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
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: October 1, 2003 - September 30, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Media 3.3%
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Oil & Gas 3.0
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Hotels, Restaurants & Leisure 2.1
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Wireless Telecommunication Services 1.4
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Chemicals 1.4
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Electric Utilities 1.3
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Containers & Packaging 1.3
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Commercial Services & Supplies 1.2
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Health Care Providers & Services 1.0
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Metals & Mining 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 2004, and are based on net assets.
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PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Foreign Government Bonds 29.2%
Corporate Bonds 25.2
Government Agency Bonds 16.7
Other Bonds 11.3
U.S. Government Bonds 9.2
Stocks 4.4
Cash Equivalents 4.0
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 2004, and are based on total investments. The Fund may invest
without limit in below investment-grade securities, which carry a greater risk
that the issue may default on principal or interest payments, and in foreign
securities, which entail higher expenses and risks, such as currency
fluctuation.
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8 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF
THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2004, FOLLOWED
BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO APPROPRIATE BROAD-BASED
MARKET INDICES.
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. The Fund's performance during its
recent fiscal year was driven primarily by good results from its investments in
emerging market and U.S. high-yield corporate bonds, as well as by favorable
movements in foreign currency exchange rates.
The Fund's relatively heavy exposure to emerging-market bonds contributed
positively to performance, and debt securities from Brazil and Russia proved
beneficial as these nations reformed their financial systems and instilled
confidence among investors and rating agencies. Brazil's economy benefited
during the reporting period from greater global demand for basic materials, and
Russia continued to emerge as a force in the global oil industry. The Fund also
avoided some of the weaker emerging markets, such as Turkey, sheltering the Fund
from the brunt of weakness in those countries.
The Fund's investments in the foreign currencies of major industrialized
regions, including the Euro and Yen, fared well when the U.S. dollar weakened.
We believe that the current U.S. account deficit and a ballooning U.S. federal
budget deficit were significant factors in the U.S. dollar's decline.
High-yield corporate bonds also contributed positively to the Fund's
performance, particularly early in the reporting period, when bonds in the
"triple-C" range produced higher returns than more highly rated securities. The
Fund benefited from its investments in the high-yield debt of companies in the
cable television, energy and basic materials industries.
Although the Fund's holdings of U.S. government securities contributed
less positively than other areas, the Fund nonetheless benefited from its
emphasis on mortgage-backed securities within the sector. Mortgage-backed
securities from federal agencies fared better than U.S. Treasury securities as
interest rates rose and fewer homeowners refinanced their mortgages.
However, the Fund's performance was hindered by its duration posture,
which for much of the reporting period was set in a range that we considered
shorter than industry averages. While this stance helped preserve value during
declining markets, it limited the Fund's participation in market rallies, and
slightly impeded performance
Nonetheless, we have continued to maintain the Fund's average duration in
a relatively short position in anticipation of higher interest rates. We also
recently reduced the Fund's exposure to emerging markets debt by taking profits
in securities that had gained value. We have redeployed some of those assets to
bonds in foreign developed markets, where we currently believe values are more
attractive.
9 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 2004. In the case of Class A and B shares,
performance is measured over a ten fiscal year period; Class C shares since
inception of the Class on May 26, 1995 and Class Y shares since inception of the
Class on January 26, 1998. In the case of Class N shares, performance is
measured from inception of the Class on March 1, 2001. The Fund's performance
reflects the deduction of the maximum initial sales charge on Class A shares,
the applicable contingent deferred sales charge on Class B, Class C and Class N
shares, and reinvestments of all dividends and capital gains distributions.
The Fund's performance is compared to the performance of the Lehman
Brothers Aggregate Bond Index and the Citigroup World Government Bond Index,
formerly Salomon Brothers World Government Bond Index. The former is a
broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government
securities and mortgage-backed securities widely regarded as a measure of the
performance of the domestic debt securities market. The latter is an unmanaged
index of fixed-rate bonds having a maturity of one year or more, widely regarded
as a benchmark of fixed-income performance on a worldwide basis. Index
performance reflects the reinvestment of dividends but does not consider the
effect of capital gains or transaction costs, and none of the data in the graphs
that follow shows the effect of taxes. The Fund's performance reflects the
effects of Fund business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Fund's performance, it must be noted that
the Fund's investments are not limited to the securities in the indices.
10 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS A SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class A)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer
Strategic Income Fund Lehman Brothers Citigroup World
Date (Class A) Aggregate Bond Index Government Bond Index
09/30/1994 9,525 10,000 10,000
12/31/1994 9,338 10,038 10,048
03/31/1995 9,485 10,544 11,147
06/30/1995 10,032 11,186 11,741
09/30/1995 10,346 11,406 11,618
12/31/1995 10,774 11,892 11,961
03/31/1996 10,970 11,681 11,737
06/30/1996 11,260 11,748 11,785
09/30/1996 11,697 11,965 12,106
12/31/1996 12,130 12,324 12,394
03/31/1997 12,102 12,255 11,882
06/30/1997 12,592 12,705 12,242
09/30/1997 13,017 13,127 12,398
12/31/1997 13,144 13,514 12,423
03/31/1998 13,496 13,724 12,521
06/30/1998 13,584 14,044 12,769
09/30/1998 13,121 14,638 13,833
12/31/1998 13,364 14,688 14,324
03/31/1999 13,436 14,615 13,771
06/30/1999 13,480 14,486 13,297
09/30/1999 13,503 14,585 13,899
12/31/1999 13,904 14,567 13,713
03/31/2000 14,124 14,888 13,737
06/30/2000 14,201 15,148 13,717
09/30/2000 14,338 15,604 13,357
12/31/2000 14,211 16,260 13,931
03/31/2001 14,465 16,754 13,507
06/30/2001 14,344 16,848 13,296
09/30/2001 14,081 17,625 14,247
12/31/2001 14,711 17,633 13,793
03/31/2002 14,958 17,650 13,571
06/30/2002 14,952 18,302 15,152
09/30/2002 15,014 19,141 15,738
12/31/2002 15,718 19,442 16,482
03/31/2003 16,319 19,712 16,994
06/30/2003 17,387 20,205 17,654
09/30/2003 17,955 20,176 18,002
12/31/2003 18,799 20,240 18,940
03/31/2004 19,237 20,778 19,293
06/30/2004 18,884 20,270 18,651
09/30/2004 19,523 20,918 19,263
AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT
9/30/04
1-Year 3.57% 5-Year 6.61% 10-Year 6.92%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. SEE PAGE 16 FOR FURTHER
INFORMATION.
11 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS B SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class B)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer
Strategic Income Fund Lehman Brothers Citigroup World
Date (Class B) Aggregate Bond Index Government Bond Index
09/30/1994 10,000 10,000 10,000
12/31/1994 9,786 10,038 10,048
03/31/1995 9,899 10,544 11,147
06/30/1995 10,472 11,186 11,741
09/30/1995 10,779 11,406 11,618
12/31/1995 11,203 11,892 11,961
03/31/1996 11,385 11,681 11,737
06/30/1996 11,664 11,748 11,785
09/30/1996 12,093 11,965 12,106
12/31/1996 12,516 12,324 12,394
03/31/1997 12,464 12,255 11,882
06/30/1997 12,944 12,705 12,242
09/30/1997 13,354 13,127 12,398
12/31/1997 13,459 13,514 12,423
03/31/1998 13,793 13,724 12,521
06/30/1998 13,857 14,044 12,769
09/30/1998 13,389 14,638 13,833
12/31/1998 13,581 14,688 14,324
03/31/1999 13,628 14,615 13,771
06/30/1999 13,678 14,486 13,297
09/30/1999 13,645 14,585 13,899
12/31/1999 14,023 14,567 13,713
03/31/2000 14,217 14,888 13,737
06/30/2000 14,268 15,148 13,717
09/30/2000 14,419 15,604 13,357
12/31/2000 14,292 16,260 13,931
03/31/2001 14,547 16,754 13,507
06/30/2001 14,426 16,848 13,296
09/30/2001 14,161 17,625 14,247
12/31/2001 14,795 17,633 13,793
03/31/2002 15,043 17,650 13,571
06/30/2002 15,037 18,302 15,152
09/30/2002 15,100 19,141 15,738
12/31/2002 15,808 19,442 16,482
03/31/2003 16,412 19,712 16,994
06/30/2003 17,486 20,205 17,654
09/30/2003 18,057 20,176 18,002
12/31/2003 18,906 20,240 18,940
03/31/2004 19,347 20,778 19,293
06/30/2004 18,992 20,270 18,651
09/30/2004 19,635 20,918 19,263
AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT
9/30/04
1-Year 2.66% 5-Year 6.53% 10-Year 6.98%
12 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS C SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class C)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer
Strategic Income Fund Lehman Brothers Citigroup World
Date (Class C) Aggregate Bond Index Government Bond Index
05/26/1995 10,000 10,000 10,000
06/30/1995 10,023 10,073 10,059
09/30/1995 10,309 10,271 9,954
12/31/1995 10,715 10,709 10,247
03/31/1996 10,889 10,519 10,055
06/30/1996 11,131 10,579 10,096
09/30/1996 11,542 10,774 10,371
12/31/1996 11,970 11,098 10,618
03/31/1997 11,920 11,036 10,179
06/30/1997 12,354 11,441 10,488
09/30/1997 12,773 11,821 10,621
12/31/1997 12,848 12,169 10,643
03/31/1998 13,167 12,358 10,727
06/30/1998 13,229 12,647 10,940
09/30/1998 12,780 13,182 11,851
12/31/1998 12,965 13,226 12,272
03/31/1999 13,039 13,160 11,798
06/30/1999 13,057 13,045 11,392
09/30/1999 13,026 13,133 11,908
12/31/1999 13,418 13,117 11,748
03/31/2000 13,574 13,407 11,769
06/30/2000 13,655 13,640 11,752
09/30/2000 13,728 14,051 11,443
12/31/2000 13,615 14,642 11,935
03/31/2001 13,832 15,087 11,572
06/30/2001 13,692 15,172 11,390
09/30/2001 13,380 15,872 12,206
12/31/2001 13,990 15,879 11,817
03/31/2002 14,162 15,894 11,626
06/30/2002 14,130 16,481 12,981
09/30/2002 14,202 17,236 13,483
12/31/2002 14,803 17,507 14,121
03/31/2003 15,382 17,751 14,559
06/30/2003 16,360 18,195 15,124
09/30/2003 16,822 18,168 15,423
12/31/2003 17,582 18,226 16,226
03/31/2004 17,960 18,710 16,528
06/30/2004 17,598 18,253 15,979
09/30/2004 18,160 18,837 16,503
AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT
9/30/04
1-Year 6.95% 5-Year 6.87% Since Inception (5/26/95) 6.59%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, 10-YEAR RETURNS FOR CLASS B SHARES USES
CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER
INFORMATION.
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS N SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class N)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer
Strategic Income Fund Lehman Brothers Citigroup World
Date (Class N) Aggregate Bond Index Government Bond Index
03/01/2001 10,000 10,000 10,000
03/31/2001 9,799 10,050 9,712
06/30/2001 9,717 10,107 9,560
09/30/2001 9,539 10,573 10,244
12/31/2001 9,988 10,578 9,917
03/31/2002 10,122 10,588 9,757
06/30/2002 10,112 10,979 10,894
09/30/2002 10,177 11,482 11,316
12/31/2002 10,617 11,663 11,851
03/31/2003 11,044 11,825 12,219
06/30/2003 11,753 12,121 12,693
09/30/2003 12,092 12,103 12,944
12/31/2003 12,648 12,141 13,618
03/31/2004 12,929 12,464 13,872
06/30/2004 12,678 12,159 13,410
09/30/2004 13,094 12,548 13,850
AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT
9/30/04
1-Year 7.28% Since Inception (3/1/01) 7.82%
14 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class Y)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer
Strategic Income Fund Lehman Brothers Citigroup World
Date (Class Y) Aggregate Bond Index Government Bond Index
01/26/1998 10,000 10,000 10,000
03/31/1998 10,181 10,027 9,981
06/30/1998 10,257 10,261 10,180
09/30/1998 9,936 10,695 11,028
12/31/1998 10,108 10,731 11,420
03/31/1999 10,194 10,678 10,979
06/30/1999 10,237 10,584 10,600
09/30/1999 10,241 10,656 11,081
12/31/1999 10,579 10,643 10,932
03/31/2000 10,732 10,878 10,951
06/30/2000 10,826 11,067 10,935
09/30/2000 10,912 11,401 10,648
12/31/2000 10,850 11,880 11,106
03/31/2001 11,049 12,241 10,768
06/30/2001 10,965 12,310 10,599
09/30/2001 10,740 12,877 11,358
12/31/2001 11,256 12,883 10,996
03/31/2002 11,419 12,895 10,819
06/30/2002 11,416 13,372 12,079
09/30/2002 11,498 13,984 12,546
12/31/2002 12,021 14,204 13,140
03/31/2003 12,496 14,402 13,548
06/30/2003 13,317 14,762 14,074
09/30/2003 13,721 14,741 14,351
12/31/2003 14,369 14,787 15,099
03/31/2004 14,706 15,181 15,380
06/30/2004 14,437 14,810 14,869
09/30/2004 14,927 15,283 15,356
AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES WITH SALES CHARGE OF THE FUND AT
9/30/04
1-Year 8.80% 5-Year 7.83% Since Inception (1/26/98) 6.18%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. SEE PAGE 16 FOR FURTHER
INFORMATION.
15 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares.
Investors should consider the Fund's investment objectives, risks, and other
charges and expenses carefully before investing. The Fund's prospectus contains
this and other information about the Fund, and may be obtained by asking your
financial advisor, calling us at 1.800.525.7048 or visiting our website at
www.oppenheimerfunds.com. Read the prospectus carefully before investing.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower
prior to 2/1/93, so actual performance may have been higher.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the "since inception" return for Class
B uses Class A performance for the period after conversion. Class B shares are
subject to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the 1-year period
Class N shares are subject to an annual 0.25% asset-based sales charge.
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
16 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended September 30, 2004.
ACTUAL EXPENSES. The "actual" lines of the table provide information about
actual account values and actual expenses. You may use the information on this
line for the class of shares you hold, together with the amount you invested, to
estimate the expense that you paid over the period. Simply divide your account
value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00
= 8.60), then multiply the result by the number in the "actual" line under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The "hypothetical" lines of the
table provide information about hypothetical account values and hypothetical
expenses based on the Fund's actual expense ratio for each class of shares, and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing
in the Fund and other funds. To do so, compare this 5% hypothetical example for
the class of shares you hold with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front-end
or contingent deferred sales charges (loads), or a $12.00 fee imposed annually
on accounts valued at less than $500.00 (subject to exceptions described in
17 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
- --------------------------------------------------------------------------------
the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(4/1/04) (9/30/04) SEPTEMBER 30, 2004
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Class A Actual $1,000.00 $1,014.80 $4.80
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Class A Hypothetical 1,000.00 1,020.25 4.81
- ------------------------------------------------------------------------------
Class B Actual 1,000.00 1,011.10 8.53
- ------------------------------------------------------------------------------
Class B Hypothetical 1,000.00 1,016.55 8.56
- ------------------------------------------------------------------------------
Class C Actual 1,000.00 1,011.10 8.53
- ------------------------------------------------------------------------------
Class C Hypothetical 1,000.00 1,016.55 8.56
- ------------------------------------------------------------------------------
Class N Actual 1,000.00 1,012.70 6.97
- ------------------------------------------------------------------------------
Class N Hypothetical 1,000.00 1,018.10 6.99
- ------------------------------------------------------------------------------
Class Y Actual 1,000.00 1,015.10 4.49
- ------------------------------------------------------------------------------
Class Y Hypothetical 1,000.00 1,020.55 4.51
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 183/366
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended September 30, 2004 are as follows:
CLASS EXPENSE RATIOS
- ----------------------------
Class A 0.95%
- ----------------------------
Class B 1.69
- ----------------------------
Class C 1.69
- ----------------------------
Class N 1.38
- ----------------------------
Class Y 0.89
18 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS September 30, 2004
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--3.7% (COST $262,422,911) $ 226,655,207 3.7%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--18.6%
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5%-12%, 10/1/16-10/1/34 1 $ 38,503,339 40,258,155 0.7
5%, 10/1/34 1 55,454,000 54,916,762 0.9
7%, 10/1/34 1 25,427,000 26,968,512 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate
Mtg. Investment Conduit Multiclass Pass-Through
Certificates, 2.109%-6.50%, 10/15/09-1/15/33 2 51,253,333 52,022,776 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security, (32.857)%-25.197%,
7/1/26-6/15/34 3 79,914,957 10,196,179 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only
Stripped Mtg.-Backed Security, Series 2819, Cl. PO,
11.429%, 6/15/34 4 5,270,303 4,629,255 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Structured
Pass-Through Security, Collateralized Mtg. Obligations,
Series T-42, Cl. A2, 5.50%, 2/25/42 3,072 3,071 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 10/1/19 1 28,007,000 27,910,712 0.5
5%, 10/1/19 1 62,675,000 63,673,914 1.0
5%, 10/1/34 1 31,538,000 31,212,780 0.5
5.50%, 10/1/19 1 73,509,000 75,966,994 1.2
5.50%, 10/1/34 1 47,621,000 48,260,931 0.8
6%, 11/1/34 1 28,550,000 29,424,344 0.5
6.50%, 10/1/34 1 87,034,000 91,304,062 1.5
7%, 10/1/34 1 212,711,000 225,540,026 3.6
5.50%-15%, 4/15/13-9/1/34 84,171,060 87,817,108 1.4
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust,
Commercial Mtg. Obligations, Interest-Only Stripped
Mtg.-Backed Security, Trust 2001-T10, Cl. IO, (14.798)%,
12/25/31 3,5 383,776,968 2,833,579 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg.
Obligations, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, 2.211%-6.50%,
8/25/09-12/18/32 2 24,606,430 24,850,086 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates,
Interest-Only Stripped Mtg.-Backed Security,
(13.048)%-29.05%, 2/25/29-7/25/41 3,5 127,358,316 5,094,587 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security, (26.373)%-25.237%, 5/1/23-6/1/32 3 57,437,971 9,661,049 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 237,320,126 3.8
---------------
Total Mortgage-Backed Obligations (Cost $1,161,605,133) 1,149,865,008
19 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--10.2%
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Nts., 3.75%,
7/15/09 [EUR] 11,290,000 $ 14,092,755 0.2%
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
2.75%, 8/15/06 101,820,000 101,811,040 1.6
2.875%, 12/15/06 52,450,000 52,424,195 0.9
4.50%-4.875%, 3/15/07-1/15/13 16,485,000 17,122,634 0.3
5.75%, 1/15/12 45,000,000 49,176,585 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 34,300,000 35,330,303 0.6
6%, 5/15/08 40,000,000 43,540,600 0.7
6.625%, 9/15/09 83,000,000 93,608,479 1.5
1.80%-7.25%, 5/27/05-5/15/30 40,900,000 44,064,842 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 4.93%-9.25%, 2/15/16-2/15/31 6,7 66,060,000 56,378,122 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
2.75%, 7/31/06 8,9 63,804,000 64,063,236 1.0
2.75%-4.25%, 8/15/07-8/15/14 17,594,000 17,669,928 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
United States (Government of) Gtd. Israel Aid Bonds,
5.50%, 12/4/23 11,400,000 11,816,522 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 31,180,130 0.5
---------------
Total U.S. Government Obligations (Cost $624,919,259) 632,279,371
- ----------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--32.4%
- ----------------------------------------------------------------------------------------------------------------------------------
ARGENTINA--0.9%
Argentina (Republic of) Bonds, 1.98%, 8/3/12 2 49,730,000 36,235,068 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 16,208,692 0.3
---------------
52,443,760
- ----------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.1%
Queensland Treasury Corp. Unsec. Nts., Series 09G,
6%, 7/14/09 [AUD] 94,160,000 69,978,459 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
AUSTRIA--1.1%
Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 36,250,000 55,452,354 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Austria (Republic of) Nts., Series 98-1, 5%, 1/15/08 [EUR] 11,325,000 14,970,025 0.2
---------------
70,422,379
- ----------------------------------------------------------------------------------------------------------------------------------
BELGIUM--1.6%
Belgium (Kingdom of) Bonds, 3.75%-6.50%,
3/31/05-9/28/11 [EUR] 72,685,000 96,134,027 1.6
- ----------------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.8%
Brazil (Federal Republic of) Bonds, Series 15 yr., 2.125%,
4/15/09 2 138,241 135,822 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Capitalization Bonds,
Series 20 yr., 8%, 4/15/14 42,665,373 42,212,053 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 12%, 4/15/10 10,760,000 12,874,340 0.2
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
BRAZIL Continued
Brazil (Federal Republic of) Unsec. Unsub. Bonds:
8.875%-10%, 8/7/11-4/15/24 $ 20,800,000 $ 21,033,488 0.3%
11%, 2/4/10 [EUR] 3,450,000 4,874,112 0.1
11%, 8/17/40 25,105,200 28,174,311 0.5
---------------
109,304,126
- ----------------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.3% 17,485,876 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.1% 4,868,550 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
DENMARK--0.4% 22,224,659 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1% 4,913,100 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
FINLAND--0.1% 3,733,695 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
FRANCE--2.3%
France (Government of) Obligations Assimilables
du Tresor Bonds:
5.50%, 10/25/07-10/25/10 [EUR] 16,365,000 22,071,267 0.4
5.75%, 10/25/32 [EUR] 25,445,000 37,072,990 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 26,086,235 0.4
5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,039,654 0.0
5 yr., 5%, 7/12/05 [EUR] 42,600,000 54,093,897 0.9
---------------
140,364,043
- ----------------------------------------------------------------------------------------------------------------------------------
GERMANY--5.9%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 42,040,000 52,201,991 0.8
4.50%-5%, 8/17/07-7/4/11 [EUR] 13,210,000 17,598,339 0.3
5.375%, 1/4/10 [EUR] 19,385,000 26,398,422 0.4
Series 02, 5%, 7/4/12 [EUR] 26,650,000 35,801,352 0.6
Series 143, 3.50%, 10/10/08 [EUR] 186,290,000 234,830,328 3.8
---------------
366,830,432
- ----------------------------------------------------------------------------------------------------------------------------------
GREECE--1.2%
Greece (Republic of) Bonds:
3.50%-4.60%, 4/18/08-5/20/13 [EUR] 14,455,000 18,301,695 0.3
5.35%, 5/18/11 [EUR] 19,780,000 26,874,464 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Greece (Republic of) Sr. Unsub. Bonds, 4.65%,
4/19/07 [EUR] 23,245,000 30,213,137 0.5
---------------
75,389,296
- ----------------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1% 4,750,200 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
HUNGARY--0.1% 7,532,296 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
IRELAND--0.2% 12,555,769 0.2
21 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
ITALY--1.8%
Italy (Republic of) Treasury Bonds, Buoni del
Tesoro Poliennali:
4%-4.50%, 3/1/05-3/1/07 [EUR] 17,735,000 $ 22,690,367 0.4%
5%, 2/1/12 [EUR] 26,035,000 34,855,367 0.6
5%, 10/15/07 [EUR] 21,650,000 28,580,903 0.4
5.25%, 12/15/05 [EUR] 21,165,000 27,190,465 0.4
---------------
113,317,102
- ----------------------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.1% 3,110,122 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
JAPAN--2.0%
Japan (Government of) Bonds, 5 yr., Series 14,
0.40%, 6/20/06 [JPY] 13,686,000,000 125,030,439 2.0
- ----------------------------------------------------------------------------------------------------------------------------------
KOREA, REPUBLIC OF SOUTH--0.3% 19,455,538 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
MEXICO--0.8% 48,135,569 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND--0.1% 7,559,840 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1% 6,575,247 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
PERU--0.5%
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 6 56,124,120 31,589,238 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.2% 14,162,128 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
POLAND--1.0%
Poland (Republic of) Bonds, Series 0K0805, 5.23%,
8/12/05 6 [PLZ] 189,340,000 50,804,320 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Bonds, 5.75%-6%,
5/24/09-9/23/22 [PLZ] 49,035,000 13,325,312 0.2
---------------
64,129,632
- ----------------------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.8%
Portugal (Republic of) Obrig Do Tes Medio Prazo
Nts., 4.875%, 8/17/07 [EUR] 23,400,000 30,686,554 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Portugal (Republic of) Obrig Do Tes Medio Prazo
Unsec. Unsub. Nts., 5.85%, 5/20/10 [EUR] 14,360,000 19,989,989 0.3
---------------
50,676,543
- ----------------------------------------------------------------------------------------------------------------------------------
RUSSIA--1.4%
Ministry Finance of Russia Debs.:
Series VI, 3%, 5/14/06 17,870,000 17,500,985 0.2
Series V, 3%, 5/14/08 48,955,000 44,423,138 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 2 26,555,250 25,609,219 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 8,077,556 0.1
---------------
95,610,898
- ----------------------------------------------------------------------------------------------------------------------------------
SPAIN--2.0%
Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado:
5.35%, 10/31/11 [EUR] 35,425,000 48,529,102 0.8
5.75%, 7/30/32 [EUR] 20,670,000 30,056,247 0.5
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
SPAIN Continued
Spain (Kingdom of) Treasury Bills, 2.03%,
10/22/04 6 [EUR] 35,545,000 $ 44,161,143 0.7%
---------------
122,746,492
- ----------------------------------------------------------------------------------------------------------------------------------
SWEDEN--0.3% 15,404,280 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.6%
Netherlands (Kingdom of the) Bonds:
5%, 7/15/11 [EUR] 5,250,000 7,044,311 0.1
5.50%, 1/15/28 [EUR] 22,970,000 32,166,027 0.5
---------------
39,210,338
- ----------------------------------------------------------------------------------------------------------------------------------
TURKEY--0.1% 7,420,050 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.4%
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 84,035,000 147,679,882 2.4
- ----------------------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.6% 39,955,105 0.6
---------------
Total Foreign Government Obligations (Cost $1,928,875,689) 2,010,699,110
- ----------------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--1.6%
- ----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesia (Republic of) Rupiah
Loan Participation Nts.:
2.636%, 1/25/06 2 23,680,000 23,154,304 0.4
2.636%, 3/21/05 2 20,675,000 20,577,828 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, OAO Gazprom Loan
Participation Nts., 6.50%, 8/4/05 5 25,000,000 25,620,000 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 29,924,628 0.5
---------------
Total Loan Participations (Cost $104,542,018) 99,276,760
- ----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--27.7%
- ----------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--7.8%
Auto Components 48,024,274 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 131,050,925 2.1
- ----------------------------------------------------------------------------------------------------------------------------------
Household Durables 51,609,813 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products 2,053,250 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Media 200,510,147 3.3
- ----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail 7,602,350 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail 27,507,250 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 13,981,875 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.1%
Beverages 3,615,500 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 7,709,923 0.1
23 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES Continued
Food Products $ 47,641,013 0.8%
- ----------------------------------------------------------------------------------------------------------------------------------
Household Products 10,003,375 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
ENERGY--3.6%
Energy Equipment & Services 38,446,375 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Oil & Gas
Gazprom International SA, 7.201% Sr. Unsec. Bonds,
2/1/20 $ 34,905,000 35,436,603 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 150,293,108 2.4
---------------
185,729,711
- ----------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--1.1%
Capital Markets 4,833,250 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 19,828,338 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 13,036,225 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance 6,864,625 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate 18,509,934 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance 5,407,500 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.2%
Health Care Equipment & Supplies 15,769,860 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 60,313,059 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--3.2%
Aerospace & Defense 24,743,686 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Airlines 25,652,066 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Building Products 5,713,170 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies 72,785,582 1.2
- ----------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering 5,138,055 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment 4,166,500 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 609,000 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery 39,639,750 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Marine 15,063,390 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Road & Rail 4,465,688 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure 1,961,875 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.9%
Communications Equipment 5,867,750 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals 2,354,000 0.0
24 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE PERCENT OF
SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY Continued
Electronic Equipment & Instruments $ 5,493,750 0.1%
- ----------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services 909,904 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
IT Services 10,351,750 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment 27,591,860 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
MATERIALS--4.3%
Chemicals 85,159,431 1.4
- ----------------------------------------------------------------------------------------------------------------------------------
Construction Materials 3,696,000 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging 78,345,818 1.3
- ----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining 60,055,589 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 38,603,520 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.4%
Diversified Telecommunication Services 58,426,193 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 86,253,653 1.4
- ----------------------------------------------------------------------------------------------------------------------------------
UTILITIES--2.1%
Electric Utilities 81,484,138 1.3
- ----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities 8,360,000 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 39,696,256 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Water Utilities 2,166,000 0.0
---------------
Total Corporate Bond and Notes (Cost $1,712,641,527) 1,714,802,946
- ----------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.8% (COST $77,458,299) 49,327,854 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
SHARES
- ----------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--4.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Freddie Mac 18,900 1,233,036 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 10,11 1,019,757 30,593 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 249,218,924 4.0
---------------
Total Common Stocks (Cost $231,331,906) 250,482,553
- ----------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0% (COST $1,728,328) 2,430,748 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
- ----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--7.9%
- ----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Korea (Republic of) Credit Bonds,
1.56%, 6/20/09 $ 35,750,000 36,103,925 0.6
Moscow (City of) Linked Nts.,
10%-15%, 5/27/05-9/2/05 [RUR] 463,537,000 16,963,868 0.3
25 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
OAO Gazprom I Credit Nts., 5.588%, 10/20/07 $ 7,145,000 $ 7,463,726 0.1%
OAO Gazprom II Credit Nts., 5.338%, 4/20/07 7,145,000 7,440,008 0.1
Ukraine (Republic of) Credit Linked Nts.,
6.541%, 8/15/11 35,010,000 36,025,290 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through
Certificates:
Series 3-1, 7.75%, 12/29/09 12,13 100,000,000 101,375,000 1.7
Series 3-3, 8%, 12/29/09 12,13 113,000,000 113,353,125 1.8
- ----------------------------------------------------------------------------------------------------------------------------------
Other Securities 168,432,267 2.7
---------------
Total Structured Notes (Cost $477,097,559) 487,157,209
- ----------------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0% (COST $1,434,463) 307,720 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--4.5%
- ----------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 0.51% in joint repurchase agreement (Principal Amount/
Value $195,664,000, with a maturity value of $195,673,403) with DB Alex Brown
LLC, 1.73%, dated 9/30/04, to be repurchased at $1,000,048 on 10/1/04,
collateralized by U.S. Treasury Bonds, 6.25%--9.25%, 2/15/16--5/15/30,
with a value of $182,065,645 and U.S. Treasury Nts.,
3.375%, 1/15/07, with a value of $17,636,762 1,000,000 1,000,000 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 1.35% in joint repurchase agreement (Principal Amount/
Value $1,446,038,000, with a maturity value of $1,446,110,302) with UBS Warburg
LLC, 1.80%, dated 9/30/04, to be repurchased at $19,500,975 on 10/1/04,
collateralized by Federal National Mortgage
Assn., 5%, 3/1/34, with a value of $1,477,979,332 19,500,000 19,500,000 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 71.44% in joint repurchase agreement (Principal Amount/
Value $361,238,000, with a maturity value of $361,255,058) with Cantor
Fitzgerald & Co./Cantor Fitzgerald Securities, 1.70%, dated 9/30/04, to
be repurchased at $258,069,186 on 10/1/04, collateralized by U.S.
Treasury Bonds, 1.625%--9.875%, 3/31/05--8/15/28, with a value
of $298,717,670 and U.S. Treasury Bills, 1/20/05,
with a value of $70,023,125 258,057,000 258,057,000 4.2
---------------
Total Joint Repurchase Agreements (Cost $278,557,000) 278,557,000
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $6,862,614,092) 6,901,841,486 111.4
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (706,867,069) (11.4)
------------------------------
NET ASSETS $ 6,194,974,417 100.0%
==============================
FOOTNOTES TO SUMMARY STATEMENT OF INVESTMENTS
"Other securities" are unaffiliated holdings that are not individually one of
the top 50 holdings of the Fund, do not individually represent more than 1% of
the Fund's net assets and are issued by an entity in which the Fund's aggregate
holdings of securities issued by that entity do not represent more than 1% of
net assets.
The following footnotes to the statement of investments apply to either the
individual securities noted or one or more of the securities aggregated and
listed as a single line item.
26 | OPPENHEIMER STRATEGIC INCOME FUND
Principal amount, contracts and exercise price are reported in U.S. Dollars,
except for those denoted in the following currencies:
AUD Australian Dollar
EUR Euro
GBP British Pound Sterling
JPY Japanese Yen
NZD New Zealand Dollar
PLZ Polish Zloty
RUR Russian Ruble
1. When-issued security or forward commitment to be delivered and settled after
September 30, 2004. See Note 1 of Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. 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 $30,067,013 or 0.49% of the Fund's net assets
as of September 30, 2004.
4. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $4,629,255 or 0.07% of the Fund's net assets as of
September 30, 2004.
5. Illiquid or restricted security. See Note 11 of Notes to Financial
Statements.
6. Zero coupon bond reflects the effective yield on the date of purchase.
7. Holdings are held in collateralized accounts to cover initial margin
requirements on open futures sales contracts with an aggregate market value of
$27,764,000. See Note 6 of Notes to Financial Statements.
8. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
9. A sufficient amount of liquid assets has been designated to cover outstanding
written call options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------
Japanese Yen (JPY) 21,980,000,000JPY 10/8/04 104.400JPY $ 1,576,917 $ --
New Zealand (Government of)
Bonds, 7%, 7/15/09 10,785NZD 12/9/04 6.205NZD 31,999 41,107
--------------------------
$ 1,608,916 $ 41,107
==========================
10. Non-income producing security.
11. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended September 30,
2004. The aggregate fair value of securities of affiliated companies held by the
Fund as of September 30, 2004 amounts to $30,593. Transactions during the period
in which the issuer was an affiliate are as follows:
SHARES SHARES
SEPT. 30, GROSS GROSS SEPT. 30, UNREALIZED
2003 ADDITIONS REDUCTIONS 2004 DEPRECIATION
- -------------------------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Prandium, Inc. 1,019,757 -- -- 1,019,757 $11,955,407
12. 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 $416,465,073 or 6.72% of the Fund's net
assets as of September 30, 2004.
13. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2004
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
ASSETS
- ---------------------------------------------------------------------------------------
Investments, at value (including securities loaned of approximately
$382,192,000)--see accompanying statement:
Unaffiliated companies (cost $6,850,628,092) $ 6,901,810,893
Affiliated companies (cost $11,986,000) 30,593
----------------
6,901,841,486
- ---------------------------------------------------------------------------------------
Cash 4,219,855
- ---------------------------------------------------------------------------------------
Cash--foreign currencies (cost $659,393) 652,268
- ---------------------------------------------------------------------------------------
Collateral for securities loaned 390,346,302
- ---------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 4,705,942
- ---------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 2,452,702
- ---------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $106,030,886 sold on a when-issued basis
or forward commitment) 134,063,188
Interest, dividends and principal paydowns 86,701,845
Shares of beneficial interest sold 4,660,678
Other 78,929
----------------
Total assets 7,529,723,195
- ---------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------
Options written, at value (premiums received $1,608,916)--see
accompanying summary statement of investments 41,107
- ---------------------------------------------------------------------------------------
Swaptions written, at value (premiums received $1,181,001) 1,564,955
- ---------------------------------------------------------------------------------------
Return of collateral for securities loaned 390,346,302
- ---------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 23,102,068
- ---------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $835,449,053 purchased on a
when-issued basis or forward commitment) 889,180,496
Shares of beneficial interest redeemed 11,417,728
Closed foreign currency contracts 9,620,609
Distribution and service plan fees 3,730,238
Dividends 2,922,945
Futures margins 996,895
Transfer and shareholder servicing agent fees 795,139
Shareholder communications 559,495
Trustees' compensation 110,017
Other 360,784
----------------
Total liabilities 1,334,748,778
- ---------------------------------------------------------------------------------------
NET ASSETS $ 6,194,974,417
================
28 | OPPENHEIMER STRATEGIC INCOME FUND
- ----------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,464,099
- ----------------------------------------------------------------------------------------
Additional paid-in capital 7,128,865,393
- ----------------------------------------------------------------------------------------
Accumulated net investment income 119,924,802
- ----------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency
transactions (1,087,197,545)
- ----------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 31,917,668
-----------------
NET ASSETS $ 6,194,974,417
=================
- ----------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ----------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net
assets of $4,117,666,340 and 973,545,971 shares of beneficial
interest outstanding) $ 4.23
Maximum offering price per share (net asset value plus sales
charge of 4.75% of offering price) $ 4.44
- ----------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $1,163,555,335 and 274,111,241 shares of beneficial
interest outstanding) $ 4.24
- ----------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $710,084,684 and 168,216,761 shares of beneficial
interest outstanding) $ 4.22
- ----------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $52,969,470 and 12,516,022 shares of beneficial interest
outstanding) $ 4.23
- ----------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share
(based on net assets of $150,698,588 and 35,708,894 shares of
beneficial interest outstanding) $ 4.22
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2004
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
INVESTMENT INCOME
- ----------------------------------------------------------------------------------------
Interest $ 344,307,567
- ----------------------------------------------------------------------------------------
Fee income 15,925,307
- ----------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $216,419) 5,150,052
- ----------------------------------------------------------------------------------------
Portfolio lending fees 560,653
-----------------
Total investment income 365,943,579
- ----------------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------------
Management fees 33,967,119
- ----------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 9,891,924
Class B 14,260,769
Class C 7,163,671
Class N 199,666
- ----------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 5,760,790
Class B 1,748,998
Class C 896,600
Class N 125,777
Class Y 1,601,641
- ----------------------------------------------------------------------------------------
Shareholder communications:
Class A 645,678
Class B 248,729
Class C 91,228
Class N 6,069
- ----------------------------------------------------------------------------------------
Custodian fees and expenses 802,111
- ----------------------------------------------------------------------------------------
Trustees' compensation 159,292
- ----------------------------------------------------------------------------------------
Other 543,960
-----------------
Total expenses 78,114,022
Less reduction to custodian expenses (94,722)
Less payments and waivers of expenses (1,011,245)
-----------------
Net expenses 77,008,055
- ----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 288,935,524
30 | OPPENHEIMER STRATEGIC INCOME FUND
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ----------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (including premiums on options exercised) $ (273,420)
Closing of futures contracts (18,657,324)
Closing and expiration of option contracts written 3,525,972
Closing and expiration of swaption contracts (969,972)
Foreign currency transactions 150,909,396
Swap contracts (9,065,648)
-----------------
Net realized gain 125,469,004
- ----------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 161,658,067
Translation of assets and liabilities denominated in foreign (44,388,863)
currencies
Futures contracts (12,712,112)
Option contracts (787,163)
Swaption contracts (569,007)
Swap contracts 3,748,280
-----------------
Net change in unrealized appreciation (depreciation) 106,949,202
- ----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 521,353,730
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2004 2003
- ---------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------
Net investment income $ 288,935,524 $ 387,022,687
- ---------------------------------------------------------------------------------------------
Net realized gain (loss) 125,469,004 (178,426,068)
- ---------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) 106,949,202 863,388,406
--------------------------------------
Net increase in net assets resulting from operations 521,353,730 1,071,985,025
- ---------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ---------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (192,285,670) (228,607,620)
Class B (57,497,267) (101,542,711)
Class C (28,954,074) (35,917,109)
Class N (1,737,495) (1,359,641)
Class Y (10,331,686) (12,603,902)
- ---------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from beneficial interest transactions:
Class A 102,366,894 271,084,579
Class B (576,954,365) (358,847,116)
Class C (13,106,700) 59,394,216
Class N 21,566,186 12,050,473
Class Y (97,360,343) 65,509,777
- ---------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------
Total increase (decrease) (332,940,790) 741,145,971
- ---------------------------------------------------------------------------------------------
Beginning of period 6,527,915,207 5,786,769,236
--------------------------------------
End of period (including accumulated net investment
income (loss) of $119,924,802 and $(26,416,177),
respectively) $ 6,194,974,417 $ 6,527,915,207
======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.08 $ 3.64 $ 3.72 $ 4.18 $ 4.33
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .20 .26 .32 .36 .43
Net realized and unrealized gain (loss) .15 .43 (.08) (.43) (.17)
-------------------------------------------------------------------------------
Total from investment operations .35 .69 .24 (.07) .26
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.20) (.25) (.30) (.26) (.41)
Tax return of capital distribution -- -- (.02) (.13) --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.20) (.25) (.32) (.39) (.41)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18
===============================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 8.73% 19.59% 6.63% (1.79)% 6.18%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $4,117,666 $3,873,018 $3,202,825 $3,186,441 $3,431,763
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $4,025,554 $3,521,307 $3,263,490 $3,349,859 $3,517,517
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.69% 6.60% 7.91% 8.90% 9.98%
Total expenses 0.95% 3,4 0.95% 3 1.01% 3 0.93% 3 0.95% 3
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 90% 5 104% 117% 209% 136%
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%.
5. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS B YEAR ENDED SEPTEMBER 30, 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.10 $ 3.66 $ 3.73 $ 4.19 $ 4.34
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .16 .22 .28 .33 .39
Net realized and unrealized gain (loss) .15 .44 (.05) (.43) (.17)
-------------------------------------------------------------------------------
Total from investment operations .31 .66 .23 (.10) .22
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.17) (.22) (.28) (.24) (.37)
Tax return of capital distribution -- -- (.02) (.12) --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.17) (.22) (.30) (.36) (.37)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19
===============================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 7.66% 18.62% 6.11% (2.53)% 5.37%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $1,163,555 $1,686,295 $1,847,182 $2,186,638 $2,581,391
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,424,322 $1,757,152 $2,056,449 $2,394,886 $2,907,627
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.16% 5.92% 7.22% 8.14% 9.01%
Total expenses 1.69% 3,4 1.68% 3 1.75% 3 1.68% 3 1.71% 3
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 90% 5 104% 117% 209% 136%
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%.
5. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
34 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS C YEAR ENDED SEPTEMBER 30, 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.07 $ 3.64 $ 3.71 $ 4.17 $ 4.32
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .17 .23 .29 .33 .39
Net realized and unrealized gain (loss) .15 .42 (.06) (.43) (.17)
-------------------------------------------------------------------------------
Total from investment operations .32 .65 .23 (.10) .22
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.17) (.22) (.28) (.24) (.37)
Tax return of capital distribution -- -- (.02) (.12) --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.17) (.22) (.30) (.36) (.37)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
===============================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 7.95% 18.45% 6.15% (2.54)% 5.39%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 710,085 $ 698,196 $ 568,487 $ 553,399 $ 548,332
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 716,206 $ 623,598 $ 571,292 $ 554,279 $ 568,742
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.06% 5.85% 7.15% 8.15% 9.21%
Total expenses 1.69% 3,4 1.69% 3 1.75% 3 1.68% 3 1.71% 3
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 90% 5 104% 117% 209% 136%
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%.
5. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
35 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS N YEAR ENDED SEPTEMBER 30, 2004 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 .17 .25 .30 .22
Net realized and unrealized gain (loss) .16 .42 (.05) (.41)
---------------------------------------------------------------
Total from investment operations .33 .67 .25 (.19)
- -----------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.18) (.24) (.30) (.15)
Tax return of capital distribution -- -- (.02) (.07)
---------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.18) (.24) (.32) (.22)
- -----------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.23 $ 4.08 $ 3.65 $ 3.72
===============================================================
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 8.28% 18.82% 6.70% (4.61)%
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 52,969 $ 30,110 $ 15,508 $ 3,215
- -----------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 40,043 $ 22,627 $ 8,954 $ 1,348
- -----------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.19% 6.08% 7.07% 9.74%
Total expenses 1.38% 4,5 1.34% 4 1.22% 4 0.98% 4
- -----------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 90% 6 104% 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 distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
36 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y YEAR ENDED SEPTEMBER 30, 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.07 $ 3.64 $ 3.71 $ 4.17 $ 4.32
- --------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 .26 .32 .36 .46
Net realized and unrealized gain (loss) .14 .42 (.06) (.42) (.19)
------------------------------------------------------------------------------
Total from investment operations .35 .68 .26 (.06) .27
- --------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.20) (.25) (.31) (.26) (.42)
Tax return of capital distribution -- -- (.02) (.14) --
------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.20) (.25) (.33) (.40) (.42)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
==============================================================================
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 8.80% 19.33% 7.06% (1.58)% 6.55%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 150,699 $ 240,296 $ 152,767 $ 103,858 $ 75,748
- --------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 213,632 $ 194,308 $ 127,992 $ 94,400 $ 57,127
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.80% 6.57% 7.86% 9.09% 11.39%
Total expenses 1.29% 1.41% 1.74% 1.35% 0.83%
Expenses after payments and waivers
and reduction to custodian expenses 0.90% 0.91% 0.90% 0.78% N/A 3
- --------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 90% 4 104% 117% 209% 136%
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. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
37 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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, however, the institutional investor
may impose charges on those accounts. 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 due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class 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. The Fund calculates the net asset value of its shares as
of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. 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.
Corporate, government and municipal debt instruments having a remaining maturity
in excess of 60 days and all mortgage-backed securities will be valued at the
mean between the "bid" and "asked" prices. 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 and domestic 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 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
38 | OPPENHEIMER STRATEGIC INCOME FUND
with remaining maturities of sixty days or less are valued at amortized cost
(which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. 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 September 30, 2004, the market value
of these securities comprised 7.9% of the Fund's net assets and resulted in
unrealized gains of $10,059,650.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days 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
internally designated 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 or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of September 30, 2004, the Fund had purchased
$835,449,053 of securities on a when-issued basis or forward commitment and sold
$106,030,886 of securities issued on a when-issued basis or forward commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of each
forward roll as realized gain (loss) on investments or as fee income in the case
of such transactions that have an associated fee in lieu of a difference in the
forward purchase and sale price.
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 at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
39 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of September 30, 2004, securities with an
aggregate market value of $60,275,197, representing 0.97% of the Fund's net
assets, were in default.
- --------------------------------------------------------------------------------
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 as of the close of The New York Stock Exchange (the
Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open.
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. Foreign exchange rates may be valued primarily using
dealer supplied valuations or a portfolio pricing service authorized by the
Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
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. 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
40 | OPPENHEIMER STRATEGIC INCOME FUND
class. Operating expenses directly attributable to a specific class are charged
against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
The tax components of capital shown in the table below represent distribution
requirements the Fund must satisfy under the income tax regulations, losses the
Fund may be able to offset against income and gains realized in future years and
unrealized appreciation or depreciation of securities and other investments for
federal income tax purposes.
NET UNREALIZED
DEPRECIATION
BASED ON COST OF
SECURITIES AND
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS
NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME
INCOME GAIN CARRYFORWARD 1,2,3,4,5,6 TAX PURPOSES
------------------------------------------------------------------------------
$140,321,504 $-- $1,059,119,870 $14,094,601
1. As of September 30, 2004, the Fund had $1,030,395,294 of net capital loss
carryforwards available to offset future realized capital gains, if any, and
thereby reduce future taxable gain distributions. As of September 30, 2004,
details of the capital loss carryforwards were as follows:
EXPIRING
------------------------------
2007 $ 16,381,920
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
--------------
Total $1,030,395,294
==============
2. As of September 30, 2004, the Fund had $25,835,930 of post-October losses
available to offset future realized capital gains, if any. Such losses, if
unutilized, will expire in 2013.
3. The Fund had $2,888,646 of straddle losses which were deferred.
4. During the fiscal year ended September 30, 2004, the Fund did not utilize any
capital loss carryforward.
5. During the fiscal year ended September 30, 2003, the Fund did not utilize any
capital loss carryforward.
6. During the fiscal year ended September 30, 2004, $114,650,580 of unused
capital loss carryforward expired.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
41 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Accordingly, the following amounts have been reclassified for September 30,
2004. Net assets of the Fund were unaffected by the reclassifications.
INCREASE TO
REDUCTION TO ACCUMULATED NET
REDUCTION TO ACCUMULATED NET REALIZED LOSS
PAID-IN CAPITAL INVESTMENT LOSS ON INVESTMENTS
-----------------------------------------------------------
$114,650,580 $148,211,647 $33,561,067
The tax character of distributions paid during the years ended September 30,
2004 and September 30, 2003 was as follows:
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2004 SEPTEMBER 30, 2003
-----------------------------------------------------------
Distributions
paid from:
Ordinary income $290,806,192 $380,030,983
The aggregate cost of securities and other investments and the composition of
unrealized appreciation and depreciation of securities and other investments for
federal income tax purposes as of September 30, 2004 are noted below. The
primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
Federal tax cost of securities $ 6,885,152,828
Federal tax cost of other investments (643,139,762)
----------------
Total federal tax cost $ 6,242,013,066
================
Gross unrealized appreciation $ 343,729,578
Gross unrealized depreciation (357,824,179)
----------------
Net unrealized depreciation $ (14,094,601)
================
- --------------------------------------------------------------------------------
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. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. 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
42 | OPPENHEIMER STRATEGIC INCOME FUND
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 U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
YEAR ENDED SEPTEMBER 30, 2004 YEAR ENDED SEPTEMBER 30, 2003
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS A
Sold 239,096,359 $ 999,651,057 239,075,415 $ 920,837,843
Dividends and/or
distributions reinvested 32,121,259 134,314,145 39,925,641 153,907,293
Redeemed (246,819,671) (1,031,598,308) (208,815,336) (803,660,557)
---------------------------------------------------------------------
Net increase 24,397,947 $ 102,366,894 70,185,720 $ 271,084,579
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS B
Sold 31,907,359 $ 133,737,139 63,952,473 $ 246,602,223
Dividends and/or
distributions reinvested 8,657,421 36,309,677 15,896,757 61,263,462
Redeemed (178,229,376) (747,001,181) (173,280,500) (666,712,801)
---------------------------------------------------------------------
Net decrease (137,664,596) $ (576,954,365) (93,431,270) $ (358,847,116)
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS C
Sold 34,946,299 $ 145,838,345 44,468,531 $ 171,414,411
Dividends and/or
distributions reinvested 4,955,123 20,669,780 6,320,901 24,316,496
Redeemed (43,114,379) (179,614,825) (35,649,094) (136,336,691)
---------------------------------------------------------------------
Net increase (decrease) (3,212,957) $ (13,106,700) 15,140,338 $ 59,394,216
=====================================================================
43 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
YEAR ENDED SEPTEMBER 30, 2004 YEAR ENDED SEPTEMBER 30, 2003
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS N
Sold 7,364,068 $ 30,835,235 4,309,056 $ 16,669,277
Dividends and/or
distributions reinvested 393,458 1,645,805 334,213 1,294,796
Redeemed (2,615,117) (10,914,854) (1,522,702) (5,913,600)
---------------------------------------------------------------------
Net increase 5,142,409 $ 21,566,186 3,120,567 $ 12,050,473
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS Y
Sold 19,171,754 $ 79,967,710 41,339,112 $ 159,458,161
Dividends and/or
distributions reinvested 1,795,794 7,487,037 2,467,304 9,527,352
Redeemed (44,274,233) (184,815,090) (26,811,939) (103,475,736)
---------------------------------------------------------------------
Net increase (decrease) (23,306,685) $ (97,360,343) 16,994,477 $ 65,509,777
=====================================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than U.S. government obligations and short-term obligations, for the year ended
September 30, 2004, were $4,021,933,541 and $4,891,449,509, respectively. There
were purchases of $823,936,177 and sales of $479,537,395 of U.S. government and
government agency obligations for the year ended September 30, 2004.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICES. The Fund pays the Manager a fee of $1,500 per year for
preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the year ended September 30, 2004, the Fund paid
$9,227,522 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $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.
- --------------------------------------------------------------------------------
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.
44 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
quarterly at an annual rate of up to 0.25% of the average annual net assets of
Class A shares of the Fund. The Distributor currently uses all of those fees to
pay dealers, brokers, banks and other financial institutions quarterly for
providing personal services and maintenance of accounts of their customers that
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 those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% per year on
Class B and 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 September 30,
2004 for Class B, Class C and Class N shares were $96,344,899, $20,621,328 and
$820,116, 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
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- ---------------------------------------------------------------------------------------------
September 30, 2004 $1,886,271 $73,000 $3,803,185 $117,463 $22,540
- --------------------------------------------------------------------------------
PAYMENTS AND WAIVERS OF EXPENSES. OFS has voluntarily agreed to limit transfer
and shareholder servicing agent fees for all classes to 0.35% of average annual
net assets per class. During the year ended September 30, 2004, OFS waived
$126,162, $31,110, $11,641, $811 and $841,521 for Class A, Class B, Class C,
Class N and Class Y shares, respectively. This undertaking may be amended or
withdrawn at any time.
45 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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.
As of September 30, 2004, the Fund had outstanding foreign currency contracts as
follows:
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000s) SEPT. 30, 2004 APPRECIATION DEPRECIATION
- -----------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso (ARP) 2/2/05 34,420ARP $ 11,233,629 $ 2,147 $ --
Australian Dollar (AUD) 10/18/04 29,100AUD 21,138,930 762,819 --
Brazilian Real (BRR) 12/14/04-1/26/05 281,137BRR 95,297,528 2,625,712 --
British Pound
Sterling (GBP) 10/18/04-12/14/04 17,380GBP 31,403,911 178,297 63,428
Japanese Yen (JPY) 3/15/05-4/1/05 32,889,960JPY 302,132,803 445,307 8,082,651
New Zealand Dollar (NZD) 10/18/04 33,670NZD 22,760,690 563,574 --
Polish Zloty (PLZ) 12/27/04 25,347PLZ 7,128,187 31,566 --
South African Rand (ZAR) 10/25/04 68,965ZAR 10,637,036 -- 11,627
----------------------------
4,609,422 8,157,706
----------------------------
CONTRACTS TO SELL
British Pound
Sterling (GBP) 10/4/04-11/18/04 61,475GBP 111,286,539 -- 1,744,908
Canadian Dollar (CAD) 2/24/05 20,695CAD 16,369,460 -- 520,089
Euro (EUR) 11/16/04-12/27/04 462,511EUR 575,034,373 -- 11,670,565
Japanese Yen (JPY) 10/18/04-12/22/04 7,809,000JPY 71,189,637 96,520 666,450
Mexican Nuevo
Peso (MXN) 10/26/04 146,451MXN 12,808,570 -- 98,016
Swiss Franc (CHF) 10/18/04 28,620CHF 23,000,520 -- 244,334
----------------------------
96,520 14,944,362
----------------------------
Total unrealized appreciation and depreciation $ 4,705,942 $ 23,102,068
============================
46 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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 stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying 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 Summary 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 in the Statement of Operations as the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported on the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of September 30, 2004, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2004 (DEPRECIATION)
- ------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Euro-Bundesobligation 12/8/04 132 $ 18,985,306 $ 251,674
Japan (Government of) Bonds, 10 yr. 12/9/04 13 16,303,322 231,604
NASDAQ 100 Index 12/16/04 132 18,711,000 429,165
Nikkei 225 Index 12/9/04 27 1,465,425 (31,376)
United Kingdom Long Gilt 12/29/04 25 4,877,684 19,558
U.S. Long Bonds 12/20/04 1,663 186,619,781 4,169,058
U.S. Treasury Nts., 10 yr. 12/20/04 2,360 265,795,000 2,296,835
---------------
7,366,518
---------------
47 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS Continued
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2004 (DEPRECIATION)
- ------------------------------------------------------------------------------------------------
CONTRACTS TO SELL
CAC-40 10 Index 12/17/04 176 $ 7,989,205 $ 5,472
DAX Index 12/17/04 52 6,321,471 98,621
FTSE 100 Index 12/17/04 157 13,098,269 (52,632)
Japan (Government of) Bonds, 10 yr. 12/9/04 71 89,041,222 (1,264,921)
Nikkei 225 Index 12/9/04 155 15,342,908 584,726
Standard & Poor's 500 Index 12/16/04 269 74,977,025 299,263
U.S. Treasury Nts., 2 yr. 12/30/04 1,998 422,046,281 929,727
U.S. Treasury Nts., 5 yr. 12/20/04 2,274 251,845,500 (948,630)
---------------
(348,374)
---------------
$ 7,018,144
===============
- --------------------------------------------------------------------------------
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
Summary 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 Summary 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.
48 | OPPENHEIMER STRATEGIC INCOME FUND
Written option activity for the year ended September 30, 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 21,980,010,785 1,608,916 7,130,000,000 995,631
Options closed or expired (112,146,104) (1,680,923) (16,841,600,000) (2,841,688)
Options exercised (31,216,280,000) (3,326,644) -- --
---------------------------------------------------------------------
Options outstanding as of
September 30, 2004 21,980,010,785 $ 1,608,916 -- $ --
=====================================================================
- --------------------------------------------------------------------------------
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 unrealized gain (loss), 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 September 30, 2004, the Fund had entered into the following interest rate
swap agreements:
FIXED RATE FLOATING RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL SEPT. 30, SEPT. 30, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2004 2004 RATE INDEX DATES (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------
Citigroup Three-Month
Global Markets LIBOR BBA
Holdings $ 125,000,000 1.18% 4.96% Rate 5/6/14 $ 6,637,096
Deutsche Bank Three-Month
AG 43,910,000 3.1025 1.81 LIBOR flat 3/4/08 397,062
Deutsche Bank 90-day
AG 461,160,000TWD 1.02 2.509 CPTW Rate 8/19/09 (3,536)
Deutsche Bank
AG 609,375,000INR 4.88 4.50 IRS 1/15/09 604,806
49 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. INTEREST RATE SWAP CONTRACTS Continued
FIXED RATE FLOATING RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL SEPT. 30, SEPT. 30, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2004 2004 RATE INDEX DATES (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------
Three-Month
Deutsche Bank LIBOR BBA
AG $ 90,000,000 1.68 5.32 Rate 5/12/14 $ 7,680,819
JPMorgan Six-Month
Chase Bank EUR 11,025,000EUR 3.14 2.08 LIBOR flat 7/14/08 (1,135)
JPMorgan Six-Month
Chase Bank HUF 3,075,000,000HUF 9.13 7.00 LIBOR flat 7/14/08 (1,472,712)
JPMorgan Three-Month
Chase Bank 22,120,000 3.052 1.41 LIBOR flat 3/10/08 247,169
Three-Month
JPMorgan LIBOR BBA
Chase Bank 180,000,000 1.66 3.893 Rate 4/26/09 4,019,017
Three-Month
JPMorgan LIBOR BBA
Chase Bank 134,000,000 1.17 4.8425 Rate 4/26/14 6,339,746
JPMorgan Three-Month
Chase Bank 209,000,000 4.24 1.65 LIBOR flat 7/23/09 (5,614,938)
Three-Month
JPMorgan BBA LIBOR
Chase Bank 16,745,000 1.68 4.94 Rate 4/30/14 924,842
Morgan Stanley
Capital Services, Three-Month
Inc. 80,800,000 3.82 1.18 LIBOR flat 11/10/08 (1,454,295)
Morgan Stanley
Capital Services, Three-Month
Inc. 253,000,000 2.32 1.18 LIBOR flat 11/10/05 (352,852)
---------------
$ 17,951,089
===============
Notional amounts are reported in U.S. Dollars, except for those denoted in the
following currencies. Index abbreviations and currencies are as follows:
CPTW Bloomberg Taiwan Secondary Commercial Papers
EUR Euro
HUF Hungary Forints
INR Indian Rupee
IRS India Swap Composites
LIBOR London-Interbank Offered Rate
LIBOR BBA London-Interbank Offered Rate British Bankers Association
TWD New Taiwan Dollar
- --------------------------------------------------------------------------------
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
50 | OPPENHEIMER STRATEGIC INCOME FUND
liability to either counterparty, and is referred to as a notional principal
amount. The Fund records an increase or decrease to unrealized gain (loss), in
the amount due to or owed by the Fund at termination or settlement. Credit swaps
are subject to credit risks (if the counterparty fails to meet its obligations).
The Fund pays an annual interest fee on the notional amount in exchange for the
counterparty paying in a potential credit event. During the year ended September
30, 2004, the Fund entered into transactions to hedge credit risk. Information
regarding the credit swaps is as follows:
VALUATION AS OF UNREALIZED
EXPIRATION NOTIONAL SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT 2004 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Export-Import Bank of Korea
Credit Bonds 6/20/09 $ 7,160,000 $ (59,428) $ (59,428)
Korea Development Bank
Credit Bonds 6/20/09 7,160,000 (56,564) (56,564)
Korea Deposit Insurance Corp.
Credit Bonds 6/20/09 7,160,000 (60,144) (60,144)
Korea Electric Power Corp.
Credit Bonds 6/20/09 7,160,000 (62,292) (62,292)
Philippines (Republic of)
10 yr. Credit Bonds 7/25/13 15,770,000 158,917 158,917
Samsung Electronic Co. Ltd.
Credit Bonds 6/20/09 7,160,000 (53,700) (53,700)
Turkey (Republic of)
2 yr. Credit Nts. 5/7/06 15,180,000 (725,287) (725,287)
Turkey (Republic of)
5 yr. Credit Nts. 5/7/09 7,150,000 1,612,382 1,612,382
United Mexican States
Credit Bonds 9/20/13 14,505,000 (620,683) (620,683)
Venezuela (Republic of)
Credit Bonds 10/20/09 27,240,000 (187,432) (187,432)
Venezuela (Republic of)
Credit Bonds 10/20/09 15,350,000 (4,658) (4,658)
- -------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Export-Import Bank of Korea
Credit Bonds 6/20/09 3,580,000 (60,908) (60,908)
Jordan (Kingdom of) Credit Nts. 6/6/06 4,350,000 (31,676) (31,676)
Korea Deposit Insurance Corp.
Credit Bonds 6/20/09 3,580,000 (60,944) (60,944)
Korea Development Bank
Credit Bonds 6/20/09 3,580,000 (59,318) (59,318)
Korea Electric Power Co.
Credit Bonds 6/20/09 3,580,000 (66,583) (66,583)
Russian Federation Credit Bonds 10/9/13 8,060,000 114,140 114,140
Samsung Electronics Co. Ltd.
Credit Bonds 6/20/09 3,580,000 (61,083) (61,083)
51 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. CREDIT SWAP CONTRACTS Continued
VALUATION AS OF UNREALIZED
EXPIRATION NOTIONAL SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT 2004 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Brazil (Federal Republic of)
Credit Bonds 8/20/09 $ 29,440,000 $ (2,625,525) $ (2,625,525)
Brazil (Federal Republic of)
Credit Bonds 10/20/09 3,450,000 6,932 6,932
Venezuela (Republic of)
Credit Bonds 3/5/08 3,450,000 (53,200) (53,200)
- -------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Brazil (Federal Republic of)
Credit Bonds 8/20/09 12,010,000 (980,609) (980,609)
Brazil (Federal Republic of)
Credit Bonds 8/20/09 12,010,000 (1,006,154) (1,006,154)
Hungary (Republic of)
Credit Bonds 12/2/13 21,410,000 (508,872) (508,872)
Peru (Republic of)
Credit Bonds 6/20/09 15,000,000 (1,367,922) (1,367,922)
Philippines (Republic of)
5 yr. Credit Bonds 9/20/09 8,335,000 (162,745) (162,745)
Philippines (Republic of)
Credit Bonds 6/20/09 4,190,000 (105,046) (105,046)
Philippines (Republic of)
Credit Bonds 6/20/09 2,100,000 (56,869) (56,869)
Philippines (Republic of)
Credit Bonds 6/20/09 4,190,000 (130,308) (130,308)
Turkey (Republic of) 2 yr.
Credit Nts. 5/8/06 15,205,000 (795,234) (795,234)
Turkey (Republic of) 5 yr.
Credit Nts. 5/8/09 7,160,000 820,809 820,809
Venezuela (Republic of)
Credit Bonds 8/20/06 20,830,000 779,370 779,370
Venezuela (Republic of)
Credit Bonds 8/20/09 10,415,000 (732,008) (732,008)
Venezuela (Republic of)
Credit Bonds 2/20/14 12,850,000 (2,694,289) (2,694,289)
- -------------------------------------------------------------------------------------------------------------
UBS AG:
Venezuela (Republic of)
Credit Bonds 6/20/14 28,345,000 (5,559,567) (5,559,567)
Venezuela (Republic of)
Credit Bonds 8/20/06 13,890,000 (502,571) (502,571)
Venezuela (Republic of)
Credit Bonds 8/20/09 6,945,000 460,682 460,682
---------------
$ (15,498,387)
===============
52 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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.
Written swaption activity for the year ended September 30, 2004 was as follows:
NOTIONAL AMOUNT OF
AMOUNT PREMIUMS
----------------------------------------------------------------
Swaptions outstanding as of
September 30, 2003 44,445,000 $ 395,561
Swaptions written 252,075,000 2,159,030
Swaptions closed or expired (127,415,000) (1,373,590)
------------------------------
Swaptions outstanding as of
September 30, 2004 169,105,000 $ 1,181,001
==============================
As of September 30, 2004, the Fund had entered into the following swaption
contracts:
NOTIONAL EXPIRATION EXERCISE PREMIUM VALUE
SWAPTIONS AMOUNT DATES PRICE RECEIVED SEE NOTE 1
- ----------------------------------------------------------------------------------------------------
Deutsche Bank AG 94,160,000GBP 11/4/04 5.997% $ 439,416 $ 818,017
Lehman Brothers International 74,945,000AUD 12/30/04 5.150 741,585 746,938
--------------------------
$ 1,181,001 $ 1,564,955
==========================
Notional amounts are denoted in the following currencies:
AUD Australian Dollar
GBP British Pound Sterling
- --------------------------------------------------------------------------------
11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of September 30, 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 will not invest more than 10% of
its net assets (determined at the time of purchase and reviewed periodically) in
illiquid or restricted securities. Certain restricted securities, eligible for
resale to qualified institutional investors, are not subject to that limitation.
The aggregate value of illiquid or restricted securities subject to this
limitation as of September 30, 2004 was $327,109,136, which represents 5.28% of
the Fund's net assets, of which $813,863 is considered restricted. Information
concerning restricted securities and currency is as follows:
53 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY Continued
ACQUISITION VALUATION AS OF UNREALIZED
SECURITY DATES COST SEPTEMBER 30, 2004 DEPRECIATION
- ------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Geotek Communications, Inc.,
Series B, Escrow Shares 1/4/01 $ 2,500 $ -- $ 2,500
CURRENCY
Argentine Peso (ARP) 3/17/04 820,382 813,863 6,519
- --------------------------------------------------------------------------------
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. The Fund retains a portion of
the interest earned from the collateral. The Fund also continues to receive
interest or dividends paid on the securities loaned. As of September 30, 2004,
the Fund had on loan securities valued at approximately $382,192,000. Cash of
$390,346,302 was received as collateral for the loans, and has been invested in
approved instruments
- --------------------------------------------------------------------------------
13. LITIGATION
Six complaints have been filed as putative derivative and class actions against
the Manager, OFS and the Distributor (collectively, "OppenheimerFunds"), as well
as 51 of the Oppenheimer funds (collectively, the "Funds") including this Fund,
and nine Directors/ Trustees of certain of the Funds other than this Fund
(collectively, the "Directors/Trustees"). The complaints allege that the Manager
charged excessive fees for distribution and other costs, improperly used assets
of the Funds in the form of directed brokerage commissions and 12b-1 fees to pay
brokers to promote sales of the Funds, and failed to properly disclose the use
of Fund assets to make those payments in violation of the Investment Company Act
of 1940 and the Investment Advisers Act of 1940. The complaints further allege
that by permitting and/or participating in those actions, the Directors/Trustees
breached their fiduciary duties to Fund shareholders under the Investment
Company Act of 1940 and at common law. By order dated October 27, 2004, these
six actions, and future related actions, were consolidated by the U.S. District
Court for the Southern District of New York into a single consolidated
proceeding in contemplation of the filing of a superceding consolidated and
amended complaint.
54 | OPPENHEIMER STRATEGIC INCOME FUND
OppenheimerFunds believes that it is premature to render any opinion as to
the likelihood of an outcome unfavorable to them, the Funds or the
Directors/Trustees and that no estimate can yet be made with any degree of
certainty as to the amount or range of any potential loss. However,
OppenheimerFunds, the Funds and the Directors/Trustees believe that the
allegations contained in the complaints are without merit and intend to defend
these lawsuits vigorously.
55 | OPPENHEIMER STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND:
We have audited the accompanying statement of assets and liabilities of
Oppenheimer Strategic Income Fund, including the summary statement of
investments, as of September 30, 2004, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for the periods
presented. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of September 30, 2004, by correspondence
with the custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Oppenheimer Strategic Income Fund as of September 30, 2004, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for the
periods presented, in conformity with accounting principles generally accepted
in the United States of America.
DELOITTE & TOUCHE LLP
Denver, Colorado
November 16, 2004
56 | OPPENHEIMER STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
In early 2005, if applicable, shareholders of record will receive information
regarding all dividends and distributions paid to them by the Fund during
calendar year 2004. Regulations of the U.S. Treasury Department require the Fund
to report this information to the Internal Revenue Service.
Dividends, if any, paid by the Fund during the fiscal year ended September
30, 2004 which are not designated as capital gain distributions should be
multiplied by 0.42% to arrive at the amount eligible for the corporate
dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal
year ended September 30, 2004 which are not designated as capital gain
distributions are eligible for lower individual income tax rates to the extent
that the Fund has received qualified dividend income as stipulated by recent tax
legislation. $2,966,142 of the Fund's fiscal year taxable income may be eligible
for the lower individual income tax rates. In early 2005, shareholders of record
will receive information regarding the percentage of distributions that are
eligible for lower individual income tax rates.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because of
the complexity of the federal regulations which may affect your individual tax
return and the many variations in state and local tax regulations, we recommend
that you consult your tax advisor for specific guidance.
57 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
STATEMENTS OF INVESTMENTS 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
1.800.525.7048, (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 is 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 Fund's Form N-PX
filing is available (i) without charge, upon request, by calling the Fund
toll-free at 1.800.525.7048, and (ii) on the SEC's website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at www.sec.gov. Those
forms may be reviewed and copied at the SEC's Public Reference Room in
Washington D.C. Information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330.
The Fund has included a Summary Portfolio Schedule in this shareholder
report, that includes each of the Fund's 50 largest portfolio holdings in
unaffiliated issuers and each investment in unaffiliated issuers that exceeds 1%
of the Fund's net asset value. A complete schedule of the Fund's portfolio
investments is available (i) without charge, upon request, by calling the Fund
toll-free at 1.800.525.7048, and (ii) by obtaining the Fund's Form N-CSR on the
SEC's website at www.sec.gov.
58 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
NAME, POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS; OTHER TRUSTEESHIPS/DIRECTORSHIPS HELD
FUND, LENGTH OF SERVICE, AGE BY TRUSTEE; NUMBER OF PORTFOLIOS IN FUND COMPLEX CURRENTLY OVERSEEN BY TRUSTEE
INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, CENTENNIAL,
TRUSTEES CO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, UNTIL HIS OR HER
RESIGNATION, RETIREMENT, DEATH OR REMOVAL.
WILLIAM L. ARMSTRONG, Chairman of the following private mortgage banking companies: Cherry Creek
Chairman of the Board Mortgage Company (since 1991), Centennial State Mortgage Company (since
of Trustees (since 2003) 1994), The El Paso Mortgage Company (since 1993), Transland Financial Services,
and Trustee (since 2000) Inc. (since 1997); Chairman of the following private companies: Great Frontier
Age: 67 Insurance (insurance agency) (since 1995), Ambassador Media Corporation and
Broadway Ventures (since 1984); a director of the following public companies:
Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992) and
UNUMProvident (insurance company) (since 1991). Mr. Armstrong is also a Director/
Trustee of Campus Crusade for Christ and the Bradley Foundation. Formerly a
director of the following: Storage Technology Corporation (a publicly-held
computer equipment company) (1991-February 2003), and International Family
Entertainment (television channel) (1992-1997), Frontier Real Estate, Inc.
(residential real estate brokerage) (1994-1999), and Frontier Title (title
insurance agency) (1995-June 1999); a U.S. Senator (January 1979-January 1991).
Oversees 39 portfolios in the OppenheimerFunds complex.
ROBERT G. AVIS, Formerly, Director and President of A.G. Edwards Capital, Inc. (General Partner
Trustee (since 1993) of private equity funds) (until February 2001); Chairman, President and Chief
Age: 73 Executive Officer of A.G. Edwards Capital, Inc. (until March 2000); Vice Chairman
and Director of A.G. Edwards, Inc. and Vice Chairman of A.G. Edwards & Sons, Inc.
(its brokerage company subsidiary) (until March 1999); Chairman of A.G. Edwards
Trust Company and A.G.E. Asset Management (investment advisor) (until March 1999);
and a Director (until March 2000) of A.G. Edwards & Sons and A.G. Edwards Trust
Company. Oversees 39 portfolios in the OppenheimerFunds complex.
GEORGE C. BOWEN, Formerly Assistant Secretary and a director (December 1991-April 1999) of
Trustee (since 2000) Centennial Asset Management Corporation; President, Treasurer and a director
Age: 67 (June 1989-April 1999) of Centennial Capital Corporation; Chief Executive
Officer and a director of MultiSource Services, Inc. (March 1996-April 1999).
Until April 1999 Mr. Bowen held several positions in subsidiary or affiliated
companies of the Manager. Oversees 39 portfolios in the OppenheimerFunds
complex.
EDWARD L. CAMERON, A member of The Life Guard of Mount Vernon, George Washington's home
Trustee (since 2000) (since June 2000). Formerly Director (March 2001-May 2002) of Genetic ID, Inc.
Age: 66 and its subsidiaries (a privately held biotech company); a partner (July 1974-June
1999) with PricewaterhouseCoopers LLP (an accounting firm); and Chairman (July
1994-June 1998) of Price Waterhouse LLP Global Investment Management Industry
Services Group. Oversees 39 portfolios in the OppenheimerFunds complex.
JON S. FOSSEL, Director (since February 1998) of Rocky Mountain Elk Foundation (a not-for-
Trustee (since 1990) profit foundation); a director (since 1997) of Putnam Lovell Finance (finance
Age: 62 company); a director (since June 2002) of UNUMProvident (an insurance company).
Formerly a director (October 1999-October 2003) of P.R. Pharmaceuticals
(a privately held company); Chairman and a director (until October 1996) and
President and Chief Executive Officer (until October 1995) of the Manager;
President, Chief Executive Officer and a director (until October 1995) of
59 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
- --------------------------------------------------------------------------------
JON S. FOSSEL, Oppenheimer Acquisition Corp., Shareholders Services Inc. and Shareholder
Continued Financial Services, Inc. Oversees 39 portfolios in the OppenheimerFunds complex.
SAM FREEDMAN, Director of Colorado Uplift (a non-profit charity) (since September 1984).
Trustee (since 1996) Formerly (until October 1994) Mr. Freedman held several positions in subsidiary
Age: 63 or affiliated companies of the Manager. Oversees 39 portfolios in the
OppenheimerFunds complex.
BEVERLY L. HAMILTON, Trustee of Monterey International Studies (an educational organization) (since
Trustee (since 2002) February 2000); a director of The California Endowment (a philanthropic organization)
Age: 57 (since April 2002) and of Community Hospital of Monterey Peninsula
(educational organization) (since February 2002); a director of America Funds
Emerging Markets Growth Fund (since October 1991) (an investment company);
an advisor to Credit Suisse First Boston's Sprout venture capital unit. Mrs.
Hamilton also is a member of the investment committees of the Rockefeller
Foundation and of the University of Michigan. Formerly, Trustee of MassMutual
Institutional Funds (open-end investment company) (1996-May 2004); a director
of MML Series Investment Fund (April 1989-May 2004) and MML Services (April
1987-May 2004) (investment companies); member of the investment committee
(2000-2003) of Hartford Hospital; an advisor (2000-2003) to Unilever (Holland)'s
pension fund; and President (February 1991-April 2000) of ARCO Investment
Management Company. Oversees 38 portfolios in the OppenheimerFunds
complex.
ROBERT J. MALONE, Chairman, Chief Executive Officer and Director of Steele Street State Bank (a
Trustee (since 2002) commercial banking entity) (since August 2003); director of Colorado UpLIFT
Age: 60 (a non-profit organization) (since 1986); trustee (since 2000) of the Gallagher
Family Foundation (non-profit organization). Formerly, Chairman of U.S. Bank-
Colorado (a subsidiary of U.S. Bancorp and formerly Colorado National Bank,)
(July 1996-April 1, 1999), a director of: Commercial Assets, Inc. (a REIT) (1993-
2000), Jones Knowledge, Inc. (a privately held company) (2001-July 2004) and
U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees
38 portfolios in the OppenheimerFunds complex.
F. WILLIAM MARSHALL, JR., Trustee of MassMutual Institutional Funds (since 1996) and MML Series
Trustee (since 2000) Investment Fund (since 1987) (both open-end investment companies) and the
Age: 62 Springfield Library and Museum Association (since 1995) (museums) and the
Community Music School of Springfield (music school) (since 1996); Trustee
(since 1987), Chairman of the Board (since 2003) and Chairman of the investment
committee (since 1994) for the Worcester Polytech Institute (private
university); and President and Treasurer (since January 1999) of the SIS Fund
(a private not for profit charitable fund). Formerly, member of the investment
committee of the Community Foundation of Western Massachusetts (1998 -
2003); Chairman (January 1999-July 1999) of SIS & Family Bank, F.S.B. (formerly
SIS Bank) (commercial bank); and Executive Vice President (January 1999-July
1999) of Peoples Heritage Financial Group, Inc. (commercial bank). Oversees
39 portfolios in the OppenheimerFunds complex.
60 | OPPENHEIMER STRATEGIC INCOME FUND
- -------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IN THE CHART BELOW IS TWO WORLD FINANCIAL CENTER,
AND OFFICER 225 LIBERTY STREET, 11TH FLOOR, NEW YORK, NY 10281-1008. MR. MURPHY SERVES FOR
AN INDEFINITE TERM, UNTIL HIS RESIGNATION, DEATH OR REMOVAL.
JOHN V. MURPHY, Chairman, Chief Executive Officer and director (since June 2001) and President
President and Trustee (since September 2000) of the Manager; President and a director or trustee
(since 2001) of other Oppenheimer funds; President and a director (since July 2001) of
Age: 55 Oppenheimer Acquisition Corp. (the Manager's parent holding company) and
of Oppenheimer Partnership Holdings, Inc. (a holding company subsidiary of the
Manager); a director (since November 2001) of OppenheimerFunds Distributor,
Inc. (a subsidiary of the Manager); Chairman and a director (since July 2001)
of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer
agent subsidiaries of the Manager); President and a director (since July 2001) of
OppenheimerFunds Legacy Program (a charitable trust program established by
the Manager); a director of the following investment advisory subsidiaries of the
Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management
Corporation, Trinity Investment Management Corporation and Tremont
Capital Management, Inc. (since November 2001), HarbourView Asset Management
Corporation and OFI Private Investments, Inc. (since July 2001); President
(since November 1, 2001) and a director (since July 2001) of Oppenheimer Real
Asset Management, Inc.; Executive Vice President (since February 1997) of
Massachusetts Mutual Life Insurance Company (the Manager's parent company);
a director (since June 1995) of DLB Acquisition Corporation (a holding
company that owns the shares of Babson Capital Management LLC); a member
of the Investment Company Institute's Board of Governors (elected to serve
from October 3, 2003 through September 30, 2006). Formerly, Chief Operating
Officer (September 2000-June 2001) of the Manager; President and trustee
(November 1999-November 2001) of MML Series Investment Fund and
MassMutual Institutional Funds (open-end investment companies); a director
(September 1999-August 2000) of C.M. Life Insurance Company; President,
Chief Executive Officer and director (September 1999-August 2000) of MML
Bay State Life Insurance Company; a director (June 1989-June 1998) of Emerald
Isle Bancorp and Hibernia Savings Bank (a wholly-owned subsidiary of Emerald
Isle Bancorp). Oversees 74 portfolios as Trustee/Director and 10 portfolios as
Officer in the OppenheimerFunds complex.
- -------------------------------------------------------------------------------------------------------------------------------
OFFICERS THE ADDRESS OF THE OFFICERS IN THE CHART BELOW IS AS FOLLOWS: FOR MESSRS. STEINMETZ
AND ZACK, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH FLOOR, NEW YORK, NY
10281-1008, FOR MESSRS. VANDEHEY AND WIXTED 6803 S. TUCSON WAY, CENTENNIAL, CO
80112-3924. EACH OFFICER SERVES FOR AN INDEFINITE TERM OR UNTIL HIS OR HER EARLIER
RESIGNATION, DEATH OR REMOVAL.
ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView
Vice President and Portfolio Asset Management Corporation (since March 2000); an officer of 4 portfolios in
Manager (since 2002) the OppenheimerFunds complex.
Age: 46
BRIAN W. WIXTED, Senior Vice President and Treasurer (since March 1999) of the Manager;
Treasurer (since 1999) Treasurer of HarbourView Asset Management Corporation, Shareholder Financial
Age: 45 Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management
Corporation, and Oppenheimer Partnership Holdings, Inc. (since March 1999),
of OFI Private Investments, Inc. (since March 2000), of OppenheimerFunds
International Ltd. and OppenheimerFunds plc (since May 2000), of OFI Institutional
Asset Management, Inc. (since November 2000), and of OppenheimerFunds
Legacy Program (a Colorado non-profit corporation) (since June 2003); Treasurer
61 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
- --------------------------------------------------------------------------------
BRIAN W. WIXTED, and Chief Financial Officer (since May 2000) of OFI Trust Company (a trust
Continued company subsidiary of the Manager); Assistant Treasurer (since March 1999) of
Oppenheimer Acquisition Corp. Formerly Assistant Treasurer of Centennial Asset
Management Corporation (March 1999-October 2003) and OppenheimerFunds
Legacy Program (April 2000-June 2003); Principal and Chief Operating Officer
(March 1995-March 1999) at Bankers Trust Company-Mutual Fund Services
Division. An officer of 84 portfolios in the OppenheimerFunds complex.
ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since
Vice President and Secretary February 2002) of the Manager; General Counsel and a director (since November
(since 2001) 2001) of the Distributor; General Counsel (since November 2001) of Centennial
Age: 56 Asset Management Corporation; Senior Vice President and General Counsel
(since November 2001) of HarbourView Asset Management Corporation;
Secretary and General Counsel (since November 2001) of Oppenheimer
Acquisition Corp.; Assistant Secretary and a director (since October 1997) of
OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President
and a director (since November 2001) of Oppenheimer Partnership Holdings,
Inc.; a director (since November 2001) of Oppenheimer Real Asset Management,
Inc.; Senior Vice President, General Counsel and a director (since November 2001)
of Shareholder Financial Services, Inc., Shareholder Services, Inc., OFI Private
Investments, Inc. and OFI Trust Company; Vice President (since November 2001)
of OppenheimerFunds Legacy Program; Senior Vice President and General
Counsel (since November 2001) of OFI Institutional Asset Management, Inc.; a
director (since June 2003) of OppenheimerFunds (Asia) Limited. Formerly Senior
Vice President (May 1985-December 2003), Acting General Counsel (November
2001-February 2002) and Associate General Counsel (May 1981-October 2001)
of the Manager; Assistant Secretary of Shareholder Services, Inc. (May 1985-
November 2001), Shareholder Financial Services, Inc. (November 1989-November
2001); and OppenheimerFunds International Ltd. (October 1997-November
2001). An officer of 84 portfolios in the OppenheimerFunds complex.
MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer (since March 2004) of the
Vice President and Manager; Vice President (since June 1983) of OppenheimerFunds Distributor,
Chief Compliance Officer Inc., Centennial Asset Management Corporation and Shareholder Services, Inc.
(since 2004) Formerly (until February 2004) Vice President and Director of Internal Audit of
Age: 54 OppenheimerFunds, Inc. An officer of 84 portfolios in the Oppenheimer funds
complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION
ABOUT THE FUND'S TRUSTEES AND IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY
CALLING 1.800.525.7048.
62 | 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
(a) Audit Fees
The principal accountant for the audit of the registrant's annual
financial statements billed $64,500 in fiscal 2004 and $63,000 in
fiscal 2003.
(b) Audit-Related Fees
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees to the registrant during
the last two fiscal years.
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees in fiscal 2004 and
$35,859 in fiscal 2003 to the registrant's investment adviser or
any entity controlling, controlled by, or under common control
with the adviser that provides ongoing services to the registrant.
Such fees would include, among others: due diligence related to
mergers and acquisitions, accounting consultations and audits in
connection with acquisitions, internal control reviews and
consultation concerning financial accounting and reporting
standards.
(c) Tax Fees
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees to the registrant during
the last two fiscal years.
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees in fiscal 2004 and $6,748
in fiscal 2003 to the registrant's investment adviser or any
entity controlling, controlled by, or under common control with
the adviser that provides ongoing services to the registrant.
Such fees would include, among others: tax compliance, tax
planning and tax advice. Tax compliance generally involves
preparation of original and amended tax returns, claims for a
refund and tax payment-planning services. Tax planning and tax
advice includes assistance with tax audits and appeals, tax advice
related to mergers and acquisitions and requests for rulings or
technical advice from taxing authorities.
(d) All Other Fees
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees to the registrant during
the last two fiscal years.
The principal accountant for the audit of the registrant's annual
financial statements billed no such fees in fiscal 2004 and $3,500
in fiscal 2003 to the registrant's investment adviser or any
entity controlling, controlled by, or under common control with
the adviser that provides ongoing services to the registrant.
Such fees would include services provided to the registrant's
Board of Trustees with respect to the annual renewal of the
registrant's investment advisory agreement.
(e) (1) During its regularly scheduled periodic meetings, the
registrant's audit committee will pre-approve all audit,
audit-related, tax and other services to be provided by the
principal accountants of the registrant.
The audit committee has delegated pre-approval authority to its
Chairman for any subsequent new engagements that arise between
regularly scheduled meeting dates provided that any fees such
pre-approved are presented to the audit committee at its next
regularly scheduled meeting.
Pre-approval of non-audit services is waived provided that: 1) the
aggregate amount of all such services provided constitutes no more
than five percent of the total amount of fees paid by the
registrant to it principal accountant during the fiscal year in
which services are provided 2) such services were not recognized
by the registrant at the time of engagement as non-audit services
and 3) such services are promptly brought to the attention of the
audit committee of the registrant and approved prior to the
completion of the audit.
(2) 100%
(f) Not applicable as less than 50%.
(g) The principal accountant for the audit of the registrant's annual
financial statements billed no such fees in fiscal 2004 and
$46,107 in fiscal 2003 to the registrant and the registrant's
investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing
services to the registrant related to non-audit fees. Those
billings did not include any prohibited non-audit services as
defined by the Securities Exchange Act of 1934.
(h) The registrant's audit committee of the board of trustees has
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser, and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal account's independence. No such services
were rendered.
ITEM 5. NOT APPLICABLE
ITEM 6. SCHEDULE OF INVESTMENTS
STATEMENT OF INVESTMENTS September 30, 2004
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--3.7%
- ------------------------------------------------------------------------------------------------------------------------------------
Arbor I Ltd., Catastrophe Linked Nts., Series 2004-4, 15.88%, 3/15/06 1 $ 250,000 $ 252,563
- ------------------------------------------------------------------------------------------------------------------------------------
Bank One Auto Securitization Trust, Automobile Receivable
Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 4,013,039 4,005,539
- ------------------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2004-A, Cl. A2, 1.88%, 10/25/06 6,580,000 6,567,277
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2003-B, Cl. AF1, 1.64%, 2/25/18 135,351 135,262
Series 2003-C, Cl. AF1, 2.14%, 7/25/18 2,908,312 2,905,389
Series 2004-A, Cl. AF1, 2.03%, 6/25/19 2,465,201 2,464,595
Series 2004-D, Cl. AF1, 2.98%, 4/25/20 2 3,070,000 3,070,000
- ------------------------------------------------------------------------------------------------------------------------------------
Chase Funding Mortgage Loan Asset-Backed Certificates,
Home Equity Mtg. Obligations:
Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 1,739,076 1,743,627
Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 3,390,000 3,394,446
Series 2003-3, Cl. 1A1, 1.92%, 8/25/17 1 713,733 714,164
Series 2003-4, Cl. 1A1, 1.96%, 9/25/17 1 3,010,709 3,012,646
- ------------------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan
Pass-Through Certificates:
Series 2002-A, Cl. A4, 4.24%, 9/15/08 1,440,000 1,457,033
Series 2003-A, Cl. A2, 1.26%, 1/16/06 729,214 729,338
Series 2003-B, Cl. A2, 1.28%, 3/15/06 1,580,921 1,580,188
- ------------------------------------------------------------------------------------------------------------------------------------
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 9/29/06 3 4,330,000 4,329,587
- ------------------------------------------------------------------------------------------------------------------------------------
CIT Group Home Equity Loan Trust, Home Equity Loan Asset-Backed
Certificates, Series 2003-1, Cl. A2, 2.35%, 4/20/27 3,586,759 3,583,392
- ------------------------------------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2002-A3, Cl. A3, 4.40%, 5/15/07 4,780,000 4,844,650
- ------------------------------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized
Mtg. Obligations:
Series 2003-2, Cl. AF1, 1.94%, 5/25/33 1 1,151,220 1,151,913
Series 2003-3, Cl. AF1, 1.96%, 8/25/33 1 2,320,707 2,322,235
- ------------------------------------------------------------------------------------------------------------------------------------
Conseco Finance Securitizations Corp., Manufactured Housing Contract
Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2, 10.32%, 12/1/30 2 1,890,329 124,053
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 15,000,000 15,527,344
- ------------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2003-A, Cl. A2, 1.52%, 12/8/05 6,452,597 6,453,334
Series 2003-B, Cl. A2, 1.61%, 7/10/06 11,130,728 11,122,423
Series 2004-B, Cl. A2, 2.48%, 2/8/07 2 2,780,000 2,780,000
- ------------------------------------------------------------------------------------------------------------------------------------
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/11 2,4,5 15,000,000 1,500
- ------------------------------------------------------------------------------------------------------------------------------------
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 2 3,083,887 1,297,160
- ------------------------------------------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 2,4,5 2,275,079 711
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS September 30, 2004 Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates:
Series 2003-A, Cl. A2A, 1.62%, 8/15/05 $ 507,371 $ 507,661
Series 2004-A, Cl. A2, 2.13%, 10/15/06 9,570,000 9,559,486
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 2 8,132,136 1,219,820
- ------------------------------------------------------------------------------------------------------------------------------------
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 2 5,000,000 3,496,875
- ------------------------------------------------------------------------------------------------------------------------------------
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 2,014,866
- ------------------------------------------------------------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/15/07 464,205 464,205
Series 2003-3, Cl. A1, 1.50%, 1/15/08 5,782,892 5,769,174
- ------------------------------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2003-3, Cl. A2, 1.52%, 4/21/06 9,343,160 9,335,223
Series 2003-4, Cl. A2, 1.58%, 7/17/06 8,778,941 8,768,381
- ------------------------------------------------------------------------------------------------------------------------------------
Household Automotive Trust, Automobile Loan Certificates,
Series 2003-2, Cl. A2, 1.56%, 12/18/06 4,022,608 4,017,846
- ------------------------------------------------------------------------------------------------------------------------------------
M&I Auto Loan Trust, Automobile Loan Certificates:
Series 2002-1, Cl. A3, 2.49%, 10/22/07 3,889,693 3,897,393
Series 2003-1, Cl. A2, 1.60%, 7/20/06 7,954,375 7,948,936
- ------------------------------------------------------------------------------------------------------------------------------------
Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A,
Cl. C1, 4.36%, 3/24/14 1,2 3,000,000 30,938
- ------------------------------------------------------------------------------------------------------------------------------------
National City Auto Receivables Trust, Automobile Receivable
Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 4,700,000 4,686,818
- ------------------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 1/25/29 2 4,420,411 1,179,697
- ------------------------------------------------------------------------------------------------------------------------------------
Nissan Auto Lease Trust, Automobile Lease Obligations,
Series 2003-A, Cl. A2, 1.69%, 12/15/05 3,505,727 3,507,575
- ------------------------------------------------------------------------------------------------------------------------------------
Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.:
Series 2002-A, Cl. A4, 4.28%, 10/16/06 1,346,299 1,358,405
Series 2003-B, Cl. A2, 1.20%, 11/15/05 1,204,686 1,205,179
Series 2004-A, Cl. A2, 1.40%, 7/17/06 5,470,000 5,451,713
- ------------------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Home Equity Mtg. Obligations,
Series 2004-3, Cl. A2, 1.982%, 11/25/34 1,3 3,040,000 3,040,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sequoia Capital Ltd., Catastrophe Nts., Series 2004-2, 6.27%, 3/15/05 1 250,000 250,038
- ------------------------------------------------------------------------------------------------------------------------------------
Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 1,036,525 1,040,981
Series 2003-B, Cl. A2, 1.43%, 2/15/06 4,563,168 4,561,804
- ------------------------------------------------------------------------------------------------------------------------------------
USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 1,891,629 1,894,947
Series 2003-1, Cl. A2, 1.22%, 4/17/06 1,517,969 1,518,207
Series 2004-1, Cl. A2, 1.43%, 9/15/06 13,000,000 12,962,295
Series 2004-2, Cl. A2, 2.41%, 2/15/07 4,430,000 4,432,262
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities,
Series 2004-A, Cl. A2, 2.47%, 1/22/07 $ 5,120,000 $ 5,116,000
- ------------------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable
Certificates:
Series 2003-1, Cl. A2, 1.11%, 12/20/05 4,954,687 4,952,584
Series 2003-2, Cl. A2, 1.55%, 6/20/06 5,009,817 5,004,508
- ------------------------------------------------------------------------------------------------------------------------------------
Wachovia Auto Owner Trust, Automobile Receivable Nts.,
Series 2004-B, Cl. A2, 2.40%, 5/21/07 3,890,000 3,892,887
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 8,740,000 8,740,000
- ------------------------------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2003-1, Cl. A2A, 1.40%, 4/15/06 7,493,476 7,486,009
Series 2003-1, Cl. A3B, 1.99%, 5/15/07 1,780,000 1,772,125
----------------
Total Asset-Backed Securities (Cost $262,422,911) 226,655,207
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--18.6%
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 5,000,000 5,528,997
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,000,000 22,088,040
Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,875,000 11,327,091
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 7,000,000 7,521,382
- ------------------------------------------------------------------------------------------------------------------------------------
Bank of America Mortgage Securities, Inc., Collateralized Mtg.
Obligations Pass-Through Certificates:
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 8,086,800 8,342,040
Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 7,560,000 7,798,613
Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 5,045,716 5,057,246
Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 4,911,637 4,901,433
- ------------------------------------------------------------------------------------------------------------------------------------
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 1,846,132 1,845,991
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized Mtg.
Obligations, Series 1996-C2, Cl. F, 7.094%, 9/15/23 1,8 1,794,577 1,793,478
- ------------------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 2 36,400,000 10,920,000
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5%, 9/1/33 4,894,927 4,863,933
5%, 10/1/34 3 55,454,000 54,916,762
5.50%, 1/1/34 3,343,810 3,394,832
5.50%, 10/1/34 3 9,535,000 9,666,106
7%, 9/1/33-11/1/33 12,206,142 12,980,115
7%, 10/1/34 3 25,427,000 26,968,512
7.50%, 2/1/32 3,516,328 3,772,093
8.50%, 8/1/31 2,370,618 2,588,557
10%, 4/1/20-5/1/20 356,201 402,052
10.50%, 5/1/20 566,458 656,504
11.50%, 10/1/16-1/1/18 553,650 622,325
12%, 6/1/17 1,160,205 1,311,638
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 $ 1,716,436 $ 1,732,431
Series 2055, Cl. ZM, 6.50%, 5/15/28 3,700,001 3,863,988
Series 2080, Cl. Z, 6.50%, 8/15/28 2,416,418 2,500,947
Series 2102, Cl. VA, 6%, 10/15/09 150,382 150,361
Series 2387, Cl. PD, 6%, 4/15/30 5,456,104 5,583,139
Series 2410, Cl. NE, 6.50%, 9/15/30 9,146,982 9,300,225
Series 2423, Cl. PD, 6.50%, 11/15/30 3,975,477 3,999,979
Series 2430, Cl. GD, 6.50%, 11/15/30 5,736,490 5,799,833
Series 2430, Cl. ND, 6.50%, 1/15/31 7,912,651 7,995,472
Series 2466, Cl. PD, 6.50%, 4/15/30 2,337,036 2,362,052
Series 2498, Cl. PC, 5.50%, 10/15/14 764,672 774,831
Series 2500, Cl. FD, 2.209%, 3/15/32 1 1,812,489 1,816,424
Series 2526, Cl. FE, 2.109%, 6/15/29 1 1,956,562 1,962,148
Series 2551, Cl. FD, 2.109%, 1/15/33 1 1,601,713 1,608,495
Series 2551, Cl. TA, 4.50%, 2/15/18 2,569,921 2,572,451
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. B, (2.514)%, 7/1/26 6 6,039,726 1,042,468
Series 192, Cl. IO, 7.628%, 2/1/28 6 1,078,970 187,478
Series 200, Cl. IO, 5.208%, 1/1/29 6 1,315,376 244,737
Series 203, Cl. IO, (5.391)%, 6/1/29 6 4,943,536 879,022
Series 204, Cl. IO, (13.10)%, 5/1/29 6 391,750 78,786
Series 205, Cl. IO, 1.85%, 9/1/29 6 7,127,885 1,236,885
Series 206, Cl. IO, (23.484)%, 12/1/29 6 2,394,653 409,034
Series 207, Cl. IO, (32.857)%, 4/15/30 6 2,639,038 519,018
Series 208, Cl. IO, (16.18)%, 6/1/30 6 4,462,120 742,087
Series 212, Cl. IO, (24.918)%, 5/1/31 6 3,218,058 604,616
Series 214, Cl. IO, (22.71)%, 6/1/31 6 2,369,928 407,872
Series 2074, Cl. S, 13.613%, 7/17/28 6 1,360,841 182,974
Series 2079, Cl. S, 12.296%, 7/17/28 6 2,123,759 288,220
Series 2526, Cl. SE, 25.197%, 6/15/29 6 3,557,200 304,281
Series 2819, Cl. S, 21.756%, 6/15/34 6 36,892,118 3,068,701
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 2819, Cl. PO, 11.429%, 6/15/34 7 5,270,303 4,629,255
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Structured Pass-Through Security,
Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 3,072 3,071
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 10/1/19 3 28,007,000 27,910,712
5%, 10/1/19-10/1/34 3 94,213,000 94,886,694
5.50%, 7/1/33-9/1/34 33,853,495 34,382,241
5.50%, 10/1/19-10/1/34 3 124,875,044 128,031,935
6%, 11/1/34 3 28,550,000 29,424,344
6.50%, 1/1/29-10/1/30 1,851,625 1,947,448
6.50%, 10/1/34 3 87,034,000 91,304,062
7%, 9/1/29-8/1/34 40,191,890 42,667,589
7%, 10/1/34 3 212,711,000 225,540,026
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.: Continued
7.50%, 2/1/27 $ 2,236,337 $ 2,404,133
8.50%, 7/1/32 403,075 438,515
9.50%, 4/1/20-3/15/21 267,828 302,987
10.50%, 10/1/19 80,525 91,541
11%, 10/15/15-2/1/26 890,387 1,011,728
15%, 4/15/13 650,855 766,913
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust, Commercial Mtg.
Obligations, Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T10, Cl. IO, (14.798)%, 12/25/31 2,6 383,776,968 2,833,579
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1998-63, Cl. PG, 6%, 3/25/27 1,624,543 1,637,065
Trust 2001-50, Cl. LD, 6.50%, 5/25/30 2,307,839 2,331,569
Trust 2001-50, Cl. NE, 6%, 8/25/30 2,862,516 2,875,927
Trust 2001-70, Cl. LR, 6%, 9/25/30 2,660,434 2,725,391
Trust 2001-72, Cl. NH, 6%, 4/25/30 2,258,726 2,308,635
Trust 2001-74, Cl. PD, 6%, 5/25/30 955,067 973,140
Trust 2002-50, Cl. PD, 6%, 9/25/27 3,083,187 3,100,249
Trust 2002-77, Cl. WF, 2.211%, 12/18/32 1 2,640,650 2,648,961
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 4,514,567 4,536,146
Trust 2003-81, Cl. PA, 5%, 2/25/12 1,698,902 1,713,004
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, (13.048)%, 2/25/29 6 40,488,589 1,048,938
Trust 2001-T4, Cl. IO, (4.223)%, 7/25/41 2,6 65,707,981 2,048,762
Trust 2002-28, Cl. SA, 23.391%, 4/25/32 6 1,986,614 180,999
Trust 2002-38, Cl. SO, 29.05%, 4/25/32 6 1,723,950 123,170
Trust 2002-39, Cl. SD, 15.933%, 3/18/32 6 3,133,310 302,777
Trust 2002-48, Cl. S, 20.70%, 7/25/32 6 3,141,433 298,249
Trust 2002-52, Cl. SL, 21.566%, 9/25/32 6 1,979,206 188,243
Trust 2002-53, Cl. SK, 15.788%, 4/25/32 6 1,953,697 197,994
Trust 2002-56, Cl. SN, 23.638%, 7/25/32 6 4,306,436 410,612
Trust 2002-77, Cl. IS, 23.023%, 12/18/32 6 2,937,100 294,843
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 221, Cl. 2, (3.066)%, 5/1/23 6 2,224,833 392,020
Trust 240, Cl. 2, 2.079%, 9/1/23 6 3,328,339 640,859
Trust 301, Cl. 2, (2.505)%, 4/1/29 6 3,712,115 654,725
Trust 313, Cl. 2, (26.373)%, 7/1/31 6 11,828,514 2,225,907
Trust 321, Cl. 2, (4.235)%, 3/1/32 6 9,958,076 1,958,650
Trust 324, Cl. 2, (6.696)%, 6/1/32 6 13,966,040 2,542,198
Trust 2001-81, Cl. S, 25.236%, 1/25/32 6 2,909,396 273,817
Trust 2002-65, Cl. SC, 25.237%, 6/25/26 6 5,786,215 613,056
Trust 2002-9, Cl. MS, 20.455%, 3/25/32 6 3,724,442 359,818
- ------------------------------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,
Series 1997-CHL1, Cl. D, 7.856%, 4/29/39 1,2 8,500,001 8,760,314
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
First Union/Lehman Brothers/Bank of America, Commercial Mtg.
Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 $ 3,040,000 $ 3,305,465
- ------------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through
Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 2,513,490 2,710,175
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
7%, 1/15/28-1/20/30 5,848,391 6,243,369
8%, 1/15/28-9/15/28 3,085,360 3,372,109
12.50%, 12/15/13-11/15/15 3,013,937 3,467,210
13%, 10/15/15 4,749,989 5,499,242
13.50%, 6/15/15 5,975,749 6,963,295
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-6, Cl. SA, 12.527%, 3/16/28 6 2,594,860 321,449
Series 1998-19, Cl. SB, 12.491%, 7/16/28 6 4,349,904 577,763
- ------------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,700,000 12,402,483
- ------------------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,429,000 9,651,916
- ------------------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2000-C3, Cl. A2, 7.95%, 5/15/25 10,000,000 11,754,529
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Interest-Only Mtg.
Pass-Through Certificates, Series 2001-GE9, Cl. A, (99.99)%, 1/25/31 2,6 306,395 239
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Mtg. Obligations,
Series 2002-GE1, Cl. A, 2.514%7/26/24 759,621 706,448
- ------------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.799%, 6/15/21 1 1,182,051 1,228,042
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.48%, 2/15/28 1,8 13,360,980 12,454,305
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 14,358,000 9,885,819
- ------------------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 3,470,000 3,804,092
- ------------------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 10,000,000 11,095,959
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real
Estate Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 2,4 624,465 --
Series 1992-2, Cl. B3, 9.287%, 4/15/09 1,2 1,133,236 84,993
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Collateralized Mtg. Obligations, Asset-Backed
Pass-Through Certificates, Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 1,852,155 1,850,704
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Collateralized Mtg.
Obligations:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 1,404,082 1,452,573
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 1,690,957 1,751,497
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1996-B, Cl. 1, 6.213%, 4/25/26 1,2 $ 293,652 $ 271,078
Series 1996-C1, Cl. F, 8.402%, 1/20/28 1,2 9,632,000 7,958,440
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,500,000 2,594,513
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 3,949,061 3,946,052
- ------------------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, (14.932)%, 9/15/22 6 30,233,277 790,718
Series 1995-2B, Cl. 2IO, (17.328)%, 6/15/25 6 2,293,063 55,169
Series 1995-3, Cl. 1IO, (25.452)%, 9/15/25 6 75,494,117 536,280
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations:
Series 2004-N, Cl. A10, 3.803%, 8/25/34 2 8,492,026 8,518,563
Series 2004-W, Cl. A2, 4.677%, 11/27/34 3 6,140,000 6,181,013
----------------
Total Mortgage-Backed Obligations (Cost $1,161,605,133) 1,149,865,008
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--10.2%
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] 11,290,000 14,092,755
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
2.75%, 8/15/06 101,820,000 101,811,040
2.875%, 12/15/06 52,450,000 52,424,195
4.50%, 1/15/13 2,785,000 2,802,846
4.875%, 3/15/07 13,700,000 14,319,788
5.75%, 1/15/12 45,000,000 49,176,585
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
1.80%, 5/27/05 12,900,000 12,861,403
4.25%, 7/15/07 34,300,000 35,330,303
5.50%, 2/15/06 18,480,000 19,222,471
6%, 5/15/08 40,000,000 43,540,600
6.625%, 9/15/09 83,000,000 93,608,479
7.25%, 5/15/30 9,520,000 11,980,968
- ------------------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Federal Book Entry Principal Strips, 6.14%, 1/15/21 9 52,460,000 22,501,615
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
Series C, 4.75%, 8/1/13 4,155,000 4,240,626
Series C, 6%, 3/15/13 3,990,000 4,437,889
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.375%, 2/15/31 7,281,000 7,802,050
5.50%, 8/15/28 10 7,850,000 8,440,901
6.125%, 11/15/27 7,749,000 8,998,534
9.25%, 2/15/16 7,000,000 10,081,372
STRIPS, 4.93%, 2/15/16 9,10 34,499,000 20,522,248
STRIPS, 5.52%, 11/15/26 9 1,681,000 533,017
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
2.75%, 8/15/07 $ 8,617,000 $ 8,596,138
2.75%, 7/31/06 11,12 63,804,000 64,063,236
4.25%, 8/15/14 8,977,000 9,073,790
- ------------------------------------------------------------------------------------------------------------------------------------
United States (Government of) Gtd. Israel Aid Bonds, 5.50%, 12/4/23 11,400,000 11,816,522
----------------
Total U.S. Government Obligations (Cost $624,919,259) 632,279,371
- ------------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--32.4%
- ------------------------------------------------------------------------------------------------------------------------------------
ARGENTINA--0.9%
Argentina (Republic of) Bonds:
1.389%, 5/3/05 1 696,000 684,197
1.98%, 8/3/12 1 49,730,000 36,235,068
Series PRE8, 2%, 1/3/10 2,4,5 [ARP] 19,480,000 8,495,136
Series PR12, 2%, 1/3/16 2,4,5 [ARP] 13,204,891 4,602,443
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Disc. Bonds, 3/31/23 2,4 3,800,000 1,957,000
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Letras del Banco Central de la Republica
Treasury Bills, 14.75%, 10/8/04 9 [ARP] 253,000 84,807
- ------------------------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 2,4 [ARP] 982,230 385,109
----------------
52,443,760
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.1%
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 94,160,000 69,978,459
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRIA--1.1%
Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 36,250,000 55,452,354
- ------------------------------------------------------------------------------------------------------------------------------------
Austria (Republic of) Nts., Series 98-1, 5%, 1/15/08 [EUR] 11,325,000 14,970,025
----------------
70,422,379
- ------------------------------------------------------------------------------------------------------------------------------------
BELGIUM--1.6%
Belgium (Kingdom of) Bonds:
5%, 9/28/11 [EUR] 4,695,000 6,297,875
Series 19, 6.50%, 3/31/05 [EUR] 11,800,000 14,981,774
Series 26, 6.25%, 3/28/07 [EUR] 19,320,000 26,014,369
Series 28, 5.75%, 3/28/08 [EUR] 8,780,000 11,888,872
Series 32, 3.75%, 3/28/09 [EUR] 17,200,000 21,816,450
Series 35, 5.75%, 9/28/10 [EUR] 10,890,000 15,134,687
----------------
96,134,027
- ------------------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.8%
Brazil (Federal Republic of) Bonds, Series 15 yr., 2.125%, 4/15/09 1 138,241 135,822
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr.,
8%, 4/15/14 42,665,373 42,212,053
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 12%, 4/15/10 10,760,000 12,874,340
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
BRAZIL Continued
Brazil (Federal Republic of) Unsec. Unsub. Bonds:
10%, 8/7/11 $ 7,175,000 $ 7,953,488
11%, 2/4/10 [EUR] 3,450,000 4,874,112
11%, 8/17/40 25,105,200 28,174,311
Cl. B, 8.875%, 4/15/24 13,625,000 13,080,000
----------------
109,304,126
- ------------------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.3%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,065,000 8,742,938
8.25%, 1/15/15 8 7,065,000 8,742,938
----------------
17,485,876
- ------------------------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.1%
Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 5,235,000 4,868,550
- ------------------------------------------------------------------------------------------------------------------------------------
DENMARK--0.4%
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 129,370,000 22,224,659
- ------------------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1%
El Salvador (Republic of) Bonds, 7.625%, 9/21/34 8 4,770,000 4,913,100
- ------------------------------------------------------------------------------------------------------------------------------------
FINLAND--0.1%
Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,990,000 3,733,695
- ------------------------------------------------------------------------------------------------------------------------------------
FRANCE--2.3%
France (Government of) Obligations Assimilables du Tresor Bonds:
5.50%, 10/25/07 [EUR] 11,205,000 14,980,226
5.50%, 10/25/10 [EUR] 5,160,000 7,091,041
5.75%, 10/25/32 [EUR] 25,445,000 37,072,990
- ------------------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 26,086,235
5 yr., 5%, 7/12/05 [EUR] 42,600,000 54,093,897
5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,039,654
----------------
140,364,043
- ------------------------------------------------------------------------------------------------------------------------------------
GERMANY--5.9%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 42,040,000 52,201,991
5.375%, 1/4/10 [EUR] 19,385,000 26,398,422
Series 01, 5%, 7/4/11 [EUR] 9,800,000 13,166,444
Series 02, 5%, 7/4/12 [EUR] 26,650,000 35,801,352
Series 140, 4.50%, 8/17/07 [EUR] 3,410,000 4,431,895
Series 143, 3.50%, 10/10/08 [EUR] 186,290,000 234,830,328
----------------
366,830,432
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
GREECE--1.2%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 11,735,000 $ 14,791,761
4.60%, 5/20/13 [EUR] 2,720,000 3,509,934
5.35%, 5/18/11 [EUR] 19,780,000 26,874,464
- ------------------------------------------------------------------------------------------------------------------------------------
Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 23,245,000 30,213,137
----------------
75,389,296
- ------------------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 8 2,910,000 3,404,700
10.25%, 11/8/11 1,150,000 1,345,500
----------------
4,750,200
- ------------------------------------------------------------------------------------------------------------------------------------
HUNGARY--0.1%
Hungary (Government of) Bonds, Series 05/I, 8.50%, 10/12/05 [HUF] 1,525,280,000 7,532,296
- ------------------------------------------------------------------------------------------------------------------------------------
IRELAND--0.2%
Ireland (Republic of) Treasury Bonds, 3.25%, 4/18/09 [EUR] 10,105,000 12,555,769
- ------------------------------------------------------------------------------------------------------------------------------------
ITALY--1.8%
Italy (Republic of) Treasury Bonds:
Buoni del Tesoro Poliennali, 4%, 3/1/05 [EUR] 6,635,000 8,315,730
Buoni del Tesoro Poliennali, 4.50%, 3/1/07 [EUR] 11,100,000 14,374,637
Buoni del Tesoro Poliennali, 5%, 10/15/07 [EUR] 21,650,000 28,580,903
Buoni del Tesoro Poliennali, 5%, 2/1/12 [EUR] 26,035,000 34,855,367
Buoni del Tesoro Poliennali, 5.25%, 12/15/05 [EUR] 21,165,000 27,190,465
----------------
113,317,102
- ------------------------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.1%
Ivory Coast (Government of) Front Loaded Interest Reduction Bonds,
2%, 3/29/18 4,5 87,000 14,918
- ------------------------------------------------------------------------------------------------------------------------------------
Ivory Coast (Government of) Past Due Interest Bonds, 1.90%,
3/29/18 2,4,5 [FRF] 93,959,750 3,095,204
----------------
3,110,122
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN--2.0%
Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 13,686,000,000 125,030,439
- ------------------------------------------------------------------------------------------------------------------------------------
KOREA, REPUBLIC OF SOUTH--0.3%
Korea (Republic of) Nts.:
4.25%, 6/1/13 7,150,000 6,872,938
8.875%, 4/15/08 10,720,000 12,582,600
----------------
19,455,538
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEXICO--0.8%
Mexican Williams Sr. Nts., 2.31%, 11/15/08 1,2 $ 1,500,000 $ 1,550,625
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
7.50%, 4/8/33 10,545,000 11,109,158
8.30%, 8/15/31 6,210,000 7,079,400
Series M20, 8%, 12/7/23 [MXN] 203,730,200 13,773,064
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,462,000,000 14,623,322
----------------
48,135,569
- ------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND--0.1%
New Zealand (Government of) Bonds, 7%, 7/15/09 12 [NZD] 10,785,000 7,559,840
- ------------------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,695,000 3,454,825
- ------------------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,448,335 3,120,422
----------------
6,575,247
- ------------------------------------------------------------------------------------------------------------------------------------
PERU--0.5%
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 9 56,124,120 31,589,238
- ------------------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.2%
Philippines (Republic of) Bonds:
8.375%, 2/15/11 6,485,000 6,573,053
9.375%, 1/18/17 4,220,000 4,457,375
10.625%, 3/16/25 2,920,000 3,131,700
----------------
14,162,128
- ------------------------------------------------------------------------------------------------------------------------------------
POLAND--1.0%
Poland (Republic of) Bonds:
Series 0K0805, 5.23%, 8/12/05 9 [PLZ] 189,340,000 50,804,320
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,180,000 2,132,719
Series DS0509, 6%, 5/24/09 [PLZ] 40,855,000 11,192,593
----------------
64,129,632
- ------------------------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.8%
Portugal (Republic of) Obrig Do Tes Medio Prazo Nts., 4.875%, 8/17/07 [EUR] 23,400,000 30,686,554
- ------------------------------------------------------------------------------------------------------------------------------------
Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Nts.,
5.85%, 5/20/10 [EUR] 14,360,000 19,989,989
----------------
50,676,543
- ------------------------------------------------------------------------------------------------------------------------------------
RUSSIA--1.4%
Aries Vermoegensverwaltungs GmbH Unsub. Nts., Series B, 7.75%,
10/25/09 2 [EUR] 6,130,000 8,077,556
- ------------------------------------------------------------------------------------------------------------------------------------
Ministry Finance of Russian Debs.:
Series VI, 3%, 5/14/06 17,870,000 17,500,985
Series V, 3%, 5/14/08 48,955,000 44,423,138
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
RUSSIA Continued
Russian Federation Unsub. Nts., 5%, 3/31/30 1 $ 26,555,250 $ 25,609,219
---------------
95,610,898
- ------------------------------------------------------------------------------------------------------------------------------------
SPAIN--2.0%
Spain (Kingdom of) Bonds:
Bonos y Obligacion del Estado, 5.35%, 10/31/11 [EUR] 35,425,000 48,529,102
Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 20,670,000 30,056,247
- ------------------------------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 2.03%, 10/22/04 9 [EUR] 35,545,000 44,161,143
---------------
122,746,492
- ------------------------------------------------------------------------------------------------------------------------------------
SWEDEN--0.3%
Sweden (Kingdom of) Bonds, Series 1043, 5%, 1/28/09 [SEK] 106,395,000 15,404,280
- ------------------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.6%
Netherlands (Kingdom of the) Bonds:
5%, 7/15/11 [EUR] 5,250,000 7,044,311
5.50%, 1/15/28 [EUR] 22,970,000 32,166,027
---------------
39,210,338
- ------------------------------------------------------------------------------------------------------------------------------------
TURKEY--0.1%
Turkey (Republic of) Nts., 7.25%, 3/15/15 3 7,495,000 7,420,050
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.4%
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 84,035,000 147,679,882
- ------------------------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.6%
Venezuela (Republic of) Debs., Series DL, 2.75%, 12/18/07 1 23,349 23,256
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Front-Loaded Interest Reduction Bonds,
Series A, 2.063%, 3/31/07 1 5,856,850 5,827,566
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Nts.:
8.50%, 10/8/14 3 10,215,000 10,006,869
10.75%, 9/13/13 17,020,000 19,190,050
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Sr. Unsec. Unsub. Bonds, 11%, 3/5/08 [EUR] 3,450,000 4,907,364
---------------
39,955,105
---------------
Total Foreign Government Obligations (Cost $1,928,875,689) 2,010,699,110
- ------------------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--1.6%
- ------------------------------------------------------------------------------------------------------------------------------------
Algeria (Republic of) Loan Participation Nts., 2.183%, 3/4/10 1,2 7,297,922 7,188,453
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 1/25/06 1 23,680,000 23,154,304
Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 3/21/05 1 20,675,000 20,577,828
OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 2 25,000,000 25,620,000
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Bank AG, OAO Gazprom Unsec. Loan Participation Nts.,
9.625%, 3/1/13 20,460,000 22,736,175
- ------------------------------------------------------------------------------------------------------------------------------------
Telergy, Inc., Sr. Sec. Credit Facilities Term Loan Participation Nts.,
Tranche A, 1/1/02 2,4,5 8,877,258 --
---------------
Total Loan Participations (Cost $104,542,018) 99,276,760
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--27.7%
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--7.8%
- ------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.8%
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 $ 1,900,000 $ 2,023,500
- ------------------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 1,409,000 1,416,045
- ------------------------------------------------------------------------------------------------------------------------------------
Dana Corp.:
9% Unsec. Nts., 8/15/11 6,920,000 8,390,500
10.125% Nts., 3/15/10 3,500,000 3,990,000
- ------------------------------------------------------------------------------------------------------------------------------------
Dura Operating Corp.:
8.625% Sr. Nts., Series B, 4/15/12 2,500,000 2,487,500
9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 3,000,000 3,320,544
9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,550,000 1,387,250
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3,800,000 3,895,000
- ------------------------------------------------------------------------------------------------------------------------------------
Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 1,000,000 1,080,000
- ------------------------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,500,000 2,889,310
- ------------------------------------------------------------------------------------------------------------------------------------
Metaldyne Corp.:
10% Sr. Nts., 11/1/13 8 1,500,000 1,402,500
11% Sr. Sub. Nts., 6/15/12 4,900,000 3,920,000
- ------------------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 5,750,000 6,540,625
- ------------------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,100,000 3,549,500
- ------------------------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,600,000 1,732,000
---------------
48,024,274
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.1%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 2 4,875,000 4,363,125
- ------------------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,000,000 4,450,000
- ------------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 3,600,000 4,032,000
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 2,4,5 33,500 --
- ------------------------------------------------------------------------------------------------------------------------------------
Choctaw Resort Development Enterprise, 9.25% Sr. Unsec. Nts., 4/1/09 3,000,000 3,217,500
- ------------------------------------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,333,000 2,537,138
- ------------------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,100,000 1,163,250
- ------------------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625% Nts., 12/1/12 2,300,000 2,685,250
- ------------------------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 4,750,000 4,892,500
- ------------------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,167,000 3,297,639
- ------------------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,100,000 2,121,000
9% Sr. Sub. Nts., 3/15/12 7,200,000 8,028,000
- ------------------------------------------------------------------------------------------------------------------------------------
John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 3,100,000 3,472,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,500,000 4,042,500
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 4,800,000 5,472,000
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
MGM Mirage, Inc.:
8.375% Sr. Unsec. Sub. Nts., 2/1/11 $ 5,100,000 $ 5,654,625
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,050,000 1,172,063
- ------------------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.375% Sr. Sub. Nts., 7/15/09 3,300,000 3,440,250
8% Sr. Sub. Nts., 4/1/12 1,900,000 2,109,000
- ------------------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 7,000,000 7,945,000
- ------------------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
8.875% Sr. Sub. Nts., 3/15/10 3,700,000 4,074,625
11.125% Sr. Unsec. Sub. Nts., 3/1/08 8,000,000 8,680,000
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 3,100,000 3,123,250
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,4,5 10,800,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 3,900,000 4,436,250
- ------------------------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 3,100,000 3,634,750
- ------------------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 6,000,000 5,655,000
9.625% Sr. Nts., 6/1/14 109,000 102,460
9.75% Sr. Nts., 4/15/13 1,200,000 1,140,000
- ------------------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,000,000 9,090,000
- ------------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.875% Sr. Unsec. Sub. Nts., 7/1/10 2 2,500,000 2,650,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 5,000,000 5,506,250
- ------------------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,800,000 4,446,000
- ------------------------------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 3,800,000 4,417,500
---------------
131,050,925
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.8%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,600,000 7,326,000
- ------------------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,100,000 2,357,250
9.75% Sr. Sub. Nts., 9/15/10 10 2,325,000 2,819,063
- ------------------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,600,000 2,918,500
- ------------------------------------------------------------------------------------------------------------------------------------
KB Home:
7.75% Sr. Nts., 10/15/04 10,350,000 10,350,000
8.625% Sr. Sub. Nts., 12/15/08 2,050,000 2,316,500
9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 782,250
- ------------------------------------------------------------------------------------------------------------------------------------
Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 2,500,000 2,818,750
- ------------------------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 2,800,000 2,842,000
- ------------------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,000,000 2,310,000
- ------------------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 2,000,000 2,227,500
- ------------------------------------------------------------------------------------------------------------------------------------
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 2 3,450,000 4,002,000
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES Continued
Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 $ 4,800,000 $ 4,620,000
---------------
51,609,813
- ------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.0%
Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 2,150,000 2,053,250
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA--3.3%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 4,5 1,400,000 1,218,000
8.125% Sr. Nts., Series B, 7/15/03 4,5 3,750,000 3,300,000
8.375% Sr. Nts., Series B, 2/1/08 4,5 4,400,000 3,916,000
9.25% Sr. Unsec. Nts., Series B, 10/1/02 4,5 6,300,000 5,575,500
9.875% Sr. Nts., Series B, 3/1/07 4,5 1,500,000 1,357,500
10.25% Sr. Unsec. Nts., 11/1/06 4,5 300,000 271,500
10.25% Sr. Unsec. Sub. Nts., 6/15/11 4,5 1,500,000 1,421,250
10.875% Sr. Unsec. Nts., 10/1/10 4,5 100,000 92,500
- ------------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 2,800,000 2,912,000
- ------------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Sub. Nts., 3/1/14 8 1,450,000 1,370,250
9.50% Sr. Unsec. Sub. Nts., 2/1/11 7,062,000 7,291,515
- ------------------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 1,016,438
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 500,000 528,750
- ------------------------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,000,000 3,187,500
- ------------------------------------------------------------------------------------------------------------------------------------
Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 2,4,5 [EUR] 3,000,000 214,530
- ------------------------------------------------------------------------------------------------------------------------------------
CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Series B, 4/15/13 900,000 972,000
- ------------------------------------------------------------------------------------------------------------------------------------
CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 956,250
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings II LLC, 10.25% Sr. Unsec. Nts., 9/15/10 3,700,000 3,797,125
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/Charter Communications
Holdings Capital Corp.:
0%/11.75% Sr. Unsec. Sub. Disc. Nts., 5/15/11 13 5,850,000 3,656,250
8.375% Sr. Nts., Second Lien, 4/30/14 8 6,200,000 6,192,250
8.625% Sr. Unsec. Nts., 4/1/09 3,400,000 2,660,500
9.92% Sr. Unsec. Disc. Nts., 4/1/11 2,000,000 1,550,000
10.75% Sr. Unsec. Nts., 10/1/09 700,000 577,500
11.125% Sr. Unsec. Nts., 1/15/11 3,200,000 2,608,000
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,900,000 2,132,750
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 13 4,600,000 3,185,500
- ------------------------------------------------------------------------------------------------------------------------------------
Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,200,000 2,439,250
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 8,600,000 9,105,250
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec.
Nts., 11/15/09 4,300,000 4,966,500
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc., 8% Unsec. Nts., 11/15/13 7,150,000 7,543,250
- ------------------------------------------------------------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec.
Nts., 3/15/13 9,450,000 10,796,625
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
EchoStar DBS Corp.:
6.625% Sr. Nts., 10/1/14 3,8 $ 7,700,000 $ 7,690,375
9.125% Sr. Nts., 1/15/09 2,206,000 2,465,205
- ------------------------------------------------------------------------------------------------------------------------------------
Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 2,800,000 2,919,000
- ------------------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec.
Sub. Nts., 3/1/14 2,000,000 2,160,000
- ------------------------------------------------------------------------------------------------------------------------------------
Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 1,400,000 1,494,500
- ------------------------------------------------------------------------------------------------------------------------------------
Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 109,000 101,370
- ------------------------------------------------------------------------------------------------------------------------------------
Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 1,700,000 1,785,000
- ------------------------------------------------------------------------------------------------------------------------------------
Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 1,500,000 1,575,000
- ------------------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,944,000
- ------------------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 2,200,000 2,260,500
- ------------------------------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,550,000 1,697,250
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 5,709,000 5,523,458
- ------------------------------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 9% Sr. Nts., 8/15/14 8 6,300,000 6,583,500
- ------------------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 8 7,600,000 7,267,500
8.875% Sr. Unsec. Nts., 5/15/11 109,000 109,545
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I:
8.875% Sr. Nts., 12/15/10 8 2,800,000 3,178,000
10.875% Sr. Sub. Nts., 12/15/12 8 4,300,000 5,235,250
- ------------------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,900,000 3,211,750
- ------------------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 2 [CAD] 14,580,000 11,558,586
- ------------------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 11,400,000 11,884,500
8.75% Sr. Sub. Nts., 12/15/11 800,000 872,000
- ------------------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,850,000 11,419,625
- ------------------------------------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,250,000 2,430,000
- ------------------------------------------------------------------------------------------------------------------------------------
Von Hoffmann Corp., 10.25% Sr. Unsec. Nts., 3/15/09 1,400,000 1,561,000
- ------------------------------------------------------------------------------------------------------------------------------------
WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc.,
12.75% Sr. Sub. Nts., 11/15/09 7,400,000 6,771,000
---------------
200,510,147
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.1%
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 5,420,000 5,989,100
9.875% Nts., 10/1/11 1,350,000 1,613,250
---------------
7,602,350
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.5%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,900,000 6,254,000
- ------------------------------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 8 1,000,000 952,500
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL Continued
AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 $ 5,500,000 $ 6,352,500
- ------------------------------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 2 3,775,000 3,793,875
- ------------------------------------------------------------------------------------------------------------------------------------
Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 1,350,000 1,451,250
- ------------------------------------------------------------------------------------------------------------------------------------
Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 8 2,750,000 2,743,125
- ------------------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 2,4,5 4,300,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 4,000,000 4,660,000
- ------------------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,250,000 1,300,000
----------------
27,507,250
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.2%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 8 3,500,000 3,753,750
- ------------------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
7% Unsec. Nts., 11/1/06 1,500,000 1,507,500
11.625% Sr. Unsec. Nts., 1/15/08 1,950,000 2,023,125
12.25% Sr. Nts., 12/15/12 2,200,000 2,337,500
- ------------------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 8 1,500,000 1,635,000
- ------------------------------------------------------------------------------------------------------------------------------------
Russell Corp., 9.25% Sr. Nts., 5/1/10 2,500,000 2,725,000
----------------
13,981,875
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.1%
- ------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.0%
Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1,300,000 1,410,500
- ------------------------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,000,000 2,205,000
----------------
3,615,500
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.1%
Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 1,509,000 1,161,930
- ------------------------------------------------------------------------------------------------------------------------------------
Ingles Markets, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/1/11 109,000 117,993
- ------------------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 13% Disc. Nts., 5/31/09 2,4,5,14 8,836,185 --
- ------------------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 4,000,000 4,220,000
9.50% Sr. Sec. Nts., 2/15/11 2,000,000 2,210,000
----------------
7,709,923
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.8%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 4,700,000 5,029,000
- ------------------------------------------------------------------------------------------------------------------------------------
Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 4,350,000 4,676,250
- ------------------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 7.50% Sr. Nts., 11/1/14 8 1,150,000 1,155,750
- ------------------------------------------------------------------------------------------------------------------------------------
Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 3,900,000 4,358,250
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 4,250,000 4,558,125
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS Continued
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 $ 2,500,000 $ 2,737,500
8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,857,250
- ------------------------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 2 1,800,000 1,917,000
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle Foods Holding Corp., 8.25% Sr. Sub. Nts., 12/1/13 8 1,800,000 1,705,500
- ------------------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,050,000 3,271,125
8% Sr. Nts., Series B, 10/15/09 1,000,000 1,107,500
- ------------------------------------------------------------------------------------------------------------------------------------
Swift & Co., 10.125% Sr. Nts., 10/1/09 2,000,000 2,205,000
- ------------------------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc.:
7.75% Sr. Nts., 3/15/12 5,500,000 5,555,000
8.50% Sr. Unsec. Nts., 2/1/11 109,000 114,450
- ------------------------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 2 [GBP] 4,000,000 7,393,313
----------------
47,641,013
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.2%
AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 3,700,000 3,824,875
- ------------------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 2,900,000 3,088,500
9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,000,000 3,090,000
----------------
10,003,375
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--3.6%
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.6%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,900,000 2,099,500
- ------------------------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 1,900,000 2,052,000
- ------------------------------------------------------------------------------------------------------------------------------------
Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 12,750,000 14,120,625
- ------------------------------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 14,250,000 14,606,250
- ------------------------------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,000,000 2,160,000
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,200,000 3,408,000
----------------
38,446,375
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--3.0%
ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,800,000 2,034,000
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.875% Sr. Unsec. Nts., 1/15/16 4,089,000 4,293,450
9% Sr. Nts., 8/15/12 1,000,000 1,147,500
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 7,044,000 7,026,390
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,625,000 4,578,750
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Energy Partners LP, 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 1,541,000 1,739,404
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 8,300,000 8,362,250
- ------------------------------------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 5.60% Sr. Nts., 10/15/14 3,8 2,900,000 2,927,614
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 $ 3,500,000 $ 3,823,750
- ------------------------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp.:
6.625% Sr. Nts., 10/1/11 3,8 1,600,000 1,628,000
11.75% Sr. Nts., 11/15/09 9,735,000 10,428,619
- ------------------------------------------------------------------------------------------------------------------------------------
Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 34,905,000 35,436,603
- ------------------------------------------------------------------------------------------------------------------------------------
GulfTerra Energy Partners LP:
8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 1,943,000 2,270,881
10.625% Sr. Sub. Nts., 12/1/12 2 2,613,000 3,292,380
- ------------------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,250,000 3,672,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
6.625% Nts., 4/4/10 [EUR] 8,610,000 11,628,696
8.50% Unsub. Nts., 2/15/08 3,450,000 3,885,563
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Natural Resources Co., 5.875% Sr. Unsec. Nts., 7/15/16 3,000,000 3,137,364
- ------------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,000,000 5,912,500
- ------------------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 3,100,000 3,076,750
8% Sr. Unsub. Nts., 3/1/32 4,500,000 4,668,750
8.875% Sr. Nts., 3/15/10 2,700,000 3,051,000
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,082,500
- ------------------------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 2,000,000 2,272,500
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 14,050,000 14,647,125
- ------------------------------------------------------------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 7,800,000 8,463,000
9.625% Sr. Sub. Nts., 4/1/12 2,359,000 2,742,338
- ------------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 18,450,000 20,341,125
7.625% Nts., 7/15/19 800,000 880,000
- ------------------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 2 1,100,000 1,160,500
- ------------------------------------------------------------------------------------------------------------------------------------
XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,200,000 6,117,909
----------------
185,729,711
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--1.1%
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.1%
American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 1,550,000 1,201,250
- ------------------------------------------------------------------------------------------------------------------------------------
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 3,200,000 3,632,000
----------------
4,833,250
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.3%
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4,167,000 4,479,525
- ------------------------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 10,050,000 11,004,750
- ------------------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 2,4,5 4,970,000 31,063
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS Continued
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 $ 3,800,000 $ 4,313,000
----------------
19,828,338
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.2%
Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub.
Nts., 3/15/12 8 1,600,000 1,704,000
- ------------------------------------------------------------------------------------------------------------------------------------
Jostens IH Corp., 7.625% Sr. Sub. Nts., 10/1/12 2,3 1,950,000 1,969,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 7.375% Unsec. Unsub. Nts., 12/15/14 8,570,000 9,362,725
- ------------------------------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV, 10.25% Bonds, 7/21/00 2,4,5 14,961,000 --
----------------
13,036,225
- ------------------------------------------------------------------------------------------------------------------------------------
INSURANCE--0.1%
Arbor I Ltd., 17.38% Nts., 6/15/06 1,8 6,250,000 6,458,125
- ------------------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc.:
4/1/27, Escrow Shares 15 5,775,000 231,000
4/1/27, Escrow Shares 15 5,400,000 175,500
----------------
6,864,625
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.3%
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,718,000 3,003,390
- ------------------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 1,591,000 1,644,696
- ------------------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 9.50% Sr. Nts., 1/15/07 5,000,000 5,562,500
- ------------------------------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp.:
9.125% Sr. Unsec. Nts., 1/15/11 4,959,000 5,219,348
10.50% Sr. Unsec. Nts., 6/15/09 2,800,000 3,080,000
----------------
18,509,934
- ------------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.1%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,250,000 5,407,500
- ------------------------------------------------------------------------------------------------------------------------------------
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 3,307,360
- ------------------------------------------------------------------------------------------------------------------------------------
HMP Equity Holdings Corp., 23.04% Sr. Disc. Nts., 5/15/08 2,9 3,500,000 2,222,500
- ------------------------------------------------------------------------------------------------------------------------------------
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 8 1,550,000 1,565,500
- ------------------------------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 2 4,150,000 4,513,125
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2 2,450,000 2,499,000
- ------------------------------------------------------------------------------------------------------------------------------------
Vanguard Health Holding II, Inc., 9% Sr. Sub. Nts., 10/1/14 8 1,650,000 1,662,375
----------------
15,769,860
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.0%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 $ 2,800,000 $ 2,870,000
- ------------------------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,383,750
9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,900,000 2,142,250
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 3,290,000 3,602,550
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 2 [DEM] 1,700,000 1,172,858
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 3,000,000 3,345,000
- ------------------------------------------------------------------------------------------------------------------------------------
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,587,750
- ------------------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 3,900,000 4,049,729
- ------------------------------------------------------------------------------------------------------------------------------------
HealthSouth Corp.:
7.625% Nts., 6/1/12 10,500,000 10,211,250
10.75% Sr. Unsec. Sub. Nts., 10/1/08 109,000 113,769
- ------------------------------------------------------------------------------------------------------------------------------------
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 4,060,750
- ------------------------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 2,986,000 3,456,295
- ------------------------------------------------------------------------------------------------------------------------------------
Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 2,450,000 2,609,250
- ------------------------------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,200,000 5,590,000
- ------------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 6,131,000 5,533,228
7.375% Nts., 2/1/13 109,000 103,005
9.875% Sr. Nts., 7/1/14 8 2,775,000 2,913,750
- ------------------------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 1,750,000 1,789,375
----------------
60,313,059
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--3.2%
- ------------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,900,000 3,175,500
- ------------------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 1,400,000 1,533,000
8.875% Sr. Unsec. Sub. Nts., 5/1/11 1,909,000 1,942,408
9.50% Sr. Unsec. Sub. Nts., 11/1/08 2,500,000 2,600,000
- ------------------------------------------------------------------------------------------------------------------------------------
K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 2,100,000 2,346,750
- ------------------------------------------------------------------------------------------------------------------------------------
L-3 Communications Holdings, Inc., 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 2,150,000 2,440,250
- ------------------------------------------------------------------------------------------------------------------------------------
TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 3,100,000 3,332,500
- ------------------------------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 1,963,000 2,252,543
11% Sr. Sub. Nts., 2/15/13 1,623,000 1,939,485
- ------------------------------------------------------------------------------------------------------------------------------------
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 1,350,000 1,302,750
----------------
24,743,686
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.4%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 $ 22,273,000 $ 21,966,746
- ------------------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 1 10,237,000 3,685,320
----------------
25,652,066
- ------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,400,000 2,766,000
- ------------------------------------------------------------------------------------------------------------------------------------
Green Star Products, Inc., 10.15% Bonds, 6/24/10 8 516,857 529,590
- ------------------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,178,000 2,417,580
----------------
5,713,170
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--1.2%
Allied Waste North America, Inc.:
7.875% Sr. Nts., 4/15/13 2,300,000 2,438,000
8.50% Sr. Sub. Nts., 12/1/08 10,300,000 11,227,000
8.875% Sr. Nts., Series B, 4/1/08 9,800,000 10,682,000
9.25% Sr. Sec. Debs., Series B, 9/1/12 4,650,000 5,196,375
- ------------------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 2,4,5 3,462,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Coinmach Corp., 9% Sr. Nts., 2/1/10 3,300,000 3,440,250
- ------------------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2 2,920,000 2,847,000
- ------------------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
7.50% Sr. Nts., 5/1/11 1,500,000 1,591,875
9.875% Sr. Nts., 5/1/09 2,000,000 2,242,500
- ------------------------------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 2 5,800,000 5,872,500
- ------------------------------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 2,341,000 2,384,894
- ------------------------------------------------------------------------------------------------------------------------------------
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 5,150,000 5,130,688
- ------------------------------------------------------------------------------------------------------------------------------------
Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 2,400,000 2,580,000
- ------------------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 8,800,000 7,854,000
- ------------------------------------------------------------------------------------------------------------------------------------
Videotron Ltee, 6.875% Sr. Unsec. Nts., 1/15/14 1,400,000 1,442,000
- ------------------------------------------------------------------------------------------------------------------------------------
Waste Services, Inc., 9.50% Sr. Sub. Nts., 4/15/14 8 1,400,000 1,337,000
----------------
72,785,582
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.1%
Integrated Electrical Services, Inc.:
9.375% Sr. Sub. Nts., Series B, 2/1/09 136,000 133,960
9.375% Sr. Sub. Nts., Series C, 2/1/09 2,150,000 2,117,750
- ------------------------------------------------------------------------------------------------------------------------------------
URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 2,499,000 2,886,345
----------------
5,138,055
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 $ 2,500,000 $ 2,462,500
- ------------------------------------------------------------------------------------------------------------------------------------
Riverside Forest Products Ltd., 7.875% Sr. Unsec. Sub. Nts. 3/1/14 1,600,000 1,704,000
----------------
4,166,500
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 700,000 609,000
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.6%
AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 2 9,900,000 10,741,500
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 690,625
- ------------------------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 8 3,900,000 4,153,500
- ------------------------------------------------------------------------------------------------------------------------------------
NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,400,000 2,652,000
- ------------------------------------------------------------------------------------------------------------------------------------
SPX Corp., 7.50% Sr. Nts., 1/1/13 5,700,000 5,821,125
- ------------------------------------------------------------------------------------------------------------------------------------
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 5,500,000 6,242,500
- ------------------------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2 1,900,000 1,881,000
- ------------------------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 2 4,000,000 4,420,000
----------------
39,639,750
- ------------------------------------------------------------------------------------------------------------------------------------
MARINE--0.2%
CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,350,000 7,302,500
- ------------------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 2,4,5 5,400,000 130,140
- ------------------------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 2,4,5 11,650,000 7,630,750
----------------
15,063,390
- ------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,000,000 2,055,000
- ------------------------------------------------------------------------------------------------------------------------------------
Stena AB, 9.625% Sr. Nts., 12/1/12 2,150,000 2,410,688
----------------
4,465,688
- ------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE--0.0%
Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 2,150,000 1,961,875
- ------------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.9%
- ------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.1%
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 2,4,5 11,975,000 5,867,750
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.0%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,200,000 2,354,000
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1%
Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 5,000,000 5,493,750
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,4,5 [EUR] 2,116,376 $ 26,320
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp., 11% Sr. Nts., 5/1/08 2 629,033 581,856
- ------------------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,4 1,921,661 --
- ------------------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 2,4,5 [EUR] 6,150,000 301,158
- ------------------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., 13% Sr. Disc. Nts., 4/15/08 2,4,5 5,700,000 570
----------------
909,904
- ------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.2%
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 8,150,000 8,679,750
- ------------------------------------------------------------------------------------------------------------------------------------
Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 1,600,000 1,672,000
----------------
10,351,750
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 2 3,083,000 3,607,110
- ------------------------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc.:
7.75% Sr. Nts., 5/15/13 2,100,000 1,732,500
9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,350,000 4,067,250
- ------------------------------------------------------------------------------------------------------------------------------------
ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 2 4,000,000 4,255,000
- ------------------------------------------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 14,000,000 13,930,000
----------------
27,591,860
- ------------------------------------------------------------------------------------------------------------------------------------
MATERIALS--4.3%
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.4%
Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 4,000,000 3,540,000
- ------------------------------------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1,700,000 697,000
- ------------------------------------------------------------------------------------------------------------------------------------
Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,800,000 4,275,000
- ------------------------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 2,850,000 3,085,125
10.125% Sr. Unsec. Nts., 9/1/08 109,000 123,443
10.625% Sr. Unsec. Nts., 5/1/11 2,650,000 3,034,250
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman Co. LLC:
11.50% Sr. Nts., 7/15/12 8 1,400,000 1,552,250
11.625% Sr. Unsec. Nts., 10/15/10 109,000 126,713
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
13.09% Sr. Unsec. Disc. Nts., 12/31/09 2,9 14,040,000 7,511,400
10.125% Sr. Unsec. Sub. Nts., 7/1/09 14,350,000 15,139,250
10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 3,300,000 4,281,031
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 5,500,000 6,091,250
- ------------------------------------------------------------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 109,000 138,158
- ------------------------------------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 4,100,000 4,530,500
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS Continued
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 $ 109,000 $ 119,491
9.625% Sr. Sec. Nts., Series A, 5/1/07 2,050,000 2,242,188
9.875% Sec. Nts., Series B, 5/1/07 6,164,000 6,541,545
10.50% Sr. Sec. Nts., 6/1/13 850,000 986,000
- ------------------------------------------------------------------------------------------------------------------------------------
Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 850,000 941,375
- ------------------------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,557,668 2,519,303
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc., 5.086% Sr. Sec. Nts., 12/31/06 1,2 809,925 797,776
- ------------------------------------------------------------------------------------------------------------------------------------
PolyOne Corp.:
8.875% Sr. Unsec. Nts., 5/1/12 6,950,000 7,123,750
10.625% Sr. Unsec. Nts., 5/15/10 109,000 119,900
- ------------------------------------------------------------------------------------------------------------------------------------
Rhodia SA, 10.25% Sr. Unsec. Nts., 6/1/10 3,200,000 3,328,000
- ------------------------------------------------------------------------------------------------------------------------------------
Rockwood Specialties Group, Inc., 10.625% Sr. Unsec. Sub. Nts., 5/15/11 1,200,000 1,326,000
- ------------------------------------------------------------------------------------------------------------------------------------
Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 2 2,000,000 2,060,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
10% Sr. Sec. Nts., 12/19/07 2 1,938,280 1,831,675
11.25% Sr. Sub. Nts., 8/15/06 2,4,5 7,915,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 2 973,000 1,097,058
----------------
85,159,431
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.0%
Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 2 3,200,000 3,696,000
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.3%
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 2,4,5 5,875,000 14,688
- ------------------------------------------------------------------------------------------------------------------------------------
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 3,600,000 4,032,000
10.875% Sr. Sec. Nts., 3/1/13 1,850,000 2,159,875
- ------------------------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Nts., 10/15/12 3,8 1,250,000 1,281,250
9.875% Sub. Nts., 10/15/14 3,8 2,300,000 2,366,125
- ------------------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,700,000 6,398,250
9.50% Sr. Sub. Nts., 8/15/13 2,550,000 2,926,125
- ------------------------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,439,750
- ------------------------------------------------------------------------------------------------------------------------------------
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 3,103,000
8.25% Sr. Unsec. Nts., 5/15/13 1,609,000 1,721,630
8.75% Sr. Sec. Nts., 11/15/12 12,500,000 13,937,500
8.875% Sr. Sec. Nts., 2/15/09 5,800,000 6,336,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 13 2,050,000 1,763,000
- ------------------------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 2,450,000 2,425,500
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING Continued
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 $ 4,700,000 $ 5,205,250
9.25% Sr. Unsec. Nts., 2/1/08 4,500,000 5,028,750
9.75% Sr. Unsec. Nts., 2/1/11 7,900,000 8,788,750
- ------------------------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,550,000 5,785,875
----------------
78,345,818
- ------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.0%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 109,000 107,093
7.875% Sr. Unsec. Nts., 2/15/09 3,925,000 3,915,188
- ------------------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 7.25% Sr. Nts., 7/1/13 8 3,200,000 3,456,000
- ------------------------------------------------------------------------------------------------------------------------------------
California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 2,400,000 2,352,000
- ------------------------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Nts., 8/15/14 8 1,875,000 1,982,813
- ------------------------------------------------------------------------------------------------------------------------------------
IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,550,000 2,817,750
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,4,5 1,586,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,145,000
- ------------------------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 4,500,000 4,983,750
- ------------------------------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 2 5,200,000 5,798,000
- ------------------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 4,5 4,500,000 4,365,000
- ------------------------------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 2,4,5 5,700,000 329,460
- ------------------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2 3,050,000 3,385,500
- ------------------------------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 9,595,000 5,804,975
- ------------------------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,238,875
- ------------------------------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,700,000 4,060,750
- ------------------------------------------------------------------------------------------------------------------------------------
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 2,230,000
- ------------------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,400,000 2,760,000
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel Corp., 9.75% Sr. Nts., 5/15/10 1,850,000 2,127,500
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel LLC, 10.75% Sr. Nts., 8/1/08 3,051,000 3,615,435
----------------
60,055,589
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.6%
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,831,750
- ------------------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,450,000 1,566,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fort James Corp., 6.875% Sr. Nts., 9/15/07 2,500,000 2,675,000
- ------------------------------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 10,575,000 12,267,000
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 2,4 5,000,000 2,325,000
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS Continued
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 $ 1,900,000 $ 1,995,000
- ------------------------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 2,4,5 4,025,000 60,375
- ------------------------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc.:
8.75% Sr. Sec. Nts., 11/15/13 8 1,009,000 963,595
12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 4,550,000 3,822,000
- ------------------------------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 2 3,180,000 3,529,800
----------------
38,603,520
- ------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.4%
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.0%
- ------------------------------------------------------------------------------------------------------------------------------------
360networks, Inc., 13% Sr. Unsec. Nts., 5/1/08 2,4,6 [EUR] 1,900,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 9.375% Sr. Nts., 2/1/09 3,525,000 3,754,125
- ------------------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 2,4,5 5,289,071 529
- ------------------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp.:
7.50% Sr. Nts., 12/1/13 2,150,000 2,262,875
7.50% Sr. Nts., Series B, 12/1/13 2,500,000 2,631,250
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,450,000 2,793,000
9.875% Sr. Sub. Nts., 8/15/13 4,298,000 5,071,640
- ------------------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 2,4 6,532,259 --
- ------------------------------------------------------------------------------------------------------------------------------------
IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 1,050,000 1,160,250
- ------------------------------------------------------------------------------------------------------------------------------------
KPNQwest BV, 8.875% Sr. Nts., 2/1/08 2,4,5 [EUR] 5,000,000 202,093
- ------------------------------------------------------------------------------------------------------------------------------------
MCI, Inc.:
5.908% Sr. Unsec. Nts., 5/1/07 2,582,000 2,565,863
6.688% Sr. Unsec. Nts., 5/1/09 1,032,000 997,170
7.735% Sr. Unsec. Nts., 5/1/14 884,000 839,800
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 109,000 101,098
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.25% Sr. Nts., 2/15/11 8 1,500,000 1,428,750
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 9.125% Nts., 3/15/12 8 11,000,000 12,155,000
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp., 14% Nts., 12/15/10 1,8 13,800,000 16,180,500
- ------------------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,4,5 4,835,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC/Time Warner Telecom, Inc.,
9.75% Sr. Nts., 7/15/08 5,150,000 5,124,250
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 1,200,000 1,158,000
----------------
58,426,193
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.4%
Alamosa Delaware, Inc.:
11% Sr. Unsec. Nts., 7/31/10 109,000 123,988
12.50% Sr. Unsec. Nts., 2/1/11 5,600,000 6,300,000
- ------------------------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,475,000 1,202,125
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 7.50% Sr. Nts., 5/1/12 4,100,000 4,202,500
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES Continued
American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 9 $ 6,000,000 $ 4,500,000
- ------------------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,4,5 21,148,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co./Centennial Communications
Corp., 10.125% Sr. Nts., 6/15/13 5,100,000 5,393,250
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 4,209,000 2,735,850
10.875% Sr. Unsec. Nts., 7/1/10 3,950,000 2,863,750
- ------------------------------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc., 13.75% Sr. Nts., 6/15/11 4,5 1,000,000 405,000
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
7.375% Sr. Nts., 8/1/15 8,220,000 8,877,600
9.50% Sr. Unsec. Nts., 2/1/11 3,300,000 3,762,000
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc., 12.50% Sr. Nts., 11/15/09 2 6,639,000 7,701,240
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
8.25% Sr. Sec. Nts., 3/15/12 8 1,600,000 1,636,000
9.625% Sr. Sub. Nts., Series B, 5/15/08 2,200,000 2,046,000
9.75% Sr. Sub. Nts., 1/15/10 5,509,000 4,820,375
9.875% Sr. Nts., 2/1/10 3,550,000 3,532,250
- ------------------------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 10.25% Sr. Unsec. Nts., 2/1/09 3,600,000 3,870,000
- ------------------------------------------------------------------------------------------------------------------------------------
SBA Telecommunications, Inc./SBA Communications Corp.,
0%/9.75% Sr. Disc. Nts., 12/15/11 13 3,059,000 2,493,085
- ------------------------------------------------------------------------------------------------------------------------------------
Triton PCS, Inc.:
8.50% Sr. Unsec. Nts., 6/1/13 4,000,000 3,650,000
8.75% Sr. Unsec. Sub. Nts., 11/15/11 1,309,000 896,665
- ------------------------------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,600,000 2,720,250
- ------------------------------------------------------------------------------------------------------------------------------------
US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 2,13 8,800,000 9,130,000
- ------------------------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 3,309,000 3,391,725
----------------
86,253,653
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--2.1%
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.3%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 8 8,100,000 9,173,250
- ------------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12 8 109,000 120,990
- ------------------------------------------------------------------------------------------------------------------------------------
Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,386,911 2,637,537
- ------------------------------------------------------------------------------------------------------------------------------------
Calpine Corp.:
7.625% Sr. Nts., 4/15/06 1,150,000 1,069,500
8.75% Sr. Nts., 7/15/07 4,500,000 3,588,750
- ------------------------------------------------------------------------------------------------------------------------------------
Central Termica Guemes SA, 2% Nts., 1/1/12 2 5,422,500 542,250
- ------------------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,309,000 1,377,723
7.75% Sr. Nts., 8/1/10 8 1,550,000 1,646,875
8.50% Sr. Nts., 4/15/11 2,500,000 2,737,500
9.875% Sr. Unsec. Nts., 10/15/07 3,110,000 3,471,538
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec.
Pass-Through Certificates, 1/15/05 $ 5,200,000 $ 5,254,881
- ------------------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy:
9.875% Sr. Unsec. Nts., 4/15/11 1,900,000 2,223,000
10% Sr. Unsec. Nts., 8/15/08 5,200,000 6,110,000
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 4,000,000 4,493,516
- ------------------------------------------------------------------------------------------------------------------------------------
Funding Corp./Beaver Valley Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 956,000 1,118,603
- ------------------------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 6,000,000 6,570,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
7.625% Sr. Unsec. Nts., 5/1/06 4,5 2,300,000 2,047,000
8.30% Sr. Unsec. Nts., 5/1/11 4,5 700,000 619,500
- ------------------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,550,000 1,705,000
- ------------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 8 6,600,000 7,103,250
- ------------------------------------------------------------------------------------------------------------------------------------
PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 3,100,000 3,371,250
- ------------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 3,959,000 4,270,771
9.50% Sr. Sec. Nts., 7/15/13 5,100,000 5,565,375
- ------------------------------------------------------------------------------------------------------------------------------------
Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 3,500,000 3,745,000
- ------------------------------------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/1/07 805,000 921,079
----------------
81,484,138
- ------------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.1%
AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr.
Unsec. Nts., Series B, 5/20/11 10 6,400,000 7,088,000
- ------------------------------------------------------------------------------------------------------------------------------------
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,200,000 1,272,000
----------------
8,360,000
- ------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.7%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 3,792,054 4,190,219
- ------------------------------------------------------------------------------------------------------------------------------------
Consumers Energy Co.:
6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,299,602
7.375% Nts., 9/15/23 1,900,000 1,968,341
- ------------------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 13,375,000 12,806,563
8.75% Sr. Nts., 2/15/12 7,059,000 7,376,655
10.125% Sr. Sec. Nts., 7/15/13 8 7,700,000 8,893,500
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,097,490 3,161,376
----------------
39,696,256
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
WATER UTILITIES--0.0%
National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 $ 1,900,000 $ 2,166,000
----------------
Total Corporate Bonds and Notes (Cost $1,712,641,527) 1,714,802,946
SHARES
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.8%
- ------------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,5,14 338,141 --
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub. Exchange Debs., Non-Vtg. 2,5 255,000 12,303,750
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F (converts into
Dobson Communications Corp., Cl. A common stock), Non-Vtg. 8 6,800 339,997
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 2,5,14 11,723 1,172
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,5 39,000 3,519,750
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,5,14 5,773 --
- ------------------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc., 2.50% Cv., Series A 5 6,516 16,290
- ------------------------------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 2,5,14 96,993 --
- ------------------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp.:
14.25% Cum. 5,14 1 6,163
14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 1,660 12,491,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 49,500 2,945,250
- ------------------------------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg. 305 1,594
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 2,5,14 10,825 9,065,938
- ------------------------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 57,800 8,511,050
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., 14% Cum. Sr. Exchangeable Redeemable, Non-Vtg. 2,5,14 3 --
- ------------------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc., 10%, Series E-1 2,5 240 125,400
----------------
Total Preferred Stocks (Cost $77,458,299) 49,327,854
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--4.0%
- ------------------------------------------------------------------------------------------------------------------------------------
AboveNet, Inc. 5 8,811 211,464
- ------------------------------------------------------------------------------------------------------------------------------------
ACE Ltd. 33,800 1,354,028
- ------------------------------------------------------------------------------------------------------------------------------------
Aetna, Inc. 13,900 1,389,027
- ------------------------------------------------------------------------------------------------------------------------------------
Allstate Corp. 27,900 1,338,921
- ------------------------------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. 15,800 1,406,200
- ------------------------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. 21,500 1,426,740
- ------------------------------------------------------------------------------------------------------------------------------------
Apache Corp. 28,300 1,418,113
- ------------------------------------------------------------------------------------------------------------------------------------
Arch Wireless, Inc., Cl. A 5 53,797 1,545,588
- ------------------------------------------------------------------------------------------------------------------------------------
Ashland, Inc. 24,900 1,396,392
- ------------------------------------------------------------------------------------------------------------------------------------
Autodesk, Inc. 28,900 1,405,407
- ------------------------------------------------------------------------------------------------------------------------------------
BASF AG 23,983 1,410,791
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. (The) 14,841 1,427,259
- ------------------------------------------------------------------------------------------------------------------------------------
Berkeley Group plc (The) 59,360 1,363,930
- ------------------------------------------------------------------------------------------------------------------------------------
Beverly Hills Bancorp, Inc. 560,000 5,852,000
48 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Black & Decker Corp. 18,400 $ 1,424,896
- ------------------------------------------------------------------------------------------------------------------------------------
Boeing Co. 24,300 1,254,366
- ------------------------------------------------------------------------------------------------------------------------------------
Brambles Industries plc 297,420 1,383,756
- ------------------------------------------------------------------------------------------------------------------------------------
British Land Co. plc 100,244 1,351,482
- ------------------------------------------------------------------------------------------------------------------------------------
Burlington Northern Santa Fe Corp. 35,700 1,367,667
- ------------------------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 34,600 1,411,680
- ------------------------------------------------------------------------------------------------------------------------------------
Calpine Corp. 5 376,800 1,092,720
- ------------------------------------------------------------------------------------------------------------------------------------
Cavco Industries, Inc. 5 770 29,083
- ------------------------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 5 7,208 --
- ------------------------------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc. 121,800 1,261,848
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Corp. 27,630 1,394,210
- ------------------------------------------------------------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 5 45,220 2,071,076
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 875,000 13,851,250
- ------------------------------------------------------------------------------------------------------------------------------------
ChevronTexaco Corp. 26,000 1,394,640
- ------------------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc. 5 88,293 1,537,181
- ------------------------------------------------------------------------------------------------------------------------------------
CIGNA Corp. 19,000 1,322,970
- ------------------------------------------------------------------------------------------------------------------------------------
CNP Assurances SA 21,420 1,393,218
- ------------------------------------------------------------------------------------------------------------------------------------
ConocoPhillips 17,060 1,413,421
- ------------------------------------------------------------------------------------------------------------------------------------
Conseco, Inc. 5 142,199 2,511,234
- ------------------------------------------------------------------------------------------------------------------------------------
Corus Group plc 5 1,639,180 1,514,871
- ------------------------------------------------------------------------------------------------------------------------------------
Corvis Corp. 5 142,850 114,280
- ------------------------------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp. 35,790 1,409,768
- ------------------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. 5 168,383 282,883
- ------------------------------------------------------------------------------------------------------------------------------------
Criimi MAE, Inc. 5 431,792 6,338,707
- ------------------------------------------------------------------------------------------------------------------------------------
Crunch Equity Holdings, Cl. A 2,5 1,445 1,873,596
- ------------------------------------------------------------------------------------------------------------------------------------
Cummins, Inc. 18,300 1,352,187
- ------------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler AG 31,213 1,286,818
- ------------------------------------------------------------------------------------------------------------------------------------
Devon Energy Corp. 19,329 1,372,552
- ------------------------------------------------------------------------------------------------------------------------------------
Dillard's, Inc., Cl. A 68,000 1,342,320
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 5 437,675 582,108
- ------------------------------------------------------------------------------------------------------------------------------------
DTE Energy Co. 31,300 1,320,547
- ------------------------------------------------------------------------------------------------------------------------------------
Dynegy, Inc. 5 303,700 1,515,463
- ------------------------------------------------------------------------------------------------------------------------------------
E.ON AG 18,279 1,346,911
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 519 37,005
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 1,745 120,405
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Select Sector SPDR Fund 152,600 5,341,000
- ------------------------------------------------------------------------------------------------------------------------------------
EOG Resources, Inc. 22,100 1,455,285
- ------------------------------------------------------------------------------------------------------------------------------------
Equinix, Inc. 5 133,114 4,095,918
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Select Sector SPDR Fund 171,900 $ 4,892,274
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. 90,500 1,271,525
- ------------------------------------------------------------------------------------------------------------------------------------
Freddie Mac 18,900 1,233,036
- ------------------------------------------------------------------------------------------------------------------------------------
Gecina SA 15,616 1,320,617
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Corp. 30,349 1,289,226
- ------------------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc., Series B, Escrow Shares 2,15 625 --
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp. 5 100,917 327,980
- ------------------------------------------------------------------------------------------------------------------------------------
Heidelberger Zement AG 29,489 1,380,775
- ------------------------------------------------------------------------------------------------------------------------------------
Hilton Group plc 277,130 1,389,793
- ------------------------------------------------------------------------------------------------------------------------------------
Hokkaido Electric Power Co. 71,303 1,278,742
- ------------------------------------------------------------------------------------------------------------------------------------
Horizon Natural Resources Co. 2,5 133,333 --
- ------------------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 5 276,705 63,642
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. 5 62,692 1,167,639
- ------------------------------------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc. (Holding Co.) 34,000 1,199,520
- ------------------------------------------------------------------------------------------------------------------------------------
Janus Capital Group, Inc. 91,400 1,243,954
- ------------------------------------------------------------------------------------------------------------------------------------
Japan Real Estate Investment Corp. 169 1,344,135
- ------------------------------------------------------------------------------------------------------------------------------------
Karstadt Quelle AG 81,800 1,285,874
- ------------------------------------------------------------------------------------------------------------------------------------
Kawasaki Kisen Kaisha Ltd. 202,241 1,386,081
- ------------------------------------------------------------------------------------------------------------------------------------
KB Home 18,456 1,559,347
- ------------------------------------------------------------------------------------------------------------------------------------
Kelda Group plc 136,731 1,326,800
- ------------------------------------------------------------------------------------------------------------------------------------
Klepierre 17,972 1,300,821
- ------------------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 5 30,000 274,500
- ------------------------------------------------------------------------------------------------------------------------------------
Lafarge SA 15,158 1,328,070
- ------------------------------------------------------------------------------------------------------------------------------------
Land Securities Group plc 62,716 1,333,077
- ------------------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. 5 26,853 590,766
- ------------------------------------------------------------------------------------------------------------------------------------
Leopalace21 Corp. 66,700 1,233,782
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty International plc 86,951 1,303,044
- ------------------------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 28,100 1,320,700
- ------------------------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 172,964 1,352,432
- ------------------------------------------------------------------------------------------------------------------------------------
MAN AG 38,303 1,309,977
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 7,919 280,808
- ------------------------------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 35,028 1,445,956
- ------------------------------------------------------------------------------------------------------------------------------------
MCI, Inc. 56,621 948,402
- ------------------------------------------------------------------------------------------------------------------------------------
MetLife, Inc. 35,100 1,356,615
- ------------------------------------------------------------------------------------------------------------------------------------
Metrocall Holdings, Inc. 5 34,005 2,205,224
- ------------------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. A 5 381 10,735
- ------------------------------------------------------------------------------------------------------------------------------------
Mitsui O.S.K. Lines Ltd. 219,182 1,316,905
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Building Fund, Inc. 173 1,363,369
50 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Mining Holdings, Inc. 282,539 $ 1,433,048
- ------------------------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp. 44,400 1,320,456
- ------------------------------------------------------------------------------------------------------------------------------------
Novar plc 588,770 1,237,607
- ------------------------------------------------------------------------------------------------------------------------------------
NTL, Inc. 5 259,147 16,085,254
- ------------------------------------------------------------------------------------------------------------------------------------
Nucor Corp. 16,100 1,471,057
- ------------------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 24,387 1,363,965
- ------------------------------------------------------------------------------------------------------------------------------------
Omron Corp. 60,167 1,331,697
- ------------------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. 5 59,342 677,686
- ------------------------------------------------------------------------------------------------------------------------------------
PG&E Corp. 5 44,200 1,343,680
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle West Capital Corp. 30,800 1,278,200
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc. 5 165,394 2,480,910
- ------------------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 5 8,124 92,614
- ------------------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 5,16 1,019,757 30,593
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 2,5 799,833 --
- ------------------------------------------------------------------------------------------------------------------------------------
Providian Financial Corp. 5 88,905 1,381,584
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc. 27,600 1,298,304
- ------------------------------------------------------------------------------------------------------------------------------------
PSA Peugeot Citroen 21,655 1,335,789
- ------------------------------------------------------------------------------------------------------------------------------------
Pulte Homes, Inc. 21,726 1,333,325
- ------------------------------------------------------------------------------------------------------------------------------------
Rakuten, Inc. 188 1,225,251
- ------------------------------------------------------------------------------------------------------------------------------------
RWE AG 26,555 1,268,164
- ------------------------------------------------------------------------------------------------------------------------------------
Ryder Systems, Inc. 29,000 1,364,160
- ------------------------------------------------------------------------------------------------------------------------------------
Safeco Corp. 27,700 1,264,505
- ------------------------------------------------------------------------------------------------------------------------------------
Sammy Corp. 26,039 1,278,104
- ------------------------------------------------------------------------------------------------------------------------------------
ScottishPower plc 179,300 1,372,733
- ------------------------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 32,526 1,296,161
- ------------------------------------------------------------------------------------------------------------------------------------
Sempra Energy 35,200 1,273,888
- ------------------------------------------------------------------------------------------------------------------------------------
Severn Trent plc 83,287 1,325,106
- ------------------------------------------------------------------------------------------------------------------------------------
Showa Shell Sekiyu K.K 147,428 1,310,590
- ------------------------------------------------------------------------------------------------------------------------------------
Societe Generale, Cl. A 15,201 1,346,961
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 2,5 10,524 247,314
- ------------------------------------------------------------------------------------------------------------------------------------
Suez SA 67,013 1,438,460
- ------------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bakelite Co. Ltd. 210,419 1,269,992
- ------------------------------------------------------------------------------------------------------------------------------------
Sunoco, Inc. 20,900 1,546,182
- ------------------------------------------------------------------------------------------------------------------------------------
Tate & Lyle plc 201,750 1,411,172
- ------------------------------------------------------------------------------------------------------------------------------------
Technip SA 8,668 1,401,394
- ------------------------------------------------------------------------------------------------------------------------------------
Telewest Global, Inc. 5 925,116 10,749,848
- ------------------------------------------------------------------------------------------------------------------------------------
ThyssenKrupp AG 69,725 1,354,464
- ------------------------------------------------------------------------------------------------------------------------------------
Tohoku Electric Power Co. 75,600 1,249,291
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
TonenGeneral Sekiyu K.K 155,617 $ 1,345,196
- ------------------------------------------------------------------------------------------------------------------------------------
Trend Micro, Inc. 30,000 1,292,551
- ------------------------------------------------------------------------------------------------------------------------------------
TUI AG 72,128 1,344,632
- ------------------------------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 2,5 56,750 218,488
- ------------------------------------------------------------------------------------------------------------------------------------
TXU Corp. 30,600 1,466,352
- ------------------------------------------------------------------------------------------------------------------------------------
Unibail 11,481 1,384,285
- ------------------------------------------------------------------------------------------------------------------------------------
United Utilities plc 130,200 1,310,612
- ------------------------------------------------------------------------------------------------------------------------------------
UnitedGlobalCom, Inc., Cl. A 5 2,261,452 16,893,046
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities Select Sector SPDR Fund 198,300 4,967,415
- ------------------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp. 19,400 1,556,074
- ------------------------------------------------------------------------------------------------------------------------------------
Viatel Holding Ltd. (Bermuda) 2,5 42,692 33,086
- ------------------------------------------------------------------------------------------------------------------------------------
Vinci 12,155 1,400,549
- ------------------------------------------------------------------------------------------------------------------------------------
Volkswagen AG, Preference 49,035 1,338,563
- ------------------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 60,000 961,200
- ------------------------------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc. 5 648,500 4,755,530
- ------------------------------------------------------------------------------------------------------------------------------------
William Hill plc 132,702 1,282,894
- ------------------------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 2,5 15,559 311
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc. 5 28,777 90,935
----------------
Total Common Stocks (Cost $231,331,906) 250,482,553
UNITS
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
AboveNet, Inc. Wts.:
Exp. 9/8/08 5 3,961 31,523
Exp. 9/8/10 5 4,660 36,075
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp. Wts., Exp. 8/1/08 2,5 6,000 1,131,000
- ------------------------------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 2,5 2,200 36
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. Wts., Exp. 5/1/05 5 27,926 99,282
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. Wts., Exp. 12/31/50 5 48,080 68,274
- ------------------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 2,5 6,350 64
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 2,5 4,650 --
- ------------------------------------------------------------------------------------------------------------------------------------
Covergent Communications, Inc. Wts., Exp. 4/1/08 2,5 18,300 183
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 2,5 5,225 52
- ------------------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 2,5 34,425 4,647
- ------------------------------------------------------------------------------------------------------------------------------------
Horizon PCS, Inc. Wts., Exp. 10/1/10 2,5 11,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman LLC Wts., Exp. 5/15/11 2,5 3,500 806,750
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/15/05 2,5 46,860 469
52 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
UNITS SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 2,5 69,399 $ 347
Exp. 5/16/06 2,5 103 --
- ------------------------------------------------------------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 2,5 86,946 --
- ------------------------------------------------------------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07 2,5 7,780 --
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. Wts., Exp. 6/15/10 2,5 6,600 66
- ------------------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. Wts., Exp. 4/15/10 2,5 6,700 71
- ------------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 2,5 4,160 --
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07 2,5 6,250 63
- ------------------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc. Wts., Exp. 4/16/07 5 14,440 1,588
- ------------------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 2,5 5,800 58
- ------------------------------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 2,5 8,000 80
- ------------------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06 2,5 16,650 167
- ------------------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/30/05 2,5 13,440 --
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 2,5 17,082 24,769
- ------------------------------------------------------------------------------------------------------------------------------------
Telergy, Inc. Wts., Exp. 9/25/10 2,5 18,175 --
- ------------------------------------------------------------------------------------------------------------------------------------
Telus Corp. Wts., Exp. 9/15/05 5 12,147 108,849
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 2,5 18,600 --
- ------------------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 5 7,000 4,258
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 5 57,557 47,772
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 5 43,168 25,901
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 5 43,168 16,404
- ------------------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 2,5 44,000 22,000
----------------
Total Rights, Warrants and Certificates (Cost $1,728,328) 2,430,748
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--7.9%
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Brazilian Real Unsec. Credit Linked Nts., 0.93%, 1/14/05 $ 16,249,967 17,144,528
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 9,655,000,000 4,155,442
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 [COP] 31,638,685,000 14,083,022
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 17,697,500,000 7,616,876
Peruvian Sol Unsec. Linked Nts., 1.466%, 1/14/05 [PEN] 34,435,000 10,707,486
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman):
Russia(Government of) Linked Bonds, Series 24, 15%, 9/2/05 [RUR] 82,770,000 3,051,172
Russia(Government of) Linked Bonds, Series 26, 15%, 3/11/05 [RUR] 83,913,000 2,993,926
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Turkey (Republic of) Credit Linked Nts., Series EM 868, 25.01%, 8/25/05 17,926,488 14,699,899
Turkey (Republic of) Credit Linked Nts., Series EM 872, 23.57%, 10/20/05 1 3,153,815 3,328,702
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (USA), U.S. Dollar/South African
Rand Linked Nts., Series FBi 43, 1.44%, 5/23/22 $ 13,740,000 $ 13,369,020
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Korea (Republic of) Credit Bonds, 1.56%, 6/20/09 35,750,000 36,103,925
Moscow (City of) Linked Nts., 10%, 5/27/05 [RUR] 110,137,000 3,881,354
Moscow (City of) Linked Nts., 15%, 9/2/05 [RUR] 353,400,000 13,082,514
OAO Gazprom I Credit Nts., 5.588%, 10/20/07 7,145,000 7,463,726
OAO Gazprom II Credit Nts., 5.338%, 4/20/07 7,145,000 7,440,008
Ukraine (Republic of) Credit Linked Nts., 6.541%, 8/5/11 35,010,000 36,025,290
- ------------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates:
Series 3-1, 7.75%, 12/29/09 8,17 100,000,000 101,375,000
Series 3-3, 8%, 12/29/09 8,17 113,000,000 113,353,125
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers International:
Turkey (Republic of) Treasury Bills Total Return Linked Nts., 24.20%, 8/25/05 11,496,363 8,116,432
Turkey (Republic of) Treasury Bills Total Return Linked Nts., 28.25%, 5/26/05 11,552,922 9,922,804
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc., Venezuela (Republic of) Credit
Bonds, 5%, 9/20/09 13,890,000 14,493,413
- ------------------------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd. Catastrophe Linked Nts., 5.85%, 11/19/07 1,8 2,400,000 2,510,352
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.:
Series 2002, Cl. A-A, 7.88%, 6/15/06 1,8 250,000 256,138
Series 2002-1, Cl. E-A, 6.13%, 6/15/06 1 1,500,000 1,517,550
Series 2003-II, Cl. A, 7.88%, 6/15/06 1,8 6,250,000 6,389,375
Series 2003-II, Cl. B, 6.88%, 6/15/06 1,8 6,250,000 6,359,688
Series 2003-II, Cl. C, 7.63%, 6/15/06 1,8 6,250,000 6,357,500
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Fujiyama Ltd. Catastrophe Linked Nts.,
5.711%, 5/16/05 1,8 2,500,000 2,530,525
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked Nts.,
6.63%, 6/15/07 1,2 250,000 255,825
- ------------------------------------------------------------------------------------------------------------------------------------
UBS AG, OAO Gazprom III Credit Nts., 4.705%, 7/5/06 17,870,000 18,572,592
----------------
Total Structured Notes (Cost $477,097,559) 487,157,209
DATE STRIKE CONTRACTS
- ------------------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Japanese Yen Put 2,5 (Cost $1,434,463) 10/8/04 111.55JPY 21,980,000,000JPY 307,720
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--4.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 0.51% in joint repurchase agreement (Principal Amount/
Value $195,664,000, with a maturity value of $195,673,403) with DB Alex Brown
LLC, 1.73%, dated 9/30/04, to be repurchased at $1,000,048 on 10/1/04,
collateralized by U.S. Treasury Bonds, 6.25%--9.25%, 2/15/16--5/15/30, with a
value of $182,065,645 and U.S. Treasury Nts., 3.375%, 1/15/07, with a
value of $17,636,762 $ 1,000,000 1,000,000
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 1.35% in joint repurchase agreement (Principal Amount/
Value $1,446,038,000, with a maturity value of $1,446,110,302) with UBS Warburg
LLC, 1.80%, dated 9/30/04, to be repurchased at $19,500,975 on 10/1/04,
collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with
a value of $1,477,979,332 $ 19,500,000 $ 19,500,000
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 71.44% in joint repurchase agreement (Principal Amount/
Value $361,238,000, with a maturity value of $361,255,058) with Cantor Fitzgerald
& Co./Cantor Fitzgerald Securities, 1.70%, dated 9/30/04, to be repurchased at
$258,069,186 on 10/1/04, collateralized by U.S. Treasury Bonds, 1.625%--9.875%,
3/31/05--8/15/28, with a value of $298,717,670 and U.S. Treasury Bills,
1/20/05, with a value of $70,023,125 258,057,000 258,057,000
----------------
Total Joint Repurchase Agreements (Cost $278,557,000) 278,557,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $6,862,614,092) 111.4% 6,901,841,486
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (11.4) (706,867,069)
-------------------------------------
Net Assets 100.0% $ 6,194,974,417
=====================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount, strike, contracts and exercise price are reported in U.S.
Dollars, except for those denoted in the following currencies:
ARP Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DKK Danish Krone
EUR Euro
FRF French Franc
GBP British Pound Sterling
HUF Hungarian Forint
JPY Japanese Yen
MXN Mexican Nuevo Peso
NZD New Zealand Dollar
PEN Peruvian New Sol
PLZ Polish Zloty
RUR Russian Ruble
SEK Swedish Krona
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid or restricted security. See Note 11 of Notes to Financial
Statements.
3. When-issued security or forward commitment to be delivered and settled after
September 30, 2004. See Note 1 of Notes to Financial Statements.
4. Issue is in default. See Note 1 of Notes to Financial Statements.
5. Non-income producing security.
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 $30,067,013 or 0.49% of the Fund's net assets
as of September 30, 2004.
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
7. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $4,629,255 or 0.07% of the Fund's net assets as of
September 30, 2004.
8. 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 $416,465,073 or 6.72% of the Fund's net
assets as of September 30, 2004.
9. Zero coupon bond reflects effective yield on the date of purchase.
10. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures sales contracts with an aggregate
market value of $27,764,000. See Note 6 of Notes to Financial Statements.
11. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
12. A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
Japanese Yen (JPY) 21,980,000,000JPY 10/8/04 104.400JPY $ 1,576,917 $ --
New Zealand (Government of)
Bonds, 7%, 7/15/09 10,785NZD 12/9/04 6.205NZD 31,999 41,107
--------------------------
$ 1,608,916 $ 41,107
==========================
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
14. Interest or dividend is paid-in-kind.
15. Received as the result of issuer reorganization.
16. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended September 30,
2004. The aggregate fair value of securities of affiliated companies held by the
Fund as of September 30, 2004 amounts to $30,593. Transactions during the period
in which the issuer was an affiliate are as follows:
SHARES SHARES
SEPT. 30, GROSS GROSS SEPT. 30, UNREALIZED
2003 ADDITIONS REDUCTIONS 2004 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Prandium, Inc. 1,019,757 -- -- 1,019,757 $ 11,955,407
17. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
56 | OPPENHEIMER STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Shareholders and
Board of Trustees of
Oppenheimer Strategic Income Fund:
We have audited, in accordance with standards of the Public Company Accounting
Oversight Board (United States), the financial statements of Oppenheimer
Strategic Income Fund (the "Fund") as of September 30, 2004, and for the year
then ended and have issued our report thereon dated November 16, 2004, which
report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR. Our audit also included the Fund's statement
of investments (the "Schedule") as of September 30, 2004 appearing in Item 6 of
this Form N-CSR. This Schedule is the responsibility of the Fund's management.
Our responsibility is to express an opinion based on our audit. In our opinion,
the Schedule referred to above, when considered in relation to the basic
financial statements taken as a whole of the Fund referred to above, presents
fairly, in all material respects, the information set forth therein.
DELOITTE & TOUCHE LLP
November 16, 2004
Denver, Colorado
ITEM 7. NOT APPLICABLE
ITEM 8. NOT APPLICABLE
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The registrant's Board of Trustees has established a Governance
Committee, one function of which is to create and oversee the process by which
shareholders can submit nominees for positions on the Board. The Governance
Committee has not yet adopted a charter, but anticipates that it will do so by
the end of this calendar year. The Committee has temporarily adopted the process
previously adopted by the Audit Committee regarding shareholder submission of
nominees for board positions. Shareholders may submit names of individuals,
accompanied by complete and properly supported resumes, for the Governance
Committee's consideration by mailing such information to the Committee in care
of the Fund. The Committee may consider such persons at such time as it meets to
consider possible nominees. The Committee, however, reserves solo discretion to
determine the candidates for trustees and independent trustees to recommend to
the Board and/or shareholders and may identify candidates other than those
submitted by Shareholders. The Committee may, but need not, consider the advice
and recommendation of the Manager and its affiliates in selecting nominees. The
full Board elects new trustees except for those instances when a shareholder
vote is required.
Shareholders who desire to communicate with the Board should address
correspondence to the Board of Trustees of the registrant, or to an individual
Trustee c/o the Secretary of the Fund at 6803 South Tucson Way, Centennial,
Colorado 80112 and may submit their correspondence electronically at
www.oppenheimerfunds.com under the caption "contact us." If your correspondence
is intended for a particular Trustee, please indicate the name of the Trustee
for whom it is intended. The sender should indicate in the address whether it is
intended for the entire board, the Independent Trustees as group, or to an
individual Trustee. The Governance Committee will consider if a different
process should be recommended to the Board.
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 September 30, 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)(NOT
APPLICABLE TO SEMIANNUAL REPORTS)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)