UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
OPPENHEIMER STRATEGIC INCOME FUND
(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
(Address of principal executive offices) (Zip code)
ROBERT G. ZACK, ESQ.
OPPENHEIMERFUNDS, INC.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: SEPTEMBER 30
Date of reporting period: OCTOBER 1, 2004 - MARCH 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Media 3.6%
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Oil & Gas 2.9
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Hotels, Restaurants & Leisure 2.0
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Wireless Telecommunication Services 1.8
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Health Care Providers & Services 1.5
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Electric Utilities 1.4
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Diversified Telecommunication Services 1.3
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Chemicals 1.3
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Metals & Mining 1.2
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Containers & Packaging 1.1
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2005, and are based on net assets.
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PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Foreign Government Bonds 30.0%
Corporate Bonds 27.3
Government Agency Bonds 15.1
Derivatives 11.6
U.S. Government Bonds 6.1
Stocks 4.6
Other Bonds 3.6
Cash Equivalents 1.7
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2005, and are based on total investments. The Fund may invest without
limit in below investment-grade securities, which carry a greater risk that the
issue may default on principal or interest payments, and in foreign securities,
which entail higher expenses and risks, such as currency fluctuation.
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10 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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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.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower
prior to 2/1/93, so actual performance may have been higher.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the "since inception" return for Class
B uses Class A performance for the period after conversion. Class B shares are
subject to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the one-year
period Class N shares are subject to an annual 0.25% asset-based sales charge.
11 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
12 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended March 31, 2005.
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
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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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
(10/1/04) (3/31/05) MARCH 31, 2005
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Class A Actual $1,000.00 $1,043.40 $4.80
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Class A Hypothetical 1,000.00 1,020.24 4.75
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Class B Actual 1,000.00 1,039.50 8.68
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Class B Hypothetical 1,000.00 1,016.45 8.58
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Class C Actual 1,000.00 1,039.60 8.63
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Class C Hypothetical 1,000.00 1,016.50 8.53
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Class N Actual 1,000.00 1,041.10 7.15
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Class N Hypothetical 1,000.00 1,017.95 7.07
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Class Y Actual 1,000.00 1,044.40 4.19
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Class Y Hypothetical 1,000.00 1,020.84 4.14
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 182/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended March 31, 2005 are as follows:
CLASS EXPENSE RATIOS
- --------------------------
Class A 0.94%
- --------------------------
Class B 1.70
- --------------------------
Class C 1.69
- --------------------------
Class N 1.40
- --------------------------
Class Y 0.82
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.
14 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS March 31, 2005 / Unaudited
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PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
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ASSET-BACKED SECURITIES--3.0% (COST $214,736,748) $ 181,654,042 3.0%
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MORTGAGE-BACKED OBLIGATIONS--16.1%
Asset Securitization Corp., Commercial Mtg
Pass-Through Certificates, Series 1995-MD4, Cl. A5,
7.384%, 8/13/29 $ 19,255,000 20,547,197 0.3
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Fannie Mae Whole Loan, Collateralized Mtg
Obligations Pass-Through Certificates, Trust 2004-W9,
Cl. 2A2, 7%, 2/25/44 3,857,925 4,073,726 0.1
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Federal Home Loan Mortgage Corp.:
6%, 7/1/24-10/1/34 46,470,494 47,653,219 0.8
6.50%, 7/1/28-8/1/32 7,354,837 7,654,072 0.1
7%, 3/1/31-10/1/31 7,689,319 8,105,823 0.1
7%, 6/1/35 1 8,084,000 8,508,410 0.1
7.50%, 2/1/32 2,553,783 2,732,855 0.1
8.50%, 8/1/31 1,918,081 2,089,790 0.1
10%, 4/1/20-5/1/20 287,640 324,235 0.0
10.50%, 5/1/20 505,810 576,217 0.0
11.50%, 10/1/16 433,847 478,498 0.0
12%, 6/1/17 1,013,244 1,123,994 0.0
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Federal Home Loan Mortgage Corp., Gtd. Real Estate
Mtg. Investment Conduit Multiclass Pass-Through
Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 978,284 983,059 0.0
Series 2055, Cl. ZM, 6.50%, 5/15/28 2,961,330 3,070,587 0.1
Series 2080, Cl. Z, 6.50%, 8/15/28 1,903,525 1,969,683 0.0
Series 2387, Cl. PD, 6%, 4/15/30 3,698,467 3,796,261 0.1
Series 2410, Cl. NE, 6.50%, 9/15/30 4,458,622 4,502,815 0.1
Series 2423, Cl. PD, 6.50%, 11/15/30 1,677,380 1,679,435 0.0
Series 2430, Cl. GD, 6.50%, 11/15/30 1,583,447 1,586,301 0.0
Series 2430, Cl. ND, 6.50%, 1/15/31 4,159,972 4,177,977 0.1
Series 2466, Cl. PD, 6.50%, 4/15/30 368,624 368,966 0.0
Series 2498, Cl. PC, 5.50%, 10/15/14 448,009 451,175 0.0
Series 2500, Cl. FD, 3.31%, 3/15/32 2 1,439,852 1,445,778 0.0
Series 2526, Cl. FE, 3.21%, 6/15/29 2 1,620,773 1,629,755 0.0
Series 2550, Cl. QK, 4.50%, 4/15/22 1,227,358 1,229,870 0.0
Series 2551, Cl. FD, 3.21%, 1/15/33 2 1,295,692 1,306,198 0.0
Series 2583, Cl. KA, 5.50%, 3/15/22 6,393,775 6,471,274 0.1
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Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security:
Series 177, Cl. B, 4.61%, 7/1/26 3 5,048,863 1,028,554 0.0
Series 192, Cl. IO, 10.795%, 2/1/28 3 889,977 179,626 0.0
Series 200, Cl. IO, 10.725%, 1/1/29 3 1,092,391 227,661 0.0
Series 203, Cl. IO, (0.241)%, 6/1/29 3 4,062,559 865,285 0.0
Series 204, Cl. IO, (9.143)%, 5/1/29 3 327,744 71,095 0.0
Series 205, Cl. IO, 5.219%, 9/1/29 3 5,955,818 1,145,452 0.0
Series 206, Cl. IO, (17.59)%, 12/1/29 3 1,918,011 380,958 0.0
Series 207, Cl. IO, (25.01)%, 4/1/30 3 2,108,331 455,770 0.0
Series 208, Cl. IO, (8.16)%, 6/1/30 3 3,474,145 646,411 0.0
Series 212, Cl. IO, (18.503)%, 5/1/31 3 2,672,007 583,287 0.0
15 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
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MORTGAGE-BACKED OBLIGATIONS Continued
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security: Continued
Series 214, Cl. IO, (17.93)%, 6/1/31 3 $ 1,949,254 $ 396,510 0.0%
Series 2074, Cl. S, 15.027%, 7/17/28 3 1,128,950 141,245 0.0
Series 2079, Cl. S, 14.954%, 7/17/28 3 1,768,424 215,368 0.0
Series 2526, Cl. SE, 20.651%, 6/15/29 3 2,946,707 262,403 0.0
Series 2819, Cl. S, 14.399%, 6/15/34 3 28,353,988 2,425,979 0.1
Series 2920, Cl. S, 30.867%, 1/15/35 3 16,778,299 936,229 0.0
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Federal National Mortgage Assn.:
5%, 2/1/18-4/1/35 1 147,817,271 146,058,158 2.4
5.50%, 3/1/33-1/1/34 41,520,009 41,677,228 0.7
5.50%, 4/1/20-4/1/35 1 145,173,000 146,412,153 2.4
6%, 9/1/24 3,210,928 3,303,891 0.1
6%, 4/1/20-4/1/35 1 77,818,000 79,895,909 1.3
6.50%, 12/1/28-10/1/30 4,331,699 4,514,007 0.1
6.50%, 4/1/35 1 116,242,000 120,637,343 2.0
7%, 10/1/28-11/1/34 8,575,431 9,039,749 0.1
7%, 4/1/35 1 2,309,000 2,433,109 0.1
7.50%, 2/1/27 1,749,873 1,879,545 0.0
8.50%, 7/1/32 266,838 289,779 0.0
9.50%, 4/1/20-3/15/21 238,726 264,763 0.0
10.50%, 10/1/19 79,426 90,484 0.0
11%, 10/15/15-2/1/26 628,010 695,720 0.0
15%, 4/15/13 583,595 673,702 0.0
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Federal National Mortgage Assn. Grantor Trust,
Commercial Mtg. Obligations, Interest-Only Stripped
Mtg.-Backed Security, Trust 2001-T10, Cl. IO,
13.856%, 12/25/31 3,4 304,564,069 7,064,546 0.1
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Federal National Mortgage Assn., Collateralized
Mtg. Obligations, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1998-63, Cl. PG, 6%, 3/25/27 996,048 998,445 0.0
Trust 2001-50, Cl. LD, 6.50%, 5/25/30 525,620 526,327 0.0
Trust 2001-50, Cl. NE, 6%, 8/25/30 1,918,182 1,937,532 0.0
Trust 2001-70, Cl. LR, 6%, 9/25/30 1,887,458 1,924,045 0.0
Trust 2001-72, Cl. NH, 6%, 4/25/30 1,516,990 1,534,541 0.0
Trust 2001-74, Cl. PD, 6%, 5/25/30 636,431 645,091 0.0
Trust 2002-77, Cl. WF, 3.234%, 12/18/32 2 1,968,084 1,981,486 0.0
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 2,432,879 2,433,982 0.1
Trust 2003-10, Cl. HP, 5%, 2/25/18 6,060,000 5,995,608 0.1
Trust 2003-81, Cl. PA, 5%, 2/25/12 757,214 757,653 0.0
Trust 2004-101, Cl. BG, 5%, 1/25/20 3,993,000 3,963,635 0.1
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
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MORTGAGE-BACKED OBLIGATIONS Continued
Federal National Mortgage Assn., Collateralized Mtg
Obligations, Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, (16.569)%, 11/25/40 3 $ 33,033,540 $ 976,399 0.0%
Trust 2001-T4, Cl. IO, 2.86%, 7/25/41 3,4 55,906,858 2,052,262 0.1
Trust 2002-28, Cl. SA, 15.584%, 4/25/32 3 1,581,861 136,986 0.0
Trust 2002-38, Cl. SO, 15.955%, 4/25/32 3 1,334,664 82,978 0.0
Trust 2002-39, Cl. SD, 7.63%, 3/18/32 3 2,425,776 215,385 0.0
Trust 2002-48, Cl. S, 14.324%, 7/25/32 3 2,531,579 231,349 0.0
Trust 2002-52, Cl. SL, 14.518%, 9/25/32 3 1,575,962 144,482 0.0
Trust 2002-53, Cl. SK, 7.796%, 4/25/32 3 1,512,532 153,439 0.0
Trust 2002-56, Cl. SN, 16.61%, 7/25/32 3 3,470,417 321,233 0.0
Trust 2002-77, Cl. IS, 13.641%, 12/18/32 3 2,273,872 211,633 0.0
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Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 221, Cl. 2, 2.55%, 5/1/23 3 1,855,628 361,767 0.0
Trust 240, Cl. 2, 9.596%, 9/1/23 3 2,810,873 579,884 0.0
Trust 301, Cl. 2, 1.893%, 4/1/29 3 3,081,270 651,581 0.0
Trust 303, Cl. IO, 6.041%, 11/1/29 3 1,990,535 433,573 0.0
Trust 313, Cl. 2, (22.70)%, 7/1/31 3 9,427,698 2,127,662 0.1
Trust 321, Cl. 2, 1.26%, 3/1/32 3 15,935,972 3,663,884 0.1
Trust 324, Cl. 2, (2.77)%, 6/1/32 3 10,817,459 2,395,760 0.1
Trust 333, Cl. 2, 8.23%, 3/1/33 3 6,865,860 1,656,605 0.0
Trust 338, Cl. 2, 8.343%, 6/1/33 3 5,668,677 1,366,614 0.0
Trust 2001-81, Cl. S, 17.217%, 1/25/32 3 2,318,881 213,868 0.0
Trust 2002-9, Cl. MS, 14.197%, 3/25/32 3 2,990,772 287,136 0.0
Trust 2002-65, Cl. SC, 15.93%, 6/25/26 3 4,733,546 431,839 0.0
Trust 2002-77, Cl. SH, 22.769%, 12/18/32 3 2,702,976 264,777 0.0
Trust 2005-40, Cl. SA, 0%, 5/25/35 1,3 27,000,000 1,573,594 0.0
Trust 2005-40, Cl. SB, 0%, 5/25/35 1,3 8,960,000 522,200 0.0
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Other Securities 229,801,053 3.8
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Total Mortgage-Backed Obligations (Cost $997,898,734) 986,985,377
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U.S. GOVERNMENT OBLIGATIONS--6.5%
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Fannie Mae Unsec. Nts., 3.69%, 10/5/07 5 56,845,000 51,253,044 0.8
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Federal Home Loan Mortgage Corp. Nts.,
3.75%, 7/15/09 [EUR] 10,869,000 14,476,877 0.2
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Federal Home Loan Mortgage Corp. Unsec. Nts.,
3.625%, 9/15/06 78,600,000 78,365,536 1.3
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Federal National Mortgage Assn. Unsec. Nts.:
1.80%, 5/27/05 12,419,000 12,395,727 0.2
6%, 5/15/08 6 15,044,000 15,817,788 0.3
6.625%, 9/15/09 79,906,000 86,896,497 1.4
7.25%, 5/15/30 6,436,000 8,322,829 0.1
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Resolution Funding Corp. STRIPS, 6.14%, 1/15/21 5 50,505,000 22,763,816 0.4
17 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- -----------------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
7.125%, 5/1/30 $ 2,773,000 $ 3,538,620 0.1%
Series A, 6.79%, 5/23/12 76,141,000 85,877,378 1.4
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Other Securities 17,496,214 0.3
---------------
Total U.S. Government Obligations (Cost $396,082,079) 397,204,326
- -----------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--32.0%
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ARGENTINA--1.1%
Argentina (Republic of) Bonds:
2.352%, 5/3/05 2 696,000 692,080 0.0
3.01%, 8/3/12 2 49,824,000 42,006,963 0.7
Series PRE8, 2%, 1/3/10 4,7,8 [ARP] 18,754,000 10,176,838 0.2
Series PR12, 2%, 1/3/16 4,7,8 [ARP] 12,712,891 6,004,975 0.1
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Argentina (Republic of) Unsec. Unsub. Bonds,
5.83%, 12/31/33 [ARP] 18,145,019 5,630,945 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 311,102 0.0
---------------
64,822,903
- -----------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.0%
Queensland Treasury Corp. Unsec. Nts., Series 09G,
6%, 7/14/09 [AUD] 78,453,000 61,149,873 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
AUSTRIA--1.0%
Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 34,899,000 59,333,231 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
BELGIUM--0.8%
Belgium (Kingdom of) Bonds, Series 26, 6.25%, 3/28/07 [EUR] 29,030,000 40,318,295 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 11,898,828 0.2
---------------
52,217,123
- -----------------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.7%
Brazil (Federal Republic of) Bonds:
8.75%, 2/4/25 31,180,000 29,309,200 0.5
10.50%, 7/14/14 6,296,000 6,941,340 0.1
Series 15 yr., 3.125%, 4/15/09 2 124,418 121,930 0.0
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Brazil (Federal Republic of) Debt Capitalization
Bonds, Series 20 yr., 8%, 4/15/14 57,203,943 56,810,666 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Unsec. Unsub. Bonds,
11%, 8/17/40 10,884,200 12,127,720 0.2
---------------
105,310,856
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BULGARIA--0.3% 16,528,860 0.3
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CANADA--0.2% 14,142,871 0.2
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COLOMBIA--0.7% 43,644,756 0.7
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DOMINICAN REPUBLIC--0.2% 9,851,463 0.2
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ECUADOR--0.2% 13,139,693 0.2
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1% $ 4,729,760 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
FINLAND--0.1% 3,751,560 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
FRANCE--2.3%
France (Government of) Obligations Assimilables
du Tresor Bonds:
5.50%, 10/25/10 [EUR] 10,787,700 14,959,144 0.2
5.50%, 10/25/10 [EUR] 4,968,000 7,200,551 0.1
5.75%, 10/25/32 [EUR] 24,497,000 40,256,685 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,080,371 0.0
5 yr., 5%, 7/12/05 [EUR] 41,012,000 53,586,256 0.9
5 yr., 5%, 1/12/06 [EUR] 19,570,000 25,915,416 0.4
---------------
142,998,423
- -----------------------------------------------------------------------------------------------------------------------------------
GERMANY--2.2%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 40,473,000 52,449,163 0.9
5.375%, 1/4/10 [EUR] 3,762,000 5,374,077 0.1
Series 02, 5%, 7/4/12 [EUR] 12,657,000 18,084,007 0.3
Series 140, 4.50%, 8/17/07 [EUR] 3,283,000 4,438,942 0.0
Series 143, 3.50%, 10/10/08 [EUR] 40,016,000 53,065,564 0.9
---------------
133,411,753
- -----------------------------------------------------------------------------------------------------------------------------------
GREECE--0.8%
Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 22,379,000 30,191,619 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 18,569,175 0.3
---------------
48,760,794
- -----------------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1% 4,609,021 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
HUNGARY--0.1% 7,728,333 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
ISRAEL--0.5% 27,972,514 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
ITALY--1.2%
Italy (Republic of) Treasury Bonds:
Buoni del Tesoro Poliennali, 4.50%, 3/1/07 [EUR] 10,686,000 14,371,377 0.2
Buoni del Tesoro Poliennali, 4.75%, 7/1/05 [EUR] 6,390,000 8,335,669 0.2
Buoni del Tesoro Poliennali, 5%, 10/15/07 [EUR] 18,703,000 25,672,591 0.4
Buoni del Tesoro Poliennali, 5.25%, 12/15/05 [EUR] 20,376,000 26,936,796 0.4
---------------
75,316,433
- -----------------------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.0% 2,919,873 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
JAPAN--1.6%
Japan (Government of) Bonds, 5 yr., Series 14,
0.40%, 6/20/06 [JPY] 10,545,700,000 98,787,137 1.6
- -----------------------------------------------------------------------------------------------------------------------------------
MEXICO--1.0% 64,525,082 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND--0.2% 12,801,373 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1% 5,701,759 0.1
19 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
NORWAY--1.5%
Norway (Kingdom of) Bonds:
5.50%, 5/15/09 [NOK] 31,700,000 $ 5,427,868 0.1%
6%, 5/16/11 [NOK] 413,660,000 73,440,619 1.2
6.50%, 5/15/13 [NOK] 63,440,000 11,805,678 0.2
---------------
90,674,165
- -----------------------------------------------------------------------------------------------------------------------------------
PANAMA--0.6%
Panama (Republic of) Bonds, 9.375%, 1/16/23 17,502,000 19,689,750 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 15,471,075 0.3
---------------
35,160,825
- -----------------------------------------------------------------------------------------------------------------------------------
PERU--0.8%
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 5 56,124,120 33,131,752 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 17,479,659 0.3
---------------
50,611,411
- -----------------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.8%
Philippines (Republic of) Bonds, 9.50%, 2/2/30 21,985,000 21,545,300 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 25,682,515 0.4
---------------
47,227,815
- -----------------------------------------------------------------------------------------------------------------------------------
POLAND--0.8%
Poland (Republic of) Bonds, Series DS0509,
6%, 5/24/09 [PLZ] 111,325,000 35,983,089 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 13,525,087 0.2
---------------
49,508,176
- -----------------------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.4% 24,714,782 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
RUSSIA--1.9%
Aries Vermoegensverwaltungs GmbH Unsub. Nts.:
Series B, 7.75%, 10/25/09 4 [EUR] 5,880,000 8,601,185 0.1
Series C, 9.60%, 10/25/14 60,300,000 72,796,271 1.2
- -----------------------------------------------------------------------------------------------------------------------------------
Ministry Finance of Russia Debs., Series VI, 3%, 5/14/06 4 17,240,000 16,949,851 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Bonds, 5%, 3/31/30 2,9 5,262,000 5,433,015 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 2 13,929,250 14,301,300 0.2
---------------
118,081,622
- -----------------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA--0.6% 35,703,149 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
SPAIN--1.3%
Spain (Kingdom of) Bonds, Bonos y Obligacion
del Estado, 5.75%, 7/30/32 [EUR] 19,900,000 32,626,966 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 2.02%,
6/17/05 5 [EUR] 34,730,000 44,820,487 0.7
---------------
77,447,453
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
SWEDEN--2.0%
Sweden (Kingdom of) Bonds:
Series 1043, 5%, 1/28/09 [SEK] 83,065,000 $ 12,587,797 0.2%
Series 1045, 5.25%, 3/15/11 [SEK] 716,810,000 111,641,873 1.8
---------------
124,229,670
- -----------------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.4%
Netherlands (Kingdom of the) Bonds, 5.50%,
1/15/28 [EUR] 16,529,000 25,861,715 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
TURKEY--0.7%
Turkey (Republic of) Nts., 7.25%, 3/15/15 23,202,000 22,795,965 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 18,961,475 0.3
---------------
41,757,440
- -----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.4%
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 79,104,000 145,899,246 2.4
- -----------------------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.3% 18,723,348 0.3
---------------
Total Foreign Government Obligations (Cost $1,878,173,149) 1,959,756,261
- -----------------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.9%
Deutsche Bank AG:
Indonesia (Republic of) Rupiah Loan Participation
Nts., 3.813%, 1/25/06 2 23,680,000 23,746,304 0.4
OAO Gazprom Loan Participation Nts., 8.27%, 8/4/05 2,4 25,000,000 25,685,000 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 6,551,544 0.1
---------------
Total Loan Participations (Cost $54,731,879) 55,982,848
- -----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.1%
- -----------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--8.0%
Auto Components 52,360,744 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Automobiles 1,523,225 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 123,250,218 2.0
- -----------------------------------------------------------------------------------------------------------------------------------
Household Durables 37,668,314 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products 1,598,625 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Media 219,483,300 3.6
- -----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail 6,995,830 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Speciality Retail 27,418,006 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 20,039,266 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.1%
Beverages 3,434,375 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 10,052,417 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Food Products 44,503,992 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Household Products 7,902,300 0.1
21 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
ENERGY--3.3%
Energy Equipment & Services $ 23,375,338 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Oil & Gas
Gazprom International SA, 7.201% Sr. Unsec
Bonds, 2/1/20 $ 33,604,000 34,579,188 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 145,014,774 2.4
---------------
179,593,962
- -----------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--1.8%
Capital Markets 8,887,543 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 55,209,678 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 16,296,451 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate 23,689,475 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance 5,192,985 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.8%
Biotechnology 5,455,760 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 11,414,253 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 92,440,231 1.5
- -----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 1,580,650 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--2.5%
Aerospace & Defense 22,475,785 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Airlines 4,385,475 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Building Products 7,512,565 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies 42,243,037 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering 3,956,295 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment 4,765,905 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 275,550 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery 36,399,804 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Marine 16,410,268 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Road & Rail 7,891,840 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 5,804,280 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.2%
Communications Equipment 11,864,108 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals 2,260,965 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 14,497,128 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services 366,253 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
IT Services 10,432,973 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment 33,269,277 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
MATERIALS--4.4%
Chemicals 78,385,998 1.3
- -----------------------------------------------------------------------------------------------------------------------------------
Construction Materials 6,251,263 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging 69,427,891 1.1
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
MATERIALS Continued
Metals & Mining $ 72,517,106 1.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 43,273,307 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--3.0%
Diversified Telecommunication Services 79,969,933 1.3
- -----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 105,449,678 1.7
- -----------------------------------------------------------------------------------------------------------------------------------
UTILITIES--2.0%
Electric Utilities 82,850,750 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities 7,788,909 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 31,918,084 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Water Utilities 2,043,908 0.0
---------------
Total Corporate Bonds and Notes (Cost $1,808,839,308) 1,784,055,273
- -----------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.7% (COST $61,814,668) 41,821,274 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--4.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 4,8,10 $ 1,019,757 6,119 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
UnitedGlobalCom, Inc., Cl. A 8 2,177,452 20,598,649 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 237,336,421 3.9
---------------
Total Common Stocks (Cost $212,877,601) 257,941,189
- -----------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATIONS--0.1% (COST $1,680,361) 3,817,223 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--12.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman):
Russia (Government of) Linked Bonds, Series 24,
15%, 9/2/05 [RUR] 82,770,000 3,141,822 0.1
Turkey (Republic of) Credit Linked Nts., Series EMG 7,
15%, 2/10/10 [TRY] 22,503,000 16,638,078 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%,
11/17/09 [RUR] 222,859,000 8,102,786 0.1
Moscow (City of) Credit Linked Nts., Series Fbi 98,
11%, 4/23/09 [RUR] 211,810,000 8,287,484 0.1
Moscow (City of) Credit Linked Nts., Series Fbi 101,
10%, 12/31/10 [RUR] 202,590,000 8,147,980 0.1
OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 220,240,000 8,115,498 0.1
Russian Unified Energy Systems Credit Linked Nts.,
Series Fbi 108, 8.80%, 12/20/07 [RUR] 553,980,000 20,620,591 0.3
South African Rand Interest Bearing Linked Nts.,
Series FBi 43, 2.425%, 5/23/22 13,740,000 13,592,982 0.2
Ukraine (Republic of) Credit Linked Nts.,
Series EMG 13, 11.94%, 12/30/09 [UAH] 15,138,000 3,603,331 0.1
23 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc.:
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., 20%, 10/18/07 $ 2,663,000 $ 3,000,961 0.1%
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., Series EMG4, 18.70%, 7/6/06 [TRY] 13,546,521 8,143,037 0.1
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., Series EM 868, 27.50%, 8/25/05 17,926,488 16,865,240 0.3
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., Series EM 872, 25.85%, 10/20/05 2 3,153,815 3,408,942 0.1
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., Series EM 880, 20%, 10/18/07 9,297,912 11,599,238 0.2
(Nassau Branch), Turkey (Republic of) Credit Linked
Nts., Series NAS 316, 18.641%, 2/23/06 4,608,206 3,975,960 0.1
(Nassau Branch), Ukraine (Republic of) Credit Linked
Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,564,000 1,086,379 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Botswana (Republic of) Credit Linked Nts., 10.75%,
6/1/05 4 [BWP] 7,300,000 1,586,291 0.0
Brazil Real Credit Linked Nts., 9.638%, 3/3/10 [BRR] 32,168,840 5,783,162 0.1
European Investment Bank, Russian Federation
Credit Linked Nts., 5.65%, 1/19/10 5,340,000 3,954,003 0.1
Indonesia (Republic of) Credit Linked Nts., 9.50%,
6/22/15 5,810,000 5,380,060 0.1
Indonesia (Republic of) Credit Linked Nts.,
14.25%, 6/22/13 4 7,156,337 8,594,761 0.1
Indonesia (Republic of) Credit Linked Nts.,
Series II, 14.25%, 6/22/13 4 7,088,620 8,513,433 0.1
Indonesia (Republic of) Credit Linked Nts.,
Series III, 14.25%, 6/22/13 1 5,932,800 7,125,293 0.1
Moscow (City of) Linked Nts., 10%, 5/27/05 [RUR] 110,137,000 4,021,588 0.1
Moscow (City of) Linked Nts., 15%, 9/2/05 [RUR] 353,400,000 13,368,876 0.2
Nigeria (Federal Republic of) Credit Linked Nts.,
11%, 6/2/05 [NGN] 783,093,000 5,743,271 0.1
Nigeria (Federal Republic of) Credit Linked Nts.,
11%, 6/16/05 [NGN] 621,665,000 4,562,151 0.1
Nigeria (Federal Republic of) Credit Linked Nts.,
11.64%, 6/2/05 [NGN] 506,967,000 3,718,139 0.1
Nigeria (Federal Republic of) Credit Linked Nts.,
13%, 8/17/05 [NGN] 451,308,000 3,210,094 0.1
Nigeria (Federal Republic of) Credit Linked Nts.,
13.25%, 4/14/05 [NGN] 365,430,000 2,736,463 0.1
OAO Gazprom I Credit Nts., 6.20%, 10/20/07 7,145,000 7,726,907 0.1
OAO Gazprom II Credit Nts., 5.95%, 4/20/07 7,145,000 7,642,773 0.1
Philippines (Republic of) Credit Linked Nts.,
12%, 1/20/09 4 [PHP] 165,970,000 3,141,921 0.1
Philippines (Republic of) Credit Linked Nts.,
12.375%, 11/1/09 4 [PHP] 325,490,000 6,344,085 0.1
Philippines (Republic of) Credit Linked Nts.,
12.375%, 3/1/15 4 [PHP] 56,660,000 1,036,216 0.0
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
Romania (The State of) Credit Linked Nts.,
6%, 5/12/05 [ROL] 109,100,000,000 $ 3,835,361 0.1%
Romania (The State of) Credit Linked Nts.,
11.49%, 12/7/06 [ROL] 58,983,700,000 2,213,529 0.0
Russian Federation Credit Linked Nts.,
8.40%, 12/2/09 [RUR] 148,752,000 5,481,064 0.1
Ukraine (Republic of) Credit Linked Nts.,
6.57%, 8/5/11 35,010,000 37,844,760 0.6
Ukraine (Republic of) Credit Linked Nts.,
10.208%, 7/1/09 4 [UAH] 32,072,000 7,239,558 0.1
Ukraine (Republic of) Credit Linked Nts.,
11.70%, 5/31/06 [UAH] 13,119,000 2,643,840 0.0
Ukraine (Republic of) Credit Linked Nts.,
11.94%, 12/30/09 [UAH] 2,047,000 472,063 0.0
Ukraine (Republic of) Credit Linked Nts.,
11.94%, 12/30/09 [UAH] 7,254,000 1,672,859 0.0
Videocon International Ltd. Credit Linked Nts,
4.86%, 12/29/09 4 14,820,000 14,714,778 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through
Certificates:
Series 3-1, 7.75%, 12/29/09 9,11 79,623,000 77,831,483 1.3
Series 3-3, 8%, 12/29/09 9,11 95,438,000 92,813,455 1.5
- -----------------------------------------------------------------------------------------------------------------------------------
Other Securities 265,220,721 4.3
---------------
Total Structured Notes (Cost $739,685,431) 864,933,763,633 754,503,267
- -----------------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0% (COST $23,962) 23,152 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--1.6%
- -----------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 30.09% in joint repurchase agreement (Principal
Amount/Value $334,731,000, with a maturity value of $334,755,361) with Cantor
Fitzgerald & Co./ Cantor Fitzgerald Securities, 2.62%, dated 3/31/05, to be
repurchased at $100,719,330 on 4/1/05, collateralized by U.S. Treasury Bonds,
2.50%-3.625%, 5/31/06-7/15/09, with a value of $341,656,477 (Cost $100,712,000) 100,712,000 100,712,000 1.6
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments
Purchased with Cash Collateral from Securities Loaned)
(Cost $6,467,255,920) 6,524,456,232 106.5
25 | OPPENHEIMER STRATEGIC INCOME FUND
SUMMARY STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE PERCENT OF
AMOUNT SEE NOTE 1 NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.2% 12
- -----------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.1% $ 4,000,000 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--0.0%
Undivided interest of 0.68% in joint repurchase agreement (Principal
Amount/Value $500,000,000, with a maturity value of $500,040,972) with Merrill
Lynch Securities/ MLPFS, 2.95%, dated 3/31/05, to be repurchased at $3,392,958
on 4/1/05, collateralized by AA Asset-Backed Securities, 0.0%-7.76%,
6/15/09-1/25/45, with a value of $525,002,014 $ 3,392,680 3,392,680 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
MASTER FLOATING NOTE--0.0% 1,000,000 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
MEDIUM TERM FLOATING NOTE--0.1% 5,080,623 0.1
--------------------------------
Total Investments Purchased with Cash Collateral from
Securities Loaned (Cost $13,473,303) 13,473,303
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT, AT VALUE (COST $6,480,729,223) 6,537,929,535 106.7
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (410,173,662) (6.7)
--------------------------------
NET ASSETS $ 6,127,755,873 100.0%
================================
FOOTNOTES TO SUMMARY STATEMENT OF INVESTMENTS
"Other securities" are unaffiliated holdings that are not individually one of
the top 50 holdings of the Fund, do not individually represent more than 1% of
the Fund's net assets and are issued by an entity in which the Fund's aggregate
holdings of of securities issued by that entity do not represent more than 1% of
net assets.
The following footnotes to the summary statement of investments apply to either
the individual securities noted or one or more of the securities aggregated and
listed as a single line item.
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso NOK Norwegian Krone
AUD Australian Dollar PHP Philippines Peso
BRR Brazilian Real PLZ Polish Zloty
BWP Botswana Pula ROL Romanian Leu
EUR Euro RUR Russian Ruble
GBP British Pound Sterling SEK Swedish Krona
JPY Japanese Yen TRY New Turkish Lira
NGN Nigeria Naira UAH Ukraine Hryvnia
1. When-issued security or forward commitment to be delivered and settled after
March 31, 2005. See Note 1 of Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed repre-sent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $40,376,297 or 0.66% of the Fund's net assets
as of March 31, 2005.
4. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of March 31, 2005 was $364,647,655, which represents
5.95% of the Fund's net assets, of which $6,119 is considered restricted. In
addition, the
26 | OPPENHEIMER STRATEGIC INCOME FUND
Fund has restricted currency of $3,997,671, which represents 0.07% of the Fund's
net assets. See Note 12 of Notes to Financial Statements.
5. Zero coupon bond reflects effective yield on the date of purchase.
6. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
7. Issue is in default. See Note 1 of Notes to Financial Statements.
8. Non-income producing security.
9. 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 $538,903,764 or 8.79% of the Fund's net
assets as of March 31, 2005.
10. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended March 31, 2005.
The aggregate fair value of securities of affiliated companies held by the Fund
as of March 31, 2005 amounts to $6,119. Transactions during the period in which
the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2004 ADDITIONS REDUCTIONS MARCH 31, 2005
- --------------------------------------------------------------------------------
Prandium, Inc. 1,019,757 -- -- 1,019,757
UNREALIZED DIVIDEND
DEPRECIATION INCOME
- --------------------------------------------------------------------------------
Prandium, Inc. $ 11,979,881 $ --
11. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
12. The investments have been segregated to satisfy the forward commitment
to return the cash collateral received in securities lending transactions upon
the borrower's return of the securities loaned. See Note 13 of Notes to
Financial Statements.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
MARCH 31, 2005
- ---------------------------------------------------------------------------------------------------------
ASSETS
- ---------------------------------------------------------------------------------------------------------
Investments, at value (including securities loaned of approximately
$33,527,511) --see accompanying statement:
Unaffiliated companies (cost $6,468,743,223) $ 6,537,923,416
Affiliated companies (cost $11,986,000) 6,119
-----------------
6,537,929,535
- ---------------------------------------------------------------------------------------------------------
Cash 15,721,794
- ---------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $19,940,513) 19,911,333
- ---------------------------------------------------------------------------------------------------------
Collateral for securities loaned 20,487,368
- ---------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 20,717,029
- ---------------------------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 8,894,586
- ---------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $138,558,999 sold on a when-issued basis
or forward commitment) 154,508,308
Interest, dividends and principal paydowns 81,497,724
Shares of beneficial interest sold 9,022,081
Other 114,071
-----------------
Total assets 6,868,803,829
- ---------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------
Swaptions written, at value (premiums received $898,783) 767,076
- ---------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 33,960,671
- ---------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 13,480,791
- ---------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $581,972,672 purchased on a when-issued basis
or forward commitment) 663,609,354
Shares of beneficial interest redeemed 11,299,059
Closed foreign currency contracts 8,906,172
Distribution and service plan fees 3,744,309
Dividends 3,284,180
Transfer and shareholder servicing agent fees 667,904
Shareholder communications 656,407
Futures margins 264,766
Trustees' compensation 129,209
Other 278,058
-----------------
Total liabilities 741,047,956
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $ 6,127,755,873
=================
28 | OPPENHEIMER STRATEGIC INCOME FUND
- ---------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,448,389
- ---------------------------------------------------------------------------------------------------------
Additional paid-in capital 7,060,112,696
- ---------------------------------------------------------------------------------------------------------
Accumulated net investment loss (3,059,712)
- ---------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (1,009,062,775)
- ---------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies 78,317,275
-----------------
NET ASSETS $ 6,127,755,873
=================
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ---------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$4,281,377,891 and 1,012,287,589 shares of beneficial interest outstanding) $ 4.23
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $ 4.44
- ---------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$1,006,549,963 and 237,173,966 shares of beneficial interest outstanding) $ 4.24
- ---------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $736,420,940
and 174,466,729 shares of beneficial interest outstanding) $ 4.22
- ---------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $71,225,735
and 16,830,273 shares of beneficial interest outstanding) $ 4.23
- ---------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net
assets of $32,181,344 and 7,630,238 shares of beneficial interest outstanding) $ 4.22
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005
- ---------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------
Interest $ 167,227,089
- ---------------------------------------------------------------------------------------------------------
Fee income 5,547,640
- ---------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $149,078) 1,655,080
- ---------------------------------------------------------------------------------------------------------
Portfolio lending fees 144,965
-----------------
Total investment income 174,574,774
- ---------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------
Management fees 16,447,631
- ---------------------------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 5,206,689
Class B 5,420,597
Class C 3,655,005
Class N 153,395
- ---------------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 2,889,085
Class B 723,563
Class C 468,674
Class N 101,702
Class Y 480,554
- ---------------------------------------------------------------------------------------------------------
Shareholder communications:
Class A 322,717
Class B 108,862
Class C 50,370
Class N 11,548
Class Y 761
- ---------------------------------------------------------------------------------------------------------
Custodian fees and expenses 427,462
- ---------------------------------------------------------------------------------------------------------
Trustees' compensation 62,545
- ---------------------------------------------------------------------------------------------------------
Other 88,718
-----------------
Total expenses 36,619,878
Less reduction to custodian expenses (104,095)
Less waivers and reimbursements of expenses (354,101)
-----------------
Net expenses 36,161,682
- ---------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 138,413,092
30 | OPPENHEIMER STRATEGIC INCOME FUND
- ---------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ---------------------------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ 49,261,018
Closing of futures contracts (5,526,589)
Closing and expiration of option contracts written 1,598,129
Closing and expiration of swaption contracts written (1,106,727)
Foreign currency transactions 62,640,743
Swap contracts (28,731,804)
-----------------
Net realized gain 78,134,770
- ---------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation on:
Investments 305,498,697
Translation of assets and liabilities denominated in foreign currencies (262,252,287)
Futures contracts (2,236,539)
Option contracts written (1,567,809)
Swaption contracts written 515,661
Swap contracts 6,441,884
-----------------
Net change in unrealized appreciation 46,399,607
- ---------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 262,947,469
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPTEMBER 30,
(UNAUDITED) 2004
- ---------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------
Net investment income $ 138,413,092 $ 288,935,524
- ---------------------------------------------------------------------------------------------------------
Net realized gain 78,134,770 125,469,004
- ---------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) 46,399,607 106,949,202
-------------------------------------
Net increase in net assets resulting from operations 262,947,469 521,353,730
- ---------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ---------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (182,328,443) (192,285,670)
Class B (42,767,361) (57,497,267)
Class C (28,650,843) (28,954,074)
Class N (2,474,717) (1,737,495)
Class Y (5,176,242) (10,331,686)
- ---------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 166,648,402 102,366,894
Class B (159,518,737) (576,954,365)
Class C 26,946,621 (13,106,700)
Class N 18,559,209 21,566,186
Class Y (121,403,902) (97,360,343)
- ---------------------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------------------
Total decrease (67,218,544) (332,940,790)
- ---------------------------------------------------------------------------------------------------------
Beginning of period 6,194,974,417 6,527,915,207
-------------------------------------
End of period (including accumulated net investment income
(loss) of $(3,059,712) and $119,924,802, respectively) $ 6,127,755,873 $ 6,194,974,417
=====================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPT. 30,
CLASS A (UNAUDITED) 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18 $ 4.33
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 1 .20 .26 .32 .36 .43
Net realized and unrealized gain (loss) .08 .15 .43 (.08) (.43) (.17)
----------------------------------------------------------------------------------------
Total from investment operations .18 .35 .69 .24 (.07) .26
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.18) (.20) (.25) (.30) (.26) (.41)
Tax return of capital distribution -- -- -- (.02) (.13) --
----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.18) (.20) (.25) (.32) (.39) (.41)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.23 $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18
========================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 4.34% 8.73% 19.59% 6.63% (1.79)% 6.18%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $4,281,378 $4,117,666 $3,873,018 $3,202,825 $3,186,441 $3,431,763
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $4,260,146 $4,025,554 $3,521,307 $3,263,490 $3,349,859 $3,517,517
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.67% 4.69% 6.60% 7.91% 8.90% 9.98%
Total expenses 0.94% 4 0.95% 4,5 0.95% 4 1.01% 4 0.93% 4 0.95% 4
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 53% 6 90% 7 104% 117% 209% 136%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$3,412,344,867 and $3,594,875,272, respectively.
7. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPT. 30,
CLASS B (UNAUDITED) 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19 $ 4.34
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 1 .16 .22 .28 .33 .39
Net realized and unrealized gain (loss) .09 .15 .44 (.05) (.43) (.17)
----------------------------------------------------------------------------------------
Total from investment operations .17 .31 .66 .23 (.10) .22
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.17) (.17) (.22) (.28) (.24) (.37)
Tax return of capital distribution -- -- -- (.02) (.12) --
----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.17) (.17) (.22) (.30) (.36) (.37)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.24 $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19
========================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.95% 7.66% 18.62% 6.11% (2.53)% 5.37%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $1,006,550 $1,163,555 $1,686,295 $1,847,182 $2,186,638 $2,581,391
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,088,868 $1,424,322 $1,757,152 $2,056,449 $2,394,886 $2,907,627
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.91% 4.16% 5.92% 7.22% 8.14% 9.01%
Total expenses 1.70% 4 1.69% 4,5 1.68% 4 1.75% 4 1.68% 4 1.71% 4
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 53% 6 90% 7 104% 117% 209% 136%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distribu-tions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of less than
one full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$3,412,344,867 and $3,594,875,272, respectively.
7. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
34 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPT. 30,
CLASS C (UNAUDITED) 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 $ 4.32
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 1 .17 .23 .29 .33 .39
Net realized and unrealized gain (loss) .09 .15 .42 (.06) (.43) (.17)
----------------------------------------------------------------------------------------
Total from investment operations .17 .32 .65 .23 (.10) .22
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.17) (.17) (.22) (.28) (.24) (.37)
Tax return of capital distribution -- -- -- (.02) (.12) --
----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.17) (.17) (.22) (.30) (.36) (.37)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.22 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
========================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.96% 7.95% 18.45% 6.15% (2.54)% 5.39%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 736,421 $ 710,085 $ 698,196 $ 568,487 $ 553,399 $ 548,332
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 734,524 $ 716,206 $ 623,598 $ 571,292 $ 554,279 $ 568,742
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.93% 4.06% 5.85% 7.15% 8.15% 9.21%
Total expenses 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 1.68% 4 1.71% 4
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 53% 6 90% 7 104% 117% 209% 136%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distribu-tions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$3,412,344,867 and $3,594,875,272, respectively.
7. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
35 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPT. 30,
CLASS N (UNAUDITED) 2004 2003 2002 2001 1
- -------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.23 $ 4.08 $ 3.65 $ 3.72 $ 4.13
- -------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .09 2 .17 .25 .30 .22
Net realized and unrealized gain (loss) .08 .16 .42 (.05) (.41)
-----------------------------------------------------------------------------
Total from investment operations .17 .33 .67 .25 (.19)
- -------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.17) (.18) (.24) (.30) (.15)
Tax return of capital distribution -- -- -- (.02) (.07)
-----------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.17) (.18) (.24) (.32) (.22)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.23 $ 4.23 $ 4.08 $ 3.65 $ 3.72
=============================================================================
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 4.11% 8.28% 18.82% 6.70% (4.61)%
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 71,226 $ 52,969 $ 30,110 $ 15,508 $ 3,215
- -------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 62,018 $ 40,043 $ 22,627 $ 8,954 $ 1,348
- -------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 4.22% 4.19% 6.08% 7.07% 9.74%
Total expenses 1.41% 1.38% 1.34% 1.22% 0.98%
Expenses after payments and waivers and
reduction to custodian expenses 1.40% N/A 5,6 N/A 5 N/A 5 N/A 5
- -------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 53% 7 90% 8 104% 117% 209%
1. For the period from March 1, 2001 (inception of offering) to September 30,
2001.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distribu-tions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. Reduction to custodian expenses less than 0.01%.
6. Voluntary waiver of transfer agent fees less than 0.01%.
7. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$3,412,344,867 and $3,594,875,272, respectively.
8. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
36 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2005 SEPT. 30,
CLASS Y (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 $ 4.32
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 1 .21 .26 .32 .36 .46
Net realized and unrealized gain (loss) .09 .14 .42 (.06) (.42) (.19)
---------------------------------------------------------------------------------------
Total from investment operations .19 .35 .68 .26 (.06) .27
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.19) (.20) (.25) (.31) (.26) (.42)
Tax return of capital distribution -- -- -- (.02) (.14) --
---------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.19) (.20) (.25) (.33) (.40) (.42)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.22 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
=======================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 4.44% 8.80% 19.33% 7.06% (1.58)% 6.55%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 32,181 $ 150,699 $ 240,296 $ 152,767 $ 103,858 $ 75,748
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 92,381 $ 213,632 $ 194,308 $ 127,992 $ 94,400 $ 57,127
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.70% 4.80% 6.57% 7.86% 9.09% 11.39%
Total expenses 1.59% 1.29% 1.41% 1.74% 1.35% 0.83%
Expenses after payments and waivers and
reduction to custodian expenses 0.82% 0.90% 0.91% 0.90% 0.78% N/A 4
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 53% 5 90% 6 104% 117% 209% 136%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distribu-tions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$3,412,344,867 and $3,594,875,272, respectively.
6. The portfolio turnover rate excludes purchase transactions and sales
transactions of To Be Announced (TBA) mortgage-related securities of
$5,593,936,243 and $5,563,251,032, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
37 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities listed
or traded on National Stock Exchanges or other domestic or foreign exchanges are
valued based on the last sale price of the security traded on that exchange
prior to the time when the Fund's assets are valued. Securities traded on NASDAQ
are valued based on the closing price provided by NASDAQ prior to the time when
the Fund's assets are valued. In the absence of a sale, the security is valued
at the last sale price on the prior trading day, if it is within the spread of
the closing bid and asked prices, and if not, at the closing bid price.
Corporate, government and municipal debt instruments having a remaining maturity
in excess of sixty days and all mortgage-backed securities will be valued at the
mean between the "bid" and "asked" prices. Securities may be valued primarily
using dealer-supplied valuations or a portfolio pricing service authorized by
the Board of Trustees. Securities (including restricted securities) for which
market quotations are not readily available are valued at their fair value.
Foreign and domestic securities whose values have been materially affected by
what the Manager identifies as a significant event occurring before the Fund's
assets are valued but after the close of their respective exchanges will be fair
valued. Fair value is determined in good faith using consistently applied
procedures under the supervision of the Board of Trustees. Short-term "money
market type" debt securities
38 | OPPENHEIMER STRATEGIC INCOME FUND
with remaining maturities of sixty days or less are valued at amortized cost
(which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying financial statements. The Fund records a realized gain or loss when
a structured note is sold or matures. As of March 31, 2005, the market value of
these securities comprised 12.3% of the Fund's net assets and resulted in
unrealized cumulative gains of $14,817,836.
- --------------------------------------------------------------------------------
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 March 31, 2005, the Fund had purchased $581,972,672
of securities issued on a when-issued basis or forward commitment and sold
$138,558,999 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;
39 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
counterparty credit risk; and the potential pay down speed variance between the
mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of March 31, 2005, securities with an aggregate
market value of $68,071,561, representing 1.11% of the Fund's net assets, were
in default.
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of The New
York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day
the Exchange is open for business. Foreign exchange rates may be valued
primarily using dealer supplied valuations or a portfolio pricing service
authorized by the Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal. In the event of default by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such
40 | OPPENHEIMER STRATEGIC INCOME FUND
class. Operating expenses directly attributable to a specific class are charged
against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
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 March 31, 2005, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $978,096,454 expiring by
2013. This estimated capital loss carryforward represents carryforward as of the
end of the last fiscal year, increased for losses deferred under tax accounting
rules to the current fiscal year and is increased or decreased by capital losses
or gains realized in the first six months of the current fiscal year. As of
March 31, 2005, it is estimated that the Fund will utilize $78,134,770 of
capital loss carryforward to offset realized capital gains. During the year
ended September 30, 2004, the Fund did not utilize any capital loss carryforward
to offset capital gains realized in that fiscal period.
As of September 30, 2004, the Fund had available for federal income tax purposes
post-October losses of $25,835,930 and unused capital loss carryforwards as
follows:
EXPIRING
----------------------
2007 $ 16,381,920
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
--------------
Total $1,030,395,294
==============
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of
41 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Assets and Liabilities. Deferral of trustees' fees under the plan will not
affect the net assets of the Fund, and will not materially affect the Fund's
assets, liabilities or net investment income per share. Amounts will be deferred
until distributed in accordance to the Plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded 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. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. 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 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.
42 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED MARCH 31, 2005 YEAR ENDED SEPTEMBER 30, 2004
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------
CLASS A
Sold 129,589,941 $ 558,020,078 239,096,359 $ 999,651,057
Dividends and/or
distributions reinvested 30,199,799 130,480,572 32,121,259 134,314,145
Redeemed (121,048,122) (521,852,248) (246,819,671) (1,031,598,308)
----------------------------------------------------------------------
Net increase 38,741,618 $ 166,648,402 24,397,947 $ 102,366,894
======================================================================
- ---------------------------------------------------------------------------------------------------------
CLASS B
Sold 13,816,758 $ 59,685,618 31,907,359 $ 133,737,139
Dividends and/or
distributions reinvested 6,443,185 27,933,188 8,657,421 36,309,677
Redeemed (57,197,218) (247,137,543) (178,229,376) (747,001,181)
----------------------------------------------------------------------
Net decrease (36,937,275) $ (159,518,737) (137,664,596) $ (576,954,365)
======================================================================
- ---------------------------------------------------------------------------------------------------------
CLASS C
Sold 18,273,065 $ 78,500,629 34,946,299 $ 145,838,345
Dividends and/or
distributions reinvested 4,867,106 20,991,040 4,955,123 20,669,780
Redeemed (16,890,203) (72,545,048) (43,114,379) (179,614,825)
----------------------------------------------------------------------
Net increase (decrease) 6,249,968 $ 26,946,621 (3,212,957) $ (13,106,700)
======================================================================
- ---------------------------------------------------------------------------------------------------------
CLASS N
Sold 5,700,580 $ 24,525,114 7,364,068 $ 30,835,235
Dividends and/or
distributions reinvested 530,942 2,294,524 393,458 1,645,805
Redeemed (1,917,271) (8,260,429) (2,615,117) (10,914,854)
----------------------------------------------------------------------
Net increase 4,314,251 $ 18,559,209 5,142,409 $ 21,566,186
======================================================================
- ---------------------------------------------------------------------------------------------------------
CLASS Y
Sold 7,391,779 $ 33,105,522 19,171,754 $ 79,967,710
Dividends and/or
distributions reinvested 1,210,488 3,882,181 1,795,794 7,487,037
Redeemed (36,680,923) (158,391,605) (44,274,233) (184,815,090)
----------------------------------------------------------------------
Net decrease (28,078,656) $ (121,403,902) (23,306,685) $ (97,360,343)
======================================================================
- --------------------------------------------------------------------------------
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 March 31, 2005, were $2,089,927,166 and $2,318,821,721, respectively.
There were purchases of $900,605,138 and sales of $907,752,219 of U.S.
government and government agency obligations for the six months ended March 31,
2005. In addition, there were purchases of $3,412,344,867 and sales of
$3,594,875,272 of To Be Announced (TBA) mortgage-related securities for the six
months ended March 31, 2005.
43 | OPPENHEIMER STRATEGIC INCOME 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 0.75% of the first $200 million of average annual net assets of
the Fund, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66%
of the next $200 million, 0.60% of the next $200 million, and 0.50% of average
annual net assets in excess of $1 billion.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICES. The Fund pays the Manager a fee of $1,500 per year for
preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended March 31, 2005, the Fund paid
$4,436,712 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the event that the per account fee does not equal or exceed the
applicable minimum fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
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 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
44 | OPPENHEIMER STRATEGIC INCOME FUND
expenses under the plan at March 31, 2005 for Class B, Class C and Class N
shares were $95,710,589, $21,615,405 and $967,165, respectively. Fees incurred
by the Fund under the plans are detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------
March 31, 2005 $1,175,773 $8,999 $1,161,678 $43,410 $15,267
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit
transfer and shareholder servicing agent fees for all classes to 0.35% of
average annual net assets per class. During the six months ended March 31, 2005,
OFS waived $1,577 and $352,524 for Class N and Class Y shares, respectively.
This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation or
depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
45 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
As of March 31, 2005, the Fund had outstanding foreign currency contracts as
follows:
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) 2005 APPRECIATION DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso [ARP] 2/2/06 34,420ARP $ 11,293,576 $ -- $ 141,640
Australian Dollar [AUD] 4/26/05 26,510AUD 20,430,627 -- 52,987
Brazilian Real [BRR] 10/13/05-1/5/10 394,235BRR 148,410,239 6,349,985 34,075
British Pound Sterling [GBP] 4/26/05-7/6/05 13,430GBP 25,328,091 77,464 --
Chilean Peso [CLP] 4/28/05-4/29/05 21,223,760CLP 36,212,123 44,657 --
Czech Koruna [CZK] 4/22/05 246,950CZK 10,661,317 806,771 --
Dominican Republic
Peso [DOP] 4/15/05 99,582DOP 3,750,737 244,326 --
Hungary Forints [HUF] 4/11/05 1,626,625HUF 8,509,114 -- 43,517
Indian Rupee [INR] 11/9/05-12/20/05 330,950INR 7,493,131 162,324 11,103
Japanese Yen [JPY] 5/16/05-7/5/05 49,652,000JPY 465,605,185 229,524 4,626,841
New Zealand Dollar [NZD] 4/26/05 28,670NZD 20,341,009 -- 55,976
Polish Zloty [PLZ] 9/21/05 743,220PLZ 44,978,954 -- 1,169,089
Russian Ruble [RUR] 10/27/05 220,595RUR 7,881,028 323,817 --
Slovakia Koruna [SKK] 6/21/05 171,940SKK 5,766,723 -- 269,437
South African Rand [ZAR] 4/11/05 42,375ZAR 6,773,854 -- 68,217
South Korean Won [KRW] 6/28/05-6/29/05 32,916,000KRW 32,348,742 83,696 37,202
Swiss Franc [CHF] 4/25/05 27,905CHF 23,358,316 -- 173,924
Thailand Baht [THB] 8/31/05 297,500THB 7,612,493 -- 138,940
-----------------------------
8,322,564 6,822,948
-----------------------------
CONTRACTS TO SELL
Australian Dollar [AUD] 6/3/05 80,000AUD 61,468,333 953,667 --
British Pound Sterling [GBP] 5/9/05-6/8/05 70,405GBP 132,744,948 395,411 3,304,088
Canadian Dollar [CAD] 8/17/05 14,600CAD 12,095,729 -- 273,867
Euro [EUR] 4/11/05-9/9/05 716,450EUR 930,360,006 7,686,199 1,805,887
Japanese Yen [JPY] 4/21/05-6/29/05 8,375,000JPY 78,382,961 1,753,959 --
Norwegian Krone [NOK] 4/21/05 129,390NOK 20,428,674 -- 27,397
Swiss Franc [CHF] 4/21/05 24,260CHF 20,302,458 4,915 --
Turkish Lira [TRY] 6/21/05-2/1/08 122,838TRY 97,066,691 1,600,314 1,246,604
-----------------------------
12,394,465 6,657,843
-----------------------------
Total unrealized appreciation and depreciation $ 20,717,029 $13,480,791
=============================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
46 | OPPENHEIMER STRATEGIC INCOME FUND
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported 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 March 31, 2005, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2005 (DEPRECIATION)
- ----------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
NASDAQ 100 Index 6/17/05 690 $ 20,575,800 $ 179,187
Nikkei 225 Index 6/9/05 34 1,972,000 (34,854)
United Kingdom Long Gilt 6/28/05 12 2,495,606 22,759
U.S. Long Bonds 6/21/05 2,151 239,567,625 (912,945)
U.S. Treasury Nts., 10 yr 6/21/05 1,635 178,649,297 369,221
-------------
(376,632)
-------------
CONTRACTS TO SELL
CAC-40 10 Index 6/17/05 154 7,982,176 15,222
DAX Index 6/17/05 153 21,630,689 (921)
Euro-Bundesobligation, 10 yr 6/8/05 101 15,529,095 (187,240)
FTSE 100 Index 6/17/05 197 18,288,310 271,835
Japan (Government of)
Bonds, 10 yr 6/8/05-6/9/05 106 31,331,624 (267,303)
Nikkei 225 Index 6/9/05 116 12,591,999 290,784
Standard & Poor's 500 Index 6/16/05 280 82,873,000 2,025,450
U.S. Treasury Nts., 2 yr 6/30/05 2,290 473,779,531 1,265,772
U.S. Treasury Nts., 5 yr 6/21/05 2,471 264,628,656 1,747,474
U.S. Treasury Nts., 10 yr 6/21/05 4 437,063 (2,836)
-------------
5,158,237
-------------
$ 4,781,605
=============
47 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Contracts subject to call, expiration
date, exercise price, premium received and market value are detailed in a note
to the Statement of Investments. Options written are reported as a liability in
the Statement of Assets and Liabilities. Realized gains and losses are reported
in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may incur
a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium whether
or not the option is exercised. The Fund also has the additional risk of not
being able to enter into a closing transaction if a liquid secondary market does
not exist.
Written option activity for the six months ended March 31, 2005 was as follows:
CALL OPTIONS PUT OPTIONS
---------------------------------- -------------------------
PRINCIPAL/ PRINCIPAL/
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------
Options outstanding as of
September 30, 2004 21,980,010,785 $ 1,608,916 -- $ --
Options written 19,135 36,925 17,775,000 41,124
Options closed or expired (21,980,029,920) (1,645,841) (17,775,000) (41,124)
--------------------------------------------------------------
Options outstanding as of
March 31, 2005 -- $ -- -- $ --
==============================================================
48 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
8. 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).
As of March 31, 2005, the Fund had entered into the following total return swap
agreements:
PAID BY RECEIVED BY
SWAP NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED
COUNTERPARTY AMOUNT MARCH 31, 2005 MARCH 31, 2005 DATES APPRECIATION
- ------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Six-Month
$6,880,000 LIBOR BBA 5.10% 1/14/15 $ 148,526
Six-Month
6,880,000 LIBOR BBA 5.08 1/20/15 143,911
----------
$ 292,437
==========
Index abbreviation is as follows:
LIBOR BBA London-Interbank Offered Rate British Bankers Association
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS
The Fund may enter into an interest rate swap transaction to maintain a total
return or yield spread on a particular investment, or portion of its portfolio,
or for other non-speculative purposes. Interest rate swaps involve the exchange
of commitments to pay or receive interest, e.g., an exchange of floating rate
payments for fixed rate payments. The coupon payments are based on an agreed
upon principal amount and a specified index. Because the principal amount is not
exchanged, it represents neither an asset nor a liability to either
counterparty, and is referred to as notional. The Fund records an increase or
decrease to unrealized gain (loss), in the amount due to or owed by the Fund at
termination or settlement.
Interest rate swaps are subject to credit risk (if the counterparty fails
to meet its obligations) and interest rate risk. The Fund could be obligated to
pay more under its swap agreements than it receives under them, as a result of
interest rate changes.
49 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
As of March 31, 2005, the Fund had entered into the following interest rate swap
agreements:
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup
Global Markets
Holdings, Inc.:
Six-Month
10,790,000PLZ 5.90% 5.52% WIBO 3/24/10 $ 5,988
Six-Month
17,264,000PLZ 5.90 5.55 WIBO 3/24/10 16,666
Three-Month
9,874,000,000KRW 3.63 4.34 KWCDC 2/17/10 96,575
Three-Month
125,000,000 2.77 4.96 LIBOR BBA 5/6/14 2,485,000
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche
Bank AG:
90-Day
461,160,000TWD 2.59 1.19 CPTW 8/19/09 (8,391)
10,124,000,000KRW 3.55 4.31 KWCDC 3/4/10 75,491
8,100,000,000KRW 3.55 4.27 KWCDC 3/4/10 45,807
8,100,000KRW 3.55 4.27 KWCDC 3/4/10 46,119
4,050,000,000KRW 3.55 4.28 KWCDC 3/4/10 24,865
110,124,000,000KRW 3.55 4.1728 KWCDC 3/4/10 44,665
Three-Month
23,210,000CAD 3.475 2.59 CDOR 1/28/07 123,203
Three-Month
55,900,000EUR 2.77 4.96 EURIBOR 3/8/15 487,762
Three-Month
76,540,000 4.816 2.9588 LIBOR BBA 3/8/15 1,055,957
Three-Month
43,910,000 3.1025 2.94 LIBOR flat 3/4/08 1,617,798
609,375,000INR 4.88 4.9716 IRS 1/15/09 638,602
Three-Month
90,000,000 2.7944 5.32 LIBOR BBA 5/12/14 3,735,997
- -----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
4,542,460BRR 18.69 16.28 BZDI 1/4/10 (56,153)
11,935,160BRR 18.25 17.72 BZDI 1/2/07 (56,331)
3,045,954BRR 18.70 16.15 BZDI 1/4/10 (51,046)
3,943,250BRR 18.70 16.25 BZDI 1/4/10 (44,161)
64,630,000MXN 9.72 10.22 MXN TIIE 1/30/15 (313,263)
50 | OPPENHEIMER STRATEGIC INCOME FUND
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
52,966,419BRR 18.63% 18.00% BZDI 1/2/07 $ (145,937)
20,477,290BRR 18.25 17.17 BZDI 1/2/08 (147,053)
86,020,000MXN 9.72 9.74 MXN TIIE 1/5/10 (250,671)
29,500,000MXN 9.79 10.85 MXN TIIE 3/5/15 (41,041)
172,040,000MXN 9.82 9.84 MXN TIIE 12/31/09 (440,809)
- -----------------------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank:
28-Day
112,070,000MXN 9.715 10.88 MXN TIIE 11/16/14 (157,081)
Six-Month
3,075,000,000HUF 8.88 7.00 LIBOR flat 7/14/08 331,885
Three-Month
209,000,000 4.24 2.6925 LIBOR 7/23/09 2,581,794
Three-Month
300,000,000 4.59 3.06 LIBOR BBA 3/24/10 1,392,105
Three-Month
180,000,000 2.70 3.89 LIBOR BBA 4/26/09 (2,597,186)
Three-Month
134,000,000 2.70 4.84 LIBOR BBA 4/26/14 964,657
Three-Month
16,745,000 2.73 4.94 LIBOR BBA 4/30/14 248,854
Three-Month
22,120,000 3.052 2.97 LIBOR flat 7/14/08 853,340
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
12,222,137 18.68 16.88 BZDI 1/2/08 (111,351)
Three-Month
80,800,000 3.82 2.7706 LIBOR flat 11/10/08 1,347,958
Three-Month
253,000,000 2.32 2.77 LIBOR flat 11/10/05 1,915,278
---------------
$ 15,715,892
===============
51 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
Notional amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
BRR Brazilian Real
CAD Canadian Dollar
EUR Euro
HUF Hungary Forints
INR Indian Rupee
KRW South Korean Won
MXN Mexican Nuevo Peso
PLZ Polish Zloty
TWD New Taiwan Dollar
Index abbreviations are as follows:
BZDI Brazil Cetip Interbank Deposit Rate
CDOR Canada Bankers Acceptances Rate
CPTW Bloomberg Taiwan Secondary Commercial Papers
EURIBOR Euro Interbank Offered Rate
IRS India Swap Composites
KWCDC South Korean Won-3 Months
LIBOR London-Interbank Offered Rate
LIBOR BBA London-Interbank Offered Rate British Bankers Association
MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate
WIBO Poland Warsaw Interbank Offer Bid Rate
- --------------------------------------------------------------------------------
10. CREDIT SWAP CONTRACTS
The Fund may enter into a credit swap transaction to maintain a total return on
a particular investment or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as a notional principal amount. The Fund records an increase or
decrease to unrealized gain (loss), in the amount due to or owed by the Fund at
termination or settlement. Credit swaps are subject to credit risks (if the
counterparty fails to meet its obligations). The Fund pays an annual interest
fee on the notional amount in exchange for the counterparty paying in a
potential credit event.
During the six months ended March 31, 2005, the Fund entered into transactions
to hedge credit risk. Information regarding the credit swaps is as follows:
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT (DEPRECIATION)
- --------------------------------------------------------------------------------
Deutsche Bank AG:
Peru (Republic of) Credit Nts. 2/20/15 $21,300,000 $ 353,200
United Mexican States Credit Bonds 9/20/13 14,505,000 (588,561)
- --------------------------------------------------------------------------------
JPMorgan Chase Bank:
Jordan (Kingdom of) Credit Nts. 6/6/06 4,350,000 (37,996)
Russian Federation Credit Bonds 10/9/13 8,060,000 (372,409)
52 | OPPENHEIMER STRATEGIC INCOME FUND
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT (DEPRECIATION)
- --------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Brazil (Federal Republic of) Credit Bonds 8/20/09 $29,440,000 $(2,636,468)
General Motors Corp. Credit Bonds 6/20/06 8,700,000 (123,088)
General Motors Corp. Credit Bonds 6/20/10 8,700,000 (49,199)
Turkey (Republic of) Credit Bonds 11/11/06 10,710,000 132,435
Turkey (Republic of) Credit Bonds 11/11/09 4,860,000 (106,050)
- --------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Brazil (Federal Republic of) Credit Bonds 8/20/09 24,020,000 (2,121,765)
Hungary (Republic of) Credit Bonds 12/2/13 21,410,000 (537,368)
Turkey (Republic of) Credit Bonds 2/20/15 14,230,000 426,714
- --------------------------------------------------------------------------------------------
UBS AG:
Brazil (Federal Republic of) Credit Bonds 10/20/09 10,895,000 (336,143)
Brazil (Federal Republic of) Credit Bonds 4/20/10 26,300,000 (691,724)
Russian Federation Credit Bonds 11/4/14 13,120,000 (425,321)
------------
$(7,113,743)
============
- --------------------------------------------------------------------------------
11. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable
changes in the preset rate on the underlying interest rate swap. Swaption
contracts written by the Fund do not give rise to counterparty credit risk as
they obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
Written swaption activity for the six months ended March 31, 2005 was as
follows:
CALL SWAPTIONS PUT SWAPTIONS
--------------------------------------------------------------
NOTIONAL AMOUNT OF NOTIONAL AMOUNT OF
AMOUNT PREMIUMS AMOUNT PREMIUMS
--------------------------------------------------------------
Swaptions outstanding as of
September 30, 2004 74,945,000 $ 741,585 94,160,000 $ 439,416
Swaptions written 224,710,000 1,541,818 94,160,000 439,416
Swaptions closed or expired (146,890,000) (1,384,620) (188,320,000) (878,832)
--------------------------------------------------------------
Swaptions outstanding as of
March 31, 2005 152,765,000 $ 898,783 -- $ --
==============================================================
53 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. SWAPTION TRANSACTIONS Continued
As of March 31, 2005, the Fund had entered into the following swaption
ontracts:
NOTIONAL EXPIRATION EXERCISE PREMIUM VALUE
SWAPTIONS AMOUNT DATES PRICE RECEIVED SEE NOTE 1
- ------------------------------------------------------------------------------------------------------
British Pound Sterling 71,945,000GBP 6/29/05 5.12GBP $640,440 $ 761,366
Deutsche Bank AG 80,820,000AUD 5/3/05 5.755AUD 258,343 5,710
------------------------
$898,783 $ 767,076
========================
Notional amount is denoted in the following currencies:
AUD Australian Dollar
GBP British Pound Sterling
- --------------------------------------------------------------------------------
12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of March 31, 2005, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private
placement transactions, are not registered under the Securities Act of 1933,
may have contractual restrictions on resale, and are valued under methods
approved by the Board of Trustees as reflecting fair value. A security may also
be considered illiquid if it lacks a readily available market or if its
valuation has not changed for a certain period of time. The Fund will not
invest more than 10% of its net assets (determined at the time of purchase and
reviewed periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. Information concerning restricted securities and
currency is as follows:
UNREALIZED
ACQUISITION VALUATION AS OF APPRECIATION
SECURITY DATES COST MARCH 31, 2005 (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------
Geotek Communications,
Inc., Series B, Escrow Shares 1/4/01 $ 2,500 $ -- $ (2,500)
Prandium, Inc. 3/18/99 11,986,000 6,119 (11,979,881)
CURRENCY
Argentine Peso [ARP] 6/25/04 970,756 987,134 16,378
Russian Ruble [RUR] 3/11/05 3,056,589 3,010,537 (46,052)
- --------------------------------------------------------------------------------
13. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of US
Treasury obligations or cash, against the loaned securities and maintains
collateral in an amount not less than 100% of the market value of the loaned
securities during the period of the loan. The market value of the loaned
securities is determined at the close of business of the funds and any
additional required collateral is delivered to the Fund on the next business
day. If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the
collateral. Cash collateral is invested in cash equivalents. The Fund retains a
portion of the interest earned from the collateral. The Fund also
54 | OPPENHEIMER STRATEGIC INCOME FUND
continues to receive interest or dividends paid on the securities loaned. As of
March 31, 2005, the Fund had on loan securities valued at $31,441,856.
Collateral of $33,960,671 was received for the loans, of which $13,473,303 was
received in cash and subsequently invested in approved instruments.
- --------------------------------------------------------------------------------
14. LITIGATION
A consolidated amended complaint has been filed as putative derivative and
class actions against the Manager, OFS and the Distributor (collectively, the
"Oppenheimer defendants"), as well as 51 of the Oppenheimer funds (as "Nominal
Defendants") including the Fund, 30 present and former Directors or Trustees
and 8 present and former officers of the funds. This complaint, initially filed
in the U.S. District Court for the Southern District of New York on January 10,
2005 and amended on March 4, 2005, consolidates into a single action and amends
six individual previously-filed putative derivative and class action
complaints. Like those prior complaints, the complaint alleges 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 assets of the funds to make those payments in violation of the
Investment Company Act of 1940 and the Investment Advisers Act of 1940. Also,
like those prior complaints, the complaint further alleges that by permitting
and/or participating in those actions, the Directors/Trustees and the Officers
breached their fiduciary duties to shareholders of the funds under the
Investment Company Act of 1940 and at common law. The complaint seeks
unspecified compensatory and punitive damages, rescission of the funds'
investment advisory agreements, an accounting of all fees paid, and an award of
attorneys' fees and litigation expenses.
The Oppenheimer defendants believe that the allegations contained in the
Complaints are without merit and that they, the funds named as Nominal
Defendants, and the Directors/Trustees of those funds have meritorious defenses
against the claims asserted. The Oppenheimer defendants intend to defend these
lawsuits vigorously and to contest any claimed liability. The Oppenheimer
defendants believe that it is premature to render any opinion as to the
likelihood of an outcome unfavorable to them and that no estimate can yet be
made with any degree of certainty as to the amount or range of any potential
loss.
55 | OPPENHEIMER STRATEGIC INCOME 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 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 voting record is available (i) without charge, upon
request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form
N-PX filing 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
http://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.
56 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Each year, the Board of Trustees (the "Board"), including a majority of the
independent Trustees, is required to determine whether to renew the advisory
agreement. The Investment Company Act of 1940, as amended, requires that the
Board request and evaluate, and that the Manager provide, such information as
may be reasonably necessary to evaluate the terms of the advisory agreement.
The Board employs an independent consultant to prepare a report that provides
information, including comparative information, that the Board requests for
this purpose. In addition, the Board receives information throughout the year
regarding Fund services, fees, expenses and performance.
NATURE AND EXTENT OF SERVICES. In considering the renewal of the Fund's
advisory agreement for the current year, the Board evaluated the nature and
extent of the services provided by the Manager and its affiliates. The Manager
provides the Fund with office space, facilities and equipment; administrative,
accounting, clerical, legal and compliance personnel; securities trading
services; oversight of third party service providers and the services of the
portfolio manager and the Manager's investment team, who provide research,
analysis and other advisory services in regard to the Fund's investments.
QUALITY OF SERVICES. The Board also considered the quality of the services
provided and the quality of the Manager's resources that are available to the
Fund. The Board noted that the Manager has had over forty years of experience as
an investment adviser. The Board evaluated the Manager's administrative,
accounting, legal and compliance services and information the Board received
regarding the experience and professional qualifications of the Manager's
personnel and the size and functions of its staff. The Board members also
considered their experiences as directors or trustees of the Fund and other
funds advised by the Manager. The Board received and reviewed information
regarding the quality of services provided by affiliates of the Manager, which
it also reviews at other times during the year in connection with the renewal of
the Fund's service agreements. The Board noted that the relatively low
redemption rate for funds advised by the Manager provided an indication of
shareholder satisfaction with the overall level of services provided by the
Manager.
PORTFOLIO MANAGEMENT SERVICES AND PERFORMANCE. In its evaluation of the
quality of the portfolio management services provided, the Board considered the
experience of Arthur P. Steinmetz and the Manager's international and
quantitative fixed income investment teams and analysts. Mr. Steinmetz has been
the person primarily responsible for the day-to-day management of the Fund's
portfolio since October 1989 and the sole portfolio manager since May 2003. Mr.
Steinmetz has been a Senior Vice President of the Manager since March 1993 and
of HarbourView Asset Management Corporation since March 2000 and is an officer
of other portfolios and accounts in the
57 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OppenheimerFunds complex. Mr. Steinmetz has had over 22 years of experience
managing fixed income investments.
The Board reviewed information, prepared by the Manager and by the
independent consultant, comparing the Fund's historical performance to relevant
market indices and to the performance of other multi-sector income funds
(including both funds advised by the Manager and funds advised by other
investment advisers). The Board also receives and reviews comparative
performance information regarding the Fund and other funds at each Board
meeting. The Board noted that the Fund's one-, three-, five- and ten-year
performance were each better than its peer group average.
MANAGEMENT FEES AND EXPENSES. The Board also reviewed information,
including comparative information, regarding the fees paid to the Manager and
its affiliates and the other expenses borne by the Fund. The independent
consultant provided comparative data in regard to the fees and expenses of the
Fund, other multi-sector income funds and other funds with comparable asset
levels and distribution features. The Board noted that the Fund's actual
management fees and actual total expenses are lower than its peer group average
although its contractual management fees are slightly higher than its peer group
average. In addition, the Board evaluated the comparability of the fees charged
and services provided to the Fund to the fees charged and services provided to
other types of entities advised by the Manager.
PROFITABILITY OF THE MANAGER AND AFFILIATES. The Board also reviewed
information regarding the cost of services provided by the Manager and its
affiliates and the Manager's profitability. The Board considered that the
Manager must be able to pay and retain experienced professional personnel at
competitive rates to provide services to the Fund and that maintaining the
financial viability of the Manager is important in order for the Manager to
continue to provide significant services to the Fund and its shareholders. In
addition the Board considered information that was provided regarding the direct
and indirect benefits the Manager receives as a result of its relationship with
the Fund, including compensation paid to the Manager's affiliates.
ECONOMIES OF SCALE. The Board reviewed the extent to which the Manager may
realize economies of scale in managing and supporting the Fund and the current
level of Fund assets in relation to the Fund's breakpoint schedule for its
management fees. The Board noted that the Fund has recently experienced modest
asset growth and that based on current asset levels, the Fund has passed its
last management fee breakpoint.
CONCLUSIONS. These factors were also considered by the independent
Trustees meeting separately from the full Board, assisted by both experienced
counsel to the Fund and experienced counsel to the independent
58 | OPPENHEIMER STRATEGIC INCOME FUND
Trustees. Fund counsel and the independent Trustees' counsel are both
independent of the Manager within the meaning and intent of the Securities and
Exchange Commission Rules. The Board was aware that there are alternatives to
retaining the Manager.
Based on its review of the information it received and its evaluations
described above, the Board, including a majority of the independent Trustees,
concluded that the nature, extent and quality of the services provided to the
Fund by the Manager are a benefit to the Fund and in the best interest of the
Fund's shareholders and that the amount and structure of the compensation
received by the Manager and its affiliates are reasonable in relation to the
services provided. Accordingly, the Board elected to continue the investment
advisory agreement for another year. In arriving at this decision, the Board did
not single out any factor or factors as being more important than others, but
considered all of the factors together. The Board judged the terms and
conditions of the advisory agreement, including the management fee, in light of
all of the surrounding circumstances.
59 | OPPENHEIMER STRATEGIC INCOME 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
STATEMENT OF INVESTMENTS March 31, 2005 / Unaudited
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--3.0%
- --------------------------------------------------------------------------------------------------------------
Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 2.91%, 4/20/08 1,2 $ 1,390,000 $ 1,390,000
- --------------------------------------------------------------------------------------------------------------
Bank One Auto Securitization Trust, Automobile Receivable Certificates,
Series 2003-1, Cl. A2, 1.29%, 8/21/06 967,038 965,972
- --------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust, Automobile Loan Certificates:
Series 2004-A, Cl. A2, 1.88%, 10/25/06 3,702,015 3,692,454
Series 2005-A, Cl. A2, 3.65%, 12/26/07 5,750,000 5,743,025
- --------------------------------------------------------------------------------------------------------------
Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.,
Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,660,000 4,585,675
- --------------------------------------------------------------------------------------------------------------
Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2004-A, Cl. AF1,2.03%, 6/25/19 577,612 576,521
Series 2004-D, Cl. AF1,2.98%, 4/25/20 1 2,436,903 2,422,671
Series 2005-B, Cl. AF1,4.02%, 3/26/35 1 1,780,000 1,780,000
- --------------------------------------------------------------------------------------------------------------
Chase Funding Mortgage Loan Asset-Backed Certificates, Home
Equity Mtg. Obligations:
Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 323,893 323,420
Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 1,141,352 1,139,433
Series 2003-3, Cl. 1A2, 1.93%, 5/25/18 693,429 692,351
Series 2003-4, Cl. 1A2, 2.138%, 7/25/18 3,298,927 3,289,187
Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 940,000 934,230
- --------------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2002-A, Cl. A4, 4.24%, 9/15/08 997,589 1,002,512
- --------------------------------------------------------------------------------------------------------------
CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 1 4,080,000 4,051,586
- --------------------------------------------------------------------------------------------------------------
CIT Group Home Equity Loan Trust, Home Equity Loan Asset-Backed
Certificates, Series 2003-1, Cl. A2, 2.35%, 4/20/27 1,317,135 1,314,177
- --------------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.:
Series 2001-A6, Cl. A6, 5.65%, 6/16/08 4,345,000 4,434,296
Series 2002-A3, Cl. A3, 4.40%, 5/15/07 4,602,000 4,612,196
- --------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg.
Obligations, Series 2003-3, Cl. AF1,2.97%, 8/25/33 2 937,885 938,495
- --------------------------------------------------------------------------------------------------------------
Conseco Finance Securitizations Corp., Manufactured Housing Contract
Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2, 10.32%, 12/1/30 1 135,902 849
- --------------------------------------------------------------------------------------------------------------
Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 1 14,441,000 14,916,249
- --------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2001-D, Cl. A4, 3.78%, 2/6/07 861,719 863,615
Series 2003-B, Cl. A2, 1.61%, 7/10/06 3,354,799 3,352,066
Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 2,586,276 2,581,039
Series 2004-C, Cl. A2, 2.62%, 6/8/07 7,721,000 7,687,460
Series 2005-A, Cl. A2, 3.17%, 9/8/07 1 5,760,000 5,742,709
- --------------------------------------------------------------------------------------------------------------
DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 1,3,4 15,000,000 1,500
- --------------------------------------------------------------------------------------------------------------
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 1 3,083,887 1,266,321
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- --------------------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 1,3,4 $ 2,275,079 $ 11,375
- --------------------------------------------------------------------------------------------------------------
Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates,
Series 2004-3, Cl. AF2, 3.80%, 7/25/34 930,000 920,766
- --------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates:
Series 2004-A, Cl. A2, 2.13%, 10/15/06 7,389,802 7,365,577
Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,460,000 3,429,532
- --------------------------------------------------------------------------------------------------------------
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1 5,776,000 1,039,680
- --------------------------------------------------------------------------------------------------------------
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 1 4,814,000 3,771,496
- --------------------------------------------------------------------------------------------------------------
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 1,525,733
- --------------------------------------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.,
Series 2003-3, Cl. A1, 1.50%, 1/15/08 3,185,722 3,177,369
- --------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2003-3, Cl. A2, 1.52%, 4/21/06 1,807,923 1,806,434
Series 2003-4, Cl. A2, 1.58%, 7/17/06 3,289,857 3,284,411
Series 2005-1, Cl. A2, 3.21%, 5/21/07 1 2,330,000 2,323,902
- --------------------------------------------------------------------------------------------------------------
Household Automotive Trust, Automobile Loan Certificates,
Series 2003-2, Cl. A2, 1.56%, 12/18/06 951,974 951,132
- --------------------------------------------------------------------------------------------------------------
M&I Auto Loan Trust, Automobile Loan Certificates:
Series 2002-1, Cl. A3, 2.49%, 10/22/07 1,546,019 1,545,192
Series 2003-1, Cl. A2, 1.60%, 7/20/06 1,217,121 1,216,656
- --------------------------------------------------------------------------------------------------------------
Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A,
Cl. C1, 0.056%, 3/24/14 1,2 3,119,039 31,190
- --------------------------------------------------------------------------------------------------------------
National City Auto Receivables Trust, Automobile Receivable Obligations,
Series 2004-A, Cl. A2, 1.50%, 2/15/07 2,425,440 2,418,665
- --------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 1/25/29 1 4,420,411 1,179,697
- --------------------------------------------------------------------------------------------------------------
Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A,
Cl. A2, 2.55%, 1/15/07 3,774,000 3,756,147
- --------------------------------------------------------------------------------------------------------------
Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.:
Series 2002-A, Cl. A4, 4.28%, 10/16/06 666,915 668,568
Series 2004-A, Cl. A2, 1.40%, 7/17/06 2,810,071 2,800,847
- --------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Home Equity Mtg. Obligations,
Series 2004-3, Cl. A2, 3%, 11/25/34 1,2 1,855,529 1,856,983
- --------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through
Certificates:
Series 2004-5, Cl. AF2, 3.735%, 11/10/34 1 1,550,000 1,531,550
Series 2005-1, Cl. AF2, 3.914%, 5/25/35 940,000 929,759
Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1,600,000 1,600,000
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- --------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations,
Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 $ 8,933,753 $ 9,007,266
- --------------------------------------------------------------------------------------------------------------
USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 526,593 526,568
Series 2004-1, Cl. A2, 1.43%, 9/15/06 5,812,488 5,799,096
Series 2004-2, Cl. A2, 2.41%, 2/15/07 4,265,000 4,253,895
Series 2004-3, Cl. A2, 2.79%, 6/15/07 3,610,000 3,594,682
- --------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities:
Series 2004-A, Cl. A2, 2.47%, 1/22/07 4,929,000 4,901,659
Series 2005-A, Cl. A2, 3.52%, 4/20/07 4,040,000 4,035,447
- --------------------------------------------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable
Certificates, Series 2003-2, Cl. A2, 1.55%, 6/20/06 1,569,359 1,567,311
- --------------------------------------------------------------------------------------------------------------
Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B,
Cl. A2, 2.40%, 5/21/07 3,745,000 3,728,803
- --------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 6,920,988 6,866,814
- --------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2003-1, Cl. A2A, 1.40%, 4/15/06 1,588,862 1,587,703
Series 2003-1, Cl. A3B, 1.99%, 5/15/07 1,780,000 1,764,695
Series 2004-1, Cl. A2A, 2.59%, 5/15/07 4,602,000 4,577,433
------------
Total Asset-Backed Securities (Cost $214,736,748) 181,654,042
- --------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--16.1%
- --------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 4,814,000 5,143,595
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 19,255,000 20,547,197
Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,507,000 10,706,796
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 6,551,953 6,830,941
- --------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2004-6, Cl. A3, 4.512%, 12/10/42 3,524,000 3,447,357
- --------------------------------------------------------------------------------------------------------------
Bank of America Mortgage Securities, Inc., Collateralized Mtg.
Obligations Pass-Through Certificates:
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 6,014,385 6,104,530
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 5,411,423 5,563,619
Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 3,292,865 3,295,338
Series 2004-G, Cl. 2A1,2.469%, 8/25/34 2 1,470,545 1,468,555
- --------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 1,970,000 1,972,021
- --------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations:
Series 2004-J9, Cl. 1A1, 3.03%, 10/25/34 2 4,348,761 4,353,500
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 5,943,269 6,067,562
- --------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 1 36,400,000 10,920,000
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS continued
- ----------------------------------------------------------------------------------------
Fannie Mae Whole Loan, Collateralized Mtg. Obligations
Pass-Through
Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 $ 3,857,925 $ 4,073,726
- ----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
6%, 7/1/24-10/1/34 46,470,494 47,653,219
6.50%, 7/1/28-8/1/32 7,354,837 7,654,072
7%, 3/1/31-10/1/31 7,689,319 8,105,823
7%, 6/1/35 5 8,084,000 8,508,410
7.50%, 2/1/32 2,553,783 2,732,855
8.50%, 8/1/31 1,918,081 2,089,790
10%, 4/1/20-5/1/20 287,640 324,235
10.50%, 5/1/20 505,810 576,217
11.50%, 10/1/16 433,847 478,498
12%, 6/1/17 1,013,244 1,123,994
- ----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment
Conduit Multiclass Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 978,284 983,059
Series 2055, Cl. ZM, 6.50%, 5/15/28 2,961,330 3,070,587
Series 2080, Cl. Z, 6.50%, 8/15/28 1,903,525 1,969,683
Series 2387, Cl. PD, 6%, 4/15/30 3,698,467 3,796,261
Series 2410, Cl. NE, 6.50%, 9/15/30 4,458,622 4,502,815
Series 2423, Cl. PD, 6.50%, 11/15/30 1,677,380 1,679,435
Series 2430, Cl. GD, 6.50%, 11/15/30 1,583,447 1,586,301
Series 2430, Cl. ND, 6.50%, 1/15/31 4,159,972 4,177,977
Series 2466, Cl. PD, 6.50%, 4/15/30 368,624 368,966
Series 2498, Cl. PC, 5.50%, 10/15/14 448,009 451,175
Series 2500, Cl. FD, 3.31%, 3/15/32 2 1,439,852 1,445,778
Series 2526, Cl. FE, 3.21%, 6/15/29 2 1,620,773 1,629,755
Series 2550, Cl. QK, 4.50%, 4/15/22 1,227,358 1,229,870
Series 2551, Cl. FD, 3.21%, 1/15/33 2 1,295,692 1,306,198
Series 2583, Cl. KA, 5.50%, 3/15/22 6,393,775 6,471,274
- ----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. B, 4.61%, 7/1/26 6 5,048,863 1,028,554
Series 192, Cl. IO, 10.795%, 2/1/28 6 889,977 179,626
Series 200, Cl. IO, 10.725%, 1/1/29 6 1,092,391 227,661
Series 203, Cl. IO, (0.241)%, 6/1/29 6 4,062,559 865,285
Series 204, Cl. IO, (9.143)%, 5/1/29 6 327,744 71,095
Series 205, Cl. IO, 5.219%, 9/1/29 6 5,955,818 1,145,452
Series 206, Cl. IO, (17.59)%, 12/1/29 6 1,918,011 380,958
Series 207, Cl. IO, (25.01)%, 4/1/30 6 2,108,331 455,770
Series 208, Cl. IO, (8.16)%, 6/1/30 6 3,474,145 646,411
Series 212, Cl. IO, (18.503)%, 5/1/31 6 2,672,007 583,287
Series 214, Cl. IO, (17.93)%, 6/1/31 6 1,949,254 396,510
Series 2074, Cl. S, 15.027%, 7/17/28 6 1,128,950 141,245
Series 2079, Cl. S, 14.954%, 7/17/28 6 1,768,424 215,368
Series 2526, Cl. SE, 20.651%, 6/15/29 6 2,946,707 262,403
Series 2819, Cl. S, 14.399%, 6/15/34 6 28,353,988 2,425,979
Series 2920, Cl. S, 30.867%, 1/15/35 6 16,778,299 936,229
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
5%, 2/1/18-4/1/35 5 $147,817,271 $146,058,158
5.50%, 3/1/33-1/1/34 41,520,009 41,677,228
5.50%, 4/1/20-4/1/35 5 145,173,000 146,412,153
6%, 9/1/24 3,210,928 3,303,891
6%, 4/1/20-4/1/35 5 77,818,000 79,895,909
6.50%, 12/1/28-10/1/30 4,331,699 4,514,007
6.50%, 4/1/35 5 116,242,000 120,637,343
7%, 10/1/28-11/1/34 8,575,431 9,039,749
7%, 4/1/35 5 2,309,000 2,433,109
7.50%, 2/1/27 1,749,873 1,879,545
8.50%, 7/1/32 266,838 289,779
9.50%, 4/1/20-3/15/21 238,726 264,763
10.50%, 10/1/19 79,426 90,484
11%, 10/15/15-2/1/26 628,010 695,720
15%, 4/15/13 583,595 673,702
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust, Commercial Mtg.
Obligations, Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10,
Cl. IO, 13.856%, 12/25/31 1,6 304,564,069 7,064,546
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1998-63, Cl. PG, 6%, 3/25/27 996,048 998,445
Trust 2001-50, Cl. LD, 6.50%, 5/25/30 525,620 526,327
Trust 2001-50, Cl. NE, 6%, 8/25/30 1,918,182 1,937,532
Trust 2001-70, Cl. LR, 6%, 9/25/30 1,887,458 1,924,045
Trust 2001-72, Cl. NH, 6%, 4/25/30 1,516,990 1,534,541
Trust 2001-74, Cl. PD, 6%, 5/25/30 636,431 645,091
Trust 2002-77, Cl. WF, 3.234%, 12/18/32 2 1,968,084 1,981,486
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 2,432,879 2,433,982
Trust 2003-10, Cl. HP, 5%, 2/25/18 6,060,000 5,995,608
Trust 2003-81, Cl. PA, 5%, 2/25/12 757,214 757,653
Trust 2004-101, Cl. BG, 5%, 1/25/20 3,993,000 3,963,635
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates,
Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, (16.569)%, 11/25/40 6 33,033,540 976,399
Trust 2001-T4, Cl. IO, 2.86%, 7/25/41 1, 6 55,906,858 2,052,262
Trust 2002-28, Cl. SA, 15.584%, 4/25/32 6 1,581,861 136,986
Trust 2002-38, Cl. SO, 15.955%, 4/25/32 6 1,334,664 82,978
Trust 2002-39, Cl. SD, 7.63%, 3/18/32 6 2,425,776 215,385
Trust 2002-48, Cl. S, 14.324%, 7/25/32 6 2,531,579 231,349
Trust 2002-52, Cl. SL, 14.518%, 9/25/32 6 1,575,962 144,482
Trust 2002-53, Cl. SK, 7.796%, 4/25/32 6 1,512,532 153,439
Trust 2002-56, Cl. SN, 16.61%, 7/25/32 6 3,470,417 321,233
Trust 2002-77, Cl. IS, 13.641%, 12/18/32 6 2,273,872 211,633
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- --------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 221, Cl. 2, 2.55%, 5/1/23 6 $ 1,855,628 $ 361,767
Trust 240, Cl. 2, 9.596%, 9/1/23 6 2,810,873 579,884
Trust 301, Cl. 2, 1.893%, 4/1/29 6 3,081,270 651,581
Trust 303, Cl. IO, 6.041%, 11/1/29 6 1,990,535 433,573
Trust 313, Cl. 2, (22.70)%, 7/1/31 6 9,427,698 2,127,662
Trust 321, Cl. 2, 1.26%, 3/1/32 6 15,935,972 3,663,884
Trust 324, Cl. 2, (2.77)%, 6/1/32 6 10,817,459 2,395,760
Trust 333, Cl. 2, 8.23%, 3/1/33 6 6,865,860 1,656,605
Trust 338, Cl. 2, 8.343%, 6/1/33 6 5,668,677 1,366,614
Trust 2001-81, Cl. S, 17.217%, 1/25/32 6 2,318,881 213,868
Trust 2002-9, Cl. MS, 14.197%, 3/25/32 6 2,990,772 287,136
Trust 2002-65, Cl. SC, 15.93%, 6/25/26 6 4,733,546 431,839
Trust 2002-77, Cl. SH, 22.769%, 12/18/32 6 2,702,976 264,777
Trust 2005-40, Cl. SA, 0%, 5/25/35 5, 6 27,000,000 1,573,594
Trust 2005-40, Cl. SB, 0%, 5/25/35 5, 6 8,960,000 522,200
- --------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,
Series 1997-CHL1, Cl. D, 7.751%, 4/29/39 1,2 8,183,001 8,271,222
- --------------------------------------------------------------------------------------------------------------
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 2,927,000 3,085,467
- --------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations,
Series 2005-C1, Cl. A3, 4.578%, 6/10/48 1,540,000 1,512,764
- --------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2004-C3, Cl.A4, 4.547%, 12/10/41 2,320,000 2,276,481
- --------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 2,085,990 2,184,302
- --------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
7%, 1/15/28-1/20/30 4,753,559 5,029,668
8%, 1/15/28-9/15/28 2,815,436 3,037,147
12.50%, 12/15/13-11/15/15 2,604,998 2,932,534
13%, 10/15/15 3,980,642 4,508,800
13.50%, 6/15/15 5,088,757 5,803,034
- --------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-6, Cl. SA, 12.155%, 3/16/28 6 2,141,260 240,998
Series 1998-19, Cl. SB, 13.754%, 7/16/28 6 3,580,953 442,257
- --------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates, Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,100,000 3,054,226
- --------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 04-12,
Cl. 3A1,4.513%, 12/25/34 1,2 6,309,028 6,301,415
- --------------------------------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2,7.77%, 10/15/32 10,301,000 11,514,590
- --------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 9,011,337
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ----------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2000-C3, Cl. A2,7.95%, 5/15/25 $ 9,627,000 $ 10,902,345
- ----------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Mtg. Obligations,
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1 669,191 575,505
- ----------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg.
Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 7,699,177 7,877,657
- ----------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.104%, 6/15/21 2 1,087,003 1,101,183
- ----------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.442%, 2/15/28 2,7 12,862,980 12,004,274
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 9,448,369
- ----------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 3,341,000 3,541,141
- ----------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,375,253
- ----------------------------------------------------------------------------------------------------------------
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 1,3,4 624,465 --
Series 1992-2, Cl. B3, 10.38%, 4/15/09 1,2 1,048,675 78,651
- ----------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Collateralized
Mtg. Obligations:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 1,025,403 1,052,724
Series 2001-UP2, Cl. AF2,7.25%, 10/25/31 1,272,454 1,319,073
- ----------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1996-C1, Cl. F, 8.421%, 1/20/28 1,2 9,632,000 7,928,340
- ----------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg.
Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,422,580
- ----------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 875,319 873,789
- ----------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, (8.564)%, 9/15/22 6 26,292,688 781,850
Series 1995-2B, Cl. 2IO, (5.189)%, 6/15/25 6 1,953,729 53,780
Series 1995-3, Cl. 1IO, (25.392)%, 9/15/25 6 63,448,114 774,143
- ----------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations:
Series 2005-C16, Cl. A2, 4.38%, 10/15/41 4,580,000 4,518,627
Series 2005-C17, Cl. A2, 4.763%, 3/15/42 5,550,000 5,561,490
- ----------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities Trust, Collateralized
Mtg. Obligations:
Series 2004-DD, Cl. 2A1,4.545%, 1/25/35 2 4,752,021 4,756,672
Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 5,535,306 5,547,529
Series 2004-W, Cl. A2, 4.623%, 11/25/34 2 3,227,353 3,226,022
------------
Total Mortgage-Backed Obligations (Cost $997,898,734) 986,985,377
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--6.5%
- --------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8 $ 56,845,000 $ 51,253,044
- --------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] 10,869,000 14,476,877
- --------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts., 3.625%, 9/15/06 78,600,000 78,365,536
- --------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
1.80%, 5/27/05 12,419,000 12,395,727
6%, 5/15/08 9 15,044,000 15,817,788
6.625%, 9/15/09 79,906,000 86,896,497
7.25%, 5/15/30 6,436,000 8,322,829
- --------------------------------------------------------------------------------------------------
Resolution Funding Corp. STRIPS, 6.14%, 1/15/21 8 50,505,000 22,763,816
- --------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
7.125%, 5/1/30 2,773,000 3,538,620
Series A, 6.79%, 5/23/12 76,141,000 85,877,378
- --------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
7.25%, 5/15/16 2,734,000 3,353,530
STRIPS, 4.94%, 2/15/16 8,10 23,586,000 14,142,684
------------
Total U.S. Government Obligations (Cost $396,082,079) 397,204,326
- --------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--32.0%
- --------------------------------------------------------------------------------------------------
ARGENTINA--1.1%
Argentina (Republic of) Bonds:
2.352%, 5/3/05 2 696,000 692,080
3.01%, 8/3/12 2 49,824,000 42,006,963
Series PRE8, 2%, 1/3/10 1,3,4 [ARP] 18,754,000 10,176,838
Series PR12, 2%, 1/3/16 1,3,4 [ARP] 12,712,891 6,004,975
- --------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Bonds, 5.83%, 12/31/33 [ARP] 18,145,019 5,630,945
- --------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1,4/1/07 1,3,4 [ARP] 786,123 311,102
------------
64,822,903
- --------------------------------------------------------------------------------------------------
AUSTRALIA--1.0%
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 78,453,000 61,149,873
- --------------------------------------------------------------------------------------------------
AUSTRIA--1.0%
Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 34,899,000 59,333,231
- --------------------------------------------------------------------------------------------------
BELGIUM--0.8%
Belgium (Kingdom of) Bonds:
Series 26, 6.25%, 3/28/07 [EUR] 29,030,000 40,318,295
Series 28, 5.75%, 3/28/08 [EUR] 8,453,000 11,898,828
-------------
52,217,123
- --------------------------------------------------------------------------------------------------
BRAZIL--1.7%
Brazil (Federal Republic of) Bonds:
8.75%, 2/4/25 31,180,000 29,309,200
10.50%, 7/14/14 6,296,000 6,941,340
Series 15 yr., 3.125%, 4/15/09 2 124,418 121,930
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------
BRAZIL Continued
Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr.,
8%, 4/15/14 $ 57,203,943 $ 56,810,666
- -----------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Unsec. Unsub. Bonds, 11%, 8/17/40 10,884,200 12,127,720
------------
105,310,856
- -----------------------------------------------------------------------------------------------------------
BULGARIA--0.3%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 6,802,000 8,264,430
8.25%, 1/15/15 7 6,802,000 8,264,430
------------
16,528,860
- -----------------------------------------------------------------------------------------------------------
CANADA--0.2%
Canada (Government of) Bonds, 5%, 6/1/14 [CAD] 16,280,000 14,142,871
- -----------------------------------------------------------------------------------------------------------
COLOMBIA--0.7%
Colombia (Republic of) Bonds, 12%, 10/22/15 [COP] 25,018,000,000 10,142,822
- -----------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 30,820,300,000 12,990,251
- -----------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 5,040,000 4,662,000
- -----------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Unsub. Nts., 11.375%, 1/31/08 [EUR] 10,686,000 15,849,683
------------
43,644,756
- -----------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.2%
Dominican Republic Bonds, Series REGS, 9.04%, 1/23/13 7,229,000 6,596,463
- -----------------------------------------------------------------------------------------------------------
Dominican Republic Unsec. Unsub. Bonds, 9.50%, 9/27/06 5,7 3,500,000 3,255,000
-----------
9,851,463
- -----------------------------------------------------------------------------------------------------------
ECUADOR--0.2%
Ecuador (Republic of) Unsec. Bonds, 8%, 8/15/30 2 14,479,000 13,139,693
- -----------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1%
El Salvador (Republic of) Bonds, 7.625%, 9/21/34 7 4,592,000 4,729,760
- -----------------------------------------------------------------------------------------------------------
FINLAND--0.1%
Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,879,000 3,751,560
- -----------------------------------------------------------------------------------------------------------
FRANCE--2.3%
France (Government of) Obligations Assimilables du Tresor Bonds:
5.50%, 10/25/07 [EUR] 10,787,000 14,959,144
5.50%, 10/25/10 [EUR] 4,968,000 7,200,551
5.75%, 10/25/32 [EUR] 24,497,000 40,256,685
- -----------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,080,371
5 yr., 5%, 7/12/05 [EUR] 41,012,000 53,586,256
5 yr., 5%, 1/12/06 [EUR] 19,570,000 25,915,416
------------
142,998,423
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------
GERMANY--2.2%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 40,473,000 $ 52,449,163
5.375%, 1/4/10 [EUR] 3,762,000 5,374,077
Series 02, 5%, 7/4/12 [EUR] 12,657,000 18,084,007
Series 140, 4.50%, 8/17/07 [EUR] 3,283,000 4,438,942
Series 143, 3.50%, 10/10/08 [EUR] 40,016,000 53,065,564
-------------
133,411,753
- ------------------------------------------------------------------------------------------------------------------
GREECE--0.8%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 11,298,000 14,944,883
4.60%, 5/20/13 [EUR] 2,619,000 3,624,292
- ------------------------------------------------------------------------------------------------------------------
Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 22,379,000 30,191,619
-------------
48,760,794
- ------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 7 2,802,000 3,267,833
10.25%, 11/8/11 1,150,000 1,341,188
-------------
4,609,021
- ------------------------------------------------------------------------------------------------------------------
HUNGARY--0.1%
Hungary (Government of) Bonds, Series 05/I, 8.50%, 10/12/05 [HUF] 1,468,430,000 7,728,333
- ------------------------------------------------------------------------------------------------------------------
ISRAEL--0.5%
Israel (State of) Aid Bonds, United States Gtd., 5.50%, 12/4/23 10,975,000 11,633,676
- ------------------------------------------------------------------------------------------------------------------
Israel (State of) Bonds, Series 2682,7.50%, 3/31/14 [ILS] 67,570,000 16,338,838
-------------
27,972,514
- ------------------------------------------------------------------------------------------------------------------
ITALY--1.2%
Italy (Republic of) Treasury Bonds:
Buoni del Tesoro Poliennali, 4.50%, 3/1/07 [EUR] 10,686,000 14,371,377
Buoni del Tesoro Poliennali, 4.75%, 7/1/05 [EUR] 6,390,000 8,335,669
Buoni del Tesoro Poliennali, 5%, 10/15/07 [EUR] 18,703,000 25,672,591
Buoni del Tesoro Poliennali, 5.25%, 12/15/05 [EUR] 20,376,000 26,936,796
-------------
75,316,433
- ------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.0%
Ivory Coast (Government of) Front Loaded Interest Reduction
Bonds, 3/29/18 1,3,4 87,000 15,116
- ------------------------------------------------------------------------------------------------------------------
Ivory Coast (Government of) Past Due Interest Bonds, 3/29/18 1,3,4 [FRF] 90,454,126 2,904,757
-------------
2,919,873
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
JAPAN--1.6%
Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 10,545,700,000 $98,787,137
- -----------------------------------------------------------------------------------------------------------------
MEXICO--1.0%
Mexican Williams Sr. Nts., 3.242%, 11/15/08 1,2 1,500,000 1,553,438
- -----------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
7.50%, 4/8/33 10,152,000 10,786,500
8.30%, 8/15/31 5,979,000 6,860,903
SeriesMI10, 8%, 12/19/13 [MXN] 133,391,000 10,254,925
SeriesM20, 8%, 12/7/23 [MXN] 196,136,200 13,612,945
SeriesMI10, 9.50%, 12/18/14 2 [MXN] 88,263,400 7,359,301
- -----------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,408,000,000 14,097,070
-----------
64,525,082
- -----------------------------------------------------------------------------------------------------------------
NEW ZEALAND--0.2%
New Zealand (Government of) Bonds, 7%, 7/15/09 [NZD] 17,523,000 12,801,373
- -----------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,445,000 3,221,075
- -----------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,049,468 2,480,684
-----------
5,701,759
- -----------------------------------------------------------------------------------------------------------------
NORWAY--1.5%
Norway (Kingdom of) Bonds:
5.50%, 5/15/09 [NOK] 31,700,000 5,427,868
6%, 5/16/11 [NOK] 413,660,000 73,440,619
6.50%, 5/15/13 [NOK] 63,440,000 11,805,678
-----------
90,674,165
- -----------------------------------------------------------------------------------------------------------------
PANAMA--0.6%
Panama (Republic of) Bonds:
7.25%, 3/15/15 9,098,000 9,075,255
8.125%, 4/28/34 6,364,000 6,395,820
9.375%, 1/16/23 17,502,000 19,689,750
-----------
35,160,825
- -----------------------------------------------------------------------------------------------------------------
PERU--0.8%
Peru (Republic of) Bonds:
8.375%, 5/3/16 3,080,000 3,218,600
Series2, 9%, 1/31/12 [PEN] 9,180,000 2,844,547
Series8-1, 12.25%, 8/10/11 [PEN] 10,125,000 3,688,737
- -----------------------------------------------------------------------------------------------------------------
Peru(Republic of) Sr. Nts., 4.53%, 2/28/16 8 56,124,120 33,131,752
- -----------------------------------------------------------------------------------------------------------------
Peru(Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 7,395,000 7,727,775
-----------
50,611,411
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.8%
Philippines (Republic of) Bonds:
8.375%, 2/15/11 $ 6,243,000 $ 6,361,292
9.375%, 1/18/17 4,063,000 4,306,780
9.50%, 2/2/30 21,985,000 21,545,300
10.625%, 3/16/25 7,773,000 8,355,975
Series 5-56, 12.375%, 10/28/09 [PHP] 81,290,000 1,535,133
Series 5-57, 11.50%, 1/27/10 [PHP] 276,370,000 5,123,335
------------
47,227,815
- ----------------------------------------------------------------------------------------------------------------
POLAND--0.8%
Poland (Republic of) Bonds:
Series DS0509, 6%, 5/24/09 [PLZ] 111,325,000 35,983,089
Series DS1013, 5%, 10/24/13 [PLZ] 35,620,000 10,843,071
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,180,000 2,682,016
------------
49,508,176
- ----------------------------------------------------------------------------------------------------------------
PORTUGAL--0.4%
Portugal (Republic of) Obrig Do Tes Medio Prazo Nts.:
3.25%, 7/15/08 [EUR] 13,930,000 18,270,451
4.875%, 8/17/07 [EUR] 4,728,000 6,444,331
------------
24,714,782
- ----------------------------------------------------------------------------------------------------------------
RUSSIA--1.9%
Aries Vermoegensverwaltungs GmbH Unsub. Nts.:
Series B, 7.75%, 10/25/09 1 [EUR] 5,880,000 8,601,185
Series C, 9.60%, 10/25/14 60,300,000 72,796,271
- ----------------------------------------------------------------------------------------------------------------
Ministry Finance of Russia Debs., Series VI, 3%, 5/14/06 1 17,240,000 16,949,851
- ----------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Bonds, 5%, 3/31/30 2,7 5,262,000 5,433,015
- ----------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 2 13,929,250 14,301,300
------------
118,081,622
- ----------------------------------------------------------------------------------------------------------------
SOUTH AFRICA--0.6%
South Africa (Republic of) Bonds:
Series R157, 13.50%, 9/15/15 [ZAR] 55,260,000 11,720,233
Series R186, 10.50%, 12/21/26 [ZAR] 84,263,000 16,869,199
Series R203, 8.25%, 9/15/17 [ZAR] 22,894,000 3,544,740
Series R204, 8%, 12/21/18 [ZAR] 23,568,000 3,568,977
------------
35,703,149
- ----------------------------------------------------------------------------------------------------------------
SPAIN--1.3%
Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado,
5.75%, 7/30/32 [EUR] 19,900,000 32,626,966
- ----------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 2.02%, 6/17/05 8 [EUR] 34,730,000 44,820,487
------------
77,447,453
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------
SWEDEN--2.0%
Sweden (Kingdom of) Bonds:
Series 1043, 5%, 1/28/09 [SEK] 83,065,000 $ 12,587,797
Series 1045, 5.25%, 3/15/11 [SEK] 716,810,000 111,641,873
--------------
124,229,670
- ------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.4%
Netherlands (Kingdom of the) Bonds, 5.50%, 1/15/28 [EUR] 16,529,000 25,861,715
- ------------------------------------------------------------------------------------------------------------------
TURKEY--0.7%
Turkey (Republic of) Nts., 7.25%, 3/15/15 23,202,000 22,795,965
- ------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Sr. Unsec. Unsub. Nts., 11.875%, 1/15/30 14,230,000 18,961,475
--------------
41,757,440
- ------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.4%
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 79,104,000 145,899,246
- ------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.3%
Venezuela (Republic of) Debs., Series DL, 3.625%, 12/18/07 2 20,016 20,016
- ------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Nts.:
7%, 3/16/15 [EUR] 11,560,000 14,190,944
8.50%, 10/8/14 4,562,000 4,512,388
--------------
18,723,348
--------------
Total Foreign Government Obligations (Cost $1,878,173,149) 1,959,756,261
- ------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.9%
Algeria (Republic of) Loan Participation Nts., 4.003%, 3/4/10 1,2 6,634,475 6,551,544
- ------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Indonesia (Republic of) Rupiah Loan Participation Nts., 3.813%, 1/25/06 2 23,680,000 23,746,304
OAO Gazprom Loan Participation Nts., 8.27%, 8/4/05 1,2 25,000,000 25,685,000
--------------
Total Loan Participations (Cost $54,731,879) 55,982,848
- ------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.1%
- ------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--8.0%
- ------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.9%
Accuride Corp., 8.50% Sr. Sub. Nts., 2/1/15 7 1,585,000 1,561,225
- ------------------------------------------------------------------------------------------------------------------
ArvinMeritor, Inc., 8.75% Sr. Unsec. Unsub. Nts., 3/1/12 3,177,000 3,319,965
- ------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 1,829,000 1,957,030
- ------------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 700,000 579,250
- ------------------------------------------------------------------------------------------------------------------
Cooper Standard Automotive Group:
7% Sr. Nts., 12/15/12 7 650,000 607,750
8.375% Sr. Sub. Nts., 12/15/14 7 1,925,000 1,573,688
- ------------------------------------------------------------------------------------------------------------------
Dana Corp., 10.125% Nts., 3/15/10 3,370,000 3,538,409
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------
AUTO COMPONENTS Continued
Dura Operating Corp.:
8.625% Sr. Nts., Series B, 4/15/12 $ 2,407,000 $ 2,232,493
9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 2,888,000 3,182,142
9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,550,000 1,232,250
- ----------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3,4 3,658,000 2,359,410
- ----------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The), 7.857% Nts., 8/15/11 6,406,000 6,213,820
- ----------------------------------------------------------------------------------------------------------
Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 1,000,000 1,010,000
- ----------------------------------------------------------------------------------------------------------
Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,407,000 2,607,111
- ----------------------------------------------------------------------------------------------------------
Metaldyne Corp.:
10% Sr. Nts., 11/1/13 7 1,500,000 1,372,500
11% Sr. Sub. Nts., 6/15/12 4,717,000 3,844,355
- ----------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,577,000 3,979,413
- ----------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Sub. Nts., 11/15/14 7 3,851,000 3,764,353
10.25% Sr. Sec. Nts., Series B, 7/15/13 2,984,000 3,342,080
- ----------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,600,000 1,604,000
- ----------------------------------------------------------------------------------------------------------
Visteon Corp., 7% Sr. Unsec. Nts., 3/10/14 2,900,000 2,479,500
-----------
52,360,744
- ----------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.0%
Navistar International Corp., 6.25% Sr. Nts., 3/1/12 7 1,595,000 1,523,225
- ----------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.0%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4,693,000 4,622,605
- ----------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 3,851,000 4,178,335
- ----------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 3,466,000 3,769,275
- ----------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 1,3,4 33,500 --
- ----------------------------------------------------------------------------------------------------------
Carrols Corp., 9% Sr. Sub. Nts., 1/15/13 7 970,000 1,003,950
- ----------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,246,000 2,358,300
- ----------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,100,000 1,144,000
- ----------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625% Nts., 12/1/12 1,829,000 2,091,200
- ----------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,049,000 3,071,868
- ----------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 2,011,890
9% Sr. Sub. Nts., 3/15/12 6,932,000 7,573,210
- ----------------------------------------------------------------------------------------------------------
John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 2,984,000 3,215,260
- ----------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,749,125
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 4,621,000 5,048,443
- ----------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
8.375% Sr. Unsec. Sub. Nts., 2/1/11 4,910,000 5,327,350
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,050,000 1,134,000
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Mohegan Tribal Gaming Authority:
6.125% Sr. Nts., 2/15/13 7 $ 1,600,000 $ 1,576,000
6.375% Sr. Sub. Nts., 7/15/09 3,177,000 3,169,058
6.875% Sr. Sub. Nts., 2/15/15 7 2,230,000 2,218,850
8% Sr. Sub. Nts., 4/1/12 2,150,000 2,289,750
- ---------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 6,739,000 7,379,205
- ---------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
6.75% Sr. Sub. Nts., 3/1/15 7 1,595,000 1,579,050
8.875% Sr. Sub. Nts., 3/15/10 3,562,000 3,793,530
- ---------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 4,525,000 4,547,625
- ---------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 1,3,4 10,800,000 --
- ---------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 2,984,000 3,405,490
- ---------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 5,776,000 5,458,320
9.625% Sr. Nts., 6/1/14 1,209,000 1,121,348
9.75% Sr. Nts., 4/15/13 1,200,000 1,125,000
- ---------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 7,702,000 8,452,945
- ---------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 3,900,000 3,890,250
9.875% Sr. Unsec. Sub. Nts., 7/1/10 2,407,000 2,536,376
- ---------------------------------------------------------------------------------------------------------------
Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 4,814,000 5,187,085
- ---------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,658,000 4,188,410
- ---------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 7 11,553,000 11,033,115
------------
123,250,218
- ---------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.6%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,354,000 6,767,010
- ---------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,022,000 2,199,170
9.75% Sr. Sub. Nts., 9/15/10 10 2,238,000 2,608,532
- ---------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,503,000 2,690,725
- ---------------------------------------------------------------------------------------------------------------
KB Home:
8.625% Sr. Sub. Nts., 12/15/08 1,974,000 2,154,171
9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 744,853
- ---------------------------------------------------------------------------------------------------------------
Meritage Homes Corp., 6.25% Sr. Nts., 3/15/15 7 1,595,000 1,507,275
- ---------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 2,696,000 2,824,060
- ---------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 1,925,000 2,184,875
- ---------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,074,188
- ---------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,370,000 3,622,750
- ---------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,321,000 3,669,705
- ---------------------------------------------------------------------------------------------------------------
Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 4,621,000 4,621,000
-----------
37,668,314
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.0%
Leslie's Poolmart, Inc., 7.75% Sr. Nts., 2/1/13 7 $ 1,575,000 $ 1,598,625
- --------------------------------------------------------------------------------------------------------------
MEDIA--3.6%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3,4 1,400,000 1,162,000
8.125% Sr. Nts., Series B, 7/15/03 3,4 3,610,000 3,032,400
8.375% Sr. Nts., Series B, 2/1/08 3,4 4,236,000 3,600,600
9.25% Sr. Unsec. Nts., Series B, 10/1/02 3,4 6,065,000 5,140,088
9.875% Sr. Nts., Series B, 3/1/07 3,4 1,500,000 1,282,500
10.25% Sr. Unsec. Nts., 11/1/06 3,4 300,000 262,500
10.25% Sr. Unsec. Sub. Nts., 6/15/11 3,4 1,500,000 1,391,250
10.875% Sr. Unsec. Nts., 10/1/10 3,4 100,000 89,000
- --------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 2,696,000 2,669,040
- --------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Unsec. Sub. Nts., 3/1/14 1,450,000 1,392,000
9.50% Sr. Unsec. Sub. Nts., 2/1/11 6,799,000 7,002,970
- --------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 1,009,125
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 500,000 517,500
- --------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 2,888,000 3,090,160
- --------------------------------------------------------------------------------------------------------------
Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 1,3,4 [EUR] 3,000,000 388,888
- --------------------------------------------------------------------------------------------------------------
CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 931,500
- --------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/Charter Communications
Holdings Capital Corp.:
0%/11.75% Sr. Unsec. Sub. Disc. Nts., 5/15/11 11 11,932,000 8,292,740
8.375% Sr. Nts., Second Lien, 4/30/14 7 18,329,000 18,512,290
- --------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,829,000 1,993,610
- --------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 11 4,429,000 3,166,735
- --------------------------------------------------------------------------------------------------------------
Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,118,000 2,282,145
- --------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
6.75% Sr. Nts., 4/15/12 7 1,150,000 1,147,125
7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 8,279,000 8,651,555
- --------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec.
Nts., 11/15/09 4,140,000 4,574,700
- --------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
5.875% Sr. Nts., 11/15/11 5,161,000 4,980,365
8.50% Sr. Nts., 8/15/10 2,359,000 2,530,028
9.875% Sr. Sub. Nts., 8/15/13 4,138,000 4,634,560
- --------------------------------------------------------------------------------------------------------------
Dex Media, Inc., 8% Unsec. Nts., 11/15/13 6,883,000 7,158,320
- --------------------------------------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec.
Nts., 3/15/13 10,098,000 10,981,575
- --------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
6.625% Sr. Nts., 10/1/14 7 8,413,000 8,171,126
9.125% Sr. Nts., 1/15/09 2,124,000 2,277,990
- --------------------------------------------------------------------------------------------------------------
Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 2,696,000 2,655,560
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
MEDIA Continued
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub.
Nts., 3/1/14 $ 1,925,000 $ 2,011,625
- --------------------------------------------------------------------------------------------------------------
Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 1,400,000 1,466,500
- --------------------------------------------------------------------------------------------------------------
Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 109,000 101,915
- --------------------------------------------------------------------------------------------------------------
Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 1,500,000 1,571,250
- --------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,881,000
- --------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 2,118,000 2,054,460
- --------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,550,000 1,697,250
- --------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,796,000 4,807,990
- --------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875% Sr. Unsec. Sub. Nts., 10/1/13 2,275,000 2,240,875
- --------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 9% Sr. Unsec. Nts., 8/15/14 3,937,000 4,173,220
- --------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 5,017,000 5,142,425
8.875% Sr. Unsec. Nts., 5/15/11 109,000 114,178
- --------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I:
8.875% Sr. Nts., 12/15/10 7 2,696,000 2,952,120
10.875% Sr. Sub. Nts., 12/15/12 7 4,140,000 4,792,050
- --------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,792,000 3,001,400
- --------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 7 2,599,000 2,806,920
- --------------------------------------------------------------------------------------------------------------
Rogers Cable, Inc., 6.75% Sr. Sec. Nts., 3/15/15 1,750,000 1,732,500
- --------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,069,847
- --------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 10,975,000 11,249,375
8.75% Sr. Sub. Nts., 12/15/11 800,000 844,000
- --------------------------------------------------------------------------------------------------------------
Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,446,000 10,968,300
- --------------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,166,000 2,274,300
- --------------------------------------------------------------------------------------------------------------
WMG Holdings Corp.:
0%/9.50% Sr. Disc. Nts., 12/15/14 7,11 9,570,000 6,651,150
7.385% Sr. Nts., 12/15/11 2,7 1,270,000 1,308,100
- --------------------------------------------------------------------------------------------------------------
WRC Media, Inc./Weekly Reader Corp./Compass Learning, Inc.,
12.75% Sr. Sub. Nts., 11/15/09 7,124,000 6,598,605
------------
219,483,300
- --------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.1%
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 5,218,000 5,531,080
9.875% Nts., 10/1/11 1,350,000 1,464,750
------------
6,995,830
- --------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.5%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,680,000 5,822,000
- --------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 7 1,000,000 965,000
31 OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL Continued
AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 $ 5,295,000 $ 5,850,975
- --------------------------------------------------------------------------------------------------------------
Boise Cascade LLC/Boise Cascade Finance Corp., 7.125% Sr. Sub.
Nts., 10/15/14 7 3,177,000 3,232,598
- --------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 1 3,634,000 3,720,308
- --------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Unsec. Nts., 6/1/12 750,000 712,500
- --------------------------------------------------------------------------------------------------------------
Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 1,350,000 1,532,250
- --------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 1,3,4 4,300,000 --
- --------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 3,851,000 4,332,375
- --------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,250,000 1,250,000
-----------
27,418,006
- --------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Invista, Inc., 9.25% Sr. Nts.,
5/1/12 7 6,970,000 7,701,850
- --------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
7% Unsec. Nts., 11/1/06 1,500,000 1,548,750
7.73% Sr. Nts., 4/1/12 2,7 3,125,000 3,085,938
12.25% Sr. Nts., 12/15/12 3,229,000 3,535,755
- --------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 1,500,000 1,597,500
- --------------------------------------------------------------------------------------------------------------
Russell Corp., 9.25% Sr. Nts., 5/1/10 2,407,000 2,569,473
-----------
20,039,266
- --------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.1%
- --------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1 1,300,000 1,365,000
- --------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 1,925,000 2,069,375
-----------
3,434,375
- --------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.2%
Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 1,509,000 1,490,138
- --------------------------------------------------------------------------------------------------------------
Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 2,647,000 2,584,134
- --------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 1,3,4,12 8,836,185 --
- --------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 3,851,000 3,928,020
9.50% Sr. Sec. Nts., 2/15/11 1,925,000 2,050,125
-----------
10,052,417
- --------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.7%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 4,525,000 4,887,000
- --------------------------------------------------------------------------------------------------------------
Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 4,188,000 4,585,860
- --------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 7.50% Sr. Unsec. Nts., 11/1/14 1,150,000 1,150,000
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS Continued
Del Monte Corp.:
6.75% Sr. Sub. Nts., 2/15/15 7 $ 1,265,000 $ 1,239,700
8.625% Sr. Sub. Nts., 12/15/12 3,755,000 4,083,563
- --------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 6,017,000 6,408,105
- --------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 2,407,000 2,539,385
8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,836,000
- --------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1,800,000 1,953,000
- --------------------------------------------------------------------------------------------------------------
Pinnacle Foods Holding Corp., 8.25% Sr. Sub. Nts., 12/1/13 2,600,000 2,236,000
- --------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 2,936,000 3,038,760
8% Sr. Nts., Series B, 10/15/09 1,000,000 1,065,000
- --------------------------------------------------------------------------------------------------------------
Swift & Co., 10.125% Sr. Nts., 10/1/09 1,925,000 2,122,313
- --------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 3,851,000 7,359,306
-----------
44,503,992
- --------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.1%
Church & Dwight Co., Inc., 6% Sr. Sub. Nts., 12/15/12 7 1,900,000 1,862,000
- --------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 2,792,000 3,022,340
9.375% Sr. Unsec. Sub. Nts., 6/1/11 2,888,000 3,017,960
-----------
7,902,300
- --------------------------------------------------------------------------------------------------------------
ENERGY--3.3%
- --------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.4%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,829,000 1,947,885
- --------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 1,829,000 1,915,878
- --------------------------------------------------------------------------------------------------------------
Hornbeck Offshore Services, Inc., 6.125% Sr. Unsec. Nts., Series B, 12/1/14 2,455,000 2,430,450
- --------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 11,529,000 11,860,459
- --------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 1,925,000 2,054,938
- --------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,081,000 3,165,728
-----------
23,375,338
- --------------------------------------------------------------------------------------------------------------
OIL & GAS--2.9%
ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,733,000 1,882,750
- --------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Nts., 6/15/15 7 1,900,000 1,885,750
6.875% Sr. Unsec. Nts., 1/15/16 3,937,000 3,996,055
9% Sr. Nts., 8/15/12 1,000,000 1,108,750
- --------------------------------------------------------------------------------------------------------------
Delta Petroleum Corp., 7% Sr. Nts., 4/1/15 7 1,275,000 1,236,750
- --------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 5,181,000 5,181,000
- --------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,419,603
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 $ 8,891,000 $ 9,046,593
- --------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,370,000 3,589,050
- --------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 1,600,000 1,600,000
- --------------------------------------------------------------------------------------------------------------
Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 33,604,000 34,579,188
- --------------------------------------------------------------------------------------------------------------
Nak Naftogaz Ukraine, 8.125% Bonds, 9/30/09 1,180,000 1,205,724
- --------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,129,000 3,394,965
- --------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
7.375% Unsec. Unsub. Nts., 12/15/14 8,251,000 8,849,198
8.50% Unsub. Nts., 2/15/08 3,321,000 3,618,230
9.125% Unsec. Unsub. Nts., 10/13/10 7,336,000 8,491,420
- --------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 4,814,000 5,403,715
- --------------------------------------------------------------------------------------------------------------
Range Resources Corp., 6.375% Sr. Sub. Nts., 3/15/15 7 1,595,000 1,539,175
- --------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 2,984,000 3,062,748
8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,672,794
8.875% Sr. Nts., 3/15/10 2,599,000 2,831,091
- --------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 2,390,000 2,330,250
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,047,500
- --------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,156,000
- --------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 7 11,187,000 11,131,065
- --------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 13,526,000 14,595,771
- --------------------------------------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 7,509,000 7,884,450
9.625% Sr. Sub. Nts., 4/1/12 2,271,000 2,503,778
- --------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 15,562,000 16,320,648
7.625% Nts., 7/15/19 800,000 870,000
8.75% Unsec. Nts., 3/15/32 1,925,000 2,295,563
- --------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,122,000
- --------------------------------------------------------------------------------------------------------------
XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,006,000 5,742,388
------------
179,593,962
- --------------------------------------------------------------------------------------------------------------
FINANCIALS--1.8%
- --------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.1%
American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 1,550,000 1,015,250
- --------------------------------------------------------------------------------------------------------------
BCP Caylux Holdings Luxembourg SCA, 9.625% Sr. Sub. Nts., 6/15/14 7 3,828,000 4,383,060
- --------------------------------------------------------------------------------------------------------------
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 3,081,000 3,489,233
------------
8,887,543
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.9%
Bank Plus Corp., 12% Sr. Nts., 7/18/07 1 $ 4,012,000 $ 4,312,900
- -----------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 1 9,675,000 10,690,875
- -----------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
9.75% Sr. Unsec. Nts., 7/8/09 8 15,710,000 9,748,055
11.60% Sr. Unsec. Nts., 1/12/10 8 20,620,000 11,083,250
12.28% Sr. Unsec. Nts., 3/9/09 8 15,710,000 9,099,232
- -----------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
3.95% Nts., 1/25/12 1 [COP] 8,588,000,000 3,609,720
6.26% Nts., 12/8/09 1,2 [BRR] 6,890,000 2,586,976
- -----------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 1,3,4 4,970,000 --
- -----------------------------------------------------------------------------------------------------------------
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,658,000 4,078,670
-----------
55,209,678
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.3%
Affinia Group, Inc., 9% Sr. Sub. Nts., 11/30/14 7 1,600,000 1,488,000
- -----------------------------------------------------------------------------------------------------------------
AIG SunAmerica Global Financing II, 7.60% Sr. Sec. Nts., 6/15/05 7 1,690,000 1,703,926
- -----------------------------------------------------------------------------------------------------------------
American Commercial Lines LLC/American Commercial Lines Finance
Corp., 9.50% Sr. Nts., 2/15/15 7 960,000 996,000
- -----------------------------------------------------------------------------------------------------------------
Argentine Beverages Financial Trust, 7.375% Bonds, 3/22/12 1 3,485,000 3,485,000
- -----------------------------------------------------------------------------------------------------------------
Crystal US Holdings, Inc., 0%/10.50% Sr. Disc. Nts., Series B, 10/1/14 7,11 3,100,000 2,185,500
- -----------------------------------------------------------------------------------------------------------------
Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub.
Nts., 3/15/12 1,600,000 1,704,000
- -----------------------------------------------------------------------------------------------------------------
JSG Funding plc, 7.75% Sr. Sub. Nts., 4/1/15 7 2,965,000 2,772,275
- -----------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV, 10.25% Bonds, 7/21/00 1,3,4 14,961,000 --
- -----------------------------------------------------------------------------------------------------------------
Universal City Florida:
7.493% Sr. Nts., 5/1/10 2,7 950,000 988,000
8.375% Sr. Nts., 5/1/10 7 950,000 973,750
-----------
16,296,451
- -----------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.4%
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,617,000 2,826,360
- -----------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 1,591,000 1,630,775
- -----------------------------------------------------------------------------------------------------------------
Host Marriott LP:
6.375% Sr. Nts., 3/15/15 7 3,660,000 3,513,600
9.50% Sr. Nts., 1/15/07 4,814,000 5,102,840
- -----------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp.:
9.125% Sr. Unsec. Nts., 1/15/11 4,774,000 5,012,700
10.50% Sr. Unsec. Nts., 6/15/09 2,696,000 2,898,200
- -----------------------------------------------------------------------------------------------------------------
Trustreet Properties, Inc., 7.50% Sr. Nts., 4/1/15 7 2,705,000 2,705,000
-----------
23,689,475
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.1%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 $ 5,054,000 $ 5,192,985
- --------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.8%
- --------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.1%
Titan Petrochemicals Group Ltd., 8.50% Sr. Unsec. Nts., 3/18/12 7 5,804,000 5,455,760
- --------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.2%
Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 2,843,000 3,098,870
- --------------------------------------------------------------------------------------------------------------
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 1,550,000 1,581,000
- --------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 3,995,000 4,304,613
- --------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,429,770
-----------
11,414,253
- --------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.5%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,696,000 2,696,000
- --------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 6.50% Sr. Sub. Nts., 12/15/12 7 3,081,000 3,019,380
- --------------------------------------------------------------------------------------------------------------
Coventry Health Care, Inc., 6.125% Sr. Nts., 1/15/15 1 1,580,000 1,585,925
- --------------------------------------------------------------------------------------------------------------
DaVita, Inc.:
6.625% Sr. Nts., 3/15/13 7 3,185,000 3,169,075
7.25% Sr. Sub. Nts., 3/15/15 7 2,545,000 2,506,825
- --------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,339,875
9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,829,000 2,009,614
- --------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 3,167,000 3,329,309
- --------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,216,872
- --------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 2,888,000 3,140,700
- --------------------------------------------------------------------------------------------------------------
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,587,750
- --------------------------------------------------------------------------------------------------------------
HCA, Inc.:
6.30% Sr. Unsec. Nts., 10/1/12 8,857,000 8,892,835
6.375% Nts., 1/15/15 9,598,000 9,575,368
- --------------------------------------------------------------------------------------------------------------
HealthSouth Corp.:
7.625% Nts., 6/1/12 10,109,000 9,755,185
10.75% Sr. Unsec. Sub. Nts., 10/1/08 109,000 112,270
- --------------------------------------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,177,000 3,129,345
- --------------------------------------------------------------------------------------------------------------
NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 3,562,000 3,677,765
- --------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 2,875,000 3,191,250
- --------------------------------------------------------------------------------------------------------------
Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 2,359,000 2,665,670
- --------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,006,000 5,406,480
- --------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Sub. Nts., 2/1/15 7 3,190,000 3,205,950
- --------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 5,902,000 5,474,105
7.375% Nts., 2/1/13 109,000 103,278
9.875% Sr. Nts., 7/1/14 3,634,000 3,797,530
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 $ 6,850,000 $ 6,764,375
- --------------------------------------------------------------------------------------------------------------
Vicar Operating, Inc., 9.875% Sr. Sub. Nts., 12/1/09 1,000,000 1,087,500
-----------
92,440,231
- --------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.0%
Warner Chilcott Corp., 8.75% Sr. Sub. Nts., 2/1/15 7 1,565,000 1,580,650
- --------------------------------------------------------------------------------------------------------------
INDUSTRIALS--2.5%
- --------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,792,000 2,973,480
- --------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 1,400,000 1,533,000
8.875% Sr. Unsec. Sub. Nts., 5/1/11 1,838,000 1,870,165
- --------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 3,851,000 3,716,215
7.625% Sr. Sub. Nts., 6/15/12 1,700,000 1,814,750
- --------------------------------------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,070,000 2,287,350
- --------------------------------------------------------------------------------------------------------------
TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 2,984,000 3,077,250
- --------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 1,890,000 2,041,200
11% Sr. Sub. Nts., 2/15/13 1,623,000 1,825,875
- --------------------------------------------------------------------------------------------------------------
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 1,350,000 1,336,500
-----------
22,475,785
- --------------------------------------------------------------------------------------------------------------
AIRLINES--0.1%
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4 9,855,000 4,385,475
- --------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,311,000 2,495,880
- --------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Sub. Nts., 12/15/12 7 1,300,000 1,196,000
- --------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,097,000 2,317,185
- --------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 1,550,000 1,503,500
-----------
7,512,565
- --------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.7%
Allied Waste North America, Inc.:
7.25% Sr. Nts., 3/15/15 7 2,550,000 2,435,250
7.375% Sr. Sec. Nts., Series B, 4/15/14 2,600,000 2,366,000
8.875% Sr. Nts., Series B, 4/1/08 9,435,000 9,800,606
9.25% Sr. Sec. Debs., Series B, 9/1/12 4,477,000 4,812,775
- --------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1,3,4 3,462,000 --
- --------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 2,000,000 1,795,000
- --------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2,811,000 2,825,055
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---- ---------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES Continued
Corrections Corp. of America:
6.25% Sr. Nts., 3/15/13 7 $ 3,190,000 $ 3,078,350
7.50% Sr. Nts., 5/1/11 1,500,000 1,526,250
- --------------------------------------------------------------------------------------------------------------
Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 5,680,000 6,077,600
- --------------------------------------------------------------------------------------------------------------
Protection One, Inc./Protection One Alarm Monitoring, Inc.,
7.375% Sr. Unsec. Nts., 8/15/05 1 4,958,000 5,001,383
- --------------------------------------------------------------------------------------------------------------
Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 2,311,000 2,524,768
-----------
42,243,037
- --------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.0%
Integrated Electrical Services, Inc., 9.375% Sr. Sub. Nts., Series C, 2/1/09 1,245,000 1,201,425
- --------------------------------------------------------------------------------------------------------------
URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 2,406,000 2,754,870
-----------
3,956,295
- --------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 500,000 498,750
- --------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,178,335
- --------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7% Sr. Unsec. Debs., 10/15/28 2,118,000 2,088,820
-----------
4,765,905
- --------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 330,000 275,550
- --------------------------------------------------------------------------------------------------------------
MACHINERY--0.6%
AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 9,531,000 10,031,378
- --------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 9.25% Sr. Nts., 8/1/11 7 1,300,000 1,391,000
- --------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 7 2,214,000 2,180,790
- --------------------------------------------------------------------------------------------------------------
Dresser-Rand Group, Inc., 7.375% Sr. Sub. Nts., 11/1/14 7 950,000 954,750
- --------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 672,750
- --------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 3,755,000 4,111,725
- --------------------------------------------------------------------------------------------------------------
NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,311,000 2,501,658
- --------------------------------------------------------------------------------------------------------------
Terex Corp.:
9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,599,000 2,845,905
10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 5,295,000 5,784,788
- --------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 1,900,000 1,843,000
- --------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 3,851,000 4,082,060
-----------
36,399,804
- --------------------------------------------------------------------------------------------------------------
MARINE--0.3%
CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,113,000 7,014,668
- --------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 1,3,4 5,400,000 30,240
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
MARINE Continued
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts.,
6/30/07 1,3,4 $11,216,000 $ 9,365,360
-----------
16,410,268
- --------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 1,925,000 1,973,125
- --------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 3,888,000 3,615,840
9.625% Sr. Nts., 12/1/12 2,070,000 2,302,875
-----------
7,891,840
- --------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.1%
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 6,309,000 5,804,280
- --------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.2%
- --------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.2%
Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 6,699,000 5,811,383
- --------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1,3,4 11,529,000 6,052,725
-----------
11,864,108
- --------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.0%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,118,000 2,260,965
- --------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2%
Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 7,606,000 7,263,730
- --------------------------------------------------------------------------------------------------------------
Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 4,814,000 5,126,910
- --------------------------------------------------------------------------------------------------------------
Sanmina-SCI Corp., 6.75% Sub. Nts., 3/1/13 7 2,235,000 2,106,488
-----------
14,497,128
- --------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 1,3,4 [EUR] 2,116,376 27,434
- --------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 1,3,4 1,921,661 --
- --------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 1,3,4 [EUR] 6,150,000 338,819
-----------
366,253
- --------------------------------------------------------------------------------------------------------------
IT SERVICES--0.2%
DynCorp International LLC, 9.50% Sr. Sub. Nts., 2/15/13 7 4,570,000 4,461,463
- --------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,332,000 4,299,510
- --------------------------------------------------------------------------------------------------------------
Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 1,600,000 1,672,000
-------------
10,432,973
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.6%
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 7 $ 4,200,000 $ 4,147,500
- --------------------------------------------------------------------------------------------------
AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 2,968,000 3,569,020
- --------------------------------------------------------------------------------------------------
Amkor Technology, Inc., 9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,188,000 4,020,480
- --------------------------------------------------------------------------------------------------
Freescale Semiconductor, Inc., 7.125% Sr. Unsec. Nts., 7/15/14 2,203,000 2,313,150
- --------------------------------------------------------------------------------------------------
Huntsman International LLC, 7.375% Sr. Sub. Nts., 1/1/15 7 5,951,000 5,951,000
- --------------------------------------------------------------------------------------------------
MagnaChip Semiconductor Ltd., 8% Sr. Sub. Nts., 12/15/14 7 647,000 664,793
- --------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 12,666,667 12,603,334
-----------
33,269,277
- --------------------------------------------------------------------------------------------------
MATERIALS--4.4%
- --------------------------------------------------------------------------------------------------
CHEMICALS--1.3%
AEP Industries, Inc., 7.875% Sr. Nts., 3/15/13 7 955,000 963,831
- --------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1 1,700,000 1,139,000
- --------------------------------------------------------------------------------------------------
Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,658,000 3,996,365
- --------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 4,344,000 4,680,660
10.125% Sr. Unsec. Nts., 9/1/08 109,000 120,990
10.625% Sr. Unsec. Nts., 5/1/11 2,551,000 2,876,253
- --------------------------------------------------------------------------------------------------
Huntsman Co. LLC:
11.625% Sr. Unsec. Nts., 10/15/10 70,000 82,250
12% Sr. Nts., 7/15/12 7 591,000 694,425
- --------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
10.125% Sr. Unsec. Sub. Nts., 7/1/09 8,413,000 8,791,585
10.125% Sr. Unsec. Sub. Nts., 7/1/09 1 [EUR] 1,910,000 2,593,528
- --------------------------------------------------------------------------------------------------
Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 5,295,000 5,745,075
- --------------------------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 109,000 130,800
- --------------------------------------------------------------------------------------------------
Innophos, Inc., 8.875% Sr. Sub. Nts., 8/15/14 7 3,100,000 3,270,500
- --------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 3,947,000 4,243,025
- --------------------------------------------------------------------------------------------------
KI Holdings, Inc., 0%/9.875% Sr. Disc. Nts., 11/15/14 7,11 2,550,000 1,581,000
- --------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 109,000 117,175
9.625% Sr. Sec. Nts., Series A, 5/1/07 1,974,000 2,126,985
9.875% Sec. Nts., Series B, 5/1/07 3,245,000 3,342,350
10.50% Sr. Sec. Nts., 6/1/13 5,250,000 6,063,750
- --------------------------------------------------------------------------------------------------
Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 850,000 915,875
- --------------------------------------------------------------------------------------------------
PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,462,668 2,647,368
- --------------------------------------------------------------------------------------------------
Pioneer Cos., Inc., 6.59% Sr. Sec. Nts., 12/31/06 2 413,804 438,632
- --------------------------------------------------------------------------------------------------
PolyOne Corp.:
8.875% Sr. Unsec. Nts., 5/1/12 6,691,000 7,192,825
10.625% Sr. Unsec. Nts., 5/15/10 109,000 121,535
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
CHEMICALS Continued
Rhodia SA:
8% Sr. Nts., 6/1/10 [EUR] 2,715,000 $ 3,501,841
10.25% Sr. Unsec. Nts., 6/1/10 3,081,000 3,373,695
- --------------------------------------------------------------------------------------------------------------
Rockwood Specialties Group, Inc.:
7.50% Sr. Sub. Nts., 11/15/14 7 1,300,000 1,306,500
10.625% Sr. Unsec. Sub. Nts., 5/15/11 1,200,000 1,338,000
- --------------------------------------------------------------------------------------------------------------
Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 1 1,925,000 1,973,125
- --------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc., 10% Sr. Sec. Nts., 12/19/07 1,12 1,938,280 1,947,971
- --------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 973,000 1,069,084
-----------
78,385,998
- --------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.1%
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 7,11 5,110,000 2,746,625
- --------------------------------------------------------------------------------------------------------------
Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 3,081,000 3,504,638
-----------
6,251,263
- --------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.1%
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 3,466,000 3,821,265
10.875% Sr. Sec. Nts., 3/1/13 1,781,000 2,074,865
- --------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Nts., 10/15/12 7 1,250,000 1,256,250
9.875% Sub. Nts., 10/15/14 7 2,214,000 2,225,070
- --------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,488,000 5,789,840
9.50% Sr. Sub. Nts., 8/15/13 2,455,000 2,614,575
- --------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,342,250
- --------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,081,000 3,327,480
- --------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,938,580
8.25% Sr. Unsec. Nts., 5/15/13 1,609,000 1,709,563
8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,452,945
8.875% Sr. Sec. Nts., 2/15/09 5,584,000 5,988,840
- --------------------------------------------------------------------------------------------------------------
Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 11 2,050,000 1,855,250
- --------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 3,033,000 3,048,165
- --------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 4,525,000 4,694,688
9.25% Sr. Unsec. Nts., 2/1/08 4,332,000 4,635,240
9.75% Sr. Unsec. Nts., 2/1/11 7,606,000 8,176,450
- --------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,343,000 5,476,575
-----------
69,427,891
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
METALS & MINING--1.2%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 $ 3,409,000 $ 3,298,208
7.875% Sr. Unsec. Nts., 2/15/09 3,779,000 3,722,315
- --------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 5,180,000 5,363,631
8.875% Nts., 11/17/14 7 10,015,000 10,403,081
- --------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,081,000 3,111,810
- --------------------------------------------------------------------------------------------------------------
California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 2,311,000 2,207,005
- --------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 1,805,000 1,832,075
- --------------------------------------------------------------------------------------------------------------
IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,455,000 2,737,325
- --------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 1,3,4 1,586,000 --
- --------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,117,500
- --------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,812,000 3,304,100
- --------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,006,000 5,431,510
- --------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3,4 4,332,000 3,725,520
- --------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2,936,000 3,288,320
- --------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,182,500
- --------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.25% Sr. Nts., 2/15/15 7 4,760,000 4,688,600
- --------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,562,000 3,873,675
- --------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,177,000 3,288,195
- --------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 1,925,000 2,083,813
- --------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 1 2,311,000 2,484,325
- --------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 1,781,000 1,981,363
10.75% Sr. Nts., 8/1/08 2,937,000 3,392,235
-----------
72,517,106
- --------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.7%
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,734,000
- --------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,450,000 1,529,750
- --------------------------------------------------------------------------------------------------------------
Fort James Corp., 6.875% Sr. Nts., 9/15/07 2,407,000 2,512,306
- --------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 10,181,000 11,275,458
9.375% Sr. Unsec. Nts., 2/1/13 6,161,000 6,915,723
- --------------------------------------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 1,3,4 4,814,000 2,334,790
- --------------------------------------------------------------------------------------------------------------
JSG Holding plc, 11.50% Sr. Nts., 10/1/15 7,12 [EUR] 965,000 1,244,669
- --------------------------------------------------------------------------------------------------------------
Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 2,230,000 2,118,500
- --------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 1,900,000 1,852,500
- --------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 1,3,4 4,025,000 120,750
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS Continued
Tekni-Plex, Inc.:
8.75% Sr. Sec. Nts., 11/15/13 7 $ 1,009,000 $ 961,073
12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 4,380,000 3,679,200
- --------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc.:
7.75% Sr. Nts., 3/15/12 3,851,000 3,523,665
8.50% Sr. Unsec. Nts., 2/1/11 109,000 103,823
- --------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 1,12 3,061,000 3,367,100
-----------
43,273,307
- --------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--3.0%
- --------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.3%
American Tower Corp.:
7.125% Sr. Unsec. Nts., 10/15/12 600,000 600,000
9.375% Sr. Nts., 2/1/09 1,025,000 1,081,375
- --------------------------------------------------------------------------------------------------------------
Cincinnati Bell, Inc.:
7% Sr. Nts., 2/15/15 7 3,190,000 3,046,450
8.375% Sr. Sub. Nts., 1/15/14 7 1,120,000 1,108,800
- --------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 3,321,000 3,138,345
- --------------------------------------------------------------------------------------------------------------
Crown Castle International Corp.:
7.50% Sr. Nts., 12/1/13 2,070,000 2,282,175
7.50% Sr. Nts., Series B, 12/1/13 2,407,000 2,653,718
- --------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 1,3,4 6,486,356 --
- --------------------------------------------------------------------------------------------------------------
Intelsat Bermuda Ltd., 8.625% Sr. Nts., 1/15/15 7 3,160,000 3,239,000
- --------------------------------------------------------------------------------------------------------------
KPNQwest BV, 8.875% Sr. Nts., 2/1/08 1,3,4 [EUR] 5,000,000 259,259
- --------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 2,050,000 1,716,875
- --------------------------------------------------------------------------------------------------------------
MCI, Inc.:
6.908% Sr. Unsec. Nts., 5/1/07 2 4,700,000 4,794,000
7.688% Sr. Unsec. Nts., 5/1/09 2 7,400,000 7,714,500
- --------------------------------------------------------------------------------------------------------------
PanAmSat Holding Corp., 0%/10.375% Sr. Disc. Nts., 11/1/14 7,11 1,250,000 818,750
- --------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 4,763,000 4,584,388
- --------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.50% Sr. Nts., 2/15/11 7 1,500,000 1,473,750
- --------------------------------------------------------------------------------------------------------------
Qwest Corp., 9.125% Nts., 3/15/12 7 10,590,000 11,569,575
- --------------------------------------------------------------------------------------------------------------
Qwest Services Corp.:
14% Nts., 12/15/10 2,7 13,286,000 15,444,975
14.50% Nts., 12/15/14 7 5,727,000 6,943,988
- --------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 1,3,4 4,835,000 --
- --------------------------------------------------------------------------------------------------------------
Time Warner Telecom Holdings, Inc., 9.25% Sr. Nts., 2/15/14 7 3,190,000 3,078,350
- --------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC/Time Warner Telecom, Inc., 9.75% Sr
Nts., 7/15/08 2,142,000 2,099,160
- --------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 750,000 727,500
- --------------------------------------------------------------------------------------------------------------
Valor Telecom Enterprise, 7.75% Sr. Nts., 2/15/15 7 1,595,000 1,595,000
-----------
79,969,933
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.7%
Alamosa Delaware, Inc.:
11% Sr. Unsec. Nts., 7/31/10 $ 109,000 $ 124,533
12.50% Sr. Unsec. Nts., 2/1/11 5,391,000 6,118,785
- --------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 820,000 758,500
- --------------------------------------------------------------------------------------------------------------
American Tower Corp., 7.50% Sr. Nts., 5/1/12 3,947,000 4,025,940
- --------------------------------------------------------------------------------------------------------------
American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 8 5,776,000 4,360,880
- --------------------------------------------------------------------------------------------------------------
AT&T Corp., 9.05% Sr. Unsec. Nts., 11/15/11 2 12,557,000 14,330,676
- --------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 1,3,4 21,148,000 --
- --------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co. LLC/Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 4,910,000 5,450,100
- --------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 7 960,000 984,000
- --------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 8.875% Sr. Nts., 10/1/13 2,142,000 1,692,180
- --------------------------------------------------------------------------------------------------------------
IWO Escrow Co., 6.32% Sr. Sec. Nts., 1/15/12 2,7 810,000 830,250
- --------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., 8/1/15 18,320,000 19,442,100
- --------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc., 12.50% Sr. Nts., 11/15/09 6,392,000 7,063,160
- --------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc.:
7.50% Sec. Nts., 3/15/15 4,581,000 4,752,788
8% Sr. Sub. Nts., 12/15/12 5,194,000 5,362,805
- --------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
8.25% Sr. Sec. Nts., 3/15/12 1,600,000 1,640,000
9.625% Sr. Sub. Nts., Series B, 5/15/08 2,118,000 2,033,280
9.75% Sr. Sub. Nts., 1/15/10 4,404,000 4,051,680
9.875% Sr. Nts., 2/1/10 3,418,000 3,452,180
- --------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 8.50% Sr. Nts., 12/1/12 7 4,451,000 4,629,040
- --------------------------------------------------------------------------------------------------------------
SBA Telecommunications, Inc./SBA Communications Corp.,
0%/9.75% Sr. Disc. Nts., 12/15/11 11 5,641,000 4,893,568
- --------------------------------------------------------------------------------------------------------------
Triton PCS, Inc., 8.50% Sr. Unsec. Nts., 6/1/13 5,251,000 4,857,175
- --------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,772,073
- --------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 1,593,000 1,823,985
------------
105,449,678
- --------------------------------------------------------------------------------------------------------------
UTILITIES--2.0%
- --------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.4%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 7 7,798,000 8,538,810
- --------------------------------------------------------------------------------------------------------------
Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,118,619 2,277,516
- --------------------------------------------------------------------------------------------------------------
Calpine Corp.:
7.625% Sr. Nts., 4/15/06 3,430,000 3,344,250
8.41% Sr. Sec. Nts., 7/15/07 2,7 2,708,750 2,329,525
- --------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 2,118,000 2,318,202
- --------------------------------------------------------------------------------------------------------------
CITGO Trustees Cayman Ltd., 8.50% Nts., 12/21/14 1 4,477,000 4,253,150
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 $ 1,309,000 $ 1,354,815
7.75% Sr. Nts., 8/1/10 1,550,000 1,623,625
8.50% Sr. Nts., 4/15/11 2,407,000 2,611,595
9.875% Sr. Unsec. Nts., 10/15/07 2,994,000 3,263,460
- ---------------------------------------------------------------------------------------------------
Edison Mission Energy, 9.875% Sr. Unsec. Nts., 4/15/11 1,829,000 2,121,640
- ---------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 3,851,000 4,190,065
- ---------------------------------------------------------------------------------------------------
FPL Energy National Wind Power:
5.608% Nts., 3/10/24 7 1,915,000 1,898,462
6.125% Nts., 3/25/19 7 1,115,000 1,109,051
- ---------------------------------------------------------------------------------------------------
Funding Corp./Beaver Valley Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 956,000 1,118,480
- ---------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,691,000 11,973,920
- ---------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
7.625% Sr. Unsec. Nts., 5/1/06 3,4 2,214,000 2,512,890
8.30% Sr. Unsec. Nts., 5/1/11 3,4 700,000 784,000
- ---------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,550,000 1,635,250
- ---------------------------------------------------------------------------------------------------
NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 7 4,917,000 5,224,313
- ---------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 3,811,000 4,096,825
9.50% Sr. Sec. Nts., 7/15/13 4,910,000 5,364,175
- ---------------------------------------------------------------------------------------------------
Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 3,370,000 3,567,988
- ---------------------------------------------------------------------------------------------------
Texas Genco LLC, 6.875% Sr. Nts., 12/15/14 7 5,299,000 5,338,743
-----------
82,850,750
- ---------------------------------------------------------------------------------------------------
GAS UTILITIES--0.1%
AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr.
Unsec. Nts., Series B, 5/20/11 10 6,161,000 6,561,465
- ---------------------------------------------------------------------------------------------------
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,200,000 1,227,444
-----------
7,788,909
- ---------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.5%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 3,606,049 4,038,775
- ---------------------------------------------------------------------------------------------------
Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 8,200,000 5,863,000
- ---------------------------------------------------------------------------------------------------
Consumers Energy Co., 6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,253,868
- ---------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 2,953,000 2,635,553
8.75% Sr. Nts., 2/15/12 6,296,000 6,059,900
10.125% Sr. Sec. Nts., 7/15/13 7 7,413,000 8,117,235
- ---------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 2,980,185 3,309,868
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER Continued
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 7 $ 640,000 $ 639,885
--------------
31,918,084
- -----------------------------------------------------------------------------------------------------------------
WATER UTILITIES--0.0%
National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 1,829,000 2,043,908
--------------
Total Corporate Bonds and Notes (Cost $1,808,839,308) 1,784,055,273
SHARES
- -----------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.7%
- -----------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1,4,12 338,141 --
- -----------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub. Exchangeable Debs., Non-Vtg. 1,4 245,000 12,311,250
- -----------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F (converts into Dobson
Communications Corp., Cl. A common stock), Non-Vtg. 7 6,800 528,700
- -----------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1,4,12 11,723 1,172
- -----------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1,4 39,000 1,491,750
- -----------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 1,4,12 5,773 --
- -----------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc., 2.50% Cv., Series A 4 6,516 6,255
- -----------------------------------------------------------------------------------------------------------------
Paxson Communications Corp.:
14.25% Cum. Jr. Exchangeable, Non-Vtg. 1,12 1,479 10,060,898
14.25% Cum. Jr. Exchangeable, Non-Vtg. 1,4,12 -- 1,082
- -----------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 47,500 2,776,375
- -----------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg. 297 1,129
- -----------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 1,4,12 6,825 6,091,313
- -----------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 55,800 8,551,350
------------
Total Preferred Stocks (Cost $61,814,668) 41,821,274
- -----------------------------------------------------------------------------------------------------------------
COMMON STOCKS--4.2%
3i Group plc 93,640 1,188,262
- -----------------------------------------------------------------------------------------------------------------
Aetna, Inc. 16,800 1,259,160
- -----------------------------------------------------------------------------------------------------------------
All Nippon Airways Co. Ltd. 337,000 1,150,256
- -----------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. 12,200 1,173,762
- -----------------------------------------------------------------------------------------------------------------
American Stock Exchange Basic Industries SPDR 167,800 5,060,848
- -----------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. 15,800 1,202,380
- -----------------------------------------------------------------------------------------------------------------
Apache Corp. 19,700 1,206,231
- -----------------------------------------------------------------------------------------------------------------
Apple Computer, Inc. 4 29,900 1,245,933
- -----------------------------------------------------------------------------------------------------------------
Arriva plc 119,270 1,183,301
- -----------------------------------------------------------------------------------------------------------------
Asahi Glass Co. Ltd. 112,992 1,190,721
- -----------------------------------------------------------------------------------------------------------------
Ashland, Inc. 19,000 1,281,930
- -----------------------------------------------------------------------------------------------------------------
AutoNation, Inc. 4 62,800 1,189,432
- -----------------------------------------------------------------------------------------------------------------
BAE Systems plc 254,030 1,245,739
46 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- --------------------------------------------------------------------------------
COMMON STOCKS Continued
- --------------------------------------------------------------------------------
BASF AG 16,764 $ 1,187,603
- --------------------------------------------------------------------------------
Bear Stearns Cos., Inc. (The) 12,341 1,232,866
- --------------------------------------------------------------------------------
Beverly Hills Bancorp, Inc. 539,100 5,779,152
- --------------------------------------------------------------------------------
Billiton plc 85,680 1,151,208
- --------------------------------------------------------------------------------
BNP Paribas SA 17,230 1,220,616
- --------------------------------------------------------------------------------
Brambles Industries plc 213,220 1,220,887
- --------------------------------------------------------------------------------
Broadwing Corp. 15,344 63,524
- --------------------------------------------------------------------------------
Burlington Resources, Inc. 24,100 1,206,687
- --------------------------------------------------------------------------------
Capcom Co. Ltd. 124,700 1,217,578
- --------------------------------------------------------------------------------
Cavco Industries, Inc. 4 1,540 37,239
- --------------------------------------------------------------------------------
Cebridge Connections Holding LLC 4 7,208 --
- --------------------------------------------------------------------------------
Centex Corp. 19,830 1,135,664
- --------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 4 43,520 2,047,181
- --------------------------------------------------------------------------------
Chesapeake Energy Corp. 881,648 19,343,357
- --------------------------------------------------------------------------------
ChevronTexaco Corp. 20,400 1,189,524
- --------------------------------------------------------------------------------
Chiquita Brands International, Inc. 88,293 2,364,487
- --------------------------------------------------------------------------------
Chubb Corp. 15,800 1,252,466
- --------------------------------------------------------------------------------
CIGNA Corp. 13,900 1,241,270
- --------------------------------------------------------------------------------
CNP Assurances SA 17,480 1,238,326
- --------------------------------------------------------------------------------
ConocoPhillips 11,260 1,214,278
- --------------------------------------------------------------------------------
Conseco, Inc. 4 136,899 2,795,478
- --------------------------------------------------------------------------------
Continental AG 16,915 1,309,031
- --------------------------------------------------------------------------------
Countrywide Financial Corp. 35,790 1,161,743
- --------------------------------------------------------------------------------
Covad Communications Group, Inc. 4 168,383 202,060
- --------------------------------------------------------------------------------
Criimi MAE, Inc. 4 415,692 8,355,409
- --------------------------------------------------------------------------------
Crunch Equity Holdings, Cl. A 1,4 1,445 1,873,596
- --------------------------------------------------------------------------------
Cummins, Inc. 16,800 1,181,880
- --------------------------------------------------------------------------------
DaimlerChrysler AG 26,879 1,204,525
- --------------------------------------------------------------------------------
Dainippon Ink & Chemicals, Inc. 444,217 1,213,798
- --------------------------------------------------------------------------------
Daiwa Securities Group, Inc. 183,078 1,200,171
- --------------------------------------------------------------------------------
Dentsu, Inc. 470 1,284,249
- --------------------------------------------------------------------------------
Devon Energy Corp. 26,158 1,249,045
- --------------------------------------------------------------------------------
Dillard's, Inc., Cl. A 52,500 1,412,250
- --------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 4 407,475 823,100
- --------------------------------------------------------------------------------
E.ON AG 13,929 1,193,507
- --------------------------------------------------------------------------------
Eagle Materials, Inc. 519 42,008
- --------------------------------------------------------------------------------
Eagle Materials, Inc., Cl. B 1,745 137,506
- --------------------------------------------------------------------------------
Energy Select Sector SPDR Fund 119,400 5,122,260
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------
EOG Resources, Inc. 27,200 $1,325,728
- -----------------------------------------------------------------------------------
Equinix, Inc. 4 75,414 3,193,029
- -----------------------------------------------------------------------------------
Ford Motor Co. 100,000 1,133,000
- -----------------------------------------------------------------------------------
Gecina SA 11,650 1,330,471
- -----------------------------------------------------------------------------------
General Motors Corp. 35,549 1,044,785
- -----------------------------------------------------------------------------------
Geotek Communications, Inc., Series B, Escrow Shares 1,4,13 625 --
- -----------------------------------------------------------------------------------
Globix Corp. 4 100,917 373,393
- -----------------------------------------------------------------------------------
Heidelberger Zement AG 18,880 1,187,969
- -----------------------------------------------------------------------------------
Hilton Group plc 205,630 1,169,655
- -----------------------------------------------------------------------------------
Horizon Natural Resources Co. 1,4 133,333 --
- -----------------------------------------------------------------------------------
Horizon PCS, Inc., Cl. A 4 22,308 580,008
- -----------------------------------------------------------------------------------
Humana, Inc. 4 36,500 1,165,810
- -----------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 4 276,705 929,729
- -----------------------------------------------------------------------------------
iPCS, Inc. 4 62,692 2,075,105
- -----------------------------------------------------------------------------------
Ishikawajima-Harima Heavy Industries Co. Ltd. 4 773,000 1,247,123
- -----------------------------------------------------------------------------------
Japan Real Estate Investment Corp. 148 1,207,684
- -----------------------------------------------------------------------------------
Karstadt Quelle AG 107,517 1,080,146
- -----------------------------------------------------------------------------------
KB Home 10,456 1,228,162
- -----------------------------------------------------------------------------------
Kelda Group plc 107,850 1,218,782
- -----------------------------------------------------------------------------------
Klepierre 13,342 1,199,419
- -----------------------------------------------------------------------------------
Ladish Co., Inc. 4 30,000 354,000
- -----------------------------------------------------------------------------------
Lafarge SA 12,000 1,161,998
- -----------------------------------------------------------------------------------
Leap Wireless International, Inc. 4 26,853 699,521
- -----------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 13,700 1,289,992
- -----------------------------------------------------------------------------------
Lloyds TSB Group plc 132,784 1,199,440
- -----------------------------------------------------------------------------------
Loews Corp. 17,100 1,257,534
- -----------------------------------------------------------------------------------
Louisiana-Pacific Corp. 47,200 1,186,608
- -----------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 7,919 319,848
- -----------------------------------------------------------------------------------
Marathon Oil Corp. 26,000 1,219,920
- -----------------------------------------------------------------------------------
MCI, Inc. 56,621 1,410,995
- -----------------------------------------------------------------------------------
Merck KGaA 4 16,276 1,171,177
- -----------------------------------------------------------------------------------
MetLife, Inc. 30,400 1,188,640
- -----------------------------------------------------------------------------------
Mitchells & Butlers plc 187,950 1,223,591
- -----------------------------------------------------------------------------------
National City Corp. 35,000 1,172,500
- -----------------------------------------------------------------------------------
NCR Corp. 4 32,700 1,103,298
- -----------------------------------------------------------------------------------
Nippon Building Fund, Inc. 148 1,264,273
- -----------------------------------------------------------------------------------
Norfolk Southern Corp. 34,000 1,259,700
- -----------------------------------------------------------------------------------
Novar plc 341,370 1,201,507
48 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- --------------------------------------------------------------------------------
COMMON STOCKS Continued
Novell, Inc. 4 236,300 $ 1,408,348
- --------------------------------------------------------------------------------
NSK Ltd. 236,412 1,217,005
- --------------------------------------------------------------------------------
NTL, Inc. 4 249,447 15,882,290
- --------------------------------------------------------------------------------
Nucor Corp. 20,600 1,185,736
- --------------------------------------------------------------------------------
NVIDIA Corp. 4 45,100 1,071,576
- --------------------------------------------------------------------------------
Occidental Petroleum Corp. 17,087 1,216,082
- --------------------------------------------------------------------------------
OfficeMax, Inc. 38,400 1,286,400
- --------------------------------------------------------------------------------
Orbital Sciences Corp. 4 59,342 574,431
- --------------------------------------------------------------------------------
Peninsular & Oriental Steam Navigation Co. 207,110 1,133,064
- --------------------------------------------------------------------------------
PG&E Corp. 4 35,100 1,196,910
- --------------------------------------------------------------------------------
Phelps Dodge Corp. 12,000 1,220,760
- --------------------------------------------------------------------------------
Pilkington plc 541,930 1,213,574
- --------------------------------------------------------------------------------
Pioneer Cos., Inc. 4 159,194 3,613,704
- --------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 4 8,124 194,570
- --------------------------------------------------------------------------------
Prandium, Inc. 1,4,14 1,019,757 6,119
- --------------------------------------------------------------------------------
Premier Holdings Ltd. 1,4 799,833 --
- --------------------------------------------------------------------------------
Providian Financial Corp. 4 71,100 1,220,076
- --------------------------------------------------------------------------------
PSA Peugeot Citroen 19,080 1,212,426
- --------------------------------------------------------------------------------
Pulte Homes, Inc. 16,426 1,209,446
- --------------------------------------------------------------------------------
Rakuten, Inc. 1,384 1,206,789
- --------------------------------------------------------------------------------
Rockwell Automation, Inc. 20,900 1,183,776
- --------------------------------------------------------------------------------
RWE AG 20,611 1,246,391
- --------------------------------------------------------------------------------
Sega Sammy Holdings, Inc. 4 20,000 1,216,078
- --------------------------------------------------------------------------------
Sempra Energy 31,100 1,239,024
- --------------------------------------------------------------------------------
Severn Trent plc 71,267 1,232,294
- --------------------------------------------------------------------------------
Societe Generale, Cl. A 11,831 1,229,217
- --------------------------------------------------------------------------------
Sony Corp. 33,000 1,314,091
- --------------------------------------------------------------------------------
Sterling Chemicals, Inc. 1,4 10,524 436,746
- --------------------------------------------------------------------------------
Suez SA 46,163 1,242,295
- --------------------------------------------------------------------------------
Sumitomo Bakelite Co. Ltd. 190,000 1,185,396
- --------------------------------------------------------------------------------
Sunoco, Inc. 12,300 1,273,296
- --------------------------------------------------------------------------------
SUPERVALU, Inc. 38,900 1,297,315
- --------------------------------------------------------------------------------
Tate & Lyle plc 124,700 1,252,491
- --------------------------------------------------------------------------------
Telewest Global, Inc. 4 890,616 15,844,059
- --------------------------------------------------------------------------------
Telus Corp. 12,147 374,249
- --------------------------------------------------------------------------------
ThyssenKrupp AG 54,725 1,129,360
- --------------------------------------------------------------------------------
TonenGeneral Sekiyu K.K. 120,617 1,236,203
- --------------------------------------------------------------------------------
TUI AG 48,460 1,276,470
49| OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------
TVMAX Holdings, Inc. 1,4 56,750 $ 312,125
- -----------------------------------------------------------------------------------
TXU Corp. 16,100 1,282,043
- -----------------------------------------------------------------------------------
Unibail 10,091 1,196,248
- -----------------------------------------------------------------------------------
United States Steel Corp. 21,000 1,067,850
- -----------------------------------------------------------------------------------
United Utilities plc 104,810 1,249,789
- -----------------------------------------------------------------------------------
UnitedGlobalCom, Inc., Cl. A 4 2,177,452 20,598,649
- -----------------------------------------------------------------------------------
Unocal Corp. 20,800 1,283,152
- -----------------------------------------------------------------------------------
USA Mobility, Inc. 4 87,596 2,838,110
- -----------------------------------------------------------------------------------
Utilities Select Sector SPDR Fund 179,000 5,217,850
- -----------------------------------------------------------------------------------
Valero Energy Corp. 17,300 1,267,571
- -----------------------------------------------------------------------------------
Viatel Holding (Bermuda) Ltd. 1,4 42,692 28,817
- -----------------------------------------------------------------------------------
Vinci 8,505 1,225,978
- -----------------------------------------------------------------------------------
Walter Industries, Inc. 57,800 2,459,390
- -----------------------------------------------------------------------------------
Western Forest Products, Inc. 4 648,500 3,887,247
- -----------------------------------------------------------------------------------
WRC Media Corp. 1,4 15,559 311
- -----------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 16,600 1,201,342
- -----------------------------------------------------------------------------------
XO Communications, Inc. 4 28,777 71,367
- -----------------------------------------------------------------------------------
XTO Energy, Inc. 37,067 1,217,269
------------
Total Common Stocks (Cost $212,877,601) 257,941,189
UNITS
- -----------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.1%
American Tower Corp. Wts., Exp. 8/1/08 4,7 6,000 1,347,000
- -----------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 1,4 2,200 1
- -----------------------------------------------------------------------------------
Citigroup, Inc. Litigation Wts., Exp. 12/31/50 4 48,080 83,659
- -----------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 1,4 6,350 --
- -----------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 1,4 4,650 --
- -----------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 1,4 5,225 52
- -----------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 1,4 34,425 344
- -----------------------------------------------------------------------------------
Huntsman Co. LLC Wts., Exp. 5/15/11 1,4 3,500 1,836,625
- -----------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/15/05 1,4 46,860 --
- -----------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 1,4 69,399 555
Exp. 5/16/06 1,4 103 1
- -----------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 1,4 86,946 --
- -----------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07 1,4 7,780 --
- -----------------------------------------------------------------------------------
iPCS, Inc. Wts., Exp. 6/15/10 1,4 6,600 --
- -----------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 1,4 4,160 --
- -----------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,4 6,250 --
50 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
UNITS SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- ------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc. Wts., Exp. 4/16/07 4 14,440 $ 260
- ------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 1,4 8,000 --
- ------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06 1,4 16,650 167
- ------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/30/05 1,4 13,440 --
- ------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,4 17,082 109,389
- ------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 1,4 18,600 390,600
- ------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 4 7,000 4,707
- ------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 4 57,557 21,872
- ------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 4 43,168 9,929
- ------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 4 43,168 7,662
- ------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 1,4 44,000 4,400
-----------
Total Rights, Warrants and Certificates (Cost $1,680,361) 3,817,223
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--12.3%
- ------------------------------------------------------------------------------------------------------------
Aon Capital Markets/Helix 04 Ltd. Catastrophe Linked Nts.,
8.493%, 6/30/09 2 $ 5,750,000 5,774,380
- ------------------------------------------------------------------------------------------------------------
Arbor I Ltd. Catastrophe Linked Nts., 18.51%, 6/15/06 2,7 6,000,000 6,209,415
- ------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 20,650,000 6,183,708
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 32,385,000 9,697,791
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.80%, 1/3/08 [BRR] 14,555,051 3,448,075
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 19.85%, 1/2/09 [BRR] 16,696,006 3,382,598
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 20.40%, 1/5/10 [BRR] 17,436,319 3,061,543
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,128,879,323 2,188,824
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 [COP] 31,638,685,000 14,792,161
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 9,655,000,000 5,118,402
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 7,810,000,000 4,140,280
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,588,000,000 3,418,342
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 17,697,500,000 9,381,970
Dominican Republic Credit Linked Nts., 19.163%, 3/10/06 [DOP] 155,762,640 4,913,299
Dominican Republic Credit Linked Nts., 19.69%, 3/31/06 5,8 [DOP] 119,217,127 3,750,737
Dominican Republic Unsec. Credit Linked Nts., 23.60%, 3/3/06 [DOP] 319,089,077 10,114,102
Egypt(The Arab Republic of) Unsec. Credit Linked Nts., 8%,
10/28/05 [EGP] 28,210,000 4,588,989
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.407%,
2/9/06 [EGP] 40,871,000 6,433,659
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%,
12/29/05 [EGP] 9,790,000 1,583,617
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%,
1/12/06 [EGP] 32,190,000 5,190,360
Peruvian Sol Credit Linked Nts., Series II, 2.33%, 4/13/05 [PEN] 20,650,000 6,372,453
Ukraine (Republic of) Unsec. Credit Linked Nts., 8%, 5/25/05 [UAH] 37,316,058 7,264,161
Ukraine Hryvnia Unsec. Credit Linked Nts., 7.50%, 5/6/05 1 [UAH] 31,085,787 5,884,228
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- --------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman):
Russia (Government of) Linked Bonds, Series 24, 15%, 9/2/05 [RUR] 82,770,000 $ 3,141,822
Turkey (Republic of) Credit Linked Nts., Series EMG 7, 15%, 2/10/10 [TRY] 22,503,000 16,638,078
- --------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 222,859,000 8,102,786
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 211,810,000 8,287,484
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 [RUR] 202,590,000 8,147,980
OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 220,240,000 8,115,498
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108,
8.80%, 12/20/07 [RUR] 553,980,000 20,620,591
South African Rand Interest Bearing Linked Nts., Series FBi 43,
2.425%, 5/23/22 13,740,000 13,592,982
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%,
12/30/09 [UAH] 15,138,000 3,603,331
- --------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc.:
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., 20%, 10/18/07 2,663,000 3,000,961
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., Series EMG 4,
18.70%, 7/6/06 [TRY] 13,546,521 8,143,037
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., Series EM 868,
27.50%, 8/25/05 17,926,488 16,865,240
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., Series EM 872,
25.85%, 10/20/05 2 3,153,815 3,408,942
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., Series EM 880,
20%, 10/18/07 9,297,912 11,599,238
(Nassau Branch), Turkey (Republic of) Credit Linked Nts., Series NAS 316,
18.641%, 2/23/06 4,608,206 3,975,960
(Nassau Branch), Ukraine (Republic of) Credit Linked Nts., Series EMG 11,
11.94%, 12/30/09 [UAH] 4,564,000 1,086,379
- --------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Botswana (Republic of) Credit Linked Nts., 10.75%, 6/1/05 1 [BWP] 7,300,000 1,586,291
Brazil Real Credit Linked Nts., 9.638%, 3/3/10 [BRR] 32,168,840 5,783,162
European Investment Bank, Russian Federation Ruble Linked Nts.,
5.65%, 1/19/10 5,340,000 3,954,003
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 5,810,000 5,380,060
Indonesia (Republic of) Credit Linked Nts., 14.25%, 6/22/13 1 7,156,337 8,594,761
Indonesia (Republic of) Credit Linked Nts., Series II, 14.25%, 6/22/13 1 7,088,620 8,513,433
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/22/13 5 5,932,800 7,125,293
Moscow (City of) Linked Nts., 10%, 5/27/05 [RUR] 110,137,000 4,021,588
Moscow (City of) Linked Nts., 15%, 9/2/05 [RUR] 353,400,000 13,368,876
Nigeria (Federal Republic of) Credit Linked Nts., 11%, 6/2/05 [NGN] 783,093,000 5,743,271
Nigeria (Federal Republic of) Credit Linked Nts., 11%, 6/16/05 [NGN] 621,665,000 4,562,151
Nigeria (Federal Republic of) Credit Linked Nts., 11.64%, 6/2/05 [NGN] 506,967,000 3,718,139
Nigeria (Federal Republic of) Credit Linked Nts., 13%, 8/17/05 [NGN] 451,308,000 3,210,094
Nigeria (Federal Republic of) Credit Linked Nts., 13.25%, 4/14/05 [NGN] 365,430,000 2,736,463
OAO Gazprom I Credit Nts., 6.20%, 10/20/07 7,145,000 7,726,907
OAO Gazprom II Credit Nts., 5.95%, 4/20/07 7,145,000 7,642,773
Philippines (Republic of) Credit Linked Nts., 12%, 1/20/09 1 [PHP] 165,970,000 3,141,921
Philippines (Republic of) Credit Linked Nts., 12.375%, 11/1/09 1 [PHP] 325,490,000 6,344,085
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
Philippines (Republic of) Credit Linked Nts., 12.375%, 3/1/15 1 [PHP] 56,660,000 $ 1,036,216
Romania (The State of) Credit Linked Nts., 6%, 5/12/05 [ROL] 109,100,000,000 3,835,361
Romania (The State of) Credit Linked Nts., 11.49%, 12/7/06 [ROL] 58,983,700,000 2,213,529
Russian Federation Linked Nts., 8.40%, 12/2/09 [RUR] 148,752,000 5,481,064
Ukraine (Republic of) Credit Linked Nts., 6.57%, 8/5/11 35,010,000 37,844,760
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 1 [UAH] 32,072,000 7,239,558
Ukraine (Republic of) Credit Linked Nts., 11.70%, 5/31/06 [UAH] 13,119,000 2,643,840
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,047,000 472,063
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,254,000 1,672,859
Videocon International Ltd. Credit Linked Nts, 4.86%, 12/29/09 1 14,820,000 14,714,778
- ------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates:
Series 3-1, 7.75%, 12/29/09 7,15 79,623,000 77,831,483
Series 3-3, 8%, 12/29/09 7,15 95,438,000 92,813,455
- ------------------------------------------------------------------------------------------------------------------
Foundation RE Ltd. Catastrophe Linked Nts., 6.91%, 11/24/08 1,2 3,750,000 3,753,281
- ------------------------------------------------------------------------------------------------------------------
ING Bank NV:
Ukraine (Republic of) Credit Linked Nts., 11.89%, 12/30/09 [UAH] 8,594,000 2,034,381
Ukraine (Republic of) Credit Linked Nts.-A, 11.89%, 12/30/09 [UAH] 635,000 150,318
Ukraine (Republic of) Credit Linked Nts.-B, 11.89%, 12/30/09 [UAH] 8,156,000 1,930,697
- ------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Brazil (Federal Republic of) Credit Linked Nts., 15.89%, 1/2/15 8 [BRR] 77,779,620 6,358,411
Brazil (Federal Republic of) Credit Linked Nts., 16.13%, 1/2/15 8 [BRR] 25,509,180 2,085,352
- ------------------------------------------------------------------------------------------------------------------
Lehman Brothers International:
Romania (The State of) Treasury Bills Total Return Linked Nts.,
7.90%, 2/8/10 [ROL] 58,284,000,000 2,076,988
Romania (The State of) Treasury Bills Total Return Linked Nts.,
8.59%, 4/21/05 [ROL] 11,543,000,000 405,160
Romania (The State of) Treasury Bills Total Return Linked Nts.,
8.88%, 4/28/05 [ROL] 7,673,000,000 268,906
Romania (The State of) Treasury Bills Total Return Linked Nts.,
13.99%, 4/4/05 [ROL] 33,190,000,000 1,332,963
Romania (The State of) Treasury Bills Total Return Linked Nts.,
14.20%, 4/18/05 [ROL] 13,470,000,000 540,294
Romania (The State of) Treasury Bills Total Return Linked Nts.,
14.80%, 5/23/05 [ROL] 9,754,000,000 390,136
Romania (The State of) Treasury Bills Total Return Linked Nts.,
15%, 5/9/05 [ROL] 13,270,000,000 533,330
Turkey (Republic of) Treasury Bills Total Return Linked Nts.,
20%, 10/17/07 9,828,922 12,134,787
Turkey (Republic of) Treasury Bills Total Return Linked Nts.,
22.419%, 5/26/05 11,552,922 12,340,831
Turkey (Republic of) Treasury Bills Total Return Linked Nts.,
24.20%, 8/25/05 11,496,363 10,561,709
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Romania (The State of) Treasury Bills Total Return Linked Nts.,
6.50%, 3/8/10 [ROL] 153,893,000,000 $ 5,448,732
Romania (The State of) Treasury Bills Total Return Linked Nts.,
6.75%, 3/10/08 [ROL] 178,700,000,000 6,320,269
Romania (The State of) Treasury Bills Total Return Linked Nts.,
7.90%, 2/11/08 [ROL] 132,551,000,000 4,716,846
- -------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd. Catastrophe Linked Nts., 6.84%, 11/19/07 2,7 2,400,000 2,497,992
- -------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Fujiyama Ltd. Catastrophe Linked Nts.,
6.80%, 5/16/05 2,7 2,500,000 2,505,900
- -------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked
Nts., 7.76%, 6/15/07 1,2 250,000 258,233
- -------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Pioneer 2002 Ltd. Sec. Catastrophe
Linked Nts.:
Series 2002, Cl. A-A, 9.01%, 6/15/06 2,7 250,000 253,638
Series 2002-1, Cl. E-A, 7.26%, 6/15/06 2 1,500,000 1,514,561
Series 2003-II, Cl. A, 9.01%, 6/15/06 2,7 6,000,000 6,086,160
Series 2003-II, Cl. B, 8.01%, 6/15/06 2,7 6,000,000 6,137,835
Series 2003-II, Cl. C, 8.76%, 6/15/06 2,7 6,000,000 6,083,850
- -------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Redwood Capital V Catastrophe
Linked Nts., 6.71%, 1/9/07 1,2 6,250,000 6,263,125
- -------------------------------------------------------------------------------------------------------------------
UBS AG:
Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 35,291,700 8,817,455
OAO Gazprom III Credit Nts., 5.928%, 7/5/06 17,870,000 18,525,487
------------
Total Structured Notes (Cost $739,685,431) 754,503,267
DATE STRIKE CONTRACTS
- -------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0%
- -------------------------------------------------------------------------------------------------------------------
Mexican Nuevo Peso Put 1,4
(Cost $23,962) 4/7/05 $11.19 65,400,000 23,152
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--1.6%
- -------------------------------------------------------------------------------------------------------------------
Undivided interest of 30.09% in joint repurchase agreement (Principal Amount/
Value $334,731,000, with a maturity value of $334,755,361) with Cantor Fitzgerald
& Co./Cantor Fitzgerald Securities, 2.62%, dated 3/31/05, to be repurchased at
$100,719,330 on 4/1/05, collateralized by U.S. Treasury Bonds, 2.50%--3.625%,
5/31/06--7/15/09, with a value of $341,656,477 (Cost $100,712,000) $100,712,000 100,712,000
- -------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with
Cash Collateral from Securities Loaned) (Cost $6,467,255,920) 6,524,456,232
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.2%
- ----------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.1%
Whitehawk CDO Funding Corp., 3.08%, 6/15/05 16 $ 4,000,000 $ 4,000,000
- ----------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENT--0.0%
Undivided interest of 0.68% in joint repurchase agreement (Principal Amount/
Value $500,000,000, with a maturity value of $500,040,972) with Merrill
Lynch Securities/MLPFS, 2.95%, dated 3/31/05, to be repurchased at
$3,392,958 on 4/1/05, collateralized by AA Asset-Backed Securities,
0.0%-7.76%, 6/15/09-1/25/45, with a value of $525,002,014 16 3,392,680 3,392,680
- ---------------------------------------------------------------------------------------------------------------
MASTER FLOATING NOTE--0.0%
Merrill Lynch Mortgage Capital, 2.975%, 4/1/05 16 1,000,000 1,000,000
- ----------------------------------------------------------------------------------------------------------------
MEDIUM TERM FLOATING NOTE--0.1%
American Express Credit Corp., 2.845%, 4/18/05 16 3,080,623 3,080,623
- ----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston USA, Inc., 3.005%, 4/1/05 16 2,000,000 2,000,000
----------------
Total Investments Purchased with Cash Collateral from Securities Loaned
(Cost $13,473,303) 13,473,303
- ----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $6,480,729,223) 106.7% 6,537,929,535
- ----------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (6.7) (410,173,662)
---------------------------------
NET ASSETS 100.0% $ 6,127,755,873
=================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso
AUD Australian Dollar
BRR Brazilian Real
BWP Botswana Pula
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DOP Dominican Republic Peso
EGP Egyptian Pounds
EUR Euro
FRF French Franc
GBP British Pound Sterling
HUF Hungarian Forint
ILS Israeli Shekel
JPY Japanese Yen
MXN Mexican Nuevo Peso
NGN Nigeria Naira
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian New Sol
PHP Philippines Peso
PLZ Polish Zloty
ROL Romanian Leu
RUR Russian Ruble
SEK Swedish Krona
TRY New Turkish Lira
UAH Ukraine Hryvnia
ZAR South African Rand
1. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of March 31,2005 was $368,645,326, which represents
5.95% of the Fund's net assets, of which $6,119 is considered restricted. In
addition, the Fund held restricted currency with a value $3,997,671, which
represents 0.07% of the fund's net assets. See Note 12 of Notes to Financial
Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Issue is in default. See Note 1 of Notes to Financial Statements.
4. Non-income producing security.
5. When-issued security or forward commitment to be delivered and settled after
March 31,2005. See Note 1 of Notes to Financial Statements.
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
6. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $40,376,297 or 0.66% of the Fund's net assets
as of March 31,2005.
7. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $538,903,764 or 8.79% of the Fund's net
assets as of March 31,2005.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
10. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures sales contracts with an aggregate
market value of $22,814,512. See Note 6 of Notes to Financial Statements.
11. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
12. Interest or dividend is paid-in-kind.
13. Received as the result of issuer reorganization.
14. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended March 31,2005. The
aggregate fair value of securities of affiliated companies held by the Fund as
of March 31,2005 amounts to $6,119. Transactions during the period in which the
issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2004 ADDITIONS REDUCTIONS MARCH 31, 2005
- -------------------------------------------------------------------------------------------------
Prandium, Inc. 1,019,757 -- -- 1,019,757
UNREALIZED DIVIDEND
DEPRECIATION INCOME
- -------------------------------------------------------------------------------------------------
Prandium, Inc. $11,979,881 $ --
15. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
16. The security has been segregated to satisfy the forward commitment to return
the cash collateral received in securities lending transactions upon the
borrower's return of the securities loaned. See Note 13 of Notes to Financial
Statements.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
56 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 7. DISCLOSURE OF PROXY POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT COMPANIES
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The registrant's Board of Trustees has established a Governance Committee,
one function of which is to create and oversee the process by which shareholders
can submit nominees for positions on the Board. The Governance Committee has not
yet adopted a charter, but anticipates that it will do so in the coming months.
The Committee has temporarily adopted the process previously adopted by the
Audit Committee regarding shareholder submission of nominees for board
positions. Shareholders may submit names of individuals, accompanied by complete
and properly supported resumes, for the Governance Committee's consideration by
mailing such information to the Committee in care of the Fund. The Committee may
consider such persons at such time as it meets to consider possible nominees.
The Committee, however, reserves sole discretion to determine the candidates for
trustees and independent trustees to recommend to the Board and/or shareholders
and may identify candidates other than those submitted by Shareholders. The
Committee may, but need not, consider the advice and recommendation of the
Manager and its affiliates in selecting nominees. The full Board elects new
trustees except for those instances when a shareholder vote is required.
Shareholders who desire to communicate with the Board should address
correspondence to the Board of Trustees of the registrant, or to an individual
Trustee c/o the Secretary of the Fund at 6803 South Tucson Way, Centennial,
Colorado 80112 and may submit their correspondence electronically at
WWW.OPPENHEIMERFUNDS.COM under the caption "contact us." If your correspondence
is intended for a particular Trustee, please indicate the name of the Trustee
for whom it is intended. The sender should indicate in the address whether it is
intended for the entire board, the Independent Trustees as group, or to an
individual Trustee. The Governance Committee will consider if a different
process should be recommended to the Board.
ITEM 11. CONTROLS AND PROCEDURES
(a) Based on their evaluation of registrant's disclosure controls and
procedures (as defined in rule 30a-3(c) under the Investment Company
Act of 1940 (17 CFR 270.30a-3(c)) as of March 31, 2005, 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 changes in registrant's internal controls over
financial reporting that occurred during the registrant's last
fiscal quarter that has materially affected, or is reasonably likely
to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
(A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT)(NOT
APPLICABLE TO SEMIANNUAL REPORTS)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Strategic Income Fund
By: /s/ John V. Murphy
----------------------------
John V. Murphy
Principal Executive Officer
Date: May 13, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ John V. Murphy
----------------------------
John V. Murphy
Principal Executive Officer
Date: May 13, 2005
By: /s/ Brian W. Wixted
----------------------------
Brian W. Wixted
Chief Financial Officer
Date: May 13, 2005