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 811-21281
OPPENHEIMER PRINCIPAL PROTECTED TRUST, CONSISTING OF OPPENHEIMER PRINCIPAL
PROTECTED MAIN STREET 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: AUGUST 31
Date of reporting period: FEBRUARY 28, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND(R) PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Equity 100%
The Fund seeks exposure to the equity markets by investing in the Oppenheimer
Main Street Fund(R). Information relating to the Oppenheimer Main Street
Fund's(R) portfolio holdings appears below.
Portfolio holdings and allocations are subject to change. Percentages are as of
February 28, 2006 and are based on the total market value of investments.
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OPPENHEIMER MAIN STREET FUND(R) (UNDERLYING FUND) SECTOR ALLOCATION
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Financials 20.7%
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Information Technology 19.5
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Health Care 13.6
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Industrials 11.2
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Consumer Discretionary 10.7
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Energy 10.4
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Consumer Staples 6.9
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Telecommunication Services 3.3
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Materials 2.7
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Utilities 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
February 28, 2006, and are based on the total market value of common stocks.
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11 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
TOP HOLDINGS AND ALLOCATIONS
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OPPENHEIMER MAIN STREET FUND(R) (UNDERLYING FUND)
TOP TEN COMMON STOCK INDUSTRIES
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Oil & Gas 9.9%
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Diversified Financial Services 8.5
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Commercial Banks 5.2
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Health Care Providers & Services 5.0
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Pharmaceuticals 5.0
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Insurance 4.9
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Semiconductors & Semiconductor Equipment 4.7
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Computers & Peripherals 4.5
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Software 4.2
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Aerospace & Defense 3.5
Portfolio holdings and allocations are subject to change. Percentages are as of
28, February 2006, and are based on net assets.
OPPENHEIMER MAIN STREET FUND(R) (UNDERLYING FUND)
TOP TEN COMMON STOCK HOLDINGS
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Exxon Mobil Corp. 3.3%
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General Electric Co. 2.8
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Citigroup, Inc. 2.1
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Microsoft Corp. 2.1
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Bank of America Corp. 1.9
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Pfizer, Inc. 1.7
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Intel Corp. 1.4
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Johnson & Johnson 1.4
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Procter & Gamble Co. (The) 1.4
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JPMorgan Chase & Co. 1.3
Portfolio holdings and allocations are subject to change. Percentages are as of
February 28, 2006, and are based on net assets.
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For up-to-date Top 10 Fund holdings, please visit www.oppenheimerfunds.com
12 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET 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 the Manager,
OppenheimerFunds, Inc.
The Fund has entered into a warranty agreement with Merrill Lynch Bank USA, "the
warranty provider" to make sure that the value of each shareholder's account on
the maturity date (August 5, 2010) will be at least equal to a shareholder's
original investment (reduced by any adjustments to the warranty amount permitted
by the Warranty Agreement, and less any redemptions of Fund shares or
distributions taken in cash, sales charges, and extraordinary Fund expenses).
The warranty is solely the obligation of the warranty provider to the Fund, not
to shareholders. The warranty does not guarantee performance of the Fund. The
ability of the Fund to maintain the value of your original investment is
dependent on the ability of the warranty provider to make a payment to the Fund
on the maturity date.
The principal risks of an investment in the Fund during the Warranty Period and
the Post-Warranty Period are those generally attributable to investing in stocks
and debt securities. Because the Fund invests in both stocks and debt securities
during the Warranty Period, the Fund may underperform stock funds when stocks
are in favor and underperform bond funds when debt securities are in favor.
Shareholders could lose money by investing in this Fund. A shareholder's
warranted amount will be reduced, as more fully
13 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES
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described in the prospectus, if the shareholder takes any dividends or
distributions in cash instead of reinvesting them in additional shares of the
Fund, redeems any shares before the Maturity Date, if there are extraordinary
expenses incurred by the Fund (as such expenses are not covered by the Warranty
Agreement), if the Fund or the Manager fails to perform certain obligations
under the Warranty Agreement, or if the Warranty Provider fails to or is unable
to meet its obligations under the Warranty Agreement.
The warranty is solely the obligation of the warranty provider. It is possible
that the financial position of the warranty provider may deteriorate.
Shareholders could lose money if the warranty provider fails to or is unable to
perform its obligations under the warranty. The Fund's assets and the
obligations of the warranty provider are not guaranteed by Merrill Lynch & Co.,
Inc. (the warranty provider's parent company), the United States Government, the
Manager or any other entity or person. The lack of a guarantee of the warranty
provider's obligations under the warranty presents some risks to shareholders if
the warranty provider fails or is unable to honor its obligations to the Fund on
the Maturity Date under the warranty.
Distributions from the Fund are taxable whether or not you reinvest them in
additional shares of the Fund. The warranty provider's obligation to make
payment to the Fund is not guaranteed by any entity and the Fund is not
obligated to replace the warranty provider should it be unable to make the
payments necessary to support the warranted amount. The warranty agreement fees
increase the Fund's expenses that you pay and therefore the expenses of this
Fund will be higher than the expenses of a Fund that does not offer principal
protection.
The Fund offered its shares to the public from May 30, 2003 through July 31,
2003. From August 5, 2003, and until August 5, 2010, shares of the Fund will
only be issued upon reinvestment of dividends and distributions.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
14 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET 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 February 28, 2006.
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
15 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
FUND EXPENSES
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the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(9/1/05) (2/28/06) FEBRUARY 28, 2006
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Class A Actual $1,000.00 $1,060.90 $5.12
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Class A Hypothetical 1,000.00 1,019.84 5.02
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Class B Actual 1,000.00 1,056.60 9.01
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Class B Hypothetical 1,000.00 1,016.07 8.84
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Class C Actual 1,000.00 1,057.00 8.91
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Class C Hypothetical 1,000.00 1,016.17 8.74
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Class N Actual 1,000.00 1,060.00 6.04
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Class N Hypothetical 1,000.00 1,018.94 5.92
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 181/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended February 28, 2006 are as follows:
CLASS EXPENSE RATIOS
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Class A 1.00%
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Class B 1.76
- ---------------------------
Class C 1.74
- ---------------------------
Class N 1.18
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Manager 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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16 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
STATEMENT OF INVESTMENTS February 28, 2006 / Unaudited
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VALUE
SHARES SEE NOTE 1
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INVESTMENTS IN AFFILIATED COMPANIES--100.5%
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Oppenheimer Main Street Fund, Cl. Y 1 5,790,711 $ 222,884,464
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TOTAL INVESTMENTS, AT VALUE (COST $172,085,980) 100.5% 222,884,464
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LIABILITIES IN EXCESS OF OTHER ASSETS (0.5) (1,196,150)
---------------------------
NET ASSETS 100.0% $ 221,688,314
===========================
FOOTNOTE TO STATEMENT OF INVESTMENTS
1. Represents ownership of an affiliated fund, at or during the period ended
February 28, 2006. Transactions during the period in which the issuer was an
affiliate are as follows:
SHARES GROSS GROSS SHARES
AUG. 31, 2005 ADDITIONS REDUCTIONS FEB. 28, 2006
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Oppenheimer Main Street Fund, Cl. Y 5,428,525 1,105,831 743,645 5,790,711
VALUE DIVIDEND REALIZED
SEE NOTE 1 INCOME LOSS
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Oppenheimer Main Street Fund, Cl. Y $222,884,464 $3,149,822 $360,504
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
17 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
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February 28, 2006
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ASSETS
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Investments, at value from affiliated companies
(cost $172,085,980)-- see accompanying statement of
investments $ 222,884,464
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Receivables and other assets:
Other 8,415
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Total assets 222,892,879
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LIABILITIES
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Bank overdraft 372,757
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Payables and other liabilities:
Shares of beneficial interest redeemed 441,564
Warranty agreement fees 212,890
Distribution and service plan fees 90,306
Shareholder communications 22,884
Transfer and shareholder servicing agent fees 12,682
Trustees' compensation 4,744
Other 46,738
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Total liabilities 1,204,565
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NET ASSETS $ 221,688,314
=================
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COMPOSITION OF NET ASSETS
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Par value of shares of beneficial interest $ 18,412
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Additional paid-in capital 173,190,528
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Accumulated net investment income 831,239
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Accumulated net realized loss on investments (3,150,349)
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Net unrealized appreciation on investments 50,798,484
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NET ASSETS $ 221,688,314
=================
18 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
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NET ASSET VALUE PER SHARE
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Class A Shares:
Net asset value and redemption price per share (based on
net assets of $60,524,420 and 5,023,414 shares of
beneficial interest outstanding) $ 12.05
Maximum offering price per share (net asset value plus
sales charge of 5.75% of offering price) $ 12.79
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Class B Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $117,195,332 and 9,741,327
shares of beneficial interest outstanding) $ 12.03
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Class C Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $39,417,329 and 3,269,386
shares of beneficial interest outstanding) $ 12.06
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Class N Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $4,551,233 and 377,766
shares of beneficial interest outstanding) $ 12.05
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
19 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
STATEMENT OF OPERATIONS Unaudited
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For the Six Months Ended February 28, 2006
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INVESTMENT INCOME
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Dividends from affiliated companies $ 3,149,822
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Interest 265,624
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Other income 72
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Total investment income 3,415,518
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EXPENSES
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Management fees 82,392
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Distribution and service plan fees:
Class A 77,318
Class B 578,846
Class C 200,348
Class N 10,947
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Transfer and shareholder servicing agent fees:
Class A 21,745
Class B 47,109
Class C 13,872
Class N 423
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Shareholder communications:
Class A 8,008
Class B 16,752
Class C 3,332
Class N 145
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Warranty agreement fees 667,219
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Trustees' compensation 3,011
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Administrative fees 750
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Custodian fees and expenses 511
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Other 10,719
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Total expenses 1,743,447
Less waivers and reimbursements of expenses (40,932)
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Net expenses 1,702,515
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NET INVESTMENT INCOME 1,713,003
20 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
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REALIZED AND UNREALIZED GAIN (LOSS)
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Net realized loss on:
Investments:
Unaffiliated companies $ (354,650)
Affiliated companies (360,504)
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Net realized loss (715,154)
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Net change in unrealized appreciation on investments 11,600,574
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,598,423
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
21 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
STATEMENTS OF CHANGES IN NET ASSETS
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SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
(UNAUDITED) 2005
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OPERATIONS
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Net investment income $ 1,713,003 $ 1,146,783
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Net realized loss (715,154) (1,432,637)
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Net change in unrealized appreciation 11,600,574 15,647,720
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Net increase in net assets resulting from operations 12,598,423 15,361,866
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DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
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Dividends from net investment income:
Class A (554,952) (740,479)
Class B (148,833) (334,234)
Class C (36,716) (60,042)
Class N (31,867) (37,650)
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Tax return of capital distribution from net
investment
income:
Class A -- (26,368)
Class B -- (46,339)
Class C -- (17,685)
Class N -- (1,785)
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Distributions from net realized gain:
Class A -- (116,398)
Class B -- (196,622)
Class C -- (77,353)
Class N -- (6,968)
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Tax return of capital distribution from net
realized gain:
Class A -- (243,697)
Class B -- (428,267)
Class C -- (163,449)
Class N -- (16,502)
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BENEFICIAL INTEREST TRANSACTIONS
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Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A (6,917,595) (10,988,559)
Class B (6,125,230) (11,713,778)
Class C (4,115,070) (13,016,364)
Class N 2,452 (1,038,745)
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NET ASSETS
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Total decrease (5,329,388) (23,909,418)
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Beginning of period 227,017,702 250,927,120
------------------------------------
End of period (including accumulated net investment
income (loss) of $831,239 and $(109,396), respectively) $ 221,688,314 $ 227,017,702
====================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
22 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
FINANCIAL HIGHLIGHTS
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SIX MONTHS
ENDED YEAR
FEBRUARY 28, ENDED
2006 AUGUST 31,
CLASS A (UNAUDITED) 2005 2004 2003 1
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PER SHARE OPERATING DATA
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Net asset value, beginning of period $ 11.46 $ 10.88 $ 10.28 $ 10.00
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Income (loss) from investment operations
Net investment income .12 2 .11 2 .07 -- 3
Net realized and unrealized gain .57 .65 .64 .28
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Total from investment operations .69 .76 .71 .28
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Dividends and/or distributions to shareholders:
Dividends from net investment income (.10) (.12) (.07) --
Tax return of capital distribution from net investment income -- -- 3 -- --
Dividends from net realized gain -- (.02) (.02) --
Tax return of capital distribution from net realized gain -- (.04) (.02) --
------------------------------------------------------------------
Total dividends and/or distributions to shareholders (.10) (.18) (.11) --
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Net asset value, end of period $ 12.05 $ 11.46 $ 10.88 $ 10.28
==================================================================
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TOTAL RETURN, AT NET ASSET VALUE 4 6.09% 6.98% 6.87% 2.80%
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RATIOS/SUPPLEMENTAL DATA
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Net assets, end of period (in thousands) $ 60,525 $ 64,304 $ 71,666 $ 78,758
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Average net assets (in thousands) $ 62,659 $ 68,812 $ 78,668 $ 39,416
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Ratios to average net assets: 5
Net investment income 2.09% 1.02% 0.65% 0.35%
Total expenses 1.03% 6 1.10% 6 1.14% 6 1.13% 6
Less reimbursement of management fees during offering period -- -- -- (0.32)%
Payments and waivers and reduction to custodian expenses (0.03)% (0.06)% (0.12)% --
------------------------------------------------------------------
Net expenses 1.00% 1.04% 1.02% 0.81% 7
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Portfolio turnover rate 25% 122% 179% 12%
1. For the period from June 2, 2003 (commencement of operations) to August 31,
2003.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Less than $0.005 per share.
4. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
5. Annualized for periods of less than one full year.
6. Expenses paid including all underlying fund expenses was as follows:
Six Months Ended February 28, 2006 1.49%
Year Ended August 31, 2005 1.16%
Year Ended August 31, 2004 1.60%
Period Ended August 31, 2003 1.38%
7. For this period reduction to custodian expenses was zero.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
23 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
FINANCIAL HIGHLIGHTS Continued
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SIX MONTHS
ENDED YEAR
FEBRUARY 28, ENDED
2006 AUGUST 31,
CLASS B (UNAUDITED) 2005 2004 2003 1
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PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 11.40 $ 10.82 $ 10.28 $ 10.00
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .08 2 .03 2 (.02) -- 3
Net realized and unrealized gain .56 .64 .63 .28
------------------------------------------------------------------
Total from investment operations .64 .67 .61 .28
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Dividends and/or distributions to shareholders:
Dividends from net investment income (.01) (.03) (.03) --
Tax return of capital distribution from net investment income -- -- 3 -- --
Dividends from net realized gain -- (.02) (.02) --
Tax return of capital distribution from net realized gain -- (.04) (.02) --
------------------------------------------------------------------
Total dividends and/or distributions to shareholders (.01) (.09) (.07) --
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Net asset value, end of period $ 12.03 $ 11.40 $ 10.82 $ 10.28
==================================================================
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TOTAL RETURN, AT NET ASSET VALUE 4 5.66% 6.21% 5.94% 2.80%
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RATIOS/SUPPLEMENTAL DATA
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Net assets, end of period (in thousands) $ 117,195 $ 117,057 $ 122,411 $ 122,968
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Average net assets (in thousands) $ 116,742 $ 120,928 $ 127,128 $ 64,461
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Ratios to average net assets: 5
Net investment income (loss) 1.30% 0.23% (0.14)% (0.20)%
Total expenses 1.80% 6 1.86% 6 1.89% 6 1.88% 6
Less reimbursement of management fees during offering period -- -- -- (0.32)%
Less reimbursement to maintain yield -- -- -- (0.31)%
Payments and waivers and reduction to custodian expenses (0.04)% (0.06)% (0.12)% --
------------------------------------------------------------------
Net expenses 1.76% 1.80% 1.77% 1.25% 7
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Portfolio turnover rate 25% 122% 179% 12%
1. For the period from June 2, 2003 (commencement of operations) to August 31,
2003.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Less than $0.005 per share.
4. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
5. Annualized for periods of less than one full year.
6. Expenses paid including all underlying fund expenses was as follows:
Six Months Ended February 28, 2006 2.26%
Year Ended August 31, 2005 1.92%
Year Ended August 31, 2004 2.35%
Period Ended August 31, 2003 2.13%
7. For this period reduction to custodian expenses was zero.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
24 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
SIX MONTHS
ENDED YEAR
FEBRUARY 28, ENDED
2006 AUGUST 31,
CLASS C (UNAUDITED) 2005 2004 2003 1
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 11.42 $ 10.82 $ 10.28 $ 10.00
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .08 2 .03 2 (.02) -- 3
Net realized and unrealized gain .57 .65 .64 .28
------------------------------------------------------------------
Total from investment operations .65 .68 .62 .28
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.01) (.02) (.04) --
Tax return of capital distribution from net investment income -- -- 3 -- --
Dividends from net realized gain -- (.02) (.02) --
Tax return of capital distribution from net realized gain -- (.04) (.02) --
------------------------------------------------------------------
Total dividends and/or distributions to shareholders (.01) (.08) (.08) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 12.06 $ 11.42 $ 10.82 $ 10.28
==================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 4 5.70% 6.24% 5.95% 2.80%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 39,417 $ 41,333 $ 51,741 $ 60,271
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 40,395 $ 46,152 $ 59,429 $ 31,946
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 5
Net investment income (loss) 1.33% 0.29% (0.10)% (0.20)%
Total expenses 1.77% 6 1.85% 6 1.88% 6 1.88% 6
Less reimbursement of management fees during offering period -- -- -- (0.32)%
Less reimbursement to maintain yield -- -- -- (0.32)%
Payments and waivers and reduction to custodian expenses (0.03)% (0.06)% (0.12)% --
------------------------------------------------------------------
Net expenses 1.74% 1.79% 1.76% 1.24% 7
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 25% 122% 179% 12%
1. For the period from June 2, 2003 (commencement of operations) to August 31,
2003.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Less than $0.005 per share.
4. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
5. Annualized for periods of less than one full year.
6. Expenses paid including all underlying fund expenses was as follows:
Six Months Ended February 28, 2006 2.23%
Year Ended August 31, 2005 1.91%
Year Ended August 31, 2004 2.34%
Period Ended August 31, 2003 2.13%
7. For this period reduction to custodian expenses was zero.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
FEBRUARY 28, ENDED
2006 AUGUST 31,
CLASS N (UNAUDITED) 2005 2004 2003 1
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 11.45 $ 10.86 $ 10.28 $ 10.00
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .11 2 .09 2 .05 -- 3
Net realized and unrealized gain .57 .65 .63 .28
------------------------------------------------------------------
Total from investment operations .68 .74 .68 .28
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.08) (.09) (.06) --
Tax return of capital distribution from net investment income -- -- 3 -- --
Dividends from net realized gain -- (.02) (.02) --
Tax return of capital distribution from net realized gain -- (.04) (.02) --
------------------------------------------------------------------
Total dividends and/or distributions to shareholders (.08) (.15) (.10) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 12.05 $ 11.45 $ 10.86 $ 10.28
==================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 4 6.00% 6.85% 6.55% 2.80%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 4,551 $ 4,324 $ 5,109 $ 5,432
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 4,424 $ 4,659 $ 5,408 $ 3,713
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 5
Net investment income 1.89% 0.77% 0.46% 0.06%
Total expenses 1.21% 6 1.28% 6 1.34% 6 1.38% 6
Less reimbursement of management fees during offering period -- -- -- (0.32)%
Payments and waivers and reduction to custodian expenses (0.03)% (0.06)% (0.12)% --
------------------------------------------------------------------
Net expenses 1.18% 1.22% 1.22% 1.06% 7
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 25% 122% 179% 12%
1. For the period from June 2, 2003 (commencement of operations) to August 31,
2003.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Less than $0.005 per share.
4. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
5. Annualized for periods of less than one full year.
6. Expenses paid including all underlying fund expenses was as follows:
Six Months Ended February 28, 2006 1.67%
Year Ended August 31, 2005 1.34%
Year Ended August 31, 2004 1.80%
Period Ended August 31, 2003 1.63%
7. For this period reduction to custodian expenses was zero.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
26 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Principal Protected Main Street Fund (the Fund), a series of
Oppenheimer Principal Protected Trust, is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
During the Warranty Period, the Fund will seek capital preservation in order to
have a net asset value on the Maturity Date at least equal to the Warranty
Amount. The Fund seeks high total return as a secondary objective. The Fund's
investment advisor is OppenheimerFunds, Inc. (the Manager).
Shares of the Fund were offered during the Offering Period (May 30, 2003
to July 31, 2003). Shares are not offered during the Warranty Period (August 5,
2003 to August 5, 2010) to the Maturity Date (August 5, 2010) except in
connection with reinvestment of dividends and distributions. During the Warranty
Period, the Fund will allocate its assets between Oppenheimer Main Street Fund
(the Underlying Fund) and certain U.S. government securities.
The Fund offered Class A, Class B, Class C and Class N shares. Class A
shares were 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 were sold without
a front-end sales charge but may be subject to a contingent deferred sales
charge (CDSC). Class N shares were 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 88 months after the
date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
WARRANTY AGREEMENT. The Fund has entered into a Financial Warranty Agreement
with Merrill Lynch Bank USA (the Warranty Provider) to ensure that on the
Maturity Date each shareholder's account will be no less than the value of that
shareholder's account on the second business day after the end of the Offering
Period (the Warranty Amount). This value will include net income, if any, earned
by the Fund during the offering period and be reduced by adjustments permitted
under the Warranty Agreement, sales charges, applicable share of extraordinary
expenses and proportionately reduced for dividends and distributions paid in
cash and redemptions of Fund shares. To avoid a reduced Warranty Amount,
shareholders must reinvest all dividends and distributions received from the
Fund to purchase additional shares of the Fund and must not redeem any shares of
the Fund during the Warranty Period. If the value of the Fund's assets on the
Maturity Date is insufficient to result in the value of each shareholder's
account being at least equal to the shareholder's Warranty Amount, the Warranty
Provider will pay the Fund an amount equal to the excess of his or her Warranty
Amount over his or her
27 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
account value. The Financial Warranty is solely the obligation of the Warranty
Provider. It is possible that the financial position of the Warranty Provider
may deteriorate and it would be unable to satisfy its obligations under the
Financial Warranty. The Fund's assets and the obligations of the Warranty
Provider under the Warranty Agreement are not guaranteed by Merrill Lynch & Co.,
Inc. (the Warranty Provider's parent company), the United States Government, the
Manager, or any other entity or person. The Warranty Agreement requires the
Manager, on behalf of the Fund, to comply with certain agreed upon investment
parameters in an attempt to limit the Fund's risk. If the Manager fails to
comply with the agreed-upon investment parameters or otherwise fails to comply
with certain requirements set forth in the Warranty Agreement, the Warranty
Provider may terminate its Financial Warranty in certain limited circumstances.
The Warranty Provider may monitor the Fund's compliance with the Warranty
Agreement solely to protect the interests of the Warranty Provider and not the
Fund's shareholders.
The fee paid to the Warranty Provider is an annual fee of 0.60% of the
average daily net assets of the Fund. If the Fund is required to make a complete
and irreversible allocation of its assets to the debt portfolio, the Warranty
Fee will thereafter be reduced to 0.35% of the average daily net assets of the
Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The allocation of the Fund's assets between the debt
portfolio and the equity portfolio will vary over time based upon the Warranty
Formula. The formula is intended to allow the Fund to have a net asset value on
the Maturity Date at least equal to the Warranty Amount.
During the Warranty Period, the Fund will invest a portion of its assets,
and in certain circumstances, the Fund may invest all of its assets, in U.S.
government securities having maturities approximately equal to the period
remaining in the Warranty Period. Long-term debt securities having a remaining
maturity in excess of 60 days will be valued at the mean between the "bid" and
"asked" prices. Long-term and short-term "non-money market" debt securities are
valued by a portfolio pricing service approved by 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).
The Fund invests the equity portfolio in Class Y shares of Oppenheimer
Main Street Fund (the Underlying Fund). The net asset value of the Underlying
Fund is determined 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. The net asset value per share is determined by dividing the value of
the Fund's net assets attributable to a class by the number of shares of that
class that are outstanding.
- --------------------------------------------------------------------------------
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.
28 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
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 February 28, 2006, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $2,742,464 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
February 28, 2006, it is estimated that the Fund will not utilize any capital
loss carryforward to offset realized capital gains. During the year ended August
31, 2005, the Fund did not utilize any capital loss carryforward to offset
capital gains realized in that fiscal year.
As of August 31, 2005, the Fund had available for federal income tax
purposes post-October losses of $2,027,310.
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of trustees' fees under the plan
will not affect the net assets of the Fund, and will not materially affect the
Fund's assets, liabilities or net investment income per share. Amounts will be
deferred until distributed in accordance to the Plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income and 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
29 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
the fair market value of the securities received. Interest income, which
includes accretion of discount and amortization of premium, is accrued as
earned.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, 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. At February 28, 2006, the Fund had $8,923 of such earnings on
cash balances available to offset future custodian fees or interest expenses
incurred during the next fiscal year.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising
in connection with the performance of their duties to the Fund. In the normal
course of business, the Fund may also enter into contracts that provide general
indemnifications. The Fund's maximum exposure under these arrangements is
unknown as this would be dependent on future claims that may be made against the
Fund. The risk of material loss from such claims is considered remote.
- --------------------------------------------------------------------------------
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 FEBRUARY 28, 2006 YEAR ENDED AUGUST 31, 2005
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS A
Sold 6,556 $ 79,128 1 -- $ --
Dividends and/or
distributions reinvested 43,093 505,045 89,132 1,017,885
Redeemed (635,680) (7,501,768) (1,068,185) (12,006,444)
---------------------------------------------------------------------
Net decrease (586,031) $ (6,917,595) (979,053) $ (10,988,559)
=====================================================================
30 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
SIX MONTHS ENDED FEBRUARY 28, 2006 YEAR ENDED AUGUST 31, 2005
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS B
Dividends and/or
distributions reinvested 10,834 $ 126,979 74,867 $ 854,981
Redeemed (534,868) (6,252,209) (1,121,129) (12,568,759)
---------------------------------------------------------------------
Net decrease (524,034) $ (6,125,230) (1,046,262) $ (11,713,778)
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS C
Dividends and/or
distributions reinvested 2,288 $ 26,884 20,067 $ 229,565
Redeemed (351,590) (4,141,954) (1,182,239) (13,245,929)
---------------------------------------------------------------------
Net decrease (349,302) $ (4,115,070) (1,162,172) $ (13,016,364)
=====================================================================
- ----------------------------------------------------------------------------------------------------
CLASS N
Dividends and/or
distributions reinvested 2,716 $ 31,858 5,502 $ 62,890
Redeemed (2,492) (29,406) (98,232) (1,101,635)
---------------------------------------------------------------------
Net increase (decrease) 224 $ 2,452 (92,730) $ (1,038,745)
=====================================================================
1. Result of a broker correction to a shareholder transaction.
- --------------------------------------------------------------------------------
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 February 28, 2006, were as
follows:
PURCHASES SALES
-------------------------------------------------------------
Investment securities $40,886,066 $27,077,977
U.S. government
and government agency obligations 15,699,080 43,315,230
- --------------------------------------------------------------------------------
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 average annual net assets of the Fund reduced by the
amount of advisory fees paid to the Manager by the Underlying Fund relating to
the Fund's assets invested in the Underlying Fund. However, the management fees
shall not be reduced below zero. Management fees will apply during the Warranty
Period and the Post-Warranty Period.
If during the Warranty Period 100% of the Fund's assets are completely and
irreversibly invested in the debt portfolio, the management fee will be at an
annual rate of 0.25% of the average annual net assets of the Fund, and if that
occurs the Manager will further reduce its management fee to the extent
necessary so that expenses after waivers and reductions to the Fund (other than
Extraordinary Expenses such as litigation costs) do not exceed 1.30% for Class A
shares, 2.05% for Class B shares, 2.05% for Class C shares and 1.55% for Class N
shares. However, if this reduction in the management fee is not sufficient to
reduce expenses after waivers and reductions to these limits, the Manager is
31 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
not required to subsidize Fund expenses to assure that expenses do not exceed
those limits. Furthermore, if expenses exceed these expense limits, the Warranty
Amount will be reduced by any expenses that exceed those limits. The Manager
voluntarily waived its management fee during the Offering Period. In addition,
during the Warranty Period the Manager has voluntarily agreed to reduce the
management fee payable by the Fund by 0.00833% per month in any month following
a month where the Fund's average daily equity allocation was less than 10%.
Those voluntary undertakings may be amended or eliminated at any time.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended February 28, 2006, the Fund paid
$85,333 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
periodically 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 periodically 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
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% 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 February 28, 2006 for Class B, Class C
and Class N shares were $3,803,222, $836,574 and
32 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
$99,972, respectively. Fees incurred by the Fund under the plans are detailed in
the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -----------------------------------------------------------------------------------------------
February 28, 2006 $ -- $ -- $ 122,800 $ -- $ --
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. The Manager has voluntarily undertaken
to reimburse the Fund for expenses equal to the Underlying Fund expenses, other
than Underlying Fund management fees, paid by the Fund as a shareholder of the
Underlying Fund. That expense reimbursement will fluctuate as the Fund's
allocation between the Underlying Fund and the debt portfolio changes. During
the six months ended February 28, 2006, the Manager reimbursed the Fund $40,932.
This voluntary undertaking may be amended or eliminated 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. This
undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
5. LITIGATION
A complaint was filed as a putative class action against the Manager and the
Transfer Agent (and other defendants) in the U.S. District Court for the
Southern District of New York on January 10, 2005 and was amended on March 4,
2005. The complaint alleged, among other things, that the Manager charged
excessive fees for distribution and other costs, and that by permitting and/or
participating in those actions, the Directors/ Trustees and the Officers of the
funds breached their fiduciary duties to fund shareholders under the Investment
Company Act of 1940 and at common law. The plaintiffs sought unspecified
damages, an accounting of all fees paid, and an award of attorneys' fees and
litigation expenses. Seven of the eight counts in the complaint, including the
claims against certain of the Oppenheimer funds, as nominal defendants, and
against certain present and former Directors, Trustees and Officers of the
funds, and the Distributor, as defendants, were dismissed with prejudice, by
court order dated
33 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. LITIGATION Continued
March 10, 2006, in response to motions to dismiss the suit that had been filed
by the defendants. The remaining count against the Manager and the Transfer
Agent was dismissed with prejudice by court order dated April 5, 2006. The time
in which plaintiffs may file an appeal to those decisions has not yet lapsed.
34 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET 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.
35 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Each year, the Board of Trustees (the "Board"), including a majority of the
independent Trustees, is required to determine whether to renew the Fund's
investment advisory agreement (the "Agreement"). The Investment Company Act of
1940, as amended, requires that the Board request and evaluate, and that the
Manager provide, such information as may be reasonably necessary to evaluate the
terms of the Agreement. The Board employs an independent consultant to prepare a
report that provides information, including comparative information, that the
Board requests for that purpose. In addition, the Board receives information
throughout the year regarding Fund services, fees, expenses and performance.
The Manager and the independent consultant provided information to the
Board on the following factors: (i) the nature, quality and extent of the
Manager's services, (ii) the investment performance of the Fund and the Manager,
(iii) the fees and expenses of the Fund, including comparative expense
information, (iv) the profitability of the Manager, including an analysis of the
cost of providing services, (v) whether economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors and (vi) other benefits to the Manager from its relationship with the
Fund. Outlined below is a summary of the principal information considered by the
Board as well as the Board's conclusions.
NATURE, QUALITY, AND EXTENT OF SERVICES. The Board considered information
on the nature and extent of the services provided to the Fund and information
regarding the Manager's key personnel that provide such services. The Manager's
duties include providing the Fund with the services of the portfolio managers
and the Manager's investment team, who provide research, analysis and other
advisory services in regard to the Fund's investments; securities trading
services; oversight of third party service providers; monitoring compliance with
applicable Fund policies and procedures and adherence to the Fund's investment
restrictions. The Manager is responsible for providing certain administrative
services to the Fund as well. Those services include providing and supervising
all administrative and clerical personnel that are necessary in order to provide
effective corporate administration for the Fund; compiling and maintaining
records with respect to the Fund's operations; preparing and filing reports
required by the Securities and Exchange Commission; preparing periodic reports
regarding the operations of the Fund for its shareholders; preparing proxy
materials for shareholder meetings; and preparing the registration statements
required by Federal and state securities laws for the sale of the Fund's shares.
The Manager also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the
quality of the Manager's resources that are available to the Fund. The Board
took account of the fact
36 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
that the Manager has had over forty years of experience as an investment adviser
and that its assets under management rank it among the top mutual fund managers
in the United States. The Board evaluated the Manager's administrative,
accounting, legal and compliance services, and information the Board has
received regarding the experience and professional qualifications of the
Manager's key personnel and the size and functions of its staff providing
investment management services to the Fund. The Board also considered compliance
reports from the Fund's Chief Compliance Officer. In its evaluation of the
quality of the portfolio management services provided, the Board considered the
experience of Angelo Manioudakis and Rudi Schadt and the Manager's Investment
Grade investment team and analysts. Messrs. Manioudakis and Schadt have had over
14 and 13 years of experience, respectively, managing fixed income, equity,
international and risk management investments. The Board members also considered
the totality of their experiences with the Manager, as directors or trustees of
the Fund and other funds advised by the Manager. In light of the foregoing, the
Board concluded that the Fund benefits from the services provided under the
Agreement as a result of the Manager's experience, reputation, personnel,
operations, and resources.
INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. During the year, the
Manager provided information on the performance of the Fund and the Manager at
each Board meeting, including comparative performance information. The Board
also reviewed information, prepared by the Manager and by the independent
consultant, comparing the Fund's historical performance to relevant market
indices and to the performance of other balanced target maturity funds
(including both funds advised by the Manager and funds advised by other
investment advisers). The Board noted that the Fund's one-year and
since-inception performance were both better than its peer group median.
COSTS OF SERVICES AND PROFITS REALIZED BY THE MANAGER. The Board
considered information regarding the Manager's costs in serving as the Fund's
investment adviser, including the costs associated with the personnel and
systems necessary to manage the Fund, and information regarding the Manager's
profitability from its relationship with the Fund. The Board reviewed the fees
paid to the Manager and the other expenses borne by the Fund, including the
Fund's fee and expense reduction and reimbursement arrangements. The Board also
evaluated the comparability of the fees charged and the services provided to the
Fund to the fees and services for other clients or accounts advised by the
Manager. The independent consultant provided comparative data in regard to the
fees and expenses of the Fund, other balanced target maturity funds and other
funds with comparable asset levels and distribution features. The Board noted
that the Fund's contractual and actual management fees and its total expenses
are all lower than its peer
37 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
- --------------------------------------------------------------------------------
group median and average. In light of this, the Board concluded that the
management fee was reasonable.
ECONOMIES OF SCALE. The Board reviewed whether the Fund's advisory fee
shares with shareholders economies of scale that the Manager may realize in
managing and supporting the Fund. The Board noted the Fund's shares are not
being offered for sale after the offering period.
OTHER BENEFITS TO THE MANAGER. In addition to considering the profits
realized by the Manager, the Board considered information that was provided
regarding the direct and indirect benefits the Manager receives as a result of
its relationship with the Fund, including compensation paid to the Manager's
affiliates. The Board also considered that the Manager must be able to pay and
retain experienced professional personnel at competitive rates to provide
services to the Fund and that maintaining the financial viability of the Manager
is important in order for the Manager to continue to provide significant
services to the Fund and its shareholders.
CONCLUSIONS. These factors were also considered by the independent
Trustees meeting separately from the full Board, assisted by experienced counsel
to the Fund and to the independent Trustees. Fund counsel and the independent
Trustees' counsel are both independent of the Manager within the meaning and
intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations
described above, the Board, including a majority of the independent Trustees,
decided to continue the advisory agreement for another year. In arriving at this
decision, the Board did not single out any factor or factors as being more
important than others, but considered all of the factors together. The Board
judged the terms and conditions of the advisory agreement, including the
management fee, in light of all of the surrounding circumstances.
38 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS FOR OPPENHEIMER MAIN STREET FUND
(UNDERLYING FUND)
FEBRUARY 28, 2006/UNAUDITED
41 Statement of Investments
52 Statement of Assets and Liabilities
54 Statement of Operations
56 Statements of Changes in Net Assets
57 Financial Highlights
62 Notes to Financial Statements
40 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS February 28, 2006 / Unaudited
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--99.2%
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--10.6%
- ------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.3%
Dana Corp. 240,200 $ 422,752
- ------------------------------------------------------------------------------------------------------------------------------------
Goodyear Tire &
Rubber Co. (The) 1,2 317,500 4,549,775
- ------------------------------------------------------------------------------------------------------------------------------------
Johnson Controls, Inc. 307,500 21,915,525
- ------------------------------------------------------------------------------------------------------------------------------------
TRW Automotive
Holdings Corp. 1 61,200 1,566,720
- ------------------------------------------------------------------------------------------------------------------------------------
Visteon Corp. 1 213,900 996,774
------------------
29,451,546
- ------------------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.6%
Ford Motor Co. 4,156,126 33,124,324
- ------------------------------------------------------------------------------------------------------------------------------------
Harley-Davidson, Inc. 611,100 32,088,861
------------------
65,213,185
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTORS--0.0%
Genuine Parts Co. 32,300 1,437,996
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.2%
Apollo Group, Inc.,
Cl. A 1 277,100 13,683,198
- ------------------------------------------------------------------------------------------------------------------------------------
Career Education Corp. 1 132,100 4,338,164
- ------------------------------------------------------------------------------------------------------------------------------------
Weight Watchers
International, Inc. 1 62,200 3,263,634
------------------
21,284,996
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--0.6%
Choice Hotels
International, Inc. 43,800 1,950,414
- ------------------------------------------------------------------------------------------------------------------------------------
International Game
Technology 205,800 7,361,466
- ------------------------------------------------------------------------------------------------------------------------------------
McDonald's Corp. 965,100 33,691,641
- ------------------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc. 1,2 50,300 530,665
- ------------------------------------------------------------------------------------------------------------------------------------
Starbucks Corp. 1 132,000 4,794,240
- ------------------------------------------------------------------------------------------------------------------------------------
Yum! Brands, Inc. 503,100 23,997,870
------------------
72,326,296
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.1%
American Greetings
Corp., Cl. A 84,500 1,772,810
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES Continued
Beazer Homes USA,
Inc. 2 81,400 $ 5,164,830
- ------------------------------------------------------------------------------------------------------------------------------------
Lennar Corp., Cl. A 25,500 1,526,430
- ------------------------------------------------------------------------------------------------------------------------------------
MDC Holdings, Inc. 28,800 1,765,152
- ------------------------------------------------------------------------------------------------------------------------------------
Whirlpool Corp. 6,400 574,656
------------------
10,803,878
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL--0.4%
eBay, Inc. 1 1,191,300 47,723,478
- ------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.0%
Hasbro, Inc. 227,700 4,620,033
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA--3.1%
CBS Corp., Cl. B 965,638 23,619,505
- ------------------------------------------------------------------------------------------------------------------------------------
Clear Channel
Communications, Inc. 1,363,500 38,587,050
- ------------------------------------------------------------------------------------------------------------------------------------
Comcast Corp., Cl. A 1 92,355 2,477,885
- ------------------------------------------------------------------------------------------------------------------------------------
Gannett Co., Inc. 594,100 36,929,256
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty Media Corp.,
Cl. A 1 2,067,600 17,037,024
- ------------------------------------------------------------------------------------------------------------------------------------
Live Nation 1 116,225 2,074,616
- ------------------------------------------------------------------------------------------------------------------------------------
McGraw-Hill Cos.,
Inc. (The) 320,500 17,015,345
- ------------------------------------------------------------------------------------------------------------------------------------
News Corp., Inc., Cl. A 2,513,400 40,918,152
- ------------------------------------------------------------------------------------------------------------------------------------
Omnicom Group, Inc. 253,500 20,234,370
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp. 1 26,800 1,634,800
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner, Inc. 4,807,400 83,216,094
- ------------------------------------------------------------------------------------------------------------------------------------
Viacom, Inc., Cl. B 1 965,638 38,586,894
- ------------------------------------------------------------------------------------------------------------------------------------
Walt Disney Co. (The) 1,404,200 39,303,558
------------------
361,634,549
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--1.6%
Dollar General Corp. 165,900 2,889,978
- ------------------------------------------------------------------------------------------------------------------------------------
Dollar Tree Stores, Inc. 1 187,300 5,135,766
- ------------------------------------------------------------------------------------------------------------------------------------
Federated Department
Stores, Inc. 491,000 34,880,640
- ------------------------------------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc.
(Holding Co.) 660,500 38,731,720
- ------------------------------------------------------------------------------------------------------------------------------------
Kohl's Corp. 1 511,100 24,589,021
- ------------------------------------------------------------------------------------------------------------------------------------
Nordstrom, Inc. 831,900 31,612,200
- ------------------------------------------------------------------------------------------------------------------------------------
Saks, Inc. 1 121,500 2,296,350
- ------------------------------------------------------------------------------------------------------------------------------------
Sears Holdings Corp. 1 58,100 6,998,145
41 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL Continued
Target Corp. 789,400 $ 42,943,360
------------------
190,077,180
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--3.3%
American Eagle
Outfitters, Inc. 213,300 5,426,352
- ------------------------------------------------------------------------------------------------------------------------------------
AnnTaylor Stores Corp. 1 60,000 2,178,000
- ------------------------------------------------------------------------------------------------------------------------------------
AutoNation, Inc. 1 267,000 5,582,970
- ------------------------------------------------------------------------------------------------------------------------------------
Barnes & Noble, Inc. 124,800 5,375,136
- ------------------------------------------------------------------------------------------------------------------------------------
Bed Bath & Beyond,
Inc. 1 368,600 13,284,344
- ------------------------------------------------------------------------------------------------------------------------------------
Best Buy Co., Inc. 756,500 40,745,090
- ------------------------------------------------------------------------------------------------------------------------------------
Building Materials
Holding Corp. 22,800 1,534,440
- ------------------------------------------------------------------------------------------------------------------------------------
Chico's FAS, Inc. 1 87,800 4,130,990
- ------------------------------------------------------------------------------------------------------------------------------------
Children's Place Retail
Stores, Inc. 1 42,300 1,974,141
- ------------------------------------------------------------------------------------------------------------------------------------
Circuit City Stores, Inc./
Circuit City Group 192,100 4,616,163
- ------------------------------------------------------------------------------------------------------------------------------------
Claire's Stores, Inc. 107,400 3,441,096
- ------------------------------------------------------------------------------------------------------------------------------------
Gap, Inc. (The) 1,866,000 34,595,640
- ------------------------------------------------------------------------------------------------------------------------------------
Home Depot, Inc. 2,628,000 110,770,200
- ------------------------------------------------------------------------------------------------------------------------------------
Lowe's Cos., Inc. 924,000 62,998,320
- ------------------------------------------------------------------------------------------------------------------------------------
Men's Wearhouse,
Inc. (The) 1 99,750 3,124,170
- ------------------------------------------------------------------------------------------------------------------------------------
Office Depot, Inc. 1 398,500 14,218,480
- ------------------------------------------------------------------------------------------------------------------------------------
Payless ShoeSource, Inc. 1 7,700 182,490
- ------------------------------------------------------------------------------------------------------------------------------------
Sports Authority, Inc.
(The) 1 55,700 2,038,063
- ------------------------------------------------------------------------------------------------------------------------------------
Staples, Inc. 1 1,978,650 48,556,071
- ------------------------------------------------------------------------------------------------------------------------------------
Talbots, Inc. (The) 57,700 1,538,282
- ------------------------------------------------------------------------------------------------------------------------------------
Tiffany & Co. 19,400 720,322
- ------------------------------------------------------------------------------------------------------------------------------------
TJX Cos., Inc. (The) 606,400 14,850,736
- ------------------------------------------------------------------------------------------------------------------------------------
Too, Inc. 1 61,000 1,856,230
- ------------------------------------------------------------------------------------------------------------------------------------
Zale Corp. 1 38,200 995,110
------------------
384,732,836
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.4%
Coach, Inc. 1 876,900 31,322,868
- ------------------------------------------------------------------------------------------------------------------------------------
Jones Apparel
Group, Inc. 80,000 2,313,600
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS Continued
Liz Claiborne, Inc. 44,300 $ 1,596,129
- ------------------------------------------------------------------------------------------------------------------------------------
Nike, Inc., Cl. B 88,100 7,645,318
- ------------------------------------------------------------------------------------------------------------------------------------
Phillips/Van Heusen
Corp. 30,400 1,079,200
- ------------------------------------------------------------------------------------------------------------------------------------
Timberland Co., Cl. A 1 151,300 5,303,065
------------------
49,260,180
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--6.8%
- ------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.9%
Brown-Forman Corp.,
Cl. B 1,200 84,432
- ------------------------------------------------------------------------------------------------------------------------------------
Coca-Cola Co. (The) 1,025,600 43,044,432
- ------------------------------------------------------------------------------------------------------------------------------------
Pepsi Bottling Group,
Inc. (The) 287,900 8,452,744
- ------------------------------------------------------------------------------------------------------------------------------------
PepsiCo, Inc. 851,330 50,322,116
------------------
101,903,724
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--2.0%
Albertson's, Inc. 182,900 4,652,976
- ------------------------------------------------------------------------------------------------------------------------------------
Costco Wholesale Corp. 300,800 15,425,024
- ------------------------------------------------------------------------------------------------------------------------------------
CVS Corp. 184,700 5,232,551
- ------------------------------------------------------------------------------------------------------------------------------------
Kroger Co. (The) 1 1,715,900 34,386,636
- ------------------------------------------------------------------------------------------------------------------------------------
Performance Food
Group Co. 1 14,600 428,802
- ------------------------------------------------------------------------------------------------------------------------------------
Safeway, Inc. 1,607,800 39,085,618
- ------------------------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 156,100 4,932,760
- ------------------------------------------------------------------------------------------------------------------------------------
Sysco Corp. 341,900 10,287,771
- ------------------------------------------------------------------------------------------------------------------------------------
Wal-Mart Stores, Inc. 2,038,900 92,484,504
- ------------------------------------------------------------------------------------------------------------------------------------
Walgreen Co. 226,600 10,165,276
- ------------------------------------------------------------------------------------------------------------------------------------
Whole Foods Market,
Inc. 257,118 16,424,698
------------------
233,506,616
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.6%
Archer-Daniels-
Midland Co. 308,100 9,772,932
- ------------------------------------------------------------------------------------------------------------------------------------
Campbell Soup Co. 338,600 10,540,618
- ------------------------------------------------------------------------------------------------------------------------------------
Dean Foods Co. 1 111,200 4,166,664
- ------------------------------------------------------------------------------------------------------------------------------------
Del Monte Foods Co. 60,100 653,888
- ------------------------------------------------------------------------------------------------------------------------------------
General Mills, Inc. 405,500 19,970,875
- ------------------------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 293,800 11,126,206
42 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS Continued
Pilgrim's Pride Corp.,
Cl. B 134,200 $ 3,094,652
- ------------------------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 926,000 16,362,420
- ------------------------------------------------------------------------------------------------------------------------------------
Wm. Wrigley Jr. Co. 2,800 177,912
------------------
75,866,167
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--1.5%
Energizer Holdings, Inc. 1 58,300 3,184,929
- ------------------------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp. 106,700 6,314,506
- ------------------------------------------------------------------------------------------------------------------------------------
Procter & Gamble Co.
(The) 2,663,785 159,640,635
------------------
169,140,070
- ------------------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.2%
Avon Products, Inc. 782,000 22,560,700
- ------------------------------------------------------------------------------------------------------------------------------------
TOBACCO--1.6%
Altria Group, Inc. 2,088,700 150,177,530
- ------------------------------------------------------------------------------------------------------------------------------------
Loews Corp./Carolina
Group 55,900 2,654,691
- ------------------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc. 358,300 38,033,545
------------------
190,865,766
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--10.4%
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.5%
Grey Wolf, Inc. 1 271,500 1,884,210
- ------------------------------------------------------------------------------------------------------------------------------------
Halliburton Co. 248,600 16,904,800
- ------------------------------------------------------------------------------------------------------------------------------------
Lone Star Technologies,
Inc. 1 41,500 2,062,550
- ------------------------------------------------------------------------------------------------------------------------------------
NS Group, Inc. 1 46,600 1,900,814
- ------------------------------------------------------------------------------------------------------------------------------------
Transocean, Inc. 1 333,400 24,731,612
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Compression
Holdings, Inc. 1 29,200 1,277,500
- ------------------------------------------------------------------------------------------------------------------------------------
Veritas DGC, Inc. 1 57,400 2,418,262
------------------
51,179,748
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--9.9%
Amerada Hess Corp. 158,700 21,949,797
- ------------------------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum
Corp. 449,900 44,612,084
- ------------------------------------------------------------------------------------------------------------------------------------
Apache Corp. 498,200 33,339,544
- ------------------------------------------------------------------------------------------------------------------------------------
Burlington Resources,
Inc. 664,700 59,942,646
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Canadian Natural
Resources Ltd. 271,840 $ 14,851,991
- ------------------------------------------------------------------------------------------------------------------------------------
Chevron Corp. 2,195,660 124,010,877
- ------------------------------------------------------------------------------------------------------------------------------------
Comstock Resources,
Inc. 1 62,200 1,747,820
- ------------------------------------------------------------------------------------------------------------------------------------
ConocoPhillips 1,855,382 113,104,087
- ------------------------------------------------------------------------------------------------------------------------------------
Devon Energy Corp. 655,800 38,449,554
- ------------------------------------------------------------------------------------------------------------------------------------
EOG Resources, Inc. 585,800 39,482,920
- ------------------------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 6,409,196 380,513,967
- ------------------------------------------------------------------------------------------------------------------------------------
General Maritime Corp. 32,800 1,201,464
- ------------------------------------------------------------------------------------------------------------------------------------
Giant Industries, Inc. 1 29,700 1,728,540
- ------------------------------------------------------------------------------------------------------------------------------------
KCS Energy, Inc. 1 78,300 1,847,880
- ------------------------------------------------------------------------------------------------------------------------------------
Kerr-McGee Corp. 287,409 28,079,859
- ------------------------------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 538,801 38,039,306
- ------------------------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 35,900 1,682,633
- ------------------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum
Corp. 502,802 46,026,495
- ------------------------------------------------------------------------------------------------------------------------------------
OMI Corp. 59,200 1,036,000
- ------------------------------------------------------------------------------------------------------------------------------------
Overseas Shipholding
Group, Inc. 89,000 4,500,730
- ------------------------------------------------------------------------------------------------------------------------------------
Paramount Resources
Ltd., Cl. A 1 848,000 27,235,690
- ------------------------------------------------------------------------------------------------------------------------------------
Remington Oil & Gas
Corp. 1 49,600 2,078,240
- ------------------------------------------------------------------------------------------------------------------------------------
Sunoco, Inc. 453,700 33,619,170
- ------------------------------------------------------------------------------------------------------------------------------------
Swift Energy Co. 1 50,300 1,949,628
- ------------------------------------------------------------------------------------------------------------------------------------
Talisman Energy, Inc. 269,800 14,175,510
- ------------------------------------------------------------------------------------------------------------------------------------
Tesoro Corp. 99,200 5,992,672
- ------------------------------------------------------------------------------------------------------------------------------------
Trilogy Energy Trust 111,600 1,825,548
- ------------------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp. 710,774 38,232,533
- ------------------------------------------------------------------------------------------------------------------------------------
Whiting Petroleum
Corp. 1 48,700 1,977,220
- ------------------------------------------------------------------------------------------------------------------------------------
XTO Energy, Inc. 759,000 31,794,510
------------------
1,155,028,915
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--20.5%
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.7%
Ameriprise Financial,
Inc. 421,300 19,160,724
- ------------------------------------------------------------------------------------------------------------------------------------
Bank of New York Co.,
Inc. (The) 944,000 32,322,560
43 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS Continued
Mellon Financial Corp. 501,300 $ 18,091,917
- ------------------------------------------------------------------------------------------------------------------------------------
Northern Trust Corp. 225,700 11,898,904
- ------------------------------------------------------------------------------------------------------------------------------------
TD Ameritrade Holding
Corp. 22,300 485,248
-----------------
81,959,353
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--5.2%
Astoria Financial Corp. 171,250 4,909,738
- ------------------------------------------------------------------------------------------------------------------------------------
Bank of America Corp. 4,791,039 219,669,138
- ------------------------------------------------------------------------------------------------------------------------------------
BB&T Corp. 500,600 19,788,718
- ------------------------------------------------------------------------------------------------------------------------------------
Comerica, Inc. 140,600 8,059,192
- ------------------------------------------------------------------------------------------------------------------------------------
Fifth Third Bancorp 27,500 1,062,875
- ------------------------------------------------------------------------------------------------------------------------------------
Golden West Financial
Corp. 162,800 11,563,684
- ------------------------------------------------------------------------------------------------------------------------------------
KeyCorp 383,200 14,281,864
- ------------------------------------------------------------------------------------------------------------------------------------
M&T Bank Corp. 91,900 10,329,560
- ------------------------------------------------------------------------------------------------------------------------------------
National City Corp. 879,800 30,617,040
- ------------------------------------------------------------------------------------------------------------------------------------
North Fork
Bancorporation, Inc. 62,500 1,596,250
- ------------------------------------------------------------------------------------------------------------------------------------
PNC Financial Services
Group, Inc. 163,900 11,530,365
- ------------------------------------------------------------------------------------------------------------------------------------
Regions Financial Corp. 363,525 12,643,400
- ------------------------------------------------------------------------------------------------------------------------------------
SunTrust Banks, Inc. 374,200 27,080,854
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Bancorp 2,261,270 69,895,856
- ------------------------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 131,500 9,085,335
- ------------------------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 1,349,700 75,677,679
- ------------------------------------------------------------------------------------------------------------------------------------
Washington Mutual,
Inc. 418,929 17,888,268
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo & Co. 967,100 62,087,820
------------------
607,767,636
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--8.5%
American Express Co. 717,000 38,631,960
- ------------------------------------------------------------------------------------------------------------------------------------
AmeriCredit Corp. 1 275,600 8,130,200
- ------------------------------------------------------------------------------------------------------------------------------------
Capital One Financial
Corp. 537,819 47,112,944
- ------------------------------------------------------------------------------------------------------------------------------------
Chicago Mercantile
Exchange (The) 75,700 32,217,920
- ------------------------------------------------------------------------------------------------------------------------------------
CIT Group, Inc. 506,000 27,207,620
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 5,362,246 248,647,347
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Goldman Sachs Group,
Inc. (The) 653,900 $ 92,389,531
- ------------------------------------------------------------------------------------------------------------------------------------
Janus Capital Group,
Inc. 1 140,400 3,078,972
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co. 3,730,496 153,472,605
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Holdings, Inc. 494,600 72,186,870
- ------------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. 1,275,900 98,512,239
- ------------------------------------------------------------------------------------------------------------------------------------
Moody's Corp. 86,800 5,815,600
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley 1,609,600 96,028,736
- ------------------------------------------------------------------------------------------------------------------------------------
Schwab (Charles) Corp. 2,136,100 34,626,181
- ------------------------------------------------------------------------------------------------------------------------------------
State Street Corp. 449,300 28,072,264
- ------------------------------------------------------------------------------------------------------------------------------------
T. Rowe Price Group,
Inc. 24,700 1,896,466
------------------
988,027,455
- ------------------------------------------------------------------------------------------------------------------------------------
INSURANCE--4.9%
ACE Ltd. 60,800 3,388,384
- ------------------------------------------------------------------------------------------------------------------------------------
AFLAC, Inc. 332,100 15,359,625
- ------------------------------------------------------------------------------------------------------------------------------------
Allstate Corp. 820,200 44,930,556
- ------------------------------------------------------------------------------------------------------------------------------------
American International
Group, Inc. 2,045,505 135,739,712
- ------------------------------------------------------------------------------------------------------------------------------------
AmerUs Group Co. 76,600 4,615,150
- ------------------------------------------------------------------------------------------------------------------------------------
Aon Corp. 750,600 29,731,266
- ------------------------------------------------------------------------------------------------------------------------------------
Chubb Corp. 296,300 28,370,725
- ------------------------------------------------------------------------------------------------------------------------------------
Fidelity National
Financial, Inc. 162,184 6,124,068
- ------------------------------------------------------------------------------------------------------------------------------------
Fidelity National Title
Group, Inc., Cl. A 39,232 929,798
- ------------------------------------------------------------------------------------------------------------------------------------
Genworth Financial,
Inc., Cl. A 774,500 24,644,590
- ------------------------------------------------------------------------------------------------------------------------------------
Hartford Financial
Services Group, Inc.
(The) 528,600 43,546,068
- ------------------------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 3,100 186,775
- ------------------------------------------------------------------------------------------------------------------------------------
LandAmerica Financial
Group, Inc. 18,000 1,200,600
- ------------------------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 35,500 2,015,335
- ------------------------------------------------------------------------------------------------------------------------------------
Loews Corp. 136,300 12,575,038
- ------------------------------------------------------------------------------------------------------------------------------------
Marsh & McLennan
Cos., Inc. 137,200 4,240,852
44 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INSURANCE Continued
MBIA, Inc. 110,000 $ 6,461,400
- ------------------------------------------------------------------------------------------------------------------------------------
MetLife, Inc. 891,600 44,686,992
- ------------------------------------------------------------------------------------------------------------------------------------
Principal Financial
Group, Inc. (The) 844,000 41,119,680
- ------------------------------------------------------------------------------------------------------------------------------------
Progressive Corp. 229,100 24,616,795
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc. 581,900 44,829,576
- ------------------------------------------------------------------------------------------------------------------------------------
Safeco Corp. 2,200 113,322
- ------------------------------------------------------------------------------------------------------------------------------------
St. Paul Travelers Cos.,
Inc. (The) 1,152,100 49,517,258
- ------------------------------------------------------------------------------------------------------------------------------------
StanCorp Financial
Group, Inc. 75,400 4,079,140
- ------------------------------------------------------------------------------------------------------------------------------------
Zenith National Insurance
Corp. 44,500 2,291,750
------------------
575,314,455
- ------------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--1.2%
Accredited Home
Lenders Holding Co. 1 44,100 2,350,971
- ------------------------------------------------------------------------------------------------------------------------------------
Countrywide Financial
Corp. 1,095,700 37,779,736
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae 862,800 47,177,904
- ------------------------------------------------------------------------------------------------------------------------------------
Freddie Mac 460,700 31,046,573
- ------------------------------------------------------------------------------------------------------------------------------------
Fremont General Corp. 12,100 287,012
- ------------------------------------------------------------------------------------------------------------------------------------
MGIC Investment Corp. 95,200 6,069,000
- ------------------------------------------------------------------------------------------------------------------------------------
PMI Group, Inc. (The) 72,800 3,152,240
- ------------------------------------------------------------------------------------------------------------------------------------
Radian Group, Inc. 104,100 5,907,675
------------------
133,771,111
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--13.5%
- ------------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--2.3%
Abgenix, Inc. 1 129,800 2,886,752
- ------------------------------------------------------------------------------------------------------------------------------------
Alkermes, Inc. 1 115,400 2,932,314
- ------------------------------------------------------------------------------------------------------------------------------------
Amgen, Inc. 1 1,536,800 116,013,032
- ------------------------------------------------------------------------------------------------------------------------------------
Applera Corp./Applied
Biosystems Group 223,600 6,321,172
- ------------------------------------------------------------------------------------------------------------------------------------
Biogen Idec, Inc. 1 204,500 9,662,625
- ------------------------------------------------------------------------------------------------------------------------------------
Genentech, Inc. 1 175,300 15,021,457
- ------------------------------------------------------------------------------------------------------------------------------------
Genzyme Corp.
(General Division) 1 116,400 8,071,176
- ------------------------------------------------------------------------------------------------------------------------------------
Gilead Sciences, Inc. 1 606,900 37,791,663
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY Continued
Sepracor, Inc. 1 8,600 $ 492,866
- ------------------------------------------------------------------------------------------------------------------------------------
Techne Corp. 1 43,300 2,575,051
- ------------------------------------------------------------------------------------------------------------------------------------
Wyeth 1,287,900 64,137,420
------------------
265,905,528
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--1.2%
Baxter International, Inc. 676,600 25,609,310
- ------------------------------------------------------------------------------------------------------------------------------------
Becton, Dickinson
& Co. 514,400 32,844,440
- ------------------------------------------------------------------------------------------------------------------------------------
Boston Scientific Corp. 1 545,600 13,323,552
- ------------------------------------------------------------------------------------------------------------------------------------
Guidant Corp. 247,000 18,959,720
- ------------------------------------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc. 1 47,500 1,762,250
- ------------------------------------------------------------------------------------------------------------------------------------
Medtronic, Inc. 754,400 40,699,880
- ------------------------------------------------------------------------------------------------------------------------------------
Mentor Corp. 87,700 3,774,608
- ------------------------------------------------------------------------------------------------------------------------------------
Millipore Corp. 1 35,400 2,454,282
- ------------------------------------------------------------------------------------------------------------------------------------
PerkinElmer, Inc. 36,800 875,472
- ------------------------------------------------------------------------------------------------------------------------------------
Waters Corp. 1 68,700 2,935,551
------------------
143,239,065
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--5.0%
Aetna, Inc. 763,800 38,953,800
- ------------------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen
Corp. 174,800 8,039,052
- ------------------------------------------------------------------------------------------------------------------------------------
Beverly Enterprises, Inc. 1 55,000 679,800
- ------------------------------------------------------------------------------------------------------------------------------------
Cardinal Health, Inc. 630,100 45,745,260
- ------------------------------------------------------------------------------------------------------------------------------------
Caremark Rx, Inc. 1 1,017,000 50,595,750
- ------------------------------------------------------------------------------------------------------------------------------------
CIGNA Corp. 376,900 46,264,475
- ------------------------------------------------------------------------------------------------------------------------------------
Coventry Health Care,
Inc. 1 93,800 5,592,356
- ------------------------------------------------------------------------------------------------------------------------------------
Express Scripts, Inc. 1 382,000 33,337,140
- ------------------------------------------------------------------------------------------------------------------------------------
Genesis HealthCare
Corp. 1 37,500 1,490,625
- ------------------------------------------------------------------------------------------------------------------------------------
HCA, Inc. 941,000 45,073,900
- ------------------------------------------------------------------------------------------------------------------------------------
Health Net, Inc. 1 107,700 5,164,215
- ------------------------------------------------------------------------------------------------------------------------------------
Healthways, Inc. 1 46,200 2,012,010
- ------------------------------------------------------------------------------------------------------------------------------------
Humana, Inc. 1 159,200 8,225,864
- ------------------------------------------------------------------------------------------------------------------------------------
IMS Health, Inc. 35,100 845,910
- ------------------------------------------------------------------------------------------------------------------------------------
Manor Care, Inc. 56,700 2,344,545
- ------------------------------------------------------------------------------------------------------------------------------------
McKesson Corp. 862,600 46,692,538
45 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
Medco Health Solutions,
Inc. 1 811,429 $ 45,212,824
- ------------------------------------------------------------------------------------------------------------------------------------
Pediatrix Medical Group,
Inc. 1 50,400 4,756,752
- ------------------------------------------------------------------------------------------------------------------------------------
Quest Diagnostics, Inc. 510,800 27,005,996
- ------------------------------------------------------------------------------------------------------------------------------------
Schein (Henry), Inc. 1 104,800 4,888,920
- ------------------------------------------------------------------------------------------------------------------------------------
Sierra Health Services,
Inc. 1 123,600 5,152,884
- ------------------------------------------------------------------------------------------------------------------------------------
UnitedHealth Group,
Inc. 1 1,324,994 77,154,401
- ------------------------------------------------------------------------------------------------------------------------------------
WellCare Health Plans,
Inc. 1 41,400 1,612,530
- ------------------------------------------------------------------------------------------------------------------------------------
WellPoint, Inc. 1 1,016,672 78,070,243
------------------
584,911,790
- ------------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--5.0%
Abbott Laboratories 436,100 19,266,898
- ------------------------------------------------------------------------------------------------------------------------------------
Allergan, Inc. 285,200 30,875,752
- ------------------------------------------------------------------------------------------------------------------------------------
Alpharma, Inc., Cl. A 86,300 2,610,575
- ------------------------------------------------------------------------------------------------------------------------------------
Andrx Corp. 1 74,400 1,458,240
- ------------------------------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb
Co. 997,100 23,033,010
- ------------------------------------------------------------------------------------------------------------------------------------
Eli Lilly & Co. 189,400 10,534,428
- ------------------------------------------------------------------------------------------------------------------------------------
Endo Pharmaceuticals
Holdings, Inc. 1 56,300 1,774,576
- ------------------------------------------------------------------------------------------------------------------------------------
Forest Laboratories,
Inc. 1 584,100 26,810,190
- ------------------------------------------------------------------------------------------------------------------------------------
Johnson & Johnson 2,905,244 167,487,317
- ------------------------------------------------------------------------------------------------------------------------------------
King Pharmaceuticals,
Inc. 1 348,400 5,661,500
- ------------------------------------------------------------------------------------------------------------------------------------
Kos Pharmaceuticals,
Inc. 1 88,100 3,864,947
- ------------------------------------------------------------------------------------------------------------------------------------
Medicis Pharmaceutical
Corp., Cl. A 22,100 628,524
- ------------------------------------------------------------------------------------------------------------------------------------
Merck & Co., Inc. 2,298,400 80,122,224
- ------------------------------------------------------------------------------------------------------------------------------------
Pfizer, Inc. 7,567,745 198,199,242
- ------------------------------------------------------------------------------------------------------------------------------------
Watson
Pharmaceuticals, Inc. 1 142,700 4,278,146
------------------
576,605,569
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--11.2%
- ------------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--3.5%
Alliant Techsystems,
Inc. 1 58,700 $ 4,485,854
- ------------------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc. 1 77,700 1,864,023
- ------------------------------------------------------------------------------------------------------------------------------------
Boeing Co. 1,385,800 100,733,802
- ------------------------------------------------------------------------------------------------------------------------------------
General Dynamics
Corp. 286,500 35,316,855
- ------------------------------------------------------------------------------------------------------------------------------------
Honeywell
International, Inc. 1,015,300 41,576,535
- ------------------------------------------------------------------------------------------------------------------------------------
Lockheed Martin Corp. 702,600 51,198,462
- ------------------------------------------------------------------------------------------------------------------------------------
Northrop Grumman
Corp. 857,600 54,972,160
- ------------------------------------------------------------------------------------------------------------------------------------
Precision Castparts
Corp. 165,600 8,783,424
- ------------------------------------------------------------------------------------------------------------------------------------
Raytheon Co. 1,191,500 51,711,100
- ------------------------------------------------------------------------------------------------------------------------------------
United Technologies
Corp. 937,000 54,814,500
------------------
405,456,715
- ------------------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.1%
FedEx Corp. 29,900 3,206,476
- ------------------------------------------------------------------------------------------------------------------------------------
United Parcel Service,
Inc., Cl. B 71,300 5,326,823
------------------
8,533,299
- ------------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.1%
Alaska Air Group, Inc. 1 69,600 2,230,680
- ------------------------------------------------------------------------------------------------------------------------------------
AMR Corp. 1,2 300,700 7,547,570
- ------------------------------------------------------------------------------------------------------------------------------------
Continental
Airlines, Inc., Cl. B 1,2 121,600 2,833,280
- ------------------------------------------------------------------------------------------------------------------------------------
Southwest Airlines Co. 177,300 2,973,321
------------------
15,584,851
- ------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.3%
Masco Corp. 750,300 23,401,857
- ------------------------------------------------------------------------------------------------------------------------------------
USG Corp. 1,2 94,300 7,966,464
------------------
31,368,321
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.8%
Administaff, Inc. 36,200 1,717,690
- ------------------------------------------------------------------------------------------------------------------------------------
Cendant Corp. 2,610,800 43,391,496
46 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES Continued
Corporate Executive
Board Co. 11,300 $ 1,130,000
- ------------------------------------------------------------------------------------------------------------------------------------
Dun & Bradstreet
Corp. 1 41,400 3,011,436
- ------------------------------------------------------------------------------------------------------------------------------------
Manpower, Inc. 96,400 5,170,896
- ------------------------------------------------------------------------------------------------------------------------------------
PHH Corp. 1 72,230 2,065,056
- ------------------------------------------------------------------------------------------------------------------------------------
Pitney Bowes, Inc. 223,400 9,548,116
- ------------------------------------------------------------------------------------------------------------------------------------
Robert Half
International, Inc. 116,700 4,191,864
- ------------------------------------------------------------------------------------------------------------------------------------
Waste Management,
Inc. 642,700 21,376,202
------------------
91,602,756
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.1%
Quanta Services, Inc. 1 148,100 2,027,489
- ------------------------------------------------------------------------------------------------------------------------------------
URS Corp. 1 158,200 6,895,938
------------------
8,923,427
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.5%
Emerson Electric Co. 309,600 25,328,376
- ------------------------------------------------------------------------------------------------------------------------------------
Rockwell Automation,
Inc. 515,900 35,168,903
- ------------------------------------------------------------------------------------------------------------------------------------
Roper Industries, Inc. 74,000 3,335,180
------------------
63,832,459
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--3.4%
3M Co. 331,000 24,358,290
- ------------------------------------------------------------------------------------------------------------------------------------
General Electric Co. 9,758,900 320,775,043
- ------------------------------------------------------------------------------------------------------------------------------------
Teleflex, Inc. 12,500 808,125
- ------------------------------------------------------------------------------------------------------------------------------------
Tyco International Ltd. 1,879,900 48,482,621
------------------
394,424,079
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY--1.6%
Caterpillar, Inc. 525,400 38,396,232
- ------------------------------------------------------------------------------------------------------------------------------------
Danaher Corp. 253,800 15,375,204
- ------------------------------------------------------------------------------------------------------------------------------------
Deere & Co. 475,600 36,274,012
- ------------------------------------------------------------------------------------------------------------------------------------
Flowserve Corp. 1 111,600 5,736,240
- ------------------------------------------------------------------------------------------------------------------------------------
Illinois Tool Works, Inc. 465,900 39,992,856
- ------------------------------------------------------------------------------------------------------------------------------------
Ingersoll-Rand Co. Ltd.,
Cl. A 670,600 27,514,718
- ------------------------------------------------------------------------------------------------------------------------------------
ITT Industries, Inc. 149,200 7,833,000
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY Continued
Parker-Hannifin Corp. 57,700 $ 4,510,409
- ------------------------------------------------------------------------------------------------------------------------------------
SPX Corp. 116,200 5,722,850
- ------------------------------------------------------------------------------------------------------------------------------------
Terex Corp. 1 85,200 6,743,580
------------------
188,099,101
- ------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.8%
Burlington Northern
Santa Fe Corp. 459,400 36,127,216
- ------------------------------------------------------------------------------------------------------------------------------------
CSX Corp. 18,300 1,013,454
- ------------------------------------------------------------------------------------------------------------------------------------
Landstar System, Inc. 64,500 3,005,055
- ------------------------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp. 918,900 47,029,302
------------------
87,175,027
- ------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.0%
United Rentals, Inc. 1 86,800 2,829,680
- ------------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--19.3%
- ------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--3.3%
ADTRAN, Inc. 133,000 3,660,160
- ------------------------------------------------------------------------------------------------------------------------------------
Avaya, Inc. 1 364,400 4,052,128
- ------------------------------------------------------------------------------------------------------------------------------------
Brocade Communications
Systems, Inc. 1 687,200 3,621,544
- ------------------------------------------------------------------------------------------------------------------------------------
Cisco Systems, Inc. 1 6,514,000 131,843,360
- ------------------------------------------------------------------------------------------------------------------------------------
Corning, Inc. 1 1,296,200 31,640,242
- ------------------------------------------------------------------------------------------------------------------------------------
Emulex Corp. 1 109,100 1,941,980
- ------------------------------------------------------------------------------------------------------------------------------------
Harris Corp. 17,900 817,672
- ------------------------------------------------------------------------------------------------------------------------------------
Juniper Networks,
Inc. 1 936,700 17,225,913
- ------------------------------------------------------------------------------------------------------------------------------------
Lucent Technologies,
Inc. 1 10,444,700 29,245,160
- ------------------------------------------------------------------------------------------------------------------------------------
Motorola, Inc. 3,628,900 77,658,460
- ------------------------------------------------------------------------------------------------------------------------------------
Polycom, Inc. 1 40,000 776,800
- ------------------------------------------------------------------------------------------------------------------------------------
QLogic Corp. 1 140,100 5,763,714
- ------------------------------------------------------------------------------------------------------------------------------------
QUALCOMM, Inc. 1,654,475 78,107,765
------------------
386,354,898
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--4.5%
Apple Computer, Inc. 1 566,000 38,793,640
- ------------------------------------------------------------------------------------------------------------------------------------
Dell, Inc. 1 3,544,400 102,787,600
- ------------------------------------------------------------------------------------------------------------------------------------
EMC Corp. 1 4,480,900 62,822,218
- ------------------------------------------------------------------------------------------------------------------------------------
Hewlett-Packard Co. 3,896,900 127,857,289
47 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS Continued
Intermec, Inc. 1 15,500 $ 475,540
- ------------------------------------------------------------------------------------------------------------------------------------
International Business
Machines Corp. 1,778,400 142,698,816
- ------------------------------------------------------------------------------------------------------------------------------------
Lexmark International,
Inc., Cl. A 1 133,100 6,267,679
- ------------------------------------------------------------------------------------------------------------------------------------
NCR Corp. 1 199,300 7,989,937
- ------------------------------------------------------------------------------------------------------------------------------------
Network Appliance,
Inc. 1 274,800 9,112,368
- ------------------------------------------------------------------------------------------------------------------------------------
Palm, Inc. 1 68,100 2,812,530
- ------------------------------------------------------------------------------------------------------------------------------------
SanDisk Corp. 1 82,300 4,965,982
- ------------------------------------------------------------------------------------------------------------------------------------
Sun Microsystems, Inc. 1 1,512,800 6,308,376
- ------------------------------------------------------------------------------------------------------------------------------------
Western Digital Corp. 1 545,000 12,126,250
------------------
525,018,225
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.7%
Agilent Technologies,
Inc. 1 1,036,400 37,310,400
- ------------------------------------------------------------------------------------------------------------------------------------
Arrow Electronics, Inc. 1 170,500 5,931,695
- ------------------------------------------------------------------------------------------------------------------------------------
Avnet, Inc. 1 226,100 5,681,893
- ------------------------------------------------------------------------------------------------------------------------------------
CDW Corp. 1 57,300 3,258,078
- ------------------------------------------------------------------------------------------------------------------------------------
Jabil Circuit, Inc. 1 185,100 7,006,035
- ------------------------------------------------------------------------------------------------------------------------------------
Komag, Inc. 1 72,000 3,372,480
- ------------------------------------------------------------------------------------------------------------------------------------
Mettler-Toledo
International, Inc. 1 11,900 720,664
- ------------------------------------------------------------------------------------------------------------------------------------
Sanmina-SCI Corp. 1 1,157,800 4,469,108
- ------------------------------------------------------------------------------------------------------------------------------------
Solectron Corp. 1 1,427,100 5,151,831
- ------------------------------------------------------------------------------------------------------------------------------------
Tech Data Corp. 1 41,700 1,731,801
------------------
74,633,985
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.7%
Check Point Software
Technologies Ltd. 1 188,100 3,999,006
- ------------------------------------------------------------------------------------------------------------------------------------
Digital River, Inc. 1 64,800 2,439,072
- ------------------------------------------------------------------------------------------------------------------------------------
EarthLink, Inc. 1 367,400 3,644,608
- ------------------------------------------------------------------------------------------------------------------------------------
Google, Inc., Cl. A 1 84,700 30,713,914
- ------------------------------------------------------------------------------------------------------------------------------------
Internet Security
Systems, Inc. 1 115,000 2,680,650
- ------------------------------------------------------------------------------------------------------------------------------------
MicroStrategy, Inc.,
Cl. A 1 24,700 2,264,496
- ------------------------------------------------------------------------------------------------------------------------------------
United Online, Inc. 267,900 3,217,479
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES Continued
Websense, Inc. 1 34,900 2,157,169
- ------------------------------------------------------------------------------------------------------------------------------------
Yahoo!, Inc. 1 781,300 25,048,478
------------------
76,164,872
- ------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.9%
Automatic Data
Processing, Inc. 132,400 6,115,556
- ------------------------------------------------------------------------------------------------------------------------------------
CACI International,
Inc., Cl. A 1 51,300 3,091,851
- ------------------------------------------------------------------------------------------------------------------------------------
Ceridian Corp. 1 135,800 3,511,788
- ------------------------------------------------------------------------------------------------------------------------------------
CheckFree Corp. 1 77,800 3,847,988
- ------------------------------------------------------------------------------------------------------------------------------------
Computer Sciences
Corp. 1 138,300 7,515,222
- ------------------------------------------------------------------------------------------------------------------------------------
CSG Systems
International, Inc. 1 10,400 228,592
- ------------------------------------------------------------------------------------------------------------------------------------
Electronic Data Systems
Corp. 336,800 8,992,560
- ------------------------------------------------------------------------------------------------------------------------------------
First Data Corp. 1,329,100 59,982,283
- ------------------------------------------------------------------------------------------------------------------------------------
Fiserv, Inc. 1 154,500 6,411,750
- ------------------------------------------------------------------------------------------------------------------------------------
Global Payments, Inc. 74,700 3,888,882
- ------------------------------------------------------------------------------------------------------------------------------------
Sabre Holdings Corp. 221,400 5,342,382
------------------
108,928,854
OFFICE ELECTRONICS--0.3%
Xerox Corp. 1 2,565,400 38,224,460
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.7%
Advanced Micro Devices,
Inc. 1 638,500 24,690,795
- ------------------------------------------------------------------------------------------------------------------------------------
Analog Devices, Inc. 1,091,600 41,633,624
- ------------------------------------------------------------------------------------------------------------------------------------
Applied Materials, Inc. 2,467,100 45,246,614
- ------------------------------------------------------------------------------------------------------------------------------------
Broadcom Corp., Cl. A 1 1,128,450 50,881,811
- ------------------------------------------------------------------------------------------------------------------------------------
Cymer, Inc. 1 56,600 2,545,868
- ------------------------------------------------------------------------------------------------------------------------------------
Fairchild
Semiconductor
International, Inc., Cl. A 1 102,400 1,779,712
- ------------------------------------------------------------------------------------------------------------------------------------
Freescale
Semiconductor,
Inc., Cl. B 1 1,265,266 34,212,793
- ------------------------------------------------------------------------------------------------------------------------------------
Intel Corp. 8,144,400 167,774,640
- ------------------------------------------------------------------------------------------------------------------------------------
Intersil Corp., Cl. A 214,600 6,081,764
- ------------------------------------------------------------------------------------------------------------------------------------
KLA-Tencor Corp. 517,200 27,013,356
48 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT Continued
Lam Research Corp. 1 156,500 $ 6,745,150
- ------------------------------------------------------------------------------------------------------------------------------------
Linear Technology
Corp. 196,000 7,224,560
- ------------------------------------------------------------------------------------------------------------------------------------
LSI Logic Corp. 1 652,700 6,363,825
- ------------------------------------------------------------------------------------------------------------------------------------
Micrel, Inc. 1 106,000 1,480,820
- ------------------------------------------------------------------------------------------------------------------------------------
Microchip
Technology, Inc. 201,500 7,092,800
- ------------------------------------------------------------------------------------------------------------------------------------
Microsemi Corp. 1 62,900 1,934,175
- ------------------------------------------------------------------------------------------------------------------------------------
National Semiconductor
Corp. 287,600 8,067,180
- ------------------------------------------------------------------------------------------------------------------------------------
Novellus Systems, Inc. 1 217,700 5,819,121
- ------------------------------------------------------------------------------------------------------------------------------------
NVIDIA Corp. 1 185,000 8,719,050
- ------------------------------------------------------------------------------------------------------------------------------------
OmniVision
Technologies, Inc. 1,2 124,300 3,169,650
- ------------------------------------------------------------------------------------------------------------------------------------
Texas Instruments, Inc. 3,064,000 91,460,400
- ------------------------------------------------------------------------------------------------------------------------------------
Zoran Corp. 1 33,700 666,586
------------------
550,604,294
- ------------------------------------------------------------------------------------------------------------------------------------
SOFTWARE--4.2%
Adobe Systems, Inc. 1 202,800 7,832,136
- ------------------------------------------------------------------------------------------------------------------------------------
Autodesk, Inc. 1 646,300 24,333,195
- ------------------------------------------------------------------------------------------------------------------------------------
BEA Systems, Inc. 1 561,100 6,435,817
- ------------------------------------------------------------------------------------------------------------------------------------
BMC Software, Inc. 1 274,100 5,994,567
- ------------------------------------------------------------------------------------------------------------------------------------
CA, Inc. 1,323,580 35,948,433
- ------------------------------------------------------------------------------------------------------------------------------------
Cadence Design
Systems, Inc. 1 341,300 6,058,075
- ------------------------------------------------------------------------------------------------------------------------------------
Citrix Systems, Inc. 1 138,600 4,485,096
- ------------------------------------------------------------------------------------------------------------------------------------
Compuware Corp. 1 626,200 5,141,102
- ------------------------------------------------------------------------------------------------------------------------------------
Fair Isaac Corp. 110,500 4,709,510
- ------------------------------------------------------------------------------------------------------------------------------------
Hyperion Solutions
Corp. 1 143,700 4,821,135
- ------------------------------------------------------------------------------------------------------------------------------------
Intuit, Inc. 1 138,900 6,747,762
- ------------------------------------------------------------------------------------------------------------------------------------
McAfee, Inc. 1 194,600 4,526,396
- ------------------------------------------------------------------------------------------------------------------------------------
Microsoft Corp. 9,188,000 247,157,200
- ------------------------------------------------------------------------------------------------------------------------------------
Novell, Inc. 1 658,800 6,265,188
- ------------------------------------------------------------------------------------------------------------------------------------
Oracle Corp. 1 4,434,200 55,072,764
- ------------------------------------------------------------------------------------------------------------------------------------
Parametric Technology
Corp. 1 154,560 2,352,403
- ------------------------------------------------------------------------------------------------------------------------------------
Red Hat, Inc. 1 226,900 6,096,803
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
SOFTWARE Continued
Reynolds & Reynolds
Co., Cl. A 12,300 $ 340,710
- ------------------------------------------------------------------------------------------------------------------------------------
Symantec Corp. 1 2,788,218 47,093,002
- ------------------------------------------------------------------------------------------------------------------------------------
Synopsys, Inc. 1 400,300 8,754,561
------------------
490,165,855
- ------------------------------------------------------------------------------------------------------------------------------------
MATERIALS--2.7%
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.3%
Agrium, Inc. 179,500 4,471,345
- ------------------------------------------------------------------------------------------------------------------------------------
Dow Chemical Co.
(The) 1,306,500 56,218,695
- ------------------------------------------------------------------------------------------------------------------------------------
E.I. du Pont de Nemours
& Co. 400,800 16,128,192
- ------------------------------------------------------------------------------------------------------------------------------------
FMC Corp. 1 18,400 1,118,904
- ------------------------------------------------------------------------------------------------------------------------------------
Lubrizol Corp. (The) 20,600 891,156
- ------------------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co. 218,300 4,566,836
- ------------------------------------------------------------------------------------------------------------------------------------
Monsanto Co. 336,200 28,200,456
- ------------------------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc. 334,300 20,268,609
- ------------------------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 349,900 17,407,525
- ------------------------------------------------------------------------------------------------------------------------------------
Scotts Miracle-Gro
Co. (The), Cl. A 63,600 3,045,804
------------------
152,317,522
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.0%
Texas Industries, Inc. 35,900 2,177,694
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--0.1%
Sealed Air Corp. 1 72,300 4,112,424
- ------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.1%
AK Steel Holding Corp. 1 303,200 3,365,520
- ------------------------------------------------------------------------------------------------------------------------------------
Alcoa, Inc. 224,800 6,591,136
- ------------------------------------------------------------------------------------------------------------------------------------
Carpenter Technology
Corp. 52,300 4,371,757
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Metals Co. 52,100 2,359,609
- ------------------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan
Copper & Gold,
Inc., Cl. B 630,200 31,907,026
- ------------------------------------------------------------------------------------------------------------------------------------
Nucor Corp. 481,500 41,433,075
- ------------------------------------------------------------------------------------------------------------------------------------
Phelps Dodge Corp. 166,700 23,004,600
- ------------------------------------------------------------------------------------------------------------------------------------
Quanex Corp. 49,100 3,047,637
- ------------------------------------------------------------------------------------------------------------------------------------
Reliance Steel &
Aluminum Co. 77,100 6,352,269
49 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING Continued
Steel Dynamics, Inc. 57,300 $ 2,635,800
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel
Corp. 13,800 752,100
- ------------------------------------------------------------------------------------------------------------------------------------
Worthington Industries,
Inc. 81,700 1,601,320
------------------
127,421,849
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.2%
International Paper Co. 129,900 4,256,823
- ------------------------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 81,200 2,308,516
- ------------------------------------------------------------------------------------------------------------------------------------
MeadWestvaco Corp. 163,600 4,551,352
- ------------------------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 221,700 15,139,893
------------------
26,256,584
- ------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--3.2%
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--3.2%
American Tower Corp. 1 465,400 14,813,682
- ------------------------------------------------------------------------------------------------------------------------------------
AT&T, Inc. 2,347,036 64,754,723
- ------------------------------------------------------------------------------------------------------------------------------------
BellSouth Corp. 1,661,900 52,482,802
- ------------------------------------------------------------------------------------------------------------------------------------
CenturyTel, Inc. 142,700 5,134,346
- ------------------------------------------------------------------------------------------------------------------------------------
Crown Castle
International Corp. 1 153,200 4,802,820
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Communications
International, Inc. 1 4,420,100 27,935,032
- ------------------------------------------------------------------------------------------------------------------------------------
Sprint Nextel Corp. 4,415,831 106,112,419
- ------------------------------------------------------------------------------------------------------------------------------------
Verizon
Communications, Inc. 2,963,210 99,860,177
------------------
375,896,001
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.0%
Dobson Communications
Corp., Cl. A 1 254,200 1,840,408
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--1.0%
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.0%
AES Corp. (The) 1 285,900 4,946,070
- ------------------------------------------------------------------------------------------------------------------------------------
Constellation Energy
Group, Inc. 313,380 18,407,941
- ------------------------------------------------------------------------------------------------------------------------------------
DPL, Inc. 38,500 1,036,420
- ------------------------------------------------------------------------------------------------------------------------------------
Edison International,
Inc. 540,800 23,989,888
- ------------------------------------------------------------------------------------------------------------------------------------
Entergy Corp. 48,200 3,494,982
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Exelon Corp. 60,800 $ 3,472,288
- ------------------------------------------------------------------------------------------------------------------------------------
FirstEnergy Corp. 83,600 4,270,288
- ------------------------------------------------------------------------------------------------------------------------------------
PG&E Corp. 831,600 31,642,380
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle West Capital
Corp. 5,000 205,250
- ------------------------------------------------------------------------------------------------------------------------------------
Progress Energy, Inc. 45,600 2,023,728
- ------------------------------------------------------------------------------------------------------------------------------------
Progress Energy, Inc.,
Contingent Value
Obligation 1,3 680,100 210,831
- ------------------------------------------------------------------------------------------------------------------------------------
TXU Corp. 452,600 23,711,712
------------------
117,411,778
------------------
Total Common Stocks
(Cost $9,182,580,832) 11,551,479,239
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Wachovia Corp., Dividend
Equalization Preferred
Shares 1,3
(Cost $0) 100,000 320
UNITS
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Dime Bancorp, Inc. Wts.,
Exp. 1/2/10 1 485,800 68,012
- ------------------------------------------------------------------------------------------------------------------------------------
Lucent Technologies, Inc.
Wts., Exp. 12/10/07 1 68,554 39,419
------------------
Total Rights, Warrants
and Certificates
(Cost $0) 107,431
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 3.81% in joint repurchase agreement (Principal Amount/
Value $1,413,415,000, with a maturity value of $1,413,592,855) with UBS Warburg
LLC, 4.53%, dated 2/28/06, to be repurchased at $53,852,776 on 3/1/06,
collateralized by Federal National Mortgage Assn., 5%, 6/1/35, with a value of
$1,445,671,427
(Cost $53,846,000) $ 53,846,000 53,846,000
50 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
VALUE
SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Invesments Purchased with Cash Collateral
from Securities Loaned)
(Cost $9,236,426,832) $ 11,605,432,990
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL
FROM SECURITIES LOANED--0.2%
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--0.2%
Undivided interest of 2.83% in joint repurchase agreement (Principal
Amount/Value $1,000,000,000, with a maturity value of $1,000,127,292) with Bank
of America NA, 4.5825%, dated 2/28/06, to be repurchased at $28,313,347 on
3/1/06, collateralized by U.S. Agency Mortgages, 5%--6%, 3/1/34--10/1/35, with a
value of $1,023,918,877 4 $ 28,309,743 28,309,743
- ------------------------------------------------------------------------------------------------------------------------------------
MASTER FLOATING NOTE--0.0%
Bear Stearns, 4.68%,
3/1/06 4 500,000 500,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments Purchased with Cash Collateral from Securities Loaned (Cost
$28,809,743) 28,809,743
VALUE
SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $9,265,236,575) 99.9% $ 11,634,242,733
- ------------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS
NET OF LIABILITIES 0.1 8,883,242
---------------------------------
NET ASSETS 100.0% $ 11,643,125,975
=================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Non-income producing security.
2. Partial or fully-loaned security. See Note 7 of Notes to Financial
Statements.
3. Illiquid security. The aggregate value of illiquid securities as of February
28, 2006 was $211,151, which represents less than 0.005% of the Fund's net
assets. See Note 6 of Notes to Financial Statements.
4. The security has been segregated to satisfy the forward commitment to return
the cash collateral received in securities lending transactions upon the
borrower's return of the securities loaned. See Note 7 of Notes to Financial
Statements.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
51 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
February 28, 2006
- --------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------
Investments, at value (including securities loaned
of $27,967,782) (cost $9,265,236,575)--see
accompanying statement of investments $ 11,634,242,733
- --------------------------------------------------------------------------------
Cash 5,385,794
- --------------------------------------------------------------------------------
Receivables and other assets:
Investments sold 236,314,753
Interest and dividends 20,630,263
Shares of capital stock sold 3,678,430
Other 295,655
-----------------
Total assets 11,900,547,628
- --------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------
Return of collateral for securities loaned 28,809,743
- --------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased 196,180,589
Shares of capital stock redeemed 24,869,349
Distribution and service plan fees 4,434,700
Transfer and shareholder servicing agent fees 1,748,967
Shareholder communications 1,090,674
Directors' compensation 194,961
Other 92,670
-----------------
Total liabilities 257,421,653
- --------------------------------------------------------------------------------
NET ASSETS $ 11,643,125,975
=================
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------
Par value of shares of capital stock $ 3,057,521
- --------------------------------------------------------------------------------
Additional paid-in capital 9,502,543,218
- --------------------------------------------------------------------------------
Accumulated net investment income 17,196,501
- --------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign
currency transactions (248,678,566)
- --------------------------------------------------------------------------------
Net unrealized appreciation on investments and
translation of assets and liabilities denominated in
foreign currencies 2,369,007,301
-----------------
NET ASSETS $ 11,643,125,975
=================
52 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- --------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on
net assets of $7,930,616,641 and 206,732,070 shares of
capital stock outstanding) $ 38.36
Maximum offering price per share (net asset value plus
sales charge of 5.75% of offering price) $ 40.70
- --------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $1,722,236,771 and
46,188,208 shares of capital stock outstanding) $ 37.29
- --------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $1,178,245,154 and
31,653,703 shares of capital stock outstanding) $ 37.22
- --------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable
contingent deferred sales charge) and offering price per
share (based on net assets of $196,733,060 and
5,191,283 shares of capital stock outstanding) $ 37.90
- --------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per
share (based on net assets of $615,294,349 and 15,986,803
shares of capital stock outstanding) $ 38.49
- --------------------------------------------------------------------------------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
53 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended February 28, 2006
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $114,435) $ 105,465,945
- --------------------------------------------------------------------------------
Interest 1,193,499
- --------------------------------------------------------------------------------
Other income 402,396
- --------------------------------------------------------------------------------
Portfolio lending fees 20,980
-----------------
Total investment income 107,082,820
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 26,392,566
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 9,613,022
Class B 9,025,988
Class C 5,895,058
Class N 467,978
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 7,765,216
Class B 2,046,878
Class C 1,144,228
Class N 239,327
Class Y 74,312
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 802,067
Class B 340,832
Class C 96,030
Class N 8,262
- --------------------------------------------------------------------------------
Directors' compensation 67,010
- --------------------------------------------------------------------------------
Custodian fees and expenses 62,190
- --------------------------------------------------------------------------------
Administration service fees 750
- --------------------------------------------------------------------------------
Other 186,552
-----------------
Total expenses 64,228,266
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 42,854,554
54 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain on:
Investments $ 520,616,700
Foreign currency transactions 1,774,797
-----------------
Net realized gain 522,391,497
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 219,963,943
Translation of assets and liabilities denominated in
foreign currencies (1,170,087)
-----------------
Net change in unrealized appreciation 218,793,856
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 784,039,907
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
55 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
(UNAUDITED) 2005
- ----------------------------------------------------------------------------------------------
OPERATIONS
- ----------------------------------------------------------------------------------------------
Net investment income $ 42,854,554 $ 137,515,097
- ----------------------------------------------------------------------------------------------
Net realized gain 522,391,497 555,738,759
- ----------------------------------------------------------------------------------------------
Net change in unrealized appreciation 218,793,856 607,039,907
-------------------------------------
Net increase in net assets resulting from operations 784,039,907 1,300,293,763
- ----------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ----------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (78,299,412) (92,759,936)
Class B (1,493,431) (6,840,949)
Class C (3,049,966) (6,104,306)
Class N (1,478,142) (1,600,231)
Class Y (7,871,769) (9,431,972)
- ----------------------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS
- ----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
capital stock transactions:
Class A (340,842,144) (330,754,330)
Class B (362,612,001) (825,679,905)
Class C (101,979,218) (158,653,723)
Class N 7,984,073 10,302,309
Class Y 101,855,394 (138,236,214)
- ----------------------------------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------------------------------
Total decrease (3,746,709) (259,465,494)
- ----------------------------------------------------------------------------------------------
Beginning of period 11,646,872,684 11,906,338,178
-------------------------------------
End of period (including accumulated net investment
income of $17,196,501 and $66,534,667, respectively) $11,643,125,975 $11,646,872,684
=====================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
56 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
CLASS A (UNAUDITED) 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period $ 36.18 $ 32.78 $ 29.62 $ 27.90 $ 32.15 $ 45.41
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .17 1 .47 1 .26 .22 .16 .14
Net realized and unrealized gain
(loss) 2.38 3.34 3.10 1.69 (4.29) (11.18)
------------------------------------------------------------------------------------------
Total from investment operations 2.55 3.81 3.36 1.91 (4.13) (11.04)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.37) (.41) (.20) (.19) (.07) (.12)
Distributions from net realized
gain -- -- -- -- (.05) (2.10)
------------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.37) (.41) (.20) (.19) (.12) (2.22)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 38.36 $ 36.18 $ 32.78 $ 29.62 $ 27.90 $ 32.15
==========================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE 2 7.07% 11.68% 11.37% 6.93% (12.90)% (24.85)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in
thousands) $ 7,930,617 $ 7,810,714 $ 7,384,256 $ 7,033,312 $ 6,443,983 $ 7,320,747
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 7,909,680 $ 7,759,230 $ 7,521,103 $ 6,310,359 $ 7,203,226 $ 7,954,409
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 0.93% 1.36% 0.75% 0.87% 0.52% 0.47%
Total expenses 0.93% 0.92% 4 0.93% 4,5 0.97% 4 0.99% 4 0.86% 4
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 40% 79% 76% 94% 78% 76%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
57 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
CLASS B (UNAUDITED) 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period $ 34.99 $ 31.67 $ 28.68 $ 27.04 $ 31.34 $ 44.50
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income (loss) .02 1 .20 1 (.21) (.13) (.20) (.13)
Net realized and unrealized gain
(loss) 2.31 3.21 3.20 1.77 (4.05) (10.93)
------------------------------------------------------------------------------------------
Total from investment operations 2.33 3.41 2.99 1.64 (4.25) (11.06)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.03) (.09) -- -- -- --
Distributions from net realized
gain -- -- -- -- (.05) (2.10)
------------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.03) (.09) -- -- (.05) (2.10)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 37.29 $ 34.99 $ 31.67 $ 28.68 $ 27.04 $ 31.34
==========================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE 2 6.66% 10.79% 10.43% 6.06% (13.58)% (25.39)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in
thousands) $ 1,722,237 $ 1,968,829 $ 2,558,206 $ 2,941,765 $ 3,510,800 $ 5,404,510
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 1,821,344 $ 2,295,269 $ 2,884,434 $ 2,964,666 $ 4,607,653 $ 6,630,335
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income (loss) 0.13% 0.59% (0.10)% 0.04% (0.25)% (0.29)%
Total expenses 1.73% 1.72% 4 1.78% 4,5 1.81% 4 1.75% 4 1.61% 4
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 40% 79% 76% 94% 78% 76%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
58 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
CLASS C (UNAUDITED) 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period $ 34.98 $ 31.71 $ 28.69 $ 27.03 $ 31.33 $ 44.50
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income (loss) .03 1 .21 1 (.03) -- (.11) (.11)
Net realized and unrealized gain
(loss) 2.30 3.22 3.05 1.66 (4.14) (10.96)
------------------------------------------------------------------------------------------
Total from investment operations 2.33 3.43 3.02 1.66 (4.25) (11.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.09) (.16) -- -- -- --
Distributions from net realized
gain -- -- -- -- (.05) (2.10)
------------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.09) (.16) -- -- (.05) (2.10)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 37.22 $ 34.98 $ 31.71 $ 28.69 $ 27.03 $ 31.33
==========================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE 2 6.67% 10.83% 10.53% 6.14% (13.58)% (25.42)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in
thousands) $ 1,178,245 $ 1,206,335 $ 1,241,930 $ 1,188,826 $ 1,198,517 $ 1,562,452
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 1,191,623 $ 1,250,845 $ 1,278,659 $ 1,111,131 $ 1,432,566 $ 1,825,540
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income (loss) 0.18% 0.62% (0.01)% 0.09% (0.24)% (0.29)%
Total expenses 1.67% 1.67% 4 1.70% 4,5 1.74% 4 1.75% 4 1.61% 4
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 40% 79% 76% 94% 78% 76%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
59 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
CLASS N (UNAUDITED) 2005 2004 2003 2002 2001 1
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period $ 35.71 $ 32.39 $ 29.33 $ 27.72 $ 32.09 $ 34.36
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .11 2 .35 2 .15 .20 .12 .02
Net realized and unrealized gain
(loss) 2.36 3.30 3.05 1.65 (4.31) (2.29)
------------------------------------------------------------------------------------------
Total from investment operations 2.47 3.65 3.20 1.85 (4.19) (2.27)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.28) (.33) (.14) (.24) (.13) --
Distributions from net realized
gain -- -- -- -- (.05) --
------------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.28) (.33) (.14) (.24) (.18) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 37.90 $ 35.71 $ 32.39 $ 29.33 $ 27.72 $ 32.09
==========================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE 3 6.92% 11.30% 10.93% 6.78% (13.15)% (6.61)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in
thousands) $ 196,733 $ 177,463 $ 150,955 $ 79,188 $ 43,464 $ 7,641
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 189,193 $ 168,866 $ 122,478 $ 60,950 $ 28,141 $ 2,672
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 0.63% 1.02% 0.38% 0.65% 0.28% 0.36%
Total expenses 1.22% 1.26% 1.31% 1.23% 1.24% 1.16%
Expenses after payments and
waivers and reduction to
custodian expenses 1.22% 1.26% 1.31% 1.18% 1.24% 1.16%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 40% 79% 76% 94% 78% 76%
1. For the period from March 1, 2001 (inception of offering) to August 31, 2001.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
60 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 28, 2006 AUGUST 31,
CLASS Y (UNAUDITED) 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period $ 36.38 $ 32.93 $ 29.75 $ 28.02 $ 32.28 $ 45.64
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations
Net investment income .25 1 .64 1 .34 .11 .19 .17
Net realized and unrealized gain
(loss) 2.39 3.34 3.13 1.86 (4.28) (11.22)
------------------------------------------------------------------------------------------
Total from investment operations 2.64 3.98 3.47 1.97 (4.09) (11.05)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.53) (.53) (.29) (.24) (.12) (.21)
Distributions from net realized
gain -- -- -- -- (.05) (2.10)
------------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.53) (.53) (.29) (.24) (.17) (2.31)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 38.49 $ 36.38 $ 32.93 $ 29.75 $ 28.02 $ 32.28
==========================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE 2 7.29% 12.15% 11.69% 7.11% (12.74)% (24.76)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in
thousands) $ 615,294 $ 483,532 $ 570,991 $ 441,460 $ 225,298 $ 225,475
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 543,106 $ 496,349 $ 558,130 $ 242,029 $ 227,835 $ 239,222
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 1.37% 1.82% 1.07% 1.01% 0.74% 0.60%
Total expenses 0.49% 0.53% 0.60% 0.87% 0.92% 0.79% 4
Expenses after payments and
waivers and reduction to
custodian expenses 0.49% 0.53% 0.60% 0.83% 0.78% 0.73%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 40% 79% 76% 94% 78% 76%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Added since August 31, 2001 to reflect expenses before reduction to custodian
expenses and voluntary waiver of transfer agent fees.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
61 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Main Street Fund (the Fund) is a separate series of Oppenheimer Main
Street Funds, Inc., an open-end management investment company registered under
the Investment Company Act of 1940, as amended. The Fund's investment objective
is to seek a high total return. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Directors. 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, as 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
62 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
ending at, or most recently prior to, the time when the Fund's assets are
valued. Securities (including restricted securities) for which market quotations
are not readily available are valued at their fair value. Foreign and domestic
securities whose values have been materially affected by what the Manager
identifies as a significant event occurring before the Fund's assets are valued
but after the close of their respective exchanges will be fair valued. Fair
value is determined in good faith using consistently applied procedures under
the supervision of the Board of Directors. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of the New
York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day
the Exchange is open for business. Foreign exchange rates may be valued
primarily using dealer supplied valuations or a portfolio pricing service
authorized by the Board of Directors.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal. In the event of default by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class.
63 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 February 28, 2006, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $146,721,072 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
February 28, 2006, it is estimated that the Fund will utilize $522,391,497 of
capital loss carryforward to offset realized capital gains. During the year
ended August 31, 2005, the Fund did utilize $557,605,412 of capital loss
carryforward to offset capital gains realized in that fiscal year. a
a. Includes $489,935 of capital loss carryforwards acquired in the
September 4, 2003 merger of Oppenheimer Trinity Core Fund.
As of August 31, 2005, the Fund had available for federal income tax purposes
unused capital loss carryforward as follows:
EXPIRING
------------------------
2011 $ 669,112,569
- --------------------------------------------------------------------------------
DIRECTORS' COMPENSATION. The Board of Directors has adopted a deferred
compensation plan for independent directors that enables directors to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Director under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Director. The Fund purchases shares of the funds selected for
deferral by the Director in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of directors' fees under the plan
will not affect the net assets of the Fund, and will not materially affect the
Fund's assets, liabilities
64 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
or net investment income per share. Amounts will be deferred until distributed
in accordance to the Plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income and capital gain distributions, if
any, are declared and paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, 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. At February 28, 2006, the Fund had $1,602 of such earnings on
cash balances available to offset future custodian fees or interest expenses
incurred during the next fiscal year.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
directors and officers with a limited indemnification against liabilities
arising in connection with the performance of their duties to the Fund. In the
normal course of business, the Fund may also enter into contracts that provide
general indemnifications. The Fund's maximum exposure under these arrangements
is unknown as this would be dependent on future claims that may be made against
the Fund. The risk of material loss from such claims is considered remote.
- --------------------------------------------------------------------------------
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.
65 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF CAPITAL STOCK
The Fund has authorized 840 million shares of $.01 par value capital stock of
each class. Transactions in shares of capital stock were as follows:
SIX MONTHS ENDED FEBRUARY 28, 2006 YEAR ENDED AUGUST 31, 2005
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------------
CLASS A
Sold 14,548,765 $ 539,995,702 42,130,880 $ 1,462,992,163
Dividends and/or
distributions reinvested 1,913,779 71,938,942 2,447,641 85,153,420
Redeemed (25,605,696) (952,776,788) (53,958,588) (1,878,899,913)
---------------------------------------------------------------------
Net decrease (9,143,152) $ (340,842,144) (9,380,067) $ (330,754,330)
=====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS B
Sold 2,082,419 $ 75,123,706 6,104,800 $ 205,311,660
Dividends and/or
distributions reinvested 38,326 1,403,129 186,907 6,324,963
Redeemed (12,199,333) (439,138,836) (30,807,076) (1,037,316,528)
---------------------------------------------------------------------
Net decrease (10,078,588) $ (362,612,001) (24,515,369) $ (825,679,905)
=====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS C
Sold 1,325,150 $ 47,698,265 3,496,633 $ 117,639,447
Dividends and/or
distributions reinvested 72,361 2,644,057 155,120 5,247,695
Redeemed (4,227,835) (152,321,540) (8,335,048) (281,540,865)
---------------------------------------------------------------------
Net decrease (2,830,324) $ (101,979,218) (4,683,295) $ (158,653,723)
=====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS N
Sold 1,109,074 $ 40,633,256 1,948,358 $ 66,956,350
Dividends and/or
distributions reinvested 38,592 1,434,091 45,108 1,553,077
Redeemed (925,455) (34,083,274) (1,684,370) (58,207,118)
---------------------------------------------------------------------
Net increase 222,211 $ 7,984,073 309,096 $ 10,302,309
=====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS Y
Sold 4,334,554 $ 162,378,335 11,089,312 $ 389,600,005
Dividends and/or
distributions reinvested 202,236 7,618,220 270,489 9,431,944
Redeemed (1,842,778) (68,141,161) (15,404,677) (537,268,163)
---------------------------------------------------------------------
Net increase (decrease) 2,694,012 $ 101,855,394 (4,044,876) $ (138,236,214)
=====================================================================
- --------------------------------------------------------------------------------
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 February 28, 2006, were as
follows:
PURCHASES SALES
- ------------------------------------------------------------------
Investment securities $ 4,658,085,475 $ 5,397,644,672
66 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILITATES
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 0.65% of the first $200 million of average annual net assets of
the Fund, 0.60% of the next $150 million, 0.55% of the next $150 million, and
0.45% of average annual net assets in excess of $500 million.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended February 28, 2006, the Fund paid
$11,511,705 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the event that the per account fee does not equal or exceed the
applicable minimum fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
periodically 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 periodically 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
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% 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 Directors and its independent directors 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
67 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
such termination. The Distributor's aggregate uncompensated expenses under the
plan at February 28, 2006 for Class B, Class C and Class N shares were
$29,620,181, $34,086,891 and $2,842,386, respectively. Fees incurred by the Fund
under the plans are detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------
February 28, 2006 $ 1,230,962 $ 5,225 $ 1,986,307 $ 41,106 $ 41,727
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit
transfer and shareholder servicing agent fees for all classes to 0.35% of
average annual net assets per class. This undertaking may be amended or
withdrawn at any time.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation or
depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
As of February 28, 2006, the Fund had no outstanding foreign currency
contracts.
68 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
- --------------------------------------------------------------------------------
6. ILLIQUID SECURITIES
As of February 28, 2006, 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 10% 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.
- --------------------------------------------------------------------------------
7. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of U.S.
Treasury obligations or cash, against the loaned securities and maintains
collateral in an amount not less than 100% of the market value of the loaned
securities during the period of the loan. The market value of the loaned
securities is determined at the close of business of the funds and any
additional required collateral is delivered to the Fund on the next business
day. If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the collateral.
Cash collateral is invested in cash equivalents. The Fund retains a portion of
the interest earned from the collateral. The Fund continues to receive the
economic benefit of interest or dividends paid on the securities loaned in the
form of a substitute payment received from the borrower. As of February 28,
2006, the Fund had on loan securities valued at $27,967,782. Collateral of
$28,809,743 was received for the loans, all of which was received in cash and
subsequently invested in approved instruments.
- --------------------------------------------------------------------------------
8. LITIGATION
A complaint was filed as a putative class action against the Manager and the
Transfer Agent (and other defendants) in the U.S. District Court for the
Southern District of New York on January 10, 2005 and was amended on March 4,
2005. The complaint alleged, among other things, that the Manager charged
excessive fees for distribution and other costs, and that by permitting and/or
participating in those actions, the Directors/ Trustees and the Officers of the
funds breached their fiduciary duties to fund shareholders under the Investment
Company Act of 1940 and at common law. The plaintiffs sought unspecified
damages, an accounting of all fees paid, and an award of attorneys' fees and
litigation expenses. Seven of the eight counts in the complaint, including the
claims against certain of the Oppenheimer funds, as nominal defendants, and
against certain present and former Directors, Trustees and Officers of the
funds, and the Distributor, as defendants, were dismissed with prejudice, by
court order dated March 10, 2006, in response to motions to dismiss the suit
that had been filed by the defendants. The remaining count against the Manager
and the Transfer Agent was
69 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET FUND
OPPENHEIMER MAIN STREET FUND (UNDERLYING FUND)
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. LITIGATION Continued
dismissed with prejudice by court order dated April 5, 2006. The time in which
plaintiffs may file an appeal to those decisions has not yet lapsed.
70 | OPPENHEIMER PRINCIPAL PROTECTED MAIN STREET 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 GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In
evaluating trustee nominees, the Committee considers, among other things,
an individual's background, skills, and experience; whether the individual
is an "interested person" as defined in the Investment Company Act of
1940; and whether the individual would be deemed an "audit committee
financial expert" within the meaning of applicable SEC rules. The
Committee also considers whether the individual's background, skills, and
experience will complement the background, skills, and experience of other
nominees and will contribute to the Board. There are no differences in the
manner in which the Committee evaluates nominees for trustees based on
whether the nominee is recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where required, to
shareholders. Recommendations for trustee nominees should, at a minimum,
be accompanied by the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in
a proxy statement concerning the person if he or she was nominated;
and
o the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of February 28, 2006, 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 Principal Protected Trust, consisting of Oppenheimer Principal
Protected Main Street Fund
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: April 19, 2006
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: April 19, 2006
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: April 19, 2006