UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21268
OPPENHEIMER TOTAL RETURN BOND FUND
(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
(Address of principal executive offices) (Zip code)
ROBERT G. ZACK, ESQ.
OPPENHEIMERFUNDS, INC.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: April 30
Date of reporting period: October 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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TOP FIVE HOLDINGS BY ISSUER
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Federal National Mortgage Assn. 43.0%
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Federal Home Loan Mortgage Corp. 5.9
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U.S. Treasury 3.5
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Tennessee Valley Authority 3.3
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Banc of America Commercial Mortgage, Inc. 0.9
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2005, and are based on the total market value of investments.
CORPORATE BONDS AND NOTES--TOP TEN INDUSTRIES
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Electric Utilities 3.0%
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Insurance 2.7
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Media 2.6
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Diversified Financial Services 2.4
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Automobiles 2.4
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Real Estate 2.0
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Diversified Telecommunication Services 1.7
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Oil & Gas 1.6
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Food & Staples Retailing 1.4
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Hotels, Restaurants & Leisure 1.3
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2005, and are based on net assets.
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CREDIT ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Treasury 3.5%
Agency 46.4
AAA 25.1
AA 1.9
A 5.8
BBB 13.4
BB 3.5
Not Rated 0.4
Portfolio holdings and allocations are subject to change. Percentages are as of
October 31, 2005, and are based on the total market value of investments.
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8 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES
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TOTAL RETURNS INCLUDE CHANGES IN SHARE PRICE AND REINVESTMENT OF DIVIDENDS
AND CAPITAL GAINS DISTRIBUTIONS IN A HYPOTHETICAL INVESTMENT FOR THE PERIODS
SHOWN. CUMULATIVE TOTAL RETURNS ARE NOT ANNUALIZED. THE FUND'S TOTAL RETURNS
SHOWN DO NOT REFLECT THE DEDUCTION OF INCOME TAXES ON AN INDIVIDUAL'S
INVESTMENT. TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS
PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. INVESTORS
SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER CHARGES AND
EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND
OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL
ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT
WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
Please remember this Fund has a limited operating history.
CLASS A shares of the Fund were first publicly offered on 2/21/03. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%
CLASS B shares of the Fund were first publicly offered on 2/21/03. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 3% (since inception). Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 2/21/03. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 2/21/03. Class N
shares are offered only through retirement plans. Unless otherwise noted, Class
N returns include the contingent deferred sales charge of 1% for the 1-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
9 | OPPENHEIMER TOTAL RETURN BOND 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 October 31, 2005.
ACTUAL EXPENSES. The "actual" lines of the table provide information about
actual account values and actual expenses. You may use the information on this
line for the class of shares you hold, together with the amount you invested, to
estimate the expense that you paid over the period. Simply divide your account
value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00
= 8.60), then multiply the result by the number in the "actual" line under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The "hypothetical" lines of the
table provide information about hypothetical account values and hypothetical
expenses based on the Fund's actual expense ratio for each class of shares, and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing
in the Fund and other funds. To do so, compare this 5% hypothetical example for
the class of shares you hold with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front-end
or contingent deferred sales charges (loads), or a $12.00 fee imposed annually
on accounts valued at less than $500.00 (subject to exceptions described in
10 | OPPENHEIMER TOTAL RETURN BOND 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.
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(5/1/05) (10/31/05) OCTOBER 31, 2005
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Class A Actual $1,000.00 $1,002.20 $4.20
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Class A Hypothetical 1,000.00 1,021.02 4.24
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Class B Actual 1,000.00 998.10 8.34
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Class B Hypothetical 1,000.00 1,016.89 8.42
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Class C Actual 1,000.00 999.10 8.35
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Class C Hypothetical 1,000.00 1,016.89 8.42
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Class N Actual 1,000.00 1,000.70 5.82
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Class N Hypothetical 1,000.00 1,019.41 5.87
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended October 31, 2005 are as follows:
CLASS EXPENSE RATIOS
- --------------------------
Class A 0.83%
- --------------------------
Class B 1.65
- --------------------------
Class C 1.65
- --------------------------
Class N 1.15
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Manager and 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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11 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS October 31, 2005 / Unaudited
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--12.6%
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 4.06%, 4/20/08 1 $ 70,000 $ 70,053
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BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2005-A, Cl. A2, 3.66%, 12/26/07 257,244 256,494
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Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.:
Series 2004-2, Cl. A3, 3.58%, 1/15/09 220,000 215,413
Series 2005-1, Cl. A2B, 3.73%, 7/16/07 140,000 139,807
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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 33,568 33,385
Series 2005-B, Cl. AF1, 4.02%, 3/26/35 49,860 49,560
Series 2005-C, Cl. AF1, 4.196%, 6/25/35 171,018 170,175
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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 3,175 3,168
Series 2004-1, Cl. 1A2, 2.427%, 6/25/19 54,763 54,599
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Chase Manhattan Auto Owner Trust, Automobile Loan
Pass-Through Certificates:
Series 2002-A, Cl. A4, 4.24%, 9/15/08 23,584 23,576
Series 2005-A, Cl. A2, 3.72%, 12/15/07 240,000 238,836
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CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 127,771 127,274
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Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2003-C4, Cl. C4, 5%, 6/10/15 30,000 29,218
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Citigroup Mortgage Loan Trust, Inc., Collateralized Mtg. Obligations,
Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 366,001 364,397
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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 80,000 83,269
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Countrywide Asset-Backed Certificates, Inc., Home Equity
Asset-Backed Certificates:
Series 2002-4, Cl. A1, 4.408%, 2/25/33 1 3,300 3,333
Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 196,711 195,754
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2002-A, Cl. A4, 4.49%, 10/6/08 44,901 44,925
Series 2004-B, Cl. A2, 2.48%, 2/8/07 18,226 18,212
Series 2004-C, Cl. A2, 2.62%, 6/8/07 154,174 153,651
Series 2005-A, Cl. A2, 3.17%, 9/8/07 199,206 198,521
Series 2005-B, Cl. A2, 3.75%, 12/8/07 250,000 249,417
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Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates,
Series 2004-3, Cl. AF2, 3.80%, 7/25/34 1 240,000 238,826
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First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity
Receivables, Series 2005-FF10, Cl. A3, 4.248%, 11/25/39 1 360,000 360,000
- -----------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates:
Series 2004-A, Cl. A2, 2.13%, 10/15/06 49,536 49,482
Series 2005-A, Cl. A3, 3.48%, 11/17/08 160,000 157,949
Series 2005-B, Cl. A2, 3.77%, 9/15/07 195,789 195,393
12 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.,
Series 2003-3, Cl. A1, 1.50%, 1/15/08 $ 13,736 $ 13,727
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Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2003-1, Cl. A3, 1.92%, 11/20/06 1,280 1,279
Series 2005-1, Cl. A2, 3.21%, 5/21/07 90,776 90,488
Series 2005-3, Cl. A2, 3.73%, 10/18/07 230,000 228,762
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Lehman XS Trust, Home Equity Obligations:
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 315,834 316,315
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 214,727 214,726
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MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 5.32%, 3/15/16 1 310,000 329,407
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Nissan Auto Lease Trust, Automobile Lease Obligations,
Series 2004-A, Cl. A2, 2.55%, 1/15/07 54,374 54,268
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Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.,
Series 2005-C, Cl. A2, 3.99%, 1/15/08 390,000 388,425
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Onyx Acceptance Owner Trust, Automobile Receivable Obligations:
Series 2002-B, Cl. A4, 4.71%, 3/15/09 126,602 126,530
Series 2005-B, Cl. A2, 4.03%, 4/15/08 190,000 189,307
- -----------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates:
Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1 60,000 59,163
Series 2005-1, Cl. A F2, 3.914%, 5/25/35 1 50,000 49,199
Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1 80,000 79,134
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Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed
Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 180,000 178,596
- -----------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through
Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 320,871 320,671
- -----------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Home Equity Obligations, Series 2003-25XS,
Cl. A4, 4.51%, 8/25/33 90,093 89,865
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USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.:
Series 2004-2, Cl. A2, 2.41%, 2/15/07 38,898 38,852
Series 2004-3, Cl. A2, 2.79%, 6/15/07 83,635 83,423
- -----------------------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities:
Series 2004-A, Cl. A2, 2.47%, 1/22/07 85,064 84,844
Series 2005-A, Cl. A2, 3.52%, 4/20/07 200,000 199,277
- -----------------------------------------------------------------------------------------------------------------------------
Wachovia Auto Owner Trust, Automobile Receivable Nts.,
Series 2004-B, Cl. A2, 2.40%, 5/21/07 47,941 47,818
- -----------------------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 1 126,521 125,466
- -----------------------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivable Certificates,
Series 2004-1, Cl. A2A, 2.59%, 5/15/07 103,737 103,269
-------------
Total Asset-Backed Securities (Cost $7,167,175) 7,137,498
13 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS--74.2%
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GOVERNMENT AGENCY--61.2%
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FHLMC/FNMA/SPONSORED--61.1%
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl.2A2, 7%, 2/25/44 $ 261,535 $ 274,039
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
6.50%, 4/1/18-4/1/34 297,659 306,600
7%, 7/1/21-3/1/35 1,697,010 1,773,544
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Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation
Certificates, Series 2046, Cl. G, 6.50%, 4/15/28 497,681 511,871
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 6,741 6,736
Series 2034, Cl. Z, 6.50%, 2/15/28 63,322 65,122
Series 2053, Cl. Z, 6.50%, 4/15/28 71,206 73,193
Series 2055, Cl. ZM, 6.50%, 5/15/28 82,264 84,292
Series 2075, Cl. D, 6.50%, 8/15/28 196,539 201,820
Series 2080, Cl. Z, 6.50%, 8/15/28 54,062 55,269
Series 2326, Cl. ZP, 6.50%, 6/15/31 94,464 96,935
Series 2387, Cl. PD, 6%, 4/15/30 71,844 72,266
Series 2456, Cl. BD, 6%, 3/15/30 46,422 46,557
Series 2498, Cl. PC, 5.50%, 10/15/14 2,323 2,322
Series 2500, Cl. FD, 4.47%, 3/15/32 1 28,293 28,584
Series 2526, Cl. FE, 4.37%, 6/15/29 1 27,999 28,224
Series 2551, Cl. FD, 4.37%, 1/15/33 1 22,405 22,586
Series 2583, Cl. KA, 5.50%, 3/15/22 184,437 184,953
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Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 176, Cl. IO, 12.311%, 6/1/26 3 53,103 11,622
Series 183, Cl. IO, 9.82%, 4/1/27 3 85,865 19,521
Series 184, Cl. IO, 15.80%, 12/1/26 3 91,076 18,818
Series 192, Cl. IO, 14.107%, 2/1/28 3 24,732 4,853
Series 200, Cl. IO, 12.756%, 1/1/29 3 29,381 6,594
Series 2003-118, Cl. S, 22.81%, 12/25/33 3 615,940 66,282
Series 2130, Cl. SC, 8.355%, 3/15/29 3 65,703 5,267
Series 2796, Cl. SD, 13.798%, 7/15/26 3 95,961 7,496
Series 2920, Cl. S, 16.819%, 1/15/35 3 611,710 31,448
Series 3000, Cl. SE, 27.941%, 7/15/25 3 750,821 30,339
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed
Security, Series 176, Cl. PO, 4.757%, 6/1/26 4 26,086 21,707
14 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.:
4.50%, 12/1/20 5 $ 2,183,000 $ 2,109,324
5%, 6/1/18-7/1/18 617,629 609,889
5%, 11/1/35 5 4,710,000 4,533,375
5.50%, 3/1/33-1/1/34 2,141,350 2,116,682
5.50%, 7/1/33-11/1/35 5 3,882,783 3,832,303
6%, 10/1/16-11/1/32 2,583,063 2,640,334
6%, 11/1/20-11/1/35 5 5,015,919 5,076,818
6.50%, 10/1/30-11/1/31 462,909 477,358
6.50%, 10/1/34-12/1/35 5 3,762,000 3,860,190
7%, 11/1/17 275,256 287,531
7.50%, 3/1/30 63,448 67,081
8.50%, 7/1/32 5,091 5,526
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Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1,
Cl. A2, 7%, 11/25/31 199,481 206,562
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 153,148 157,656
Trust 1996-35, Cl. Z, 7%, 7/25/26 236,158 245,166
Trust 1998-63, Cl. PG, 6%, 3/25/27 9,626 9,609
Trust 2001-50, Cl. NE, 6%, 8/25/30 36,928 37,121
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 298,760 308,310
Trust 2001-70, Cl. LR, 6%, 9/25/30 43,865 44,253
Trust 2001-72, Cl. NH, 6%, 4/25/30 27,569 27,701
Trust 2001-74, Cl. PD, 6%, 5/25/30 11,556 11,593
Trust 2002-77, Cl. WF, 4.38%, 12/18/32 1 34,463 34,704
Trust 2002-94, Cl. MA, 4.50%, 8/25/09 1,109 1,106
Trust 2003-10, Cl. HP, 5%, 2/25/18 300,000 294,348
Trust 2003-21, Cl. FK, 4.23%, 3/25/33 1 60,003 60,415
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 418,000 422,133
Trust 2004-101, Cl. BG, 5%, 1/25/20 186,000 182,720
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 90,000 84,506
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security :
Trust 2002-38, Cl. SO, 8.938%, 4/25/32 3 115,896 6,876
Trust 2002-47, Cl. NS, 10.012%, 4/25/32 3 114,613 9,864
Trust 2002-51, Cl. S, 10.203%, 8/25/32 3 105,250 8,085
Trust 2002-77, Cl. IS, 10.288%, 12/18/32 3 197,452 16,756
15 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 222, Cl. 2, 11.11%, 6/1/23 3 $ 180,505 $ 36,547
Trust 240, Cl. 2, 14.63%, 9/1/23 3 280,631 63,537
Trust 247, Cl. 2, 12.99%, 10/1/23 3 326,212 69,711
Trust 252, Cl. 2, 0.75%, 11/1/23 3 496,618 114,639
Trust 254, Cl. 2, 6.998%, 1/1/24 3 71,712 16,424
Trust 273, Cl. 2, 12.759%, 8/1/26 3 39,114 8,298
Trust 319, Cl. 2, 12.115%, 2/1/32 3 58,584 14,435
Trust 321, Cl. 2, 6.80%, 3/1/32 3 601,124 146,524
Trust 322, Cl. 2, 14.416%, 4/1/32 3 702,151 164,676
Trust 329, Cl. 2, 9.599%, 1/1/33 3 289,381 70,627
Trust 331, Cl. 9, (12.496)%, 2/1/33 3 179,715 40,606
Trust 333, Cl. 2, 10.46%, 3/1/33 3 447,733 110,604
Trust 334, Cl. 17, (3.994)%, 2/1/33 3 101,098 22,459
Trust 346, Cl. 2, 10.54%, 12/1/33 3 1,302,080 318,806
Trust 350, Cl. 2, 11.00%, 2/1/34 3 755,983 185,098
Trust 2001-65, Cl. S, 22.94%, 11/25/31 3 346,667 32,295
Trust 2001-81, Cl. S, 12.685%, 1/25/32 3 63,628 5,733
Trust 2002-9, Cl. MS, 11.025%, 3/25/32 3 75,622 6,125
Trust 2002-52, Cl. SD, 5.444%, 9/25/32 3 132,964 10,954
Trust 2002-77, Cl. SH, 13.606%, 12/18/32 3 79,078 7,709
Trust 2002-84, Cl. SA, 23.153%, 12/25/32 3 297,487 29,452
Trust 2003-4, Cl. S, 21.729%, 2/25/33 3 189,946 22,487
Trust 2004-54, Cl. DS, 8.44%, 11/25/30 3 118,556 7,724
Trust 2005-6, Cl. SE, 15.893%, 2/25/35 3 428,374 22,543
Trust 2005-19, Cl. SA, 14.36%, 3/25/35 3 1,624,417 85,776
Trust 2005-40, Cl. SA, 15.993%, 5/25/35 3 386,731 20,138
Trust 2005-71, Cl. SA, 24.563%, 8/25/25 3 489,570 28,813
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security:
Trust 352, Cl. 1, 3.87%, 7/1/34 4,5 1,661,602 1,227,768
Trust 1993-184, Cl. M, 6.302%, 9/25/23 4 59,609 49,567
-------------
34,784,830
- -----------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.1%
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 2001-21, Cl. SB, 6.189%, 1/16/27 3 217,015 15,472
Series 2002-15, Cl. SM, 3.363%, 2/16/32 3 220,428 15,346
Series 2002-76, Cl. SY, 5.791%, 12/16/26 3 257,708 18,990
Series 2004-11, Cl. SM, 1.808%, 1/17/30 3 95,974 6,107
-------------
55,915
16 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
NON-AGENCY--13.0%
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL--11.2%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2004-6, Cl. A3, 4.512%, 12/10/42 $ 170,000 $ 164,098
Series 2005-2, Cl. A4, 4.783%, 7/10/43 1 300,000 293,338
Series 2005-3, Cl. A2, 4.501%, 7/10/43 250,000 243,472
- -----------------------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., Collateralized Mtg. Obligations
Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 189,085 189,675
- -----------------------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., Collateralized Mtg. Obligations
Pass-Through Certificates:
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 151,757 154,271
Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1 30,146 30,133
Series 2005-E, Cl. 2A2, 4.99%, 6/25/35 1 64,689 64,506
- -----------------------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations:
Series 2003-T10, Cl. A1, 4%, 3/13/40 231,821 223,376
Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 90,000 88,551
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg.
Obligations, Series 2005-CD1, Cl. A4, 5.224%, 9/15/20 5 280,000 280,175
- -----------------------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations:
Series 2004-J9, Cl. 1A1, 4.218%, 10/25/34 1 71,874 71,933
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 416,934 424,081
- -----------------------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,
Series 1997-CHL1, Cl. D, 7.64%, 4/29/39 1,6 190,000 190,475
- -----------------------------------------------------------------------------------------------------------------------------
First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg.
Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 101,595 104,779
- -----------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 208,984
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 120,000 117,747
Series 2005-CA, Cl. A3, 4.578%, 6/10/48 80,000 77,588
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 150,000 148,717
- -----------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1997-C1, Cl. A3, 6.869%, 7/15/29 73,836 75,763
Series 2004-C3, Cl. A4, 4.547%, 12/10/41 110,000 106,150
- -----------------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through
Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 150,000 145,815
- -----------------------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates:
Series 2004-C1, Cl. A1, 3.659%, 10/10/28 118,089 114,262
Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 70,000 69,031
- -----------------------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2004-12,
Cl. 3A1, 4.469%, 12/25/34 1 100 99
- -----------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2003-ML1A, Cl. A1, 3.972%, 3/12/39 145,816 140,853
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 60,000 58,665
17 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/40 $ 180,000 $ 178,482
- -----------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations,
Series 2004-6, Cl. 10A1, 6%, 7/25/34 248,013 250,222
- -----------------------------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg. Obligations,
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 251,558 250,146
- -----------------------------------------------------------------------------------------------------------------------------
Mastr Seasoned Securities Trust, Collateralized Mtg. Obligations, Series 2004-2,
Cl. A1, 6.50%, 8/25/32 471,401 476,410
- -----------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 130,000 134,800
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 199,335
- -----------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 171,113 171,435
- -----------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations:
Series 2005-C17, Cl. A2, 4.782%, 3/15/42 270,000 266,592
Series 2005-C20, Cl. A5, 5.087%, 7/15/42 1 180,000 178,274
- -----------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized Mtg.
Pass-Through Certificates, Series 2005-AR5, Cl. A1, 4.683%, 5/25/35 1 243,799 243,760
- -----------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations:
Series 2004-DD, Cl. 2 A1, 4.528%, 1/25/35 1 169,298 168,816
Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 25,690 25,698
Series 2004-W, Cl. A2, 4.59%, 11/25/34 1 11,522 11,489
-------------
6,341,996
- -----------------------------------------------------------------------------------------------------------------------------
OTHER--0.9%
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates, Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 220,000 216,631
- -----------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., Collateralized Mtg.
Pass-Through Certificates, Series 2005-AR8, Cl. 2AB1, 4.288%, 7/25/45 1 311,057 311,057
-------------
527,688
- -----------------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--0.9%
Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 502,888 509,489
-------------
Total Mortgage-Backed Obligations (Cost $42,588,732) 42,219,918
- -----------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--12.7%
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 165,000 161,324
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
3.625%, 9/15/06 370,000 367,218
4.125%, 7/12/10 344,000 334,779
18 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4%, 2/28/07 $ 370,000 $ 367,220
4.25%, 7/15/07 7 365,000 362,840
6%, 5/15/11 290,000 306,450
7.25%, 5/15/30 140,000 181,184
- -----------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
4.65%, 6/15/35 85,000 78,939
Series A, 6.79%, 5/23/12 2,193,000 2,429,138
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.375%, 2/15/31 22,000 24,001
5.50%, 8/15/28 165,000 180,488
6.875%, 8/15/25 910,000 1,144,468
STRIPS, 3.24%, 2/15/11 8 555,000 439,744
STRIPS, 3.86%, 2/15/13 8 1,089,000 782,856
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 5%, 2/15/11 86,000 88,157
-------------
Total U.S. Government Obligations (Cost $7,403,777) 7,248,806
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--0.5%
- -----------------------------------------------------------------------------------------------------------------------------
United Mexican States Nts., 7.50%, 1/14/12 (Cost $292,820) 265,000 294,283
- -----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--32.1%
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--9.6%
- -----------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.6%
Dana Corp., 6.50% Unsec. Nts., 3/1/09 205,000 174,763
- -----------------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 165,000 155,216
-------------
329,979
- -----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--2.4%
DaimlerChrysler NA Holdings Corp.:
7.20% Unsec. Nts., 9/1/09 180,000 190,128
8% Nts., 6/15/10 77,000 84,174
- -----------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
5.80% Sr. Unsec. Nts., 1/12/09 270,000 247,454
6.25% Unsec. Nts., 12/8/05 114,000 113,982
7.375% Nts., 10/28/09 45,000 42,974
- -----------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp.:
6.125% Unsec. Unsub. Nts., 2/1/07 420,000 415,993
8% Bonds, 11/1/31 205,000 212,218
- -----------------------------------------------------------------------------------------------------------------------------
Hertz Corp. (The), 6.35% Nts., 6/15/10 67,000 66,983
-------------
1,373,906
19 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--1.3%
Harrah's Operating Co., Inc., 5.625% Bonds, 6/1/15 6 $ 155,000 $ 149,004
- -----------------------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 135,000 146,424
- -----------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 195,000 200,606
- -----------------------------------------------------------------------------------------------------------------------------
Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 280,000 284,681
-------------
780,715
- -----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--1.3%
Beazer Homes USA, Inc., 6.875% Sr. Nts., 7/15/15 6 145,000 133,763
- -----------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 6.125% Nts., 1/15/14 130,000 128,065
- -----------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 145,000 135,859
- -----------------------------------------------------------------------------------------------------------------------------
KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 190,000 176,698
- -----------------------------------------------------------------------------------------------------------------------------
Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 150,000 150,656
-------------
725,041
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA--2.6%
AOL Time Warner, Inc., 7.70% Debs., 5/1/32 175,000 199,911
- -----------------------------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 265,000 282,505
- -----------------------------------------------------------------------------------------------------------------------------
Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 300,000 289,761
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Media Corp., 5.70% Sr. Unsec. Nts., 5/15/13 150,000 136,066
- -----------------------------------------------------------------------------------------------------------------------------
TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 265,000 321,137
- -----------------------------------------------------------------------------------------------------------------------------
Univision Communications, Inc., 3.50% Sr. Unsec. Nts., 10/15/07 250,000 242,126
-------------
1,471,506
- -----------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--1.0%
Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 185,000 192,302
- -----------------------------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 260,000 274,936
- -----------------------------------------------------------------------------------------------------------------------------
May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 100,000 104,680
-------------
571,918
- -----------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.4%
Gap, Inc. (The):
6.90% Nts., 9/15/07 185,000 189,667
9.55% Unsub. Nts., 12/15/08 1 23,000 25,679
-------------
215,346
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--2.6%
- -----------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--1.4%
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 175,000 160,613
- -----------------------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 190,000 213,595
- -----------------------------------------------------------------------------------------------------------------------------
Kroger Co. (The), 6.80% Sr. Unsec. Nts., 4/1/11 210,000 219,703
20 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING Continued
Safeway, Inc., 7.50% Sr. Unsec. Nts., 9/15/09 $ 190,000 $ 202,616
-------------
796,527
- -----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--1.2%
Archer Daniels Midland Co., 5.375% Nts., 9/15/35 155,000 145,798
- -----------------------------------------------------------------------------------------------------------------------------
ConAgra Foods, Inc., 6% Nts., 9/15/06 110,000 111,068
- -----------------------------------------------------------------------------------------------------------------------------
General Mills, Inc., 3.875% Nts., 11/30/07 220,000 215,554
- -----------------------------------------------------------------------------------------------------------------------------
Kraft Foods, Inc., 5.25% Nts., 6/1/07 230,000 231,481
-------------
703,901
- -----------------------------------------------------------------------------------------------------------------------------
ENERGY--1.6%
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--1.6%
Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 160,000 169,549
- -----------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 5.75% Unsec. Unsub. Nts.,
Series 12, 12/15/15 6 245,000 238,201
- -----------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 6 435,000 431,132
- -----------------------------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 6 57,444 53,733
-------------
892,615
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIALS--9.4%
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.8%
Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 15,000 15,842
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (USA), 5.50% Nts., 8/15/13 250,000 253,808
- -----------------------------------------------------------------------------------------------------------------------------
JPMorgan Capital XV, 5.875% Nts., 3/15/35 200,000 190,209
-------------
459,859
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--1.2%
Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 3,000 2,950
- -----------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bond 9 240,000 227,518
- -----------------------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 4.75% Sr. Unsec. Nts., 7/15/13 300,000 288,683
- -----------------------------------------------------------------------------------------------------------------------------
National City Bank, 6.20% Sub. Nts., 12/15/11 15,000 15,917
- -----------------------------------------------------------------------------------------------------------------------------
SunTrust Banks, Inc.:
4% Nts., 10/15/08 115,000 112,156
7.75% Unsec. Sub. Nts., 5/1/10 10,000 11,091
-------------
658,315
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--2.4%
CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 205,000 232,188
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 115,000 126,197
- -----------------------------------------------------------------------------------------------------------------------------
Franklin Resources, Inc., 3.70% Nts., 4/15/08 50,000 48,645
21 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Goldman Sachs Group, Inc. (The), 5.70% Sr. Unsec. Nts., 9/1/12 $ 270,000 $ 276,172
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 20,000 20,753
- -----------------------------------------------------------------------------------------------------------------------------
MBNA Corp., 7.50% Sr. Nts., Series F, 3/15/12 225,000 252,646
- -----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 290,000 284,507
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley, 6.60% Nts., 4/1/12 145,000 155,679
-------------
1,396,787
- -----------------------------------------------------------------------------------------------------------------------------
INSURANCE--2.7%
Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 6 40,000 39,289
- -----------------------------------------------------------------------------------------------------------------------------
ASIF Global Financing XXIII, 3.90% Nts., 10/22/08 6 185,000 179,587
- -----------------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc., 5.875% Sr. Unsec. Bonds, 8/1/33 180,000 161,687
- -----------------------------------------------------------------------------------------------------------------------------
MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 145,000 140,488
- -----------------------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc.:
5.90% Nts., 7/1/12 110,000 113,769
6.25% Sr. Unsec. Nts., 11/15/11 30,000 31,796
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 6 255,000 320,257
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 295,000 374,683
- -----------------------------------------------------------------------------------------------------------------------------
Travelers Property Casualty Corp., 3.75% Sr. Unsec. Nts., 3/15/08 210,000 203,832
-------------
1,565,388
- -----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--2.0%
EOP Operating LP:
6.763% Sr. Unsec. Nts., 6/15/07 98,000 100,514
8.10% Unsec. Nts., 8/1/10 165,000 183,224
- -----------------------------------------------------------------------------------------------------------------------------
iStar Financial, Inc.:
4.875% Sr. Unsec. Nts., Series B, 1/15/09 120,000 118,003
5.125% Sr. Unsec. Nts., Series B, 4/1/11 95,000 92,151
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 145,000 145,739
- -----------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP:
5.45% Unsec. Nts., 3/15/13 102,000 101,593
5.625% Unsec. Unsub. Nts., 8/15/14 110,000 110,556
- -----------------------------------------------------------------------------------------------------------------------------
Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 290,000 292,650
-------------
1,144,430
- -----------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.3%
Countrywide Financial Corp., 4.50% Nts., Series A, 6/15/10 155,000 150,081
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.1%
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.1%
Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 190,000 191,696
22 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
CIGNA Corp.:
7% Sr. Unsec. Nts., 1/15/11 $ 100,000 $ 107,991
7.40% Unsec. Nts., 5/15/07 195,000 201,889
- -----------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 7.125% Sr. Unsec. Nts., 6/1/06 140,000 142,218
--------------
643,794
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--2.1%
- -----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 175,000 191,295
- -----------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.5%
FedEx Corp., 2.65% Unsec. Nts., 4/1/07 300,000 290,960
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.6%
Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 135,000 141,413
- -----------------------------------------------------------------------------------------------------------------------------
Waste Management, Inc.:
6.875% Sr. Unsec. Nts., 5/15/09 170,000 179,500
7.125% Sr. Unsec. Nts., 10/1/07 5,000 5,189
--------------
326,102
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.3%
Tyco International Group SA, 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 185,000 185,943
- -----------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.3%
Canadian National Railway Co., 4.25% Nts., 8/1/09 29,000 28,339
- -----------------------------------------------------------------------------------------------------------------------------
CSX Corp., 6.25% Unsec. Nts., 10/15/08 140,000 144,739
--------------
173,078
- -----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.1%
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.7%
British Telecommunications plc, 8.875% Bonds, 12/15/30 130,000 170,324
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 180,000 201,063
- -----------------------------------------------------------------------------------------------------------------------------
France Telecom SA:
7.75% Sr. Unsec. Nts., 3/1/11 1 140,000 156,110
8.50% Sr. Unsec. Nts., 3/1/31 1 45,000 58,976
- -----------------------------------------------------------------------------------------------------------------------------
Sprint Capital Corp., 8.75% Nts., 3/15/32 175,000 227,029
- -----------------------------------------------------------------------------------------------------------------------------
Verizon Global Funding Corp., 5.85% Nts., 9/15/35 150,000 140,762
--------------
954,264
- -----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.4%
AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 195,000 224,544
- -----------------------------------------------------------------------------------------------------------------------------
UTILITIES--3.6%
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--3.0%
CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 165,000 176,921
- -----------------------------------------------------------------------------------------------------------------------------
Constellation Energy Group, Inc., 7% Unsec. Nts., 4/1/12 180,000 195,077
23 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 $ 205,000 $ 228,672
- -----------------------------------------------------------------------------------------------------------------------------
DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 100,000 100,946
- -----------------------------------------------------------------------------------------------------------------------------
FirstEnergy Corp.:
5.50% Sr. Unsub. Nts., Series A, 11/15/06 115,000 115,695
7.375% Sr. Unsub. Nts., Series C, 11/15/31 150,000 171,343
- -----------------------------------------------------------------------------------------------------------------------------
IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1 100,000 104,500
- -----------------------------------------------------------------------------------------------------------------------------
MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 245,000 251,426
- -----------------------------------------------------------------------------------------------------------------------------
Portland General Electric Co., 8.125% First Mortgage Nts., 2/1/10 6 120,000 132,600
- -----------------------------------------------------------------------------------------------------------------------------
PSE&G Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 95,000 96,900
- -----------------------------------------------------------------------------------------------------------------------------
PSE&G Power LLC, 6.875% Sr. Unsec. Nts., 4/15/06 105,000 105,994
--------------
1,680,074
- -----------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.6%
NiSource Finance Corp.:
3.20% Nts., 11/1/06 30,000 29,512
7.875% Sr. Unsec. Nts., 11/15/10 185,000 205,870
- -----------------------------------------------------------------------------------------------------------------------------
Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 103,000 113,239
--------------
348,621
--------------
Total Corporate Bonds and Notes (Cost $18,734,858) 18,254,989
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $76,187,362) 132.1% 75,155,494
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (32.1) (18,283,862)
---------------------------------
NET ASSETS 100.0% $ 56,871,632
=================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid security. The aggregate value of illiquid securities as of
October 31, 2005 was $83,269, which represents 0.15% of the Fund's net
assets. See Note 7 of Notes to Financial Statements.
3. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities
typically decline in price as interest rates decline. Most other fixed
income securities increase in price when interest rates decline. The
principal amount of the underlying pool represents the notional amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows. These securities
amount to $1,962,476 or 3.45% of the Fund's net assets as of October 31,
2005.
4. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these
securities generally increases as interest rates decline and prepayment
rates rise. The price of these securities is typically more volatile than
that of coupon-bearing bonds of the same maturity. Interest rates
disclosed represent current yields based upon the current cost basis and
estimated timing of future cash flows. These securities amount to
$1,299,042 or 2.28% of the Fund's net assets as of October 31, 2005.
5. When-issued security or forward commitment to be delivered and settled
after October 31, 2005. See Note 1 of Notes to Financial Statements.
24 | OPPENHEIMER TOTAL RETURN BOND FUND
6. 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 $1,868,041 or 3.28%
of the Fund's net assets as of October 31, 2005.
7. 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 $298,224. See Note 5 of Notes
to Financial Statements.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. This bond has no contractual maturity date, is not redeemable and
contractually pays an indefinite stream of interest.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
OCTOBER 31, 2005
- --------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------
Investments, at value (cost $76,187,362)--see accompanying
statement of investments $ 75,155,494
- --------------------------------------------------------------------------------
Cash 346,967
- --------------------------------------------------------------------------------
Receivables and other assets:
Investments sold on a when-issued basis or forward commitment 8,699,765
Interest, dividends and principal paydowns 576,984
Shares of beneficial interest sold 126,611
Futures margins 1,805
Receivable from Manager 657
Other 750
-------------
Total assets 84,909,033
- --------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------
Unrealized depreciation on swap contracts 8,309
- --------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $27,711,899 purchased on a
when-issued basis or forward commitment) 27,871,035
Dividends 78,970
Shares of beneficial interest redeemed 33,903
Shareholder communications 16,143
Transfer and shareholder servicing agent fees 8,763
Distribution and service plan fees 7,342
Trustees' compensation 932
Other 12,004
-------------
Total liabilities 28,037,401
- --------------------------------------------------------------------------------
NET ASSETS $ 56,871,632
=============
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 5,763
- --------------------------------------------------------------------------------
Additional paid-in capital 57,932,484
- --------------------------------------------------------------------------------
Accumulated net investment income 96,762
- --------------------------------------------------------------------------------
Accumulated net realized loss on investments (209,077)
- --------------------------------------------------------------------------------
Net unrealized depreciation on investments (954,300)
-------------
NET ASSETS $ 56,871,632
=============
26 | OPPENHEIMER TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- --------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net
assets of $40,902,796 and 4,144,548 shares of beneficial
interest outstanding) $ 9.87
Maximum offering price per share (net asset value plus sales
charge of 4.75% of offering price) $10.36
- --------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $4,844,351 and 490,777 shares of beneficial
interest outstanding) $ 9.87
- --------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based
on net assets of $7,981,677 and 808,995 shares of
beneficial interest outstanding) $ 9.87
- --------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on
net assets of $3,142,808 and 318,414 shares of beneficial
interest outstanding) $ 9.87
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED OCTOBER 31, 2005
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 1,258,047
- --------------------------------------------------------------------------------
Fee income 116,166
- --------------------------------------------------------------------------------
Other income 1,353
------------
Total investment income 1,375,566
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 146,654
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 23,284
Class B 22,910
Class C 36,101
Class N 7,591
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 22,334
Class B 10,856
Class C 12,781
Class N 4,052
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 8,015
Class B 4,970
Class C 4,593
Class N 752
- --------------------------------------------------------------------------------
Legal, auditing and other professional fees 18,697
- --------------------------------------------------------------------------------
Trustees' compensation 2,743
- --------------------------------------------------------------------------------
Custodian fees and expenses 506
- --------------------------------------------------------------------------------
Other 5,016
------------
Total expenses 331,855
Less reduction to custodian expenses (506)
Less waivers and reimbursements of expenses (33,472)
------------
Net expenses 297,877
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,077,689
28 | OPPENHEIMER TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ (226,507)
Closing of futures contracts 153,476
Swap contracts (12,829)
------------
Net realized loss (85,860)
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (939,500)
Futures contracts 30,836
Swap contracts (8,309)
------------
Net change in unrealized depreciation (916,973)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 74,856
============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
29 | OPPENHEIMER TOTAL RETURN BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2005 APRIL 30,
(UNAUDITED) 2005
- --------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------
Net investment income $ 1,077,689 $ 1,647,884
- --------------------------------------------------------------------------------------
Net realized gain (loss) (85,860) 123,888
- --------------------------------------------------------------------------------------
Net change in unrealized depreciation (916,973) 431,394
-----------------------------
Net increase in net assets resulting from operations 74,856 2,203,166
- --------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (843,862) (1,371,124)
Class B (69,688) (97,975)
Class C (109,757) (126,494)
Class N (53,746) (58,268)
- --------------------------------------------------------------------------------------
Distributions from net realized gain:
Class A -- (321,230)
Class B -- (31,264)
Class C -- (43,977)
Class N -- (18,161)
- --------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A (2,052) 5,992,710
Class B 678,499 1,339,849
Class C 1,352,361 3,818,993
Class N 383,918 1,982,293
- --------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------
Total increase 1,410,529 13,268,518
- --------------------------------------------------------------------------------------
Beginning of period 55,461,103 42,192,585
-----------------------------
End of period (including accumulated net investment
income of $96,762 and $96,126, respectively) $ 56,871,632 $ 55,461,103
=============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2005 APRIL 30,
CLASS A (UNAUDITED) 2005 2004 2003 1
- --------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.04 $ 10.00 $ 10.08 $ 10.00
- --------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 2 .36 2 .28 .03
Net realized and unrealized gain (loss) (.17) .12 (.02) .08
-------------------------------------------------------------
Total from investment operations .02 .48 .26 .11
- --------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.19) (.36) (.29) (.03)
Distributions from net realized gain -- (.08) (.05) --
-------------------------------------------------------------
Total dividends and/or distributions to shareholders (.19) (.44) (.34) (.03)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.87 $ 10.04 $ 10.00 $ 10.08
=============================================================
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 0.22% 4.89% 2.64% 1.14%
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 40,903 $ 41,648 $ 35,522 $ 27,598
- --------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 43,459 $ 38,411 $ 32,578 $ 26,027
- --------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 3.85% 3.56% 2.78% 1.77%
Total expenses 0.83% 0.80% 0.79% 1.29%
Expenses after waivers and reduction
to custodian expenses 0.83% 0.79% 0.73% 0.90%
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 51% 5 86% 5 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to
April 30, 2003.
2. Per share amounts calculated based on the average shares outstanding
during the period.
3. Assumes an investment at net asset value on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption
at the net asset value calculated on the last business day of the fiscal
period. Sales charges are not reflected in the total returns. Total
returns are not annualized for periods of less than one full year. Returns
do not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. The portfolio turnover rate excludes purchases and sales of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------
Six Months Ended October 31, 2005 $133,321,564 $ 135,584,103
Year Ended April 30, 2005 280,759,754 281,155,514
Year Ended April 30, 2004 198,777,129 189,672,219
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2005 APRIL 30,
CLASS B (UNAUDITED) 2005 2004 2003 1
- --------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.04 $ 10.00 $ 10.08 $ 10.00
- --------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .15 2 .27 2 .19 .02
Net realized and unrealized gain (loss) (.17) .12 (.02) .08
-------------------------------------------------------------
Total from investment operations (.02) .39 .17 .10
- --------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.15) (.27) (.20) (.02)
Distributions from net realized gain -- (.08) (.05) --
-------------------------------------------------------------
Total dividends and/or distributions to shareholders (.15) (.35) (.25) (.02)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.87 $ 10.04 $ 10.00 $ 10.08
=============================================================
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 (0.19)% 4.00% 1.69% 0.97%
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 4,844 $ 4,244 $ 2,896 $ 798
- --------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 4,548 $ 3,610 $ 2,444 $ 340
- --------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 3.06% 2.70% 1.91% 0.85%
Total expenses 2.28% 2.41% 2.20% 2.36%
Expenses after waivers and reduction
to custodian expenses 1.65% 1.65% 1.65% 1.65%
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 51% 5 86% 5 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to
April 30, 2003.
2. Per share amounts calculated based on the average shares outstanding
during the period.
3. Assumes an investment at net asset value on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption
at the net asset value calculated on the last business day of the fiscal
period. Sales charges are not reflected in the total returns. Total
returns are not annualized for periods of less than one full year. Returns
do not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. The portfolio turnover rate excludes purchases and sales of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ------------------------------------------------------------------------------
Six Months Ended October 31, 2005 $133,321,564 $ 135,584,103
Year Ended April 30, 2005 280,759,754 281,155,514
Year Ended April 30, 2004 198,777,129 189,672,219
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER TOTAL RETURN BOND FUND
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2005 APRIL 30,
CLASS C (UNAUDITED) 2005 2004 2003 1
- --------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.03 $ 9.99 $ 10.08 $ 10.00
- --------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .15 2 .27 2 .19 .02
Net realized and unrealized gain (loss) (.16) .12 (.03) .08
-------------------------------------------------------------
Total from investment operations (.01) .39 .16 .10
- --------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.15) (.27) (.20) (.02)
Distributions from net realized gain -- (.08) (.05) --
-------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.15) (.35) (.25) (.02)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.87 $ 10.03 $ 9.99 $ 10.08
=============================================================
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 (0.09)% 3.99% 1.60% 0.96%
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 7,982 $ 6,757 $ 2,943 $ 388
- --------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 7,169 $ 4,641 $ 1,679 $ 126
- --------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 3.04% 2.71% 1.95% 0.59%
Total expenses 2.07% 2.17% 2.12% 2.28%
Expenses after waivers and
reduction to custodian expenses 1.65% 1.65% 1.65% 1.65%
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 51% 5 86% 5 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to
April 30, 2003.
2. Per share amounts calculated based on the average shares outstanding
during the period.
3. Assumes an investment at net asset value on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption
at the net asset value calculated on the last business day of the fiscal
period. Sales charges are not reflected in the total returns. Total
returns are not annualized for periods of less than one full year. Returns
do not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. The portfolio turnover rate excludes purchases and sales of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -----------------------------------------------------------------------------
Six Months Ended October 31, 2005 $133,321,564 $ 135,584,103
Year Ended April 30, 2005 280,759,754 281,155,514
Year Ended April 30, 2004 198,777,129 189,672,219
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
OCTOBER 31, 2005 APRIL 30,
CLASS N (UNAUDITED) 2005 2004 2003 1
- --------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.04 $ 10.00 $ 10.08 $ 10.00
- --------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 2 .32 2 .24 .03
Net realized and unrealized gain (loss) (.17) .12 (.02) .08
-------------------------------------------------------------
Total from investment operations .01 .44 .22 .11
- --------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.18) (.32) (.25) (.03)
Distributions from net realized gain -- (.08) (.05) --
-------------------------------------------------------------
Total dividends and/or distributions to shareholders (.18) (.40) (.30) (.03)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.87 $ 10.04 $ 10.00 $ 10.08
=============================================================
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 0.07% 4.51% 2.20% 1.08%
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 3,143 $ 2,812 $ 831 $ 22
- --------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 3,015 $ 1,802 $ 386 $ 6
- --------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 3.54% 3.22% 2.40% 1.50%
Total expenses 1.41% 1.51% 1.34% 2.63%
Expenses after waivers and
reduction to custodian expenses 1.15% 1.15% 1.15% 1.15%
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 51% 5 86% 5 131% 5 77%
1. For the period from February 21, 2003 (commencement of operations) to
April 30, 2003.
2. Per share amounts calculated based on the average shares outstanding
during the period.
3. Assumes an investment at net asset value on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption
at the net asset value calculated on the last business day of the fiscal
period. Sales charges are not reflected in the total returns. Total
returns are not annualized for periods of less than one full year. Returns
do not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. The portfolio turnover rate excludes purchases and sales of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ------------------------------------------------------------------------------------
Six Months Ended October 31, 2005 $133,321,564 $ 135,584,103
Year Ended April 30, 2005 280,759,754 281,155,514
Year Ended April 30, 2004 198,777,129 189,672,219
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
34 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Total Return Bond Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek to maximize total return through both
capital appreciation and income. As a secondary objective, it emphasizes
preservation of capital. The Fund's investment advisor is OppenheimerFunds, Inc.
(the Manager).
The Fund offers Class A, Class B, Class C and Class N shares. Class A
shares are sold at their offering price, which is normally net asset value plus
a front-end sales charge. Class B, Class C and Class N shares are sold without a
front-end sales charge but may be subject to a contingent deferred sales charge
(CDSC). Class N shares are sold only through retirement plans. Retirement plans
that offer Class N shares may impose charges on those accounts. All classes of
shares have identical rights and voting privileges with respect to the Fund in
general and exclusive voting rights on matters that affect that class alone.
Earnings, net assets and net asset value per share may differ due to each class
having its own expenses, such as transfer and shareholder servicing agent fees
and shareholder communications, directly attributable to that class. Class A, B,
C and N have separate distribution and/or service plans. Class B shares will
automatically convert to Class A shares six years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities 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 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
35 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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).
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The purchase of securities on a when-issued
basis or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of October 31, 2005, the Fund had purchased
$27,711,899 of securities issued on a when-issued basis or forward commitment
and sold $8,699,765 of securities issued on a when-issued basis or forward
commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of each
forward roll as realized gain (loss) on investments or as fee income in the case
of such transactions that have an associated fee in lieu of a difference in the
forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities
36 | OPPENHEIMER TOTAL RETURN BOND FUND
pledged as collateral for repurchase agreements are held by a custodian bank
until the agreements mature. Each agreement requires that the market value of
the collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
As of October 31, 2005, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $153,342 expiring by 2014.
This estimated capital loss carryforward represents carryforward as of the end
of the last fiscal year, increased for losses deferred under tax accounting
rules to the current fiscal year and is increased or decreased by capital losses
or gains realized in the first six months of the current fiscal year. As of
October 31, 2005, it is estimated that the Fund will not utilize any capital
loss carryforward to offset realized capital gains. During the year ended April
30, 2005, the Fund did not utilize any capital loss carryforward to offset
capital gains realized in that fiscal year.
As of April 30, 2005, the Fund had available for federal income tax
purposes post-October losses of $67,482.
- --------------------------------------------------------------------------------
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.
37 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED OCTOBER 31, 2005 YEAR ENDED APRIL 30, 2005
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------
CLASS A
Sold 546,152 $ 5,482,105 1,066,067 $ 10,715,419
Dividends and/or
distributions reinvested 33,623 336,960 54,023 543,541
Redeemed (585,415) (5,821,117) (523,711) (5,266,250)
---------------------------------------------------------
Net increase (decrease) (5,640) $ (2,052) 596,379 $ 5,992,710
=========================================================
- --------------------------------------------------------------------------------------------
CLASS B
Sold 110,513 $ 1,107,270 248,698 $ 2,501,568
Dividends and/or
distributions reinvested 6,194 62,082 11,443 115,136
Redeemed (48,852) (490,853) (126,951) (1,276,855)
---------------------------------------------------------
Net increase 67,855 $ 678,499 133,190 $ 1,339,849
=========================================================
- --------------------------------------------------------------------------------------------
CLASS C
Sold 214,457 $ 2,145,636 458,302 $ 4,615,150
Dividends and/or
distributions reinvested 10,243 102,626 16,060 161,543
Redeemed (89,279) (895,901) (95,285) (957,700)
---------------------------------------------------------
Net increase 135,421 $ 1,352,361 379,077 $ 3,818,993
=========================================================
38 | OPPENHEIMER TOTAL RETURN BOND FUND
SIX MONTHS ENDED OCTOBER 31, 2005 YEAR ENDED APRIL 30, 2005
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------
CLASS N
Sold 52,650 $ 528,452 218,611 $ 2,199,418
Dividends and/or
distributions reinvested 5,312 53,239 7,583 76,293
Redeemed (19,719) (197,773) (29,185) (293,418)
-------------------------------------------------------
Net increase 38,243 $ 383,918 197,009 $ 1,982,293
=======================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the six months ended October 31, 2005, were as
follows:
PURCHASES SALES
----------------------------------------------------------------
Investment securities $ 31,152,121 $ 20,967,507
U.S. government and government
agency obligations 3,918,155 6,778,146
To Be Announced (TBA)
mortgage-related securities 133,321,564 135,584,103
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
annual rate of 0.50% of the first $250 million of average annual net assets of
the Fund, 0.475% of the next $500 million, and 0.45% of average annual net
assets in excess of $750 million.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended October 31, 2005, the Fund paid
$44,704 to OFS for services to the Fund.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
quarterly at an annual rate of up to 0.25% of the average annual net assets of
Class A shares of the Fund. The Distributor currently uses all of those fees to
pay dealers, brokers, banks and other financial institutions quarterly for
providing personal services and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with
respect to Class A shares in any fiscal year cannot be recovered in subsequent
years. Fees incurred by the Fund under the Plan are detailed in the Statement of
Operations.
39 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
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 October 31, 2005 for Class B, Class C
and Class N shares were $139,066, $99,622 and $56,554, 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
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -----------------------------------------------------------------------------------------
October 31, 2005 $ 36,303 $ -- $ 6,805 $ 880 $ 3,220
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. The Manager has voluntarily agreed to
waive management fees and/or reimburse the Fund for certain expenses such that
"Total Expenses" will not exceed 0.90% for Class A shares, 1.65% for Class B
shares, 1.65% for Class C shares and 1.15% for Class N shares, respectively.
During the six months ended October 31, 2005, the Manager reimbursed the Fund
$11,585, $14,830 and $3,860 for Class B, Class C and Class N shares,
respectively. The voluntary waiver described above may be amended or withdrawn
at any time.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class.
During the six months ended October 31, 2005, OFS waived $2,859 and $338 for
Class B and Class C shares, respectively. This undertaking may be amended or
withdrawn at any time.
40 | OPPENHEIMER TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations as the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of October 31, 2005, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS OCTOBER 31, 2005 (DEPRECIATION)
- -------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
U.S. Long Bonds 12/20/05 30 $ 3,359,063 $ (143,857)
-----------
CONTRACTS TO SELL
Euro-Bundesobligation, 10 yr. 12/8/05 5 721,588 (14)
U.S. Treasury Nts., 2 yr. 12/30/05 57 11,696,578 94,267
U.S. Treasury Nts., 5 yr. 12/20/05 50 5,294,531 79,808
U.S. Treasury Nts., 10 yr. 12/20/05 51 5,531,109 55,673
229,734
-----------
$ 85,877
===========
41 | OPPENHEIMER TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. TOTAL RETURN SWAP CONTRACTS
The Fund may enter into a total return swap transaction to maintain a total
return on a particular investment, or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as notional. The Fund records an increase or decrease to unrealized
gain (loss), in the amount due to or owed by the Fund at termination or
settlement. Total return swaps are subject to risks (if the counterparty fails
to meet its obligations).
As of October 31, 2005, the Fund had entered into the following total return
swap agreements:
PAID BY RECEIVED BY
THE FUND AT RATE AS OF THE FUND AT RATE AS OF
SWAP NOTIONAL OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, TERMINATION UNREALIZED
COUNTERPARTY AMOUNT 2005 2005 2005 2005 DATE DEPRECIATION
- ------------------------------------------------------------------------------------------------------------------
Change of
One-Month Total Return
LIBOR Minus of Lehman
0.25% (+ or --) Brothers
UBS AG $ 840,000 Rate Received 4.3946% CMBS Index (0.7846)%* 12/1/05 $ 8,309
* Represents an additional amount paid by the Fund at October 31, 2005.
Index abbreviations are as follows:
CMBS Commercial Mortgage Backed Securities
LIBOR London-Interbank Offered Rate
- --------------------------------------------------------------------------------
7. ILLIQUID SECURITIES
As of October 31, 2005, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund will not invest more than 15% of its net assets (determined at the time of
purchase and reviewed periodically) in illiquid securities. Securities that are
illiquid are marked with the applicable footnote on the Statement of
Investments.
- --------------------------------------------------------------------------------
8. 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
42 | OPPENHEIMER TOTAL RETURN BOND FUND
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.
- --------------------------------------------------------------------------------
9. PROPOSAL TO REORGANIZE WITH AND INTO OPPENHEIMER CORE BOND FUND
On September 14, 2005, the Board of Trustees of the Fund approved a proposal to
reorganize the Fund with and into Oppenheimer Core Bond Fund, a series of
Oppenheimer Integrity Funds ("Core Bond Fund"). A Special Meeting of the
Shareholders of the Fund is scheduled for March 15, 2006 to approve an Agreement
and Plan of Reorganization between the Fund and Core Bond Fund, and the
transactions contemplated thereby, including (a) the transfer of substantially
all the assets of the Fund to Core Bond Fund in exchange for Class A, Class B,
Class C, and Class N shares of Core Bond Fund, (b) the distribution of Class A,
Class B, Class C, and Class N shares of Core Bond Fund to the Class A, Class B,
Class C, and Class N shareholders of the Fund in complete liquidation of the
Fund and (c) the cancellation of the outstanding shares of the Fund. On or about
January 10, 2006, a combined prospectus and proxy statement (and the
accompanying proxy ballot) describing the reorganization is expected to be
mailed to those shareholders who held shares in the Fund on December 6, 2005
(the "record date").
43 | OPPENHEIMER TOTAL RETURN BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file 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.
44 | OPPENHEIMER TOTAL RETURN BOND FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. 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 AUDIT COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Audit 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 October 31, 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) Not applicable to semiannual reports.
(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 Total Return Bond Fund
By: /s/ John V. Murphy
------------------
John V. Murphy
Principal Executive Officer
Date: December 20, 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: December 20, 2005
By: /s/ Brian W. Wixted
-------------------
Brian W. Wixted
Principal Financial Officer
Date: December 20, 2005