UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
Oppenheimer Strategic Income Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices)
(Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
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: September 30
Date of reporting period: October 1, 2003 - March 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
STATEMENT OF INVESTMENTS March 31, 2004 / Unaudited
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--4.8%
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American Money Management Corp., Commercial Debt Obligations
Sub. Bonds, Series I, Cl. D1, 13.602%, 1/15/12 1 $ 8,642,914 $ 8,340,412
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Arbor I Ltd., Catastrophe Linked Nts., Series 2004-4, 15.11%, 3/15/06 2 250,000 250,000
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Bank One Auto Securitization Trust, Automobile Receivable Certificates,
Series 2003-1, Cl. A2, 1.29%, 8/21/06 7,070,000 7,076,965
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BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2003-A,
Cl. A2, 1.45%, 11/25/05 6,645,665 6,654,988
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Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.,
Series 2003-2, Cl. A2A, 1.20%, 5/16/05 5,877,278 5,881,282
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Caterpillar Financial Asset Trust, Equipment Loan Pass-Through
Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 4,163,045 4,166,067
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Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2003-A, Cl. AF1, 1.836%, 10/25/17 850,449 850,958
Series 2003-B, Cl. AF1, 1.64%, 2/25/18 1,679,270 1,679,669
Series 2003-C, Cl. AF1, 2.14%, 7/25/18 7,607,343 7,626,214
Series 2004-A, Cl. AF1, 2.03%, 6/25/19 3,851,743 3,860,413
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Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity
Mtg. Obligations:
Series 2003-3, Cl. 1A1, 1.17%, 8/25/17 2 3,316,524 3,317,962
Series 2003-4, Cl. 1A1, 1.21%, 9/25/17 2 7,696,893 7,701,264
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Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through
Certificates:
Series 2003-A, Cl. A2, 1.26%, 1/16/06 2,777,606 2,780,022
Series 2003-B, Cl. A2, 1.287%, 3/15/06 3,720,000 3,723,326
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Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2002-A3, Cl. A3, 4.40%, 5/15/07 4,780,000 4,941,768
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CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized
Mtg. Obligations:
Series 2003-1, Cl. AF1, 1.94%, 1/25/33 1,615,679 1,616,325
Series 2003-2, Cl. AF1, 1.19%, 5/25/33 2 3,036,008 3,037,310
Series 2003-3, Cl. AF1, 1.21%, 8/25/33 1,2 4,721,703 4,723,559
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Conseco Finance Securitizations Corp., Manufactured Housing Contract
Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2, 10.32%, 12/1/30 1 4,093,535 534,718
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Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 1 15,000,000 16,023,161
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2002-B, Cl. A2, 2.20%, 4/6/05 61,033 61,078
Series 2003-A, Cl. A2, 1.52%, 12/8/05 13,960,000 13,987,352
Series 2003-B, Cl. A2, 1.61%, 7/8/06 12,330,000 12,367,947
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DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%,
4/15/11 1,3,4 15,000,000 1,500
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DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 1 3,083,887 1,389,677
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Embarcadero Aircraft Securitization Trust, Airplane Collateral Obligations,
Series 2000-A, Cl. B, 0.678%, 8/15/25 1,3,4 2,275,079 5,688
10 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2003-A, Cl. A2A, 1.62%, 8/15/05 $ 3,175,897 $ 3,181,791
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Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized
Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1 7,652,335 1,071,327
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Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 1 5,000,000 3,390,625
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Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 2,350,388
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Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/16/07 2,193,851 2,199,421
Series 2003-3, Cl. A1, 1.50%, 1/15/08 9,105,434 9,126,954
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Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2003-1, Cl. A2, 1.46%, 9/19/05 4,076,507 4,081,930
Series 2003-3, Cl. A2, 1.52%, 4/21/06 15,520,000 15,553,230
Series 2003-4, Cl. A2, 1.58%, 7/17/06 11,000,000 11,030,143
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Household Automotive Trust, Automobile Loan Certificates,
Series 2003-2, Cl. A2, 1.56%, 12/18/06 5,490,000 5,504,771
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M&I Auto Loan Trust, Automobile Loan Certificates:
Series 2002-1, Cl. A3, 2.49%, 10/22/07 7,111,318 7,168,046
Series 2003-1, Cl. A2, 1.60%, 7/20/06 9,510,000 9,535,900
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Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A,
Cl. C1, 3.40%, 3/24/14 1,2 3,000,000 30,000
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National City Auto Receivables Trust, Automobile Receivable Obligations,
Series 2004-A, Cl. A2, 1.50%, 2/15/07 4,700,000 4,697,063
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NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 12/25/28 1 4,445,081 1,155,721
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Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A,
Cl. A2, 1.69%, 12/15/05 7,000,000 7,015,407
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Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.:
Series 2003-A, Cl. A2, 1.45%, 5/16/05 4,800,543 4,805,340
Series 2003-B, Cl. A2, 1.20%, 11/15/05 13,170,000 13,179,210
Series 2004-A, Cl. A2, 1.40%, 7/17/06 5,470,000 5,476,559
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Residential Funding Mortgage Securities II, Inc., Home Equity Loan
Pass-Through Certificates, Series 2003-HS1, Cl. AI2, 1.19%, 1/25/33 2 967,745 968,349
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Sequoia Capital Ltd., Catastrophe Nts., Series 2004-2, 5.86%, 3/15/05 2 250,000 250,050
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Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 2,515,809 2,543,681
Series 2003-A, Cl. A2, 1.28%, 8/15/05 6,841,855 6,847,563
Series 2003-B, Cl. A2, 1.43%, 2/15/06 8,990,000 8,999,369
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USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 3,930,393 3,955,712
Series 2003-1, Cl. A2, 1.22%, 4/17/06 6,745,454 6,751,072
Series 2004-1, Cl. A2, 1.43%, 9/15/06 13,000,000 13,004,371
11 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Volkswagen Auto Loan Enhanced Trust, Automobile Loan
Receivable Certificates:
Series 2003-1, Cl. A2, 1.11%, 12/20/05 $ 14,405,096 $ 14,409,657
Series 2003-2, Cl. A2, 1.55%, 6/20/06 6,370,000 6,385,819
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Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2002-1, Cl. A2, 1.88%, 6/15/05 4,700,438 4,709,220
Series 2003-1, Cl. A2A, 1.40%, 4/15/06 12,860,000 12,878,745
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Total Asset-Backed Securities (Cost $351,366,905) 314,857,059
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MORTGAGE-BACKED OBLIGATIONS--19.2%
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Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 5,000,000 5,727,230
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,000,000 22,862,314
Series 1996-D2, Cl. A3, 7.195%, 2/14/29 2 11,767,000 11,895,912
Series 1996-MD6, Cl. A7, 7.719%, 11/13/29 2 18,860,000 18,977,347
Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,875,000 11,393,748
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 7,000,000 7,688,774
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CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 3,370,000 3,375,987
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Citicorp Mortgage Securities, Inc., Collateralized Mtg. Obligations,
Series 2001-6, Cl. A4, 6.50%, 5/25/29 9,776,516 9,920,600
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Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligations,
Series 1996-C2, Cl. F, 6.919%, 9/15/23 2,7 1,911,168 1,910,457
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CS First Boston Mortgage Securities Corp., Commercial Mtg. Interest-Only
Certificates, Series 2002-CKP1, Cl. AX, 11.763%, 12/15/35 6,7 412,542,880 6,735,340
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DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through
Certificates, Series 1999-STF1, Cl. B6, 7/5/08 1,3,4 55,709,338 --
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DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 1 36,400,000 18,149,040
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Federal Home Loan Mortgage Corp.:
5%, 4/15/34 5 36,997,000 37,181,985
5.50%, 1/1/34 3,491,438 3,581,891
5.50%, 4/15/34 5 49,458,000 50,694,450
7%, 9/1/33-8/1/34 33,017,069 35,053,363
7.50%, 2/1/32 5,205,442 5,602,392
8.50%, 8/1/31 3,325,657 3,598,103
10%, 4/1/20-5/1/20 417,467 472,189
10.50%, 5/1/20 631,070 733,380
11.50%, 10/1/16-1/1/18 683,154 775,895
12%, 6/1/17 1,377,039 1,572,556
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Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations,
Gtd. Multiclass Mtg. Participation Certificates, Series 1669, Cl. G,
6.50%, 2/15/23 3,229,910 3,290,711
12 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS Continued
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2055, Cl. ZM, 6.50%, 5/15/28 $ 4,874,971 $ 5,112,063
Series 2080, Cl. Z, 6.50%, 8/15/28 3,266,147 3,392,718
Series 2347, Cl. PD, 6.50%, 8/15/31 15,413,000 16,359,409
Series 2387, Cl. PD, 6%, 4/15/30 5,791,000 5,971,306
Series 2410, Cl. NE, 6.50%, 9/15/30 18,950,286 19,348,958
Series 2413, Cl. MH, 6.50%, 2/15/32 25,000,000 26,307,520
Series 2423, Cl. PD, 6.50%, 11/15/30 8,891,581 9,013,331
Series 2430, Cl. GD, 6.50%, 11/15/30 14,708,290 15,083,897
Series 2430, Cl. ND, 6.50%, 1/15/31 15,919,115 16,224,144
Series 2491, Cl. PE, 6%, 12/15/27 4,260,000 4,317,243
Series 2498, Cl. PC, 5.50%, 10/15/14 1,300,000 1,330,583
Series 2500, Cl. FD, 1.59%, 3/15/32 2 2,579,983 2,601,355
Series 2526, Cl. FE, 1.49%, 6/15/29 2 2,655,722 2,667,059
Series 2551, Cl. FD, 1.49%, 1/15/33 2 2,269,623 2,278,493
Series 2551, Cl. TA, 4.50%, 2/15/18 8,647,533 8,720,146
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. B, (8.452)%, 7/1/26 6 8,090,097 1,205,659
Series 204, Cl. IO, (28.192)%, 5/15/29 6 512,105 76,819
Series 205, Cl. IO, (9.90)%, 9/15/29 6 10,319,565 1,487,364
Series 206, Cl. IO, (32.278)%, 12/15/29 6 3,273,896 521,323
Series 207, Cl. IO, (42.128)%, 4/15/30 6 3,711,943 517,420
Series 208, Cl. IO, (23.262)%, 6/1/30 6 6,306,635 879,103
Series 212, Cl. IO, (34.493)%, 5/1/31 6 4,452,796 661,039
Series 214, Cl. IO, (36.852)%, 6/1/31 6 3,232,642 507,049
Series 217, Cl. IO, (47.031)%, 2/1/32 6 3,656,990 557,956
Series 2526, Cl. SE, 20.414%, 6/15/29 6 4,828,335 471,222
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Federal Home Loan Mortgage Corp., Structured Pass-Through
Securities, Collateralized Mtg. Obligations:
Series H006, Cl. A1, 1.724%, 4/15/08 908,087 906,748
Series T-42, Cl. A2, 5.50%, 2/25/42 774,754 781,290
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Federal National Mortgage Assn.:
5%, 4/15/34 5 39,945,000 40,132,262
5.50%, 7/1/33-12/1/34 26,680,614 27,360,052
5.50%, 2/1/34-4/11/34 5 33,449,121 34,279,643
6.50%, 1/1/29 536,143 564,311
6.50%, 10/1/30-4/1/34 5 123,779,461 130,049,450
7%, 9/1/29-11/1/33 17,082,467 18,216,805
7%, 4/25/34 5 348,278,000 369,718,690
8.50%, 7/1/32 787,206 851,184
9.50%, 4/1/20-3/15/21 294,262 328,854
10.50%, 10/1/19 81,564 92,996
11%, 10/15/15-2/1/26 962,969 1,099,450
15%, 4/15/13 721,056 861,203
13 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS Continued
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Federal National Mortgage Assn. Grantor Trust, Commercial Mtg
Obligations, Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T10, Cl. IO, (13.882)%, 12/25/31 1,6 $ 477,358,527 $ 6,414,505
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Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 724,379 728,789
Trust 1998-63, Cl. PG, 6%, 3/25/27 2,984,053 3,032,981
Trust 2001-50, Cl. LD, 6.50%, 5/25/30 6,210,433 6,295,006
Trust 2001-50, Cl. NE, 6%, 8/25/30 4,572,862 4,715,478
Trust 2001-70, Cl. LR, 6%, 9/25/30 4,005,123 4,102,180
Trust 2001-70, Cl. PD, 6%, 3/25/29 4,090,000 4,164,228
Trust 2001-72, Cl. NH, 6%, 4/25/30 3,520,000 3,621,370
Trust 2001-74, Cl. PD, 6%, 5/25/30 1,410,000 1,443,058
Trust 2002-50, Cl. PD, 6%, 9/25/27 3,110,000 3,176,201
Trust 2002-73, Cl. PA, 5%, 1/25/17 3,285,461 3,304,981
Trust 2002-77, Cl. WF, 1.49%, 12/18/32 2 3,798,329 3,810,891
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 5,934,984 6,011,493
Trust 2003-81, Cl. PA, 5%, 2/25/12 2,414,406 2,465,086
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Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, 10.991%, 2/25/29 1,6 48,559,258 1,183,632
Trust 2001-T4, Cl. IO, (1.289)%, 7/25/28 1,6 81,439,699 1,985,093
Trust 2002-28, Cl. SA, 14.491%, 4/25/32 6 2,775,141 235,336
Trust 2002-39, Cl. SD, 14.474%, 3/18/32 6 4,506,975 390,354
Trust 2002-48, Cl. S, 11.803%, 7/25/32 6 4,362,576 423,640
Trust 2002-52, Cl. SL, 12.502%, 9/25/32 6 2,764,792 277,222
Trust 2002-53, Cl. SK, 14.057%, 4/25/32 6 2,810,212 253,255
Trust 2002-56, Cl. SN, 15.731%, 7/25/32 6 5,980,441 582,036
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Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 221, Cl. 2, (7.576)%, 5/1/23 6 2,847,990 486,350
Trust 240, Cl. 2, (5.058)%, 9/1/23 6 4,270,895 700,560
Trust 313, Cl. 2, (35.645)%, 6/25/31 6 16,873,128 2,584,701
Trust 2002-9, Cl. MS, 9.507%, 3/25/32 6 5,118,936 472,598
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First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates:
Series 1997-CHL1, Cl. D, 7.966%, 4/29/39 1,2 8,500,001 9,029,923
Series 1997-CHL1, Cl. E, 7.966%, 4/29/39 1,2 14,500,002 13,149,689
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Government National Mortgage Assn.:
7%, 1/15/28-1/20/30 8,137,026 8,675,621
8%, 1/15/28-9/15/28 4,523,822 4,950,019
12.50%, 12/15/13-11/15/15 3,530,954 4,099,851
13%, 10/15/15 5,481,995 6,418,312
13.50%, 6/15/15 6,808,851 8,022,095
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J.P. Morgan Commercial Mortgage Finance Corp., Commercial
Interest-Only Mtg. Obligations, Series 1999-PLS1, Cl. X, 13.691%, 2/15/32 6,7 114,061,335 2,364,377
14 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
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J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 $ 10,700,000 $ 12,758,623
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LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,429,000 9,968,221
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LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2000-C3, Cl. A2, 7.95%, 1/15/10 10,000,000 12,142,837
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Lehman Structured Securities Corp., Collateralized Interest-Only Mtg
Pass-Through Certificates, Series 2001-GE9, Cl. A, (99.999)%, 1/25/31 1,6 408,328 510
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Lehman Structured Securities Corp., Collateralized Mtg. Obligations:
Series 2001-GE4, Cl. A, 249.24%, 10/25/30 2 231,001 235,838
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1 950,221 907,461
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Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.321%, 6/15/21 2 1,261,899 1,354,251
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Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.464%, 2/15/28 2,7 13,360,980 12,430,004
Series 1997-RR, Cl. D, 7.73%, 4/30/39 2,7 2,950,159 3,185,231
Series 1997-RR, Cl. E, 7.73%, 4/30/39 2,7 9,200,496 8,859,978
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 7 14,358,000 12,661,964
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PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 10,000,000 11,407,738
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Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 2.638%, 1/15/03 1,3 624,465 --
Series 1992-2, Cl. B3, 8.445%, 4/15/09 1,2 1,209,499 350,755
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Residential Accredit Loans, Inc., Collateralized Mtg. Obligations, Asset-Backed
Pass-Through Certificates, Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 2,147,253 2,145,902
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Salomon Brothers Mortgage Securities VII, Inc., Collateralized Mtg. Obligations:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 2,502,783 2,634,695
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 2,504,413 2,584,442
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Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg
Pass-Through Certificates:
Series 1996-B, Cl. 1, 6.996%, 4/25/26 1,2 2,214,176 1,992,758
Series 1996-C1, Cl. F, 8.455%, 1/20/06 1,2 9,632,000 9,535,680
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Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,500,000 2,663,966
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Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 7,659,933 7,766,530
- --------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg. Obligations,
Series 1995-C4, Cl. E, 8.966%, 6/25/26 1,2 144,771 144,728
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Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, (19.744)%, 9/15/22 6 35,911,226 631,082
Series 1995-2B, Cl. 2IO, (20.019)%, 6/15/25 6 2,803,843 44,090
Series 1995-3, Cl. 1IO, (28.849)%, 9/15/25 6 91,730,011 612,633
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- --------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized Mtg
Obligations Pass-Through Certificates, Series 2003-AR7, Cl. A1,
1.507%, 8/25/33 2 $ 3,080,487 $ 3,083,288
--------------
Total Mortgage-Backed Obligations (Cost $1,260,711,868) 1,271,723,897
- --------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--6.3%
- --------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
2.875%, 12/15/06 80,000,000 81,618,960
4.50%, 1/15/13 13,285,000 13,675,180
4.875%, 3/15/07-11/15/13 23,555,000 25,083,723
5.75%, 1/15/12 45,000,000 50,487,750
- --------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 1.51%, 2/7/05 11,500,000 11,501,047
- --------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 43,000,000 45,503,417
5.50%, 2/15/06 33,480,000 35,853,129
6%, 5/15/08 40,000,000 45,014,600
7.25%, 5/15/30 12,900,000 16,511,058
- --------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Federal Book Entry Principal Strips, 6.11%, 1/15/21 8 52,460,000 22,079,627
- --------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
Series C, 4.75%, 8/1/13 4,155,000 4,333,137
Series C, 6%, 3/15/13 3,990,000 4,540,273
- --------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.50%, 8/15/28 9 7,850,000 8,564,782
6.125%, 11/15/27 7,749,000 9,144,432
9.25%, 2/15/16 10 7,000,000 10,365,747
STRIPS, 4.93%, 2/15/16 8,9,11 34,499,000 20,316,668
STRIPS, 5.52%, 11/15/26 8 1,681,000 521,653
- --------------------------------------------------------------------------------------------------------------------
United States (Government of) Gtd. Israel Aid Bonds, 5.50%, 12/4/23 11,400,000 12,097,144
---------------
Total U.S. Government Obligations (Cost $405,557,803) 417,212,327
- --------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--26.6%
- --------------------------------------------------------------------------------------------------------------------
ARGENTINA--1.4%
Argentina (Republic of) Bonds:
1.234%, 8/3/12 2 103,245,000 68,717,084
1.278%, 5/3/05 3 1,218,000 1,178,415
2%, 9/30/08 1 [ARP] 12,985,000 4,212,054
Series PRE8, 2%, 1/3/10 1,3,4 [ARP] 19,480,000 7,892,685
Series PR12, 2%, 1/3/16 1,3,4 [ARP] 13,204,891 4,378,494
- --------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Disc. Bonds, 2.345%, 3/31/23 3 3,800,000 1,957,000
- --------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Letras del Banco Central de la Republica
Treasury Bills, 14.75%, 10/8/04 8 [ARP] 253,000 86,705
- --------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Par Bonds, 5.984%, 3/31/23 3,4 5,450,000 2,834,000
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
ARGENTINA Continued
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 3.257%, 4/1/07 1,3 [ARP] 1,178,379 $ 474,903
---------------
91,731,340
- --------------------------------------------------------------------------------------------------------------------
AUSTRIA--0.8%
Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 36,250,000 53,902,617
- --------------------------------------------------------------------------------------------------------------------
BELGIUM--1.0%
Belgium (Kingdom of) Bonds:
5%, 9/28/11 [EUR] 4,695,000 6,259,531
Series 19, 6.50%, 3/31/05 [EUR] 11,800,000 15,150,663
Series 26, 6.25%, 3/28/07 [EUR] 19,320,000 26,235,290
Series 28, 5.75%, 3/28/08 [EUR] 8,780,000 11,943,163
Series 32, 3.75%, 3/28/09 [EUR] 5,535,000 6,985,613
---------------
66,574,260
- --------------------------------------------------------------------------------------------------------------------
BRAZIL--1.7%
Brazil (Federal Republic of) Bonds, Series 15 yr., 2.063%, 4/15/09 2 152,064 143,320
- --------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr.,
8%, 4/15/14 100,187,518 98,183,767
- --------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Unsec. Unsub. Bonds:
11%, 8/17/40 200 215
Cl. B, 8.875%, 4/15/24 13,625,000 12,548,625
---------------
110,875,927
- --------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.1%
Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 7,235,000 6,989,010
- --------------------------------------------------------------------------------------------------------------------
DENMARK--0.3%
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 129,370,000 22,133,785
- --------------------------------------------------------------------------------------------------------------------
FINLAND--0.1%
Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,990,000 3,713,286
- --------------------------------------------------------------------------------------------------------------------
FRANCE--1.9%
France (Government of) Obligations Assimilables du Tresor Bonds:
5.50%, 10/25/10 [EUR] 5,160,000 7,074,157
5.75%, 10/25/32 [EUR] 25,445,000 36,018,232
- --------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
3.50%, 7/12/04 [EUR] 42,210,000 52,097,503
3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 25,997,679
5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,042,159
5 yr., 5%, 7/12/05 [EUR] 1,500,000 1,913,673
---------------
124,143,403
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
GERMANY--5.5%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 42,040,000 $ 51,706,861
5.375%, 1/4/10 [EUR] 19,385,000 26,399,787
Series 01, 5%, 7/4/11 [EUR] 9,800,000 13,104,225
Series 02, 5%, 7/4/12 [EUR] 26,650,000 35,550,320
Series 140, 4.50%, 8/17/07 [EUR] 3,410,000 4,435,276
Series 143, 3.50%, 10/10/08 [EUR] 186,290,000 233,785,095
---------------
364,981,564
- --------------------------------------------------------------------------------------------------------------------
GREAT BRITAIN--0.6%
United Kingdom Treasury Nts., 7.50%, 12/7/06 [GBP] 21,025,000 41,519,539
- --------------------------------------------------------------------------------------------------------------------
GREECE--1.0%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 11,735,000 14,725,786
4.60%, 5/20/13 [EUR] 2,720,000 3,481,042
5.35%, 5/18/11 [EUR] 10,900,000 14,763,643
- --------------------------------------------------------------------------------------------------------------------
Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 23,245,000 30,278,151
---------------
63,248,622
- --------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 7 2,910,000 3,521,100
10.25%, 11/8/11 4,235,000 5,124,350
---------------
8,645,450
- --------------------------------------------------------------------------------------------------------------------
ITALY--1.5%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
4%, 3/1/05 [EUR] 6,635,000 8,307,856
5%, 10/15/07 [EUR] 21,650,000 28,638,354
5%, 2/1/12 [EUR] 26,035,000 34,630,745
5.25%, 12/15/05 [EUR] 21,165,000 27,362,167
---------------
98,939,122
- --------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.1%
Ivory Coast (Government of) Front Loaded Interest Reduction Bonds,
2%, 3/29/18 3,4 87,000 15,878
- --------------------------------------------------------------------------------------------------------------------
Ivory Coast (Government of) Past Due Interest Bonds, 1.90%,
3/29/18 1,3,4 [FRF] 93,959,750 3,344,541
---------------
3,360,419
- --------------------------------------------------------------------------------------------------------------------
JAPAN--2.0%
Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 13,686,000,000 132,247,791
- --------------------------------------------------------------------------------------------------------------------
MEXICO--0.5%
Mexican Williams Sr. Nts., 1.278%, 11/15/08 1,2 1,500,000 1,567,500
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MEXICO Continued
United Mexican States Bonds:
6.75%, 6/6/06 [JPY] 707,000,000 $ 7,643,904
7.50%, 4/8/33 10,545,000 11,520,413
8.30%, 8/15/31 6,210,000 7,312,275
- --------------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 755,000,000 8,162,868
---------------
36,206,960
- --------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,695,000 3,464,063
- --------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,716,806 3,422,617
---------------
6,886,680
- --------------------------------------------------------------------------------------------------------------------
PERU--0.5%
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 62,986,855 36,185,948
- --------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.2%
Philippines (Republic of) Bonds:
8.375%, 2/15/11 6,485,000 6,529,584
9.375%, 1/18/17 4,220,000 4,467,925
10.625%, 3/16/25 2,920,000 3,193,750
---------------
14,191,259
- --------------------------------------------------------------------------------------------------------------------
POLAND--0.7%
Poland (Republic of) Bonds, Series 0K0805, 5.16%, 8/12/05 8 [PLZ] 189,340,000 45,220,862
- --------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.6%
Portugal (Republic of) Obrig Do Tes Medio Prazo Nts., 4.875%, 8/17/07 [EUR] 23,400,000 30,766,749
- --------------------------------------------------------------------------------------------------------------------
Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Bonds,
5.85%, 5/20/10 [EUR] 4,365,000 6,078,464
---------------
36,845,213
- --------------------------------------------------------------------------------------------------------------------
RUSSIA--0.8%
Ministry Finance of Russia Debs.:
Series V, 3%, 5/14/08 22,945,000 21,324,509
Series VI, 3%, 5/14/06 13,775,000 13,607,083
- --------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Nts., 10%, 6/26/07 12,050,000 14,309,375
- --------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 2 510,250 510,649
---------------
49,751,616
- --------------------------------------------------------------------------------------------------------------------
SPAIN--1.1%
Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado,
5.75%, 7/30/32 [EUR] 20,670,000 29,187,812
- --------------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 1.96%, 4/23/04 8 [EUR] 35,045,000 43,021,573
---------------
72,209,385
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
SWEDEN--2.9%
Sweden (Kingdom of) Bonds, Series 1043, 5%, 1/28/09 [SEK] 920,550,000 $ 130,612,560
- --------------------------------------------------------------------------------------------------------------------
Sweden (Kingdom of) Debs., Series 1040, 6.50%, 5/5/08 [SEK] 397,045,000 59,167,408
---------------
189,779,968
- --------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.6%
Netherlands (Kingdom of the) Bonds:
5%, 7/15/11 [EUR] 5,250,000 7,004,637
5.50%, 1/15/28 [EUR] 22,970,000 31,290,548
---------------
38,295,185
- --------------------------------------------------------------------------------------------------------------------
TURKEY--0.2%
Turkey (Republic of) Nts., 7.20%, 2/16/06 [JPY] 1,565,000,000 16,321,671
- --------------------------------------------------------------------------------------------------------------------
URUGUAY--0.0%
Uruguay (Republic of) Treasury Bills, Series UYP1, 14.92%, 6/7/04 8 [UYU] 42,070,000 1,375,981
- --------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.3%
Venezuela (Republic of) Debs., Series DL, 2.125%, 12/18/07 2 6,788,351 6,423,477
- --------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Disc. Bonds, Series W-A, 2.188%, 3/31/20 2 18,490,000 15,624,050
---------------
22,047,527
---------------
Total Foreign Government Obligations (Cost $1,679,028,457) 1,758,324,390
- --------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--1.2%
- --------------------------------------------------------------------------------------------------------------------
Algeria (Republic of) Loan Participation Nts., 2%, 3/4/10 1,2 8,624,817 8,484,664
- --------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 1 25,000,000 25,072,500
- --------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesia (Republic of) Rupiah Loan Participation Nts.:
2.636%, 5/21/04 1 20,675,000 19,951,375
2.636%, 3/25/05 1 23,680,000 22,200,000
- --------------------------------------------------------------------------------------------------------------------
Telergy, Inc., Sr. Sec. Credit Facilities Term Loan Participation Nts.,
Tranche A, 11.111%, 1/1/02 1,3,4 8,877,258 --
---------------
Total Loan Participations (Cost $81,574,315) 75,708,539
- --------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.6%
- --------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--8.8%
- --------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.8%
Cambridge Industries, Inc., Liquidating Trust Interests, 7/15/07 1,12 5,189,534 --
- --------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 1,900,000 2,042,500
- --------------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 2,700,000 2,787,750
- --------------------------------------------------------------------------------------------------------------------
Dana Corp.:
9% Unsec. Nts., 8/15/11 6,920,000 8,355,900
10.125% Nts., 3/15/10 3,500,000 4,060,000
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS Continued
Dura Operating Corp.:
8.625% Sr. Nts., Series B, 4/15/12 $ 2,500,000 $ 2,675,000
9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 3,000,000 3,686,699
9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,550,000 1,577,125
- --------------------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3,800,000 4,180,000
- --------------------------------------------------------------------------------------------------------------------
Keystone Automotive Operations, Inc., 9.75% Sr. Sub. Nts., 11/1/13 7 1,000,000 1,100,000
- -------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,500,000 2,968,750
- --------------------------------------------------------------------------------------------------------------------
Metaldyne Corp.:
10% Sr. Nts., 11/1/13 7 1,500,000 1,492,500
11% Sr. Sub. Nts., 6/15/12 4,900,000 4,410,000
- --------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 5,750,000 6,885,625
- --------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,100,000 3,580,500
- --------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,600,000 1,736,000
---------------
51,538,349
- --------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.2%
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
8.375% Sr. Unsec. Nts., 3/15/13 9,450,000 10,820,250
- --------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.4%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 1 4,875,000 1,730,625
- --------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,000,000 4,515,000
- --------------------------------------------------------------------------------------------------------------------
Boca Resorts, Inc., 9.875% Sr. Sub. Nts., 4/15/09 1 6,800,000 7,191,000
- --------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 3,600,000 3,987,000
- --------------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 1,3,4 33,500 --
- --------------------------------------------------------------------------------------------------------------------
Choctaw Resort Development Enterprise, 9.25% Sr. Unsec. Nts., 4/1/09 1 3,000,000 3,255,000
- --------------------------------------------------------------------------------------------------------------------
Coast Hotels & Casinos, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/09 4,000,000 4,220,000
- --------------------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 3,200,000 3,464,000
- --------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 7 1,100,000 1,178,375
- --------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625% Nts., 12/1/12 2,300,000 2,653,625
- --------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 4,750,000 4,886,563
- --------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,167,000 3,285,763
- --------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Sub. Nts., 3/1/14 7 2,100,000 2,121,000
8.75% Sr. Unsec. Nts., 4/15/09 2,900,000 3,041,375
9% Sr. Sub. Nts., 3/15/12 7,200,000 8,172,000
- --------------------------------------------------------------------------------------------------------------------
John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 3,100,000 3,464,250
- --------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,500,000 4,186,875
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 4,800,000 5,676,000
- --------------------------------------------------------------------------------------------------------------------
MGM Grand, Inc., 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,050,000 1,218,000
- --------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 5,100,000 5,916,000
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Mohegan Tribal Gaming Authority:
6.375% Sr. Sub. Nts., 7/15/09 $ 3,300,000 $ 3,481,500
8% Sr. Sub. Nts., 4/1/12 1,900,000 2,109,000
8.375% Sr. Sub. Nts., 7/1/11 1 1,600,000 1,776,000
- --------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 7,000,000 7,840,000
- --------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
8.875% Sr. Sub. Nts., 3/15/10 1 3,700,000 4,051,500
11.125% Sr. Unsec. Sub. Nts., 3/1/08 1 8,000,000 9,020,000
- --------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Sub. Nts., 3/15/12 7 3,100,000 3,038,000
- --------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 1,3,4 10,800,000 --
- --------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 3,900,000 4,134,000
- --------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd.:
8% Sr. Unsec. Nts., 5/15/10 1,000,000 1,135,000
8.75% Sr. Unsub. Nts., 2/2/11 3,100,000 3,642,500
- --------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Nts., 2/1/10 6,000,000 6,225,000
9.75% Sr. Nts., 4/15/13 5,500,000 5,871,250
- --------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,000,000 9,080,000
- --------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.875% Sr. Unsec. Sub. Nts., 7/1/10 2,500,000 2,771,875
- --------------------------------------------------------------------------------------------------------------------
Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 5,000,000 5,575,000
- --------------------------------------------------------------------------------------------------------------------
Trump Casino Holdings LLC/Trump Casino Funding, Inc.,
11.625% Sr. Sec. Nts., 3/15/10 4,300,000 4,321,500
- --------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,800,000 4,441,250
- --------------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 3,800,000 4,389,000
---------------
157,064,826
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.9%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,600,000 7,408,500
- --------------------------------------------------------------------------------------------------------------------
Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 1 4,750,000 5,159,688
- --------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,100,000 2,404,500
9.75% Sr. Sub. Nts., 9/15/10 9 2,325,000 2,859,750
- --------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,600,000 2,951,000
- --------------------------------------------------------------------------------------------------------------------
KB Home:
7.75% Sr. Nts., 10/15/04 10,350,000 10,647,563
8.625% Sr. Sub. Nts., 12/15/08 2,050,000 2,321,625
9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 798,000
- --------------------------------------------------------------------------------------------------------------------
Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 2,500,000 2,850,000
- --------------------------------------------------------------------------------------------------------------------
Salton, Inc.:
10.75% Sr. Unsec. Sub. Nts., 12/15/05 3,200,000 3,104,000
12.25% Sr. Sub. Nts., 4/15/08 2,000,000 1,970,000
- --------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 5,7 2,200,000 2,194,500
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES Continued
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 $ 2,000,000 $ 2,355,000
- --------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 2,000,000 2,270,000
- --------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,500,000 3,920,000
- --------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,450,000 4,096,875
- --------------------------------------------------------------------------------------------------------------------
Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 4,800,000 4,824,000
---------------
62,135,001
- --------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.0%
Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 2,200,000 2,238,500
- --------------------------------------------------------------------------------------------------------------------
MEDIA--3.6%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3,4 1,400,000 1,302,000
8.125% Sr. Nts., Series B, 7/15/03 3,4 3,750,000 3,543,750
8.375% Sr. Nts., Series B, 2/1/08 3,4 4,400,000 4,224,000
9.25% Sr. Unsec. Nts., Series B, 10/1/04 3,4 6,300,000 5,953,500
9.875% Sr. Nts., Series B, 3/1/07 3,4 1,500,000 1,447,500
10.25% Sr. Unsec. Nts., 11/1/06 3,4 300,000 288,000
10.25% Sr. Unsec. Sub. Nts., 6/15/11 3,4 2,600,000 2,613,000
10.875% Sr. Unsec. Nts., 10/1/10 3,4 100,000 97,500
- --------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 3,000,000 3,127,500
- --------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Sub. Nts., 3/1/14 7 500,000 498,750
9.50% Sr. Unsec. Sub. Nts., 2/1/11 8,062,000 8,465,100
- --------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 972,563
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 500,000 526,250
- --------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,000,000 3,210,000
- --------------------------------------------------------------------------------------------------------------------
Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 1,3,4 [EUR] 3,000,000 235,027
- --------------------------------------------------------------------------------------------------------------------
CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Cl. B, 4/15/13 900,000 985,500
- --------------------------------------------------------------------------------------------------------------------
CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 992,250
- --------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings II, 10.25% Sr. Unsec. Nts., 9/15/10 7 3,700,000 3,829,500
- --------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/
Charter Communications Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11 13 21,600,000 17,982,000
8.625% Sr. Unsec. Nts., 4/1/09 16,100,000 13,363,000
10% Sr. Nts., 4/1/09 1,000,000 860,000
10% Sr. Unsec. Sub. Nts., 5/15/11 2,000,000 1,670,000
10.75% Sr. Unsec. Nts., 10/1/09 1,300,000 1,144,000
11.125% Sr. Unsec. Nts., 1/15/11 3,200,000 2,816,000
- --------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,900,000 2,075,750
- --------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Disc. Nts., 3/15/14 7,13 4,600,000 2,866,375
- --------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 11.20% Sr. Unsec. Disc. Debs., 11/15/07 6,260,000 6,322,600
- --------------------------------------------------------------------------------------------------------------------
Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,200,000 2,447,500
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MEDIA Continued
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 $ 10,100,000 $ 10,706,000
- --------------------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 1,600,000 1,656,000
- --------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
9.125% Sr. Nts., 1/15/09 2,206,000 2,503,810
10.375% Sr. Unsec. Nts., 10/1/07 11,850,000 12,946,125
- --------------------------------------------------------------------------------------------------------------------
Emmis Communications Corp.:
0%/12.50% Sr. Unsec. Disc. Nts., 3/15/11 13 4,628,000 4,454,450
8.125% Sr. Unsec. Sub. Nts., Series B, 3/15/09 2,925,000 3,060,281
- --------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec
Sub. Nts., 3/1/14 2,000,000 2,175,000
- --------------------------------------------------------------------------------------------------------------------
Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 1,400,000 1,508,500
- --------------------------------------------------------------------------------------------------------------------
Hollinger International Publishing, Inc., 9% Sr. Unsec. Nts., 12/15/10 3,175,000 3,508,375
- --------------------------------------------------------------------------------------------------------------------
Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 1,700,000 1,757,375
- --------------------------------------------------------------------------------------------------------------------
Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 1,500,000 1,571,250
- --------------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,962,000
- --------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 2,200,000 2,293,500
- --------------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1 1,550,000 1,728,250
- --------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,800,000 4,776,000
- --------------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 8.50% Sr. Unsec. Nts., 2/1/12 9,200,000 9,660,000
- --------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 8% Sr. Nts., 5/15/13 7 7,600,000 7,638,000
- --------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I:
8.875% Sr. Nts., 12/15/10 7 2,800,000 3,164,000
10.875% Sr. Sub. Nts., 12/15/12 7 4,300,000 5,149,250
- --------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,900,000 3,233,500
- --------------------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc., 9.375% Sr. Sub. Nts., Series B, 2/1/12 5,400,000 6,129,000
- --------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,580,000 10,911,731
- --------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 11,400,000 12,411,750
8.75% Sr. Sub. Nts., 12/15/11 800,000 890,000
- --------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,850,000 11,541,688
- --------------------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,250,000 2,446,875
- --------------------------------------------------------------------------------------------------------------------
Videotron Ltee, 6.875% Sr. Unsec. Nts., 1/15/14 1,400,000 1,470,000
- --------------------------------------------------------------------------------------------------------------------
Vivendi Universal SA, 9.25% Sr. Nts., 4/15/10 3,100,000 3,720,000
- --------------------------------------------------------------------------------------------------------------------
Von Hoffmann Corp., 10.25% Sr. Unsec. Nts., 3/15/09 1,400,000 1,468,250
- --------------------------------------------------------------------------------------------------------------------
WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc.,
12.75% Sr. Sub. Nts., 11/15/09 7,400,000 7,492,500
- --------------------------------------------------------------------------------------------------------------------
237,792,375
---------------
- --------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.2%
J.C. Penney Co., Inc., 8% Nts., 3/1/10 3,050,000 3,591,375
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL Continued
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 $ 5,420,000 $ 6,124,600
9.875% Nts., 10/1/11 2,700,000 3,334,500
---------------
13,050,475
- --------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.5%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,900,000 6,342,500
- --------------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 7 1,000,000 987,500
- --------------------------------------------------------------------------------------------------------------------
AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,500,000 6,462,500
- --------------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 1 3,775,000 3,789,156
- --------------------------------------------------------------------------------------------------------------------
Finlay Enterprises, Inc., 9% Debs., 5/1/08 3,200,000 3,296,000
- --------------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 3,125,000 3,226,563
- --------------------------------------------------------------------------------------------------------------------
Gap, Inc. (The), 10.55% Unsub. Nts., 12/15/08 1,200,000 1,494,000
- --------------------------------------------------------------------------------------------------------------------
Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 1 3,200,000 3,728,000
- --------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 1,3,4 4,300,000 --
- --------------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 1 4,000,000 4,690,000
- --------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Sub. Nts., Series B, 5/1/10 1,250,000 1,331,250
---------------
35,347,469
- --------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.2%
Broder Bros. Co., 11.25% Sr. Nts., 10/15/10 7 2,100,000 2,110,500
- --------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
11.625% Sr. Unsec. Nts., 1/15/08 1,950,000 1,501,500
12.25% Sr. Nts., 12/15/12 2,200,000 1,672,000
- --------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 7 1,500,000 1,620,000
- --------------------------------------------------------------------------------------------------------------------
Russell Corp., 9.25% Sr. Nts., 5/1/10 2,500,000 2,668,750
---------------
9,572,750
- --------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.3%
- --------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1,300,000 1,449,500
- --------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,000,000 2,220,000
---------------
3,669,500
- --------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.2%
Delhaize America, Inc., 8.125% Unsub. Debs., 4/15/11 4,605,000 5,318,775
- --------------------------------------------------------------------------------------------------------------------
Fleming Cos., Inc.:
10.125% Sr. Unsec. Nts., 4/1/08 1,3,4 6,000,000 810,000
10.625% Sr. Unsec. Sub. Nts., Series D, 7/31/07 1,3,4 1,000,000 6,250
- --------------------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 1,400,000 1,232,000
- --------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 13% Disc. Nts., 5/31/09 1,3,4,14 8,836,185 --
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING Continued
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 $ 4,000,000 $ 4,300,000
9.50% Sr. Sec. Nts., 2/15/11 2,000,000 2,230,000
---------------
13,897,025
- --------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.7%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 1 4,700,000 5,640,000
- --------------------------------------------------------------------------------------------------------------------
Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 3,4 2,400,000 2,052,000
- --------------------------------------------------------------------------------------------------------------------
Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 7 4,350,000 4,611,000
- --------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 10.56% Sr. Unsec. Nts., 3/15/09 622,000 690,420
- --------------------------------------------------------------------------------------------------------------------
Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 3,900,000 4,407,000
- --------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 1 3,200,000 3,352,000
- --------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 2,500,000 2,750,000
8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,861,500
- --------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1,800,000 2,007,000
- --------------------------------------------------------------------------------------------------------------------
New World Pasta Co., 9.25% Sr. Nts., 2/15/09 1,3,4 1,000,000 155,000
- --------------------------------------------------------------------------------------------------------------------
Pinnacle Foods Holding Corp., 8.25% Sr. Sub. Nts., 12/1/13 7 1,800,000 1,921,500
- --------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,050,000 3,309,250
8% Sr. Nts., Series B, 10/15/09 1,000,000 1,122,500
- --------------------------------------------------------------------------------------------------------------------
Swift & Co., 10.125% Sr. Nts., 10/1/09 2,000,000 2,170,000
- --------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 5,500,000 5,335,000
- --------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 4,000,000 8,049,784
---------------
49,433,954
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.3%
AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 1 3,700,000 3,866,500
- --------------------------------------------------------------------------------------------------------------------
Holmes Products Corp.:
9.875% Sr. Sub. Nts., Series C, 11/15/07 1 1,000,000 1,046,140
9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 1 4,610,000 4,822,705
- --------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 7 2,900,000 3,030,500
9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,000,000 2,895,000
- --------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 12% Sr. Sec. Nts., 12/1/05 3,450,000 3,760,500
- --------------------------------------------------------------------------------------------------------------------
Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 1,3,4 6,340,000 --
---------------
19,421,345
- --------------------------------------------------------------------------------------------------------------------
ENERGY--2.1%
- --------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.6%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,900,000 2,080,500
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES Continued
Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 $ 1,900,000 $ 2,042,500
- --------------------------------------------------------------------------------------------------------------------
Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 12,750,000 14,088,750
- --------------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 14,250,000 13,466,250
- --------------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,000,000 2,207,500
- --------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,200,000 3,448,000
---------------
37,333,500
- --------------------------------------------------------------------------------------------------------------------
OIL & GAS--1.5%
Chesapeake Energy Corp.:
6.875% Sr. Unsec. Nts., 1/15/16 4,089,000 4,313,895
9% Sr. Nts., 8/15/12 1,000,000 1,161,250
- --------------------------------------------------------------------------------------------------------------------
El Paso Energy Partners LP, 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 1,541,000 1,756,740
- --------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,500,000 3,771,250
- --------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 9,735,000 10,854,525
- --------------------------------------------------------------------------------------------------------------------
GulfTerra Energy Partners LP:
8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 2,295,000 2,662,200
10.625% Sr. Sub. Nts., 12/1/12 2,613,000 3,292,380
- --------------------------------------------------------------------------------------------------------------------
Leviathan Gas Pipeline Partners LP/Leviathan Finance Corp.,
10.375% Sr. Unsec. Sub. Nts., Series B, 6/1/09 1 7,000,000 7,455,000
- --------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,250,000 3,721,250
- --------------------------------------------------------------------------------------------------------------------
Paramount Resources Ltd., 7.875% Sr. Nts., 11/1/10 2,600,000 2,626,000
- --------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
6.625% Nts., 4/4/10 [EUR] 8,610,000 11,531,779
8.50% Unsub. Nts., 2/15/08 3,450,000 4,039,950
- --------------------------------------------------------------------------------------------------------------------
Pioneer Natural Resources Co., 7.50% Sr. Nts., 4/15/12 3,000,000 3,575,094
- --------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 1 5,000,000 5,850,000
- --------------------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,115,000
- ----------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 2,000,000 2,332,500
- --------------------------------------------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 7,800,000 8,521,500
9.625% Sr. Sub. Nts., 4/1/12 2,250,000 2,520,000
- --------------------------------------------------------------------------------------------------------------------
Tom Brown, Inc., Units (each unit consists of $512 principal amount
of 7.25% sr. sub. nts., due 2013 and $488 principal amount of Tom
Brown Resources Funding Corp., 7.25% sr. sub. nts., due 2013) 15 1,800,000 1,971,000
- --------------------------------------------------------------------------------------------------------------------
Westport Resources Corp., 8.25% Sr. Unsec. Sub. Nts., 11/1/11 8,700,000 9,722,250
- --------------------------------------------------------------------------------------------------------------------
XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,200,000 6,192,982
---------------
98,986,545
- --------------------------------------------------------------------------------------------------------------------
FINANCIALS--1.7%
- --------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.1%
American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 1,550,000 1,371,750
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS Continued
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 3,200,000 $ 3,640,000
---------------
5,011,750
- --------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.5%
Bank Plus Corp., 12% Sr. Nts., 7/18/07 1 4,167,000 4,500,360
- --------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 1 10,050,000 10,979,625
- --------------------------------------------------------------------------------------------------------------------
Local Financial Corp., 11% Sr. Nts., 9/8/04 1 10,000,000 10,375,000
- --------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 1,3,4 4,970,000 24,850
- --------------------------------------------------------------------------------------------------------------------
Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 1,000,000 1,191,293
- --------------------------------------------------------------------------------------------------------------------
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,800,000 4,351,000
---------------
31,422,128
- --------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.3%
Finova Group, Inc. (The), 7.50% Nts., 11/15/09 8,848,000 5,507,880
- --------------------------------------------------------------------------------------------------------------------
Global Cash Access LLC/Global Cash Finance Corp.,
8.75% Sr. Sub. Nts., 3/15/12 7 1,600,000 1,672,000
- --------------------------------------------------------------------------------------------------------------------
LaBranche & Co., Inc., 12% Sr. Unsec. Sub. Nts., 3/2/07 5,900,000 6,239,250
- --------------------------------------------------------------------------------------------------------------------
Noteco Ltd.:
6.18% Nts., Series B, 6/30/25 2 [GBP] 410,000 572,674
6.68% Nts., Series A1, 6/30/15 2 [GBP] 485,000 870,188
- --------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 7.375% Unsec. Unsub. Nts., 12/15/14 8,570,000 9,576,975
- --------------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV, 10.25% Bonds, 7/21/00 1,3,4 14,961,000 --
---------------
24,438,967
- --------------------------------------------------------------------------------------------------------------------
INSURANCE--0.1%
Arbor I Ltd., 16.61% Nts., 6/15/06 1,2 6,250,000 6,374,063
- --------------------------------------------------------------------------------------------------------------------
Conseco, Inc., Escrow Shares, 6/15/09 12 3,050,000 --
---------------
6,374,063
- --------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.6%
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,609,000 2,811,198
- --------------------------------------------------------------------------------------------------------------------
Felcor Suites LP, 7.375% Sr. Nts., 10/1/04 2,200,000 2,255,000
- --------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 6,300,000 6,575,625
- --------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 9.50% Sr. Nts., 1/15/07 5,000,000 5,625,000
- --------------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp.:
9.125% Sr. Unsec. Nts., 1/15/11 4,850,000 5,128,875
10.50% Sr. Unsec. Nts., 6/15/09 2,800,000 3,024,000
- --------------------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts.,
Series B, 4/1/08 15,590,000 16,174,625
---------------
41,594,323
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.1%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 $ 5,250,000 $ 5,302,500
- --------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.2%
- --------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.2%
Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 2,953,000 3,292,595
- --------------------------------------------------------------------------------------------------------------------
HMP Equity Holdings Corp., Units (each unit consists of $1,000
principal amount of 15.43% sr. sec. disc. nts., 5/15/08 and one warrant
to purchase 2.8094 shares of Huntsman Corp. common stock) 8,15 3,500,000 2,467,500
- --------------------------------------------------------------------------------------------------------------------
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 7 1,550,000 1,581,000
- --------------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4,150,000 4,627,250
- --------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Nts., 11/1/11 7 2,450,000 2,658,250
- --------------------------------------------------------------------------------------------------------------------
Vanguard Health Systems, Inc., 9.75% Sr. Unsec. Sub. Nts., 8/1/11 550,000 595,375
---------------
15,221,970
- --------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.0%
Alliance Imaging, Inc., 10.375% Sr. Unsec. Sub. Nts., 4/15/11 800,000 802,000
- --------------------------------------------------------------------------------------------------------------------
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,800,000 2,870,000
- --------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc., 9.50% Sr. Unsec. Sub. Nts., 7/1/10 1 1,900,000 2,132,750
- --------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 1 3,290,000 3,594,325
- --------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 1 [DEM] 1,700,000 1,156,278
- --------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 3,000,000 3,330,000
- --------------------------------------------------------------------------------------------------------------------
Genesis Healthcare Corp., 8% Sr. Sub. Nts., 10/15/13 7 1,450,000 1,551,500
- --------------------------------------------------------------------------------------------------------------------
Hanger Orthopedic Group, Inc., 10.375% Sr. Nts., 2/15/09 1 2,850,000 3,220,500
- --------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 3,900,000 4,094,505
- --------------------------------------------------------------------------------------------------------------------
Healthsouth Corp., 7.625% Nts., 6/1/12 10,500,000 10,368,750
- --------------------------------------------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,300,000 3,778,500
- --------------------------------------------------------------------------------------------------------------------
NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 3,700,000 4,273,500
- --------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 1 2,986,000 3,523,480
- --------------------------------------------------------------------------------------------------------------------
Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 7 2,450,000 2,560,250
- --------------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,200,000 5,616,000
- --------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
5.375% Sr. Unsec. Nts., 11/15/06 900,000 850,500
6.375% Sr. Nts., 12/1/11 3,631,000 3,158,970
- --------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc., 8.75% Sr. Unsec. Nts., Series B, 5/1/09 4,000,000 4,380,000
- --------------------------------------------------------------------------------------------------------------------
US Oncology, Inc., 9.625% Sr. Sub. Nts., 2/1/12 1,600,000 1,904,000
---------------
63,165,808
- --------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.0%
aaiPharma, Inc., 11% Sr. Sub. Nts., 4/1/10 1,200,000 966,000
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--3.7%
- --------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 $ 2,900,000 $ 3,219,000
- --------------------------------------------------------------------------------------------------------------------
American Plumbing & Mechanical, Inc., 11.625% Sr. Sub. Nts.,
Series B, 10/15/08 1,3,4 6,700,000 1,206,000
- --------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 1,400,000 1,505,000
8.875% Sr. Unsec. Sub. Nts., 5/1/11 1,800,000 1,656,000
9.50% Sr. Unsec. Sub. Nts., 11/1/08 2,500,000 2,412,500
- --------------------------------------------------------------------------------------------------------------------
K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 2,100,000 2,362,500
- --------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp., 7.625% Sr. Sub. Nts., 6/15/12 1,700,000 1,878,500
- --------------------------------------------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,150,000 2,365,000
- --------------------------------------------------------------------------------------------------------------------
TransDigm, Inc., 8.375% Sr. Sub. Nts., 7/15/11 3,100,000 3,301,500
- --------------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 1,963,000 2,267,265
11% Sr. Sub. Nts., 2/15/13 1,623,000 1,947,600
- --------------------------------------------------------------------------------------------------------------------
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 7 1,350,000 1,404,000
---------------
25,524,865
- --------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.0%
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08 3,4 6,200,000 2,363,750
9.375% Sr. Unsec. Nts., 11/15/06 3,4 2,700,000 1,029,375
---------------
3,393,125
- --------------------------------------------------------------------------------------------------------------------
AIRLINES--0.5%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 22,022,429
- --------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 7 10,237,000 9,673,965
---------------
31,696,394
- --------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1%
Ainsworth Lumber Co. Ltd., 6.75% Sr. Nts., 3/15/14 7 1,200,000 1,212,000
- --------------------------------------------------------------------------------------------------------------------
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,400,000 2,688,000
- --------------------------------------------------------------------------------------------------------------------
Green Star Products, Inc., 10.15% Bonds, 6/24/10 7 547,981 574,605
- --------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,178,000 2,417,580
- --------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 9.875% Sr. Unsec. Sub. Nts., 6/15/11 1,150,000 1,299,500
---------------
8,191,685
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--1.3%
Allied Waste North America, Inc.:
7.875% Sr. Nts., 4/15/13 $ 2,300,000 $ 2,524,250
7.875% Sr. Unsec. Nts., Series B, 1/1/09 46,000 48,070
8.50% Sr. Sub. Nts., 12/1/08 10,300,000 11,587,500
8.875% Sr. Nts., Series B, 4/1/08 9,800,000 11,049,500
9.25% Sr. Sec. Debs., Series B, 9/1/12 6,250,000 7,140,625
10% Sr. Unsec. Sub. Nts., Series B, 8/1/09 1,900,000 2,047,250
- --------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1,3,4 3,462,000 22,590
- --------------------------------------------------------------------------------------------------------------------
Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 3,4 10,175,000 1,806,063
- --------------------------------------------------------------------------------------------------------------------
Buhrmann US, Inc., 12.25% Sr. Unsec. Sub. Nts., 11/1/09 2,500,000 2,762,500
- --------------------------------------------------------------------------------------------------------------------
Coinmach Corp., 9% Sr. Nts., 2/1/10 3,300,000 3,531,000
- --------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 1 2,920,000 2,482,000
- --------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
7.50% Sr. Nts., 5/1/11 1,500,000 1,588,125
9.875% Sr. Nts., 5/1/09 2,000,000 2,260,000
- --------------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 5,800,000 5,829,000
- --------------------------------------------------------------------------------------------------------------------
IT Group, Inc., 11.25% Sr. Unsec. Sub. Nts., Series B, 4/1/09 1,3,4 5,300,000 --
- --------------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 1 2,341,000 2,389,763
- --------------------------------------------------------------------------------------------------------------------
Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 5,900,000 6,519,500
- --------------------------------------------------------------------------------------------------------------------
Protection One, Inc./Protection One Alarm Monitoring, Inc.,
7.375% Sr. Unsec. Nts., 8/15/05 1 5,150,000 4,686,500
- --------------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 1,3,4 13,150,000 1,183,500
- --------------------------------------------------------------------------------------------------------------------
Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 2,400,000 2,610,000
- --------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.:
6.50% Sr. Nts., 2/15/12 7 6,100,000 6,100,000
7% Sr. Sub. Nts., 2/15/14 7 8,800,000 8,316,000
---------------
86,483,736
- --------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.1%
Integrated Electrical Services, Inc.:
9.375% Sr. Sub. Nts., Series B, 2/1/09 136,000 143,140
9.375% Sr. Sub. Nts., Series C, 2/1/09 2,150,000 2,262,875
- --------------------------------------------------------------------------------------------------------------------
URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 1 3,850,000 4,369,750
---------------
6,775,765
- --------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 1 2,500,000 2,075,000
- --------------------------------------------------------------------------------------------------------------------
Riverside Forest Products Ltd., 7.875% Sr. Nts., 3/1/14 7 1,600,000 1,664,000
---------------
3,739,000
- --------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.2%
Tyco International Group SA, 6.375% Nts., 10/15/11 9,200,000 10,077,919
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
MACHINERY--0.7%
Actuant Corp., 13% Sr. Sub. Nts., 5/1/09 $ 1,977,000 $ 2,540,445
- --------------------------------------------------------------------------------------------------------------------
AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 9,900,000 10,914,750
- --------------------------------------------------------------------------------------------------------------------
Insilco Corp., 12% Sr. Sub. Nts., 8/15/07 1,3,4 10,550,000 --
- --------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 695,500
- --------------------------------------------------------------------------------------------------------------------
NMHG Holding Co., 10% Sr. Nts., 5/15/09 1 2,400,000 2,652,000
- --------------------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts., Series B, 6/15/07 10,400,000 10,244,000
- --------------------------------------------------------------------------------------------------------------------
SPX Corp., 7.50% Sr. Nts., 1/1/13 5,700,000 6,184,500
- --------------------------------------------------------------------------------------------------------------------
Terex Corp.:
9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,700,000 3,037,500
10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 1 5,500,000 6,297,500
- --------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 7 1,900,000 1,909,500
- --------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 4,000,000 4,320,000
---------------
48,795,695
- --------------------------------------------------------------------------------------------------------------------
MARINE--0.2%
CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,350,000 7,548,563
- --------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05, 1,3,4 5,400,000 1,384,020
- --------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts.,
6/30/07 1,3,4 11,650,000 5,868,688
---------------
14,801,271
- --------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,000,000 2,070,000
- --------------------------------------------------------------------------------------------------------------------
Stena AB, 9.625% Sr. Nts., 12/1/12 2,150,000 2,451,000
---------------
4,521,000
- --------------------------------------------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE--0.0%
Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 1,350,000 1,400,625
- --------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.8%
- --------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.1%
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1,3,4 11,975,000 4,430,750
- --------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.0%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,200,000 2,414,500
- --------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1%
Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 1 5,000,000 5,587,500
- --------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 1,3,4 [EUR] 2,116,376 117,037
- --------------------------------------------------------------------------------------------------------------------
Globix Corp., 11% Sr. Nts., 4/26/08 1 566,697 569,530
- --------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 1,3 1,921,661 192
- --------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 1,3,4 [EUR] 6,150,000 316,480
- --------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., 13% Sr. Disc. Nts., 4/15/08 1,3,4 5,700,000 570
---------------
1,003,809
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.1%
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 $ 8,150,000 $ 8,598,250
- --------------------------------------------------------------------------------------------------------------------
Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 7 1,600,000 1,832,000
---------------
10,430,250
- --------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 3,083,000 3,614,818
- --------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc.:
7.75% Sr. Nts., 5/15/13 3,900,000 3,997,500
9.25% Sr. Unsec. Sub. Nts., 2/15/08 5,850,000 6,478,875
- --------------------------------------------------------------------------------------------------------------------
ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 4,000,000 4,380,000
- --------------------------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 14,000,000 14,000,000
---------------
32,471,193
- --------------------------------------------------------------------------------------------------------------------
MATERIALS--4.1%
- --------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.3%
Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 4,000,000 3,420,000
- --------------------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1,700,000 688,500
- --------------------------------------------------------------------------------------------------------------------
Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,800,000 4,332,000
- --------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 2,850,000 2,921,250
10.625% Sr. Unsec. Nts., 5/1/11 2,650,000 2,868,625
- --------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
10.125% Sr. Unsec. Sub. Nts., 7/1/09 14,350,000 14,672,875
10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 3,300,000 3,872,878
13.09% Sr. Unsec. Disc. Nts., 12/31/09 8 14,040,000 6,528,600
- --------------------------------------------------------------------------------------------------------------------
Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 5,500,000 6,077,500
- --------------------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 1 4,100,000 4,571,500
- --------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.625% Sr. Sec. Nts., Series A, 5/1/07 2,050,000 2,132,000
9.875% Sec. Nts., Series B, 5/1/07 6,850,000 7,141,125
- --------------------------------------------------------------------------------------------------------------------
Noveon, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 2/28/11 1 4,500,000 5,175,000
- --------------------------------------------------------------------------------------------------------------------
OM Group, Inc., 9.25% Sr. Sub. Nts., 12/15/11 4,500,000 4,657,500
- --------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,557,668 2,429,785
- --------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc., 4.663% Sr. Sec. Nts., 12/31/06 1,2 809,925 781,578
- --------------------------------------------------------------------------------------------------------------------
Polyone Corp., 8.875% Sr. Unsec. Nts., 5/1/12 4,900,000 4,777,500
- --------------------------------------------------------------------------------------------------------------------
Rockwood Specialties, Inc., 10.625% Sr. Unsec. Sub. Nts., 5/15/11 1,200,000 1,332,000
- --------------------------------------------------------------------------------------------------------------------
Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 2,000,000 1,960,000
- --------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
10% Sr. Sec. Nts., 12/19/07 1 1,938,280 1,880,132
11.25% Sr. Sub. Nts., 8/15/06 1,3,4 7,915,000 --
- --------------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 1,500,000 1,665,000
---------------
83,885,348
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.1%
Formica Corp., 10.875% Sr. Unsec. Sub. Nts., Series B, 3/1/09 1,3,4 $ 4,300,000 $ 709,500
- --------------------------------------------------------------------------------------------------------------------
Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 3,200,000 3,664,000
---------------
4,373,500
- --------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.2%
Ball Corp.:
6.875% Sr. Unsec. Nts., 12/15/12 7 2,200,000 2,389,750
7.75% Sr. Unsec. Nts., 8/1/06 2,300,000 2,512,750
- --------------------------------------------------------------------------------------------------------------------
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 1,3,4 5,875,000 14,688
- --------------------------------------------------------------------------------------------------------------------
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 3,600,000 4,059,000
10.875% Sr. Sec. Nts., 3/1/13 1,850,000 2,164,500
- --------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,700,000 6,384,000
9.50% Sr. Sub. Nts., 8/15/13 2,550,000 2,894,250
- --------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,423,500
- --------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,200,000 3,632,000
- --------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,900,000 3,045,000
8.25% Sr. Unsec. Nts., 5/15/13 1,500,000 1,552,500
8.75% Sr. Sec. Nts., 11/15/12 12,500,000 13,656,250
8.875% Sr. Sec. Nts., 2/15/09 5,800,000 6,293,000
- --------------------------------------------------------------------------------------------------------------------
Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 7,13 2,050,000 1,650,250
- --------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 7 1,750,000 1,822,188
- --------------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 4,700,000 5,158,250
9.25% Sr. Unsec. Nts., 2/1/08 4,500,000 5,040,000
9.75% Sr. Unsec. Nts., 2/1/11 7,900,000 8,867,750
- --------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,550,000 6,077,250
---------------
78,636,876
- --------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.0%
AK Steel Corp., 7.875% Sr. Unsec. Nts., 2/15/09 3,925,000 3,611,000
- --------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 7 3,200,000 3,424,000
- --------------------------------------------------------------------------------------------------------------------
Better Minerals & Aggregates Co., 13% Sr. Unsec. Sub. Nts., 9/15/09 1 1,050,000 787,500
- --------------------------------------------------------------------------------------------------------------------
California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 7 2,400,000 2,430,000
- --------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 11.75% Sr. Sec. Nts., 4/15/08 4,750,000 5,343,750
- --------------------------------------------------------------------------------------------------------------------
IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,550,000 2,741,250
- --------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 1,3,4 1,586,000 15,860
- --------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,142,500
- --------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 7 4,500,000 4,702,500
- --------------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,200,000 5,876,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
METALS & MINING Continued
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 1,3,4 $ 4,500,000 $ 4,140,000
- --------------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 1,3,4 5,700,000 570
- --------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 7 3,050,000 3,370,250
- --------------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 9,595,000 5,325,225
- --------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,221,000
- --------------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,700,000 3,727,750
- --------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,300,000 3,580,500
- --------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,000,000 2,245,000
- --------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,400,000 2,808,000
- --------------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 2,200,000 2,519,000
10.75% Sr. Nts., 8/1/08 4,700,000 5,499,000
---------------
64,510,655
- --------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.5%
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,861,046
- --------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,450,000 1,566,000
- --------------------------------------------------------------------------------------------------------------------
Doman Industries Ltd., 8.75% Sr. Nts., 3/15/04 1,3,4 15,250,000 3,812,500
- --------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 10.85% Debs., 8/5/17 [CAD] 1,700,000 1,854,420
- --------------------------------------------------------------------------------------------------------------------
Fort James Corp.:
6.625% Sr. Unsec. Nts., 9/15/04 500,000 510,000
6.875% Sr. Nts., 9/15/07 2,500,000 2,718,750
- --------------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 10,575,000 12,055,500
9.375% Sr. Unsec. Nts., 2/1/13 6,400,000 7,568,000
- --------------------------------------------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3,4 5,000,000 2,875,000
- --------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Nts., 3/1/14 7 1,900,000 1,966,500
- --------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 1,3,4 4,025,000 60,375
---------------
36,848,091
- --------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.7%
- --------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.2%
360networks, Inc.:
13% Sr. Unsec. Nts., 5/1/08 1,3,4 [EUR] 1,900,000 233
13% Sr. Unsec. Nts., 5/1/08 1,3,4 1,100,000 110
- --------------------------------------------------------------------------------------------------------------------
Adelphia Business Solutions, Inc., 12% Sr. Sub. Nts., 11/1/07 1,3,4 2,490,000 18,675
- --------------------------------------------------------------------------------------------------------------------
American Tower Corp., 9.375% Sr. Nts., 2/1/09 5,400,000 5,724,000
- --------------------------------------------------------------------------------------------------------------------
COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 1,3,4 5,289,071 79,336
- --------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., Escrow Shares, 12/15/07 1,12 4,085,000 --
- --------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp., 7.50% Sr. Nts., 12/1/13 850,000 839,375
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Dex Media East LLC/Dex Media East Finance Co.,
9.875% Sr. Unsec. Nts., 11/15/09 $ 4,300,000 $ 4,859,000
- --------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 7 2,450,000 2,713,375
9.875% Sr. Sub. Nts., 8/15/13 7 4,400,000 4,906,000
- --------------------------------------------------------------------------------------------------------------------
Dex Media, Inc., 8% Nts., 11/15/13 7 5,050,000 5,037,375
- --------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 1,3,4 6,628,368 --
- --------------------------------------------------------------------------------------------------------------------
Focal Communications Corp.:
Escrow Shares, 2/15/08 12 2,150,000 --
Escrow Shares, 1/15/10 12 1,090,000 --
- --------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 12.25% Sr. Disc. Nts., Series B, 3/1/09 3,4 6,950,000 2,502,000
- --------------------------------------------------------------------------------------------------------------------
IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 1,050,000 1,107,750
- --------------------------------------------------------------------------------------------------------------------
KPNQwest BV, 8.875% Sr. Nts., 2/1/08 1,3,4 [EUR] 5,000,000 30,722
- --------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 10.50% Sr. Disc. Nts., 12/1/08 3,300,000 2,722,500
- --------------------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.75% Sr. Unsec. Debs., 3/23/25 3,4 2,150,000 1,720,000
- --------------------------------------------------------------------------------------------------------------------
Nextlink Communications, Inc.:
Escrow Shares, 10/1/07 1,12 9,283,000 --
Escrow Shares, 3/15/08 1,12 7,300,000 --
Escrow Shares, 4/15/08 1,12 2,750,000 --
Escrow Shares, 11/15/08 1,12 5,200,000 --
Escrow Shares, 6/1/09 1,12 1,400,000 --
- --------------------------------------------------------------------------------------------------------------------
Qwest Corp.:
7.20% Unsec. Nts., 11/1/04 2,000,000 2,060,000
8.875% Nts., 3/15/12 7 7,200,000 8,208,000
- --------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., 13.50% Nts., 12/15/10 7 9,900,000 11,558,250
- --------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/9.25% Sr. Disc. Nts., 4/15/09 3,13 11,300,000 5,876,000
0%/9.875% Sr. Disc. Nts., 4/15/09 3,4,13 [GBP] 9,500,000 7,682,214
- --------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 1,3,4 4,835,000 --
- --------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC/Time Warner Telecom, Inc.,
9.75% Sr. Nts., 7/15/08 8,500,000 7,926,250
- --------------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 1,200,000 1,113,000
- --------------------------------------------------------------------------------------------------------------------
Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 1,3,4 9,480,000 --
---------------
76,684,165
- --------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.5%
Alamosa Delaware, Inc., 12.50% Sr. Unsec. Nts., 2/1/11 5,600,000 6,048,000
- --------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,475,000 1,423,375
- --------------------------------------------------------------------------------------------------------------------
American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 8 6,000,000 4,245,000
- --------------------------------------------------------------------------------------------------------------------
Arch Wireless Holdings, Inc., 12% Sub. Nts., 5/15/09 132,182 155,314
- --------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 1,3,4 21,148,000 --
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES Continued
Centennial Cellular Operating Co./Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 $ 5,100,000 $ 5,278,500
- --------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 4,100,000 3,239,000
10.875% Sr. Unsec. Nts., 7/1/10 6,800,000 6,052,000
- --------------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc., 13.75% Sr. Nts., 6/15/11 3,4 1,000,000 255,000
- --------------------------------------------------------------------------------------------------------------------
IPCS, Inc., 0%/14% Sr. Unsec. Disc. Nts., 7/15/10 3,4,13 2,200,000 605,000
- --------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc.:
0%/14.50% Sr. Unsec. Disc. Nts., 4/15/10 1,3,4 5,400,000 810,000
12.50% Sr. Nts., 4/15/10 1,3,4 5,775,000 1,039,500
- --------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
7.375% Sr. Nts., 8/1/15 2,170,000 2,359,875
9.375% Sr. Unsec. Nts., 11/15/09 16,250,000 17,753,125
9.50% Sr. Unsec. Nts., 2/1/11 3,300,000 3,778,500
- --------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc.:
11% Sr. Unsec. Nts., 3/15/10 1,400,000 1,561,000
12.50% Sr. Nts., 11/15/09 6,639,000 7,834,020
- --------------------------------------------------------------------------------------------------------------------
Orbcomm Global LP, Escrow Shares, 8/15/04 1,12 15,930,000 --
- --------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
8.25% Sr. Sec. Nts., 3/15/12 7 1,600,000 1,644,000
9.625% Sr. Sub. Nts., Series B, 5/15/08 4,300,000 3,945,250
9.75% Sr. Sub. Nts., 1/15/10 5,400,000 4,860,000
9.875% Sr. Nts., 2/1/10 4,550,000 4,584,125
- --------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 10.25% Sr. Unsec. Nts., 2/1/09 1,100,000 1,089,000
- --------------------------------------------------------------------------------------------------------------------
SpectraSite, Inc., 8.25% Sr. Nts., 5/15/10 1 2,050,000 2,203,750
- --------------------------------------------------------------------------------------------------------------------
Triton PCS, Inc.:
8.50% Sr. Unsec. Nts., 6/1/13 3,200,000 3,424,000
8.75% Sr. Unsec. Sub. Nts., 11/15/11 1,200,000 1,140,000
9.375% Sr. Unsec. Sub. Nts., 2/1/11 2,300,000 2,231,000
- --------------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 7 2,600,000 2,548,000
- --------------------------------------------------------------------------------------------------------------------
US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 13 8,800,000 8,272,000
- --------------------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc., II, Escrow Shares, 11/1/04 1,12 5,885,000 --
- --------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 3,200,000 3,304,000
---------------
101,682,334
- --------------------------------------------------------------------------------------------------------------------
UTILITIES--3.2%
- --------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.3%
AES Corp. (The):
5.22% Nts., 1/1/15 [GBP] 557,000 1,123,492
6.22% Nts., 1/1/20 [GBP] 105,000 211,789
8.75% Sr. Sec. Nts., 5/15/13 7 8,100,000 8,950,500
- --------------------------------------------------------------------------------------------------------------------
Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,511,000 2,837,430
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Calpine Corp.:
7.625% Sr. Nts., 4/15/06 $ 8,050,000 $ 7,124,250
8.75% Sr. Nts., 7/15/07 5,700,000 4,531,500
8.75% Sr. Sec. Nts., 7/15/13 7 3,900,000 3,588,000
9.875% Sr. Sec. Nts., 12/1/11 7 5,800,000 5,611,500
- --------------------------------------------------------------------------------------------------------------------
Central Termica Guemes SA, 2% Nts., 1/1/12 1 5,422,500 542,250
- --------------------------------------------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,200,000 1,239,000
7.75% Sr. Nts., 8/1/10 7 1,550,000 1,615,875
8.50% Sr. Nts., 4/15/11 2,500,000 2,681,250
9.875% Sr. Unsec. Nts., 10/15/07 3,110,000 3,444,325
- --------------------------------------------------------------------------------------------------------------------
CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec
Pass-Through Certificates, 1/15/05 5,200,000 5,304,000
- --------------------------------------------------------------------------------------------------------------------
Edison Mission Energy:
9.875% Sr. Unsec. Nts., 4/15/11 1,900,000 2,009,250
10% Sr. Unsec. Nts., 8/15/08 5,200,000 5,499,000
- --------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 4,000,000 4,686,592
- --------------------------------------------------------------------------------------------------------------------
Funding Corp./Beaver Valley Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 956,000 1,132,917
- --------------------------------------------------------------------------------------------------------------------
Messer Griesheim Holding AG, 10.375% Sr. Nts., 6/1/11 [EUR] 3,000,000 4,410,214
- --------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
7.625% Sr. Unsec. Nts., 5/1/06 3,4 2,300,000 1,713,500
8.30% Sr. Unsec. Nts., 5/1/11 3,4 700,000 519,750
- --------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,550,000 1,705,000
- --------------------------------------------------------------------------------------------------------------------
PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 7 3,100,000 3,398,375
- --------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 3,850,000 4,196,500
9.50% Sr. Sec. Nts., 7/15/13 3,000,000 3,322,500
- --------------------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/15/07 1,200,000 1,393,500
---------------
82,792,259
- --------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--1.0%
AmeriGas Partners LP/AmeriGas Eagle Finance Corp.,
8.875% Sr. Unsec. Nts., Series B, 5/20/11 9 6,400,000 7,120,000
- --------------------------------------------------------------------------------------------------------------------
ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,800,000 2,007,000
- --------------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 4,835,000 4,351,500
- --------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,625,000 4,035,313
- --------------------------------------------------------------------------------------------------------------------
SEMCO Energy, Inc.:
7.125% Sr. Nts., 5/15/08 1,200,000 1,266,000
7.75% Sr. Nts., 5/15/13 1,200,000 1,284,000
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------
GAS UTILITIES Continued
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 $ 3,100,000 $ 2,991,500
8% Sr. Unsub. Nts., 3/1/32 4,500,000 4,646,250
8.875% Sr. Nts., 3/15/10 2,700,000 3,010,500
- --------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 14,050,000 14,576,875
- --------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 7.125% Nts., 9/1/11 18,450,000 19,464,750
---------------
64,753,688
- --------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.9%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 3,838,750 4,150,648
- --------------------------------------------------------------------------------------------------------------------
Aquila, Inc., 7% Sr. Unsec. Nts., 7/15/04 1,000,000 1,007,500
- --------------------------------------------------------------------------------------------------------------------
Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 5,950,000 4,432,750
- --------------------------------------------------------------------------------------------------------------------
Consumers Energy Co.:
6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,326,832
7.375% Nts., 9/15/23 1,900,000 1,974,431
- --------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 18,850,000 16,493,750
8.75% Sr. Nts., 2/15/12 6,950,000 6,602,500
10.125% Sr. Sec. Nts., 7/15/13 7 7,700,000 8,489,250
- --------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 8,300,000 7,739,750
- --------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 1 3,133,370 3,221,496
- --------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 8.625% Sr. Nts., 6/1/10 5,400,000 5,967,000
- --------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,148,125
---------------
62,554,032
- --------------------------------------------------------------------------------------------------------------------
WATER UTILITIES--0.0%
National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 1 1,900,000 2,156,500
---------------
Total Corporate Bonds and Notes (Cost $2,018,025,203) 1,956,415,903
SHARES
- --------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.9%
- --------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1,4,14 338,141 3,381
- --------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 11.125% Cum., Series M, Non-Vtg. 14 85,396 8,936,691
- --------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub. Debs., Non-Vtg. 1,4 255,000 12,303,750
- --------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F
(converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg 6,800 851,511
- --------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1,4,14 11,723 1,172
- --------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1,4 39,000 3,402,750
- --------------------------------------------------------------------------------------------------------------------
Focal Communications Corp., Cv., Series A 4 16,834 170,023
- --------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 1,4,14 5,773 --
- --------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 13.50% Exchangeable, Series B 1,4,14 1 38
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
MARKET VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc., 2.50% Cv., Series A 4 6,516 $ 47,697
- -----------------------------------------------------------------------------------------------------------------
Metrocall Holdings, Inc., 15% Cum., Series A 1 2,352 32,952
- -----------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable,
Non-Vtg. 1,4,14 96,993 --
- -----------------------------------------------------------------------------------------------------------------
Paxson Communications Corp.:
14.25% Cum. 4,14 -- 3,059
14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 1,550 13,988,750
- -----------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 49,500 3,019,500
- -----------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg 305 1,639
- -----------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 4,14 10,825 9,661,313
- -----------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 57,800 8,973,450
- -----------------------------------------------------------------------------------------------------------------
XO Communications, Inc., 14% Cum. Sr. Exchangeable Redeemable, Non-Vtg. 1,4,14 3 --
- -----------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc., 10%, Series E-1 1,4 240 6,000
----------------
Total Preferred Stocks (Cost $84,192,552) 61,403,676
- -----------------------------------------------------------------------------------------------------------------
COMMON STOCKS--2.9%
- -----------------------------------------------------------------------------------------------------------------
AboveNet, Inc.4 9,411 357,618
- -----------------------------------------------------------------------------------------------------------------
ACE Ltd. 29,100 1,241,406
- -----------------------------------------------------------------------------------------------------------------
Adelphia Business Solutions, Inc. 4 6,272 188
- -----------------------------------------------------------------------------------------------------------------
AES Drax Group Ltd. 105,000 --
- -----------------------------------------------------------------------------------------------------------------
AES Corp. (The) 4 144,600 1,233,438
- -----------------------------------------------------------------------------------------------------------------
Aetna, Inc. 16,187 1,452,298
- -----------------------------------------------------------------------------------------------------------------
Allstate Corp. 28,800 1,309,248
- -----------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. 19,600 1,279,488
- -----------------------------------------------------------------------------------------------------------------
American Electric Power Co., Inc. 37,200 1,224,624
- -----------------------------------------------------------------------------------------------------------------
American Greetings Corp., Cl. A 4 56,500 1,286,505
- -----------------------------------------------------------------------------------------------------------------
Andrew Corp. 4 69,000 1,207,500
- -----------------------------------------------------------------------------------------------------------------
Arch Wireless, Inc., Cl. A 4 53,116 1,714,053
- -----------------------------------------------------------------------------------------------------------------
Ashland, Inc. 26,500 1,231,985
- -----------------------------------------------------------------------------------------------------------------
AT&T Corp. 63,800 1,248,566
- -----------------------------------------------------------------------------------------------------------------
Autodesk, Inc. 44,900 1,419,738
- -----------------------------------------------------------------------------------------------------------------
Avaya, Inc.4 73,900 1,173,532
- -----------------------------------------------------------------------------------------------------------------
Banco Bradesco SA, Sponsored ADR 62,895 3,028,394
- -----------------------------------------------------------------------------------------------------------------
Banco Itau Holding Financeira SA, ADR 63,470 2,968,492
- -----------------------------------------------------------------------------------------------------------------
Bank Pekao SA, GDR 4 124,192 4,172,851
- -----------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. (The) 14,641 1,283,723
- -----------------------------------------------------------------------------------------------------------------
Brasil Telecom Participacoes SA, ADR 113,395 3,872,439
- -----------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 21,900 1,393,497
- -----------------------------------------------------------------------------------------------------------------
Calpine Corp. 4 243,000 1,134,810
40 | OPPENHEIMER STRATEGIC INCOME FUND
MARKET VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------
Capital One Financial Corp. 18,237 $ 1,375,617
- -----------------------------------------------------------------------------------------------------------------
Cavco Industries, Inc. 770 28,375
- -----------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc. 122,000 1,394,460
- -----------------------------------------------------------------------------------------------------------------
Centex Corp. 23,630 1,277,438
- -----------------------------------------------------------------------------------------------------------------
Cesky Telecom AS, GDR 241,631 3,077,243
- -----------------------------------------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 4 45,220 1,937,677
- -----------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 875,000 11,725,000
- -----------------------------------------------------------------------------------------------------------------
ChevronTexaco Corp. 14,400 1,264,032
- -----------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc 4 88,293 1,840,909
- -----------------------------------------------------------------------------------------------------------------
Classic Cable, Inc. 4 7,208 --
- -----------------------------------------------------------------------------------------------------------------
Companhia de Bebidas das Americas, ADR 207,395 4,147,900
- -----------------------------------------------------------------------------------------------------------------
ConocoPhillips 18,460 1,288,693
- -----------------------------------------------------------------------------------------------------------------
Conseco, Inc. 4 142,199 3,293,329
- -----------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp. 13,930 1,335,887
- -----------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc 4 168,383 424,325
- -----------------------------------------------------------------------------------------------------------------
Crane Co. 40,600 1,339,800
- -----------------------------------------------------------------------------------------------------------------
Criimi MAE, Inc. 4 431,792 4,814,481
- -----------------------------------------------------------------------------------------------------------------
Dana Corp. 58,700 1,165,782
- -----------------------------------------------------------------------------------------------------------------
Devon Energy Corp. 22,529 1,310,061
- -----------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. 4 437,675 1,011,905
- -----------------------------------------------------------------------------------------------------------------
Dynegy, Inc. 4 302,300 1,197,108
- -----------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 519 30,543
- -----------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 4 1,745 101,908
- -----------------------------------------------------------------------------------------------------------------
Edison International 55,017 1,336,363
- -----------------------------------------------------------------------------------------------------------------
Equinix, Inc. 4 133,114 4,820,191
- -----------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. 24,300 1,313,415
- -----------------------------------------------------------------------------------------------------------------
FleetBoston Financial Corp. 28,900 1,297,610
- -----------------------------------------------------------------------------------------------------------------
Freddie Mac 20,772 1,226,794
- -----------------------------------------------------------------------------------------------------------------
Gedeon Richter Rt, Sponsored GDR 4 16,364 1,867,787
- -----------------------------------------------------------------------------------------------------------------
General Motors Corp. 26,749 1,259,878
- -----------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc., Liquidating Trust 1,4,12 6,475 --
- -----------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc., Series B, Escrow Shares 1,4,12 625 --
- -----------------------------------------------------------------------------------------------------------------
Globix Corp. 4 100,917 332,017
- -----------------------------------------------------------------------------------------------------------------
Horizon Natural Resources Co. 1,4 133,333 --
- -----------------------------------------------------------------------------------------------------------------
Humana, Inc. 4 60,500 1,150,710
- -----------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 1,4 276,705 179,858
- -----------------------------------------------------------------------------------------------------------------
J.P. Morgan Chase & Co. 31,300 1,313,035
- -----------------------------------------------------------------------------------------------------------------
Janus Capital Group, Inc. 4 74,800 1,225,224
- -----------------------------------------------------------------------------------------------------------------
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
MARKET VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------
John Hancock Financial Services, Inc. 30,620 $ 1,337,788
- -----------------------------------------------------------------------------------------------------------------
KB Home 16,956 1,370,045
- -----------------------------------------------------------------------------------------------------------------
KGHM Polska Miedz SA, GDR 4 97,571 1,614,800
- -----------------------------------------------------------------------------------------------------------------
Komercni Banka AS, GD 4 148,473 5,932,981
- -----------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 4 30,000 263,400
- -----------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 14,900 1,234,763
- -----------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 27,500 1,301,300
- -----------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 51,600 1,331,280
- -----------------------------------------------------------------------------------------------------------------
Magyar Tavkozlesi Rt, Sponsored ADR 4 113,583 2,597,643
- -----------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 7,919 234,244
- -----------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 36,028 1,213,063
- -----------------------------------------------------------------------------------------------------------------
MBIA, Inc. 19,600 1,228,920
- -----------------------------------------------------------------------------------------------------------------
MetLife, Inc. 36,900 1,316,592
- -----------------------------------------------------------------------------------------------------------------
Metrocall Holdings, Inc. 4 34,005 2,369,128
- -----------------------------------------------------------------------------------------------------------------
Metromedia, Escrow Shares 4,12 10,100,000 --
- -----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. 4 45,738 877,870
- -----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. A 4 381 7,305
- -----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B 4 45,465 864,847
- -----------------------------------------------------------------------------------------------------------------
MOL Magyar Olaj-es Gazipari Rt, Sponsored GDR 4 69,283 2,424,905
- -----------------------------------------------------------------------------------------------------------------
Nordstrom, Inc. 32,935 1,314,107
- -----------------------------------------------------------------------------------------------------------------
NTL, Inc. 4 259,147 15,406,289
- -----------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 27,987 1,288,801
- -----------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp 4 59,342 743,555
- -----------------------------------------------------------------------------------------------------------------
OTP Bank Rt, GDR 4 136,908 5,132,681
- -----------------------------------------------------------------------------------------------------------------
Phelps Dodge Corp. 4 14,500 1,184,070
- -----------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc. 4 165,394 875,761
- -----------------------------------------------------------------------------------------------------------------
Polski Koncern Naftowy Orlen SA, GDR 4 278,793 4,070,378
- -----------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 4 6,989 94,352
- -----------------------------------------------------------------------------------------------------------------
Prandium, Inc 4,16 1,019,757 71,383
- -----------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 1,4,16 799,833 --
- -----------------------------------------------------------------------------------------------------------------
Pulte Homes, Inc. 23,526 1,308,046
- -----------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 27,026 1,161,037
- -----------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., Liquidating Trust 1,4,12 7,946,502 --
- -----------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 30,600 1,224,306
- -----------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 4 10,078 262,028
- -----------------------------------------------------------------------------------------------------------------
Telekomunikacja Polska SA, GDR 4 952,980 3,840,509
- -----------------------------------------------------------------------------------------------------------------
Toys 'R' Us, Inc. 4 82,900 1,392,720
- -----------------------------------------------------------------------------------------------------------------
Travelers Property Casualty Corp., Cl. B 71,600 1,236,532
42 | OPPENHEIMER STRATEGIC INCOME FUND
MARKET VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 1,4 56,750 $ 419,950
- -----------------------------------------------------------------------------------------------------------------
TXU Corp. 46,000 1,318,360
- -----------------------------------------------------------------------------------------------------------------
UnitedGlobalCom, Inc., Cl. A 4 2,261,452 19,199,727
- -----------------------------------------------------------------------------------------------------------------
Viatel Holding Ltd. (Bermuda) 1,4 37,131 57,553
- -----------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 60,000 716,400
- -----------------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc. 4 560,000 5,527,200
- -----------------------------------------------------------------------------------------------------------------
WRC Media Corp. 1,4 15,559 311
- -----------------------------------------------------------------------------------------------------------------
XO Communications, Inc. 4 28,777 143,309
---------------
Total Common Stocks (Cost $183,115,002) 193,449,987
UNITS
- -----------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--1.4%
- -----------------------------------------------------------------------------------------------------------------
AboveNet, Inc. Wts.:
Exp. 9/8/08 1,4 3,961 114,869
Exp. 9/8/10 1,4 4,660 91,468
- -----------------------------------------------------------------------------------------------------------------
American Tower Corp. Wts., Exp. 8/1/08 1,4 6,000 855,000
- -----------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 1,4 2,200 2,475
- -----------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. Wts.:
Exp. 9/1/04 4 36,061 2,571
Exp. 5/1/05 1,4 27,926 279
- -----------------------------------------------------------------------------------------------------------------
Citigroup, Inc. Litigation Wts., Exp. 12/31/50 4 48,080 47,118
- -----------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 1,4 6,350 64
- -----------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 1,4 4,650 --
- -----------------------------------------------------------------------------------------------------------------
Covergent Communications, Inc. Wts., Exp. 4/1/08 1,4 18,300 183
- -----------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 1,4 5,225 52
- -----------------------------------------------------------------------------------------------------------------
Focal Communications Corp. Wts.:
Exp. 6/19/06 4 6,601 23,764
Exp. 6/19/08 4 33,008 --
- -----------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 1,4 34,425 4,647
- -----------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc. Wts., Exp. 10/1/10 1,4 11,000 --
- -----------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/15/05 1,4 46,860 469
- -----------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 1,4 69,399 347
Exp. 5/16/06 1,4 103 --
- -----------------------------------------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 1,4 86,946 --
- -----------------------------------------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07 1,4 7,780 --
- -----------------------------------------------------------------------------------------------------------------
IPCS, Inc. Wts., Exp. 6/15/10 1,4 6,600 66
- -----------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. Wts., Exp. 4/15/10 1,4 6,700 --
- -----------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 1,4 4,160 --
- -----------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,4 6,250 63
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
MARKET VALUE
UNITS SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- -----------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc. Wts., Exp. 4/16/07 4 14,440 $ 7,220
- -----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc.:
Cl. A Wts., Exp. 5/1/05 4 16,888 76,971
Cl. B Wts., Exp. 5/1/08 4 28,147 149,917
- -----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. Rts., Exp. 4/28/04 4 91,584 41,811
- -----------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 1,4 5,800 58
- -----------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc. All Country Asia Free
(except for Japan) Wts., Exp. 3/4/05 4 1,413,050 22,314,462
- -----------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc. Basket of Countries Wts., Exp. 3/4/05 4 2,187,446 32,150,863
- -----------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital III, Inc. All Country Asia Free
(except for Japan) Wts., Exp. 3/4/05 4 2,733,566 35,335,988
- -----------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 1,4 8,000 80
- -----------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06
(cv. into Metromedia International Group, Inc.) 1,4 16,650 167
- -----------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/30/05 1,4 13,440 --
- -----------------------------------------------------------------------------------------------------------------
Real Time Data Co. Wts., Exp. 5/31/04 1,4 2,251,489 --
- -----------------------------------------------------------------------------------------------------------------
Republic Technologies International LLC Wts., Exp. 7/15/09 1,4 4,900 5
- -----------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,4 16,357 8,179
- -----------------------------------------------------------------------------------------------------------------
Telergy, Inc. Wts., Exp. 9/25/10 1,4 18,175 --
- -----------------------------------------------------------------------------------------------------------------
Telus Corp. Wts., Exp. 9/15/05 4 12,147 78,230
- -----------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 1,4 18,600 --
- -----------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 1,4 7,000 3,126
- -----------------------------------------------------------------------------------------------------------------
XO Communications, Inc.:
Cl. A Wts., Exp. 1/16/10 4 57,557 120,870
Cl. B Wts., Exp. 1/16/10 4 43,168 71,227
Cl. C Wts., Exp. 1/16/10 4 43,168 49,643
- -----------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 1,4 44,000 22,000
----------------
Total Rights, Warrants and Certificates (Cost $64,979,842) 91,574,252
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--10.8%
- -----------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Argentine Peso Unsec. Linked Nts., 7/6/04 $ 3,325,000 3,580,693
Brazilian Real Linked Nts., 23.18%, 5/20/04 8 [BRR] 7,236,940 2,435,237
Peruvian Sol Unsec. Linked Nts., 0.77%, 7/14/04 [PEN] 33,968,057 9,729,001
- -----------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc., Brazilian Real Unsec. Linked Nts.:
0.79%, 9/15/04 73,229,529 73,463,863
0.93%, 1/14/05 16,249,967 15,772,218
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc., Colombia (Republic of)
Unsec. Credit Linked Nts.:
15%, 3/15/07 [COP] 31,638,685,000 $ 13,096,508
15%, 4/27/12 [COP] 18,124,500,000 7,730,903
15%, 4/27/12 [COP] 35,395,000,000 15,097,537
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman), Russia (Government of)
Linked Bonds:
Series 24, 15%, 9/2/05 [RUR] 82,770,000 3,294,083
Series 26, 15%, 3/11/05 [RUR] 83,913,000 3,221,289
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Nassau Branch), U.S. Dollar/
Philippine Peso Linked Nts., 12.50%, 3/5/12 2 [PHP] 804,270,000 14,070,967
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International, U.S. Dollar/
South African Rand Linked Nts., Series FBi 43, 1.10%, 5/23/22 2 13,740,000 13,282,458
- -----------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Basket of Emerging Market Currencies Linked Nts., 0.75%, 4/26/04 37,544,932 38,367,166
Turkey (Republic of) Treasury Bills Linked Nts., 23.72%, 4/27/05 11,084,191 8,973,414
- -----------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesia (Republic of) Recapitalization Linked Nts.:
13.15%, 3/22/10 7,546,272 7,998,584
13.15%, 9/15/10 14,093,095 14,846,119
14.275%, 12/22/13 5,687,574 6,470,884
14.275%, 12/23/13 8,273,242 9,648,043
15.425%, 9/22/10 7,296,142 8,392,162
- -----------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Moscow (City of) Linked Nts.:
10%, 5/27/05 2 [RUR] 110,137,000 4,080,078
15%, 9/2/05 [RUR] 353,400,000 14,049,134
- -----------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Venezuela (Republic of) Credit Linked Nts.:
7.32%, 12/20/06 2 28,930,000 29,332,127
8.15%, 9/20/06 2 16,900,000 17,547,270
11.63%, 6/15/04 2 10,685,000 10,857,029
- -----------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
EMBI Plus Turkey (Republic of) Linked Certificate of Deposit, 1.50%, 4/22/04 14,367,448 11,673,269
Polish Zloty/Euro Linked Certificate of Deposit, 0.91%, 4/7/04 6,425,000 6,275,021
TRAC-X NA High Yield T1 Credit Linked Bonds, 7.375%, 3/25/09 7 70,000,000 71,137,500
TRAC-X NA High Yield T3 Credit Linked Bonds, 8%, 3/25/09 7 187,000,000 188,636,250
Venezuela (Republic of) Credit Linked Default Nts., 7.86%, 9/20/05 2 15,225,000 15,680,228
- -----------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked
Certificate of Deposit:
7.81%, 9/20/05 2 15,385,000 15,803,472
7.96%, 9/20/05 2 15,225,000 15,652,823
- -----------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc., High Yield Targeted Return Index
Securities, Series 2004-1, 9.051%, 6/1/14 1,17 5,720,000 5,694,260
- -----------------------------------------------------------------------------------------------------------------
Lehman Brothers International, Turkey (Republic of) Treasury Bills
Linked Nts., 20.91%, 8/25/05 11,496,363 8,763,665
- -----------------------------------------------------------------------------------------------------------------
Oak Capital Ltd. Catastrophe Linked Nts., 5.92%, 6/15/07 1,2 250,000 256,750
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------
Parametric RE Ltd. Catastrophe Linked Nts., 5.52%, 11/19/07 2,7 $ 2,400,000 $ 2,480,040
- -----------------------------------------------------------------------------------------------------------------
Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.:
Series 2002, Cl. A-A, 7.17%, 6/15/06 2,7 250,000 256,388
Series 2002-1, Cl. E-A, 5.36%, 6/15/06 2 1,500,000 1,513,200
Series 2003-II, Cl. A, 7.11%, 6/15/06 1,2 6,250,000 6,439,375
Series 2003-II, Cl. B, 6.11%, 6/15/06 1,2 6,250,000 6,403,125
Series 2003-II, Cl. C, 6.86%, 6/15/06 1,2 6,250,000 6,365,313
- -----------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Fujiyama Ltd. Catastrophe Linked Nts.,
5.12%, 5/16/05 2,7 2,500,000 2,520,800
---------------
Total Structured Notes (Cost $704,062,317) 710,888,246
DATE STRIKE CONTRACTS
- -----------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.1%
- -----------------------------------------------------------------------------------------------------------------
Euro Call 1,4 6/28/04 1.24EUR 152,000,000 3,348,256
- -----------------------------------------------------------------------------------------------------------------
Japanese Yen Call 1,4 4/22/04 102.92JPY 44,106,000,000 1,411,392
- -----------------------------------------------------------------------------------------------------------------
Japanese Yen Call 1,4 5/13/04 102.50JPY 5,005,000,000 495,495
----------------
Total Options Purchased (Cost $8,194,583) 5,255,143
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--6.2%
- -----------------------------------------------------------------------------------------------------------------
Undivided interest of 26.70% in joint repurchase agreement (Principal Amount/
Market Value $1,535,928,000, with a maturity value of $1,535,971,945) with
PaineWebber, Inc., 1.03%, dated 3/31/04, to be repurchased at $410,102,733
on 4/1/04, collateralized by Federal National Mortgage Assn., 4.50%,
10/1/33--3/1/34, with a value of $1,568,601,295 (Cost $410,091,000) $ 410,091,000 410,091,000
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $7,250,899,847) 110.0% 7,266,904,419
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (10.0) (686,080,389)
---------------------------------
NET ASSETS 100.0% $ 6,580,824,030
=================================
46 | OPPENHEIMER STRATEGIC INCOME FUND
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount, strike, contracts and notional amount are reported in U.S.
Dollars, except for those denoted in the following currencies:
ARP Argentine Peso IDR Indonesia Rupiah
AUD Australian Dollar INR Indian Rupee
BRR Brazilian Real JPY Japanese Yen
CAD Canadian Dollar KRW South Korean Won
CHF Swiss Franc NZD New Zealand Dollar
COP Colombian Peso PEN Peruvian New Sol
DEM German Mark PHP Philippines Peso
DKK Danish Krone PLZ Polish Zloty
EUR Euro RUR Russian Ruble
FRF French Franc SEK Swedish Krona
GBP British Pound Sterling TWD New Taiwan Dollar
HUF Hungary Forints UYU Uruguay Peso
1. Identifies issues considered to be illiquid or restricted. See Note 11 of
Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Issue is in default. See Note 1 of Notes to Financial Statements.
4. Non-income producing security.
5. When-issued security to be delivered and settled after March 31, 2004. See
Note 1 of Notes to Financial Statements.
6. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $33,262,268 or 0.51% of the Fund's net assets
as of March 31, 2004.
7. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $497,983,687 or 7.57% of the Fund's net
assets as of March 31, 2004.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. Securities with an aggregate market value of $25,447,746 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
10. A sufficient amount of liquid assets has been designated to cover
outstanding written options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM MARKET VALUE
CALLS SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
Japanese Yen [JPY] 84,560,000JPY 4/28/04 141.00JPY/EUR 18 $1,178,419 $ 7,272
-------------------------
CONTRACTS
PUTS SUBJECT TO PUT
- --------------------------------------------------------------------------------------------------------------------
Japanese Yen [JPY] 9,703,000,000JPY 6/1/04 120.00JPY 1,811,228 19,406
Japanese Yen [JPY] 7,130,000,000JPY 6/10/04 111.00JPY 995,630 128,340
-------------------------
2,806,858 147,746
-------------------------
$3,985,277 $155,018
=========================
11. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
12. Received as the result of issuer reorganization. Currently has minimal
market value.
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
14. Interest or dividend is paid-in-kind.
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
15. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units, which
represent debt securities, principal amount disclosed represents total
underlying principal.
16. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended March 31, 2004.
The aggregate fair value of securities of affiliated companies held by the Fund
as of March 31, 2004 amounts to $71,383. Transactions during the period in which
the issuer was an affiliate are as follows:
SHARES SHARES
SEPTEMBER 30, GROSS GROSS MARCH 31, UNREALIZED
2003 ADDITIONS REDUCTIONS 2004 DEPRECIATION
- -------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Prandium, Inc. 1,019,757 -- -- 1,019,757 $11,914,617
Premier Holdings Ltd. 799,833 -- -- 799,833 --
-----------
$11,914,617
===========
17. Interest rate represents a weighted average rate comprised of the underlying
securities.
18. Represents cross currency strike price.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
48 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
March 31, 2004
- ------------------------------------------------------------------------------------------------------
ASSETS
- ------------------------------------------------------------------------------------------------------
Investments, at value (including securities loaned of approximately $308,299,000)
- --see accompanying statement of investments:
Unaffiliated companies (cost $7,238,913,847) $ 7,266,833,036
Affiliated companies (cost $11,986,000) 71,383
----------------
7,266,904,419
- ------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $275,695) 279,559
- ------------------------------------------------------------------------------------------------------
Collateral for securities loaned 314,320,934
- ------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 18,210,416
- ------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 84,710,877
Investments sold (including $2,772,722 sold on a when-issued basis) 58,385,134
Shares of beneficial interest sold 7,692,613
Futures margins 1,063,528
Other 74,933
----------------
Total assets 7,751,642,413
- ------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------
Bank overdraft 66,991,980
- ------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 314,320,934
- ------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 4,748,912
- ------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $3,985,277)
- --see accompanying statement of investments 155,018
- ------------------------------------------------------------------------------------------------------
Swaptions written, at value (premiums received $395,561) 61,165
- ------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $668,872,342 purchased on a when-issued basis) 720,446,302
Swap contracts 27,835,618
Closed foreign currency contracts 14,227,782
Shares of beneficial interest redeemed 11,879,538
Dividends 4,563,760
Distribution and service plan fees 3,951,652
Transfer and shareholder servicing agent fees 880,261
Shareholder communications 490,063
Trustees' compensation 98,160
Other 167,238
----------------
Total liabilities 1,170,818,383
- ------------------------------------------------------------------------------------------------------
NET ASSETS $ 6,580,824,030
================
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,540,672
- ------------------------------------------------------------------------------------------------------
Additional paid-in capital 7,562,563,922
- ------------------------------------------------------------------------------------------------------
Accumulated net investment loss (26,018,552)
- ------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (965,123,578)
- ------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies 7,861,566
----------------
NET ASSETS $ 6,580,824,030
================
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$4,099,786,715 and 960,324,483 shares of beneficial interest outstanding) $4.27
Maximum offering price per share (net asset value plus sales charge of 4.75%
of offering price) $4.48
- ------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $1,478,907,843
and 345,157,263 shares of beneficial interest outstanding) $4.28
- ------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $744,562,306
and 174,746,747 shares of beneficial interest outstanding) $4.26
- ------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $41,270,331
and 9,660,759 shares of beneficial interest outstanding) $4.27
- ------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net
assets of $216,296,835 and 50,783,055 shares of beneficial interest outstanding) $4.26
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
50 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2004
- ---------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------
Interest $ 176,383,066
- ---------------------------------------------------------------------------------------
Fee income 6,749,235
- ---------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $127,019) 3,352,331
- ---------------------------------------------------------------------------------------
Portfolio lending fees 452,831
--------------
Total investment income 186,937,463
- ---------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------
Management fees 17,406,966
- ---------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 4,954,229
Class B 7,942,243
Class C 3,628,086
Class N 86,802
- ---------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 2,963,656
Class B 974,189
Class C 455,427
Class N 54,130
Class Y 914,124
- ---------------------------------------------------------------------------------------
Shareholder communications:
Class A 200,683
Class B 80,884
Class C 31,010
Class N 1,776
- ---------------------------------------------------------------------------------------
Custodian fees and expenses 273,373
- ---------------------------------------------------------------------------------------
Trustees' compensation 90,702
- ---------------------------------------------------------------------------------------
Other 421,840
--------------
Total expenses 40,480,120
Less reduction to custodian expenses (24,550)
Less voluntary waiver of transfer and shareholder servicing agent fees:
Class A (62,464)
Class B (11,493)
Class C (4,537)
Class N (347)
Class Y (508,361)
--------------
Net expenses 39,868,368
- ---------------------------------------------------------------------------------------
NET INVESTMENT INCOME 147,069,095
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited / Continued
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ---------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (including premiums on options exercised) $ 69,700,960
Closing of futures contracts (13,781,424)
Closing and expiration of option contracts written (459,305)
Foreign currency transactions 158,521,673
--------------
Net realized gain 213,981,904
- ---------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 114,127,845
Translation of assets and liabilities denominated in foreign currencies (13,492,233)
Futures contracts (17,742,512)
--------------
Net change in unrealized appreciation (depreciation) 82,893,100
- ---------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 443,944,099
=============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
52 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPTEMBER 30,
(UNAUDITED) 2003
- -------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------
Net investment income $ 147,069,095 $ 387,022,687
- -------------------------------------------------------------------------------------------------
Net realized gain (loss) 213,981,904 (178,426,068)
- -------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) 82,893,100 863,388,406
-----------------------------------
Net increase in net assets resulting from operations 443,944,099 1,071,985,025
- -------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (94,647,949) (228,607,620)
Class B (31,526,304) (101,542,711)
Class C (14,431,808) (35,917,109)
Class N (742,440) (1,359,641)
Class Y (5,322,969) (12,603,902)
- -------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 45,813,237 271,084,579
Class B (279,504,640) (358,847,116)
Class C 13,808,045 59,394,216
Class N 9,645,676 12,050,473
Class Y (34,126,124) 65,509,777
- -------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------
Total increase 52,908,823 741,145,971
- -------------------------------------------------------------------------------------------------
Beginning of period 6,527,915,207 5,786,769,236
-----------------------------------
End of period (including accumulated net investment loss of
$26,018,552 and $26,416,177, respectively) $ 6,580,824,030 $ 6,527,915,207
===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
53 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPT. 30,
CLASS A (UNAUDITED) 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.08 $3.64 $3.72 $4.18 $4.33 $4.59
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 .26 .32 .36 .43 .42
Net realized and unrealized gain (loss) .19 .43 (.08) (.43) (.17) (.29)
-------------------------------------------------------------------------------
Total from investment operations .29 .69 .24 (.07) .26 .13
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.10) (.25) (.30) (.26) (.41) (.39)
Tax return of capital distribution -- -- (.02) (.13) -- --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.10) (.25) (.32) (.39) (.41) (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.27 $4.08 $3.64 $3.72 $4.18 $4.33
===============================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 7.14% 19.59% 6.63% (1.79)% 6.18% 2.91%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $4,099,787 $3,873,018 $3,202,825 $3,186,441 $3,431,763 $3,578,105
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $4,016,837 $3,521,307 $3,263,490 $3,349,859 $3,517,517 $3,798,380
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.69% 6.60% 7.91% 8.90% 9.98% 9.34%
Total expenses 0.96% 3,4 0.95% 3 1.01% 3 0.93% 3 0.95% 3 0.94% 3
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 42% 104% 117% 209% 136% 172%
1. Assumes an investment on the business day before the first day of the fiscal
period, with all dividend and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
4. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
54 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPT. 30,
CLASS B (UNAUDITED) 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.10 $3.66 $3.73 $4.19 $4.34 $4.61
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 .22 .28 .33 .39 .39
Net realized and unrealized gain (loss) .18 .44 (.05) (.43) (.17) (.30)
-------------------------------------------------------------------------------
Total from investment operations .26 .66 .23 (.10) .22 .09
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.08) (.22) (.28) (.24) (.37) (.36)
Tax return of capital distribution -- -- (.02) (.12) -- --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.08) (.22) (.30) (.36) (.37) (.36)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.28 $4.10 $3.66 $3.73 $4.19 $4.34
===============================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 6.48% 18.62% 6.11% (2.53)% 5.37% 1.92%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $1,478,908 $1,686,295 $1,847,182 $2,186,638 $2,581,391 $3,380,689
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,585,515 $1,757,152 $2,056,449 $2,394,886 $2,907,627 $3,838,145
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.03% 5.92% 7.22% 8.14% 9.01% 8.55%
Total expenses 1.68% 3,4 1.68% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 42% 104% 117% 209% 136% 172%
1. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of less than
one full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
4. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
55 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPT. 30,
CLASS C (UNAUDITED) 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.07 $3.64 $3.71 $4.17 $4.32 $4.59
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 .23 .29 .33 .39 .39
Net realized and unrealized gain (loss) .19 .42 (.06) (.43) (.17) (.30)
-------------------------------------------------------------------------------
Total from investment operations .27 .65 .23 (.10) .22 .09
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.08) (.22) (.28) (.24) (.37) (.36)
Tax return of capital distribution -- -- (.02) (.12) -- --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.08) (.22) (.30) (.36) (.37) (.36)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.26 $4.07 $3.64 $3.71 $4.17 $4.32
===============================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 6.77% 18.45% 6.15% (2.54)% 5.39% 1.92%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $744,562 $698,196 $568,487 $553,399 $548,332 $610,686
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $725,052 $623,598 $571,292 $554,279 $568,742 $650,197
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 3.95% 5.85% 7.15% 8.15% 9.21% 8.58%
Total expenses 1.69% 3,4 1.69% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 42% 104% 117% 209% 136% 172%
1. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
4. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
56 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPT. 30,
CLASS N (UNAUDITED) 2003 2002 2001 1
- -------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.08 $3.65 $3.72 $4.13
- -------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 .25 .30 .22
Net realized and unrealized gain (loss) .20 .42 (.05) (.41)
---------------------------------------------------------
Total from investment operations .28 .67 .25 (.19)
- -------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.09) (.24) (.30) (.15)
Tax return of capital distribution -- -- (.02) (.07)
-----------------------------------------------------------
Total dividends and/or distributions
to shareholders (.09) (.24) (.32) (.22)
- -------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.27 $4.08 $3.65 $3.72
===========================================================
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.92% 18.82% 6.70% (4.61)%
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $41,270 $30,110 $15,508 $3,215
- -------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $34,750 $22,627 $ 8,954 $1,348
- -------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.15% 6.08% 7.07% 9.74%
Total expenses 1.37% 4,5 1.34% 4 1.22% 4 0.98% 4
- -------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 42% 104% 117% 209%
1. For the period from March 1, 2001 (inception of offering) to September 30,
2001.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distribu- tions reinvested in additional shares
on the reinvestment date, and redemption at the net asset value calculated on
the last business day of the fiscal period. Sales charges are not reflected in
the total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
57 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2004 SEPT. 30,
CLASS Y (UNAUDITED) 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.07 $3.64 $3.71 $4.17 $4.32 $4.59
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 .26 .32 .36 .46 .44
Net realized and unrealized gain (loss) .19 .42 (.06) (.42) (.19) (.30)
------------------------------------------------------------------------
Total from investment operations .29 .68 .26 (.06) .27 .14
- --------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.10) (.25) (.31) (.26) (.42) (.41)
Tax return of capital distribution -- -- (.02) (.14) -- --
------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.10) (.25) (.33) (.40) (.42) (.41)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.26 $4.07 $3.64 $3.71 $4.17 $4.32
========================================================================
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 7.18% 19.33% 7.06% (1.58)% 6.55% 3.07%
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $216,297 $240,296 $152,767 $103,858 $75,748 $48,566
- --------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $223,398 $194,308 $127,992 $ 94,400 $57,127 $32,310
- --------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.81% 6.57% 7.86% 9.09% 11.39% 10.16%
Total expenses 1.37% 1.41% 1.74% 1.35% 0.83% 0.57%
Expenses after expense reimbursement
or fee waiver and reduction to
custodian expenses 0.91% 0.91% 0.90% 0.78% N/A 3 N/A 3
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 42% 104% 117% 209% 136% 172%
1. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
58 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC. All classes of shares have identical
rights and voting privileges 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, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. Securities listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the last sale price of
the security traded on that exchange prior to the time when the Fund's assets
are valued. Securities traded on NASDAQ are valued based on the closing price
provided by NASDAQ prior to the time when the Fund's assets are valued. In the
absence of a sale, the security is valued at the last sale price on the prior
trading day, if it is within the spread of the closing bid and asked prices, and
if not, at the closing bid price. Securities 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. Foreign
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).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in foreign currency-linked structured notes
whose market values and redemption prices are linked to foreign currency
exchange rates. The Fund also invests in "index-linked" notes whose principal
and/or interest payments depend on the performance of an underlying index. The
structured notes are leveraged,
59 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
increasing the volatility of each note's market value relative to the change in
the underlying foreign currency exchange rate or underlying index. Fluctuations
in value of these securities are recorded as unrealized gains and losses in the
accompanying financial statements. The Fund records a realized gain or loss when
a structured note is sold or matures. As of March 31, 2004, the market value of
these securities comprised 10.8% of the Fund's net assets and resulted in
unrealized gains of $6,825,929. The Fund also hedges a portion of the foreign
currency exposure generated by these securities, as discussed in Note 5.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN ISSUED BASIS. Delivery and payment for securities that have
been purchased by the Fund on a when issued basis can take place a month or more
after the trade date. Normally the settlement date occurs within six months
after the trade date; however, the Fund may, from time to time, purchase
securities whose settlement date extends six months or more beyond trade date.
During this period, such securities do not earn interest, are subject to market
fluctuation and may increase or decrease in value prior to their delivery. The
Fund maintains segregated assets with a market value equal to or greater than
the amount of its purchase commitments. The purchase of securities on a when
issued basis may increase the volatility of the Fund's net asset value to the
extent the Fund executes such purchases while remaining substantially fully
invested. As of March 31, 2004, the Fund had entered into net when issued
commitments of $666,099,620.
In connection with its ability to purchase securities on a when issued
basis, the Fund may enter into forward roll transactions with respect to
mortgage-related securities. Forward roll transactions require the sale of
securities for delivery in the current month, and a simultaneous agreement with
the same counterparty to repurchase similar (same type, coupon and maturity) but
not identical securities on a specified future date. The Fund records the
incremental difference between the forward purchase and sale of each forward
roll as fee income or realized gain (loss) on investments.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities to what was sold to the counterparty
at redelivery; counterparty credit risk; and the potential pay down speed
variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of March 31, 2004, securities with an aggregate
market value of $99,045,029, representing 1.51% of the Fund's net assets, were
in default.
60 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. Secured by U.S. government securities, these balances
are invested in one or more repurchase agreements. Securities pledged as
collateral for repurchase agreements are held by a custodian bank until the
agreements mature. Each agreement requires that the market value of the
collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes primarily due to the recognition of paydown
gains and losses as capital gain or loss for tax purposes and the recognition of
certain foreign currency gains (losses) as ordinary income (loss) for tax
purposes. The character of dividends and distributions made during the fiscal
year from net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes. Also, due to timing
of dividends and distributions, the fiscal year in which amounts are distributed
may differ from the fiscal year in which the income or net realized gain was
recorded by the Fund.
As of March 31, 2004, the Fund had available for federal income tax
purposes an estimated unused capital loss carryforward of $916,565,301 expiring
by 2011. This estimated capital loss carryforward represents carryforward as of
the end of the last fiscal year,
61 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 March
31, 2004 and the year ended September 30, 2003, the Fund used $213,981,904 and
$0, respectively, of carryforward to offset capital gains realized.
As of September 30, 2003, the Fund had available for federal income tax purposes
post-October losses of 108,416,056 and unused capital loss carryforwards as
follows:
Expiring
---------------------------
2004 $ 114,650,580
2007 16,381,920
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
--------------
Total $1,022,131,149
==============
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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
62 | OPPENHEIMER STRATEGIC INCOME FUND
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reporting period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED MARCH 31, 2004 YEAR ENDED SEPTEMBER 30, 2003
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------
CLASS A
Sold 124,543,295 $ 521,443,738 239,075,415 $ 920,837,843
Dividends and/or
distributions reinvested 15,451,763 64,833,972 39,925,641 153,907,293
Redeemed (128,818,599) (540,464,473) (208,815,336) (803,660,557)
------------------------------------------------------------------
Net increase 11,176,459 $ 45,813,237 70,185,720 $ 271,084,579
==================================================================
- ---------------------------------------------------------------------------------------------
CLASS B
Sold 20,117,349 $ 84,395,650 63,952,473 $ 246,602,223
Dividends and/or
distributions reinvested 4,634,601 19,494,602 15,896,757 61,263,462
Redeemed (91,370,524) (383,394,892) (173,280,500) (666,712,801)
------------------------------------------------------------------
Net decrease (66,618,574) $(279,504,640) (93,431,270) $(358,847,116)
==================================================================
- ---------------------------------------------------------------------------------------------
CLASS C
Sold 20,794,627 $ 86,945,226 44,468,531 $ 171,414,411
Dividends and/or
distributions reinvested 2,413,113 10,100,968 6,320,901 24,316,496
Redeemed (19,890,711) (83,238,149) (35,649,094) (136,336,691)
------------------------------------------------------------------
Net increase 3,317,029 $ 13,808,045 15,140,338 $ 59,394,216
==================================================================
- ---------------------------------------------------------------------------------------------
CLASS N
Sold 3,339,610 $ 14,053,420 4,309,056 $ 16,669,277
Dividends and/or
distributions reinvested 166,082 697,680 334,213 1,294,796
Redeemed (1,218,546) (5,105,424) (1,522,702) (5,913,600)
------------------------------------------------------------------
Net increase 2,287,146 $ 9,645,676 3,120,567 $ 12,050,473
==================================================================
- ---------------------------------------------------------------------------------------------
CLASS Y
Sold 12,300,469 $ 51,416,552 41,339,112 $ 159,458,161
Dividends and/or
distributions reinvested 918,051 3,837,796 2,467,304 9,527,352
Redeemed (21,451,044) (89,380,472) (26,811,939) (103,475,736)
------------------------------------------------------------------
Net increase (decrease) (8,232,524) $ (34,126,124) 16,994,477 $ 65,509,777
=================================================================
63 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 March 31, 2004, were
$2,352,808,416 and $2,940,540,977, 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, 0.60% of the next $200 million, and 0.50% of average
annual net assets in excess of $1 billion.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended March 31, 2004, the Fund paid
$4,794,165 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $5,000 for
assets of less than $10 million and $10,000 for assets of $10 million or more.
The Class Y shares are subject to the minimum fees in the event that the per
account fee does not equal or exceed the applicable minimum fees. OFS may
voluntarily waive the minimum fees.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees up to an annual rate of 0.35% of average annual net assets for all
classes. This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12B-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
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, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
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
64 | OPPENHEIMER STRATEGIC INCOME FUND
asset-based sales charge of 0.75% per year on Class B shares and on Class C
shares and 0.25% per year on Class N shares. The Distributor also receives a
service fee of up to 0.25% per year under each plan. If either the Class B,
Class C or Class N plan is terminated by the Fund or by the shareholders of a
class, the Board of Trustees and its independent trustees must determine whether
the Distributor shall be entitled to payment from the Fund of all or a portion
of the service fee and/or asset-based sales charge in respect to shares sold
prior to the effective date of such termination. The Distributor's aggregate
uncompensated expenses under the plan at March 31, 2004 for Class B, Class C and
Class N shares were $98,319,670, $20,040,615 and $681,110, respectively. Fees
incurred by the Fund under the plans are detailed in the Statement of
Operations.
- --------------------------------------------------------------------------------
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 N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------
March 31, 2004 $941,872 $11,991 $2,052,375 $60,303 $6,604
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation or
depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
65 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
As of March 31, 2004, the Fund had outstanding foreign currency contracts as
follows:
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) 2004 APPRECIATION DEPRECIATION
- ---------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso [ARP] 5/28/04-8/2/04 70,821ARP $ 24,648,567 $1,672,303 $ --
Australian Dollar [AUD] 4/14/04 28,000AUD 21,339,754 464,914 --
Brazilian Real [BRR] 1/24/05-1/26/05 108,650BRR 33,651,877 -- 548,846
British Pound
Sterling [GBP] 4/14/04 11,000GBP 20,191,036 253,536 --
Euro [EUR] 7/15/04 25,180EUR 30,865,006 -- 1,000,546
Indonesia Rupiah [IDR] 9/24/04 33,160,000IDR 3,872,259 103,221 --
Japanese Yen [JPY] 5/12/04-4/01/05 80,860,960JPY 494,961,806 14,452,180 --
New Taiwan
Dollar [TWD] 9/24/04 451,260TWD 13,842,762 109,956 --
New Zealand
Dollar [NZD] 4/14/04 31,415NZD 20,879,062 442,034 --
Peruvian New Sol [PEN] 4/16/04 14,682PEN 4,241,338 11,901 --
Polish Zloty [PLZ] 6/11/04 65,076PLZ 16,699,265 40,564 --
South Korean
Won [KRW] 9/24/04 11,988,000KRW 10,312,185 89,185 --
------------------------
17,639,794 1,549,392
------------------------
CONTRACTS TO SELL
Argentine Peso [ARP] 4/7/04 11,229ARP 3,934,647 -- 39,920
British Pound
Sterling [GBP] 6/15/04-9/9/04 14,980GBP 27,201,030 103,754 --
Canadian Dollar [CAD] 8/23/04 20,695CAD 15,686,457 -- 295,835
Colombian Peso [COP] 4/26/04 22,592,400COP 8,406,112 8,189 --
Euro [EUR] 4/13/04-6/23/04 339,620EUR 416,549,591 458,679 1,573,254
Indonesia Rupiah [IDR] 6/18/04 87,327,737IDR 10,197,697 -- 294,347
Japanese Yen [JPY] 4/14/04-3/22/05 3,595,000JPY 34,726,669 -- 710,557
Swiss Franc [CHF] 4/14/04 28,000CHF 22,109,968 -- 285,607
------------------------
570,622 3,199,520
------------------------
Total unrealized appreciation and depreciation $18,210,416 $4,748,912
========================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
"financial futures" or debt securities "interest rate futures" in order to gain
exposure to or protection from changes in market value of stock and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
66 | OPPENHEIMER STRATEGIC INCOME FUND
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying fixed income
securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported on the Statement of Operations as closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported on the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of March 31, 2004, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2004 (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Euro-Bundesobligation 6/8/04 132 $ 18,828,269 $ 121,641
NASDAQ 100 Index 6/17/04 132 19,027,800 165,788
Nikkei 225 Index 6/10/04 27 1,587,600 73,797
U.S. Long Bonds 6/21/04 1,621 184,895,313 2,901,823
U.S. Treasury Nts., 10 yr 6/21/04 1,740 200,806,875 939,934
------------
4,202,983
------------
CONTRACTS TO SELL
DAX Index 6/18/04 186 22,157,524 76,287
FTSE 100 Index 6/18/04 13 1,050,534 13,645
Japan (Government of) Bonds, 10 yr. 6/10/04 84 111,060,701 686,028
MIB 30 Index 6/18/04 136 22,390,456 (132,889)
Standard & Poor's 500 E-Mini 6/18/04 226 12,712,500 (235,322)
Standard & Poor's 500 Index 6/17/04 369 103,772,025 (872,827)
U.S. Treasury Nts., 2 yr 6/30/04 752 161,809,250 (606,288)
U.S. Treasury Nts., 5 yr 6/21/04 1,944 220,765,500 (1,132,944)
United Kingdom Long Gilt 6/28/04 25 4,998,952 (10,929)
------------
(2,215,239)
------------
$ 1,987,744
============
67 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Contracts subject to call, expiration
date, exercise price, premium received and market value are detailed in a note
to the Statement of Investments. Options written are reported as a liability in
the Statement of Assets and Liabilities. Realized gains and losses are reported
in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may incur
a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium whether
or not the option is exercised. The Fund also has the additional risk of not
being able to enter into a closing transaction if a liquid secondary market does
not exist.
Written option activity for the six months ended March 31, 2004 was as follows:
CALL OPTIONS PUT OPTIONS
-------------------------------- ----------------------------------
PRINCIPAL/ PRINCIPAL/
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- --------------------------------------------------------------------------------------------------------
Options outstanding as of
September 30, 2003 31,328,426,104 $5,007,567 9,711,600,000 $1,846,057
Options written -- -- 7,130,000,000 995,631
Options closed or expired (27,586,104) (502,503) (8,600,000) (34,830)
Options exercised (31,216,280,000) (3,326,645) -- --
--------------------------------------------------------------------------
Options outstanding as of
March 31, 2004 84,560,000 $1,178,419 16,833,000,000 $2,806,858
==========================================================================
68 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
8. INTEREST RATE SWAP CONTRACTS
The Fund may enter into an interest rate swap transaction to maintain a total
return or yield spread on a particular investment, or portion of its portfolio,
or for other non-speculative purposes. Interest rate swaps involve the exchange
of commitments to pay or receive interest, e.g., an exchange of floating rate
payments for fixed rate payments. The coupon payments are based on an agreed
upon principal amount and a specified index. Because the principal amount is not
exchanged, it represents neither an asset nor a liability to either
counterparty, and is referred to as notional. The Fund records an increase or
decrease to interest income, in the amount due to or owed by the Fund at
termination or settlement.
Interest rate swaps are subject to credit risk (if the counterparty fails
to meet its obligations) and interest rate risk. The Fund could be obligated to
pay more under its swap agreements than it receives under them, as a result of
interest rate changes.
As of March 31, 2004, the Fund had entered into the following interest rate swap
agreements:
FLOATING RATE
RATE PAID BY RECEIVED BY
THE FUND AT THE FUND AT
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION UNREALIZED
COUNTERPARTY AMOUNT 2004 2004 RATE INDEX DATES DEPRECIATION
- -----------------------------------------------------------------------------------------------------------------
Deutsche Three-Month
Bank AG $ 43,910,000 3.1025% 1.12% LIBOR Flat 3/4/08 $ 401,180
JPMorgan Three-Month
Chase Bank 22,120,000 3.052 1.11 LIBOR Flat 3/10/08 155,482
JPMorgan Six-Month
Chase Bank 11,025,000EUR 3.135 2.081 LIBOR flat 7/14/08 38,978
JPMorgan Six-Month
Chase Bank 3,075,000,000HUF 9.13 7.00 LIBOR flat 7/14/08 998,759
JPMorgan Three-Month
Chase Bank 253,000,000 2.32 1.17 LIBOR Flat 11/10/05 3,216,100
JPMorgan Three-Month
Chase Bank 430,800,000 3.82 1.17 LIBOR Flat 11/10/08 14,359,999
-----------
$19,170,498
===========
Index abbreviation:
LIBOR London-Interbank Offered Rate
- --------------------------------------------------------------------------------
9. CREDIT SWAP CONTRACTS
The Fund may enter into a credit swap transaction to maintain a total return on
a particular investment or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as a notional principal amount. The Fund records an increase or
decrease to interest income, in the amount due to or owed by the Fund at
termination or settlement. Credit swaps are subject to credit risks (if the
69 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. CREDIT SWAP CONTRACTS Continued
counterparty fails to meet its obligations). The Fund pays an annual interest
fee on the notional amount in exchange for the counterparty paying in a
potential credit event.
During the six months ended March 31, 2004, the Fund entered into transactions
to hedge credit risk. Information regarding the credit swaps is as follows:
UNREALIZED
EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT MARCH 31, 2004 (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesia
(Republic of) Credit Bonds 1/15/09 609,375,000INR $ (63,916) $ (63,916)
Deutsche Bank AG, Peru
(Republic of) Credit Bonds 10/20/08 8,300,000 30,114 30,114
Deutsche Bank AG, Philippines
(Republic of) 5 yr. Credit Nts. 7/25/08 15,770,000 (317,041) (317,041)
Deutsche Bank AG, Philippines
(Republic of) 10 yr. Credit Bonds 7/25/13 15,770,000 518,455 518,455
Deutsche Bank AG, Russia
Federation Credit Bonds 9/20/13 18,125,000 (657,636) (657,636)
Deutsche Bank AG, Russia
Federation Credit Bonds 9/10/13 14,745,000 (481,527) (481,527)
Deutsche Bank AG, Russia
Federation Credit Bonds 10/30/13 29,885,000 (987,891) (987,891)
Deutsche Bank AG, Turkey
(Republic of ) Credit Bonds 9/20/10 8,405,000 (1,129,023) (1,129,023)
Deutsche Bank AG, Turkey
(Republic of ) Credit Bonds 10/10/13 7,450,000 (737,104) (737,104)
Deutsche Bank AG, United
Mexican States Credit Bonds 9/20/13 14,505,000 (484,973) (484,973)
JPMorgan Chase Bank, Hungary
(Republic of) Credit Bonds 12/2/13 21,410,000 342,560 342,560
JPMorgan Chase Bank, Jordan
(Kingdom of) Credit Nts. 6/6/06 4,350,000 7,104 7,104
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 17,610,000 (881,455) (881,455)
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 10,000,000 (600,425) (600,425)
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 9/20/08 8,805,000 (458,317) (458,317)
JPMorgan Chase Bank, Peru
(Republic of) Credit Bonds 12/20/13 17,460,000 536,895 536,895
JPMorgan Chase Bank, Russian
Federation Credit Bonds 10/9/13 8,060,000 51,282 51,282
JPMorgan Chase Bank, Russian
Federation Credit Bonds 11/19/13 25,735,000 (1,080,870) (1,080,870)
JPMorgan Chase Bank, TRAC-X
Emerging Markets Credit Nts. 1 12/20/08 10,025,000 (436,258) (436,258)
JPMorgan Chase Bank, Turkey
(Republic of) Credit Bonds 2/16/06 15,475,000 (278,550) (278,550)
70 | OPPENHEIMER STRATEGIC INCOME FUND
UNREALIZED
EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT MARCH 31, 2004 (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Venezuela
(Republic of) Credit Bonds 2/20/14 $12,850,000 $(887,744) $ (887,744)
JPMorgan Chase Bank, Venezuela
(Republic of) Credit Bonds 12/20/06 22,000,000 (668,800) (668,800)
------------
$(8,665,120)
============
1. Comprised of emerging markets credit default swaps of which the underlying is
comprised of a pool of emerging market entities and associated benchmark
obligations. The Fund received a premium and is obligated to pay a rate that
resets every six months primarily based upon default by an emerging market
entity within the pool.
- --------------------------------------------------------------------------------
10. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable changes
in the preset rate on the underlying interest rate swap. Swaption contracts
written by the Fund do not give rise to counterparty credit risk as they
obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
As of March 31, 2004, the Fund had entered into the following swaption
contracts:
CONTRACTS EXPIRATION EXERCISE PREMIUM MARKET VALUE
SWAPTIONS SUBJECT TO CALL DATE PRICE RECEIVED SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
Deutsche Bank AG 44,445,000 5/17/04 2.825% $395,561 $61,165
- --------------------------------------------------------------------------------
11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of March 31, 2004, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Fund intends to invest no more than
10% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of March 31, 2004 was $471,076,166,
which represents 7.16% of the Fund's net assets, of which $279,559 is considered
restricted. Information concerning restricted securities and currency is as
follows:
71 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY Continued
UNREALIZED
ACQUISITION VALUATION AS OF APPRECIATION
SECURITY DATES COST MARCH 31, 2004 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Geotek Communications, Inc.
Liquidating Trust 4/6/00 $ -- $ -- $ --
Geotek Communications, Inc.
Series B, Escrow Shares 1/4/01 2,500 -- (2,500)
Real Time Data Co. Wts.,
Exp. 5/31/04 6/30/99 22,515 -- (22,515)
CURRENCY
Argentine Peso 3/17/04 275,695 279,559 3,864
- --------------------------------------------------------------------------------
12. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of US
Treasury obligations or cash, against the loaned securities and maintains
collateral in an amount not less than 100% of the market value of the loaned
securities during the period of the loan. The market value of the loaned
securities is determined at the close of business of the funds and any
additional required collateral is delivered to the Fund on the next business
day. If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the collateral.
Cash collateral is invested in cash equivalents. As of March 31, 2004, the Fund
had on loan securities valued at approximately $308,299,000. Cash of
$314,320,934 was received as collateral for the loans, and has been invested in
approved instruments.
- --------------------------------------------------------------------------------
13. BORROWING AND LENDING ARRANGEMENTS
The Fund entered into an "interfund borrowing and lending arrangement" with
other funds in the Oppenheimer funds complex, to allow funds to borrow for
liquidity purposes. The arrangement was initiated pursuant to exemptive relief
granted by the Securities and Exchange Commission (the SEC) to allow these
affiliated funds to lend money to, and borrow money from, each other, in an
attempt to reduce borrowing costs below those of bank loan facilities. The SEC's
order requires the Fund's Board of Trustees to adopt operating policies and
procedures to administer interfund borrowing and lending. Under the arrangement
the Fund may lend money to other Oppenheimer funds and may borrow from other
Oppenheimer funds at a rate set by the Fund's Board of Trustees, based upon a
recommendation by the Manager. The Fund's borrowings, if any, are subject to
asset coverage requirements under the Investment Company Act and the provisions
of the SEC order and other applicable regulations. If the Fund borrows money,
there is a risk that the loan could be called on one day's notice, in which case
the Fund
72 | OPPENHEIMER STRATEGIC INCOME FUND
might have to borrow from a bank at higher rates if a loan were not available
from another Oppenheimer fund. If the Fund lends money to another fund, it will
be subject to the risk that the other fund might not repay the loan in a timely
manner, or at all.
The Fund had no interfund borrowings or loans outstanding during the six
months ended or at March 31, 2004.
- --------------------------------------------------------------------------------
PORTFOLIO PROXY VOTING
POLICIES AND PROCEDURES Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.225.5677, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund will be
required to file new Form N-PX, with its complete proxy voting record for the 12
months ended June 30th, no later than August 31st of each year. The first such
filing is due no later than August 31, 2004, for the twelve months ended June
30, 2004. Once filed, the Fund's Form N-PX filing will be available (i) without
charge, upon request, by calling the Fund toll-free at 1.800.225.5677, and (ii)
on the SEC's website at www.sec.gov.
73 | OPPENHEIMER STRATEGIC INCOME FUND
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 registrant 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. SCHEDULE OF INVESTMENTS
Not applicable
ITEM 7. NOT APPLICABLE
ITEM 8. NOT APPLICABLE
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The Board is responsible for approving nominees for election as trustees. To
assist in this task, the Board has designated the Audit Committee as the
nominating committee for the Board. It reviews and recommends nominees to the
Board. The Committee is comprised entirely of disinterested trustees as defined
in Section 2(a)(19) of the Investment Company Act of 1940.
The Audit Committee charter describes the responsibilities of the Committee in
nominating candidates for election as independent Trustees of the Registrant.
The Registrant's Board has adopted a written charter for the Committee. A
current copy of the Audit Committee charter is available to shareholders on the
OppenheimerFunds website at www.oppenheimerfunds.com.
Under the current policy, if the Board determines that a vacancy exists or is
likely to exist on the Board, the Audit Committee of the Board will consider
candidates for Board membership including recommended by Registrant
shareholders. The Audit Committee will consider nominees recommended by
independent Board members or recommended by any other Board members including
Board members affiliated with the Registrant's investment advisors. The
Committee may, upon Board approval, retain an executive search firm to assist in
screening potential candidates. Upon Board approval, the Audit Committee may
also use the services of legal, financial, or other external counsel that it
deems necessary or desirable in the screening process. Shareholders wishing to
submit a nominee for election to the Board may do so by
mailing their submission to the offices of OppenheimerFunds, Inc., 6803 South
Tucson Way, Centennial, CO 80112, to the attention of the Board of Trustees of
the named Registrant, c/o the Secretary of the Registrant.
The Committee's process for identifying and evaluating nominees for trustees
includes a number of factors. In screening candidates for board membership,
whether the candidate is suggested by Board members, shareholders or others, the
Committee considers the candidate's professional experience, soundness of
judgment, integrity, ability to make independent, analytical inquiries,
collegiality, willingness and ability to devote the time required to perform
Board activities adequately, ability to represent the interests of all
shareholders of the Registrant, and diversity relative to the board's
composition. Candidates are expected to provide a mix of attributes, experience,
perspective and skills necessary to effectively advance the interests of
shareholders.
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 March 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)