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: September 30, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Oil & Gas 3.5%
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Media 3.2
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Hotels, Restaurants & Leisure 2.0
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Commercial Banks 1.8
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Health Care Providers & Services 1.5
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Wireless Telecommunication Services 1.5
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Diversified Telecommunication Services 1.3
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Electric Utilities 1.3
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Metals & Mining 1.1
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Containers & Packaging 1.1
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 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 28.3%
Corporate Bonds 26.8
Other Bonds 15.8
Government Agency Bonds 14.6
U.S. Government Bonds 7.2
Stocks 4.8
Cash Equivalents 2.4
Derivatives 0.1
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 2005, and are based on total market value of investments. The Fund
may invest without limit in below investment-grade securities, which carry a
greater risk that the issue may default on principal or interest payments, and
in foreign securities, which entail higher expenses and risks, such as currency
fluctuation.
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8 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF
THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2005, FOLLOWED
BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO AN APPROPRIATE
BROAD-BASED MARKET INDEX.
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. During its fiscal year ended
September 30, 2005, Oppenheimer Strategic Income Fund produced higher returns
than its primary benchmark, the Lehman Brothers Aggregate Bond Index. We
attribute the Fund's strong relative performance to its unhedged positions in
the emerging markets, where favorable movements in currency exchange rates
relative to the U.S. dollar helped support returns. Positive absolute returns
from U.S. government securities and high yield bonds contributed less robustly
to the Fund's relative performance.
Early in the reporting period, we shifted the Fund's emphasis in its
international portfolio from bonds of developed nations to the emerging markets.
We tended to focus on countries where we expected fiscal improvements to attract
more investment capital. This strategy proved to be especially successful in
Brazil, Mexico, Turkey and oil producing nations, such as Russia. However, due
to political concerns, the Fund did not participate in strong returns from
Venezuela.
In the high yield corporate bond market, we maintained a modestly
underweighted investment posture due to historically narrow yield differences
between high yield securities and U.S. Treasuries. In addition, we tended to
focus on higher quality securities from issuers with strong cash flows, such as
cell tower operators and energy companies.
Finally, we maintained a generally neutral posture with regard to U.S.
government securities. We set the Fund's average duration in a range we
considered to be in line with industry averages, and we placed a modest emphasis
on mortgage-backed securities that we believed would be less sensitive to
prepayment risks.
As of the reporting period's end, we have maintained the Fund's emphasis
on international markets, where falling interest rates and lower inflation may
create further opportunities.
COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 2005. In the case of Class A, Class B and Class C
shares, performance is measured over a ten fiscal year period; Class Y shares
since inception of the Class on January 26, 1998. In the case of Class N shares,
performance is measured from inception of the Class on March 1, 2001. The Fund's
performance reflects the deduction of the maximum initial sales charge on Class
A shares, the applicable contingent deferred sales charge on Class B, Class C,
Class N and Class Y shares, and reinvestments of all dividends and capital gains
distributions.
9 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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The Fund's performance is compared to the performance of the Lehman
Brothers Aggregate Bond Index and the Citigroup World Government Bond Index,
formerly Salomon Brothers World Government Bond Index. The former is a
broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government
securities and mortgage-backed securities widely regarded as a measure of the
performance of the domestic debt securities market. The latter is an unmanaged
index of fixed-rate bonds having a maturity of one year or more, widely regarded
as a benchmark of fixed-income performance on a worldwide basis. Index
performance reflects the reinvestment of dividends but does not consider the
effect of capital gains or transaction costs, and none of the data in the graphs
that follow shows the effect of taxes. The Fund's performance reflects the
effects of Fund business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Fund's performance, it must be noted that
the Fund's investments are not limited to the securities in the indices.
10 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS A SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class A)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class A) Aggregate Bond Index Government Bond Index
- ---------- --------------------- -------------------- ----------------------
09/30/1995 9,525 10,000 10,000
12/31/1995 9,919 10,426 10,295
03/31/1996 10,100 10,241 10,102
06/30/1996 10,366 10,299 10,143
09/30/1996 10,769 10,490 10,420
12/31/1996 11,168 10,805 10,668
03/31/1997 11,142 10,744 10,227
06/30/1997 11,593 11,139 10,537
09/30/1997 11,984 11,509 10,671
12/31/1997 12,102 11,848 10,693
03/31/1998 12,425 12,032 10,777
06/30/1998 12,507 12,313 10,991
09/30/1998 12,080 12,834 11,906
12/31/1998 12,304 12,877 12,329
03/31/1999 12,370 12,813 11,853
06/30/1999 12,410 12,701 11,445
09/30/1999 12,432 12,787 11,963
12/31/1999 12,801 12,771 11,803
03/31/2000 13,003 13,053 11,824
06/30/2000 13,075 13,280 11,806
09/30/2000 13,200 13,681 11,497
12/31/2000 13,084 14,256 11,991
03/31/2001 13,317 14,689 11,626
06/30/2001 13,206 14,771 11,444
09/30/2001 12,964 15,453 12,263
12/31/2001 13,544 15,460 11,872
03/31/2002 13,771 15,474 11,681
06/30/2002 13,765 16,046 13,042
09/30/2002 13,823 16,781 13,546
12/31/2002 14,471 17,045 14,187
03/31/2003 15,024 17,282 14,627
06/30/2003 16,007 17,715 15,195
09/30/2003 16,530 17,689 15,495
12/31/2003 17,307 17,745 16,302
03/31/2004 17,711 18,216 16,606
06/30/2004 17,386 17,771 16,053
09/30/2004 17,974 18,339 16,580
12/31/2004 18,972 18,514 17,989
03/31/2005 18,754 18,426 17,525
06/30/2005 19,395 18,980 17,275
09/30/2005 19,729 18,852 17,081
AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT
9/30/05
1-Year 4.55% 5-Year 7.32% 10-Year 7.03%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES
CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER
INFORMATION.
11 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS B SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class B)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class B) Aggregate Bond Index Government Bond Index
- ---------- --------------------- -------------------- ----------------------
09/30/1995 10,000 10,000 10,000
12/31/1995 10,394 10,426 10,295
03/31/1996 10,563 10,241 10,102
06/30/1996 10,821 10,299 10,143
09/30/1996 11,219 10,490 10,420
12/31/1996 11,611 10,805 10,668
03/31/1997 11,563 10,744 10,227
06/30/1997 12,008 11,139 10,537
09/30/1997 12,389 11,509 10,671
12/31/1997 12,486 11,848 10,693
03/31/1998 12,796 12,032 10,777
06/30/1998 12,856 12,313 10,991
09/30/1998 12,421 12,834 11,906
12/31/1998 12,600 12,877 12,329
03/31/1999 12,643 12,813 11,853
06/30/1999 12,689 12,701 11,445
09/30/1999 12,659 12,787 11,963
12/31/1999 13,009 12,771 11,803
03/31/2000 13,190 13,053 11,824
06/30/2000 13,237 13,280 11,806
09/30/2000 13,339 13,681 11,497
12/31/2000 13,229 14,256 11,991
03/31/2001 13,439 14,689 11,626
06/30/2001 13,270 14,771 11,444
09/30/2001 13,040 15,453 12,263
12/31/2001 13,624 15,460 11,872
03/31/2002 13,852 15,474 11,681
06/30/2002 13,847 16,046 13,042
09/30/2002 13,905 16,781 13,546
12/31/2002 14,557 17,045 14,187
03/31/2003 15,113 17,282 14,627
06/30/2003 16,102 17,715 15,195
09/30/2003 16,628 17,689 15,495
12/31/2003 17,410 17,745 16,302
03/31/2004 17,815 18,216 16,606
06/30/2004 17,489 17,771 16,053
09/30/2004 18,080 18,339 16,580
12/31/2004 19,084 18,514 17,989
03/31/2005 18,865 18,426 17,525
06/30/2005 19,510 18,980 17,275
09/30/2005 19,846 18,852 17,081
AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT
9/30/05
1-Year 3.94% 5-Year 7.25% 10-Year 7.09%
12 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS C SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class C)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class C) Aggregate Bond Index Government Bond Index
- ---------- --------------------- -------------------- ----------------------
09/30/1995 10,000 10,000 10,000
12/31/1995 10,394 10,426 10,295
03/31/1996 10,563 10,241 10,102
06/30/1996 10,798 10,299 10,143
09/30/1996 11,196 10,490 10,420
12/31/1996 11,612 10,805 10,668
03/31/1997 11,563 10,744 10,227
06/30/1997 11,984 11,139 10,537
09/30/1997 12,391 11,509 10,671
12/31/1997 12,463 11,848 10,693
03/31/1998 12,773 12,032 10,777
06/30/1998 12,833 12,313 10,991
09/30/1998 12,398 12,834 11,906
12/31/1998 12,577 12,877 12,329
03/31/1999 12,649 12,813 11,853
06/30/1999 12,667 12,701 11,445
09/30/1999 12,636 12,787 11,963
12/31/1999 13,017 12,771 11,803
03/31/2000 13,168 13,053 11,824
06/30/2000 13,247 13,280 11,806
09/30/2000 13,317 13,681 11,497
12/31/2000 13,208 14,256 11,991
03/31/2001 13,418 14,689 11,626
06/30/2001 13,282 14,771 11,444
09/30/2001 12,979 15,453 12,263
12/31/2001 13,572 15,460 11,872
03/31/2002 13,738 15,474 11,681
06/30/2002 13,707 16,046 13,042
09/30/2002 13,777 16,781 13,546
12/31/2002 14,360 17,045 14,187
03/31/2003 14,922 17,282 14,627
06/30/2003 15,870 17,715 15,195
09/30/2003 16,319 17,689 15,495
12/31/2003 17,056 17,745 16,302
03/31/2004 17,423 18,216 16,606
06/30/2004 17,071 17,771 16,053
09/30/2004 17,617 18,339 16,580
12/31/2004 18,562 18,514 17,989
03/31/2005 18,314 18,426 17,525
06/30/2005 18,906 18,980 17,275
09/30/2005 19,195 18,852 17,081
AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT
9/30/05
1-Year 7.96% 5-Year 7.58% 10-Year 6.74%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES
CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER
INFORMATION.
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS N SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class N)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class N) Aggregate Bond Index Government Bond Index
- ---------- --------------------- -------------------- ----------------------
03/01/2001 10,000 10,000 10,000
03/31/2001 9,799 10,050 9,712
06/30/2001 9,717 10,107 9,560
09/30/2001 9,539 10,573 10,244
12/31/2001 9,988 10,578 9,917
03/31/2002 10,122 10,588 9,757
06/30/2002 10,112 10,979 10,894
09/30/2002 10,177 11,482 11,316
12/31/2002 10,617 11,663 11,851
03/31/2003 11,044 11,825 12,219
06/30/2003 11,753 12,121 12,693
09/30/2003 12,092 12,103 12,944
12/31/2003 12,648 12,141 13,618
03/31/2004 12,929 12,464 13,872
06/30/2004 12,678 12,159 13,410
09/30/2004 13,094 12,548 13,850
12/31/2004 13,806 12,668 15,027
03/31/2005 13,632 12,607 14,640
06/30/2005 14,080 12,986 14,430
09/30/2005 14,307 12,899 14,268
AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT
9/30/05
1-Year 8.27% 5-Years N/A Since Inception (3/1/01) 8.13%
14 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class Y)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class Y) Aggregate Bond Index Government Bond Index
- ---------- --------------------- -------------------- ----------------------
01/26/1998 10,000 10,000 10,000
03/31/1998 10,181 10,027 9,981
06/30/1998 10,257 10,261 10,180
09/30/1998 9,936 10,695 11,028
12/31/1998 10,108 10,731 11,420
03/31/1999 10,194 10,678 10,979
06/30/1999 10,237 10,584 10,600
09/30/1999 10,241 10,656 11,081
12/31/1999 10,579 10,643 10,932
03/31/2000 10,732 10,878 10,951
06/30/2000 10,826 11,067 10,935
09/30/2000 10,912 11,401 10,648
12/31/2000 10,850 11,880 11,106
03/31/2001 11,049 12,241 10,768
06/30/2001 10,965 12,310 10,599
09/30/2001 10,740 12,877 11,358
12/31/2001 11,256 12,883 10,996
03/31/2002 11,419 12,895 10,819
06/30/2002 11,416 13,372 12,079
09/30/2002 11,498 13,984 12,546
12/31/2002 12,021 14,204 13,140
03/31/2003 12,496 14,402 13,548
06/30/2003 13,317 14,762 14,074
09/30/2003 13,721 14,741 14,351
12/31/2003 14,369 14,787 15,099
03/31/2004 14,706 15,181 15,380
06/30/2004 14,437 14,810 14,869
09/30/2004 14,927 15,283 15,356
12/31/2004 15,760 15,429 10,662
03/31/2005 15,590 15,355 16,232
06/30/2005 16,131 15,817 16,000
09/30/2005 16,379 15,710 15,820
AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES WITH SALES CHARGE OF THE FUND AT
9/30/05
1-Year 9.73% 5-Year 8.46% Since Inception 6.64%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES
CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER
INFORMATION.
15 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares.
Investors should consider the Fund's investment objectives, risks, and other
charges and expenses carefully before investing. The Fund's prospectus contains
this and other information about the Fund, and may be obtained by asking your
financial advisor, calling us at 1.800.525.7048 or visiting our website at
www.oppenheimerfunds.com. Read the prospectus carefully before investing.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%.
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 10-year 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.
16 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the 1-year period
Class N shares are subject to an annual 0.25% asset-based sales charge.
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
17 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended September 30, 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
18 | OPPENHEIMER STRATEGIC INCOME FUND
the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
- ------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(4/1/05) (9/30/05) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,052.00 $4.79
- ------------------------------------------------------------------------------
Class A Hypothetical 1,000.00 1,020.41 4.72
- ------------------------------------------------------------------------------
Class B Actual 1,000.00 1,047.90 8.71
- ------------------------------------------------------------------------------
Class B Hypothetical 1,000.00 1,016.60 8.58
- ------------------------------------------------------------------------------
Class C Actual 1,000.00 1,048.10 8.71
- ------------------------------------------------------------------------------
Class C Hypothetical 1,000.00 1,016.60 8.58
- ------------------------------------------------------------------------------
Class N Actual 1,000.00 1,049.60 7.17
- ------------------------------------------------------------------------------
Class N Hypothetical 1,000.00 1,018.10 7.06
- ------------------------------------------------------------------------------
Class Y Actual 1,000.00 1,050.70 3.81
- ------------------------------------------------------------------------------
Class Y Hypothetical 1,000.00 1,021.36 3.76
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 183/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended September 30, 2005 are as follows:
CLASS EXPENSE RATIOS
- ----------------------------
Class A 0.93%
- ----------------------------
Class B 1.69
- ----------------------------
Class C 1.69
- ----------------------------
Class N 1.39
- ----------------------------
Class Y 0.74
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.
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19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS September 30, 2005
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--3.0%
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 3.856%, 4/20/08 1 $ 1,450,000 $ 1,451,056
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BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2005-A, Cl. A2, 3.66%, 12/26/07 6,000,000 5,986,412
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Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.:
Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,660,000 4,578,240
Series 2005-1, Cl. A2B, 3.73%, 7/16/07 2,850,000 2,846,926
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Capital One Prime Auto Receivables Trust, Automobile Loan
Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 6,579,000 6,573,507
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Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1,192,465 1,186,047
Series 2005-B, Cl. AF1, 4.02%, 3/26/35 1,282,828 1,276,148
Series 2005-C, Cl. AF1, 4.196%, 6/25/35 3,710,942 3,699,454
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Chase Funding Mortgage Loan Asset-Backed Certificates,
Home Equity Mtg. Obligations:
Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 248,627 248,043
Series 2004-1, Cl. 1A2, 2.427%, 6/25/19 1,574,907 1,570,339
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Chase Manhattan Auto Owner Trust, Automobile Loan
Pass-Through Certificates:
Series 2002-A, Cl. A4, 4.24%, 9/15/08 648,450 648,990
Series 2002-B, Cl. A4, 4.21%, 1/15/09 332,093 332,346
Series 2005-A, Cl. A2, 3.72%, 12/15/07 4,920,000 4,900,279
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CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 3,730,375 3,715,569
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Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2001-A6, Cl. A6, 5.65%, 6/16/08 4,575,000 4,615,448
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CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized
Mtg. Obligations, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,110,000 4,926,615
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Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 15,441,000 16,160,416
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Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed
Certificates, Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 4,015,350 4,000,941
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2004-B, Cl. A2, 2.48%, 2/8/07 825,218 824,477
Series 2004-C, Cl. A2, 2.62%, 6/8/07 4,726,985 4,711,083
Series 2005-A, Cl. A2, 3.17%, 9/8/07 7,311,807 7,289,898
Series 2005-B, Cl. A2, 3.75%, 12/8/07 9,170,000 9,152,295
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DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 2,3 15,000,000 1,500
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DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 2 3,083,887 541,608
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Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 2,3 2,275,079 17,063
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Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates,
Series 2004-3, Cl. AF2, 3.80%, 7/25/34 4,930,000 4,907,643
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates:
Series 2004-A, Cl. A2, 2.13%, 10/15/06 $ 2,163,017 $ 2,160,077
Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,640,000 3,600,138
Series 2005-B, Cl. A2, 3.77%, 9/15/07 4,583,805 4,577,813
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Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized
Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 2 5,776,000 1,010,800
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Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 3,882,176
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Greenpoint Credit Manufactured Housing Contract Trust,
Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 1,446,090
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GS Auto Loan Trust, Automobile Loan Asset-Backed Securities,
Series 2005-1, Cl. A2, 4.32%, 5/15/08 12,749,000 12,735,296
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Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.,
Series 2003-3, Cl. A1, 1.50%, 1/15/08 882,741 881,731
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Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2002-2, Cl. A4, 4.49%, 9/17/07 934,801 935,631
Series 2005-1, Cl. A2, 3.21%, 5/21/07 2,309,329 2,302,955
Series 2005-3, Cl. A2, 3.73%, 10/18/07 4,850,000 4,828,037
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Lehman XS Trust, Home Equity Obligations:
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 6,196,437 6,221,889
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 4,200,000 4,218,375
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Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A,
Cl. C1, 0.127%, 3/24/14 1,2 3,207,835 64,157
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NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 1/25/29 2 4,420,411 1,193,511
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Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A,
Cl. A2, 2.55%, 1/15/07 1,952,784 1,948,702
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Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.,
Series 2005-C, Cl. A2, 3.99%, 1/15/08 7,617,000 7,599,279
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Onyx Acceptance Owner Trust, Automobile Receivable Obligations:
Series 2002-B, Cl. A4, 4.71%, 3/15/09 3,544,992 3,547,620
Series 2005-B, Cl. A2, 4.03%, 4/15/08 3,740,000 3,731,066
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Popular ABS Mortgage Pass-Through Trust, Home Equity
Pass-Through Certificates:
Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1,620,000 1,598,043
Series 2005-1, Cl. A F2, 3.914%, 5/25/35 990,000 976,023
Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1,670,000 1,656,864
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Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed
Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 3,590,000 3,570,708
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 7,425,236 7,439,805
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USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2004-2, Cl. A2, 2.41%, 2/15/07 1,394,967 1,393,026
Series 2004-3, Cl. A2, 2.79%, 6/15/07 2,595,684 2,589,246
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities:
Series 2004-A, Cl. A2, 2.47%, 1/22/07 $ 3,100,771 $ 3,092,151
Series 2005-A, Cl. A2, 3.52%, 4/20/07 4,040,000 4,026,503
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Wachovia Auto Owner Trust, Automobile Receivable Nts.,
Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,746,333 1,741,775
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 4,128,794 4,095,461
- ------------------------------------------------------------------------------------------------------------------------------------
WFS Financial Owner Trust, Automobile Receivable Obligations,
Series 2002-2, Cl. A4, 4.50%, 2/20/10 1,418,244 1,420,531
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Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2003-1, Cl. A3B, 1.99%, 5/15/07 1,079,739 1,072,875
Series 2004-1, Cl. A2A, 2.59%, 5/15/07 3,022,051 3,008,693
------------------
Total Asset-Backed Securities (Cost $234,061,465) 200,729,390
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--15.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 4,814,000 5,036,234
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,755,000 21,676,997
Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,507,000 10,719,204
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,853,428 6,015,014
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Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2004-6, Cl. A3, 4.512%, 12/10/42 3,524,000 3,446,843
Series 2005-2, Cl. A4, 4.783%, 7/10/43 6,110,000 6,059,627
Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,988,968
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Banc of America Funding Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 4,802,996 4,839,013
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Banc of America Mortgage Securities, Inc., Collateralized Mtg.
Obligations Pass-Through Certificates:
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 4,336,164 4,418,825
Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1,089,671 1,089,664
Series 2005-E, Cl. 2A2, 4.989%, 6/25/35 1 1,326,487 1,324,083
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Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 2,985,000 2,984,465
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Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 8.338%, 6/22/24 5 7,172,828 281,795
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Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations:
Series 2004-J9, Cl. 1A1, 4.01%, 10/25/34 1 2,129,787 2,131,608
Series 2005-10, Cl. AF1, 3.956%, 2/25/36 1,2 8,695,000 8,695,000
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6 9,895,232 10,049,845
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,347,878 2,397,502
- ------------------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 4.954%, 10/15/30 1,2 36,400,000 10,920,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Whole Loan, Collateralized Mtg. Obligations
Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 3,283,714 3,444,820
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 $ 6,984,485 $ 6,846,532
6%, 4/1/17-9/1/34 54,959,901 56,171,504
6%, 10/1/34 4 18,303,652 18,630,957
6.50%, 4/1/18-8/1/32 8,238,612 8,499,709
7%, 3/1/31-10/1/31 6,695,132 6,998,403
7.50%, 2/1/32 1,754,091 1,860,222
8.50%, 8/1/31 1,299,786 1,413,345
10%, 4/1/20-5/1/20 262,150 293,501
10.50%, 5/1/20 407,753 461,782
11.50%, 10/1/16 316,151 346,274
12%, 5/1/10-6/1/17 954,581 1,051,098
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Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd.
Multiclass Mtg. Participation Certificates, Series 2790, Cl. DY, 5.50%, 5/15/25 10,590,000 10,633,923
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 335,941 336,110
Series 2055, Cl. ZM, 6.50%, 5/15/28 2,572,989 2,644,206
Series 2080, Cl. Z, 6.50%, 8/15/28 1,649,662 1,691,126
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,945,840 2,004,650
Series 2387, Cl. PD, 6%, 4/15/30 2,416,245 2,435,355
Series 2410, Cl. NE, 6.50%, 9/15/30 975,301 976,380
Series 2430, Cl. ND, 6.50%, 1/15/31 1,653,182 1,653,956
Series 2456, Cl. BD, 6%, 3/15/30 1,102,666 1,106,860
Series 2498, Cl. PC, 5.50%, 10/15/14 129,328 129,459
Series 2500, Cl. FD, 4.268%, 3/15/32 1 1,189,679 1,199,183
Series 2526, Cl. FE, 4.168%, 6/15/29 1 1,406,570 1,414,024
Series 2551, Cl. FD, 4.168%, 1/15/33 1 1,094,413 1,102,960
Series 2583, Cl. KA, 5.50%, 3/15/22 4,356,885 4,373,591
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Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 177, Cl. B, 2.15%, 7/1/26 5 4,417,839 878,038
Series 183, Cl. IO, (1.647)%, 4/1/27 5 1,786,986 352,519
Series 192, Cl. IO, 7.84%, 2/1/28 5 770,719 140,164
Series 200, Cl. IO, 6.65%, 1/1/29 5 918,386 173,833
Series 203, Cl. IO, (3.049)%, 6/1/29 5 3,308,948 618,367
Series 204, Cl. IO, (12.668)%, 5/1/29 5 269,570 51,014
Series 205, Cl. IO, 0.57%, 9/1/29 5 4,903,219 930,773
Series 206, Cl. IO, (21.37)%, 12/1/29 5 1,558,938 323,656
Series 207, Cl. IO, (27.55)%, 4/1/30 5 1,731,272 336,117
Series 208, Cl. IO, (12.76)%, 6/1/30 5 2,943,947 561,408
Series 212, Cl. IO, 0.68%, 5/1/31 5 6,498,773 1,264,704
Series 214, Cl. IO, (18.50)%, 6/1/31 5 1,553,969 313,905
Series 2074, Cl. S, 7.05%, 7/17/28 5 996,428 110,931
Series 2079, Cl. S, 6.45%, 7/17/28 5 1,571,796 175,777
Series 2526, Cl. SE, 8.30%, 6/15/29 5 2,512,613 170,891
Series 2819, Cl. S, 3.36%, 6/15/34 5 23,738,290 2,120,024
Series 2920, Cl. S, 10.74%, 1/15/35 5 13,786,407 773,821
Series 3000, Cl. SE, 29.40%, 7/15/25 5 15,581,646 753,217
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/1/19-6/1/19 $ 5,631,150 $ 5,519,920
4.50%, 10/1/20 6 46,186,000 45,233,414
5%, 2/1/18-6/1/18 11,458,955 11,442,278
5%, 10/1/35-11/1/35 6 83,287,000 81,522,940
5.50%, 3/1/33-11/1/34 47,742,128 47,778,281
5.50%, 10/1/20-11/1/35 6 109,888,000 110,218,763
6%, 6/1/16-11/1/32 29,619,890 30,416,876
6%, 10/1/30 2 3,076,012 3,148,586
6%, 10/1/35-11/1/35 6 36,832,000 37,451,604
6.50%, 12/1/28-1/1/34 35,843,190 36,953,643
6.50%, 1/1/29 4 1,084,541 1,120,469
6.50%, 10/1/34-11/1/35 6 79,881,812 82,205,728
7%, 11/1/17 5,873,092 6,141,468
7.50%, 6/1/10-9/1/29 1,595,631 1,692,763
8.50%, 7/1/32 235,105 255,715
9.50%, 4/1/20-3/15/21 225,939 249,979
11%, 10/15/15-2/1/26 649,443 721,255
13%, 6/1/15 122,060 136,782
15%, 4/15/13 515,183 590,768
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Federal National Mortgage Assn. Grantor Trust, Commercial Mtg.
Obligations, Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-T3, Cl. IO, (9.268)%, 11/25/40 5 27,884,026 494,512
Trust 2001-T4, Cl. IO, 5.90%, 7/25/41 5 47,668,738 1,016,455
Trust 2001-T10, Cl. IO, (20.089)%, 12/25/31 5 251,040,637 4,178,873
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 290,955 299,758
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 3,820,224 3,953,380
Trust 1998-63, Cl. PG, 6%, 3/25/27 431,387 431,148
Trust 2001-50, Cl. NE, 6%, 8/25/30 1,173,086 1,180,077
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 267,372 276,231
Trust 2001-70, Cl. LR, 6%, 9/25/30 1,368,221 1,382,629
Trust 2001-72, Cl. NH, 6%, 4/25/30 947,580 952,821
Trust 2001-74, Cl. PD, 6%, 5/25/30 380,543 382,252
Trust 2002-77, Cl. WF, 4.189%, 12/18/32 1 1,657,518 1,668,407
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 363,484 362,931
Trust 2003-10, Cl. HP, 5%, 2/25/18 6,380,000 6,360,729
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 5,023,845
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 12,199,285
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,617,163
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,199,191
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,350,517
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
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 2002-28, Cl. SA, 3.78%, 4/25/32 5 $ 1,327,033 $ 116,905
Trust 2002-38, Cl. SO, 3.38%, 4/25/32 5 1,223,192 85,090
Trust 2002-39, Cl. SD, (0.75)%, 3/18/32 5 2,004,341 190,622
Trust 2002-48, Cl. S, 3.25%, 7/25/32 5 2,127,402 198,299
Trust 2002-52, Cl. SL, 3.278%, 9/25/32 5 1,262,869 119,343
Trust 2002-53, Cl. SK, (0.41)%, 4/25/32 5 1,249,806 126,656
Trust 2002-56, Cl. SN, 4.92%, 7/25/32 5 2,916,981 270,246
Trust 2002-77, Cl. IS, 3.90%, 12/18/32 5 2,083,958 206,659
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 221, Cl. 2, 3.68%, 5/1/23 5 1,625,329 318,996
Trust 240, Cl. 2, 10.66%, 9/1/23 5 2,504,482 479,649
Trust 247, Cl. 2, 10.005%, 10/1/23 5 335,144 66,027
Trust 301, Cl. 2, 0.38%, 4/1/29 5 2,611,290 490,010
Trust 303, Cl. IO, 5.666%, 11/1/29 5 1,604,618 327,719
Trust 313, Cl. 2, (17.85)%, 6/1/31 5 9,380,791 1,945,959
Trust 319, Cl. 2, 3.55%, 2/1/32 5 70,660 14,762
Trust 321, Cl. 2, 0.37%, 3/1/32 5 13,102,293 2,763,451
Trust 324, Cl. 2, (3.50)%, 6/1/32 5 9,149,044 1,840,716
Trust 327, Cl. 2, 8.823%, 8/1/32 5 229,953 44,322
Trust 329, Cl. 2, 5.98%, 1/1/33 5 380,555 81,123
Trust 333, Cl. 2, 6.08%, 3/1/33 5 9,400,297 2,031,588
Trust 338, Cl. 2, 3.859%, 6/1/33 5 4,897,862 1,059,081
Trust 346, Cl. 2, 9.96%, 12/1/33 5 14,217,737 3,037,008
Trust 350, Cl. 2, 6.81%, 2/1/34 5 753,231 160,549
Trust 2001-61, Cl. SH, 18.434%, 11/18/31 5 7,455,217 674,034
Trust 2001-63, Cl. SD, 7.928%, 12/18/31 5 95,283 8,267
Trust 2001-68, Cl. SC, 7.122%, 11/25/31 5 68,179 6,664
Trust 2001-81, Cl. S, 4.59%, 1/25/32 5 1,906,280 177,515
Trust 2002-9, Cl. MS, 3.09%, 3/25/32 5 2,494,653 242,192
Trust 2002-65, Cl. SC, 4.748%, 6/25/26 5 3,928,616 307,246
Trust 2002-77, Cl. SH, 9.38%, 12/18/32 5 2,261,287 226,164
Trust 2003-4, Cl. S, 17.21%, 2/25/33 5 3,943,284 410,773
Trust 2005-40, Cl. SA, 11.63%, 5/25/35 5 22,232,486 1,316,123
Trust 2005-40, Cl. SB, 18.37%, 5/25/35 5 9,336,417 545,460
Trust 2005-71, Cl. SA, 22.85%, 8/25/25 5 9,989,092 568,827
- ------------------------------------------------------------------------------------------------------------------------------------
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 2,897,111 3,007,568
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 6,580,000 6,579,721
- ------------------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,945,850
Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,610,000 1,581,986
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1997-C1, Cl. A3, 6.869%, 7/15/29 $ 2,041,965 $ 2,105,019
Series 1998-C1, Cl. F, 7.19%, 5/15/30 1 2,000,000 2,086,240
Series 2004-C3, Cl. A4, 4.547%, 12/10/41 2,320,000 2,272,964
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
3.75%, 7/20/27 1 15,909 16,164
7%, 1/15/28-1/20/30 3,739,315 3,932,715
8%, 1/15/28-9/15/28 2,001,329 2,145,021
11%, 10/20/19 39,806 43,743
12%, 11/20/13-9/20/15 57,868 65,184
12.50%, 12/15/13-11/15/15 2,305,528 2,578,129
13%, 10/15/15 3,473,017 3,907,701
13.50%, 6/15/15 4,514,138 5,114,073
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-6, Cl. SA, 8.01%, 3/16/28 5 1,936,398 197,600
Series 1998-19, Cl. SB, 5.78%, 7/16/28 5 3,153,006 349,865
- ------------------------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,197,733
- ------------------------------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations,
Series 2004-12, Cl. 3A1, 4.494%, 12/25/34 1 1,490,740 1,486,863
- ------------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,301,000 11,325,879
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,205,533
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,299,484
- ------------------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,870,248
- ------------------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates:
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,732,335
Series 2005-C5, Cl. A2, 4.885%, 9/15/40 3,520,000 3,527,096
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Collateralized Mtg. Obligations,
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 589,117 508,850
- ------------------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg.
Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 6,553,572 6,632,073
- ------------------------------------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg.
Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 1,116,261 1,112,678
- ------------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.735%, 6/15/21 1 638,747 638,218
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.313%, 2/15/28 1,7 12,862,980 12,847,098
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 10,125,831
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 $ 3,501,000 $ 3,658,095
- ------------------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,275,091
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real
Estate Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 2,3 624,465 --
Series 1992-2, Cl. B3, 10.95%, 4/15/09 1,2 782,343 7,823
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 421,381
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Collateralized
Mtg. Obligations:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 859,215 874,998
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 1,036,746 1,066,815
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1996-C1, Cl. F, 8.301%, 1/20/28 1,2 9,632,000 7,898,240
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg.
Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,410,032
- ------------------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, (3.677)%, 9/15/22 5 22,882,497 569,390
Series 1995-2B, Cl. 2IO, (2.461)%, 6/15/25 5 1,676,307 41,498
Series 1995-3, Cl. 1IO, (12.101)%, 9/15/25 5 54,839,898 503,781
- ------------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations:
Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,784,097
Series 2005-C20, Cl. A5, 5.087%, 7/15/42 3,570,000 3,582,674
- ------------------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized
Mtg. Pass-Through Certificates:
Series 2005-AR5, Cl. A1, 4.684%, 5/25/35 1 5,251,717 5,254,447
Series 2005-AR8, Cl. 2AB1, 4.08%, 7/25/45 1 6,074,749 6,074,749
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations:
Series 2004-DD, Cl. 2 A1, 4.53%, 1/25/35 1 2,945,201 2,939,784
Series 2004-N, Cl. A10, 3.803%, 8/25/34 1,329,314 1,330,486
Series 2004-W, Cl. A2, 4.594%, 11/25/34 1 620,382 618,943
------------------
Total Mortgage-Backed Obligations (Cost $1,018,609,510) 1,000,185,043
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--7.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8 61,690,000 56,511,063
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 150,000 147,310
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] 11,339,000 14,142,236
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts., 3.625%, 9/15/06 9 78,600,000 78,084,698
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4%, 2/28/07 $ 335,000 $ 333,197
4.25%, 7/15/07 9 505,000 503,936
4.25%, 8/15/10 4,9 49,830,000 49,237,820
6%, 5/15/08 4 15,044,000 15,631,077
6.625%, 9/15/09 4,9 30,056,000 32,326,941
7.25%, 5/15/30 9 6,706,000 8,876,129
- ------------------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. STRIPS, 6.05%, 1/15/21 8,9 51,220,000 24,630,469
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
4.65%, 6/15/35 9 3,990,000 3,814,085
Series A, 6.79%, 5/23/12 83,068,000 93,365,857
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bills, 3.32%, 10/6/05 9 98,270,000 98,225,028
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.50%, 8/15/28 4 152,000 170,834
7.25%, 5/15/16 9 2,734,000 3,383,005
STRIPS, 4.94%, 2/15/16 4,8 23,586,000 14,854,604
------------------
Total U.S. Government Obligations (Cost $492,674,006) 494,238,289
- ------------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--29.4%
- ------------------------------------------------------------------------------------------------------------------------------------
ARGENTINA--1.4%
Argentina (Republic of) Bonds:
1.20%, 12/31/38 1 [EUR] 8,670,000 4,141,969
1.33%, 12/31/38 1 25,745,000 10,233,638
3.663%, 9/30/14 1,2 [ARP] 13,011,900 4,618,749
4.005%, 8/3/12 1 57,154,125 52,035,459
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Bonds, 5.83%, 12/31/33 2 [ARP] 29,633,776 10,467,286
- ------------------------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 2,3 [ARP] 621,476 272,180
- ------------------------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina Bonds, 2%, 2/4/18 2 [ARP] 18,526,319 9,579,229
------------------
91,348,510
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--0.9%
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 74,011,000 57,399,868
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRIA--0.9%
Austria (Republic of) Nts., 3.80%, 10/20/13 7 [EUR] 46,245,000 58,601,733
- ------------------------------------------------------------------------------------------------------------------------------------
BELGIUM--0.3%
Belgium (Kingdom of) Bonds:
Series 26, 6.25%, 3/28/07 [EUR] 5,030,000 6,385,117
Series 28, 5.75%, 3/28/08 [EUR] 9,003,000 11,672,359
------------------
18,057,476
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.3%
Brazil (Federal Republic of) Bonds:
8%, 1/15/18 $ 10,343,000 $ 10,979,095
8.75%, 2/4/25 46,755,000 49,513,545
12.50%, 1/5/16 [BRR] 54,400,000 23,441,126
Series 15 yr., 4.313%, 4/15/09 1 115,302 115,302
------------------
84,049,068
- ------------------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.3%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,107,000 8,803,796
8.25%, 1/15/15 7 7,107,000 8,803,796
------------------
17,607,592
- ------------------------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.8%
Colombia (Republic of) Bonds, 12%, 10/22/15 [COP] 25,495,000,000 13,713,104
- ------------------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts.:
8.25%, 12/22/14 6,718,000 7,561,109
11.75%, 3/1/10 [COP] 23,854,260,000 12,156,302
- ------------------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 19,230,000 20,720,325
------------------
54,150,840
- ------------------------------------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.1%
Dominican Republic Unsec. Unsub. Bonds:
Series REG S, 9.04%, 1/23/18 4,423,286 4,912,060
Series REG S, 9.50%, 9/27/11 3,666,250 4,051,206
------------------
8,963,266
- ------------------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1%
El Salvador (Republic of) Bonds, 7.625%, 9/21/34 7 4,802,000 5,354,230
- ------------------------------------------------------------------------------------------------------------------------------------
FINLAND--0.0%
Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,994,000 3,612,663
- ------------------------------------------------------------------------------------------------------------------------------------
FRANCE--0.8%
France (Government of) Obligations Assimilables du Tresor Bonds:
4.75%, 10/25/12 [EUR] 25,000,000 33,513,311
5.50%, 10/25/07 [EUR] 2,762,000 3,525,322
5.50%, 10/25/10 [EUR] 8,533,000 11,587,671
- ------------------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
5 yr., 4.75%, 7/12/07 [EUR] 205,000 256,557
5 yr., 5%, 1/12/06 [EUR] 5,030,000 6,092,826
------------------
54,975,687
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
GERMANY--1.9%
Germany (Republic of) Bonds:
5.25%, 1/4/11 [EUR] 5,720,000 $ 7,703,215
5.375%, 1/4/10 [EUR] 3,762,000 5,010,348
Series 02, 5%, 7/4/12 [EUR] 12,657,000 17,152,855
Series 03, 3.75% 7/4/13 [EUR] 31,830,000 40,236,517
Series 140, 4.50%, 8/17/07 [EUR] 4,013,000 5,009,389
Series 143, 3.50%, 10/10/08 10 [EUR] 42,751,000 52,849,803
------------------
127,962,127
- ------------------------------------------------------------------------------------------------------------------------------------
GREECE--0.7%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 14,400,000 17,718,378
4.60%, 5/20/13 [EUR] 22,200,000 29,319,582
------------------
47,037,960
- ------------------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 7 2,972,000 3,644,415
10.25%, 11/8/11 1,205,000 1,477,631
------------------
5,122,046
- ------------------------------------------------------------------------------------------------------------------------------------
HUNGARY--0.1%
Hungary (Government of) Bonds, Series 05/I, 8.50%, 10/12/05 [HUF] 1,536,750,000 7,400,775
- ------------------------------------------------------------------------------------------------------------------------------------
INDONESIA--0.1%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 7 2,670,000 2,636,625
7.25%, 4/20/15 7 4,450,000 4,461,125
------------------
7,097,750
- ------------------------------------------------------------------------------------------------------------------------------------
ISRAEL--0.6%
Israel (State of) Aid Bonds, United States Gtd., 5.50%, 12/4/23 11,535,000 12,383,434
- ------------------------------------------------------------------------------------------------------------------------------------
Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 24,372,220
------------------
36,755,654
- ------------------------------------------------------------------------------------------------------------------------------------
ITALY--1.0%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali,
4.25%, 2/1/19 [EUR] 52,820,000 68,515,866
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN--4.0%
Japan (Government of) Bonds, 10 yr., Series 239, 1.40%, 6/20/12 [JPY] 29,237,000,000 263,071,188
- ------------------------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.3%
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 1,2 [MYR] 57,058,000 15,971,396
- ------------------------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,498,318
------------------
23,469,714
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEXICO--1.8%
Mexican Williams Sr. Nts., 4.24%, 11/15/08 1,2 $ 1,500,000 $ 1,550,625
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
7.50%, 4/8/33 10,622,000 12,348,075
8.30%, 8/15/31 6,209,000 7,776,773
11.375%, 9/15/16 45,000 66,488
Series MI10, 8%, 12/19/13 [MXN] 139,519,000 12,552,248
Series MI10, 9.50%, 12/18/14 1 [MXN] 158,044,700 15,559,447
Series M10, 10.50%, 7/14/11 1 [MXN] 199,100,000 20,405,279
Series M20, 8%, 12/7/23 1 [MXN] 204,981,200 17,657,062
Series M20, 10%, 12/5/24 1 [MXN] 100,065,000 10,321,318
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Treasury Bills, Series BI, 10.32%, 10/13/05 8 [MXN] 61,380,000 5,648,991
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,411,000,000 12,884,449
------------------
116,770,755
- ------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND--0.4%
New Zealand (Government of) Bonds, 7%, 7/15/09 [NZD] 16,330,000 11,695,773
- ------------------------------------------------------------------------------------------------------------------------------------
New Zealand (Government of) Treasury Bills, 6.47%, 3/22/06 8 [NZD] 23,440,000 15,721,321
------------------
27,417,094
- ------------------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,585,000 3,593,963
- ------------------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,901,139 2,730,552
------------------
6,324,515
- ------------------------------------------------------------------------------------------------------------------------------------
PANAMA--0.8%
Panama (Republic of) Bonds:
8.125%, 4/28/34 38,269,000 43,626,660
9.375%, 4/1/29 5,500,000 7,012,500
------------------
50,639,160
- ------------------------------------------------------------------------------------------------------------------------------------
PERU--1.9%
Peru (Republic of) Bonds:
7.35%, 7/21/25 12,005,000 12,785,325
7.84%, 8/12/20 [PEN] 113,790,000 35,093,476
8.375%, 5/3/16 3,210,000 3,771,750
9.91%, 5/5/15 [PEN] 54,017,000 19,179,832
Series 2, 9%, 1/31/12 [PEN] 9,590,000 3,228,413
Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 7,849,791
Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,052,121
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,148,000 1,130,780
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 50,528,968 32,495,685
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 7,705,000 9,342,313
------------------
128,929,486
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.8%
Philippines (Republic of) Bonds:
8%, 1/15/16 $ 13,200,000 $ 13,315,500
8.375%, 2/15/11 6,506,000 6,819,101
9.50%, 2/2/30 6,871,000 7,351,970
10.625%, 3/16/25 6,873,000 8,058,593
Series 5-57, 11.50%, 1/27/10 [PHP] 289,070,000 5,256,439
Series 5-56, 12.375%, 10/28/09 [PHP] 85,030,000 1,580,610
- ------------------------------------------------------------------------------------------------------------------------------------
Philippines (Republic of) Nts., 8.25%, 1/15/14 8,841,000 9,205,691
------------------
51,587,904
- ------------------------------------------------------------------------------------------------------------------------------------
POLAND--0.4%
Poland (Republic of) Bonds:
Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,623,396
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,905,388
- ------------------------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Nts., Series 0K0807, 4.19%, 8/12/07 8 [PLZ] 36,350,000 10,313,124
------------------
24,841,908
- ------------------------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.4%
Portugal (Republic of) Obrig Do Tes Medio Prazo Nts.:
3.25%, 7/15/08 [EUR] 14,570,000 17,840,173
4.875%, 8/17/07 [EUR] 4,993,000 6,268,839
- ------------------------------------------------------------------------------------------------------------------------------------
Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Nts.,
5.85%, 5/20/10 [EUR] 235,000 320,356
------------------
24,429,368
- ------------------------------------------------------------------------------------------------------------------------------------
RUSSIA--1.9%
Aries Vermoegensverwaltungs GmbH Unsub. Nts.:
Series B, 7.75%, 10/25/09 7 [EUR] 6,050,000 8,550,928
Series C, 9.60%, 10/25/14 62,720,000 82,881,846
- ------------------------------------------------------------------------------------------------------------------------------------
Ministry Finance of Russia Debs., Series VII, 3%, 5/14/11 14,310,000 12,689,035
- ------------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Debs., Series V, 3%, 5/14/08 18,010,000 17,095,902
- ------------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Bonds, 5%, 3/31/30 1,7 5,262,000 6,051,300
- ------------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 1 809,250 930,638
------------------
128,199,649
- ------------------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA--0.6%
South Africa (Republic of) Bonds:
Series 153, 13%, 8/31/10 [ZAR] 13,830,000 2,621,418
Series R157, 13.50%, 9/15/15 [ZAR] 57,840,000 12,399,122
Series R186, 10.50%, 12/21/26 [ZAR] 101,878,000 20,456,060
Series R203, 8.25%, 9/15/17 [ZAR] 23,964,000 3,817,642
Series R204, 8%, 12/21/18 [ZAR] 24,668,000 3,855,846
------------------
43,150,088
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
SPAIN--0.5%
Spain (Kingdom of) Bonds:
Bonos y Obligacion del Estado, 5.35%, 10/31/11 [EUR] 1,470,000 $ 2,010,396
Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 20,740,000 34,043,462
------------------
36,053,858
- ------------------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.4%
Netherlands (Kingdom of the) Bonds, 5.50%, 1/15/28 [EUR] 16,954,000 26,387,152
- ------------------------------------------------------------------------------------------------------------------------------------
TURKEY--0.6%
Turkey (Republic of) Bonds, 8%, 2/14/34 13,400,000 14,204,000
- ------------------------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts., 7.25%, 3/15/15 24,277,000 25,672,928
------------------
39,876,928
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.1%
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 79,164,000 138,679,421
- ------------------------------------------------------------------------------------------------------------------------------------
VENEZUELA--1.0%
Venezuela (Republic of) Bonds:
7%, 12/1/18 22,000 21,643
9.25%, 9/15/27 36,675,000 43,478,213
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Nts.:
7%, 3/16/15 [EUR] 11,640,000 15,154,173
8.50%, 10/8/14 4,562,000 5,075,225
------------------
63,729,254
------------------
Total Foreign Government Obligations (Cost $1,889,224,639) 1,947,570,553
- ------------------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Algeria (Republic of) Loan Participation Nts., 4.809%, 3/4/10 1,2 6,186,277 6,139,880
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Indonesia (Republic of) Rupiah Loan
Participation Nts., 3.813%, 1/25/06 1 24,645,000 24,787,941
------------------
Total Loan Participations (Cost $30,343,321) 30,927,821
- ------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--27.7%
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--7.6%
- ------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.6%
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,029,000 1,968,130
- ------------------------------------------------------------------------------------------------------------------------------------
Dana Corp., 10.125% Nts., 3/15/10 3,370,000 3,471,100
- ------------------------------------------------------------------------------------------------------------------------------------
Dura Operating Corp.:
8.625% Sr. Nts., Series B, 4/15/12 2,507,000 2,243,765
9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,850,000 1,295,000
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3 3,258,000 2,427,210
- ------------------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 6,531,000 6,351,398
9% Sr. Nts., 7/1/15 7 4,800,000 4,752,000
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS Continued
Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 $ 1,000,000 $ 1,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 4,022,505
- ------------------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,101,638
10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,461,790
- ------------------------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,700,000
- ------------------------------------------------------------------------------------------------------------------------------------
Visteon Corp.:
7% Sr. Unsec. Nts., 3/10/14 2,975,000 2,595,688
8.25% Sr. Unsec. Nts., 8/1/10 1,400,000 1,337,000
------------------
40,727,224
- ------------------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.3%
Ford Motor Credit Co.:
5.625% Nts., 10/1/08 5,400,000 5,106,224
5.80% Sr. Unsec. Nts., 1/12/09 800,000 747,006
7.375% Nts., 10/28/09 1,350,000 1,305,149
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp.:
5.125% Nts., 5/9/08 1,100,000 1,024,587
5.85% Sr. Unsec. Unsub. Nts., 1/14/09 3,100,000 2,888,760
6.875% Nts., 9/15/11 2,600,000 2,367,784
7.25% Nts., 3/2/11 4,700,000 4,375,202
------------------
17,814,712
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.0%
Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 150,000 158,250
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.0%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 5,093,000 5,016,605
- ------------------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,377,818
- ------------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,942,695
- ------------------------------------------------------------------------------------------------------------------------------------
Carrols Corp., 9% Sr. Sub. Nts., 1/15/13 7 1,015,000 1,035,300
- ------------------------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 7 795,000 805,931
- ------------------------------------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,522,505
- ------------------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,500,000 1,582,500
- ------------------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,479,233
- ------------------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,948,703
9% Sr. Sub. Nts., 3/15/12 7,132,000 7,595,580
- ------------------------------------------------------------------------------------------------------------------------------------
Kerzner International Ltd., 6.75% Sr. Sub. Nts., 10/1/15 7 3,190,000 3,106,263
- ------------------------------------------------------------------------------------------------------------------------------------
La Quinta Properties, Inc., 7% Sr. Sec. Nts., 8/15/12 75,000 77,438
- ------------------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,732,275
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,530,680
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
MGM Mirage, Inc.:
5.875% Sr. Nts., 2/27/14 $ 200,000 $ 191,000
8.375% Sr. Unsec. Sub. Nts., 2/1/11 4,910,000 5,302,800
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,284,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,670,000
6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,343,635
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,388,250
8% Sr. Sub. Nts., 4/1/12 2,950,000 3,127,000
- ------------------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,339,000 9,110,358
- ------------------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,640,025
8.875% Sr. Sub. Nts., 3/15/10 3,862,000 4,093,720
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 5,650,000 5,678,250
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3,7 10,800,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 3,184,000 3,589,960
- ------------------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 5,426,000 5,398,870
9.625% Sr. Nts., 6/1/14 618,000 611,820
9.75% Sr. Nts., 4/15/13 1,650,000 1,633,500
- ------------------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,102,000 8,871,690
- ------------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 8,125,000 8,165,625
6.875% Sr. Sub. Nts., 3/1/16 7 1,580,000 1,609,625
- ------------------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,378,830
- ------------------------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,303,000 10,865,009
------------------
128,707,493
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.5%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,947,240
- ------------------------------------------------------------------------------------------------------------------------------------
Blount, Inc., 8.875% Sr. Sub. Nts., 8/1/12 125,000 133,750
- ------------------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,022,000 2,153,139
9.75% Sr. Sub. Nts., 9/15/10 4 2,738,000 3,129,602
- ------------------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,971,180
- ------------------------------------------------------------------------------------------------------------------------------------
KB Home:
8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,642,093
9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,276,114
- ------------------------------------------------------------------------------------------------------------------------------------
Meritage Homes Corp., 6.25% Sr. Unsec. Nts., 3/15/15 1,665,000 1,531,800
- ------------------------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 2,871,000 2,899,710
- ------------------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 2,176,875
- ------------------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,050,125
- ------------------------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,694,950
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES Continued
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 $ 3,521,000 $ 3,811,483
------------------
35,418,061
- ------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 1,650,000 1,674,750
- ------------------------------------------------------------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,220,000 2,442,000
------------------
4,116,750
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA--3.2%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3 1,400,000 1,022,000
8.125% Sr. Nts., Series B, 7/15/03 3 2,325,000 1,743,750
8.375% Sr. Nts., Series B, 2/1/08 3 4,236,000 3,177,000
9.25% Sr. Unsec. Nts., Series B, 10/1/02 3 6,065,000 4,488,100
9.875% Sr. Nts., Series B, 3/1/07 3 1,800,000 1,350,000
10.25% Sr. Unsec. Sub. Nts., 6/15/11 3 800,000 612,000
10.875% Sr. Unsec. Nts., 10/1/10 3 200,000 150,000
- ------------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 2,846,000 2,838,885
- ------------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,371,750
9.50% Sr. Unsec. Sub. Nts., 2/1/11 7,159,000 6,836,845
- ------------------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 867,750
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 2,050,000 2,003,875
- ------------------------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,088,000 3,288,720
- ------------------------------------------------------------------------------------------------------------------------------------
CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 933,750
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings I LLC,
0%/11.75% Sr. Unsec. Unsub. Nts., 5/15/14 7,11 8,607,000 6,197,040
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/Charter Communications
Holdings Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 7 21,329,000 21,542,290
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,929,000 2,001,338
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 11 4,629,000 3,263,445
- ------------------------------------------------------------------------------------------------------------------------------------
Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,318,000 2,494,748
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 7,469,000 7,375,638
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr.
Unsec. Nts., 11/15/09 4,240,000 4,632,200
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
5.875% Sr. Nts., 11/15/11 5,461,000 5,433,695
8.50% Sr. Nts., 8/15/10 2,509,000 2,665,813
9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,912,871
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc., 8% Unsec. Nts., 11/15/13 10,333,000 10,668,823
- ------------------------------------------------------------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec.
Nts., 3/15/13 5,775,000 6,330,844
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
EchoStar DBS Corp.:
6.625% Sr. Unsec. Nts., 10/1/14 $ 8,988,000 $ 8,943,060
9.125% Sr. Nts., 1/15/09 2,124,000 2,240,820
- ------------------------------------------------------------------------------------------------------------------------------------
Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 2,696,000 2,699,370
- ------------------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec.
Sub. Nts., 3/1/14 1,925,000 1,997,188
- ------------------------------------------------------------------------------------------------------------------------------------
Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 1,118,000 1,028,560
- ------------------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Sub. Nts., 8/15/15 7 3,153,000 3,223,943
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,890,000
- ------------------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,079,433
- ------------------------------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,650,000 1,815,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom Broadband LLC, 8.50% Sr. Nts., 10/15/15 7 1,895,000 1,838,150
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 5,355,000 5,341,613
- ------------------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875% Sr. Unsec. Sub. Nts., 10/1/13 2,375,000 2,369,063
- ------------------------------------------------------------------------------------------------------------------------------------
News America Holdings, Inc., 8.875% Sr. Debs., 4/26/23 380,000 485,570
- ------------------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 5,317,000 5,383,463
8.875% Sr. Unsec. Nts., 5/15/11 118,000 124,195
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp., 6.875% Sr. Nts., 1/15/13 1,800,000 1,714,500
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I:
8.875% Sr. Nts., 12/15/10 7 2,696,000 2,904,940
10.875% Sr. Sub. Nts., 12/15/12 7 4,340,000 4,893,350
- ------------------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,193,960
- ------------------------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 7 2,899,000 3,105,554
- ------------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc.:
7.50% Sec. Nts., 3/15/15 4,931,000 5,337,808
8% Sr. Sub. Nts., 12/15/12 3,844,000 4,079,445
- ------------------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,800,416
- ------------------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 12,175,000 12,525,031
8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,160,500
- ------------------------------------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,266,000 2,350,975
- ------------------------------------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 11 6,485,000 4,571,925
------------------
209,301,002
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.3%
Neiman Marcus Group, Inc.:
9% Sr. Nts., 10/15/15 6,7 9,720,000 9,792,900
10.375% Sr. Sub. Nts., 10/15/15 6,7 4,860,000 4,860,000
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL Continued
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 $ 5,218,000 $ 5,531,080
9.875% Nts., 10/1/11 1,550,000 1,720,500
------------------
21,904,480
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.3%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 5,938,800
- ------------------------------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 950,000
- ------------------------------------------------------------------------------------------------------------------------------------
AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,295,000 5,745,075
- ------------------------------------------------------------------------------------------------------------------------------------
Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,168,968
- ------------------------------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Unsec. Nts., 6/1/12 800,000 681,000
- ------------------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 2,3 4,300,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 3,851,000 4,255,355
- ------------------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,250,000 1,195,313
------------------
21,934,511
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 7 5,830,000 6,369,275
- ------------------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
7% Unsec. Nts., 11/1/06 1,500,000 1,516,875
8.254% Sr. Unsec. Unsub. Nts., 4/1/12 1 3,270,000 3,278,175
9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,988,000 4,087,700
- ------------------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 1,650,000 1,724,250
- ------------------------------------------------------------------------------------------------------------------------------------
Quiksilver, Inc., 6.875% Sr. Nts., 4/15/15 7 2,215,000 2,137,475
- ------------------------------------------------------------------------------------------------------------------------------------
Russell Corp., 9.25% Sr. Nts., 5/1/10 2,507,000 2,544,605
------------------
21,658,355
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.0%
- ------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1,300,000 1,339,000
- ------------------------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,149,031
------------------
3,488,031
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.1%
Jean Coutu Group (PJC), Inc. (The):
7.625% Sr. Unsec. Nts., 8/1/12 100,000 102,250
8.50% Sr. Sub. Nts., 8/1/14 2,897,000 2,897,000
- ------------------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 2,3 8,836,185 --
- ------------------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,896,025
9.50% Sr. Sec. Nts., 2/15/11 2,025,000 2,156,625
------------------
9,051,900
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.7%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 $ 4,525,000 $ 4,841,750
- ------------------------------------------------------------------------------------------------------------------------------------
Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 3,988,000 4,486,500
- ------------------------------------------------------------------------------------------------------------------------------------
Del Monte Corp.:
6.75% Sr. Sub. Nts., 2/15/15 7 1,325,000 1,338,250
8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,271,400
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 7,292,000 7,984,740
- ------------------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,838,000 1,929,900
8.875% Sr. Unsec. Nts., 3/15/11 623,000 649,478
- ------------------------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1,900,000 1,938,000
- ------------------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,469,440
8% Sr. Nts., Series B, 10/15/09 2 1,300,000 1,381,250
- ------------------------------------------------------------------------------------------------------------------------------------
Swift & Co., 10.125% Sr. Nts., 10/1/09 1,925,000 2,081,406
- ------------------------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 [GBP] 4,351,000 8,182,683
------------------
42,554,797
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.1%
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,960,000
- ------------------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 3,092,000 3,254,330
9.375% Sr. Unsec. Sub. Nts., 6/1/11 2,888,000 3,028,790
------------------
8,243,120
- ------------------------------------------------------------------------------------------------------------------------------------
TOBACCO--0.0%
R.J. Reynolds Tobacco Holdings, Inc., 6.50% Nts., 7/15/10 7 1,620,000 1,624,050
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--3.6%
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.1%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,829,000 1,938,740
- ------------------------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 843,315
- ------------------------------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,025,000 2,161,688
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,412,240
------------------
8,355,983
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--3.5%
ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,733,000 1,881,880
- ------------------------------------------------------------------------------------------------------------------------------------
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,363,025
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 2,020,000
6.875% Sr. Unsec. Nts., 1/15/16 4,973,000 5,122,190
- ------------------------------------------------------------------------------------------------------------------------------------
Clayton Williams Energy, Inc., 7.75% Sr. Nts., 8/1/13 7 1,270,000 1,247,775
- ------------------------------------------------------------------------------------------------------------------------------------
Delta Petroleum Corp., 7% Sr. Unsec. Nts., 4/1/15 1,000,000 960,000
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 $ 6,140,000 $ 6,385,600
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,542,060
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,464,300
- ------------------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,810,975
- ------------------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 942,750
- ------------------------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 1,675,000 1,735,719
- ------------------------------------------------------------------------------------------------------------------------------------
Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 28,674,000 31,394,302
- ------------------------------------------------------------------------------------------------------------------------------------
Nak Naftogaz Ukraine, 8.125% Bonds, 9/30/09 1,230,000 1,308,167
- ------------------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co.:
6.625% Sr. Unsec. Sub. Nts., 9/1/14 200,000 209,000
8.375% Sr. Sub. Nts., 8/15/12 3,129,000 3,394,965
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp.,
6.25% Sr. Nts., 9/15/15 7 640,000 644,800
- ------------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,545,850
- ------------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,635,363
8.50% Unsub. Nts., 2/15/08 3,586,000 3,877,363
9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 9,082,185
- ------------------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 7 28,400,000 28,318,464
- ------------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 6,018,105
- ------------------------------------------------------------------------------------------------------------------------------------
Range Resources Corp., 6.375% Sr. Sub. Nts., 3/15/15 1,665,000 1,685,813
- ------------------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 5,502,000 5,644,430
8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,804,760
8.875% Sr. Nts., 3/15/10 2,599,000 2,822,277
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 3,110,625
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,055,000
- ------------------------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,204,125
- ------------------------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 7 17,587,000 18,070,643
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 13,526,000 14,644,627
- ------------------------------------------------------------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 7,609,000 7,970,428
9.625% Sr. Sub. Nts., 4/1/12 2,280,000 2,522,250
- ------------------------------------------------------------------------------------------------------------------------------------
Titan Petrochemicals Group Ltd., 8.50% Sr. Unsec. Nts., 3/18/12 7 6,066,000 5,868,855
- ------------------------------------------------------------------------------------------------------------------------------------
Whiting Petroleum Corp., 7.25% Sr. Sub. Nts., 5/1/12 1,000,000 1,022,500
- ------------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 15,162,000 15,958,005
7.625% Nts., 7/15/19 1,600,000 1,740,000
8.75% Unsec. Nts., 3/15/32 2,425,000 2,873,625
- ------------------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,138,500
------------------
233,041,301
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--2.9%
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.1%
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 3,281,000 $ 3,543,480
- ------------------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 2 800,000 480,000
- ------------------------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp.:
7.375% Sr. Nts., 9/15/13 7 956,000 970,340
8% Sr. Nts., 6/15/11 7 2,710,000 2,811,625
------------------
7,805,445
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--1.8%
Bank Plus Corp., 12% Sr. Nts., 7/18/07 2 4,012,000 4,353,020
- ------------------------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 2 9,675,000 10,569,938
- ------------------------------------------------------------------------------------------------------------------------------------
Dresdner Bank AG (Ukreximbank), 8.75% Bonds, 2/10/10 5,800,000 6,082,750
- ------------------------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
9.75% Sr. Unsec. Nts., 7/8/09 8 16,420,000 11,428,320
11.60% Sr. Unsec. Nts., 1/12/10 8 21,550,000 13,005,425
12.28% Sr. Unsec. Nts., 3/9/09 8 16,420,000 10,738,680
- ------------------------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,039,632
8.81% Nts., 1/25/12 1 [COP] 8,336,714,299 3,663,030
- ------------------------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA, Bank of Moscow, 7.375% Nts., 11/26/10 2 12,565,000 13,287,488
- ------------------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 2,3 4,970,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,469,419
- ------------------------------------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Bonds, 7/2/35 7 20,590,000 21,490,813
- ------------------------------------------------------------------------------------------------------------------------------------
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,958,000 4,551,700
------------------
120,680,215
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.4%
Affinia Group, Inc., 9% Sr. Sub. Nts., 11/30/14 7 1,675,000 1,314,875
- ------------------------------------------------------------------------------------------------------------------------------------
American Commercial Lines LLC/American Commercial Lines
Finance Corp., 9.50% Sr. Unsec. Nts., 2/15/15 1,005,000 1,090,425
- ------------------------------------------------------------------------------------------------------------------------------------
Argentine Beverages Financial Trust, 7.375% Bonds, 3/22/12 2 3,640,000 3,776,500
- ------------------------------------------------------------------------------------------------------------------------------------
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp.:
0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 11 3,290,000 2,319,450
9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,640,978
- ------------------------------------------------------------------------------------------------------------------------------------
Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub.
Nts., 3/15/12 1,600,000 1,728,000
- ------------------------------------------------------------------------------------------------------------------------------------
JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,629,125
- ------------------------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 7 8,535,000 8,385,638
- ------------------------------------------------------------------------------------------------------------------------------------
Universal City Florida:
8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,042,500
8.443% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,042,500
------------------
27,969,991
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INSURANCE--0.1%
Residential Reinsurance Ltd., 13.37% Nts., Cl. B, 6/8/07 1,2 $ 2,000,000 $ 1,912,400
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.4%
American Casino & Entertainment Properties LLC, 7.85% Sr.
Sec. Nts., 2/1/12 1,900,000 1,968,875
- ------------------------------------------------------------------------------------------------------------------------------------
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,911,000 3,180,268
- ------------------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 707,000 719,373
- ------------------------------------------------------------------------------------------------------------------------------------
Host Marriott LP:
6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,729,375
9.50% Sr. Nts., 1/15/07 5,214,000 5,481,218
- ------------------------------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp.:
9.125% Sr. Unsec. Nts., 1/15/11 5,133,000 5,466,645
10.50% Sr. Unsec. Nts., 6/15/09 2,696,000 2,871,240
- ------------------------------------------------------------------------------------------------------------------------------------
Trustreet Properties, Inc.:
7.50% Sr. Nts., 4/1/15 7 1,275,000 1,310,063
7.50% Sr. Unsec. Nts., 4/1/15 2,825,000 2,902,688
------------------
27,629,745
- ------------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.1%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,054,000 5,306,700
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.7%
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.2%
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 1,700,000 1,734,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 3,995,000 4,294,625
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,429,770
------------------
8,458,395
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.5%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 2,921,820
- ------------------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,255,233
- ------------------------------------------------------------------------------------------------------------------------------------
Coventry Health Care, Inc., 6.125% Sr. Unsec. Nts., 1/15/15 1,650,000 1,699,500
- ------------------------------------------------------------------------------------------------------------------------------------
DaVita, Inc.:
6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,388,275
7.25% Sr. Unsec. Sub. Nts., 3/15/15 2,660,000 2,709,875
- ------------------------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,336,500
9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,064,030
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,239,848
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,121,739
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 2,888,000 3,119,040
- ------------------------------------------------------------------------------------------------------------------------------------
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,569,625
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
HCA, Inc.:
6.30% Sr. Unsec. Nts., 10/1/12 $ 9,407,000 $ 9,397,414
6.375% Nts., 1/15/15 10,798,000 10,737,002
- ------------------------------------------------------------------------------------------------------------------------------------
HealthSouth Corp.:
7.625% Nts., 6/1/12 12,209,000 11,476,460
10.75% Sr. Unsec. Sub. Nts., 10/1/08 118,000 115,935
- ------------------------------------------------------------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,577,000 3,791,620
- ------------------------------------------------------------------------------------------------------------------------------------
NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 4,162,000 4,786,300
- ------------------------------------------------------------------------------------------------------------------------------------
PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 3,134,000 3,396,473
- ------------------------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75% Sr. Sub. Nts., 7/15/15 7 1,605,000 1,665,188
- ------------------------------------------------------------------------------------------------------------------------------------
Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 2,509,000 2,835,170
- ------------------------------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,406,000 5,811,450
- ------------------------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 3,835,000 3,691,188
- ------------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 4,070,000 3,815,625
7.375% Nts., 2/1/13 118,000 112,395
9.875% Sr. Nts., 7/1/14 3,884,000 4,078,200
- ------------------------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc.:
7% Sr. Nts., 5/15/12 100,000 103,250
7% Sr. Sub. Nts., 11/15/13 7,050,000 7,173,375
- ------------------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc.:
9% Sr. Unsec. Nts., 8/15/12 100,000 108,500
10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 112,500
------------------
100,633,530
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.9%
- ------------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,992,000 3,164,040
- ------------------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 1,500,000 1,642,500
8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,159,585
- ------------------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,947,378
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,791,000
6.375% Sr. Sub. Nts., 10/15/15 7 2,215,000 2,242,688
- ------------------------------------------------------------------------------------------------------------------------------------
TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 3,184,000 3,351,160
- ------------------------------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 2,024,000 2,206,160
11% Sr. Sub. Nts., 2/15/13 1,720,000 1,947,900
------------------
22,452,411
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0%
AMR Corp., 9% Debs., 8/1/12 $ 1,100,000 $ 781,000
- ------------------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3 11,115,000 1,611,675
------------------
2,392,675
- ------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,344,698
- ------------------------------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Sub. Nts., 12/15/12 7 2,060,000 1,874,600
- ------------------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,253,000 2,399,445
- ------------------------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 1,550,000 1,433,750
------------------
8,052,493
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.4%
Allied Waste North America, Inc.:
7.25% Sr. Nts., 3/15/15 7 815,000 806,850
7.375% Sr. Sec. Nts., Series B, 4/15/14 4,600,000 4,347,000
8.875% Sr. Nts., Series B, 4/1/08 9,935,000 10,406,913
9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 290,363
- ------------------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 2,3 3,462,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 2,200,000 2,134,000
- ------------------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2 3,011,000 3,018,528
- ------------------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,318,325
7.50% Sr. Nts., 5/1/11 1,500,000 1,554,375
- ------------------------------------------------------------------------------------------------------------------------------------
Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 4,880,000 5,258,200
------------------
31,134,554
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 577,500
- ------------------------------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 1,937,635
- ------------------------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,285,000 3,984,245
- ------------------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,597,853
------------------
9,097,233
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 332,100
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.4%
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 7 2,314,000 2,325,570
- ------------------------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,124,550
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 676,000
- ------------------------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,994,175
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY Continued
Navistar International Corp., 6.25% Sr. Unsec. Nts., 3/1/12 $ 1,665,000 $ 1,590,075
- ------------------------------------------------------------------------------------------------------------------------------------
NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,411,000 2,591,825
- ------------------------------------------------------------------------------------------------------------------------------------
Terex Corp.:
9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,799,000 3,022,920
10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 5,295,000 5,692,125
- ------------------------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,029,500
- ------------------------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 3,851,000 3,668,078
------------------
28,714,818
- ------------------------------------------------------------------------------------------------------------------------------------
MARINE--0.2%
CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,413,000 7,310,820
- ------------------------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 3,7 4,320,000 4,627,800
- ------------------------------------------------------------------------------------------------------------------------------------
WPO Shipholding Co. LLC, 12% Sr. Sec. Nts., 7/15/05 2,3 5,400,000 30,240
------------------
11,968,860
- ------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,236,563
- ------------------------------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 1,944,000 1,807,920
7.50% Sr. Unsec. Nts., 11/1/13 232,000 226,780
9.625% Sr. Nts., 12/1/12 2,220,000 2,419,800
------------------
6,691,063
- ------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.2%
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 10,209,000 9,519,893
- ------------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.8%
- ------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.2%
Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 8,599,000 7,567,120
- ------------------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3 12,679,000 7,163,635
------------------
14,730,755
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.0%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,518,000 2,656,490
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2%
Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 8,006,000 8,006,000
- ------------------------------------------------------------------------------------------------------------------------------------
Loews Cineplex Entertainment Corp., 9% Sr. Unsec. Sub. Nts., 8/1/14 175,000 171,063
- ------------------------------------------------------------------------------------------------------------------------------------
Sanmina-SCI Corp., 6.75% Unsec. Sub. Nts., 3/1/13 2,335,000 2,229,925
------------------
10,406,988
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,3 [EUR] 2,116,376 $ 6,359
- ------------------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,3 2,081,799 --
- ------------------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 2,3 [EUR] 6,650,000 --
------------------
6,359
- ------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.2%
DynCorp International LLC, 9.50% Sr. Sub. Nts., 2/15/13 7 4,755,000 4,992,750
- ------------------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,265,640
- ------------------------------------------------------------------------------------------------------------------------------------
SunGard Data Systems, Inc.:
9.125% Sr. Unsec. Nts., 8/15/13 7 4,870,000 5,070,888
10.25% Sr. Sub. Nts., 8/15/15 7 950,000 966,625
------------------
15,295,903
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 5,625,000 5,793,750
- ------------------------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc., 9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,365,000 4,114,013
- ------------------------------------------------------------------------------------------------------------------------------------
Freescale Semiconductor, Inc., 7.125% Sr. Unsec. Nts., 7/15/14 2,303,000 2,464,210
------------------
12,371,973
- ------------------------------------------------------------------------------------------------------------------------------------
MATERIALS--3.7%
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.0%
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 2 1,700,000 1,139,000
- ------------------------------------------------------------------------------------------------------------------------------------
Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 1,018,000 1,109,620
- ------------------------------------------------------------------------------------------------------------------------------------
Crompton Corp., 9.875% Sr. Nts., 8/1/12 125,000 142,969
- ------------------------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,852,980
10.125% Sr. Unsec. Nts., 9/1/08 118,000 127,440
10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,479,345
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
10.125% Sr. Unsec. Sub. Nts., 7/1/09 8,413,000 8,696,939
10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 1,910,000 2,367,271
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
7.375% Sr. Sub. Nts., 1/1/15 7 7,051,000 6,786,588
9.875% Sr. Nts., 3/1/09 5,895,000 6,256,069
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 810,135
11.625% Sr. Unsec. Nts., 10/15/10 76,000 87,210
- ------------------------------------------------------------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 118,000 139,830
- ------------------------------------------------------------------------------------------------------------------------------------
Innophos, Inc., 8.875% Sr. Sub. Nts., 8/15/14 7 3,250,000 3,339,375
- ------------------------------------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 4,147,000 4,406,188
- ------------------------------------------------------------------------------------------------------------------------------------
KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 11 2,650,000 1,821,875
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS Continued
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 $ 118,000 $ 124,195
9.625% Sr. Sec. Nts., Series A, 5/1/07 2,074,000 2,188,070
10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,398,125
- ------------------------------------------------------------------------------------------------------------------------------------
Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 900,000 972,000
- ------------------------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,550,102 2,690,358
- ------------------------------------------------------------------------------------------------------------------------------------
PolyOne Corp., 10.625% Sr. Unsec. Nts., 5/15/10 1,618,000 1,674,630
- ------------------------------------------------------------------------------------------------------------------------------------
Rhodia SA, 10.25% Sr. Unsec. Nts., 6/1/10 2,611,000 2,774,188
- ------------------------------------------------------------------------------------------------------------------------------------
Rockwood Specialties Group, Inc.:
7.50% Sr. Sub. Nts., 11/15/14 7 1,350,000 1,316,250
10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 958,125
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc., 10% Sr. Sec. Nts., 12/19/07 2,12 2,142,848 2,132,134
- ------------------------------------------------------------------------------------------------------------------------------------
Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 1,102,000 1,192,915
------------------
63,983,824
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.0%
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 11 5,340,000 3,017,100
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.1%
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 3,766,000 4,142,600
10.875% Sr. Sec. Nts., 3/1/13 1,881,000 2,191,365
- ------------------------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,300,000
9.875% Sr. Unsec. Sub. Nts., 10/15/14 2,314,000 2,233,010
- ------------------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,738,000 5,651,930
9.50% Sr. Sub. Nts., 8/15/13 2,655,000 2,508,975
- ------------------------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,750,000 1,653,750
- ------------------------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,313,810
- ------------------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,917,640
8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,690,810
8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,356,670
8.875% Sr. Sec. Nts., 2/15/09 6,484,000 6,840,620
- ------------------------------------------------------------------------------------------------------------------------------------
Pliant Corp., 11.625% Sr. Sec. Nts., 6/15/09 7,12 1,914,712 2,039,168
- ------------------------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 4,033,000 3,589,370
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 4,725,000 4,512,375
9.25% Sr. Unsec. Nts., 2/1/08 4,582,000 4,696,550
9.75% Sr. Unsec. Nts., 2/1/11 8,006,000 8,166,120
- ------------------------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 7 960,000 1,032,000
- ------------------------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 5,397,975
------------------
72,234,738
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.1%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 $ 3,768,000 $ 3,494,820
7.875% Sr. Unsec. Nts., 2/15/09 3,779,000 3,684,525
- ------------------------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 5,465,000 6,489,688
8.875% Nts., 11/17/14 7 15,595,000 18,519,063
- ------------------------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,126,925
- ------------------------------------------------------------------------------------------------------------------------------------
IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,655,000 2,940,413
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,3 1,586,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 2 1,000,000 1,110,000
- ------------------------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2 2,974,000 3,464,710
- ------------------------------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,892,540
- ------------------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3 4,832,000 4,723,280
- ------------------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 3,186,000 3,536,460
- ------------------------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,179,750
- ------------------------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.25% Sr. Nts., 2/15/15 7 4,980,000 4,731,000
- ------------------------------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,762,000 4,072,365
- ------------------------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,268,438
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 1,949,000 2,148,773
10.75% Sr. Nts., 8/1/08 3,197,000 3,612,610
------------------
73,995,360
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.5%
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,925,000 1,968,313
- ------------------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,530,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fort James Corp., 6.875% Sr. Nts., 9/15/07 2,407,000 2,491,245
- ------------------------------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 3,281,000 3,641,910
9.375% Sr. Unsec. Nts., 2/1/13 6,161,000 6,900,320
- ------------------------------------------------------------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3 6,414,000 2,982,510
- ------------------------------------------------------------------------------------------------------------------------------------
JSG Holding plc, 11.50% Sr. Nts., 10/1/15 7,12 [EUR] 1,034,778 1,097,520
- ------------------------------------------------------------------------------------------------------------------------------------
Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 2,330,000 1,992,150
- ------------------------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 1,900,000 1,814,500
- ------------------------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 2,3 4,025,000 60,375
- ------------------------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc.:
8.75% Sr. Sec. Nts., 11/15/13 7 537,000 461,820
12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 4,580,000 2,564,800
- ------------------------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc.:
7.75% Sr. Nts., 3/15/12 3,851,000 2,464,640
8.50% Sr. Unsec. Nts., 2/1/11 118,000 77,585
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS Continued
Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 2,12 $ 3,336,034 $ 3,269,313
------------------
33,317,001
- ------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.8%
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.3%
American Tower Corp., 7.125% Sr. Unsec. Nts., 10/15/12 750,000 791,250
- ------------------------------------------------------------------------------------------------------------------------------------
Cincinnati Bell, Inc., 7% Sr. Nts., 2/15/15 3,335,000 3,234,950
- ------------------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 7 2,351,000 2,268,715
- ------------------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 2,3 6,486,356 --
- ------------------------------------------------------------------------------------------------------------------------------------
Intelsat Bermuda Ltd., 8.625% Sr. Nts., 1/15/15 7 6,010,000 6,160,250
- ------------------------------------------------------------------------------------------------------------------------------------
KPNQwest BV, 8.875% Sr. Nts., 2/1/08 2,3 [EUR] 5,000,000 240,370
- ------------------------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 2 4,425,000 3,628,500
- ------------------------------------------------------------------------------------------------------------------------------------
MCI, Inc.:
6.908% Sr. Unsec. Nts., 5/1/07 1 5,033,000 5,083,330
7.688% Sr. Unsec. Nts., 5/1/09 1 7,750,000 8,060,000
- ------------------------------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 9% Sr. Unsec. Nts., 8/15/14 4,170,000 4,420,200
- ------------------------------------------------------------------------------------------------------------------------------------
PanAmSat Holding Corp., 0%/10.375% Sr. Unsec. Disc. Nts., 11/1/14 11 1,325,000 920,875
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 4,797,000 4,785,008
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub.
Nts., 2/15/11 1 1,500,000 1,468,125
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 1 10,690,000 11,732,275
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Services Corp.:
13.50% Sr. Sec. Sub. Nts., 12/15/10 14,211,000 16,342,650
14% Sr. Sec. Sub. Nts., 12/15/14 7,827,000 9,529,373
- ------------------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,3 5,035,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 4,335,000 4,410,863
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC/Time Warner Telecom, Inc., 9.75% Sr.
Nts., 7/15/08 2,142,000 2,179,485
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 825,000 853,875
- ------------------------------------------------------------------------------------------------------------------------------------
Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub.
Nts., 2/15/15 1,665,000 1,623,375
------------------
87,733,469
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.5%
Alamosa Delaware, Inc.:
8.50% Sr. Nts., 1/31/12 200,000 214,500
11% Sr. Unsec. Nts., 7/31/10 118,000 133,635
12.50% Sr. Unsec. Nts., 2/1/11 5,591,000 6,345,785
- ------------------------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,520,000 1,664,400
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 7.50% Sr. Nts., 5/1/12 4,047,000 4,310,055
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 8 6,176,000 4,786,400
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES Continued
AT&T Corp.:
9.05% Sr. Unsec. Nts., 11/15/11 1 $ 6,229,000 $ 7,046,556
9.75% Sr. Nts., 11/15/31 1 1,500,000 1,906,875
- ------------------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,3 21,702,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co. LLC/Centennial Communications
Corp., 10.125% Sr. Nts., 6/15/13 5,210,000 5,887,300
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,068,075
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.10% Sr. Nts., 10/15/12 1,7 955,000 946,644
8.875% Sr. Nts., 10/1/13 2,294,000 2,305,470
- ------------------------------------------------------------------------------------------------------------------------------------
IWO Holdings, Inc., 7.349% Sr. Sec. Nts., 1/15/12 1 850,000 888,250
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Skynet Corp., 14% Sr. Sec. Nts., 7/29/15 2,12 2,188,000 2,603,720
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 19,460,000 20,850,553
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc.:
8.125% Sr. Nts., 7/1/11 200,000 217,000
12.50% Sr. Nts., 11/15/09 6,392,000 6,855,420
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
8.25% Sr. Sec. Nts., 3/15/12 1,600,000 1,688,000
9.625% Sr. Sub. Nts., Series B, 5/15/08 2,268,000 2,290,680
9.75% Sr. Sub. Nts., 1/15/10 4,413,000 4,479,195
9.875% Sr. Nts., 2/1/10 3,568,000 3,764,240
- ------------------------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 8.50% Sr. Unsec. Nts., Cl. A, 12/1/12 4,651,000 5,081,218
- ------------------------------------------------------------------------------------------------------------------------------------
SBA Telecommunications, Inc./SBA Communications Corp.,
0%/9.75% Sr. Disc. Nts., 12/15/11 11 4,943,000 4,510,488
- ------------------------------------------------------------------------------------------------------------------------------------
Triton PCS, Inc., 8.50% Sr. Unsec. Nts., 6/1/13 4,243,000 4,062,673
- ------------------------------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,790,845
------------------
96,697,977
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--1.7%
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.3%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 7 7,798,000 8,577,800
- ------------------------------------------------------------------------------------------------------------------------------------
Calpine Corp., 9.349% Sr. Sec. Nts., 7/15/07 1,7 6,352,360 4,891,317
- ------------------------------------------------------------------------------------------------------------------------------------
CITGO Trustees Cayman Ltd., 8.50% Nts., 12/21/14 2 4,687,000 4,780,740
- ------------------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,318,000 1,387,195
7.75% Sr. Nts., 8/1/10 1,650,000 1,782,000
8.50% Sr. Nts., 4/15/11 2,407,000 2,689,823
- ------------------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 9.875% Sr. Unsec. Nts., 4/15/11 1,829,000 2,176,510
- ------------------------------------------------------------------------------------------------------------------------------------
ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 428,000 451,028
- ------------------------------------------------------------------------------------------------------------------------------------
FPL Energy National Wind Power LLC:
5.608% Nts., 3/10/24 7 1,954,860 1,948,374
6.125% Nts., 3/25/19 7 1,134,594 1,122,369
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Funding Corp./Beaver Valley Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 $ 956,000 $ 1,137,728
- ------------------------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 12,296,181
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
7.625% Sr. Unsec. Nts., 5/1/06 3 2,214,000 2,695,545
8.30% Sr. Unsec. Nts., 5/1/11 3 1,300,000 1,628,250
- ------------------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,777,875
- ------------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 5,079,000 5,434,530
- ------------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 4,170,000 4,545,300
9.50% Sr. Sec. Nts., 7/15/13 6,110,000 6,782,100
- ------------------------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Nts., 8/15/17 2 2,694,000 2,714,205
- ------------------------------------------------------------------------------------------------------------------------------------
Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 3,670,000 3,908,550
- ------------------------------------------------------------------------------------------------------------------------------------
Texas Genco LLC, 6.875% Sr. Nts., 12/15/14 7 9,099,000 9,303,728
- ------------------------------------------------------------------------------------------------------------------------------------
TXU Corp., 5.55% Sr. Unsec. Nts., Series P, 11/15/14 5,100,000 4,867,068
------------------
86,898,216
- ------------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0%
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,300,000 1,330,924
- ------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.4%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 3,562,467 4,007,776
- ------------------------------------------------------------------------------------------------------------------------------------
Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 7,575,000 4,563,938
- ------------------------------------------------------------------------------------------------------------------------------------
Consumers Energy Co., 6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,240,858
- ------------------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 1,830,000 1,797,975
8.75% Sr. Nts., 2/15/12 1,335,000 1,455,150
10.125% Sr. Sec. Nts., 7/15/13 7 8,313,000 9,310,560
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,078,516 3,203,580
- ------------------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 680,209
------------------
26,260,046
------------------
Total Corporate Bonds and Notes (Cost $1,856,342,375) 1,839,789,664
SHARES
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.8%
- ------------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,13 338,141 --
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub. Exchange Debs., Non-Vtg. 13 245,000 23,091,250
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F
(converts into Dobson Communications Corp., Cl. A common stock),
Non-Vtg. 7 8,195 1,429,003
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 2,13 11,972 $ 1,197
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,13 43,000 53,750
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,13 5,773 --
- ------------------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc., 2.50% Cv., Series A 13 6,516 782
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific & Atlantic Holdings, Inc., 7.50% Cum. Cv., Series A 2,13 10,093 19,456
- ------------------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 14.25% Cum. Jr. Exchangeable, Non-Vtg. 2,12 1,632 11,101,680
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 51,500 2,974,125
- ------------------------------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg. 300 510
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 13 2,511 3,132,473
- ------------------------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 61,550 9,063,238
------------------
Total Preferred Stocks (Cost $60,878,606) 50,867,464
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--4.3%
- ------------------------------------------------------------------------------------------------------------------------------------
Allegheny Energy, Inc. 13 42,700 1,311,744
- ------------------------------------------------------------------------------------------------------------------------------------
Altria Group, Inc. 18,700 1,378,377
- ------------------------------------------------------------------------------------------------------------------------------------
Amada Co., Ltd. 170,000 1,360,992
- ------------------------------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. 9,900 1,361,250
- ------------------------------------------------------------------------------------------------------------------------------------
American Electric Power Co., Inc. 34,900 1,385,530
- ------------------------------------------------------------------------------------------------------------------------------------
American Stock Exchange Basic Industries SPDR 199,200 5,472,024
- ------------------------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. 14,300 1,369,225
- ------------------------------------------------------------------------------------------------------------------------------------
Apache Corp. 18,700 1,406,614
- ------------------------------------------------------------------------------------------------------------------------------------
Arcelor 59,740 1,397,200
- ------------------------------------------------------------------------------------------------------------------------------------
Ashland, Inc. 22,100 1,220,804
- ------------------------------------------------------------------------------------------------------------------------------------
Autodesk, Inc. 30,500 1,416,420
- ------------------------------------------------------------------------------------------------------------------------------------
BAE Systems plc 223,020 1,351,195
- ------------------------------------------------------------------------------------------------------------------------------------
Beverly Hills Bancorp, Inc. 539,100 5,531,166
- ------------------------------------------------------------------------------------------------------------------------------------
BNP Paribas SA 18,040 1,371,348
- ------------------------------------------------------------------------------------------------------------------------------------
BPB plc 99,660 1,293,738
- ------------------------------------------------------------------------------------------------------------------------------------
Broadwing Corp. 15,714 78,413
- ------------------------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 17,700 1,439,364
- ------------------------------------------------------------------------------------------------------------------------------------
Cavco Industries, Inc. 13 1,540 55,871
- ------------------------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 2,13 8,001 --
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Corp. 19,430 1,254,789
- ------------------------------------------------------------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 13 43,520 1,898,342
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 881,648 33,723,036
- ------------------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc. 88,293 2,467,789
- ------------------------------------------------------------------------------------------------------------------------------------
Chubb Corp. 15,100 1,352,205
- ------------------------------------------------------------------------------------------------------------------------------------
CIGNA Corp. 11,400 1,343,604
52 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 1,106 $ 50,345
- ------------------------------------------------------------------------------------------------------------------------------------
CMS Energy Corp. 13 81,800 1,345,610
- ------------------------------------------------------------------------------------------------------------------------------------
COLT Telecom Group plc, ADR 13 7,020 29,063
- ------------------------------------------------------------------------------------------------------------------------------------
ConocoPhillips 19,820 1,385,616
- ------------------------------------------------------------------------------------------------------------------------------------
Conseco, Inc. 13 136,899 2,889,938
- ------------------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. 13 174,581 185,056
- ------------------------------------------------------------------------------------------------------------------------------------
Criimi MAE, Inc. 13 415,692 7,154,059
- ------------------------------------------------------------------------------------------------------------------------------------
Cummins, Inc. 15,100 1,328,649
- ------------------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc. 34,600 1,253,212
- ------------------------------------------------------------------------------------------------------------------------------------
Daido Steel Co. Ltd. 262,000 1,702,384
- ------------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler AG 25,634 1,360,184
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom AG 69,568 1,265,861
- ------------------------------------------------------------------------------------------------------------------------------------
Devon Energy Corp. 21,458 1,472,877
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 13 442,193 3,396,042
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas Holding AG 33,795 1,285,514
- ------------------------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 45,400 1,324,318
- ------------------------------------------------------------------------------------------------------------------------------------
E.ON AG 13,782 1,268,795
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 519 62,991
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc., Cl. B 1,745 201,897
- ------------------------------------------------------------------------------------------------------------------------------------
Edison International, Inc. 28,900 1,366,392
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Select Sector SPDR Fund 107,500 5,772,750
- ------------------------------------------------------------------------------------------------------------------------------------
EOG Resources, Inc. 20,000 1,498,000
- ------------------------------------------------------------------------------------------------------------------------------------
Equinix, Inc. 13 79,287 3,302,304
- ------------------------------------------------------------------------------------------------------------------------------------
Exel plc 62,160 1,345,250
- ------------------------------------------------------------------------------------------------------------------------------------
Express Scripts, Inc. 13 22,400 1,393,280
- ------------------------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. 19,700 1,317,339
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Select Sector SPDR Fund 184,800 5,455,296
- ------------------------------------------------------------------------------------------------------------------------------------
First Choice Holidays plc 357,640 1,335,725
- ------------------------------------------------------------------------------------------------------------------------------------
Gecina SA 11,020 1,297,951
- ------------------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc., Series B, Escrow Shares 2,13,14 625 --
- ------------------------------------------------------------------------------------------------------------------------------------
GKN plc 250,130 1,300,371
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp. 13 107,797 212,360
- ------------------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The) 13 81,000 1,262,790
- ------------------------------------------------------------------------------------------------------------------------------------
Halliburton Co. 20,400 1,397,808
- ------------------------------------------------------------------------------------------------------------------------------------
Hanson plc 125,980 1,307,662
- ------------------------------------------------------------------------------------------------------------------------------------
Hochtief AG 32,315 1,437,387
- ------------------------------------------------------------------------------------------------------------------------------------
Horizon Natural Resources Co. 2,13 133,333 --
- ------------------------------------------------------------------------------------------------------------------------------------
Humana, Inc. 13 27,600 1,321,488
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman Corp. 13 68,495 $ 1,272,123
- ------------------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 13 300,766 1,503,830
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. 13 81,469 3,389,110
- ------------------------------------------------------------------------------------------------------------------------------------
IVG Immobilien AG 62,279 1,286,673
- ------------------------------------------------------------------------------------------------------------------------------------
KB Home 17,812 1,303,838
- ------------------------------------------------------------------------------------------------------------------------------------
Keisei Electric Railway Co. Ltd. 254,000 1,393,957
- ------------------------------------------------------------------------------------------------------------------------------------
Kelda Group plc 107,710 1,334,596
- ------------------------------------------------------------------------------------------------------------------------------------
Kinder Morgan, Inc. 13,500 1,298,160
- ------------------------------------------------------------------------------------------------------------------------------------
Klepierre 13,312 1,335,920
- ------------------------------------------------------------------------------------------------------------------------------------
Kubota Corp. 212,000 1,476,487
- ------------------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 13 30,000 523,200
- ------------------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. 13 28,354 998,061
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 12,100 1,409,408
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series A 129,394 3,503,990
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series C 13 129,394 3,331,896
- ------------------------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 160,584 1,322,716
- ------------------------------------------------------------------------------------------------------------------------------------
Loews Corp. 14,900 1,376,909
- ------------------------------------------------------------------------------------------------------------------------------------
MAN AG 26,186 1,342,267
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 8,092 406,623
- ------------------------------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 20,102 1,385,631
- ------------------------------------------------------------------------------------------------------------------------------------
Matsui Securities Co. Ltd. 124,300 1,527,310
- ------------------------------------------------------------------------------------------------------------------------------------
MCI, Inc. 57,436 1,457,151
- ------------------------------------------------------------------------------------------------------------------------------------
Motorola, Inc. 59,100 1,305,519
- ------------------------------------------------------------------------------------------------------------------------------------
National City Corp. 36,000 1,203,840
- ------------------------------------------------------------------------------------------------------------------------------------
National Oilwell Varco, Inc. 13 20,700 1,362,060
- ------------------------------------------------------------------------------------------------------------------------------------
Nikon Corp. 111,000 1,400,211
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Mining Holdings, Inc. 193,500 1,534,091
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Steel Corp. 450,000 1,688,689
- ------------------------------------------------------------------------------------------------------------------------------------
Novell, Inc. 13 192,200 1,431,890
- ------------------------------------------------------------------------------------------------------------------------------------
NTL, Inc. 13 253,326 16,922,177
- ------------------------------------------------------------------------------------------------------------------------------------
Nucor Corp. 23,000 1,356,770
- ------------------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 15,787 1,348,683
- ------------------------------------------------------------------------------------------------------------------------------------
Office Depot, Inc. 13 43,600 1,294,920
- ------------------------------------------------------------------------------------------------------------------------------------
OKI Electric Industry Co. 408,000 1,397,879
- ------------------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. 13 59,993 749,913
- ------------------------------------------------------------------------------------------------------------------------------------
PagesJaunes Groupe SA 50,850 1,387,290
- ------------------------------------------------------------------------------------------------------------------------------------
Phelps Dodge Corp. 12,100 1,572,153
- ------------------------------------------------------------------------------------------------------------------------------------
Pilkington plc 552,650 1,354,917
54 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Cos., Inc. 13 164,849 $ 3,966,267
- ------------------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 13 16,137 411,494
- ------------------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 2,13,15 1,034,256 20,685
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 2,13 799,833 --
- ------------------------------------------------------------------------------------------------------------------------------------
Pulte Homes, Inc. 30,052 1,289,832
- ------------------------------------------------------------------------------------------------------------------------------------
Reebok International Ltd. 23,500 1,329,395
- ------------------------------------------------------------------------------------------------------------------------------------
Resolution plc 116,790 1,270,979
- ------------------------------------------------------------------------------------------------------------------------------------
Royal Dutch Shell plc, B Shares 38,930 1,344,450
- ------------------------------------------------------------------------------------------------------------------------------------
RWE AG 19,669 1,300,156
- ------------------------------------------------------------------------------------------------------------------------------------
Scottish & Newcastle plc 158,330 1,295,074
- ------------------------------------------------------------------------------------------------------------------------------------
Scottish & Southern Energy plc 74,270 1,347,958
- ------------------------------------------------------------------------------------------------------------------------------------
ScottishPower plc 145,400 1,465,643
- ------------------------------------------------------------------------------------------------------------------------------------
Sears Holdings Corp. 13 10,000 1,244,200
- ------------------------------------------------------------------------------------------------------------------------------------
Sempra Energy 29,300 1,378,858
- ------------------------------------------------------------------------------------------------------------------------------------
Shionogi & Co. Ltd. 101,000 1,378,997
- ------------------------------------------------------------------------------------------------------------------------------------
Societe Generale, Cl. A 12,151 1,386,620
- ------------------------------------------------------------------------------------------------------------------------------------
St. Paul Travelers Cos., Inc. (The) 30,600 1,373,022
- ------------------------------------------------------------------------------------------------------------------------------------
Star Gas Partners LP 13 220 541
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 2,13 10,788 258,912
- ------------------------------------------------------------------------------------------------------------------------------------
Suez SA 45,263 1,308,305
- ------------------------------------------------------------------------------------------------------------------------------------
Sumitomo Metal Industries 571,000 2,026,044
- ------------------------------------------------------------------------------------------------------------------------------------
Sunoco, Inc. 17,100 1,337,220
- ------------------------------------------------------------------------------------------------------------------------------------
Telewest Global, Inc. 13 934,974 21,457,653
- ------------------------------------------------------------------------------------------------------------------------------------
Telus Corp. 12,686 516,828
- ------------------------------------------------------------------------------------------------------------------------------------
ThyssenKrupp AG 68,940 1,441,687
- ------------------------------------------------------------------------------------------------------------------------------------
Tokyo Electron Ltd. 23,200 1,238,303
- ------------------------------------------------------------------------------------------------------------------------------------
Tokyo Steel Manufacturing Co. Ltd. 91,000 1,425,600
- ------------------------------------------------------------------------------------------------------------------------------------
TonenGeneral Sekiyu K.K. 120,000 1,395,349
- ------------------------------------------------------------------------------------------------------------------------------------
Tosoh Corp. 326,000 1,394,404
- ------------------------------------------------------------------------------------------------------------------------------------
TUI AG 55,640 1,184,954
- ------------------------------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 2,13 59,250 65,175
- ------------------------------------------------------------------------------------------------------------------------------------
TXU Corp. 12,800 1,444,864
- ------------------------------------------------------------------------------------------------------------------------------------
Unibail 9,220 1,338,593
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel Corp. 30,200 1,278,970
- ------------------------------------------------------------------------------------------------------------------------------------
United Utilities plc 114,500 1,322,801
- ------------------------------------------------------------------------------------------------------------------------------------
UnumProvident Corp. 67,800 1,389,900
- ------------------------------------------------------------------------------------------------------------------------------------
USA Mobility, Inc. 13 87,595 2,363,313
- ------------------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp. 12,100 1,368,026
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Veolia Environnement SA 32,262 $ 1,361,359
- ------------------------------------------------------------------------------------------------------------------------------------
Viatel Holding (Bermuda) Ltd. 2,13 43,569 131
- ------------------------------------------------------------------------------------------------------------------------------------
Vinci SA 14,860 1,279,633
- ------------------------------------------------------------------------------------------------------------------------------------
Vornado Realty Trust 15,100 1,307,962
- ------------------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 57,800 2,827,576
- ------------------------------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc. 13 680,382 1,463,187
- ------------------------------------------------------------------------------------------------------------------------------------
Whirlpool Corp. 17,000 1,288,090
- ------------------------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 2,13 16,235 325
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc. 13 29,868 76,462
------------------
Total Common Stocks (Cost $218,951,862) 281,984,259
UNITS
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp. Wts., Exp. 8/1/08 7,13 6,400 2,253,937
- ------------------------------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 2,13 2,200 2
- ------------------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 2,13 6,650 --
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 2,13 5,250 --
- ------------------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 2,13 800 --
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 2,13 5,925 59
- ------------------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 2,13 34,425 --
- ------------------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 2,13 75,434 3,395
Exp. 5/16/06 2,13 112 --
- ------------------------------------------------------------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 2,13 86,946 --
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. Wts., Exp. 6/15/10 2,13 6,600 --
- ------------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 7,13 4,560 --
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07 2,13 7,225 --
- ------------------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc. Wts., Exp. 4/16/07 13 14,440 116
- ------------------------------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 2,13 8,500 --
- ------------------------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts., Exp. 9/19/10 13 6,738 2,695
- ------------------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06 2,13 16,650 167
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 13 17,513 8,831
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts.,
Exp. 4/15/20 2,13 9,035 271,050
- ------------------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 13 7,500 5,095
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 2,13 59,745 20,911
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 2,13 44,809 10,754
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 2,13 44,809 9,858
56 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
UNITS SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 2,13 44,000 $ 4,400
------------------
Total Rights, Warrants and Certificates (Cost $1,109,834) 2,591,270
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--13.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Aon Capital Markets/Helix 04 Ltd. Catastrophe Linked Nts.,
9.42%, 6/30/09 1 $ 2,750,000 2,706,440
- ------------------------------------------------------------------------------------------------------------------------------------
Arbor I Ltd. Catastrophe Linked Nts., 19.37%, 6/15/06 1,7 3,250,000 3,283,150
- ------------------------------------------------------------------------------------------------------------------------------------
Cascadia Ltd., 6.915% Nts., 6/13/08 1,2 2,750,000 2,755,500
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Brazil (Federal Republic of) Credit Linked Nts., 17.37%, 7/3/07 [BRR] 34,610,000 11,733,445
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 8,218,308
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 12,897,623
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.41%, 10/4/05 [BRR] 16,520,000 7,407,407
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.80%, 1/3/08 [BRR] 15,201,753 4,792,553
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 19.85%, 1/2/09 [BRR] 17,433,522 4,762,989
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 20.40%, 1/5/10 [BRR] 18,237,724 4,368,320
Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,872,152
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,653,464
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 [COP] 33,115,250,000 17,364,242
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 18,440,000,000 11,347,773
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 6,206,198
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 5,022,805
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 4,240,646
Dominican Republic Credit Linked Nts., 14.11%, 7/10/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 168,420,000 4,908,101
Dominican Republic Credit Linked Nts., 15.64%, 5/2/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 143,415,164 4,301,531
Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,709,462
Dominican Republic Credit Linked Nts., 19.69%, 3/31/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 124,607,127 3,777,783
Dominican Republic Credit Linked Nts., 22.41%, 3/10/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 162,788,690 4,981,544
Dominican Republic Unsec. Credit Linked Nts., 14.67%, 5/15/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 125,263,530 3,736,403
Dominican Republic Unsec. Credit Linked Nts., 16.18%, 4/24/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 48,437,421 1,456,773
Dominican Republic Unsec. Credit Linked Nts., 23.07%, 3/3/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 333,310,777 10,230,333
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.21%, 9/19/06
(linked to Egyptian Treasury Bills) 8 [EGP] 3,700,000 590,792
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.407%, 2/9/06
(linked to Egyptian Treasury Bills) [EGP] 42,720,000 7,190,013
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 1/12/06
(linked to Egyptian Treasury Bills) [EGP] 33,670,000 5,704,435
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 10/28/05
(linked to Egyptian Treasury Bills) 8 [EGP] 29,510,000 5,091,192
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 12/29/05
(linked to Egyptian Treasury Bills) [EGP] 10,240,000 $ 1,740,640
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 9.65%,11/29/05
(linked to Egyptian Treasury Bills) 8 [EGP] 38,500,000 6,632,561
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,511,802
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman), Turkey (Republic of)
Credit Linked Nts., Series EMG 7, 15%, 2/10/10 [TRY] 23,490,000 18,736,175
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,537,295
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 8,988,634
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 [RUR] 211,690,000 8,715,526
OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,401,392
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108,
8.80%, 12/20/07 [RUR] 553,980,000 20,881,913
South African Rand Interest Bearing Linked Nts., Series Fbi 43,
3.52%, 5/23/22 14,280,000 14,157,192
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%,
12/30/09 [UAH] 15,823,000 3,694,530
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Turkey (Republic of) Credit Linked Nts., 20%, 10/18/07 2,783,000 3,242,529
Turkey (Republic of) Credit Linked Nts., Series EM 872, 22.88%, 10/20/05 1 3,293,815 3,446,801
Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 12,527,811
Turkey (Republic of) Credit Linked Nts., Series EMG 4, 18.70%, 7/6/06 [TRY] 14,159,292 9,440,194
Turkey (Republic of) Credit Linked Nts., Series EMG 19, 16.90%,
7/5/06 8 [TRY] 10,138,656 6,759,581
Turkey (Republic of) Credit Linked Nts., Series NAS 316, 22.66%, 2/23/06 8 4,814,206 6,248,165
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%,
12/30/09 [UAH] 4,771,000 1,113,986
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%,
12/30/09 [UAH] 30,720,000 7,172,846
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 4%, 12/21/11 6 [ARP] 19,110,000 15,659,196
Brazil Real Credit Linked Nts., 13.88%, 3/3/10 8 [BRR] 33,618,120 9,484,585
Campania Total Return Linked Nts., 2.88%, 7/30/10 1 [EUR] 36,800,000 44,435,983
Egypt (The Arab Republic of) Total Return Linked Nts., 8.52%, 1/17/06
(linked to Egyptian Treasury Bills) 8 [EGP] 30,710,000 5,200,973
Egypt (The Arab Republic of) Total Return Linked Nts., 9.63%, 3/9/06
(linked to Egyptian Treasury Bills) 8 [EGP] 16,700,000 2,790,582
European Investment Bank, Russian Federation Credit Linked Nts.,
5.65%, 1/19/10 5,580,000 4,431,078
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 4,604,384
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 6,232,156
Moscow (City of) Credit Linked Nts., 10%, 3/30/10 [RUR] 202,100,000 7,985,811
OAO Gazprom I Credit Nts., 6.201%, 10/20/07 7,455,000 8,160,779
OAO Gazprom II Credit Nts., 5.951%, 4/20/07 7,455,000 8,022,670
Philippines (Republic of) Credit Linked Nts., 12%, 1/20/09 [PHP] 173,490,000 3,259,812
Philippines (Republic of) Credit Linked Nts., 12.375%, 11/1/09 [PHP] 340,450,000 6,380,326
58 | 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 [PHP] 59,230,000 $ 1,085,827
Romania (The State of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,330,828
Russian Federation Credit Linked Nts., 12/2/09 8 [RUR] 155,437,000 5,742,503
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 2,6 2,660,000 2,665,054
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 2,6 2,660,000 2,665,054
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 2,6 2,660,000 2,665,054
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 2,6 2,660,000 2,665,054
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 2,6 2,660,000 2,665,054
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 2 [UAH] 33,459,000 5,863,607
Ukraine (Republic of) Credit Linked Nts., 11.70%, 5/31/06 [UAH] 13,707,000 2,831,771
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 499,543
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,770,004
Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,159,130
Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,159,728
Videocon International Ltd. Credit Linked Nts., 5.73%, 12/29/09 15,470,000 15,496,299
- ------------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates,
Series 4-T1, 8.25%, 6/29/10 7,16 163,410,390 162,593,338
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The)/Residential Reinsurance Ltd.
Catastrophe Linked Nts.,, Series B, 12.32%, 6/6/08 1,2 4,300,000 3,956,000
- ------------------------------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725,
11.89%, 12/30/09 2 [UAH] 36,698,000 8,534,245
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 8 [BRR] 26,663,580 3,616,130
Brazil (Federal Republic of) Credit Linked Nts., 12.68%, 6/1/13 8 [BRR] 42,180,340 6,788,128
Brazil (Federal Republic of) Credit Linked Nts., 15.33%, 1/2/15 8 [BRR] 81,357,010 11,033,684
Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.55%, 1/2/15 8 [BRR] 56,242,917 7,627,697
Colombia (Republic of) Credit Linked Bonds, 13.50%, 8/3/20 [COP] 82,000,000,000 9,970,635
Peru (Republic of) Credit Linked Nts., 8.12%, 9/2/15 8 [PEN] 24,240,000 3,112,117
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,783,669
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers International:
Romania (The State of) Total Return Linked Nts., 7.90%, 2/8/10
(linked to Romanian Treasury Bills) [RON] 6,092,000 2,209,957
Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07
(linked to Turkey Treasury Bills) 10,268,922 13,096,983
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Romania (The State of) Total Return Linked Nts., 6.50%, 3/8/10
(linked to Romanian Treasury Bills) [RON] 16,085,800 5,481,544
Romania (The State of) Total Return Linked Nts., 6.75%, 3/10/08
(linked to Romanian Treasury Bills) [RON] 18,680,000 6,404,549
Romania (The State of) Total Return Linked Nts., 7.25%, 4/18/10
(linked to Romanian Treasury Bills) [RON] 1,487,000 518,505
Romania (The State of) Total Return Linked Nts., 7.50%, 3/5/07
(linked to Romanian Treasury Bills) [RON] 2,467,000 862,873
Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 1,478,000 516,452
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.: Continued
Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 3,568,000 $ 1,246,752
Romania (The State of) Total Return Linked Nts., 7.90%, 2/11/08
(linked to Romanian Treasury Bills) [RON] 13,855,800 4,923,385
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Brazil (Federal Republic of) Sr. Sub. Linked Nts., 15.45%, 1/2/14 [BRR] 26,050,000 11,317,301
Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,166,400
- ------------------------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd. Catastrophe Linked Nts., 7.78%, 11/19/07 1,7 2,100,000 2,173,878
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Foundation RE Ltd. Catastrophe
Linked Nts., 7.897%, 11/24/08 1,7 3,750,000 3,732,469
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe
Linked Nts., 8.62%, 6/15/07 1,7 250,000 252,913
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.:
Series 2002, Cl. A-A, 9.87%, 6/15/06 1,7 250,000 249,908
Series 2002-1, Cl. E-A, 8.12%, 6/15/06 1 1,750,000 1,759,888
Series 2003-I, Cl. C-A, 9.87%, 6/15/06 1 250,000 252,788
Series 2003-II, Cl. A-A, 9.87%, 6/15/06 1,7 6,000,000 5,994,600
Series 2003-II, Cl. B-A, 8.87%, 6/15/06 1,7 6,250,000 6,271,875
Series 2003-II, Cl. C-A, 9.62%, 6/15/06 1,7 6,250,000 6,309,375
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Redwood Capital V Catastrophe
Linked Nts., 7.70%, 1/9/07 1,2 6,250,000 6,259,688
- ------------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Sequoia Capital Ltd. Catastrophe
Linked Nts., 9.62%, 6/15/07 1,2 250,000 255,713
- ------------------------------------------------------------------------------------------------------------------------------------
UBS AG:
Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,174,651
OAO Gazprom III Credit Nts., 5.88%, 7/5/06 18,640,000 19,310,332
------------------
857,932,217
Total Structured Notes (Cost $817,950,818)
STRIKE NOTIONAL
DATE PRICE AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
SWAPTIONS PURCHASED--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar Call 13 2/9/06 5.67AUD $ 92,180,000 165,063
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real Call 13 10/3/05 16.50BRR 34,390,000 162
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Neuvo Peso Call 13 10/11/05 9.40MXN 339,100,000 359,028
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Neuvo Peso Call 13 11/10/05 9.02MXN 398,600,000 280,364
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Neuvo Peso Call 13 12/2/05 9.42MXN 681,000,000 1,229,216
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Neuvo Peso Call 13 12/8/05 9.23MXN 396,800,000 460,923
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Neuvo Peso Call 13 12/27/05 9.32MXN 392,625,000 564,418
----------
Total Swaptions Purchased (Cost $2,946,326) 3,059,174
60 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--2.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 14.12% in joint repurchase agreement (Principal Amount/
Value $951,774,000, with a maturity value of $952,055,566) with UBS Warburg LLC, 3.55%,
dated 9/30/05, to be repurchased at $134,395,747 on 10/3/05, collateralized by Federal
National Mortgage Assn., 5%, 10/1/35, with a value of $972,647,107 (Cost $134,356,000) $ 134,356,000 $ 134,356,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from
Securities Loaned) (Cost $6,757,448,762) 6,844,231,144
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.1%
Whitehawk CDO Funding Corp., 3.94%, 12/15/05 17 4,000,000 4,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--0.3%
Undivided interest of 0.69% in joint repurchase agreement (Principal
Amount/Value $3,300,000,000, with a maturity value of $3,301,064,250)
with Nomura Securities, 3.87%, dated 9/30/05, to be repurchased at $22,732,189 on 10/3/05,
collateralized by U.S. Agency Mortgages, 5%--5.50%, 9/1/20--8/1/35,
with a value of $3,366,000,000 17 22,724,860 22,724,860
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIUM TERM FLOATING NOTE--0.1%
American Express Credit Corp., 3.80%, 10/17/05 17 3,078,420 3,078,420
------------------
Total Investments Purchased with Cash Collateral from Securities Loaned
(Cost $29,803,280) 29,803,280
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $6,787,252,042) 103.8% 6,874,034,424
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (3.8) (254,479,280)
-------------------------------------
NET ASSETS 100.0% $ 6,619,555,144
=====================================
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
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DOP Dominican Republic Peso
EGP Egyptian Pounds
EUR Euro
GBP British Pound Sterling
HUF Hungarian Forint
ILS Israeli Shekel
JPY Japanese Yen
MXN Mexican Nuevo Peso
MYR Malaysian Ringgitt
NZD New Zealand Dollar
PEN Peruvian New Sol
PHP Philippines Peso
PLZ Polish Zloty
RON Romanian Leu
RUR Russian Ruble
TRY New Turkish Lira
UAH Ukraine Hryvnia
ZAR South African Rand
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of September 30, 2005 was $232,572,878, which
represents 3.51% of the Fund's net assets, of which $20,685 is considered
restricted. In addition, the Fund held restricted currency with a value of
$1,403,180, which represents 0.02% of the Fund's net assets. See Note 13 of
Notes to Financial Statements.
61 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
3. Issue is in default. Non-income producing. See Note 1 of Notes to Financial
Statements.
4. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures sales contracts. The aggregate
market value of such securities is $29,565,003. See Note 6 of Notes to Financial
Statements.
5. 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 $38,140,973 or 0.58% of the Fund's net assets
as of September 30, 2005.
6. When-issued security or forward commitment to be delivered and settled after
September 30, 2005. See Note 1 of Notes to Financial Statements.
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 $585,491,423 or 8.84% of the Fund's net
assets as of September 30, 2005.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. Partial or fully-loaned security. See Note 15 of Notes to Financial
Statements.
10. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 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. Non-income producing security.
14. Received as the result of issuer reorganization.
15. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended September 30,
2005. The aggregate fair value of securities of affiliated companies held by the
Fund as of September 30, 2005 amounts to $20,685. Transactions during the period
in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2004 ADDITIONS REDUCTIONS SEPTEMBER 30, 2005
- --------------------------------------------------------------------------------
Prandium, Inc. 1,019,757 14,499* -- 1,034,256
VALUE DIVIDEND
SEE NOTE 1 INCOME
- --------------------------------------------------------------------------------
Prandium, Inc. $ 20,685 $ --
* Received as the result of a merger with Oppenheimer Multi-Sector Income
Trust.
16. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
17. 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 15 of Notes to Financial
Statements.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
62 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------
Investments, at value (including securities
loaned of approximately $195,321,346)--see
accompanying statement of investments:
Unaffiliated companies (cost $6,775,095,042) $ 6,874,013,739
Affiliated companies (cost $12,157,000) 20,685
-----------------
6,874,034,424
- --------------------------------------------------------------------------------
Cash 18,419,452
- --------------------------------------------------------------------------------
Cash--foreign currencies (cost $1,411,728) 1,391,314
- --------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 46,749,028
- --------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 28,448,773
- --------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $118,272,857
sold on a when-issued basis or forward commitment) 123,127,362
Interest, dividends and principal paydowns 84,143,265
Shares of beneficial interest sold 11,512,560
Closed foreign currency contracts 8,413,995
Other 124,317
-----------------
Total assets 7,196,364,490
- --------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------
Swaptions written, at value (premiums received $283,433) 376,100
- --------------------------------------------------------------------------------
Return of collateral for securities loaned 29,803,280
- --------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 8,014,177
- --------------------------------------------------------------------------------
Unrealized depreciation on swap contracts 12,338,690
- --------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $490,464,722 purchased
on a when-issued basis or forward commitment) 504,959,124
Shares of beneficial interest redeemed 9,260,681
Dividends 5,029,222
Distribution and service plan fees 4,014,567
Futures margins 1,438,436
Transfer and shareholder servicing agent fees 782,597
Shareholder communications 321,342
Trustees' compensation 153,740
Other 317,390
-----------------
Total liabilities 576,809,346
- --------------------------------------------------------------------------------
NET ASSETS $ 6,619,555,144
=================
63 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,526,442
- --------------------------------------------------------------------------------
Additional paid-in capital 7,391,384,730
- --------------------------------------------------------------------------------
Accumulated net investment income 123,075,890
- --------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign
currency transactions (1,032,513,249)
- --------------------------------------------------------------------------------
Net unrealized appreciation on investments and
translation of assets and liabilities denominated in
foreign currencies 136,081,331
-----------------
NET ASSETS $ 6,619,555,144
=================
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- --------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on
net assets of $4,766,576,168 and 1,099,377,059 shares of
beneficial interest outstanding) $ 4.34
Maximum offering price per share (net asset value plus
sales charge of 4.75% of offering price) $ 4.56
- --------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $918,650,756 and
211,162,891 shares of beneficial interest outstanding) $ 4.35
- --------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $788,217,338 and
182,173,307 shares of beneficial interest outstanding) $ 4.33
- --------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $83,287,198 and 19,198,865
shares of beneficial interest outstanding) $ 4.34
- --------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per
share (based on net assets of $62,823,684 and 14,529,655
shares of beneficial interest outstanding) $ 4.32
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
64 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $44,870) $ 350,176,695
- --------------------------------------------------------------------------------
Fee income 9,023,057
- --------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $203,200) 3,021,489
- --------------------------------------------------------------------------------
Portfolio lending fees 205,690
- --------------------------------------------------------------------------------
Other income 82,123
---------------
Total investment income 362,509,054
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 33,309,652
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 10,768,143
Class B 10,198,995
Class C 7,471,089
Class N 345,046
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 5,848,219
Class B 1,386,425
Class C 965,701
Class N 221,892
Class Y 414,218
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 562,917
Class B 140,351
Class C 83,088
Class N 23,648
Class Y 1,693
- --------------------------------------------------------------------------------
Custodian fees and expenses 983,650
- --------------------------------------------------------------------------------
Trustees' compensation 128,139
- --------------------------------------------------------------------------------
Other 258,626
---------------
Total expenses 73,111,492
Less reduction to custodian expenses (226,303)
Less waivers and reimbursements of expenses (243,959)
---------------
Net expenses 72,641,230
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 289,867,824
65 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ 126,250,196
Closing and expiration of option contracts written 1,598,129
Closing and expiration of swaption contracts (4,139,471)
Closing of futures contracts 1,170,289
Foreign currency transactions 90,930,190
Swap contracts (32,745,185)
-----------------
Net realized gain 183,064,148
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 117,916,967
Translation of assets and liabilities denominated in
foreign currencies (20,316,994)
Futures contracts (11,815,647)
Option contracts (1,567,809)
Swaption contracts (291,287)
Swap contracts 13,657,381
-----------------
Net change in unrealized appreciation 97,582,611
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 570,514,583
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
66 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2005 2004
- -----------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------
Net investment income $ 289,867,824 $ 288,935,524
- -----------------------------------------------------------------------------------------------
Net realized gain 183,064,148 125,469,004
- -----------------------------------------------------------------------------------------------
Net change in unrealized appreciation 97,582,611 106,949,202
--------------------------------------
Net increase in net assets resulting from operations 570,514,583 521,353,730
- -----------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -----------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (294,738,505) (192,285,670)
Class B (62,870,416) (57,497,267)
Class C (44,696,942) (28,954,074)
Class N (4,206,758) (1,737,495)
Class Y (6,335,724) (10,331,686)
- -----------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 541,271,143 102,366,894
Class B (271,334,101) (576,954,365)
Class C 60,028,844 (13,106,700)
Class N 28,754,049 21,566,186
Class Y (91,805,446) (97,360,343)
- -----------------------------------------------------------------------------------------------
NET ASSETS
- -----------------------------------------------------------------------------------------------
Total increase (decrease) 424,580,727 (332,940,790)
- -----------------------------------------------------------------------------------------------
Beginning of period 6,194,974,417 6,527,915,207
--------------------------------------
End of period (including accumulated net investment
income of $123,075,890 and $119,924,802, respectively) $ 6,619,555,144 $ 6,194,974,417
======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
67 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 1 .20 .26 .32 .36
Net realized and unrealized gain (loss) .19 .15 .43 (.08) (.43)
---------------------------------------------------------------------------
Total from investment operations .40 .35 .69 .24 (.07)
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.29) (.20) (.25) (.30) (.26)
Tax return of capital distribution -- -- -- (.02) (.13)
---------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.29) (.20) (.25) (.32) (.39)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 9.77% 8.73% 19.59% 6.63% (1.79)%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $4,766,576 $4,117,666 $3,873,018 $3,202,825 $3,186,441
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $4,392,321 $4,025,554 $3,521,307 $3,263,490 $3,349,859
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.82% 4.69% 6.60% 7.91% 8.90%
Total expenses 0.94% 4 0.95% 4,5 0.95% 4 1.01% 4 0.93% 4
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 103% 6 90% 6 104% 117% 209%
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 and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355
Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
68 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19
- ---------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .17 1 .16 .22 .28 .33
Net realized and unrealized gain (loss) .20 .15 .44 (.05) (.43)
-------------------------------------------------------------------------
Total from investment operations .37 .31 .66 .23 (.10)
- ---------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.26) (.17) (.22) (.28) (.24)
Tax return of capital distribution -- -- -- (.02) (.12)
-------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.26) (.17) (.22) (.30) (.36)
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73
=========================================================================
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 8.94% 7.66% 18.62% 6.11% (2.53)%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 918,651 $1,163,555 $1,686,295 $1,847,182 $2,186,638
- ---------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,021,022 $1,424,322 $1,757,152 $2,056,449 $2,394,886
- ---------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.05% 4.16% 5.92% 7.22% 8.14%
Total expenses 1.70% 1.69% 1.68% 1.75% 1.68%
Expenses after payments and waivers and
reduction to custodian expenses 1.69% 1.69% 1.68% 1.75% 1.68%
- ---------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 103% 4 90% 4 104% 117% 209%
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 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. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355
Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
69 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS C YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .17 1 .17 .23 .29 .33
Net realized and unrealized gain (loss) .20 .15 .42 (.06) (.43)
---------------------------------------------------------------------------
Total from investment operations .37 .32 .65 .23 (.10)
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.26) (.17) (.22) (.28) (.24)
Tax return of capital distribution -- -- -- (.02) (.12)
---------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.26) (.17) (.22) (.30) (.36)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 8.96% 7.95% 18.45% 6.15% (2.54)%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 788,217 $ 710,085 $ 698,196 $ 568,487 $ 553,399
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 748,199 $ 716,206 $ 623,598 $ 571,292 $ 554,279
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.07% 4.06% 5.85% 7.15% 8.15%
Total expenses 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 1.68% 4
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 103% 6 90% 6 104% 117% 209%
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 and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355
Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
70 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N YEAR ENDED SEPTEMBER 30, 2005 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 .19 2 .17 .25 .30 .22
Net realized and unrealized gain (loss) .19 .16 .42 (.05) (.41)
---------------------------------------------------------------------------
Total from investment operations .38 .33 .67 .25 (.19)
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.27) (.18) (.24) (.30) (.15)
Tax return of capital distribution -- -- -- (.02) (.07)
---------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.27) (.18) (.24) (.32) (.22)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 9.27% 8.28% 18.82% 6.70% (4.61)%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 83,287 $ 52,969 $ 30,110 $ 15,508 $ 3,215
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 69,480 $ 40,043 $ 22,627 $ 8,954 $ 1,348
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 4.37% 4.19% 6.08% 7.07% 9.74%
Total expenses 1.40% 5 1.38% 5,6 1.34% 5 1.22% 5 0.98% 5
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 103% 7 90% 7 104% 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 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.
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 and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355
Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
71 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS Y YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
- ---------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 1 .21 .26 .32 .36
Net realized and unrealized gain (loss) .19 .14 .42 (.06) (.42)
-------------------------------------------------------------------------
Total from investment operations .40 .35 .68 .26 (.06)
- ---------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.30) (.20) (.25) (.31) (.26)
Tax return of capital distribution -- -- -- (.02) (.14)
-------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.30) (.20) (.25) (.33) (.40)
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71
=========================================================================
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 9.73% 8.80% 19.33% 7.06% (1.58)%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 62,824 $ 150,699 $ 240,296 $ 152,767 $ 103,858
- ---------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 68,656 $ 213,632 $ 194,308 $ 127,992 $ 94,400
- ---------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.84% 4.80% 6.57% 7.86% 9.09%
Total expenses 1.16% 1.29% 1.41% 1.74% 1.35%
Expenses after payments and waivers and
reduction to custodian expenses 0.80% 0.90% 0.91% 0.90% 0.78%
- ---------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 103% 4 90% 4 104% 117% 209%
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. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355
Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
72 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities listed or traded on National
Stock Exchanges or other domestic exchanges are valued based on the last sale
price of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ are valued based on the closing
price provided by NASDAQ prior to the time when the Fund's assets are valued. In
the absence of a sale, the security is valued at the last sale price on the
prior trading day, if it is within the spread of the closing "bid" and "asked"
prices, and if not, at the closing bid price. Securities traded on foreign
exchanges are valued based on the last sale price on the principal exchange on
which the security is traded, in the country that is identified by the portfolio
pricing service, prior to the time when the Fund's assets are valued. In the
absence of a sale, the security is valued at the official closing price on the
principal exchange. 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. Futures
contracts traded on a commodities or futures exchange will be valued at the
final settlement price or official closing price on the principal exchange as
reported by
73 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
such principal exchange at its trading session ending at, or most recently prior
to, the time when the Fund's assets are valued. Securities (including restricted
securities) for which market quotations are not readily available are valued at
their fair value. Foreign and domestic securities whose values have been
materially affected by what the Manager identifies as a significant event
occurring before the Fund's assets are valued but after the close of their
respective exchanges will be fair valued. Fair value is determined in good faith
using consistently applied procedures under the supervision of the Board of
Trustees. Short-term "money market type" debt securities with remaining
maturities of sixty days or less are valued at amortized cost (which
approximates market value).
- --------------------------------------------------------------------------------
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 Statement of Operations. The Fund records a realized gain or loss
when a structured note is sold or matures. As of September 30, 2005, the market
value of these securities comprised 13.0% of the Fund's net assets and resulted
in unrealized cumulative gains of $39,981,399.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The purchase of securities on a when-issued
basis or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of September 30, 2005, the Fund had purchased
$490,464,722 of securities issued on a when-issued basis or forward commitment
and sold $118,272,857 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
74 | OPPENHEIMER STRATEGIC INCOME FUND
type, coupon and maturity) but not identical securities on a specified future
date. The Fund records the incremental difference between the forward purchase
and sale of each forward roll as realized gain (loss) on investments or as fee
income in the case of such transactions that have an associated fee in lieu of a
difference in the forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of September 30, 2005, securities with an
aggregate market value of $41,030,842, representing 0.62% 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
75 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
agreements mature. Each agreement requires that the market value of the
collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
The tax components of capital shown in the table below represent distribution
requirements the Fund must satisfy under the income tax regulations, losses the
Fund may be able to offset against income and gains realized in future years and
unrealized appreciation or depreciation of securities and other investments for
federal income tax purposes.
NET UNREALIZED
APPRECIATION
BASED ON COST OF
SECURITIES AND
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS
NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME
INCOME GAIN CARRYFORWARD 1,2,3,4 TAX PURPOSES
------------------------------------------------------------------------
$ 200,704,558 $-- $1,020,974,644 $72,891,477
1. As of September 30, 2005, the Fund had $1,020,314,633 of net capital loss
carryforwards available to offset future realized capital gains, if any, and
thereby reduce future taxable gain distributions. As of September 30, 2005,
details of the capital loss carryforwards were as follows:
EXPIRING
------------------------------
2007 $ 6,301,259
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
--------------
Total $1,020,314,633
==============
2. The Fund had $660,011 of straddle losses which were deferred.
3. During the fiscal year ended September 30, 2005, the Fund utilized
$12,383,126 of capital capital loss carryforward to offset capital gains
realized in that fiscal year. a
a. Includes $2,302,465 of capital loss carryforwards acquired in the July 21,
2005 merger of Oppenheimer Multi-Sector Income Trust.
4. During the fiscal year ended September 30, 2004, the Fund did not utilize any
capital loss carryforward.
76 | OPPENHEIMER STRATEGIC INCOME FUND
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. Accordingly, the
following amounts have been reclassified for September 30, 2005. Net assets of
the Fund were unaffected by the reclassifications.
REDUCTION TO INCREASE TO
ACCUMULATED ACCUMULATED NET
INCREASE TO NET INVESTMENT REALIZED LOSS
PAID-IN CAPITAL LOSS ON INVESTMENTS
-----------------------------------------------------------
$2,248,243 $126,131,609 $128,379,852
The tax character of distributions paid during the years ended September 30,
2005 and September 30, 2004 was as follows:
YEAR ENDED YEAR ENDED
SEPT. 30, 2005 SEPT. 30, 2004
-----------------------------------------------------------
Distributions
paid from:
Ordinary income $412,848,345 $290,806,192
The aggregate cost of securities and other investments and the composition of
unrealized appreciation and depreciation of securities and other investments for
federal income tax purposes as of September 30, 2005 are noted below. The
primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
Federal tax cost of securities $ 6,797,347,794
Federal tax cost of other investments (487,804,716)
---------------
Total federal tax cost $ 6,309,543,078
===============
Gross unrealized appreciation $ 370,426,317
Gross unrealized depreciation (297,534,840)
---------------
Net unrealized appreciation $ 72,891,477
===============
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of trustees' fees under the plan
will not affect the net
77 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
78 | 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:
YEAR ENDED SEPTEMBER 30, 2005 YEAR ENDED SEPTEMBER 30, 2004
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS A
Sold 253,721,621 $ 1,091,121,076 239,096,359 $ 999,651,057
Dividends and/or
distributions reinvested 48,950,677 211,128,508 32,121,259 134,314,145
Acquisition-Note 14 62,844,742 270,860,838 -- --
Redeemed (239,685,952) (1,031,839,279) (246,819,671) (1,031,598,308)
---------------------------------------------------------------------
Net increase 125,831,088 $ 541,271,143 24,397,947 $ 102,366,894
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS B
Sold 27,868,668 $ 120,195,274 31,907,359 $ 133,737,139
Dividends and/or
distributions reinvested 9,542,125 41,299,086 8,657,421 36,309,677
Redeemed (100,359,143) (432,828,461) (178,229,376) (747,001,181)
---------------------------------------------------------------------
Net decrease (62,948,350) $ (271,334,101) (137,664,596) $ (576,954,365)
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS C
Sold 40,612,822 $ 174,277,627 34,946,299 $ 145,838,345
Dividends and/or
distributions reinvested 7,606,352 32,743,949 4,955,123 20,669,780
Redeemed (34,262,628) (146,992,732) (43,114,379) (179,614,825)
---------------------------------------------------------------------
Net increase (decrease) 13,956,546 $ 60,028,844 (3,212,957) $ (13,106,700)
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS N
Sold 10,118,176 $ 43,521,928 7,364,068 $ 30,835,235
Dividends and/or
distributions reinvested 896,137 3,865,917 393,458 1,645,805
Redeemed (4,331,470) (18,633,796) (2,615,117) (10,914,854)
---------------------------------------------------------------------
Net increase 6,682,843 $ 28,754,049 5,142,409 $ 21,566,186
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS Y
Sold 16,530,646 $ 72,458,398 19,171,754 $ 79,967,710
Dividends and/or
distributions reinvested 1,472,034 4,751,793 1,795,794 7,487,037
Redeemed (39,181,919) (169,015,637) (44,274,233) (184,815,090)
---------------------------------------------------------------------
Net decrease (21,179,239) $ (91,805,446) (23,306,685) $ (97,360,343)
=====================================================================
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the year ended September 30, 2005, were as
follows:
PURCHASES SALES
----------------------------------------------------------------
Investment securities $5,229,020,458 $4,950,068,411
U.S. government and government
agency obligations 761,799,063 882,828,558
To Be Announced (TBA)
mortgage-related securities 4,436,804,790 4,469,108,355
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
annual rate of 0.75% of the first $200 million of average annual net assets of
the Fund, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66%
of the next $200 million, 0.60% of the next $200 million, and 0.50% of average
annual net assets in excess of $1 billion.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICES. The Fund pays the Manager a fee of $1,500 per year for
preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the year ended September 30, 2005, the Fund paid
$8,605,038 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.
80 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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% on Class B and
Class C shares and 0.25% 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 expenses under the plan at September 30, 2005 for Class B, Class C
and Class N shares were $95,359,492, $22,928,061 and $1,074,287, respectively.
Fees incurred by the Fund under the plans are detailed in the Statement of
Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- ---------------------------------------------------------------------------------------------
September 30, 2005 $2,269,622 $9,298 $2,114,614 $121,168 $44,508
- --------------------------------------------------------------------------------
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 year ended September 30, 2005,
OFS waived $243,959 for Class Y shares. 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
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
Liabilities as a receivable or payable and in the Statement of Operations with
the change in unrealized appreciation or depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
As of September 30, 2005, the Fund had outstanding foreign currency contracts as
follows:
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000s) SEPT. 30, 2005 APPRECIATION DEPRECIATION
- -----------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso [ARP] 10/6/05-2/2/06 82,393ARP $ 27,915,787 $ 349,071 $ 184,609
Brazilian Real [BRR] 10/26/05-12/10/09 398,587BRR 190,206,033 34,372,002 --
British Pound
Sterling [GBP] 3/9/06 3,000GBP $ 5,285,650 -- 6,950
Canadian Dollar [CAD] 10/21/05 33,980CAD 29,247,195 110,979 --
Chilean Peso [CLP] 10/6/05-12/22/05 7,025,000CLP 13,253,051 173,917 --
Indian Rupee [INR] 10/26/05-12/20/05 1,509,250INR 34,303,312 195,923 --
Indonesia Rupiah [IDR] 1/4/06 62,080,000IDR 6,027,184 153,958 --
Japanese Yen [JPY] 3/9/06 3,620,000JPY 32,489,924 -- 411,690
Mexican Nuevo
Peso [MXN] 10/25/05-10/26/05 465,160MXN 43,059,576 72,337 65,440
Norwegian Krone [NOK] 10/24/05 161,280NOK 24,645,312 -- 613,138
Philippines Peso [PHP] 10/26/05 1,475,900PHP 26,250,059 151,032 --
Russian Ruble [RUR] 10/27/05 230,505RUR 8,099,566 202,855 --
Slovakia Koruna [SKK] 11/14/05-12/21/05 960,940SKK 29,770,104 -- 746,711
Swiss Franc [CHF] 10/21/05 139,450CHF 107,922,907 -- 1,562,992
Turkish Lira [TRY] 10/26/05-2/1/08 79,191TRY 68,744,907 1,750,488 188,070
----------------------------
37,532,562 3,779,600
----------------------------
CONTRACTS TO SELL
Argentine Peso [ARP] 10/6/05 60,073ARP 20,651,447 243,507 --
Australian Dollar [AUD] 12/5/05 49,680AUD 37,775,914 -- 913,354
British Pound
Sterling [GBP] 10/17/05-3/8/06 30,610GBP 53,957,497 1,302,662 --
Canadian Dollar [CAD] 2/17/06 14,600CAD 12,609,464 -- 361,142
Chinese Renminbi
(Yuan) [CNY] 10/26/05 213,100CNY 26,355,825 42,441 --
Czech Koruna [CZK] 10/26/05 683,400CZK 27,766,689 578,396 --
Euro [EUR] 10/17/05-3/9/06 225,890EUR 272,347,190 4,187,970 --
Japanese Yen [JPY] 10/26/05-3/8/06 16,474,000JPY 146,648,685 2,118,566 --
South African
Rand [ZAR] 10/11/05-11/15/05 136,780ZAR 21,452,337 -- 1,701,996
Swedish Krone [SEK] 10/26/05 212,900SEK 27,502,170 306,267 --
Swiss Franc [CHF] 10/26/05 35,370CHF 27,385,694 436,657 --
Turkish Lira [TRY] 11/1/05-2/8/06 49,848TRY 36,122,059 -- 1,258,085
----------------------------
9,216,466 4,234,577
----------------------------
Total unrealized appreciation and depreciation $ 46,749,028 $ 8,014,177
============================
82 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the 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 September 30, 2005, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2005 (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Amsterdam Exchange Index 10/21/05 116 $ 11,252,160 $ 189,918
CAC-40 10 Index 10/21/05 264 14,598,450 264,518
DAX Index 12/16/05 74 11,264,978 284,567
FTSE 100 Index 12/16/05 23 2,224,910 (6,072)
Japan (Government of) Mini Bonds, 10 yr. 12/8/05 104 12,612,474 (7,638)
Standard & Poor's ASX 200 Index 12/15/05 133 11,757,817 288,684
Standard & Poor's/MIB Index, 10 yr. 12/16/05 54 11,294,538 142,679
U.S. Long Bonds 12/20/05 1,443 165,088,219 (3,958,588)
U.S. Treasury Nts., 10 yr. 12/20/05 1,452 159,606,563 (570,364)
---------------
(3,372,296)
---------------
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS Continued
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2005 (DEPRECIATION)
- -----------------------------------------------------------------------------------------
CONTRACTS TO SELL
CAC-40 10 Index 10/21/05 357 $ 19,741,085 $ (478,938)
DAX Index 12/16/05 163 24,813,398 (737,936)
Euro-Bundesobligation, 10 yr. 12/8/05 115 16,935,220 42,328
FTSE 100 Index 12/16/05 188 18,186,221 (397,345)
NASDAQ 100 E-Mini Index 12/16/05 699 22,563,720 (168,792)
Nikkei 225 Index 12/8/05 284 33,923,890 (2,194,159)
Standard & Poor's 500 Index 12/15/05 389 120,035,675 382,679
United Kingdom Long Gilt 12/28/05 14 2,783,653 4,820
U.S. Long Bonds 12/20/05 960 109,830,000 132,067
U.S. Treasury Nts., 2 yr. 12/30/05 1,707 351,455,297 1,074,333
U.S. Treasury Nts., 5 yr. 12/20/05 852 91,044,188 523,434
U.S. Treasury Nts., 10 yr. 12/20/05 303 33,306,328 392,302
--------------
(1,425,207)
--------------
$(4,797,503)
==============
- --------------------------------------------------------------------------------
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
84 | OPPENHEIMER STRATEGIC INCOME FUND
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 year ended September 30, 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 35,835 52,734 17,775,000 41,124
Options closed or expired (21,980,046,620) (1,661,650) (17,775,000) (41,124)
----------------------------------------------------------------
Options outstanding as of
September 30, 2005 -- $ -- -- $ --
================================================================
- --------------------------------------------------------------------------------
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 September 30, 2005, the Fund had entered into the following total return
swap agreements:
RECEIVED
PAID BY THE RATES BY THE RATES
FUND AT AS OF FUND AT AS OF UNREALIZED
SWAP NOTIONAL SEPT. 30, SEPT.30, SEPT. 30, SEPT. 30, TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 2005 2005 DATES (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------
Deutsche Six-Month
Bank AG $12,650,000 BBA LIBOR 4.23063% UDIS 3.586687% 5/13/15 $ 1,362,854
- --------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Six-Month
7,180,000 BBA LIBOR 4.23063 UDIS 3.586687 1/14/15 716,483
Six-Month
7,180,000 BBA LIBOR 4.23063 UDIS 3.586687 1/20/15 730,069
- --------------------------------------------------------------------------------------------------------------------
One-Month
LIBOR Change of
Minus 0.25% Total Return
(+ or -) of Lehman
Rate Brothers
UBS AG 3,230,000 Received 5.04893 CMBS Index (1.36)* 12/1/05 (43,810)
---------------
$ 2,765,596
===============
* Represents an additional amount paid by the Fund at September 30, 2005.
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS Continued
Index abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
CMBS Commercial Mortgage Backed Securities
LIBOR London-Interbank Offered Rate
UDIS Mexican Indice Nacional de Precios al Consumidor
- --------------------------------------------------------------------------------
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.
As of September 30, 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 SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Citigroup
Global Markets
Holdings, Inc.:
Three-Month
10,321,000,000KRW 3.93% 4.34% KWCDC 2/17/10 $ (67,002)
3,360,000,000KRW 3.49 4.575 KWCDC 8/26/10 344
Six-Month
11,250,000PLZ 4.35 5.52 WIBO 3/24/10 225,970
Six-Month
18,000,000PLZ 4.35 5.55 WIBO 3/24/10 368,228
- -------------------------------------------------------------------------------------------------------------
Citigroup
Global Markets Three-Month
Holdings, Inc. 125,000,000 3.76 4.96 BBA LIBOR 5/6/14 3,619,788
86 | OPPENHEIMER STRATEGIC INCOME FUND
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston 28-Day
International 68,120,000MXN 10.03% 10% MXN TIIE 7/9/15 $ 336,559
- -------------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston, Inc. Six-Month
(Nassau Branch) 29,695,000PLZ 4.91 4.48 WIBO 7/1/10 (63,818)
- -------------------------------------------------------------------------------------------------------------
Deutsche
Bank AG:
Three-Month
29,210,000EUR 2.134 3.83 EURIBOR 3/8/15 2,472,438
Six-Month
6,930,000 3.66 5.25 LIBOR 6/23/15 493,827
Three-Month
39,995,000 4.816 3.834 BBA LIBOR 3/8/15 (322,668)
90-Day
481,500,000TWD 2.585 1.36 CPTW 8/19/09 (381,804)
637,815,000INR 4.88 5.012 IRS 1/15/09 489,920
Three-Month
94,000,000 3.79 5.32 BBA LIBOR 5/12/14 5,546,505
- -------------------------------------------------------------------------------------------------------------
Goldman
Sachs Capital
Markets LP:
118,589,283BRR 19.73 17.18 BZDI 1/2/08 82,499
12,475,040BRR 18.25 17.72 BZDI 1/2/07 (51,964)
19,476,430BRR 19.20 18.16 BZDI 1/2/08 194,701
34,200,000MXN 9.49 10 MXN TIIE 6/24/15 160,040
67,560,000MXN 9.61 10.22 MXN TIIE 1/30/15 405,628
59,375,000MXN 9.48 10.43 MXN TIIE 5/29/15 433,865
59,375,000MXN 9.48 10.30 MXN TIIE 6/1/15 386,404
59,620,000MXN 9.735 10.29 MXN TIIE 6/14/15 386,446
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
23,464,063BRR 18.63% 18% BZDI 1/2/07 $ (38,592)
9,638,700BRR 18.25 17.17 BZDI 1/2/08 (23,603)
11,780,630BRR 18.25 17.17 BZDI 1/2/08 (28,848)
70,140,000MXN 9.72 10.70 MXN TIIE 5/8/15 630,750
39,690,000MXN 9.625 9.41 MXN TIIE 8/31/20 (3,682)
78,820,000MXN 9.675 9.50 MXN TIIE 8/28/25 (4,928)
119,100,000MXN 9.625 9.51 MXN TIIE 8/26/25 2,810
89,830,000MXN 9.675 9.74 MXN TIIE 1/5/10 254,448
179,660,000MXN 9.625 9.84 MXN TIIE 12/31/09 570,026
30,800,000MXN 9.495 10.85 MXN TIIE 3/5/15 301,900
- -------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank:
Six-Month
3,175,600,000HUF 6.63 7 LIBOR flat 7/14/08 307,273
28-Day
117,080,000MXN 9.65 10.88 MXN TIIE 11/16/14 1,171,134
65,300,000MXN 9.51 9.76 MXN TIIE 8/17/15 225,016
Three-Month
300,000,000 4.59 3.961 BBA LIBOR 3/24/10 (226,371)
Three-Month
8,500,000 3.97 4.38 LIBOR 9/27/14 (202,881)
Three-Month
17,455,000 3.68 4.94 BBA LIBOR 4/30/14 556,024
- -------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
Six-Month
7,700,000GBP 4.598 4.515 BBA LIBOR 2/17/16 (22,421)
Six-Month
32,250,000GBP 4.515 4.52 BBA LIBOR 2/17/08 74,764
28-Day
67,450,000MXN 9.625 9.99 MXN TIIE 7/19/15 317,189
Six-Month
34,350,000PLZ 4.74 4.53 WIBO 7/5/10 (52,122)
- -------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
12,776,603BRR 18.68 16.88 BZDI 1/2/08 (72,911)
25,645,000BRR 19.72 17.59 BZDI 1/2/07 (55,110)
Three-Month
264,000,000 2.32 3.76 LIBOR flat 11/10/05 1,667,061
Three-Month
38,140,000ZAR 7 8.14 JIBA 5/18/10 59,380
---------------
$ 20,122,212
===============
88 | OPPENHEIMER STRATEGIC INCOME FUND
Notional amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
BRR Brazilian Real
EUR Euro
GBP British Pound Sterling
HUF Hungary Forints
INR Indian Rupee
KRW South Korean Won
MXN Mexican Nuevo Peso
PLZ Polish Zloty
TWD New Taiwan Dollar
ZAR South African Rand
Index abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BZDI Brazil Cetip Interbank Deposit Rate
CPTW Bloomberg Taiwan Secondary Commercial Papers
EURIBOR Euro Interbank Offered Rate
IRS India Swap Composites
JIBA South Africa Johannesburg Interbank Agreed Rate
KWCDC South Korean Won
LIBOR London-Interbank Offered Rate
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 default swap contract to seek to maintain a
total return on a particular investment or portion of its portfolio, or for
other non-speculative purposes. Credit default swap contracts are subject to
credit risks (for example if the counterparty fails to meet its obligations).
As a purchaser of a credit default swap contract, the Fund pays a periodic
interest fee on the notional amount to the counterparty. This interest fee is
accrued daily as a component of unrealized appreciation (depreciation) and is
recorded as realized loss upon payment. Upon occurrence of a specific credit
event with respect to the underlying referenced debt obligation, the Fund is
obligated to deliver that security to the counterparty in exchange for receipt
of the notional amount from the counterparty. The difference between the value
of the security delivered and the notional amount received is recorded as
realized gain. Information regarding such credit swaps as of September 30, 2005
is as follows:
89 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. CREDIT SWAP CONTRACTS Continued
NOTIONAL
AMOUNT ANNUAL
RECEIVED BY THE INTEREST
FUND UPON RATE PAID UNREALIZED
COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND DEPRECIATION
- ---------------------------------------------------------------------------------------------------
Citigroup Global
Markets Limited Russian Federation
London, UK 5% Step-up Bond $ 57,270,000 1.09% $ 1,586,797
- ---------------------------------------------------------------------------------------------------
JPMorgan Chase
New York, NY:
Kingdom of Jordan
6% Step-up Bond 4,525,000 2.00 44,311
Russian Federation
2.50% Step-up Bond 8,390,000 2.40 1,012,899
- ---------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
Brazil 12.25% Global Bond 30,680,000 6.15 4,594,501
General Motors 7.125% Bond 4,300,000 5.45 228,199
General Motors 7.125% Bond 8,700,000 4.40 164,533
Republic of Turkey 11.875% Bond 5,070,000 3.15 321,604
- ---------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
Republic of Columbia
10.375% Bond 5,880,000 3.70 372,883
Turkey Government
11.875% International Bond 14,860,000 3.22 496,393
Ukrainian Government Bond 4,504,000 1.65 6,980
- ---------------------------------------------------------------------------------------------------
UBS AG, Federal Republic of Brazil
London Branch 12.25% Bond 11,315,000 4.50 1,218,142
------------
$ 10,047,242
============
As a seller of a credit default swap contract, the Fund receives a periodic
interest fee on the notional amount from the counterparty. This interest fee is
accrued daily as a component of unrealized appreciation (depreciation) and is
recorded as realized gain upon receipt. Upon occurrence of a specific credit
event with respect to the underlying referenced debt obligation, the Fund
receives that security from the counterparty in exchange for payment of the
notional amount to the counterparty. The difference between the value of the
security received and the notional amount paid is recorded as realized loss.
Information regarding such credit swaps as of September 30, 2005 is as follows:
90 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL ANNUAL
AMOUNT INTEREST
PAID BY THE RATE UNREALIZED
FUND UPON RECEIVED BY APPRECIATION
COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT THE FUND (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------
Citigroup Global
Markets Limited Russian Federation
London, UK 5% Step-up Bond $ 100,220,000 0.70% $ 827,915
- ---------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
General Motors 7.125% Bond 4,300,000 9.80 639,331
General Motors 7.125% Bond 8,700,000 5.55 (536,435)
Republic of Turkey 11.875% Bond 11,170,000 1.87 247,374
- ---------------------------------------------------------------------------------------------------
UBS AG, Federal Republic of Brazil
London Branch 12.25% Bond 27,605,000 3.80 2,183,810
--------------
$ 3,361,995
==============
- --------------------------------------------------------------------------------
11. FOREIGN EXCHANGE VOLATILITY SWAP CONTRACTS
The Fund may enter into a foreign exchange volatility swap transaction to hedge
the direction of volatility in a particular currency, or for other
non-speculative purposes. In foreign exchange volatility swaps, counterparties
agree to buy or sell volatility at a specific volatility level over a fixed
period. Payment is normally made on the basis of a currency amount per
percentage point above or below the volatility strike level at maturity. 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 a daily increase or decrease to unrealized gain (loss)
based on changes in the amount due to or owed by the Fund at the expiration date
of the swap. Foreign exchange volatility swaps are subject to credit risks (if
the counterparty fails to meet its obligations).
As of September 30, 2005, the Fund had entered into the following foreign
exchange volatility swap agreements:
NOTIONAL
PRINCIPAL EXPIRATION UNREALIZED
SWAP COUNTERPARTY CURRENCY AMOUNT DATE PRICE DEPRECIATION
- ---------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The) Mexican Nuevo Peso $ 15,020,000 10/12/05 11.449MXN $ 92,478
91 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
12. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable changes
in the preset rate on the underlying interest rate swap. Swaption contracts
written by the Fund do not give rise to counterparty credit risk as they
obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
Written swaption activity for the year ended September 30, 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 517,915,000 3,575,460 94,160,000 325,223
Swaptions closed or expired (523,730,000) (4,033,612) (188,320,000) (764,639)
-------------------------------------------------------------------
Swaptions outstanding as of
September 30, 2005 $ 69,130,000 $ 283,433 $ -- $ --
===================================================================
As of September 30, 2005, the Fund had entered into the following swaption
contracts:
NOTIONAL EXPIRATION STRIKE PREMIUM VALUE
SWAPTIONS AMOUNT DATE PRICE RECEIVED SEE NOTE 1
- -------------------------------------------------------------------------------------------
U.S. Dollar $ 69,130,000 2/9/06 $ 4.74 $ 283,433 $ 376,100
- --------------------------------------------------------------------------------
13. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of September 30, 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.
Securities that are illiquid or restricted are marked with the applicable
footnote on the Statement of Investments. Information concerning restricted
securities and currency is as follows:
92 | OPPENHEIMER STRATEGIC INCOME FUND
VALUATION AS OF
ACQUISITION SEPTEMBER 30, UNREALIZED
SECURITY DATES COST 2005 DEPRECIATION
- --------------------------------------------------------------------------------------------------
Geotek Communications, Inc.
Series B, Escrow Shares 1/4/01 $ 2,500 $ -- $ 2,500
Prandium, Inc. 3/18/99-7/18/02 12,157,000 20,685 12,136,315
CURRENCY
Argentine Peso (ARP) 7/22/05 1,423,594 1,403,180 20,414
----------------------------------------------
$ 13,583,094 $ 1,423,865 $ 12,159,229
==============================================
- --------------------------------------------------------------------------------
14. ACQUISITION OF OPPENHEIMER MULTI-SECTOR INCOME TRUST
On July 22, 2005, the Fund acquired all of the net assets of Oppenheimer
Multi-Sector Income Trust, pursuant to an Agreement and Plan of Reorganization
approved by the Oppenheimer Multi-Sector Income Trust shareholders on July 12,
2005. The Fund issued (at an exchange ratio of 2.150014 for Class A of the Fund
to one share of Oppenheimer Multi-Sector Income Trust) 62,844,742 shares of
beneficial interest for Class A, valued at $270,860,838 in exchange for the net
assets, resulting in combined Class A net assets of $4,466,747,248 on July 22,
2005. The net assets acquired included net unrealized appreciation of $6,581,052
and an unused capital loss carryforward of $32,689,355, potential utilization
subject to tax limitations. The exchange qualified as a tax-free reorganization
for federal income tax purposes.
- --------------------------------------------------------------------------------
15. 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 continues to receive the
economic benefit of interest or dividends paid on the securities loaned in the
form of a substitute payment received from the borrower. As of September 30,
2005, the Fund had on loan securities valued at $195,321,346. Collateral of
$199,640,509 was received for the loans, of which $29,803,280 was received in
cash and subsequently invested in approved instruments.
93 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
16. LITIGATION
A consolidated amended complaint has been filed as putative derivative and class
actions against the Manager, OFS and the Distributor, 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 defendants believe that the allegations contained in the Complaints
are without merit and that they have meritorious defenses against the claims
asserted. The defendants intend to defend these lawsuits vigorously and to
contest any claimed liability. The 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.
94 | OPPENHEIMER STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND:
We have audited the accompanying statement of assets and liabilities of
Oppenheimer Strategic Income Fund, including the statement of investments, as of
September 30, 2005, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the periods presented. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audit includes consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of September 30, 2005, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Oppenheimer Strategic Income Fund as of September 30, 2005, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each of
the five years in the periods presented, in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Denver, Colorado
November 18, 2005
95 | OPPENHEIMER STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
In early 2006, if applicable, shareholders of record will receive information
regarding all dividends and distributions paid to them by the Fund during
calendar year 2005. Regulations of the U.S. Treasury Department require the Fund
to report this information to the Internal Revenue Service.
Dividends, if any, paid by the Fund during the fiscal year ended September
30, 2005 which are not designated as capital gain distributions should be
multiplied by 0.69% to arrive at the amount eligible for the corporate
dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal
year ended September 30, 2005 which are not designated as capital gain
distributions are eligible for lower individual income tax rates to the extent
that the Fund has received qualified dividend income as stipulated by recent tax
legislation. $4,905,931 of the Fund's fiscal year taxable income may be eligible
for the lower individual income tax rates. In early 2006, shareholders of record
will receive information regarding the percentage of distributions that are
eligible for lower individual income tax rates.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because of
the complexity of the federal regulations which may affect your individual tax
return and the many variations in state and local tax regulations, we recommend
that you consult your tax advisor for specific guidance.
96 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF
INVESTMENTS Unaudited
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The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (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.
97 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
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NAME, POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER
THE FUND, LENGTH OF SERVICE, TRUSTEESHIPS/DIRECTORSHIPS HELD; NUMBER OF PORTFOLIOS IN THE Fund Complex
AGE Currently Overseen
INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY,
TRUSTEES CENTENNIAL, CO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR
UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL.
WILLIAM L. ARMSTRONG, Chairman of the following private mortgage banking companies: Cherry Creek
Chairman of the Board of Mortgage Company (since 1991), Centennial State Mortgage Company (since
Trustees (since 2003) and 1994), and The El Paso Mortgage Company (since 1993); Chairman of the
Trustee (since 1999) following private companies: Ambassador Media Corporation (since 1984) and
Age: 68 Broadway Ventures (since 1984); Director of the following: Helmerich &
Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus
Crusade for Christ (since 1991) and The Lynde and Harry Bradley
Foundation, Inc. (non-profit organization) (since 2002); former Chairman
of the following: Transland Financial Services, Inc. (private mortgage
banking company) (1997-2003), Great Frontier Insurance (insurance agency)
(1995-2000), Frontier Real Estate, Inc. (residential real estate
brokerage) (1994-2000) and Frontier Title (title insurance agency)
(1995-2000); former Director of the following: UNUMProvident (insurance
company) (1991-2004), Storage Technology Corporation (computer equipment
company) (1991-2003) and International Family Entertainment (television
channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees
38 portfolios in the OppenheimerFunds complex.
ROBERT G. AVIS, Director and President of A.G. Edwards Capital, Inc. (General Partner of
Trustee (since 1993) private equity funds) (until February 2001); Chairman, President and Chief
Age: 74 Executive Officer of A.G. Edwards Capital, Inc. (until March 2000);
Director of A.G. Edwards & Sons, Inc. (brokerage company) (until 2000) and
A.G. Edwards Trust Company (investment adviser) (until 2000); Vice
Chairman and Director of A.G. Edwards, Inc. (until March 1999); Vice
Chairman of A.G. Edwards & Sons, Inc. (until March 1999); Chairman of A.G.
Edwards Trust Company (until March 1999) and A.G.E. Asset Management
(investment adviser) (until March 1999). Oversees 38 portfolios in the
OppenheimerFunds complex.
GEORGE C. BOWEN, Assistant Secretary and Director of Centennial Asset Management
Trustee (since 2000) Corporation (December 1991-April 1999); President, Treasurer and Director
Age: 69 of Centennial Capital Corporation (June 1989-April 1999); Chief Executive
Officer and Director of MultiSource Services, Inc. (March 1996-April
1999); Mr. Bowen held several positions with the Manager and with
subsidiary or affiliated companies of the Manager (September 1987-April
1999). Oversees 38 portfolios in the OppenheimerFunds complex.
EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical
Trustee (since 2000) site) (since June 2000); Director of Genetic ID, Inc. (biotech company)
Age: 67 (March 2001-May 2002); Partner at PricewaterhouseCoopers LLP (accounting
firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global
Investment Management Industry Services Group (July 1994-June 1998).
Oversees 38 portfolios in the OppenheimerFunds complex.
JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director
Trustee (since 1990) of Northwestern Energy Corp. (public utility corporation) (since November
Age: 63 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003);
Director of Rocky Mountain Elk Foundation (non-profit organization)
(February 1998-February 2003); Chairman and Director (until October 1996)
and President and Chief Executive Officer (until October 1995) of the
Manager; President, Chief Executive Officer and Director of the following:
Oppenheimer Acquisition Corp.
98 | OPPENHEIMER STRATEGIC INCOME FUND
JON S. FOSSEL, ("OAC") (parent holding company of the Manager), Shareholders Services,
Continued Inc. and Shareholder Financial Services, Inc. (until October 1995).
Oversees 38 portfolios in the OppenheimerFunds complex.
SAM FREEDMAN, Director of Colorado Uplift (charitable organization) (since September
Trustee (since 1996) 1984). Mr. Freedman held several positions with the Manager and with
Age: 65 subsidiary or affiliated companies of the Manager (until October 1994).
Oversees 38 portfolios in the OppenheimerFunds complex.
BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational
Trustee (since 2002) organization) (since February 2000); Director of The California Endowment
Age: 59 (philanthropic organization) (since April 2002); Director of Community
Hospital of Monterey Peninsula (since February 2002); Director of American
Funds' Emerging Markets Growth Fund, Inc. (mutual fund) (since October
1991); President of ARCO Investment Management Company (February
1991-April 2000); Member of the investment committees of The Rockefeller
Foundation and The University of Michigan; Advisor at Credit Suisse First
Boston's Sprout venture capital unit (venture capital fund) (1994-January
2005); Trustee of MassMutual Institutional Funds (investment company)
(1996-June 2004); Trustee of MML Series Investment Fund (investment
company) (April 1989-June 2004); Member of the investment committee of
Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension
fund (2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex.
ROBERT J. MALONE, Director of Jones International University (educational organization)
Trustee (since 2002) (since August 2005); Chairman, Chief Executive Officer and Director of
Age: 61 Steele Street State Bank (commercial banking) (since August 2003);
Director of Colorado UpLIFT (charitable organization) (since 1986);
Trustee of the Gallagher Family Foundation (non-profit organization)
(since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S.
Bancorp and formerly Colorado National Bank) (July 1996-April 1999);
Director of Commercial Assets, Inc. (real estate investment trust)
(1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and
Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-
February 2004). Oversees 38 portfolios in the OppenheimerFunds complex.
F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional
Trustee (since 2000) Funds) (investment company) (since 1996) and MML Series Investment Fund
Age: 63 (investment company) (since 1996), the Springfield Library and Museum
Association (museums) (since 1995) and the Community Music School of
Springfield (music school) (since 1996); Chairman and Trustee (since 2003)
and Chairman of the Investment Committee (since 1994) of the Worcester
Polytech Institute (private university); President and Treasurer of the
SIS Funds (private charitable fund) (since January 1999); Chairman of SIS
& Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January
1999-July 1999); Member of the Investment Committee of the Community
Foundation of Western Massachusetts (1998-2003); and Executive Vice
President of Peoples Heritage Financial Group, Inc. (commercial bank)
(January 1999-July 1999). Oversees 40 portfolios in the OppenheimerFunds
complex.
99 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
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INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY
AND OFFICER STREET, 11TH FLOOR, NEW YORK, NY 10281-1008. MR. MURPHY SERVES AS A
TRUSTEE FOR AN INDEFINITE TERM AND AS AN OFFICER FOR AN ANNUAL TERM, OR
UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL. MR. MURPHY IS AN
INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH OPPENHEIMERFUNDS, INC. AND
ITS AFFILIATES.
JOHN V. MURPHY, Chairman, Chief Executive Officer and Director (since June 2001) and
President and Principle President (since September 2000) of the Manager; President and Director or
Executive Officer Trustee of other Oppenheimer funds; President and Director of OAC and of
(since 2001) and Trustee Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the
(since 2001) Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc.
Age: 56 (subsidiary of the Manager) (since November 2001); Chairman and Director
of Shareholder Services, Inc. and of Shareholder Financial Services,
Inc. (transfer agent subsidiaries of the Manager) (since July 2001);
President and Director of OppenheimerFunds Legacy Program (charitable
trust program established by the Manager) (since July 2001); Director of
the following investment advisory subsidiaries of the Manager: OFI
Institutional Asset Management, Inc., Centennial Asset Management
Corporation, Trinity Investment Management Corporation and Tremont Capital
Management, Inc. (since November 2001), HarbourView Asset Management
Corporation and OFI Private Investments, Inc. (since July 2001); President
(since November 2001) and Director (since July 2001) of Oppenheimer Real
Asset Management, Inc.; Executive Vice President of Massachusetts Mutual
Life Insurance Company (OAC's parent company) (since February 1997);
Director of DLB Acquisition Corporation (holding company parent of Babson
Capital Management LLC) (since June 1995); Member of the Investment
Company Institute's Board of Governors (since October 3, 2003); Chief
Operating Officer of the Manager (September 2000-June 2001); President and
Trustee of MML Series Investment Fund and MassMutual Select Funds
(open-end investment companies) (November 1999-November 2001); Director of
C.M. Life Insurance Company (September 1999-August 2000); President, Chief
Executive Officer and Director of MML Bay State Life Insurance Company
(September 1999-August 2000); Director of Emerald Isle Bancorp and
Hibernia Savings Bank (wholly-owned subsidiary of Emerald Isle Bancorp)
(June 1989-June 1998). Oversees 77 portfolios as a Trustee or Director and
10 additional portfolios as an officer in the OppenheimerFunds complex.
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OTHER OFFICERS THE ADDRESS OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS.
OF THE FUND STEINMETZ AND ZACK, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH
FLOOR, NEW YORK, NY 10281-1008, FOR MESSRS. VANDEHEY AND WIXTED 6803 S.
TUCSON WAY, CENTENNIAL, CO 80112-3924. EACH OFFICER SERVES FOR AN ANNUAL
TERM OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL.
ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView
Vice President (since 1989) Asset Management Corporation (since March 2000); an officer of 4
Age: 46 portfolios in the OppenheimerFunds complex.
MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager
Vice President and (since March 2004); Vice President of OppenheimerFunds Distributor, Inc.,
Chief Compliance Officer (since June 1983); Vice President and Director of Internal Audit of the
(since 2004) Centennial Asset Management Corporation and Shareholder Services, Inc.
Age: 55 Manager (1997-February 2004). An officer of 87 portfolios in the Oppenheimer
Funds complex.
100 | OPPENHEIMER STRATEGIC INCOME FUND
BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999);
Treasurer and Principal Treasurer of the following: HarbourView Asset Management Corporation,
Financial and Accounting Shareholder Financial Services, Inc., Shareholder Services, Inc.,
Officer Oppenheimer Real Asset Management Corporation, and Oppenheimer Partnership
(since 1999) Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since
Age: 46 March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc
(since May 2000), OFI Institutional Asset Management, Inc. (since November
2000), and OppenheimerFunds Legacy Program (since June 2003); Treasurer
and Chief Financial Officer of OFI Trust Company (trust company subsidiary
of the Manager) (since May 2000); Assistant Treasurer of the following:
OAC (since March 1999), Centennial Asset Management Corporation (March
1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June
2003); Principal and Chief Operating Officer of Bankers Trust
Company-Mutual Fund Services Division (March 1995-March 1999). An officer
of 87 portfolios in the OppenheimerFunds complex.
ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since
Vice President and March 2002) of the Manager; General Counsel and Director of the
Secretary Distributor (since December 2001); General Counsel of Centennial Asset
(since 2001) Management Corporation (since December 2001); Senior Vice President and
Age: 57 General Counsel of HarbourView Asset Management Corporation (since
December 2001); Secretary and General Counsel of OAC (since November
2001); Assistant Secretary (since September 1997) and Director (since
November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds
plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc.
(since December 2002); Director of Oppenheimer Real Asset Management, Inc.
(since November 2001); Senior Vice President, General Counsel and Director
of Shareholder Financial Services, Inc. and Shareholder Services, Inc.
(since December 2001); Senior Vice President, General Counsel and Director
of OFI Private Investments, Inc. and OFI Trust Company (since November
2001); Vice President of OppenheimerFunds Legacy Program (since June
2003); Senior Vice President and General Counsel of OFI Institutional
Asset Management, Inc. (since November 2001); Director of OppenheimerFunds
(Asia) Limited (since December 2003); Senior Vice President (May
1985-December 2003), Acting General Counsel (November 2001-February 2002)
and Associate General Counsel (May 1981-October 2001) of the Manager;
Assistant Secretary of the following: Shareholder Services, Inc. (May
1985-November 2001), Shareholder Financial Services, Inc. (November
1989-November 2001), and OppenheimerFunds International Ltd. (September
1997-November 2001). An officer of 87 portfolios in the OppenheimerFunds
complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION
ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON
REQUEST, BY CALLING 1.800.525.7048.
101 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal accounting
officer or controller or persons performing similar functions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that Edward L. Cameron,
the Chairman of the Board's Audit Committee, and George C. Bowen, a member of
the Board's Audit Committee, possess the technical attributes identified in
Instruction 2(b) of Item 3 to Form N-CSR to qualify as "audit committee
financial experts," and has designated Messrs. Cameron and
Bowen as the Audit Committee's financial experts. Messrs. Cameron and Bowen are
"independent" Trustees pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The principal accountant for the audit of the registrant's annual financial
statements billed $66,000 in fiscal 2005 and $64,500 in fiscal 2004.
(b) Audit-Related Fees
The principal accountant for the audit of the registrant's annual financial
statements billed to the registrant $2,500 in fiscal 2005 and no such fees in
fiscal 2004.
The principal accountant for the audit of the registrant's annual financial
statements billed $15,000 in fiscal 2005 and no such fees in fiscal 2004 to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such services: review of Form N-14 and seed money audits.
(c) Tax Fees
The principal accountant for the audit of the registrant's annual financial
statements billed to the registrant $6,667 in fiscal 2005 and no such fees in
fiscal 2004.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees during the last two fiscal years to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such services: audit of the tax provision for certain structured instruments.
(d) All Other Fees
The principal accountant for the audit of the registrant's annual financial
statements billed to the registrant no such fees during the last two fiscal
years.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees during the last two fiscal years to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
(e) (1) During its regularly scheduled periodic meetings, the registrant's
audit committee will pre-approve all audit, audit-related, tax and other
services to be provided by the principal accountants of the registrant.
The audit committee has delegated pre-approval authority to its Chairman
for any subsequent new engagements that arise between regularly scheduled
meeting dates provided that any fees such pre-approved are presented to
the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services maybe waived
provided that: 1) the aggregate amount of all such services provided
constitutes no more than five percent of the total amount of fees paid by
the registrant to it principal accountant during the fiscal year in which
services are provided 2) such services were not recognized by the
registrant at the time of engagement as non-audit services and 3) such
services are promptly brought to the attention of the audit committee of
the registrant and approved prior to the completion of the audit.
(2) 100%
(f) Not applicable as less than 50%.
(g) The principal accountant for the audit of the registrant's annual
financial statements billed $24,167 in fiscal 2005 and no such fees in
fiscal 2004 to the registrant and the registrant's investment adviser or
any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant related to
non-audit fees. Those billings did not include any prohibited non-audit
services as defined by the Securities Exchange Act of 1934.
(h) The registrant's audit committee of the board of trustees has considered
whether the provision of non-audit services that were rendered to the
registrant's investment adviser, and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES 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 FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In evaluating trustee nominees, the Committee
considers, among other things, an individual's background, skills, and
experience; whether the individual is an "interested person" as defined in
the Investment Company Act of 1940; and whether the individual would be
deemed an "audit committee financial expert" within the meaning of
applicable SEC rules. The Committee also considers whether the
individual's background, skills, and experience will complement the
background, skills, and experience of other nominees and will contribute
to the Board. There are no differences in the manner in which the
Committee evaluates nominees for trustees based on whether the nominee is
recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where
required, to shareholders. Recommendations for trustee nominees should, at
a minimum, be accompanied by the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in
a proxy statement concerning the person if he or she was nominated;
and
o the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the 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 September 30, 2005, the registrant's principal executive
officer and principal financial officer found the registrant's disclosure
controls and procedures to provide reasonable assurances that information
required to be disclosed by the 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.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a) (1) Exhibit attached hereto.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
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: November 16, 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: November 16, 2005
By: /s/ Brian W. Wixted
-------------------
Brian W. Wixted
Principal Financial Officer
Date: November 16, 2005