
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32,063,028
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DISTRIBUTORS--0.3%
United Rentals North America, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.09%-4.21%, 8/31/07 1,2 1,826,203 1,837,473
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HOTELS, RESTAURANTS & LEISURE--3.8%
Ameristar Casinos, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.938%, 12/20/06 1,2 2,696,086 2,712,263
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AMF Bowling Worldwide, Inc., Sr. Sec. Credit Facilities Term Loan,
5.50%, 3/15/08 1,2 1,510,523 1,514,930
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CKE Restaurants, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche A,
4.86%, 4/1/08 1,2 1,925,000 1,946,656
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Domino's, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.75%, 6/25/10 1,2 3,482,051 3,539,505
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Green Valley Ranch Station Casino, Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.913%, 12/22/10 1,2 1,500,000 1,518,750
9 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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HOTELS, RESTAURANTS & LEISURE Continued
Jack In The Box, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.87%-3.92%, 1/8/11 1,2 $1,000,001 $ 1,010,625
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Pinnacle Entertainment, Inc., Sr. Sec. Credit Facilities Term Loan,
1.25%-4.60%, 12/15/09 1,2 1,653,334 1,672,277
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Pinnacle Entertainment, Inc., Sr. Sec. Credit Facilities Term Loan,
1.25%, 12/16/09 1,2 346,667 350,639
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Scientific Games Corp., Sr. Sec. Credit Facilities Term Loan, Tranche C,
3.85%, 11/1/09 1,2 4,799,000 4,873,984
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Wyndam International, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche I, 5.875%, 6/30/06 1,2 2,451,805 2,381,316
Tranche II, 6.875%, 6/30/04 1,2 1,939,442 1,898,714
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23,419,659
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HOUSEHOLD DURABLES--0.8%
Simmons Co., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.875%-5.656%, 12/15/11 1,2 2,999,999 3,039,751
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Springs Industries, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.188%, 9/5/08 1,2 1,968,832 1,981,490
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5,021,241
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LEISURE EQUIPMENT & PRODUCTS--0.3%
24 Hour Fitness, Inc., Sr. Sec. Credit Facilities Term Loan,
4.688%-4.75%, 11/4/09 1,2 2,000,000 2,025,001
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MEDIA--16.1%
Adams Outdoor Advertising LP, Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.37%, 2/1/08 1 2,200,625 2,213,004
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AMC Entertainment, Inc., Sr. Sec. Credit Facilities Revolving Credit Loan,
0.451%, 4/10/04 1,2 2,108,333 2,083,735
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American Reprographics Co., Sr. Sec. Credit Facilities 1st Lien Term Loan,
Tranche B, 6/18/09 1,2,5 2,500,000 2,537,500
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American Reprographics Co., Sr. Sec. Credit Facilities 2nd Lien
Term Loan, 8.625%, 12/12/09 1,2 3,000,000 3,067,500
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Carmike Cinemas, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan,
4.438%, 8/15/08 1,2 4,833,333 4,833,333
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Carmike Cinemas, Inc., Sr. Sec. Credit Facilities Term Loan,
7.623%, 3/30/05 1,2 4,963,407 4,995,461
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CBD Media, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.37%, 6/13/10 1,2 1,406,250 1,421,484
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CC VI Operating Co. LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.61%-3.62%, 11/12/08 1 2,787,519 2,704,591
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Century Holdings LLC, Sr. Sec. Credit Facilities Term Loan:
Tranche B, 5.04%, 12/31/09 1,2 2,500,000 2,475,938
Tranche B, 5.902%-9.64%, 6/30/09 1,2 1,500,000 1,486,340
10 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MEDIA Continued
Century-TCI California LP, Sr. Sec. Credit Facilities Revolving Credit Loan,
3.934%, 12/31/07 1,2 $5,000,000 $ 4,938,750
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Century-TCI California LP, Sr. Sec. Credit Facilities Term Loan,
3.934%, 12/31/07 1,2 5,000,000 4,938,750
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Charter Bresnan Cable Communication VIII LLC, Sr. Sec. Credit Facilities
Term Loan, Tranche A, 2.91%, 6/30/07 1,2 1,818,182 1,761,363
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Charter Communications Operating LLC, Sr. Sec. Credit Facilities
Term Loan, Tranche B, 3.87%, 3/18/08 1,2 1,994,924 1,968,878
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Charter Falcon Cable Communication VII LLC, Sr. Sec. Credit Facilities
Term Loan, Tranche C, 3.36%-3.37%, 12/31/07 1,2 989,583 967,730
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Cinemark USA, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche C,
3.69%, 2/15/09 1,2 995,000 1,007,644
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Cinram International, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan,
Tranche C, 6.87%, 4/10/10 1 6,948,093 6,990,435
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Dex Media East LLC, Sr. Sec. Credit Facilities Term Loan, Tranche A,
3.35%-3.48%, 11/8/08 1,2 2,174,401 2,196,144
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Dex Media West LLC, Sr. Sec. Credit Facilities Term Loan:
Tranche A, 9/10/09 1,2,5 2,750,000 2,784,719
Tranche A, 3.85%-3.99%, 9/10/09 1,2 3,892,015 3,941,150
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DirecTV Holdings LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B1,
3.87%-3.92%, 3/6/10 1 2,333,334 2,361,772
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F&W Publications, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.92%, 1/31/10 1,2 2,196,264 2,211,363
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Fisher Broadcasting, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.60%, 2/28/10 1,2 1,311,142 1,313,600
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Frontiervision Operating Partners LP, Sr. Sec. Credit Facilities Term Loan:
Tranche B, 3/31/06 1,2,5 2,000,000 1,988,334
Tranche B, 5.525%, 3/31/06 1,2 4,997,894 4,968,741
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GT Brands LLC, Sr. Sec. Credit Facilities Term Loan, Tranche A,
8.877%-9%, 9/6/07 1,2 1,715,909 1,666,577
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Insight Communications Co., Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 3.938%, 12/31/09 1 1,500,000 1,510,079
Tranche B Add-On, 4%, 12/31/09 1 1,500,000 1,510,079
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Loews Cineplex Entertainment Corp., Sr. Sec. Credit Facilities Term Loan,
4.688%, 3/31/07 1 3,758,498 3,771,025
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Primedia, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.875%-3.938%, 6/30/09 1,2 2,749,752 2,719,504
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R.H. Donnelley Corp., Sr. Sec. Credit Facilities Term Loan, Tranche A,
12/31/08 1,2,5 2,690,429 2,714,210
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Rainbow Media Holdings LLC, Sr. Sec. Credit Facilities Term Loan,
Tranche C, 3.44%, 12/19/09 1,2 1,994,997 2,013,907
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RCN Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 7%, 6/30/07 1,2 734,759 715,165
11 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MEDIA Continued
Regal Cinemas Corp., Sr. Sec. Credit Facilities Term Loan, Tranche D,
3.688%, 6/30/09 1,2 $1,826,056 $ 1,849,261
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United Pan-Europe Communications NV, Sr. Sec. Credit Facilities
Term Loan, Tranche C-2, 6.65%, 3/31/09 1,2,3 7,600,000 7,581,000
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98,209,066
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SPECIALTY RETAIL--1.6%
Hollywood Entertainment Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.60%, 1/20/08 1 5,000,000 5,039,845
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Oriental Trading Co., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.938%, 7/9/09 1,2 4,831,646 4,861,844
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9,901,689
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TEXTILES, APPAREL & LUXURY GOODS--0.4%
Levi Strauss & Co., Sr. Sec. Credit Facilities Term Loan, Tranche A,
8.875%, 9/29/09 1,2 2,000,000 2,068,334
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CONSUMER STAPLES--10.0%
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BEVERAGES--0.3%
Dr Pepper/Seven-Up Cos., Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.61%, 12/19/10 1,2 2,000,000 2,028,334
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FOOD & STAPLES RETAILING--0.9%
Pantry, Inc. (The), Sr. Sec. Credit Facilities Term Loan, Tranche B,
6%, 4/14/07 1 4,831,051 4,933,711
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Pathmark Stores, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.625%-5.688%, 7/15/07 1,2 546,168 549,992
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5,483,703
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FOOD PRODUCTS--5.5%
American Seafoods Group LLC, Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.42%, 3/31/09 1 5,217,145 5,241,603
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Atkins Nutritionals, Inc., Sr. Sec. Credit Facilities Term Loan,
4.40%, 11/26/09 1 5,000,000 5,031,250
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B&G Foods, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.36%-4.52%, 8/26/09 1,2 1,496,250 1,513,083
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Birds Eye Foods, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.85%-3.913%, 6/30/08 1 2,817,044 2,847,857
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Buffets, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.663%, 6/28/09 1 4,141,623 4,156,118
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Del Monte Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.37%-3.42%, 12/20/10 1 2,765,308 2,801,949
12 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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FOOD PRODUCTS Continued
Dole Food Co., Sr. Sec. Credit Facilities Term Loan,
Tranche C, 3.688%-5.50%, 9/28/08 1,2 $ 845,143 $ 858,613
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Land O'Lakes, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.68%, 10/11/08 1,2 2,809,862 2,818,643
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Meow Mix, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan,
4.67%-4.73%, 10/10/09 1,2 2,981,250 2,988,703
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Michael Foods, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche C,
5.214%, 11/20/11 1,2 2,300,000 2,356,063
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Nellson Nutraceutical, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.17%, 10/4/09 1,2 2,962,500 2,984,719
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33,598,601
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HOUSEHOLD PRODUCTS--2.1%
Jarden Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.92%, 4/24/08 1,2 1,995,000 2,011,209
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Playpower, Inc., Sr. Sec. Credit Facilities Term Loan,
5.42%, 2/1/10 1,2 1,850,000 1,856,938
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Playtex Products, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche C, 4.62%-4.72%, 5/31/09 1,2 4,979,798 4,996,919
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Rayovac Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.85%-4.93%, 9/30/09 1,2 1,621,451 1,633,950
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SC Johnson Commercial Markets, Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.87%-3.913%, 11/3/09 1,2 2,310,982 2,336,499
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12,835,515
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PERSONAL PRODUCTS--1.2%
Bombardier Recreational Products Inc.,
Sr. Sec. Credit Facilities Term Loan,
Tranche B, 5.902%, 12/18/10 1,2 2,000,000 2,023,750
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Norwood Promotional Products, Inc., Sr. Sec.
Credit Facilities Term Loan:
Tranche A, 6.50%, 2/28/05 1,2 4,812,463 4,499,653
Tranche B, 2.20%, 2/28/05 1,2 4,258,540 574,903
Tranche C, 2/28/05 1,2,5 182,832 5,485
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7,103,791
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ENERGY--6.6%
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OIL & GAS--6.6%
Alon USA, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 10%, 10/3/10 1 6,000,000 6,090,000
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Aquila Networks Canada Corp., Sr. Sec. Credit Facilities Term Loan,
6.75%, 7/20/04 1,2 8,000,000 8,010,000
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Aquila, Inc., Sr. Sec. Credit Facilities Term Loan,
8%, 5/15/06 1,2 2,047,619 2,119,286
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Basic Energy Services, Inc., Sr. Sec. Credit Facilities Term Loan,
4.61%-4.63%, 10/29/09 1 4,964,285 4,989,107
13 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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OIL & GAS Continued
Citgo Petroleum Corp.,
Sr. Sec. Credit Facilities Term Loan, Tranche B,
8.25%, 2/27/06 1,2 $2,000,000 $ 2,080,000
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Ferrell Cos., Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.228%, 6/17/06 1,2 5,064,162 5,051,501
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Magellan Midstream Partners LP, Sr. Sec. Credit Facilities Term Loan,
Tranche A, 4.60%-4.67%, 6/17/08 1,2 1,368,643 1,385,751
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Tesoro Petroleum Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 6.62%-6.67%, 4/15/08 1,2 3,970,000 4,100,680
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Veritas DGC, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
7%, 2/14/07 1 3,641,887 3,630,506
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Western Refining Co., Sr. Sec. Credit Facilities Term Loan,
6.163%, 8/29/08 1,2 2,940,000 2,984,100
---------------
40,440,931
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FINANCIALS--1.8%
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INSURANCE--1.3%
Conseco, Inc., Sr. Sec. Credit Facilities Term Loan, Debtor in Possession:
Tranche A, 7.25%, 9/10/09 1,2 5,384,615 5,425,000
Tranche B, 9.50%, 9/10/10 1,2 1,615,385 1,631,538
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USI Holding Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.12%, 8/11/08 1,2 995,000 1,004,950
---------------
8,061,488
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REAL ESTATE--0.5%
CB Richard Ellis Services, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.36%-6.164%, 12/31/08 1,2 2,975,000 3,002,890
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HEALTH CARE--8.0%
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HEALTH CARE EQUIPMENT & SUPPLIES--1.6%
Dade Behring Holdings, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.938%, 9/30/08 1,2 1,696,785 1,718,526
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Medex, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 4.11%-4.24%, 5/21/09 1,2 995,000 1,002,877
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Orthofix International NV, Sr. Sec. Credit Facilities Term Loan,
3.91%, 12/30/08 1,2 5,500,000 5,517,188
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Perkinelmer, Inc., Sr. Sec. Credit Facilities Term Loan,
3.35%, 12/28/08 1,2 1,326,905 1,339,620
---------------
9,578,211
14 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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HEALTH CARE PROVIDERS & SERVICES--5.7%
Alderwoods Group, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 3.85%, 9/17/08 1,2 $ 844,489 $ 856,629
Tranche B, 3.87%-5.656%, 9/17/08 1,2 1,800,000 1,825,875
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Beverly Enterprises, Inc., Sr. Sec. Credit Facilities
Term Loan, Tranche B,
4.37%-4.42%, 10/22/08 1,2 997,499 1,008,722
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Concentra Operating Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.93%-4.94%, 6/30/09 1,2 3,028,195 3,066,996
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ConnectiCare, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.86%-5.249%, 10/30/09 1,2 2,468,750 2,494,980
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FHC Health Systems, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
7.25%, 11/15/09 1,2 4,203,896 4,261,700
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FHC Health Systems, Inc., Sr. Sec. Credit Facilities Term Loan,
Delayed Draw, 1%, 11/15/09 1,2 1,071,429 1,087,500
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HealthSouth Corp., Sr. Sec. Sub. Credit Facilities Term Loan, Tranche A,
10.375%, 1/15/11 2 4,000,000 4,120,000
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Iasis Healthcare Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.37%, 2/7/09 1,2 1,840,000 1,863,576
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Insight Health Services Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.61%, 9/19/08 1,2 2,485,173 2,497,598
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Magellan Health Services, Inc., Sr. Sec. Credit Facilities Letter of
Credit Term Loan, 1.10%, 8/15/08 1,2 2,000,000 2,035,000
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Magellan Health Services, Inc., Sr. Sec. Credit Facilities Term Loan,
4.75%, 8/15/08 1,2 1,000,000 1,017,500
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Oxford Health Plans, Inc., Sr. Sec. Credit Facilities Term Loan,
3.419%-5.164%, 4/1/09 1,2 2,985,000 3,000,890
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PacifiCare Health Systems, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.93%, 6/3/08 1 3,482,500 3,523,855
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Team Health, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.469%, 9/27/08 1,2 2,284,556 2,284,556
---------------
34,945,377
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PHARMACEUTICALS--0.7%
aaiPharma, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.40%-4.53%, 11/26/09 1,2 2,925,000 2,960,343
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Alpharma, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.35%-4.52%, 10/5/08 1,2 1,680,973 1,687,487
---------------
4,647,830
15 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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INDUSTRIALS--17.9%
- -----------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--3.7%
Communications & Power Industries., Sr. Sec. Credit Facilities Term Loan,
4.10%, 8/6/10 1,2 $3,000,000 $ 3,045,000
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DeCrane Aircraft Holdings, Inc., Sr. Sec. Credit Facilities 2nd Lien
Term Loan, 15%, 6/30/08 2 6,000,000 6,015,000
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DeCrane Aircraft Holdings, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche A, 6.47%, 3/31/06 1,2 1,500,000 1,503,750
Tranche D, 9.72%, 12/31/07 1,2 83,973 84,498
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Gate Gourmet International, Sr. Sec. Credit Facilities Term Loan,
Tranche B1, 9.50%, 12/20/08 1,2 3,465,000 3,421,688
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Gencorp, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.938%, 3/28/07 1,2 1,979,950 1,991,499
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Titan Corp., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 4.35%-5.918%, 6/30/09 1 2,948,980 2,956,047
Tranche B, 5.918%, 6/30/09 1,2 1,070 1,072
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TransDigm, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.10%, 7/1/10 1,2 997,500 1,010,124
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United Airlines, Inc., Sr. Sec Credit Facilities Term Loan, Debtor in
Possession, 9.50%, 7/1/04 1,2 2,816,727 2,830,811
---------------
22,859,489
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BUILDING PRODUCTS--1.2%
Formica Corp., Sr. Sec. Credit Facilities Revolving Credit Loan,
4.85%, 5/1/04 1,2 3,759,350 3,651,269
- -----------------------------------------------------------------------------------------------------------------------------------
Formica Corp., Sr. Sec. Credit Facilities Term Loan, Tranche A1,
4.85%, 4/30/06 1,2 587,732 570,834
- -----------------------------------------------------------------------------------------------------------------------------------
Masonite International Corp., Sr. Sec. Credit Facilities Term Loan:
Tranche C, 3.875%-3.938%, 8/31/08 1,2 2,390,172 2,406,305
Tranche C2, 8/31/08 1,2,5 1,000,000 1,007,500
---------------
7,635,908
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COMMERCIAL SERVICES & SUPPLIES--7.1%
Allied Waste Industries, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.90%-3.93%, 1/15/10 1 2,824,249 2,870,497
- -----------------------------------------------------------------------------------------------------------------------------------
Environmental Systems Products, Inc., Sr. Sec. Credit Facilities 1st Lien
Term Loan, 5.62%-5.663%, 11/6/08 1,2 2,893,243 2,911,327
- -----------------------------------------------------------------------------------------------------------------------------------
Environmental Systems Products, Inc., Sr. Sec. Credit Facilities 2nd Lien
Term Loan, 11.153%-11.213%, 11/6/10 1,2 2,000,000 2,025,000
- -----------------------------------------------------------------------------------------------------------------------------------
Global eXchange Services, Inc., Sr. Sec. Credit Facilities Term Loan,
8.137%, 3/21/07 1,2 1,000,000 1,006,250
- -----------------------------------------------------------------------------------------------------------------------------------
IESI Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.25%-4.325%, 9/30/10 1,2 3,990,000 4,039,875
- -----------------------------------------------------------------------------------------------------------------------------------
Outsourcing Solutions, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche A, 12/10/05 2,3,4 5,000,000 3,300,000
16 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES Continued
Relizon Co., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.92%-5.94%, 2/15/08 1,2 $3,354,628 $ 3,311,997
- -----------------------------------------------------------------------------------------------------------------------------------
Safelite Glass Corp., Sr. Sec. Credit Facilities Term Loan:
Tranche A, 4.62%, 12/17/07 1,2 1,315,954 1,302,795
Tranche B, 5.12%, 12/17/07 1,2 2,115,296 2,083,566
- -----------------------------------------------------------------------------------------------------------------------------------
Southwest Student Services Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche I, 2/28/06 1,2,5 6,592,500 6,427,688
- -----------------------------------------------------------------------------------------------------------------------------------
Transaction Network Services, Inc., Sr. Sec. Credit
Facilities Term Loan:
Tranche A, 4.938%, 3/30/05 1,2 1,031,443 1,029,509
Tranche B, 5.438%, 3/30/07 1,2 3,681,444 3,674,541
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Investigations Services, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche C, 4.67%, 1/10/09 1,2 2,521,512 2,537,271
- -----------------------------------------------------------------------------------------------------------------------------------
Wackenhut Corrections Corp. Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.10%, 7/9/09 1,2 975,000 985,969
- -----------------------------------------------------------------------------------------------------------------------------------
Washington Group International, Inc., Sr. Sec. Revolving Credit
Linked CD, Tranche B, 6.784%, 9/10/07 1,2 6,000,000 6,045,000
---------------
43,551,285
- -----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.2%
Walter Industries, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.36%-5.413%, 4/15/10 1 1,355,222 1,363,270
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
General Cable Corp., Sr. Sec. Credit Facilities Revolving Credit Loan,
Tranche 2, 0.50%, 5/27/05 1,2 378,278 376,978
- -----------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--3.6%
Gentek, Inc., Sr. Sec. Credit Facilities Term Loan, 6%, 10/31/07 1 5,008,900 5,035,513
- -----------------------------------------------------------------------------------------------------------------------------------
Joan Fabrics Corp., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 5.188%, 8/28/05 1,2 722,019 693,138
Tranche C, 5.438%, 8/28/06 1,2 493,736 473,987
- -----------------------------------------------------------------------------------------------------------------------------------
Sensus Metering System, Sr. Sec. Credit Facilities Term Loan:
Tranche B2, 4.10%-4.17%, 12/17/10 1,2 717,392 724,566
Tranche B1, 4.10%-4.17%, 12/17/10 1,2 4,782,608 4,830,434
- -----------------------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., Sr. Sec. Credit Facilities Term Loan,
5.78%, 3/31/08 1,2 6,000,000 6,004,998
- -----------------------------------------------------------------------------------------------------------------------------------
Xerox Corp., Sr. Sec. Credit Facilities Term Loan, 3.42%, 9/30/08 1 4,500,000 4,552,736
---------------
22,315,372
- -----------------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.7%
Trinity Industries, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.406%-4.438%, 6/4/07 1 4,091,667 4,114,683
17 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--1.3%
Amsted Industries, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.12%-5.16%, 8/19/10 1 $ 2,985,000 $ 3,004,122
- -----------------------------------------------------------------------------------------------------------------------------------
Helm Holding Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.62%-4.672%, 10/20/06 1,2 2,276,077 2,247,626
- -----------------------------------------------------------------------------------------------------------------------------------
RailAmerica, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.688%, 12/31/06 1 2,424,031 2,449,180
---------------
7,700,928
- -----------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--2.0%
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.5%
Amkor Technology, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
6.885%, 1/31/06 1,2 992,500 1,006,664
- -----------------------------------------------------------------------------------------------------------------------------------
Transcore, Inc., Sr. Sec. Credit Facilities Term Loan:
Tranche B, 4.37%-5.75%, 10/10/06 1,2 1,373,959 1,387,699
Tranche C, 4.37%-5.656%, 12/10/07 1,2 3,000,000 3,030,000
- -----------------------------------------------------------------------------------------------------------------------------------
Viasystems Group, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
6.47%, 9/30/08 1,2 3,513,239 3,553,862
---------------
8,978,225
- -----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
ON Semiconductor Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche E, 4.44%, 11/25/08 1,2 3,000,000 3,013,125
- -----------------------------------------------------------------------------------------------------------------------------------
MATERIALS--11.2%
- -----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--4.5%
FMC Corp., Sr. Sec. Credit Facilities Term Loan, 3.60%, 10/21/07 1,2 1,980,000 2,005,245
- -----------------------------------------------------------------------------------------------------------------------------------
Hercules, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.62%-3.67%, 5/15/07 1 3,962,482 3,990,547
- -----------------------------------------------------------------------------------------------------------------------------------
Huntsman Co. LLC, Sr. Sec. Credit Facilities Term Loan:
Tranche A, 5.938%-6%, 3/31/07 1,2 5,048,484 4,983,272
Tranche B, 9.50%, 3/31/07 1,2 3,822,248 3,772,876
- -----------------------------------------------------------------------------------------------------------------------------------
Huntsman ICI Chemicals LLC, Sr. Sec. Credit Facilities Term Loan:
Tranche B, 5.438%-5.50%, 6/30/07 1 3,601,050 3,641,112
Tranche C, 5.75%, 6/30/08 1 3,601,050 3,644,313
- -----------------------------------------------------------------------------------------------------------------------------------
Messer Griesheim Holding AG, Sr. Sec. Credit Facilities Term Loan:
Tranche B2, 3.896%, 4/28/09 1,2 360,713 363,718
Tranche C, 4.396%, 4/28/10 1,2 883,698 891,062
- -----------------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche C,
11.836%, 12/20/05 1,2 1,991,242 2,006,800
- -----------------------------------------------------------------------------------------------------------------------------------
Rockwood Specialties, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche C, 3.87%, 7/23/10 1,2 1,492,500 1,500,895
- -----------------------------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., Sr. Sec. Credit Facilities Term Loan,
4.913%-6.658%, 7/31/10 1,2 995,000 1,009,303
---------------
27,809,143
18 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.4%
Building Materials Holding Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.438%, 8/13/10 1,2 $ 2,487,500 $ 2,496,828
- -----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--3.4%
Berry Plastics Corp., Sr. Sec. Credit Facilities Term Loan, Tranche C,
3.67%, 8/31/10 1 2,447,591 2,472,067
- -----------------------------------------------------------------------------------------------------------------------------------
Consolidated Container Co., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 5.438%, 6/30/07 1,2 1,845,143 1,803,627
- -----------------------------------------------------------------------------------------------------------------------------------
Crown Cork & Seal Co., Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.17%, 8/26/08 1 4,750,000 4,815,313
- -----------------------------------------------------------------------------------------------------------------------------------
Graphic Packaging Corp., Sr. Sec. Credit Facilities
Term Loan, Tranche B,
3.92%-3.93%, 8/8/10 1,2 2,985,000 3,031,640
- -----------------------------------------------------------------------------------------------------------------------------------
Kerr Group, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
4.61%, 8/13/10 1,2 2,938,953 2,963,444
- -----------------------------------------------------------------------------------------------------------------------------------
Owens-Illinois, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
3.88%, 5/21/08 1,2 5,000,000 5,048,960
- -----------------------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.125%, 6/21/08 1,2 350,109 352,151
---------------
20,487,202
- -----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.6%
International Steel Group, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 5.10%, 5/7/07 1,2 6,178,737 6,178,737
- -----------------------------------------------------------------------------------------------------------------------------------
Ispat Inland LP, Sr. Sec. Credit Facilities Term Loan:
Tranche B, 4.913%, 7/16/05 1,2 1,976,828 1,919,169
Tranche C, 4.913%, 7/16/06 1,2 1,976,828 1,919,169
---------------
10,017,075
- -----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--1.3%
Grant Forest Products Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 3.85%, 10/12/08 1,2 1,668,188 1,676,529
- -----------------------------------------------------------------------------------------------------------------------------------
SP Newsprint Co., Sr. Sec. Credit Facilities Letter of Credit Term Loan,
Tranche B2, 4.11%, 1/8/10 1,2 3,866,667 3,924,667
- -----------------------------------------------------------------------------------------------------------------------------------
SP Newsprint Co., Sr. Sec. Credit Facilities Term Loan, Tranche B1,
4.10%, 1/8/10 1,2 2,133,333 2,165,333
---------------
7,766,529
- -----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--9.5%
- -----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--4.0%
360 Americas, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche D,
9/30/05 2,3,4 4,612,906 484,355
- -----------------------------------------------------------------------------------------------------------------------------------
Cincinnati Bell, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche D,
3.68%, 10/31/08 1,2 2,992,500 3,031,777
- -----------------------------------------------------------------------------------------------------------------------------------
IPC Acquisition Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.10%, 8/29/08 1,2 1,995,000 2,021,184
19 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
NTELOS, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.10%, 7/25/08 1,2 $ 4,885,277 $ 4,811,998
- -----------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., Sr. Sec. Credit Facilities Term Loan, Tranche A,
6.50%, 6/30/07 1,2 3,500,000 3,679,375
- -----------------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., Sr. Sec. Credit Facilities Revolving
Credit Loan,
4.60%, 5/3/05 1,2 4,336,827 4,333,574
- -----------------------------------------------------------------------------------------------------------------------------------
Worldcom, Inc., Sr. Sec. Credit Facilities Revolving
Credit Loan, 6/7/04 1,2,3,4 15,000,000 5,437,500
- -----------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Sr. Sec. Credit Facilities Term Loan,
7.12%, 7/15/09 1,2 1,024,703 1,024,703
---------------
24,824,466
- -----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--5.5%
American Tower Corp., Sr. Sec. Credit Facilities Term Loan, Tranche C,
3.35%, 12/31/07 1,2 978,434 990,206
- -----------------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co., Sr. Sec. Credit
Facilities Term Loan:
Tranche B, 4.42%-4.45%, 5/31/07 1,2 396,408 397,931
Tranche C, 4.68%-4.71%, 11/30/07 1,2 374,756 376,194
- -----------------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.66%, 9/30/10 1 3,310,038 3,380,376
- -----------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.37%-4.43%, 3/31/10 1 3,990,000 4,048,916
- -----------------------------------------------------------------------------------------------------------------------------------
Microcell Solutions, Inc., Sr. Sec. Credit Facilities
Term Loan, Tranche B,
5.10%, 12/31/08 1,2 7,926,111 7,898,869
- -----------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche E, 3.438%, 12/12/10 1 8,000,000 8,105,624
- -----------------------------------------------------------------------------------------------------------------------------------
Pinnacle Towers, Inc., Sr. Sec. Credit Facilities Term Loan,
5.60%, 10/31/05 1,2 5,199,445 5,213,525
- -----------------------------------------------------------------------------------------------------------------------------------
SpectraSite Communications, Inc., Sr. Sec. Credit Facilities
Term Loan, Tranche B, 4.24%, 12/31/07 1,2 2,623,551 2,660,937
- -----------------------------------------------------------------------------------------------------------------------------------
TSI Telecommunication Services, Inc., Sr. Sec. Credit
Facilities Term Loan,
Tranche B, 5.67%-5.74%, 12/31/06 1,2 342,751 343,180
---------------
33,415,758
- -----------------------------------------------------------------------------------------------------------------------------------
UTILITIES--12.7%
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--11.9%
AES Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B,
5.19%-5.32%, 7/25/08 1 4,000,000 4,055,931
- -----------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, Sr. Sec. Credit Facilities Term Loan,
Tranche A1, 7.10%, 9/30/04 1,2 5,000,000 5,017,970
- -----------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, Sr. Sec. Credit Facilities Term Loan,
7.10%, 4/18/05 1,2 1,489,868 1,495,223
- -----------------------------------------------------------------------------------------------------------------------------------
Calpine Construction Finance Co. II, LLC, Sr. Sec. Credit Facilities
Revolving Credit Loan, 1.50%-2.634%, 11/16/04 1,2 5,000,000 4,927,085
20 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Calpine Construction Finance Co. LP, Sr. Sec. Credit Facilities 1st Lien
Term Loan, 7.50%, 8/26/09 1,2 $ 3,000,000 $ 3,211,875
- -----------------------------------------------------------------------------------------------------------------------------------
Calpine Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan,
6.87%, 7/16/07 1 5,474,994 5,425,379
- -----------------------------------------------------------------------------------------------------------------------------------
Centerpoint Energy, Inc., Sr. Sec. Credit Facilities Term Loan,
4.68%, 10/7/06 1 6,482,432 6,635,716
- -----------------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, Sr. Sec. Credit Facilities Term Loan,
Tranche B, 7%, 11/19/06 1,2 8,000,000 8,088,336
- -----------------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 1.119%, 10/20/04 1,2 4,000,000 3,350,000
- -----------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., Sr. Sec. Credit Facilities
Term Loan, 5.50%, 5/8/10 1,2 1,860,417 1,926,307
- -----------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., Sr. Sec. Credit Linked CD,
1.07%, 5/8/10 1,2 1,041,667 1,078,559
- -----------------------------------------------------------------------------------------------------------------------------------
Orion Power MidWest LP, Sr. Sec. Credit Facilities Term Loan,
3.87%-3.98%, 10/28/05 1,2 2,705,018 2,698,256
- -----------------------------------------------------------------------------------------------------------------------------------
Quanta Services, Inc., Sr. Sec. Credit Facilities Term Loan,
4.12%-4.16%, 1/1/05 1,2 4,000,000 4,037,500
- -----------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc., Sr. Sec. Credit Facilities Term Loan,
Tranche A, 5.228%-5.35%, 3/15/07 1,2 7,990,595 7,880,725
- -----------------------------------------------------------------------------------------------------------------------------------
Ripon Cogeneration, Sr. Sec. Credit Facilities
Term Loan, 8.25%, 1/14/11 1,2 4,000,000 4,060,000
- -----------------------------------------------------------------------------------------------------------------------------------
Sierra Pacific Power Co., Sr. Sec. Credit Facilities Term Loan,
10.50%, 10/31/05 1,2 987,500 1,002,313
- -----------------------------------------------------------------------------------------------------------------------------------
Tucson Electric Power Co., Sr. Sec. Credit
Facilities Letter of Credit Term Loan:
Tranche A, 4.25%, 1/31/06 1,2 3,000,000 3,011,250
Tranche B, 6.60%, 11/14/06 1,2 2,000,000 2,013,750
- -----------------------------------------------------------------------------------------------------------------------------------
Williams Production RMT Co., Sr. Sec. Credit Facilities Term Loan,
Tranche B, 4.86%, 5/30/07 1,2 2,985,000 3,026,044
---------------
72,942,219
- -----------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.8%
Nui Corp., Sr. Sec. Credit Facilities Term Loan,
8%, 11/22/04 1,2 3,762,295 3,806,972
- -----------------------------------------------------------------------------------------------------------------------------------
Nui Utilities, Inc., Sr. Sec. Credit Facilities
Term Loan, 7%, 11/22/04 1,2 737,705 746,465
---------------
4,553,437
---------------
Total Corporate Loans (Cost $654,491,230) 662,494,082
21 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF INVESTMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--3.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Advanstar Communications, Inc., 10.75% Sr. Sec. Nts., 8/15/10 6 $ 2,000,000 $ 2,220,000
- -----------------------------------------------------------------------------------------------------------------------------------
Healthsouth Corp., 7.625% Nts., 6/1/12 3,000,000 2,917,500
- -----------------------------------------------------------------------------------------------------------------------------------
Superior Essex, Inc., 9.50% Sr. Sec. Nts., 11/15/08 2 4,749,198 4,755,135
- -----------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
5% Sr. Nts., 7/1/07 3,000,000 2,805,000
5.375% Sr. Unsec. Nts., 11/15/06 1,000,000 960,000
- -----------------------------------------------------------------------------------------------------------------------------------
Unova, Inc.:
6.875% Unsec. Nts., 3/15/05 2,500,000 2,537,500
7% Unsec. Nts., 3/15/08 5,000,000 4,875,000
---------------
Total Corporate Bonds and Notes (Cost $20,944,378) 21,070,135
SHARES
- -----------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Superior TeleCom, Inc., 9.50% Cv., Series A, Non-Vtg. 2,4 (Cost $60,318) 60,318 52,175
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $675,495,922) 111.6% 683,616,392
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (11.6) (71,391,096)
-------------------------------------------
NET ASSETS 100.0% $612,225,296
===========================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Represents the current interest rate for a variable or increasing rate
security.
2. Identifies issues considered to be illiquid or restricted. See Note 5 of
Notes to Financial Statements.
3. Issue is in default. See Note 1 of Notes to Financial Statements.
4. Non-income producing security.
5. This Senior Loan will settle after February 29, 2004, at which time the
interest rate will be determined.
6. 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 $2,220,000 or 0.36% of the Fund's net
assets as of January 31, 2004.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
22 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF ASSETS AND LIABILITIES UNAUDITED
- -------------------------------------------------------------------------------
JANUARY 31, 2004
- -----------------------------------------------------------------------------------------------
ASSETS
- -----------------------------------------------------------------------------------------------
Investments, at value (cost $675,495,922)--see
accompanying statement $683,616,392
- -----------------------------------------------------------------------------------------------
Cash 2,600,174
- -----------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold 9,328,168
Interest and principal paydowns 3,128,853
Other 4,697
- -----------------------------------------------------------------------------------------------
Total assets 698,678,284
- -----------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased 68,074,055
Shares of beneficial interest redeemed 12,515,439
Notes payable to bank (interest rate 1.8125% at January 31, 2004) 5,200,000
Dividends 184,602
Distribution and service plan fees 126,803
Shareholder communications 71,127
Transfer and shareholder servicing agent fees 43,526
Trustees' compensation 770
Other 236,666
----------------
Total liabilities 86,452,988
- -----------------------------------------------------------------------------------------------
NET ASSETS $612,225,296
================
- -----------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 64,503
- -----------------------------------------------------------------------------------------------
Additional paid-in capital 649,117,024
- -----------------------------------------------------------------------------------------------
Accumulated net investment loss (41,991)
- -----------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (45,034,710)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 8,120,470
----------------
NET ASSETS $612,225,296
================
23 | OPPENHEIMER SENIOR FLOATING RATE 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
$110,090,700 and 11,607,438 shares of beneficial interest outstanding) $9.48
Maximum offering price per share (net asset value
plus sales charge of 3.50% of offering price) $9.82
- -----------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $191,034,798
and 20,132,776 shares of beneficial interest outstanding) $9.49
- -----------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $311,099,798
and 32,762,660 shares of beneficial interest outstanding) $9.50
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
24 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF OPERATIONS UNAUDITED
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED JANUARY 31, 2004
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $15,449,931
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 1,864,446
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 94,398
Class B 664,902
Class C 975,597
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 30,266
Class B 110,071
Class C 123,722
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 632
Class B 1,971
Class C 2,527
- --------------------------------------------------------------------------------
Legal, auditing and other professional fees 218,491
- --------------------------------------------------------------------------------
Interest expense 152,468
- --------------------------------------------------------------------------------
Custodian fees and expenses 66,973
- --------------------------------------------------------------------------------
Trustees' compensation 7,443
- --------------------------------------------------------------------------------
Other 34,456
---------------
Total expenses 4,348,363
Less reimbursement of management fees (514,185)
Less voluntary waiver of transfer and
shareholder servicing agent fees--Class A (48)
Less voluntary waiver of transfer and
shareholder servicing agent fees--Class B (1,100)
Less voluntary waiver of transfer and
shareholder servicing agent fees--Class C (592)
---------------
Net expenses 3,832,438
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 11,617,493
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
- --------------------------------------------------------------------------------
Net realized gain on investments 5,611,698
- --------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 8,196,579
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $25,425,770
===============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, 2004 JULY 31,
(UNAUDITED) 2003
- --------------------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------------------
Net investment income $ 11,617,493 $ 23,594,266
- --------------------------------------------------------------------------------------------------
Net realized gain (loss) 5,611,698 (16,344,678)
- --------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation (depreciation) 8,196,579 20,205,808
--------------------------------------------
Net increase in net assets
resulting from operations 25,425,770 27,455,396
- --------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (1,910,368) (1,876,986)
Class B (3,924,177) (7,813,161)
Class C (5,783,066) (10,146,654)
- --------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from beneficial interest transactions:
Class A 63,929,225 9,320,515
Class B 29,286,228 (22,819,466)
Class C 96,684,086 (32,377,906)
- --------------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------------
Total increase (decrease) 203,707,698 (38,258,262)
- --------------------------------------------------------------------------------------------------
Beginning of period 408,517,598 446,775,860
--------------------------------------------
End of period (including accumulated net investment
loss of $41,991 and $41,873, respectively) $612,225,296 $408,517,598
============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
26 | OPPENHEIMER SENIOR FLOATING RATE FUND
STATEMENT OF CASH FLOWS UNAUDITED
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED JANUARY 31, 2004
- --------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES
- --------------------------------------------------------------------------------
Net increase in net assets from operations $ 25,425,770
- --------------------------------------------------------------------------------
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities:
Purchase of investment securities (668,417,546)
Proceeds from disposition of investment securities 472,133,672
Increase in interest receivable (1,416,973)
Decrease in receivable for securities sold 4,621,728
Increase in other assets (2,120)
Increase in payable for securities purchased 1,171,502
Decrease in accrued expenses (39,809)
Premium amortization 120,561
Discount amortization (1,377,784)
Realized gain on securities (5,611,698)
Net change in unrealized appreciation on securities (8,196,579)
--------------
Net cash used in operating activities (181,589,276)
- --------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES
- --------------------------------------------------------------------------------
Proceeds from issuance of debt 199,300,000
Payments on outstanding debt (194,100,000)
Proceeds from shares sold 222,193,361
Payment on shares redeemed (40,554,922)
Cash distributions paid (3,777,351)
--------------
Net cash provided by financing activities 183,061,088
- --------------------------------------------------------------------------------
Net increase in cash 1,471,812
- --------------------------------------------------------------------------------
Cash, beginning balance 1,128,362
--------------
Cash, ending balance $ 2,600,174
==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER SENIOR FLOATING RATE FUND
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, 2004 JULY 31,
CLASS A (UNAUDITED) 2003 2002 2001 2000 1
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $9.24 $9.03 $9.51 $9.96 $10.00
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .23 .55 .54 .80 .71
Net realized and unrealized gain (loss) .24 .14 (.50) (.46) (.04)
--------------------------------------------------------------------------
Total from investment operations .47 .39 .04 .34 .67
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.23) (.48) (.52) (.79) (.71)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.48 $9.24 $9.03 $9.51 $ 9.96
==========================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 5.19% 7.91% 0.44% 3.52% 6.94%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $110,091 $44,028 $33,905 $44,985 $22,421
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 76,503 $35,298 $41,195 $41,457 $ 6,600
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.95% 6.23% 5.84% 8.11% 8.30%
Total expenses 1.23% 1.39% 1.42% 1.20% 1.26%
Expenses after expense reimbursement or
fee waiver and reduction to custodian expenses 1.03% 1.19% 1.22% 1.00% 0.87%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 81% 9% 92% 47% 62%
1. For the period from September 8, 1999 (commencement of operations) to July
31, 2000.
2. 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 repurchase at the net asset value calculated on the
last business day of the fiscal period. 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.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28 | OPPENHEIMER SENIOR FLOATING RATE FUND
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, 2004 JULY 31,
CLASS B (UNAUDITED) 2003 2002 2001 2000 1
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
Net asset value, beginning of period $9.24 $9.04 $9.51 $9.97 $10.00
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 .52 .49 .76 .67
Net realized and unrealized gain (loss) .25 .11 (.49) (.47) (.03)
--------------------------------------------------------------------------
Total from investment operations .46 .63 -- .29 .64
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.21) (.43) (.47) (.75) (.67)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.49 $9.24 $9.04 $9.51 $ 9.97
==========================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 5.02% 7.21% 0.05% 2.96% 6.56%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $191,035 $157,057 $176,760 $220,328 $98,343
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $176,139 $163,238 $206,869 $177,025 $49,122
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.42% 5.70% 5.33% 7.56% 7.80%
Total expenses 1.78% 1.93% 1.92% 1.64% 1.76%
Expenses after expense reimbursement or
fee waiver and reduction to custodian expenses 1.58% 1.73% 1.72% 1.44% 1.37%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 81% 9% 92% 47% 62%
1. For the period from September 8, 1999 (commencement of operations) to July
31, 2000.
2. 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 repurchase at the net asset value calculated on the
last business day of the fiscal period. 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.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER SENIOR FLOATING RATE FUND
FINANCIAL HIGHLIGHTS CONTINUED
- -------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, 2004 JULY 31,
CLASS C (UNAUDITED) 2003 2002 2001 2000 1
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $9.25 $9.04 $9.51 $9.97 $10.00
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 .52 .50 .76 .67
Net realized and unrealized gain (loss) .25 .12 (.50) (.47) (.04)
--------------------------------------------------------------------------
Total from investment operations .46 .64 -- .29 .63
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.21) (.43) (.47) (.75) (.66)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.50 $9.25 $9.04 $9.51 $ 9.97
==========================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 5.03% 7.35% 0.05% 2.96% 6.51%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $311,100 $207,433 $236,111 $350,126 $194,933
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $258,740 $210,987 $303,123 $323,725 $ 82,761
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.43% 5.73% 5.37% 7.60% 7.79%
Total expenses 1.75% 1.91% 1.92% 1.65% 1.77%
Expenses after expense reimbursement or
fee waiver and reduction to custodian expenses 1.55% 1.71% 1.72% 1.45% 1.38%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 81% 9% 92% 47% 62%
1. For the period from September 8, 1999 (commencement of operations) to July
31, 2000.
2. 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 repurchase at the net asset value calculated on the
last business day of the fiscal period. 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.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER SENIOR FLOATING RATE FUND
NOTES TO FINANCIAL STATEMENTS UNAUDITED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Senior Floating Rate Fund (the Fund) is registered under the
Investment Company Act of 1940, as amended, as a closed-end management
investment company. The Fund seeks as high a level of current income and
preservation of capital as is consistent with investing primarily in senior
floating rate loans and other debt securities. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager).
The Fund offers Class A, Class B and Class C shares. Class A shares are sold
at their offering price, which is normally net asset value plus a front-end
sales charge. Class B and Class C shares are sold without an initial sales
charge but may be subject to an Early Withdrawal Charge. All classes of shares
have identical rights and voting privileges with respect to the Fund in general
and exclusive voting rights on matters that affect that class alone. Earnings,
net assets and net asset value per share may differ by minor amounts due to
each class having its own expenses directly attributable to that class. Classes
A, B and C shares have separate distribution and/or service plans. Class B
shares will automatically convert to Class A shares 72 months after the
beginning of the month in which you purchase them.
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 may be valued
primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities (including restricted
securities) for which market quotations are not readily available are valued at
their fair value. Securities whose values have been materially affected by what
the Manager identifies as a significant event occurring before the Fund's
assets are valued but after the close of their respective foreign exchanges
will be fair valued. 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).
- --------------------------------------------------------------------------------
WHEN-ISSUED AND DELAYED DELIVERY SECURITY TRANSACTIONS. The Fund purchases and
sells interests in Senior Loans and other portfolio securities on a "when
issued" and "delayed delivery" basis. No income accrues to the Fund on such
interests or securities in connection with such purchase transactions prior to
the date the Fund actually takes delivery of such interest or securities. These
transactions are subject to market fluctuation; the value of the interests in
Senior Loans and other portfolio debt securities at delivery may be more or
less than their purchase prices, and yields generally available
31 | OPPENHEIMER SENIOR FLOATING RATE FUND
NOTES TO FINANCIAL STATEMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
on such interests or securities when delivery occurs may be higher or lower
than yields on the interest or securities obtained pursuant to such
transactions. Because the Fund relies on the buyer or seller to consummate the
transaction, failure by the other party to complete the transaction may result
in the Fund missing the opportunity of obtaining a price or yield considered to
be advantageous. When the Fund is the buyer in such a transaction, it will
maintain, in a segregated account with its custodian, cash or liquid securities
having an aggregate value equal to the amount of such purchase commitments
until payment is made. To the extent the Fund engages in "when issued" and
"delayed delivery" purchases, it will do so for the purpose of acquiring
interest or securities for the Fund's portfolio consistent with the Fund's
investment objective and policies and not for the purpose of investment
leverage.
- --------------------------------------------------------------------------------
SENIOR LOANS. Under normal market conditions, the Fund will invest at least 80%
of its net assets (plus borrowings for investment purposes) in floating rate
Senior Loans made to U.S. and foreign borrowers that are corporations,
partnerships or other business entities. The Fund will do so either as an
original lender or as a purchaser of a loan assignment or a participation
interest in a loan. While most of these loans will be collateralized, the Fund
can also under normal market conditions invest up to 10% of its net assets
(plus borrowings for investment purposes) in uncollateralized floating rate
Senior Loans.
Senior Loans generally are not listed on any national securities exchange or
automated quotation system and no active trading market exists for many Senior
Loans. As a result, many Senior Loans are illiquid, meaning the Fund may not be
able to sell them quickly at a fair price. To the extent that a secondary
market does exist for certain Senior Loans, the market may be subject to
irregular trading activity, wide bid/ask spreads and extended trade settlement
periods.
As of January 31, 2004, securities with an aggregate market value of
$662,494,087, representing 108.2% of the Fund's net assets were comprised of
Senior Loans, of which $513,691,031, representing 83.91% of net assets, were
illiquid.
- --------------------------------------------------------------------------------
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 January 31, 2004, securities with an
aggregate market value of $16,802,855, representing 2.74% of the Fund's net
assets, were in default.
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS. The Fund requires its custodian bank to take possession,
to have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale
32 | OPPENHEIMER SENIOR FLOATING RATE FUND
price at the time of purchase. If the seller of the agreement defaults and the
value of the collateral declines, or if the seller enters an insolvency
proceeding, realization of the value of the collateral by the Fund may be
delayed or limited.
- --------------------------------------------------------------------------------
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 January 31, 2004, the Fund had available for federal income tax
purposes an estimated unused capital loss carryforward of $44,943,695 expiring
by 2011. 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 January 31, 2004 and the year ended July 31,
2003, the Fund used $5,611,698 and $0, respectively, of carryforward to offset
capital gains realized.
As of July 31, 2003, the Fund had available for federal income tax purposes
unused capital loss carryforwards as follows:
EXPIRING
--------------------------------
2009 $ 2,975
2010 14,893,083
2011 26,003,298
-----------
Total $40,899,356
===========
- --------------------------------------------------------------------------------
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 Oppenheimer funds selected by the Trustee. 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.
33 | OPPENHEIMER SENIOR FLOATING RATE FUND
NOTES TO FINANCIAL STATEMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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, if applicable,
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.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has adopted the following fundamental policies concerning periodic
repurchase offers:
o The Fund will make periodic Repurchase Offers, pursuant to Rule 23c-3 under
the Investment Company Act of 1940 (as that rule may be amended from time to
time).
o Repurchase offers shall be made at periodic intervals of three months between
Repurchase Request Deadlines. The Deadlines will be at the time on a regular
business day (normally the last regular business day) in the months of
January, April, July and October to be determined by the Fund's Board of
Trustees.
o The Repurchase Pricing Date for a particular Repurchase Offer shall be not
more than 14 days after the Repurchase Request Deadline for the Repurchase
Offer. If that day is not a normal business day, then the Repurchase Pricing
Date will be the following regular business day.
Each quarter, the Fund's Board will determine the number of shares that the
Fund will offer to repurchase in a particular Repurchase Offer. The Repurchase
Offer Amount will be at least 5% but not more than 25% of the total number of
shares of all classes of the Fund (in the aggregate) outstanding on the
Repurchase Request Deadline. If shareholders tender more than the Repurchase
Offer Amount for a particular Repurchase Offer, the Fund may repurchase up to
an additional 2% of the shares outstanding on the Repurchase Request Deadline.
34 | OPPENHEIMER SENIOR FLOATING RATE FUND
For the six months ended January 31, 2004, the Fund extended two
Repurchase Offers:
PERCENTAGE OF AMOUNT OF
REPURCHASE OUTSTANDING SHARES SHARES THE NUMBER OF
REQUEST THE FUND OFFERED FUND OFFERED SHARES TENDERED
DEADLINE TO REPURCHASE TO REPURCHASE (ALL CLASSES)
------------------------------------------------------------------------
October 31, 2003 20% 10,677,075 1,922,057
January 31, 2004 20 12.900,575 2,183,639
The Fund is authorized to issue an unlimited number of shares of each class and
at the date of this report has registered 115 million shares, par value $0.001
each. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED JANUARY 31, 2004 YEAR ENDED JULY 31, 2003
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------------------------------------
CLASS A
Sold 7,467,877 $ 69,784,934 2,133,732 $ 19,355,973
Dividends and/or
distributions reinvested 148,163 1,388,000 134,239 1,208,043
Repurchased (773,422) (7,243,709) (1,255,972) (11,243,501)
---------------------------------------------------------------------------------------
Net increase 6,842,618 $ 63,929,225 1,011,999 $ 9,320,515
=======================================================================================
- -----------------------------------------------------------------------------------------------------------------------------
CLASS B
Sold 4,443,842 $ 41,476,227 2,286,292 $ 20,672,656
Dividends and/or
distributions reinvested 259,755 2,433,945 531,738 4,784,062
Repurchased (1,560,759) (14,623,944) (5,385,598) (48,276,184)
---------------------------------------------------------------------------------------
Net increase (decrease) 3,142,838 $ 29,286,228 (2,567,568) $(22,819,466)
=======================================================================================
- -----------------------------------------------------------------------------------------------------------------------------
CLASS C
Sold 12,523,183 $117,178,612 4,345,531 $ 39,484,371
Dividends and/or
distributions reinvested 412,904 3,875,589 778,076 7,002,451
Repurchased (2,597,075) (24,370,115) (8,805,619) (78,864,728)
---------------------------------------------------------------------------------------
Net increase (decrease) 10,339,012 $ 96,684,086 (3,682,012) $(32,377,906)
=======================================================================================
- --------------------------------------------------------------------------------
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 January 31, 2004, were
$37,741,001 and $22,496,010, 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 0.75% 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, and 0.60% of average annual net assets in excess of
$800 million. The management fee is based upon a percentage of the Fund's
average annual net assets and is shown without giving effect to a voluntary
reduction by the Manager of 0.20% of the Fund's average
35 | OPPENHEIMER SENIOR FLOATING RATE FUND
NOTES TO FINANCIAL STATEMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
annual net assets. As a result of this agreement the Fund was reimbursed
$514,185 for the six months ended January 31, 2004. That voluntary reduction
and waiver may be withdrawn or amended at any time.
- --------------------------------------------------------------------------------
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 January 31, 2004, the
Fund paid $256,200 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.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12-B1) FEES. Under its General Distributor's
Agreement with the Fund, 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.
- --------------------------------------------------------------------------------
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. The Distributor currently uses the fees it receives
from the Fund to pay brokers, dealers and other financial institutions for
personal services and account maintenance services they provide for their
customers who hold Class A shares. Any unreimbursed expenses the Distributor
incurs with respect to Class A shares in any fiscal year cannot be recovered in
subsequent years. Fees incurred by the Fund under the plan are detailed in the
Statement of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B AND CLASS C SHARES. The Fund has
adopted Distribution and Service Plans for Class B and Class C shares to
compensate the Distributor for its services in connection with the distribution
of these shares and servicing accounts. 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. The Board of Trustees has currently set that fee
at 0.50%. The Distributor also receives a service fee of 0.25% per year under
each plan. If either the Class B or Class C plan is terminated by the Fund or
by the shareholders of a class, the Board of Trustees and its independent
trustees must determine whether the Distributor shall be entitled to payment
from the Fund of all or a portion of the service fee and/or asset-based sales
charge in respect to shares sold prior to the effective date of such
termination. The Distributor's aggregate uncompensated expenses under the plan
at January 31, 2004 for Class B and Class C shares was $5,417,993 and
$9,875,707, respectively. Fees incurred by the Fund under the plans are
detailed in the Statement of Operations.
36 | OPPENHEIMER SENIOR FLOATING RATE FUND
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C
CLASS A CONTINGENT CONTINGENT CONTINGENT
FRONT-END 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
- -------------------------------------------------------------------------------------------------------------------------------
January 31, 2004 $54,857 $-- $133,267 $28,723
- --------------------------------------------------------------------------------
5. ILLIQUID SECURITIES
As of January 31, 2004, 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. Most
Senior Loans and many of the Fund's other investments are illiquid. The
aggregate value of illiquid securities subject to this limitation as of January
31, 2004 was $518,498,341, which represents 84.69% of the Fund's net assets.
- --------------------------------------------------------------------------------
6. LOAN COMMITMENTS
Pursuant to the terms of certain credit agreements, the Fund has unfunded loan
commitments of $6,432,562 at January 31, 2004. These unfunded loan commitments
must be funded by the Fund upon the borrower's discretion. The Fund is
obligated to fund these commitments at the time of the request by the borrower.
The Fund generally will maintain with its custodian, short-term investments
having an aggregate value at least equal to the amount of unfunded loan
commitments.
- --------------------------------------------------------------------------------
7. BANK BORROWINGS
The Fund may borrow up to 33 1/3% of its total assets from a bank to purchase
portfolio securities, or for temporary and emergency purposes. The purchase of
securities with borrowed funds creates leverage in the Fund. The Fund has
entered into an agreement which enables it to participate with certain other
Oppenheimer funds in a committed, unsecured line of credit with a bank, which
permits borrowings up to $540 million, collectively. Interest is charged to
each fund, based on its borrowings, at a rate equal to the Federal Funds Rate
plus 0.75%. The rate of the Federal Funds Rate plus 0.625% was effective from
August 1, 2003 to November 8, 2003; thereafter, the rate is 0.75%. The Fund
also pays a commitment fee equal to its pro rata share of the average
unutilized amount of the credit facility at a rate of 0.09% per annum.
37 | OPPENHEIMER SENIOR FLOATING RATE FUND
NOTES TO FINANCIAL STATEMENTS UNAUDITED / CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. BANK BORROWINGS Continued
The Fund had borrowings outstanding of $5,200,000 at January 31, 2004 at an
interest rate of 1.8125%. For the six months ended January 31, 2004, the
average monthly loan balance was $9,035,556 at an average daily interest rate
of 1.715%. The Fund had gross borrowings and gross loan repayments of
$199,300,000 and $194,100,000, respectively, during the six months ended
January 31, 2004. The maximum amount of borrowings outstanding at any month-end
was $25,700,000. The Fund paid commitment fees of $14,913 and interest of
$78,344 during the six months ended January 31, 2004.
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.
38 | OPPENHEIMER SENIOR FLOATING RATE FUND
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer, principal
accounting officer or controller or persons performing similar functions.
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 applicable to semiannual reports.
ITEM 5. NOT APPLICABLE
ITEM 6. RESERVED
ITEM 7. NOT APPLICABLE
ITEM 8. NOT APPLICABLE
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no changes to the procedures by which shareholders may
recommend nominees to the registrant's Board of Trustees that would require
disclosure herein.
ITEM 10. 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 January 31, 2004,
registrant's principal executive officer and principal financial
officer found registrant's disclosure controls and procedures to
provide reasonable assurances 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 over financial reporting that occurred during the
registrant's last fiscal half-year that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 11. EXHIBITS.
(A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)