UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21268
Oppenheimer Total Return Bond Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: April 30
Date of reporting period: May 1, 2004 - October 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
- --------------------------------------------------------------------------------
TOP FIVE HOLDINGS BY ISSUER
- --------------------------------------------------------------------------------
Federal National Mortgage Assn. 30.6%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. 15.4
- --------------------------------------------------------------------------------
U.S. Treasury 9.9
- --------------------------------------------------------------------------------
Tennessee Valley Authority 3.6
- --------------------------------------------------------------------------------
USAA Auto Owner Trust 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2004, and are based on total investments. For more current Fund
holdings, please visit www.oppenheimerfunds.com.
CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
- --------------------------------------------------------------------------------
Diversified Financial Services 2.7%
- --------------------------------------------------------------------------------
Electric Utilities 2.5
- --------------------------------------------------------------------------------
Media 2.2
- --------------------------------------------------------------------------------
Automobiles 1.9
- --------------------------------------------------------------------------------
Diversified Telecommunication Services 1.8
- --------------------------------------------------------------------------------
Insurance 1.7
- --------------------------------------------------------------------------------
Real Estate 1.4
- --------------------------------------------------------------------------------
Food Products 1.1
- --------------------------------------------------------------------------------
Food & Staples Retailing 1.0
- --------------------------------------------------------------------------------
Health Care Providers & Services 0.9
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2004, and are based on net assets.
- --------------------------------------------------------------------------------
CREDIT ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Treasury 9.9%
Agency 49.4
AAA 16.3
AA 0.5
A 4.5
BBB 10.2
BB 1.7
Not Rated 7.5
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2004, and are based on total investments.
- --------------------------------------------------------------------------------
9 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES
- --------------------------------------------------------------------------------
Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. 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.
Please remember this Fund has a limited operating history.
CLASS A shares of the Fund were first publicly offered on 2/21/03. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%
CLASS B shares of the Fund were first publicly offered on 2/21/03. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 4% (since- inception). 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 2/21/03. 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 2/21/03. 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.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
10 | OPPENHEIMER TOTAL RETURN BOND FUND
FUND EXPENSES
- --------------------------------------------------------------------------------
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 October 31, 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
11 | OPPENHEIMER TOTAL RETURN BOND 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
(5/1/04) (10/31/04) OCTOBER 31, 2004
- --------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,038.10 $4.00
- --------------------------------------------------------------------------------
Class A Hypothetical 1,000.00 1,021.22 3.97
- --------------------------------------------------------------------------------
Class B Actual 1,000.00 1,033.50 8.47
- --------------------------------------------------------------------------------
Class B Hypothetical 1,000.00 1,016.84 8.40
- --------------------------------------------------------------------------------
Class C Actual 1,000.00 1,033.50 8.47
- --------------------------------------------------------------------------------
Class C Hypothetical 1,000.00 1,016.84 8.40
- --------------------------------------------------------------------------------
Class N Actual 1,000.00 1,036.10 5.90
- --------------------------------------------------------------------------------
Class N Hypothetical 1,000.00 1,019.36 5.85
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 184/366
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended October 31, 2004 are as follows:
CLASS EXPENSE RATIOS
- --------------------------------------------------------------------------------
Class A 0.78%
- --------------------------------------------------------------------------------
Class B 1.65
- --------------------------------------------------------------------------------
Class C 1.65
- --------------------------------------------------------------------------------
Class N 1.15
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Transfer Agent that can be terminated at any time, without advance
notice. The "Financial Highlights" tables in the Fund's financial statements,
included in this report, also show the gross expense ratios, without such
waivers or reimbursements.
12 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS October 31, 2004 / Unaudited
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--15.8%
- -----------------------------------------------------------------------------------------------------------------------------
Bank One Auto Securitization Trust, Automobile Receivable Certificates,
Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 93,041 $ 92,858
- -----------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A,
Cl. A2, 1.88%, 10/25/06 240,000 239,508
- -----------------------------------------------------------------------------------------------------------------------------
Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.,
Series 2002-3, Cl. A2A, 3.05%, 9/15/05 46,485 46,558
- -----------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2003-C, Cl. AF1, 2.14%, 7/25/18 127,791 127,631
Series 2004-A, Cl. AF1, 2.03%, 6/25/19 79,130 78,980
Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1 108,135 108,154
- -----------------------------------------------------------------------------------------------------------------------------
Chase Funding Mortgage Loan Asset-Backed Certificates,
Home Equity Mtg. Obligations:
Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 50,794 50,883
Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 123,850 123,926
Series 2003-3, Cl. 1A1, 2.013%, 8/25/17 2 4,963 4,966
Series 2003-4, Cl. 1A1, 2.053%, 9/25/17 2 42,521 42,546
Series 2003-4, Cl. 1A2, 2.138%, 7/25/18 80,000 79,773
Series 2004-1, Cl. 2A1, 2.043%, 9/25/21 2 240,754 240,884
- -----------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through
Certificates:
Series 2002-A, Cl. A4, 4.24%, 9/15/08 57,555 58,152
Series 2003-A, Cl. A2, 1.26%, 1/16/06 8,587 8,589
Series 2003-B, Cl. A2, 1.28%, 3/15/06 26,931 26,919
- -----------------------------------------------------------------------------------------------------------------------------
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 1 170,000 169,973
- -----------------------------------------------------------------------------------------------------------------------------
CIT Group Home Equity Loan Trust, Home Equity Loan Asset-Backed
Certificates, Series 2003-1, Cl. A2, 2.35%, 4/20/27 119,767 119,612
- -----------------------------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2002-A3, Cl. A3, 4.40%, 5/15/07 160,000 161,826
- -----------------------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized
Mtg. Obligations:
Series 2003-2, Cl. AF1, 2.033%, 5/25/33 2 15,795 15,804
Series 2003-3, Cl. AF1, 2.053%, 8/25/33 2 55,200 55,234
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations,
Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 1 269,000 269,000
- -----------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2002-A, Cl. A3, 3.85%, 4/6/06 93,159 93,349
Series 2003-A, Cl. A2, 1.52%, 12/8/05 115,378 115,386
Series 2003-B, Cl. A2, 1.61%, 7/10/06 309,587 309,284
Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 90,000 90,066
- -----------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2004-A, Cl. A2, 2.13%, 10/15/06 350,000 349,526
- -----------------------------------------------------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/15/07 1 3,886 3,886
Series 2003-3, Cl. A1, 1.50%, 1/15/08 139,494 139,138
13 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- -----------------------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2003-1, Cl. A3, 1.92%, 11/20/06 $ 208,251 $ 208,006
Series 2003-2, Cl. A2, 1.34%, 12/21/05 28,404 28,407
Series 2003-3, Cl. A2, 1.52%, 4/21/06 186,298 186,102
Series 2003-4, Cl. A2, 1.58%, 7/17/06 235,417 235,075
- -----------------------------------------------------------------------------------------------------------------------------
Household Automotive Trust, Automobile Loan Certificates,
Series 2003-2, Cl. A2, 1.56%, 12/18/06 107,299 107,154
- -----------------------------------------------------------------------------------------------------------------------------
M&I Auto Loan Trust, Automobile Loan Certificates:
Series 2002-1, Cl. A3, 2.49%, 10/22/07 102,483 102,634
Series 2003-1, Cl. A2, 1.60%, 7/20/06 314,081 313,808
- -----------------------------------------------------------------------------------------------------------------------------
National City Auto Receivables Trust, Automobile Receivable Obligations,
Series 2004-A, Cl. A2, 1.50%, 2/15/07 160,000 159,592
- -----------------------------------------------------------------------------------------------------------------------------
Nissan Auto Lease Trust, Automobile Lease Obligations:
Series 2003-A, Cl. A2, 1.69%, 12/15/05 79,560 79,598
Series 2004-A, Cl. A2, 2.55%, 1/15/07 150,000 149,897
- -----------------------------------------------------------------------------------------------------------------------------
Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.:
Series 2002-A, Cl. A4, 4.28%, 10/16/06 49,730 50,119
Series 2002-C, Cl. A3, 2.60%, 8/15/06 121,993 122,216
Series 2003-C, Cl. A2, 1.62%, 4/17/06 84,210 84,151
Series 2004-A, Cl. A2, 1.40%, 7/17/06 180,000 179,452
- -----------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Home Equity Mtg. Obligations,
Series 2004-3, Cl. A2, 1.99%, 11/25/34 1,2 110,000 110,069
- -----------------------------------------------------------------------------------------------------------------------------
Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 20,976 21,049
Series 2003-B, Cl. A2, 1.43%, 2/15/06 96,755 96,724
- -----------------------------------------------------------------------------------------------------------------------------
USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 42,060 42,113
Series 2003-1, Cl. A2, 1.22%, 4/17/06 15,483 15,487
Series 2004-1, Cl. A2, 1.43%, 9/15/06 430,000 428,912
Series 2004-2, Cl. A2, 2.41%, 2/15/07 190,000 190,015
- -----------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities,
Series 2004-A, Cl. A2, 2.47%, 1/22/07 190,000 189,814
- -----------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates:
Series 2003-1, Cl. A2, 1.11%, 12/20/05 77,563 77,534
Series 2003-2, Cl. A2, 1.55%, 6/20/06 134,087 133,910
- -----------------------------------------------------------------------------------------------------------------------------
Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B,
Cl. A2, 2.40%, 5/21/07 140,000 139,916
- -----------------------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 305,568 305,239
- -----------------------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2002-1, Cl. A3, 2.60%, 8/15/06 279,342 279,862
Series 2003-1, Cl. A2A, 1.40%, 4/15/06 243,033 242,752
Series 2004-1, Cl. A2A, 2.59%, 5/15/07 3 190,000 190,000
-------------
Total Asset-Backed Securities (Cost $7,701,323) 7,692,018
14 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--70.4%
- -----------------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--62.1%
- -----------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--61.9%
Federal Home Loan Mortgage Corp.:
5%, 12/1/34 3 $ 2,129,000 $ 2,117,691
5.50%, 1/1/34 104,351 106,445
5.50%, 11/1/34-12/1/34 3 1,356,000 1,379,291
6.50%, 11/1/28 117,649 124,069
7%, 11/1/32-11/1/33 446,024 474,450
7%, 10/1/31-11/1/34 3 3,600,724 3,823,096
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd.
Multiclass Mtg. Participation Certificates, Series 2046, Cl. G, 6.50%, 4/15/28 724,271 753,715
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations,
Structured Pass-Through Securities, Series T-42, Cl. A2, 5.50%, 2/25/42 1 8 8
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 50,585 51,115
Series 2034, Cl. Z, 6.50%, 2/15/28 92,130 95,942
Series 2053, Cl. Z, 6.50%, 4/15/28 103,639 108,160
Series 2055, Cl. ZM, 6.50%, 5/15/28 118,481 123,604
Series 2075, Cl. D, 6.50%, 8/15/28 281,202 293,627
Series 2080, Cl. Z, 6.50%, 8/15/28 79,724 82,485
Series 2387, Cl. PD, 6%, 4/15/30 168,460 174,816
Series 2466, Cl. PD, 6.50%, 4/15/30 67,582 68,120
Series 2498, Cl. PC, 5.50%, 10/15/14 21,789 22,037
Series 2500, Cl. FD, 2.37%, 3/15/32 2 45,033 45,155
Series 2526, Cl. FE, 2.27%, 6/15/29 2 41,310 41,576
Series 2551, Cl. FD, 2.27%, 1/15/33 2 34,686 34,890
Series 2551, Cl. TA, 4.50%, 2/15/18 65,210 65,238
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 176, Cl. IO, (2.40)%, 6/1/26 4 79,065 14,789
Series 183, Cl. IO, (3.052)%, 4/1/27 4 131,937 24,382
Series 184, Cl. IO, (0.711)%, 12/1/26 4 130,222 24,925
Series 192, Cl. IO, 1.541%, 2/1/28 4 35,938 6,242
Series 200, Cl. IO, 0.982%, 1/1/29 4 43,333 7,629
Series 2130, Cl. SC, 14.971%, 3/15/29 4 96,290 9,765
Series 2796, Cl. SD, 23.275%, 7/15/26 4 137,360 12,743
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 176, Cl. PO, 7.358%, 6/1/26 5 38,839 34,552
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 11/1/19 3 984,000 986,767
5%, 6/1/17-7/1/17 646,036 660,579
5%, 11/1/19-11/1/34 3 1,225,000 1,233,446
5.50%, 11/1/19-9/1/34 5,058,039 5,215,886
5.50%, 11/1/34 3 1,936,000 1,971,696
6%, 11/1/34 3 845,000 876,159
6.50%, 10/1/30 49,363 52,067
15 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.: Continued
6.50%, 11/1/34 3 $ 670,000 $ 704,547
7%, 7/1/32-7/1/34 965,599 1,026,950
7%, 11/1/34 3 5,044,000 5,356,098
8.50%, 7/1/32 8,906 9,692
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 215,338 226,912
Trust 1996-35, Cl. Z, 7%, 7/25/26 342,278 359,648
Trust 1998-63, Cl. PG, 6%, 3/25/27 47,722 48,047
Trust 2001-50, Cl. NE, 6%, 8/25/30 92,301 93,229
Trust 2001-70, Cl. LR, 6%, 9/25/30 87,855 89,780
Trust 2001-72, Cl. NH, 6%, 4/25/30 72,094 74,390
Trust 2001-74, Cl. PD, 6%, 5/25/30 31,893 32,401
Trust 2002-50, Cl. PD, 6%, 9/25/27 86,203 86,478
Trust 2002-77, Cl. WF, 2.289%, 12/18/32 2 55,789 56,046
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 138,275 138,819
Trust 2003-21, Cl. FK, 2.333%, 3/25/33 2 98,289 98,808
Trust 2003-81, Cl. PA, 5%, 2/25/12 42,233 42,515
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Trust 319, Cl. 2, (1.846)%, 2/1/32 4 91,078 16,677
Trust 2002-38, Cl. SO, 27.335%, 4/25/32 4 187,614 13,844
Trust 2002-47, Cl. NS, 16.262%, 4/25/32 4 178,048 17,263
Trust 2002-51, Cl. S, 16.591%, 8/25/32 4 163,503 15,854
Trust 2002-77, Cl. IS, 21.643%, 12/18/32 4 319,639 30,067
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 222, Cl. 2, (5.423)%, 6/1/23 4 253,804 45,173
Trust 240, Cl. 2, (2.683)%, 9/1/23 4 386,109 72,304
Trust 252, Cl. 2, (3.173)%, 11/1/23 4 199,208 39,353
Trust 254, Cl. 2, (0.384)%, 1/1/24 4 100,056 19,506
Trust 273, Cl. 2, (2.295)%, 7/1/26 4 57,011 10,003
Trust 321, Cl. 2, (7.439)%, 3/1/32 3,4 933,830 173,427
Trust 333, Cl. 2, 1.99%, 3/1/33 4 128,992 27,340
Trust 334, Cl. 17, (36.239)%, 2/1/33 4 156,349 26,981
Trust 2001-81, Cl. S, 22.192%, 1/25/32 4 100,186 10,635
Trust 2002-9, Cl. MS, 17.604%, 3/25/32 4 117,566 12,113
Trust 2002-52, Cl. SD, 13.708%, 9/25/32 4 215,245 20,052
Trust 2002-77, Cl. SH, 24.146%, 12/18/32 4 119,067 12,198
Trust 2004-54, Cl. DS, 25.719%, 11/25/30 4 192,273 16,654
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security, Trust 1993-184, Cl. M, 10.518%, 9/25/23 5 81,747 72,296
-------------
30,213,257
16 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.2%
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 2001-21, Cl. SB, 16.854%, 1/16/27 4 $ 303,162 $ 27,292
Series 2002-15, Cl. SM, 12.374%, 2/16/32 4 306,555 29,764
Series 2002-76, Cl. SY, 11.456%, 12/16/26 4 359,734 36,193
Series 2004-11, Cl. SM, 13.01%, 1/17/30 4 145,255 13,499
-------------
106,748
- -----------------------------------------------------------------------------------------------------------------------------
PRIVATE--8.3%
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL--8.2%
Bank of America Mortgage Securities, Inc., Collateralized Mtg.
Obligations Pass-Through Certificates:
Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 183,399 183,714
Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 183,722 183,316
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 323,864 337,246
Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 268,106 277,908
- -----------------------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 247,411 248,672
- -----------------------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations,
Series 2004-J9, Cl. 1A1, 2.113%, 10/25/34 2 249,773 249,675
- -----------------------------------------------------------------------------------------------------------------------------
First Union National Bank/Lehman Brothers/Bank of America Commercial
Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 110,000 119,743
- -----------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 217,222
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 120,000 122,673
- -----------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through
Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 93,380 100,550
- -----------------------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through
Certificates, Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 70,000 72,240
- -----------------------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 04-12,
l. 3A1, 4.593%, 12/25/34 420,000 420,000
- -----------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates, Series 2003-ML1A, Cl. A1, 3.972%, 3/12/39 151,931 152,406
- -----------------------------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg.
Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 251,558 252,726
- -----------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 130,000 142,454
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 212,518
- -----------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized Mtg.
Pass-Through Certificates, Series 2003-AR12, Cl. A2, 2.446%, 2/25/34 2 153,264 153,393
- -----------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations:
Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 344,862 345,832
Series 2004-W, Cl. A2, 4.641%, 11/25/34 230,000 230,925
-------------
4,023,213
17 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
OTHER--0.1%
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 $ 35,588 $ 35,585
-------------
Total Mortgage-Backed Obligations (Cost $34,311,551) 34,378,803
- -----------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--24.1%
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 2.75%, 10/15/06 6 370,000 369,922
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts., 6.875%, 9/15/10 300,000 347,624
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 895,000 924,503
6.375%, 6/15/09 300,000 335,643
7.25%, 5/15/30 200,000 255,734
- -----------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
5.375%, 11/13/08 110,000 118,048
Series A, 6.79%, 5/23/12 1,833,000 2,130,626
Series C, 4.75%, 8/1/13 145,000 148,917
Series C, 6%, 3/15/13 140,000 156,526
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.375%, 2/15/31 487,000 529,099
5.50%, 8/15/28 165,000 179,747
6.875%, 8/15/25 1,310,000 1,664,008
STRIPS, 1.30%, 2/15/11 7 555,000 440,446
STRIPS, 3.81%, 2/15/13 7 1,389,000 993,013
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
2.50%, 9/30/06 2,175,000 2,173,897
3%, 2/15/08 870,000 873,025
4.25%, 11/15/13 143,000 145,950
-------------
Total U.S. Government Obligations (Cost $11,761,361) 11,786,728
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--0.2%
- -----------------------------------------------------------------------------------------------------------------------------
United Mexican States Nts., 7.50%, 1/14/12 (Cost $82,391) 75,000 85,388
- -----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--24.5%
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--7.2%
- -----------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.6%
Delphi Automotive Systems Corp., 6.50% Nts., 5/1/09 80,000 83,908
- -----------------------------------------------------------------------------------------------------------------------------
Lear Corp.:
7.96% Sr. Unsec. Nts., Series B, 5/15/05 85,000 87,256
8.11% Sr. Unsec. Nts., Series B, 5/15/09 95,000 109,193
-------------
280,357
18 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--1.9%
American Honda Finance Corp., 3.85% Nts., 11/6/08 8 $ 50,000 $ 50,499
- -----------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 175,000 180,429
- -----------------------------------------------------------------------------------------------------------------------------
Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 55,000 62,470
- -----------------------------------------------------------------------------------------------------------------------------
Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 105,000 117,744
- -----------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 7.25% Nts., 3/2/11 310,000 329,584
- -----------------------------------------------------------------------------------------------------------------------------
General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 15,000 15,652
- -----------------------------------------------------------------------------------------------------------------------------
Hertz Corp. (The), 6.35% Nts., 6/15/10 180,000 187,080
-------------
943,458
- -----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--0.7%
Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 75,000 82,831
- -----------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 39,000 42,169
- -----------------------------------------------------------------------------------------------------------------------------
Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 195,000 210,158
-------------
335,158
- -----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.8%
Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 90,000 99,000
- -----------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 85,000 94,988
- -----------------------------------------------------------------------------------------------------------------------------
Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 105,000 111,689
- -----------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 90,000 101,250
-------------
406,927
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA--2.2%
Clear Channel Communications, Inc., 8% Sr. Unsec. Nts., 11/1/08 3 205,000 233,271
- -----------------------------------------------------------------------------------------------------------------------------
Cox Communications, Inc., 6.40% Sr. Unsec. Nts., 8/1/08 145,000 156,066
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Media Corp., 3.50% Nts., 9/25/06 90,000 90,130
- -----------------------------------------------------------------------------------------------------------------------------
TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 220,000 283,866
- -----------------------------------------------------------------------------------------------------------------------------
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 90,000 115,526
- -----------------------------------------------------------------------------------------------------------------------------
Univision Communications, Inc.:
2.875% Sr. Unsec. Nts., 10/15/06 29,000 28,747
3.50% Sr. Unsec. Nts., 10/15/07 155,000 154,485
-------------
1,062,091
- -----------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.8%
Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 150,000 165,397
- -----------------------------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc., 8% Nts., 3/1/10 190,000 218,500
- -----------------------------------------------------------------------------------------------------------------------------
May Department Stores Co. (The), 3.95% Nts., 7/15/07 8 15,000 15,164
-------------
399,061
19 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.2%
Gap, Inc. (The), 6.90% Nts., 9/15/07 1 $ 80,000 $ 87,200
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--2.1%
- -----------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--1.0%
Food Lion, Inc., 7.55% Nts., 4/15/07 125,000 135,825
- -----------------------------------------------------------------------------------------------------------------------------
Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 135,000 150,272
- -----------------------------------------------------------------------------------------------------------------------------
Safeway, Inc., 2.50% Nts., 11/1/05 195,000 194,426
-------------
480,523
- -----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--1.1%
ConAgra Foods, Inc., 6% Nts., 9/15/06 110,000 115,884
- -----------------------------------------------------------------------------------------------------------------------------
General Mills, Inc., 3.875% Nts., 11/30/07 170,000 172,505
- -----------------------------------------------------------------------------------------------------------------------------
Kraft Foods, Inc., 5.25% Nts., 6/1/07 230,000 241,064
-------------
529,453
- -----------------------------------------------------------------------------------------------------------------------------
ENERGY--0.7%
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--0.7%
Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 105,000 117,338
- -----------------------------------------------------------------------------------------------------------------------------
Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 90,000 99,840
- -----------------------------------------------------------------------------------------------------------------------------
Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 60,000 74,100
- -----------------------------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 63,521 62,565
-------------
353,843
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIALS--6.2%
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.1%
Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 15,000 16,893
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.3%
Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 3,000 3,069
- -----------------------------------------------------------------------------------------------------------------------------
National City Bank, 6.20% Sub. Nts., 12/15/11 15,000 16,660
- -----------------------------------------------------------------------------------------------------------------------------
SunTrust Banks, Inc.:
4% Nts., 10/15/08 115,000 117,077
7.75% Unsec. Sub. Nts., 5/1/10 10,000 11,795
-------------
148,601
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--2.7%
Allstate Life Global Funding II, 3.50% Nts., 7/30/07 60,000 60,381
- -----------------------------------------------------------------------------------------------------------------------------
American Express Centurion Bank, 4.375% Nts., 7/30/09 250,000 256,826
- -----------------------------------------------------------------------------------------------------------------------------
CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 75,000 89,409
- -----------------------------------------------------------------------------------------------------------------------------
Franklin Resources, Inc., 3.70% Nts., 4/15/08 50,000 50,361
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 140,000 154,723
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 20,000 21,920
- -----------------------------------------------------------------------------------------------------------------------------
MBNA America Bank NA, 5.375% Nts., 1/15/08 170,000 179,259
20 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Merrill Lynch & Co., Inc., 4.125% Nts., 9/10/09 $ 210,000 $ 211,623
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley, 6.60% Nts., 4/1/12 70,000 79,011
- -----------------------------------------------------------------------------------------------------------------------------
Volkswagen Credit, Inc., 2.33% Nts., 7/21/05 2,8 220,000 220,025
-------------
1,323,538
- -----------------------------------------------------------------------------------------------------------------------------
INSURANCE--1.7%
Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 8 40,000 40,863
- -----------------------------------------------------------------------------------------------------------------------------
AXA, 8.60% Unsec. Sub. Nts., 12/15/30 90,000 117,757
- -----------------------------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 50,000 49,253
- -----------------------------------------------------------------------------------------------------------------------------
John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 145,000 172,251
- -----------------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc., 5.375% Nts., 7/15/14 125,000 122,403
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 105,000 135,570
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 145,000 183,772
-------------
821,869
- -----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--1.4%
EOP Operating LP, 6.763% Sr. Unsec. Nts., 6/15/07 98,000 105,816
- -----------------------------------------------------------------------------------------------------------------------------
iStar Financial, Inc.:
4.875% Sr. Unsec. Nts., Series B, 1/15/09 90,000 91,964
8.75% Sr. Unsec. Nts., 8/15/08 65,000 75,470
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 115,000 118,876
- -----------------------------------------------------------------------------------------------------------------------------
Spieker Properties LP, 6.75% Unsec. Unsub. Nts., 1/15/08 80,000 87,613
- -----------------------------------------------------------------------------------------------------------------------------
Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 195,000 204,942
-------------
684,681
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--0.9%
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--0.9%
Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 190,000 200,353
- -----------------------------------------------------------------------------------------------------------------------------
CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 225,000 245,284
-------------
445,637
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--2.3%
- -----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.7%
Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 15,000 15,653
- -----------------------------------------------------------------------------------------------------------------------------
McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 26,000 27,902
- -----------------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 135,000 155,858
- -----------------------------------------------------------------------------------------------------------------------------
Raytheon Co., 6.50% Unsec. Nts., 7/15/05 120,000 123,173
-------------
322,586
21 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.4%
FedEx Corp., 2.65% Unsec. Nts., 4/1/07 $ 215,000 $ 212,475
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.3%
Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 85,000 90,525
- -----------------------------------------------------------------------------------------------------------------------------
Waste Management, Inc., 7% Sr. Nts., 7/15/28 70,000 78,354
-------------
168,879
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.6%
Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 8 75,000 78,730
- -----------------------------------------------------------------------------------------------------------------------------
Tyco International Group SA:
5.875% Unsec. Unsub. Nts., 11/1/04 21,000 21,000
6.375% Sr. Unsec. Unsub. Nts., 2/15/06 135,000 140,979
6.75% Sr. Unsub. Nts., 2/15/11 61,000 69,081
-------------
309,790
- -----------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.3%
Canadian National Railway Co., 4.25% Nts., 8/1/09 29,000 29,541
- -----------------------------------------------------------------------------------------------------------------------------
CSX Corp., 6.25% Unsec. Nts., 10/15/08 85,000 92,618
-------------
122,159
- -----------------------------------------------------------------------------------------------------------------------------
MATERIALS--0.1%
- -----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.1%
Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 39,000 39,411
- -----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.1%
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.8%
British Telecommunications plc:
7.875% Nts., 12/15/05 120,000 126,795
8.125% Nts., 12/15/10 100,000 121,496
- -----------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 34,000 39,270
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 125,000 150,768
- -----------------------------------------------------------------------------------------------------------------------------
France Telecom SA:
8.50% Sr. Unsec. Nts., 3/1/11 50,000 60,127
9.25% Sr. Unsec. Nts., 3/1/31 2 55,000 74,466
- -----------------------------------------------------------------------------------------------------------------------------
Sprint Capital Corp.:
7.125% Sr. Unsec. Nts., 1/30/06 100,000 105,212
8.75% Nts., 3/15/32 80,000 105,145
- -----------------------------------------------------------------------------------------------------------------------------
Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 85,000 85,961
-------------
869,240
- -----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.3%
AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 140,000 154,411
22 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
UTILITIES--2.9%
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--2.5%
CenterPoint Energy, Inc.:
5.875% Sr. Nts., 6/1/08 $ 105,000 $ 110,657
8.125% Unsec. Nts., Series B, 7/15/05 50,000 51,860
- -----------------------------------------------------------------------------------------------------------------------------
Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 26,000 26,344
- -----------------------------------------------------------------------------------------------------------------------------
Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 80,000 95,339
- -----------------------------------------------------------------------------------------------------------------------------
DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 100,000 105,087
- -----------------------------------------------------------------------------------------------------------------------------
Duke Capital LLC, 5.668% Nts., 8/15/14 120,000 124,491
- -----------------------------------------------------------------------------------------------------------------------------
FirstEnergy Corp.:
5.50% Sr. Unsub. Nts., Series A, 11/15/06 90,000 93,693
7.375% Sr. Unsub. Nts., Series C, 11/15/31 105,000 120,014
- -----------------------------------------------------------------------------------------------------------------------------
IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,2 100,000 112,250
- -----------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 130,000 139,333
- -----------------------------------------------------------------------------------------------------------------------------
PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 95,000 102,125
- -----------------------------------------------------------------------------------------------------------------------------
TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 65,000 76,538
- -----------------------------------------------------------------------------------------------------------------------------
Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 85,000 92,126
-------------
1,249,857
- -----------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.4%
NiSource Finance Corp.:
3.20% Nts., 11/1/06 30,000 29,974
7.875% Sr. Unsec. Nts., 11/15/10 125,000 148,561
-------------
178,535
-------------
Total Corporate Bonds and Notes (Cost $11,731,225) 11,946,633
- -----------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--9.5%
- -----------------------------------------------------------------------------------------------------------------------------
Undivided interest of 0.78% in joint repurchase agreement (Principal Amount/Value
$595,058,000, with a maturity value of $595,147,755) with UBS Warburg LLC, 1.81%,
dated 10/29/04, to be repurchased at $4,627,698 on 11/1/04, collateralized by Federal
National Mortgage Assn., 5.50%, 1/1/34--4/1/34, with a value of
$607,720,116 (Cost $4,627,000) 4,627,000 4,627,000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $70,214,851) 144.5% 70,516,570
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (44.5) (21,717,668)
---------------------------
NET ASSETS 100.0% $ 48,798,902
===========================
23 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Illiquid security. See Note 7 of Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. When-issued security or forward commitment to be delivered and settled after
October 31, 2004. See Note 1 of Notes to Financial Statements.
4. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $786,667 or 1.61% of the Fund's net assets as
of October 31, 2004.
5. 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 $106,848 or 0.22% of the Fund's net assets as of
October 31, 2004.
6. 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 $199,958. See Note 5 of Notes to Financial Statements.
7. Zero coupon bond reflects effective yield on the date of purchase.
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 $959,439 or 1.97% of the Fund's net assets
as of October 31, 2004.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
24 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
October 31, 2004
- --------------------------------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------------------------------
Investments, at value (cost $70,214,851)--see accompanying statement of investments $70,516,570
- --------------------------------------------------------------------------------------------------------
Cash 611,700
- --------------------------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 3,528
- --------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $5,890,305 sold on a when-issued basis or forward commitment) 6,117,907
Interest, dividends and principal paydowns 375,500
Shares of beneficial interest sold 168,725
Futures margins 9,032
Other 1,174
-----------
Total assets 77,804,136
- --------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $28,175,918 purchased on a when-issued basis
or forward commitment) 28,874,910
Dividends 79,911
Shareholder communications 15,755
Shares of beneficial interest redeemed 7,904
Transfer and shareholder servicing agent fees 4,697
Distribution and service plan fees 4,448
Trustees' compensation 365
Other 17,244
-----------
Total liabilities 29,005,234
- --------------------------------------------------------------------------------------------------------
NET ASSETS $48,798,902
===========
- --------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 4,786
- --------------------------------------------------------------------------------------------------------
Additional paid-in capital 48,055,755
- --------------------------------------------------------------------------------------------------------
Accumulated net investment income 6,761
- --------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments 436,451
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 295,149
-----------
NET ASSETS $48,798,902
===========
25 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ---------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of $38,870,858 and
3,812,158 shares of beneficial interest outstanding) $10.20
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $10.71
- ---------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $3,703,339 and 363,192 shares of
beneficial interest outstanding) $10.20
- ---------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $4,624,902 and 453,711 shares of
beneficial interest outstanding) $10.19
- ---------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $1,599,803 and 156,879 shares of
beneficial interest outstanding) $10.20
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
26 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED OCTOBER 31, 2004
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 702,602
- --------------------------------------------------------------------------------
Fee income 271,562
----------
Total investment income 974,164
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 112,971
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 13,942
Class B 16,344
Class C 18,117
Class N 3,106
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 11,433
Class B 7,301
Class C 6,068
Class N 1,640
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 5,683
Class B 4,136
Class C 3,475
Class N 552
- --------------------------------------------------------------------------------
Legal, auditing and other professional fees 12,100
- --------------------------------------------------------------------------------
Trustees' compensation 3,599
- --------------------------------------------------------------------------------
Custodian fees and expenses 841
- --------------------------------------------------------------------------------
Other 8,063
----------
Total expenses 229,371
Less reduction to custodian expenses (520)
Less payments and waivers of expenses (22,528)
----------
Net expenses 206,323
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 767,841
27 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
- --------------------------------------------------------------------------------
Net realized gain on:
Investments $ 167,094
Closing of futures contracts 6,288
Swap contracts 982
----------
Net realized gain 174,364
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 710,460
Futures contracts 25,031
Swap contracts 28,379
----------
Net change in unrealized appreciation (depreciation) 763,870
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,706,075
==========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2004 APRIL 30,
(UNAUDITED) 2004
- -------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------
Net investment income $ 767,841 $ 995,619
- -------------------------------------------------------------------------------------------------------------------
Net realized gain 174,364 526,743
- -------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) 763,870 (695,353)
---------------------------------
Net increase in net assets resulting from operations 1,706,075 827,009
- -------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (657,185) (937,199)
Class B (43,452) (49,017)
Class C (48,268) (34,611)
Class N (19,718) (9,716)
- -------------------------------------------------------------------------------------------------------------------
Distributions from net realized gain:
Class A -- (179,397)
Class B -- (14,472)
Class C -- (10,826)
Class N -- (2,729)
- -------------------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from beneficial interest transactions:
Class A 2,588,702 8,253,430
Class B 738,092 2,136,318
Class C 1,603,981 2,587,144
Class N 738,090 821,065
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
Total increase 6,606,317 13,386,999
- -------------------------------------------------------------------------------------------------------------------
Beginning of period 42,192,585 28,805,586
---------------------------------
End of period (including accumulated net investment income
of $6,761 and $7,543, respectively) $ 48,798,902 $ 42,192,585
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2004 APRIL 30,
CLASS A (UNAUDITED) 2004 2003 1
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.08 $ 10.00
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 .28 .03
Net realized and unrealized gain (loss) .20 (.02) .08
-------------------------------------------------
Total from investment operations .38 .26 .11
- ---------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.18) (.29) (.03)
Distributions from net realized gain -- (.05) --
-------------------------------------------------
Total dividends and/or distributions to shareholders (.18) (.34) (.03)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 10.20 $ 10.00 $ 10.08
=================================================
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.81% 2.64% 1.14%
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 38,871 $ 35,522 $ 27,598
- ---------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 36,872 $ 32,578 $ 26,027
- ---------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.53% 2.78% 1.77%
Total expenses 0.78% 0.79% 1.29%
Expenses after payments and waivers and reduction
to custodian expenses N/A 4,5 0.73% 0.90%
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 45% 6 131% 7 77%
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value on the business day before the first
day of the fiscal period, with all dividends and distributions reinvested in
additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods of less than one full year. Returns do not reflect the deduction of
taxes a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of management fees less than 0.01%.
6. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $141,567,145 and $140,008,148,
respectively.
7. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $51,383,611 and $65,310,686,
respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER TOTAL RETURN BOND FUND
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2004 APRIL 30,
CLASS B (UNAUDITED) 2004 2003 1
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.08 $ 10.00
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .13 .19 .02
Net realized and unrealized gain (loss) .20 (.02) .08
-------------------------------------------------
Total from investment operations .33 .17 .10
- ---------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.13) (.20) (.02)
Distributions from net realized gain -- (.05) --
-------------------------------------------------
Total dividends and/or distributions to shareholders (.13) (.25) (.02)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 10.20 $ 10.00 $ 10.08
=================================================
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.35% 1.69% 0.97%
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 3,703 $ 2,896 $ 798
- ---------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 3,253 $ 2,444 $ 340
- ---------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 2.65% 1.91% 0.85%
Total expenses 2.21% 2.20% 2.36%
Expenses after payments and waivers and reduction
to custodian expenses 1.65% 1.65% 1.65%
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 45% 4 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value on the business day before the first
day of the fiscal period, with all dividends and distributions reinvested in
additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods of less than one full year. Returns do not reflect the deduction of
taxes a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $141,567,145 and $140,008,148,
respectively.
5. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $51,383,611 and $65,310,686,
respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2004 APRIL 30,
CLASS C (UNAUDITED) 2004 2003 1
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.99 $ 10.08 $ 10.00
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .13 .19 .02
Net realized and unrealized gain (loss) .20 (.03) .08
-------------------------------------------------
Total from investment operations .33 .16 .10
- ---------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.13) (.20) (.02)
Distributions from net realized gain -- (.05) --
-------------------------------------------------
Total dividends and/or distributions to shareholders (.13) (.25) (.02)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 10.19 $ 9.99 $ 10.08
=================================================
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.35% 1.60% 0.96%
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 4,625 $ 2,943 $ 388
- ---------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 3,613 $ 1,679 $ 126
- ---------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 2.65% 1.95% 0.59%
Total expenses 2.12% 2.12% 2.28%
Expenses after payments and waivers and reduction
to custodian expenses 1.65% 1.65% 1.65%
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 45% 4 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value on the business day before the first
day of the fiscal period, with all dividends and distributions reinvested in
additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods of less than one full year. Returns do not reflect the deduction of
taxes a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $141,567,145 and $140,008,148,
respectively.
5. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $51,383,611 and $65,310,686,
respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER TOTAL RETURN BOND FUND
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2004 APRIL 30,
CLASS N (UNAUDITED) 2004 2003 1
- --------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.08 $ 10.00
- --------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .16 .24 .03
Net realized and unrealized gain (loss) .20 (.02) .08
-------------------------------------------------
Total from investment operations .36 .22 .11
- --------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.16) (.25) (.03)
Distributions from net realized gain -- (.05) --
-------------------------------------------------
Total dividends and/or distributions to shareholders (.16) (.30) (.03)
- --------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 10.20 $ 10.00 $ 10.08
=================================================
- --------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.61% 2.20% 1.08%
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 1,600 $ 831 $ 22
- --------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 1,241 $ 386 $ 6
- --------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.15% 2.40% 1.50%
Total expenses 1.45% 1.34% 2.63%
Expenses after payments and waivers and reduction
to custodian expenses 1.15% 1.15% 1.15%
- --------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 45% 4 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to April
30, 2003.
2. Assumes an investment at net asset value on the business day before the first
day of the fiscal period, with all dividends and distributions reinvested in
additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods of less than one full year. Returns do not reflect the deduction of
taxes a shareholder would pay on Fund distributions or the redemption of Fund
shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $141,567,145 and $140,008,148,
respectively.
5. The portfolio turnover rate excludes purchase and sales transactions of To Be
Announced (TBA) mortgage-related securities of $51,383,611 and $65,310,686,
respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Total Return Bond Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek to maximize total return through both
capital appreciation and income. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager).
The Fund offers Class A, Class B, Class C and Class N shares. Class A
shares are sold at their offering price, which is normally net asset value plus
a front-end sales charge. As of October 31, 2004, the Manager owned 52% of the
Fund's shares. Class B, Class C and Class N shares are sold without a front-end
sales charge but may be subject to a contingent deferred sales charge (CDSC).
Class N shares are sold only through retirement plans. Retirement plans that
offer Class N shares may impose charges on those accounts. All classes of shares
have identical rights and voting privileges 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. 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 with remaining maturities of sixty days or less are
valued at amortized cost (which approximates market value).
34 | OPPENHEIMER TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
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 October 31, 2004, the Fund had purchased
$28,175,918 of securities on a when-issued basis or forward commitment and sold
$5,890,305 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.
- --------------------------------------------------------------------------------
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
35 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
class. Operating expenses directly attributable to a specific class are charged
against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
As of October 31, 2004, the Fund had no capital loss carryforward
available for federal income tax purposes. During the year ended April 30, 2004,
the Fund had no capital loss carryforwards to offset realized capital gains.
As of April 30, 2004, the Fund had available for federal income tax
purposes post-October losses of $78,136.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income distributions, if any, are declared
daily and paid monthly. Capital gain distributions, if any, are declared and
paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. Custodian Fees and Expenses in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. The Fund pays interest to its custodian on
such cash overdrafts at a rate equal to the Federal Funds Rate plus 0.50%. The
Reduction to Custodian Expenses line item, if applicable, represents earnings on
cash balances maintained by the Fund during the period. Such interest expense
and other custodian fees may be paid with these earnings.
- --------------------------------------------------------------------------------
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
36 | OPPENHEIMER TOTAL RETURN BOND FUND
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 no par value shares of beneficial
interest of each class. Transactions in shares of beneficial interest were as
follows:
SIX MONTHS ENDED OCTOBER 31, 2004 YEAR ENDED APRIL 30, 2004
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
CLASS A
Sold 440,711 $ 4,417,448 1,097,321 $ 11,099,906
Dividends and/or
distributions reinvested 18,675 188,169 23,011 231,801
Redeemed (201,037) (2,016,915) (304,660) (3,078,277)
------------------------------------------------------------
Net increase 258,349 $ 2,588,702 815,672 $ 8,253,430
============================================================
- ------------------------------------------------------------------------------------------------
CLASS B
Sold 117,287 $ 1,177,474 338,504 $ 3,425,891
Dividends and/or
distributions reinvested 3,750 37,796 5,465 55,025
Redeemed (47,577) (477,178) (133,432) (1,344,598)
------------------------------------------------------------
Net increase 73,460 $ 738,092 210,537 $ 2,136,318
============================================================
- ------------------------------------------------------------------------------------------------
CLASS C
Sold 191,641 $ 1,927,038 299,731 $ 3,028,348
Dividends and/or
distributions reinvested 4,548 45,859 4,441 44,736
Redeemed (36,975) (368,916) (48,158) (485,940)
------------------------------------------------------------
Net increase 159,214 $ 1,603,981 256,014 $ 2,587,144
============================================================
- ------------------------------------------------------------------------------------------------
CLASS N
Sold 83,892 $ 840,428 97,335 $ 983,787
Dividends and/or
distributions reinvested 1,937 19,536 1,242 12,515
Redeemed (12,112) (121,874) (17,548) (175,237)
------------------------------------------------------------
Net increase 73,717 $ 738,090 81,029 $ 821,065
============================================================
- --------------------------------------------------------------------------------
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 six months
ended October 31, 2004, were $19,071,516 and $10,594,442, respectively. There
were purchases of $6,860,421 and sales of $5,984,001 of U.S. government and
government agency obligations for the six months ended October 31, 2004. In
addition, there were purchases of $141,567,145 and sales of $140,008,148 of To
Be Announced (TBA) mortgage-related securities for the six months ended October
31, 2004.
37 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
annual rate of 0.50% of the first $250 million of average annual net assets of
the Fund, 0.475% of the next $500 million, and 0.45% of average annual net
assets in excess of $750 million.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended October 31, 2004, the Fund paid
$22,912 to OFS for services to the Fund.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
quarterly at an annual rate of up to 0.25% of the average annual net assets of
Class A shares of the Fund. The Distributor currently uses 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 October 31,
2004 for Class B, Class C and Class N shares were $107,095, $64,599 and $35,306,
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
38 | OPPENHEIMER TOTAL RETURN BOND FUND
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
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------------
October 31, 2004 $28,405 $ -- $9,523 $351 $1,007
- --------------------------------------------------------------------------------
PAYMENTS AND WAIVERS OF EXPENSES. The Manager has voluntarily agreed to waive
management fees and/or reimburse expenses such that "Total Annual Operating
Expenses" will not exceed 0.90% for Class A shares, 1.65% for Class B shares,
1.65% for Class C shares and 1.15% for Class N shares, respectively. During the
six months ended October 31, 2004, the Manager reimbursed the Fund $1,130,
$9,291, $8,675 and $1,910 for Class A, Class B, Class C and Class N shares,
respectively. The voluntary waiver described above may be amended or withdrawn
at any time.
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 six months ended October 31, 2004, OFS waived $1,466 and $56 for
Class B and Class C shares, respectively. This undertaking may be amended or
withdrawn at any time.
- --------------------------------------------------------------------------------
5. 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
39 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS Continued
the Statement of Investments. The Statement of Assets and Liabilities reflects a
receivable and/or payable for the daily mark to market for variation margin.
Realized gains and losses are reported in the Statement of Operations as the
closing and expiration of futures contracts. The net change in unrealized
appreciation and depreciation is reported in 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 October 31, 2004, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF OCTOBER 31, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2004 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
U.S. Long Bonds 12/20/04 22 $2,504,563 $ 22,893
U.S. Treasury Nts., 10 yr. 12/20/04 34 3,861,125 30,723
-----------
53,616
-----------
CONTRACTS TO SELL
U.S. Treasury Nts., 2 yr. 12/30/04 44 9,317,688 (8,986)
U.S. Treasury Nts., 5 yr. 12/20/04 61 6,793,875 (54,728)
-----------
(63,714)
-----------
$ (10,098)
===========
- --------------------------------------------------------------------------------
6. TOTAL RETURN SWAP CONTRACTS
The Fund may enter into a total return swap transaction to maintain a total
return on a particular investment, or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as 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. Total return swaps are subject to risks (if the counterparty fails
to meet its obligations).
40 | OPPENHEIMER TOTAL RETURN BOND FUND
As of October 31, 2004, the Fund had entered into the following total return
swap agreements:
PAID BY RECEIVED BY
THE FUND AT THE FUND AT
NOTIONAL OCTOBER 31, OCTOBER 31, TERMINATION UNREALIZED
SWAP COUNTERPARTY AMOUNT 2004 2004 DATES APPRECIATION
- -------------------------------------------------------------------------------------------------------------
Value of
One-Month total return of
LIBOR less 50 Lehman Brothers
Deutsche Bank AG $370,000 basis points CMBS Index 1/1/05 $ 1,828
Value of
One-Month total return of
Goldman Sachs LIBOR Lehman Brothers
Capital Markets LP 370,000 BBA Rate CMBS Index 3/31/05 1,700
--------
$ 3,528
========
Index abbreviations are as follows:
CMBS Commercial Mortgage Backed Securities Markets
LIBOR London-Interbank Offered Rate
LIBOR BBA London-Interbank Offered Rate British Bankers Association
- --------------------------------------------------------------------------------
7. ILLIQUID SECURITIES
As of October 31, 2004, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund will not invest more than 15% of its net assets (determined at the time of
purchase and reviewed periodically) in illiquid securities. The aggregate value
of illiquid securities subject to this limitation as of October 31, 2004 was
$1,296,438, which represents 2.66% of the Fund's net assets.
- --------------------------------------------------------------------------------
8. 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 superseding consolidated and
amended complaint.
41 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. LITIGATION Continued
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.
42 | OPPENHEIMER TOTAL RETURN BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO 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.
43 | OPPENHEIMER TOTAL RETURN BOND FUND
ITEM 2. CODE OF ETHICS
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable to semiannual reports.
ITEM 5. NOT APPLICABLE
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable
ITEM 7. NOT APPLICABLE
ITEM 8. NOT APPLICABLE
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The Board is responsible for approving nominees for election as trustees.
To assist in this task, the Board has designated the Audit Committee as the
nominating committee for the Board. It reviews and recommends nominees to the
Board. The Committee is comprised entirely of disinterested trustees as defined
in Section 2(a)(19) of the Investment Company Act of 1940.
The Audit Committee charter describes the responsibilities of the
Committee in nominating candidates for election as independent Trustees of the
Registrant. The Registrant's Board has adopted a written charter for the
Committee. A current copy of the Audit Committee charter is available to
shareholders on the OppenheimerFunds website at www.oppenheimerfunds.com.
Under the current policy, if the Board determines that a vacancy exists or
is likely to exist on the Board, the Audit Committee of the Board will consider
candidates for Board membership including recommended by Registrant
shareholders. The Audit Committee will consider nominees recommended by
independent Board members or recommended by any other Board members including
Board members affiliated with the Registrant's investment advisors. The
Committee may, upon Board approval, retain an executive search firm to assist in
screening potential candidates. Upon Board approval, the Audit Committee may
also use the services of legal, financial, or other external counsel that it
deems necessary or desirable in the screening process. Shareholders wishing to
submit a nominee for election to the Board may do so by mailing their submission
to the offices of OppenheimerFunds, Inc., 6803 South Tucson Way, Centennial, CO
80112, to the attention of the Board of Trustees of the named Registrant, c/o
the Secretary of the Registrant.
The Committee's process for identifying and evaluating nominees for
trustees includes a number of factors. In screening candidates for board
membership, whether the candidate is suggested by Board members, shareholders or
others, the Committee considers the candidate's professional experience,
soundness of judgment, integrity, ability to make independent, analytical
inquiries, collegiality, willingness and ability to devote the time required to
perform Board activities adequately, ability to represent the interests of all
shareholders of the Registrant, and diversity relative to the board's
composition. Candidates are expected to provide a mix of attributes, experience,
perspective and skills necessary to effectively advance the interests of
shareholders.
ITEM 10. CONTROLS AND PROCEDURES
(a) Based on their evaluation of registrant's disclosure controls and
procedures (as defined in rule 30a-2(c) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(c)) as of October 31, 2004,
registrant's principal executive officer and principal financial
officer found registrant's disclosure controls and procedures to
provide reasonable assurances that information required to be
disclosed by registrant in the reports that it files under the
Securities Exchange Act of 1934 (a) is accumulated and communicated
to registrant's management, including its principal executive
officer and principal financial officer, to allow timely decisions
regarding required disclosure, and (b) is recorded, processed,
summarized and reported, within the time periods specified in the
rules and forms adopted by the U.S. Securities and Exchange
Commission.
(b) There have been no significant changes in registrant's internal
controls over financial reporting that occurred during the
registrant's last fiscal half-year that has materially affected, or
is reasonably likely to materially affect, the registrant's internal
control over financial reporting.
ITEM 11. EXHIBITS.
(A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT)(NOT
APPLICABLE TO SEMIANNUAL REPORTS)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)