UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
OPPENHEIMER STRATEGIC INCOME FUND
(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
(Address of principal executive offices) (Zip code)
ROBERT G. ZACK, ESQ.
OPPENHEIMERFUNDS, INC.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: SEPTEMBER 30
Date of reporting period: MARCH 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Media 4.0%
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Oil & Gas 3.4
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Hotels, Restaurants & Leisure 2.2
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Diversified Financial Services 2.1
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Commercial Banks 2.0
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Wireless Telecommunication Services 1.5
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Health Care Providers & Services 1.3
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Containers & Packaging 1.2
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Metals & Mining 1.1
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Electric Utilities 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2006, and are based on net assets.
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PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Corporate Bonds 27.9%
Foreign Government Bonds 21.9
Other Bonds 15.5
Government Agency Bonds 13.8
U.S. Government Bonds 10.5
Cash Equivalents 6.5
Stocks 3.8
Derivatives 0.1
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2006, and are based on the total market value of total investments.
The Fund may invest without limit in below investment-grade securities, which
carry a greater risk that the issue may default on principal or interest
payments, and in foreign securities, which entail higher expenses and risks,
such as currency fluctuation.
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10 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE
FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER CHARGES AND EXPENSES CAREFULLY
BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION
ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US
AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE
PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the "since inception" return for Class
B uses Class A performance for the period after conversion. Class B shares are
subject to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the 1-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
11 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
12 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended March 31, 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
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(10/1/05) (3/31/06) MARCH 31, 2006
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Class A Actual $1,000.00 $1,016.70 $4.64
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Class A Hypothetical 1,000.00 1,020.34 4.64
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Class B Actual 1,000.00 1,015.30 8.58
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Class B Hypothetical 1,000.00 1,016.45 8.58
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Class C Actual 1,000.00 1,012.80 8.47
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Class C Hypothetical 1,000.00 1,016.55 8.48
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Class N Actual 1,000.00 1,017.10 6.76
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Class N Hypothetical 1,000.00 1,018.25 6.76
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Class Y Actual 1,000.00 1,020.60 3.08
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Class Y Hypothetical 1,000.00 1,021.89 3.08
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 182/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended March 31, 2006 are as follows:
CLASS EXPENSE RATIOS
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Class A 0.92%
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Class B 1.70
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Class C 1.68
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Class N 1.34
- --------------------------------------------
Class Y 0.61
14 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS March 31, 2006 / Unaudited
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--2.8%
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Ace Securities Corp., Home Equity Loan Pass-Through
Certificates, Series 2002-HE7, Cl. A2B, 4.998%, 11/25/35 1 $ 2,450,000 $ 2,451,510
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 4.836%, 4/20/08 1 1,450,000 1,451,021
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BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2005-A, Cl. A2, 3.66%, 12/26/07 8,833,327 8,809,182
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Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.:
Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,818,363
Series 2005-1, Cl. A2B, 3.73%, 7/16/07 3,064,896 3,062,375
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Capital One Prime Auto Receivables Trust, Automobile Loan
Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 6,919,000 6,905,626
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Centex Home Equity Co. LLC, Home Equity Loan
Asset-Backed Certificates:
Series 2004-D, Cl. AF1, 2.98%, 4/25/20 102,393 102,088
Series 2005-B, Cl. AF1, 4.02%, 3/26/35 557,811 554,920
Series 2005-C, Cl. AF1, 4.196%, 6/25/35 2,184,967 2,169,924
Series 2005-D, Cl. AF1, 5.04%, 10/25/35 4,935,845 4,908,846
Series 2005-D, Cl. AV2, 5.088%, 10/25/35 1 250,000 250,190
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Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 4,499,494 4,479,582
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CIT Equipment Collateral, Equipment Receivable-Backed Nts.,
Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 426,919 426,558
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CitiFinancial Mortgage Securities, Inc., CMO Home Equity,
Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,110,000 4,950,643
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Citigroup Mortgage Loan Trust, Inc., CMO, Series 2005-WF2,
Cl. AF2, 4.922%, 8/25/35 1 8,502,819 8,420,025
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Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 15,441,000 15,791,552
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Countrywide Asset-Backed Certificates, Inc., Home Equity
Asset-Backed Certificates:
Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 2,543,610 2,528,805
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,711,081
Series 2005-17, Cl. 1AF1, 5.018%, 5/25/36 1 3,448,425 3,450,450
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,143,645
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2004-C, Cl. A2, 2.62%, 6/8/07 898,282 897,825
Series 2005-A, Cl. A2, 3.17%, 9/8/07 2,830,490 2,825,304
Series 2005-B, Cl. A2, 3.75%, 12/8/07 10,198,989 10,177,608
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DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2,
11.96%, 4/15/11 3,4 15,000,000 1,500
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DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 4 3,083,887 541,608
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Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 3,4 2,275,079 28,438
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates:
Series 2003-4, Cl. AF3, 3.531%, 11/25/33 $ 32,156 $ 32,060
Series 2004-3, Cl. AF2, 3.80%, 7/25/34 1 2,542,852 2,534,106
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First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity
Receivables, Series 2005-FF10, Cl. A3, 5.028%, 11/25/35 1 7,200,000 7,204,437
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Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates:
Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,640,000 3,597,840
Series 2005-B, Cl. A2, 3.78%, 9/15/07 8,221,993 8,207,359
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Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized
Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 4 6,138,155 61,382
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Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 3,823,106
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Greenpoint Credit Manufactured Housing Contract Trust,
Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 822,724
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GS Auto Loan Trust, Automobile Loan Asset-Backed Securities,
Series 2005-1, Cl. A2, 4.32%, 5/15/08 12,688,592 12,655,416
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Honda Auto Receivables Owner Trust, Automobile Receivable Obligations:
Series 2005-1, Cl. A2, 3.21%, 5/21/07 721,174 719,963
Series 2005-3, Cl. A2, 3.73%, 10/18/07 4,586,847 4,570,279
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Household Home Equity Loan Trust, Home Equity Loan
Pass-Through Certificates, Series 2005-3, Cl. A1, 5.036%, 1/20/35 1 3,207,966 3,210,880
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Lehman XS Trust, Home Equity Mtg. Pass-Through Certificates:
Series 2005-2, Cl. 2A1B, 3.63%, 8/25/35 1 4,487,716 4,479,665
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 3,432,145 3,419,983
Series 2005-10, Cl. 2-A3B, 5.55%, 12/25/06 3,069,475 3,040,817
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Madison Avenue CDO Ltd., Commercial Debt Obligations,
Series 2A, Cl. C1, 0.293%, 3/24/14 1,4 3,310,088 132,404
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NC Finance Trust, CMO, Home Equity Pass-Through Certificates,
Series 1999-I, Cl. ECFD, 1.079%, 1/25/29 4 4,420,411 1,016,695
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Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.,
Series 2005-C, Cl. A2, 3.99%, 1/15/08 8,007,000 7,975,857
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Onyx Acceptance Owner Trust, Automobile Receivable Obligations,
Series 2005-B, Cl. A2, 4.03%, 4/15/08 2,768,468 2,761,480
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Popular ABS Mortgage Pass-Through Trust, Home Equity
Pass-Through Certificates:
Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1 1,620,000 1,602,427
Series 2005-1, Cl. A F2, 3.914%, 5/25/35 1 990,000 975,856
Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1 1,670,000 1,649,884
Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,810,000 1,799,337
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Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed
Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 3,590,000 3,568,684
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Structured Asset Securities Corp., CMO Pass-Through Certificates,
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 5,159,591 5,128,861
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Structured Asset Securities Corp., Home Equity Obligations,
Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 $ 953,597 $ 947,442
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Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed
Securities, Series 2005-A, Cl. A2, 3.52%, 4/20/07 6,736,181 6,719,924
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Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates,
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 1 1,609,065 1,599,460
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WFS Financial Owner Trust, Automobile Receivable Obligations,
Series 2002-2, Cl. A4, 4.50%, 2/20/10 901,558 902,476
- -----------------------------------------------------------------------------------------------------------------------------
Whole Auto Loan Trust, Automobile Loan Receivable Certificates:
Series 2003-1, Cl. A3B, 1.99%, 5/15/07 330,634 329,773
Series 2004-1, Cl. A2A, 2.59%, 5/15/07 887,091 885,363
-------------
189,234,609
Total Asset- Backed Securities (Cost $224,645,926)
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MORTGAGE-BACKED OBLIGATIONS--14.6%
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Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 1 4,814,000 4,946,152
Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 1 20,755,000 21,362,596
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,687,039 5,775,737
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Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates:
Series 2004-6, Cl. A3, 4.512%, 12/10/42 3,524,000 3,363,748
Series 2005-2, Cl. A4, 4.783%, 7/10/43 1 6,110,000 5,901,706
Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,895,791
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Banc of America Funding Corp., CMO Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 4,113,602 4,054,242
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Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates:
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,598,044 3,635,151
Series 2005-E, Cl. 2A2, 4.978%, 6/25/35 1 856,471 855,454
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Bear Stearns Commercial Mortgage Securities, Inc., Commercial
Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 2,985,000 2,904,296
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Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 8.217%, 6/22/24 5 6,944,520 266,126
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Citigroup Mortgage Loan Trust, Inc., CMO, Series 2006-WF1,
Cl. A2B, 5.536%, 3/1/36 1,311,000 1,311,000
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Citigroup/Deutsche Bank Commercial Mortgage Trust,
Commercial Mtg. Obligations, Series 2005-CD1, Cl. A4, 5.226%, 7/15/44 1 5,730,000 5,620,401
- -----------------------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, CMO:
Series 2004-J9, Cl. 1A1, 4.998%, 10/25/34 1 621,052 621,515
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 8,746,285 8,855,614
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,988,440 2,004,526
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Countrywide Asset-Backed Certificates, Inc., Home Equity
Asset-Backed Certificates, Series 2005-10, Cl. AF1, 4.978%, 2/25/36 1 7,586,015 7,592,020
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Credit Suisse Mortgage Capital Certificates, Commercial Mtg.
Obligations, Series 2006-C1, Cl. A4, 5.609%, 12/12/15 4,820,000 4,811,777
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 5.238%, 10/15/30 1,4 $ 36,400,000 $ 10,850,840
- ------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 4 2,724,066 2,815,154
- ------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 6,543,223 6,256,599
5%, 4/1/36 6 17,996,000 17,124,310
6%, 4/1/17-9/1/24 27,463,374 27,754,833
6.50%, 4/1/18-8/1/32 7,082,276 7,244,511
7%, 3/1/31-10/1/31 5,684,954 5,860,052
7.50%, 2/1/32 1,363,964 1,425,400
8.50%, 8/1/31 956,309 1,030,570
10%, 4/1/20-5/1/20 210,545 231,923
10.50%, 5/1/20 346,014 385,337
11.50%, 10/1/16 278,433 301,723
12%, 5/1/10-6/1/17 800,960 872,540
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Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates:
Series 2368, Cl. TG, 6%, 10/15/16 2,056,399 2,082,268
Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,554,246
Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,018,062
- ------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 2055, Cl. ZM, 6.50%, 5/15/28 2,235,231 2,270,276
Series 2080, Cl. Z, 6.50%, 8/15/28 1,445,392 1,464,508
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,613,738 1,643,141
Series 2387, Cl. PD, 6%, 4/15/30 1,391,342 1,394,512
Series 2456, Cl. BD, 6%, 3/15/30 297,628 297,508
Series 2500, Cl. FD, 5.249%, 3/15/32 1 960,995 966,503
Series 2526, Cl. FE, 5.149%, 6/15/29 1 1,207,015 1,209,774
Series 2551, Cl. FD, 5.149%, 1/15/33 1 943,742 953,731
Series 2583, Cl. KA, 5.50%, 3/15/22 2,647,547 2,645,053
Series 2691, Cl. MG, 4.50%, 10/15/33 12,099,800 10,653,804
Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,630,482
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates,
Series 2173, Cl. Z, 6.50%, 7/15/29 5,519,005 5,640,508
- ------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. B, 11.789%, 7/1/26 5 3,808,066 850,617
Series 183, Cl. IO, 6.65%, 4/1/27 5 1,501,390 347,563
Series 192, Cl. IO, 14.94%, 2/1/28 5 665,903 143,578
Series 200, Cl. IO, 13.371%, 1/1/29 5 783,676 183,206
Series 203, Cl. IO, 4.208%, 6/1/29 5 2,839,496 678,132
Series 204, Cl. IO, (5.801)%, 5/1/29 5 232,029 48,638
Series 205, Cl. IO, 9.658%, 9/1/29 5 3,687,539 878,971
Series 206, Cl. IO, (14.444)%, 12/1/29 5 1,303,077 298,970
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security: Continued
Series 207, Cl. IO, (18.133)%, 4/1/30 5 $ 1,434,842 $ 342,498
Series 208, Cl. IO, (3.908)%, 6/1/30 5 2,476,523 532,884
Series 212, Cl. IO, 6.248%, 5/1/31 5 5,687,512 1,322,988
Series 214, Cl. IO, (11.396)%, 6/1/31 5 1,344,591 320,093
Series 2003-118, Cl. S, 15.59%, 12/25/33 5 10,740,247 1,260,525
Series 2074, Cl. S, 3.755%, 7/17/28 5 863,220 80,069
Series 2079, Cl. S, 3.75%, 7/17/28 5 1,377,451 128,140
Series 2526, Cl. SE, 6.952%, 6/15/29 5 2,156,141 130,874
Series 2819, Cl. S, 4.222%, 6/15/34 5 20,100,951 1,529,300
Series 2920, Cl. S, 5.781%, 1/15/35 5 11,754,697 530,045
Series 3000, Cl. SE, 8.388%, 7/15/25 5 13,811,822 455,280
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/1/19 3,093,442 2,961,515
4.50%, 4/1/21 6 2,000,000 1,912,500
5%, 2/1/18-3/1/34 22,296,980 21,524,171
5%, 4/1/36-5/1/36 6 96,975,000 92,327,696
5.50%, 3/1/33-11/1/34 71,439,825 69,897,243
5.50%, 4/1/21-5/25/36 6 111,006,000 108,838,361
6%, 6/1/16-5/1/33 48,622,045 49,038,766
6.50%, 12/1/28-9/1/32 18,144,546 18,577,208
6.50%, 1/1/34-5/1/36 6 29,023,000 29,576,236
7%, 11/1/17-2/1/36 54,879,207 56,620,079
7%, 4/1/36 6 11,215,000 11,551,450
7.50%, 6/1/10-1/1/33 15,136,249 15,836,042
8.50%, 7/1/32 177,239 191,028
9.50%, 4/1/20-3/15/21 201,493 221,081
11%, 10/15/15-2/1/26 540,275 593,566
13%, 6/1/15 107,795 119,663
15%, 4/15/13 458,221 520,483
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust:
CMO Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T4, Cl. IO, 3.542%, 7/25/41 5 40,121,506 971,707
Commercial Mtg. Obligations, Interest-Only Stripped Mtg.-Backed
Security, Trust 2001-T3, Cl. IO, (1.768)%, 11/25/40 5 23,484,715 397,948
Commercial Mtg. Obligations, Interest-Only Stripped Mtg.-Backed
Security, Trust 2001-T10, Cl. IO, (5.283)%, 12/25/31 5 213,682,156 3,614,348
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 256,613 263,935
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 3,322,275 3,399,899
Trust 2001-50, Cl. NE, 6%, 8/25/30 769,901 774,043
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 235,620 240,946
Trust 2001-70, Cl. LR, 6%, 9/25/30 984,841 988,510
Trust 2001-72, Cl. NH, 6%, 4/25/30 553,121 553,846
Trust 2001-74, Cl. PD, 6%, 5/25/30 224,560 224,358
Trust 2002-19, Cl. PE, 6%, 4/25/17 3,000,000 3,034,610
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates.: Continued
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 $ 6,823,504 $ 6,950,978
Trust 2002-77, Cl. WF, 5.176%, 12/18/32 1 1,380,333 1,391,911
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,809,556
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,687,562
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,356,221
Trust 2003-116, Cl. FA, 5.218%, 11/25/33 1 1,267,289 1,273,414
Trust 2004-38, Cl. FT, 5.248%, 10/25/33 1 10,878,365 10,906,314
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,048,429
Trust 2005-30, Cl. UG, 5%, 4/25/35 2,107,000 1,922,227
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,726,231
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,205,991
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,781,735
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Interest-Only
Stripped Mtg.-Backed Security:
Trust 2002-28, Cl. SA, 4.203%, 4/25/32 5 1,135,308 91,129
Trust 2002-38, Cl. SO, 1.729%, 4/25/32 5 1,018,639 57,572
Trust 2002-39, Cl. SD, 1.401%, 3/18/32 5 1,669,157 143,791
Trust 2002-48, Cl. S, 4.025%, 7/25/32 5 1,806,933 160,352
Trust 2002-52, Cl. SL, 4.229%, 9/25/32 5 1,080,414 107,271
Trust 2002-53, Cl. SK, 1.772%, 4/25/32 5 1,040,803 101,076
Trust 2002-56, Cl. SN, 5.262%, 7/25/32 5 2,477,570 224,600
Trust 2002-77, Cl. IS, 5.099%, 12/18/32 5 1,735,460 163,211
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 221, Cl. 2, 12.045%, 5/1/23 5 1,389,216 322,884
Trust 240, Cl. 2, 20.505%, 9/1/23 5 2,206,709 516,014
Trust 247, Cl. 2, 13.828%, 10/1/23 5 285,102 71,821
Trust 301, Cl. 2, 7.614%, 4/1/29 5 2,218,337 500,536
Trust 303, Cl. IO, 12.837%, 11/1/29 5 1,362,729 329,497
Trust 313, Cl. 2, (9.483)%, 6/1/31 5 7,990,799 2,013,192
Trust 319, Cl. 2, 11.211%, 2/1/32 5 59,837 15,291
Trust 321, Cl. 2, 8.538%, 4/1/32 5 10,722,225 2,727,857
Trust 324, Cl. 2, 4.567%, 7/1/32 5 7,770,843 1,890,689
Trust 327, Cl. 2, 15.881%, 9/1/32 5 203,064 45,727
Trust 329, Cl. 2, 9.796%, 1/1/33 5 16,142,781 3,986,236
Trust 333, Cl. 2, 10.513%, 4/1/33 5 14,709,020 3,655,019
Trust 338, Cl. 2, 9.7%, 7/1/33 5 26,391,474 6,535,647
Trust 2001-61, Cl. SH, 15.478%, 11/18/31 5 6,564,275 587,167
Trust 2001-63, Cl. SD, 7.622%, 12/18/31 5 84,976 7,439
Trust 2001-68, Cl. SC, 7.107%, 11/25/31 5 60,103 5,353
Trust 2001-81, Cl. S, 4.897%, 1/25/32 5 1,623,818 138,132
Trust 2002-9, Cl. MS, 3.972%, 3/25/32 5 2,112,564 190,142
Trust 2002-65, Cl. SC, 2.876%, 6/25/26 5 3,380,078 207,723
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued
Trust 2002-77, Cl. SH, 8.637%, 12/18/32 5 $ 1,921,003 $ 161,978
Trust 2003-4, Cl. S, 15.346%, 2/25/33 5 3,467,151 367,181
Trust 2005-40, Cl. SA, 5.152%, 5/25/35 5 18,143,195 847,610
Trust 2005-40, Cl. SB, 9.719%, 5/25/35 5 7,874,112 359,550
Trust 2005-71, Cl. SA, 12.685%, 8/25/25 5 8,808,185 447,445
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 333, Cl. 1, 4.628%, 4/1/33 7 7,547,635 5,532,348
- ------------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 5,962,086 5,941,252
- ------------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,610,000 1,544,071
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,885,965
- ------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,432,212 1,453,686
Series 1998-C1, Cl. F, 7.07%, 5/15/30 1 2,000,000 2,055,381
Series 2004-C3, Cl. A4, 4.547%, 12/10/41 2,320,000 2,218,447
- ------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
4.75%, 7/20/27 1 13,640 13,753
7%, 1/15/28-1/20/30 3,189,984 3,321,967
8%, 1/15/28-9/15/28 1,562,875 1,672,866
11%, 10/20/19 35,269 38,711
12%, 11/20/13-9/20/15 51,427 57,236
12.50%, 12/15/13-11/15/15 2,014,927 2,230,086
13%, 10/15/15 2,992,447 3,331,795
13.50%, 6/15/15 3,930,195 4,407,267
- ------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates:
Series 1999-32, Cl. ZB, 8%, 9/16/29 9,201,619 9,834,336
Series 2000-7, Cl. Z, 8%, 1/16/30 6,686,571 7,062,202
- ------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-6, Cl. SA, 3.621%, 3/16/28 5 1,685,649 128,915
Series 1998-19, Cl. SB, 2.755%, 7/16/28 5 2,737,807 231,212
- ------------------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,148,208
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,276,256
- -----------------------------------------------------------------------------------------------------------------------------
JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,301,000 11,024,636
- -----------------------------------------------------------------------------------------------------------------------------
JP Morgan Mortgage Trust, CMO Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.741%, 2/25/32 1 8,233,442 8,258,393
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 $ 1,220,000 $ 1,182,222
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,203,145
Series 2006-CB14, Cl. A4, 5.481%, 12/12/44 5,160,000 5,122,278
Series 2006-LDP6, Cl. A4, 5.475%, 4/15/43 5,960,000 5,896,109
- ------------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,644,897
- ------------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates:
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,431,457
Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,456,018
- ------------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., CMO, Series 2002-GE1,
Cl. A, 2.514%, 7/26/24 4 548,013 421,970
- ------------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-6, Cl. 10A1, 6%, 7/25/34 5,813,271 5,779,857
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 4,941,536 4,904,833
- ------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. F, 7.059%, 2/15/28 1,2 1,027,027 1,024,971
Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 11,177,850
- ------------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 9,999,578
- ------------------------------------------------------------------------------------------------------------------------------
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural
Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 3,4 624,465 --
Series 1992-2, Cl. B3, 10.475%, 4/15/09 1,4 626,057 196
- ------------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg.
Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 409,068
- ------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., CMO:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 703,278 709,427
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 746,866 762,585
- ------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1996-C1, Cl. F, 7.878%, 1/20/28 1,4 2,318,350 927,340
- ------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,408,492
- ------------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, 1.587%, 9/15/22 5 20,342,344 546,422
Series 1995-2B, Cl. 2IO, (0.231)%, 6/15/25 5 1,463,559 35,287
Series 1995-3, Cl. 1IO, (14.339)%, 9/15/25 5 47,679,988 493,497
- ------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations:
Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,675,016
Series 2005-C20, Cl. A5, 5.087%, 7/15/42 1 3,570,000 3,492,208
- ------------------------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., CMO Pass-Through Certificates:
Series 2005-AR5, Cl. A1, 4.678%, 5/25/35 1 3,740,178 3,733,632
Series 2005-AR8, Cl. 2AB1, 5.068%, 7/25/45 1 4,681,918 4,685,565
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities Trust, CMO,
Series 2004-DD, Cl. 2A1, 5.518%, 1/25/35 1 $ 1,640,026 $ 1,631,525
---------------
Total Mortgage-Backed Obligations (Cost $1,019,671,594) 991,653,764
- -----------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--11.1%
- -----------------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8,9,10 61,690,000 57,161,275
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 150,000 146,371
- -----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
3.625%, 9/15/06 17,750,000 17,638,548
4.125%, 7/12/10 9 3,100,000 2,982,634
5.125%, 4/18/11 3,370,000 3,368,436
- -----------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4%, 2/28/07 335,000 331,713
4.25%, 7/15/07 9 505,000 499,714
4.75%, 12/15/10 9 12,875,000 12,668,717
6%, 5/15/08 11 15,044,000 15,329,535
6%, 5/15/11 9 21,200,000 22,002,568
6.625%, 9/15/09 9,11 30,056,000 31,466,378
7.25%, 5/15/30 9 6,706,000 8,447,099
- -----------------------------------------------------------------------------------------------------------------------------
Freddie Mac, Unsec. Reference Nts., 6%, 6/15/11 9 63,370,000 65,855,308
- -----------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. STRIPS, 6.13%, 1/15/21 8,9 51,220,000 23,773,609
- -----------------------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds:
4.65%, 6/15/35 9 3,990,000 3,586,463
5.88%, 4/1/36 8,685,000 9,334,603
Series A, 6.79%, 5/23/12 83,068,000 89,962,312
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bills:
4.375%, 5/11/06 9 229,500,000 228,389,475
4.44%, 5/18/06 9 145,635,000 144,781,860
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.50%, 8/15/28 9,11 152,000 161,084
7.25%, 5/15/16 9,12 2,734,000 3,234,237
STRIPS, 4.94%, 2/15/16 8,11 23,586,000 14,530,839
---------------
Total U.S. Government Obligations (Cost $761,990,393) 755,652,778
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--23.3%
- -----------------------------------------------------------------------------------------------------------------------------
ARGENTINA--1.2%
Argentina (Republic of) Bonds:
1.20%, 12/31/38 1 [EUR] 8,670,000 3,979,450
2%, 9/30/14 4 [ARP] 13,011,900 4,362,814
4.889%, 8/3/12 1 57,154,125 53,160,195
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Discount Bonds:
7.82%, 12/31/33 [EUR] 6,069,946 $ 7,091,093
8.28%, 12/31/33 6,016,869 5,926,616
- -----------------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 3,4 [ARP] 414,832 175,806
- -----------------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina Bonds, 2%, 2/4/18 4 [ARP] 18,068,879 8,854,850
---------------
83,550,824
- -----------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--0.9%
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 84,000,000 61,052,805
- -----------------------------------------------------------------------------------------------------------------------------
AUSTRIA--1.6%
Austria (Republic of) Nts., 3.80%, 10/20/13 2 [EUR] 89,765,000 109,253,354
- -----------------------------------------------------------------------------------------------------------------------------
BELGIUM--0.5%
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 25,650,000 36,101,105
- -----------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.1%
Brazil (Federal Republic of) Bonds:
7.125%, 1/20/37 5,880,000 5,777,100
8.25%, 1/20/34 5,880,000 6,494,460
8.75%, 2/4/25 28,995,000 33,271,763
8.875%, 10/14/19 8,315,000 9,624,613
Series 15 yr., 5.25%, 4/15/09 1 100,891 100,954
- -----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 14,920,000 16,143,440
---------------
71,412,330
- -----------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.2%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,080,000 8,310,150
8.25%, 1/15/15 2 6,790,000 7,969,763
---------------
16,279,913
- -----------------------------------------------------------------------------------------------------------------------------
COLOMBIA--1.2%
Colombia (Republic of) Bonds:
10.375%, 1/28/33 2,950,000 4,122,625
10.75%, 1/15/13 8,000,000 9,980,000
12%, 10/22/15 [COP] 24,752,000,000 13,626,018
- -----------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts.:
8.25%, 12/22/14 6,718,000 7,591,340
11.75%, 3/1/10 [COP] 23,854,260,000 12,022,616
- -----------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 32,220,000 36,247,500
---------------
83,590,099
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.1%
Dominican Republic Unsec. Unsub. Bonds:
Series REG S, 9.04%, 1/23/18 $ 4,523,253 $ 4,925,822
Series REG S, 9.50%, 9/27/11 3,753,323 4,053,589
---------------
8,979,411
- -----------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.1%
El Salvador (Republic of) Bonds, 7.625%, 9/21/34 2 4,802,000 5,246,185
- -----------------------------------------------------------------------------------------------------------------------------
FRANCE--0.6%
France (Government of) Obligations Assimilables du Tresor Bonds,
4%, 4/25/55 [EUR] 9,470,000 11,526,780
- -----------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Bills, 2.54%, 6/1/06 8 [EUR] 26,590,000 32,088,031
---------------
43,614,811
- -----------------------------------------------------------------------------------------------------------------------------
GERMANY--0.4%
Germany (Republic of) Bonds, Series 99, 4%, 7/4/09 [EUR] 22,175,000 27,325,733
- -----------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 2 2,972,000 3,551,540
10.25%, 11/8/11 1,205,000 1,439,975
---------------
4,991,515
- -----------------------------------------------------------------------------------------------------------------------------
INDONESIA--0.3%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 2 2,670,000 2,649,975
7.25%, 4/20/15 2 4,450,000 4,550,125
- -----------------------------------------------------------------------------------------------------------------------------
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 11,250,000 12,501,563
---------------
19,701,663
- -----------------------------------------------------------------------------------------------------------------------------
ISRAEL--0.3%
Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 22,817,680
- -----------------------------------------------------------------------------------------------------------------------------
ITALY--1.2%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali,
4.25%, 2/1/19 [EUR] 66,605,000 82,039,460
- -----------------------------------------------------------------------------------------------------------------------------
JAPAN--2.4%
Japan (Government of) Bonds:
2 yr., Series 237, 0.20%, 10/15/07 [JPY] 15,584,000,000 131,731,804
20 yr., Series 81, 2%, 9/20/25 [JPY] 3,427,000,000 28,953,928
---------------
160,685,732
- -----------------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.4%
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 [MYR] 57,058,000 16,808,648
- -----------------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,386,064
---------------
24,194,712
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MEXICO--2.1%
Mexican Williams Sr. Nts., 5.30%, 11/15/08 1,4 $ 1,500,000 $ 1,545,938
- -----------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
5.625%, 1/15/17 4 12,325,000 12,053,850
7.50%, 4/8/33 10,622,000 11,870,085
11.375%, 9/15/16 45,000 63,540
Series B1, 9%, 4/12/06 8 [MXN] 58,460,000 5,345,436
Series M10, 10.50%, 7/14/11 1 [MXN] 199,100,000 21,126,144
Series M20, 8%, 12/7/23 1 [MXN] 204,981,200 17,811,942
Series MI10, 8%, 12/19/13 [MXN] 139,519,000 12,582,898
Series MI10, 9.50%, 12/18/14 1 [MXN] 158,044,700 15,517,261
Series M20, 10%, 12/5/24 1 [MXN] 100,065,000 10,352,947
- -----------------------------------------------------------------------------------------------------------------------------
United Mexican States Nts., 8.375%, 1/14/11 22,280,000 24,741,940
- -----------------------------------------------------------------------------------------------------------------------------
United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,411,000,000 12,119,975
---------------
145,131,956
- -----------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,585,000 3,585,000
- -----------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,610,440 2,360,749
---------------
5,945,749
- -----------------------------------------------------------------------------------------------------------------------------
PANAMA--0.5%
Panama (Republic of) Bonds:
6.70%, 1/26/36 27,455,000 27,537,365
9.375%, 4/1/29 5,500,000 6,998,750
---------------
34,536,115
- -----------------------------------------------------------------------------------------------------------------------------
PERU--1.4%
Peru (Republic of) Bonds:
7.35%, 7/21/25 9,640,000 9,519,500
7.84%, 8/12/20 [PEN] 113,790,000 32,464,984
8.375%, 5/3/16 3,210,000 3,498,900
9.91%, 5/5/15 [PEN] 54,017,000 17,992,572
Series 2, 9%, 1/31/12 [PEN] 9,590,000 3,049,727
Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 7,404,969
Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 3,826,436
- -----------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,106,000 1,056,230
- -----------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 24,870,549 12,842,405
- -----------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 60,000 67,200
---------------
91,722,923
- -----------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.4%
Philippines (Republic of) Bonds:
8%, 1/15/16 7,200,000 7,776,000
8.375%, 2/15/11 6,506,000 7,067,617
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
PHILIPPINES Continued
Philippines (Republic of) Nts., 8.25%, 1/15/14 $ 8,841,000 $ 9,625,639
---------------
24,469,256
- -----------------------------------------------------------------------------------------------------------------------------
POLAND--0.4%
Poland (Republic of) Bonds:
Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,416,817
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,843,764
- -----------------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Nts., Series 0K0807, 4.19%, 8/12/07 8 [PLZ] 36,350,000 10,632,202
---------------
24,892,783
- -----------------------------------------------------------------------------------------------------------------------------
RUSSIA--0.8%
Aries Vermoegensverwaltungs GmbH Unsub. Nts.:
Series B, 7.75%, 10/25/09 2 [EUR] 6,050,000 8,204,210
Series C, 9.60%, 10/25/14 36,000,000 45,004,140
- -----------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Nts., 12.75%, 6/24/28 745,000 1,331,688
- -----------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsub. Nts., 5%, 3/31/30 1 2,575,000 2,822,844
---------------
57,362,882
- -----------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA--0.8%
South Africa (Republic of) Bonds:
Series 153, 13%, 8/31/10 [ZAR] 13,830,000 2,716,561
Series R157, 13.50%, 9/15/15 [ZAR] 78,340,000 17,791,684
Series R186, 10.50%, 12/21/26 [ZAR] 101,878,000 22,245,175
Series R203, 8.25%, 9/15/17 [ZAR] 23,964,000 4,104,586
Series R204, 8%, 12/21/18 [ZAR] 24,668,000 4,165,952
---------------
51,023,958
- -----------------------------------------------------------------------------------------------------------------------------
SPAIN--0.1%
Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado, 6%,
1/31/29 [EUR] 2,050,000 3,208,122
- -----------------------------------------------------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills, 6/23/06 [EUR] 3,530,000 4,252,722
---------------
7,460,844
- -----------------------------------------------------------------------------------------------------------------------------
TURKEY--0.6%
Turkey (Republic of) Bonds, 6.875%, 3/17/36 4,840,000 4,694,800
- -----------------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts., 7.25%, 3/15/15 35,035,000 36,655,369
---------------
41,350,169
- -----------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--2.3%
United Kingdom Treasury Bonds, 6%, 12/7/28 [GBP] 34,440,000 75,661,850
- -----------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 44,885,000 76,980,695
---------------
152,642,545
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
URUGUAY--0.3%
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 $ 4,835,000 $ 4,859,175
- -----------------------------------------------------------------------------------------------------------------------------
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 17,005,000 17,855,250
--------------
22,714,425
- -----------------------------------------------------------------------------------------------------------------------------
VENEZUELA--0.9%
Venezuela (Republic of) Bonds, 9.25%, 9/15/27 36,685,000 46,700,005
- -----------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Nts., 7%, 3/16/15 [EUR] 11,640,000 15,431,978
--------------
62,131,983
--------------
Total Foreign Government Obligations (Cost $1,547,169,500) 1,582,222,920
- -----------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.1%
- -----------------------------------------------------------------------------------------------------------------------------
Algeria (Republic of) Loan Participation Nts., 5.813%, 3/4/10 1,4
(Cost $5,114,054) 5,498,913 5,478,292
- -----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.7%
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--8.9%
- -----------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.5%
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,029,000 1,927,550
- -----------------------------------------------------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3 652,000 453,140
- -----------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 7,731,000 7,595,708
9% Sr. Unsec. Nts., 7/1/15 6,000,000 6,120,000
- -----------------------------------------------------------------------------------------------------------------------------
Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 1,000,000 880,000
- -----------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 3,437,070
- -----------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,071,255
10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,438,660
- -----------------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,649,000
- -----------------------------------------------------------------------------------------------------------------------------
Visteon Corp.:
7% Sr. Unsec. Nts., 3/10/14 2,975,000 2,305,625
8.25% Sr. Unsec. Nts., 8/1/10 5,100,000 4,233,000
--------------
36,111,008
- -----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.8%
Ford Motor Co., 7.45% Bonds, 7/16/31 2,700,000 2,018,250
- -----------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
5.625% Nts., 10/1/08 5,400,000 4,941,043
5.80% Sr. Unsec. Nts., 1/12/09 800,000 731,058
7.25% Nts., 10/25/11 2,000,000 1,824,476
7.375% Nts., 10/28/09 14,550,000 13,689,353
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES Continued
General Motors Acceptance Corp.:
6.875% Nts., 9/15/11 $ 4,600,000 $ 4,292,292
7.25% Nts., 3/2/11 3,500,000 3,320,093
8% Bonds, 11/1/31 13,600,000 12,887,034
- -----------------------------------------------------------------------------------------------------------------------------
General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 1,400,000 1,032,500
- -----------------------------------------------------------------------------------------------------------------------------
Hertz Corp.:
8.875% Sr. Nts., 1/1/14 2 3,540,000 3,690,450
10.50% Sr. Sub. Nts., 1/1/16 2 2,455,000 2,675,950
--------------
51,102,499
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTORS--0.0%
SGS International, Inc., 12% Sr. Sub. Nts., 12/15/13 2 3,275,000 3,381,438
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.0%
Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 150,000 154,875
- -----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.2%
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4 5,093,000 5,016,605
- -----------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,353,212
- -----------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,897,035
- -----------------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 4,895,000 4,895,000
- -----------------------------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,462,730
- -----------------------------------------------------------------------------------------------------------------------------
French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2,6 3,200,000 3,200,000
- -----------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,900,000 1,990,250
- -----------------------------------------------------------------------------------------------------------------------------
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 4,915,000 5,087,025
- -----------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,445,413
- -----------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 2,006,835
9% Sr. Sub. Nts., 3/15/12 7,132,000 7,604,495
- -----------------------------------------------------------------------------------------------------------------------------
Kerzner International Ltd., 6.75% Sr. Unsec. Sub. Nts., 10/1/15 2,235,000 2,363,513
- -----------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,673,300
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,415,458
- -----------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
6.75% Sr. Nts., 4/1/13 2,6 3,200,000 3,200,000
8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,476,600
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,255,500
- -----------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,655,388
6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,327,000
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,327,088
8% Sr. Sub. Nts., 4/1/12 2,950,000 3,104,875
- -----------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,339,000 8,901,883
- -----------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,673,325
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 $ 6,850,000 $ 7,209,625
- -----------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,3 10,800,000 --
- -----------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 5,426,000 5,432,783
9.625% Sr. Nts., 6/1/14 1,368,000 1,385,100
9.75% Sr. Nts., 4/15/13 1,650,000 1,670,625
- -----------------------------------------------------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,102,000 8,851,435
- -----------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,725,000 10,657,969
6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,595,800
- -----------------------------------------------------------------------------------------------------------------------------
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,406,500
- -----------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,272,735
- -----------------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,500,000 1,488,750
- -----------------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,303,000 11,034,554
--------------
150,338,406
- -----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.4%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,840,738
- -----------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,085,096
- -----------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,943,150
- -----------------------------------------------------------------------------------------------------------------------------
KB Home:
8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,621,809
9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,261,500
- -----------------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,971,000 2,069,550
- -----------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 2,083,219
- -----------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,016,438
- -----------------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,650,325
- -----------------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,565,013
--------------
30,136,838
- -----------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 1,650,000 1,666,500
- -----------------------------------------------------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 4 2,220,000 2,447,550
- -----------------------------------------------------------------------------------------------------------------------------
Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,964,775
--------------
6,078,825
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA--4.0%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3 1,400,000 819,000
8.125% Sr. Nts., Series B, 7/15/03 3 2,325,000 1,395,000
8.375% Sr. Nts., Series B, 2/1/08 3 4,236,000 2,520,420
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
Adelphia Communications Corp.: Continued
9.25% Sr. Unsec. Nts., Series B, 10/1/02 3 $ 6,065,000 $ 3,548,025
9.875% Sr. Nts., Series B, 3/1/07 3 1,800,000 1,071,000
10.25% Sr. Unsec. Sub. Nts., 6/15/11 3 800,000 508,000
10.875% Sr. Unsec. Nts., 10/1/10 3 200,000 119,000
- -----------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,288,460
- -----------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,391,125
9.50% Sr. Unsec. Sub. Nts., 2/1/11 3,409,000 3,332,298
- -----------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 838,500
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 3,750,000 3,412,500
- -----------------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 2 2,290,000 2,255,650
- -----------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings I LLC, 0%/11.75% Sr. Unsec. Unsub. Nts., 5/15/14 14 2,932,000 1,539,300
- -----------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings II LLC, 10.25% Sr. Unsec. Nts., 9/15/10 1,300,000 1,283,750
- -----------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings II LLC/Charter Communications
Holdings II Capital Corp., 10.25% Sr. Nts., 9/15/10 2 6,345,000 6,249,825
- -----------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/Charter Communications
Holdings Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 2 21,129,000 21,181,823
- -----------------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 2,229,000 2,379,458
- -----------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 14 5,629,000 4,334,330
- -----------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 7,469,000 7,543,690
- -----------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,547,400
- -----------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,509,000 2,665,813
9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,923,949
- -----------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc.:
0%/9% Unsec. Disc. Nts., 11/15/13 14 3,600,000 3,060,000
8% Unsec. Nts., 11/15/13 14,633,000 15,145,155
- -----------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates, Series 6-T1,
8.625%, 6/29/11 2,6 35,670,000 35,536,238
- -----------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
6.625% Sr. Unsec. Nts., 10/1/14 4,388,000 4,261,845
7.125% Sr. Nts., 2/1/16 2 2,200,000 2,175,250
- -----------------------------------------------------------------------------------------------------------------------------
Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 3,996,000 3,876,120
- -----------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,973,125
- -----------------------------------------------------------------------------------------------------------------------------
Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 648,000 605,880
- -----------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Unsec. Sub. Nts., 8/15/15 5,553,000 5,553,000
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,854,000
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 $ 3,233,000 $ 3,055,185
- -----------------------------------------------------------------------------------------------------------------------------
LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 4 1,350,000 1,464,750
- -----------------------------------------------------------------------------------------------------------------------------
Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 14 5,500,000 3,602,500
- -----------------------------------------------------------------------------------------------------------------------------
Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50% Sr. Nts., 10/15/15 1,895,000 1,828,675
- -----------------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 5,355,000 5,328,225
- -----------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc., 6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,464,625
- -----------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 10.777% Sr. Sec. Nts., 1/15/13 1,2 4,225,000 4,203,875
- -----------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 5,317,000 4,891,640
8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,683,640
- -----------------------------------------------------------------------------------------------------------------------------
Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,600,000 1,568,458
- -----------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp.:
6.875% Sr. Disc. Nts., 1/15/13 2 5,615,000 5,278,100
6.875% Sr. Disc. Nts., Series A-2, 1/15/13 2 10,155,000 9,545,700
6.875% Sr. Nts., 1/15/13 6,800,000 6,392,000
8.875% Sr. Nts., Series A-3, 1/15/16 2 10,310,000 10,773,950
- -----------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 2 4,340,000 4,833,675
- -----------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,156,560
- -----------------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,999,000 2,138,930
- -----------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,570,859
- -----------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 12,475,000 12,786,875
8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,161,875
- -----------------------------------------------------------------------------------------------------------------------------
Vertis, Inc.:
9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,775,980
10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,600,000 3,555,000
- -----------------------------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 14 8,085,000 5,993,006
--------------
270,243,012
- -----------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.3%
Bon-Ton Stores, Inc. (The), 10.25% Sr. Nts., 3/15/14 2 8,500,000 8,219,500
- -----------------------------------------------------------------------------------------------------------------------------
Neiman Marcus Group, Inc.:
9% Sr. Nts., 10/15/15 2 6,770,000 7,193,125
10.375% Sr. Sub. Nts., 10/15/15 2 2,060,000 2,199,050
--------------
17,611,675
- -----------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.3%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 6,034,350
- -----------------------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 952,500
- -----------------------------------------------------------------------------------------------------------------------------
Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,218,873
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL Continued
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 3,4 $ 4,300,000 $ --
- -----------------------------------------------------------------------------------------------------------------------------
Linens `N Things, Inc., 10.366% Sr. Sec. Nts., 1/15/14 1,2 3,335,000 3,360,013
- -----------------------------------------------------------------------------------------------------------------------------
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 4 3,851,000 4,149,453
- -----------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,658,250
---------------
19,373,439
- -----------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 5,830,000 6,267,250
- -----------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
9.28% Sr. Unsec. Unsub. Nts., 4/1/12 1 4,570,000 4,752,800
9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,888,000 4,111,560
- -----------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 4 1,650,000 1,707,750
- -----------------------------------------------------------------------------------------------------------------------------
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,865,000 2,800,538
- -----------------------------------------------------------------------------------------------------------------------------
Russell Corp., 9.25% Sr. Nts., 5/1/10 2,507,000 2,613,548
---------------
22,253,446
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.0%
- -----------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 4 1,300,000 1,319,500
- -----------------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,133,844
---------------
3,453,344
- -----------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.2%
Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,997,000 6,454,733
- -----------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 3,4 8,836,185 --
- -----------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,900,776
9.50% Sr. Sec. Nts., 2/15/11 3,225,000 3,418,500
---------------
13,774,009
- -----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.5%
American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 4,525,000 4,754,101
- -----------------------------------------------------------------------------------------------------------------------------
Del Monte Corp.:
6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,298,500
8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,197,244
- -----------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co.:
10.625% Sr. Unsec. Sub. Nts., 11/15/15 2,880,000 3,067,200
10.75% Sr. Nts., 3/1/10 7,892,000 8,582,550
- -----------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,838,000 1,856,380
8.875% Sr. Unsec. Nts., 3/15/11 623,000 619,885
- -----------------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 2,300,000 2,259,750
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS Continued
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 $ 3,336,000 $ 3,419,400
8% Sr. Nts., Series B, 10/15/09 1,300,000 1,361,750
- -----------------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 4 [GBP] 4,351,000 7,979,958
---------------
39,396,718
- -----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.1%
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,977,500
- -----------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 3,092,000 3,285,250
9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,588,000 3,767,400
---------------
9,030,150
- -----------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.1%
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 3,800,000 3,914,000
- -----------------------------------------------------------------------------------------------------------------------------
ENERGY--3.5%
- -----------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.1%
Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,829,000 1,920,450
- -----------------------------------------------------------------------------------------------------------------------------
Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,159,125
- -----------------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 829,193
- -----------------------------------------------------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,025,000 2,133,844
- -----------------------------------------------------------------------------------------------------------------------------
RathGibson, Inc., 11.25% Sr. Nts., 2/15/14 2 1,590,000 1,669,500
- -----------------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,346,620
---------------
11,058,732
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--3.4%
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,272,798
- -----------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125% Sr. Nts., 12/15/15 2 1,635,000 1,712,663
- -----------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 1,977,500
6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,553,913
- -----------------------------------------------------------------------------------------------------------------------------
Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 1,270,000 1,200,150
- -----------------------------------------------------------------------------------------------------------------------------
Compton Petroleum Finance Corp.:
7.625% Sr. Nts., 12/1/13 3,790,000 3,808,950
7.625% Sr. Nts., 12/1/13 2,6 2,555,000 2,567,775
- -----------------------------------------------------------------------------------------------------------------------------
Copano Energy LLC, 8.125% Sr. Nts., 3/1/16 2 950,000 988,000
- -----------------------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 6,140,000 6,423,975
- -----------------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,608,855
- -----------------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,377,098
- -----------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,703,875
- -----------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 918,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 $ 2,775,000 $ 2,781,938
- -----------------------------------------------------------------------------------------------------------------------------
Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 9,131,000 9,556,550
- -----------------------------------------------------------------------------------------------------------------------------
Inergy LP/Inergy Finance Corp., 8.25% Sr. Nts., 3/1/16 2 1,535,000 1,581,050
- -----------------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.875% Sr. Nts., 12/15/13 2 1,620,000 1,595,700
- -----------------------------------------------------------------------------------------------------------------------------
National Gas Co., 6.05% Nts., 1/15/36 2 8,195,000 7,891,408
- -----------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co.:
6.625% Sr. Unsec. Sub. Nts., 9/1/14 200,000 201,500
8.375% Sr. Sub. Nts., 8/15/12 3,129,000 3,363,675
- -----------------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec. Nts., 9/15/15 640,000 627,200
- -----------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,444,540
- -----------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,267,270
8.50% Unsub. Nts., 2/15/08 3,586,000 3,762,611
9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 8,733,615
- -----------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 27,918,427 27,309,080
- -----------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,892,137
- -----------------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 3,200,000 3,176,000
- -----------------------------------------------------------------------------------------------------------------------------
Range Resources Corp., 6.375% Sr. Sub. Nts., 3/15/15 1,665,000 1,648,350
- -----------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 5,502,000 5,687,043
8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,772,725
8.875% Sr. Nts., 3/15/10 2,599,000 2,777,681
- -----------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 2,961,000
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,010,000
- -----------------------------------------------------------------------------------------------------------------------------
Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,265,000 3,411,925
- -----------------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,127,125
- -----------------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 17,587,000 17,587,000
- -----------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 13,526,000 14,477,676
- -----------------------------------------------------------------------------------------------------------------------------
Tesoro Corp.:
6.25% Sr. Nts., 11/1/12 2 2,450,000 2,419,375
6.625% Sr. Nts., 11/1/15 2 3,750,000 3,731,250
- -----------------------------------------------------------------------------------------------------------------------------
Titan Petrochemicals Group Ltd., 8.50% Sr. Unsec. Nts., 3/18/12 2 6,066,000 5,732,370
- -----------------------------------------------------------------------------------------------------------------------------
Whiting Petroleum Corp., 7.25% Sr. Sub. Nts., 5/1/12 2,000,000 2,002,500
- -----------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 13,462,000 13,916,343
7.625% Nts., 7/15/19 1,600,000 1,712,000
8.75% Unsec. Nts., 3/15/32 3,825,000 4,494,375
- -----------------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,111,000
---------------
228,877,564
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIALS--4.7%
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.2%
Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 4,981,000 $ 5,504,005
- -----------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 4 800,000 576,000
- -----------------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp.:
7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,004,900
8% Sr. Nts., 6/15/11 2,710,000 2,828,563
---------------
10,913,468
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.0%
Banco BMG SA, 9.15% Nts., 1/15/16 4 16,590,000 16,984,013
- -----------------------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4 4,012,000 4,312,900
- -----------------------------------------------------------------------------------------------------------------------------
Bankunited Capital Trust, 10.25% Capital Securities, 12/31/26 4 9,675,000 10,473,188
- -----------------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
9.75% Sr. Unsec. Nts., 7/8/09 8 16,420,000 12,530,923
11.60% Sr. Unsec. Nts., 1/12/10 8 21,550,000 14,260,066
12.28% Sr. Unsec. Nts., 3/9/09 8 16,420,000 11,683,158
- -----------------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,092,070
8.81% Nts., 1/25/12 1 [COP] 7,695,428,597 3,640,441
- -----------------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA, Bank of Moscow, 7.375% Nts., 11/26/10 4 12,565,000 12,941,950
- -----------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 3,4 4,970,000 --
- -----------------------------------------------------------------------------------------------------------------------------
UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,036,308
- -----------------------------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 20,590,000 20,512,788
- -----------------------------------------------------------------------------------------------------------------------------
Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,958,000 4,462,645
---------------
132,930,450
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--2.1%
Affinia Group, Inc., 9% Sr. Unsec. Sub. Nts., 11/30/14 1,675,000 1,448,875
- -----------------------------------------------------------------------------------------------------------------------------
Argentine Beverages Financial Trust, 7.375% Bonds, 3/22/12 2 3,640,000 3,621,800
- -----------------------------------------------------------------------------------------------------------------------------
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 4 7,490,000 7,490,000
- -----------------------------------------------------------------------------------------------------------------------------
Cloverie plc, 9.18% Sec. Nts., Series 2005-93, 12/20/10 1,4 6,400,000 6,408,000
- -----------------------------------------------------------------------------------------------------------------------------
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp.:
0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 1 4 3,290,000 2,566,200
9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,620,213
- -----------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates, Series 4-T1, 8.25%, 6/29/10 2 88,261,270 89,695,516
- -----------------------------------------------------------------------------------------------------------------------------
European Investment Bank, 1.90% Sr. Unsec. Nts., 1/26/26 [JPY] 1,292,000,000 10,667,507
- -----------------------------------------------------------------------------------------------------------------------------
JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,905,875
- -----------------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 8,535,000 8,513,663
- -----------------------------------------------------------------------------------------------------------------------------
Redwood Capital VII Ltd., 9.90% Nts., 1/9/08 1 500,000 494,830
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Tiers-BSP (Bangko Sentral ng Pilipinas), 0%/8.60% Collateralized Trust, 6/15/97 4,14 $ 14,015,000 $ 4,730,063
- -----------------------------------------------------------------------------------------------------------------------------
Universal City Florida:
8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,012,500
9.43% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,020,000
---------------
145,195,042
- -----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.3%
American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 1,900,000 1,957,000
- -----------------------------------------------------------------------------------------------------------------------------
Felcor Lodging LP, 9% Sr. Nts., 6/1/11 4,011,000 4,412,100
- -----------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 707,000 715,838
- -----------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,781,969
- -----------------------------------------------------------------------------------------------------------------------------
MeriStar Hospitality Corp., 9.125% Sr. Unsec. Nts., 1/15/11 5,133,000 5,967,113
- -----------------------------------------------------------------------------------------------------------------------------
Trustreet Properties, Inc., 7.50% Sr. Unsec. Nts., 4/1/15 4,100,000 4,130,750
---------------
20,964,770
- -----------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.1%
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,054,000 5,331,970
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.4%
- -----------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.0%
Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 2 1,605,000 1,629,075
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.1%
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2,000,000 1,980,000
- -----------------------------------------------------------------------------------------------------------------------------
Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4 3,995,000 4,234,700
- -----------------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,459,258
---------------
8,673,958
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.3%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 4 2,796,000 2,963,760
- -----------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,146,186
- -----------------------------------------------------------------------------------------------------------------------------
DaVita, Inc.:
6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,338,325
7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,312,600
- -----------------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,397,250
9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,047,151
- -----------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,178,843
- -----------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,108,642
- -----------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 2,888,000 3,075,720
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 $ 1,450,000 $ 1,540,625
- -----------------------------------------------------------------------------------------------------------------------------
HCA, Inc.:
6.30% Sr. Unsec. Nts., 10/1/12 10,407,000 10,209,715
6.375% Nts., 1/15/15 10,798,000 10,563,413
- -----------------------------------------------------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,577,000 2,718,520
- -----------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc.:
6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,295,000
6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,624,050
- -----------------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,641,113
- -----------------------------------------------------------------------------------------------------------------------------
Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 4 5,406,000 5,649,270
- -----------------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 4,835,000 4,387,763
- -----------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 4,070,000 3,693,525
7.375% Nts., 2/1/13 118,000 108,265
9.875% Sr. Nts., 7/1/14 9,484,000 9,649,970
- -----------------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 2,485,000 2,460,150
- -----------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc.:
9% Sr. Unsec. Nts., 8/15/12 100,000 104,000
10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 109,750
- -----------------------------------------------------------------------------------------------------------------------------
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 14 5,600,000 4,116,000
---------------
86,439,606
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.9%
- -----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,248,000
- -----------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 1,500,000 1,601,250
8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,139,115
- -----------------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc.:
6.625% Sr. Nts., 2/1/16 3,735,000 3,735,000
7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,148,850
- -----------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,886,493
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,759,500
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,192,850
7.625% Sr. Sub. Nts., 6/15/12 600,000 622,500
- -----------------------------------------------------------------------------------------------------------------------------
TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 3,184,000 3,343,200
- -----------------------------------------------------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 2,024,000 2,198,570
11% Sr. Sub. Nts., 2/15/13 1,720,000 1,930,700
---------------
27,806,028
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0%
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4 $ 11,115,000 $ 500,175
- -----------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.2%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,513,468
- -----------------------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,060,000 2,044,550
- -----------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,253,000 2,427,608
- -----------------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,914,125
---------------
9,899,751
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.5%
Allied Waste North America, Inc.:
7.25% Sr. Nts., 3/15/15 815,000 835,375
7.375% Sr. Sec. Nts., Series B, 4/15/14 4,800,000 4,776,000
8.875% Sr. Nts., Series B, 4/1/08 9,935,000 10,481,425
9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 289,361
- -----------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 3,4 3,462,000 --
- -----------------------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,144,000
- -----------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 3,011,000 3,029,819
- -----------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,297,481
7.50% Sr. Nts., 5/1/11 1,500,000 1,552,500
- -----------------------------------------------------------------------------------------------------------------------------
Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 4,880,000 5,276,500
---------------
32,682,461
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.2%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 569,250
- -----------------------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,021,880
- -----------------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 4 [BRR] 8,285,000 4,278,414
- -----------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,585,798
---------------
9,455,342
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 2 950,000 1,002,250
- -----------------------------------------------------------------------------------------------------------------------------
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 338,400
---------------
1,340,650
- -----------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.3%
Case New Holland, Inc., 7.125% Sr. Nts., 3/1/14 2 2,550,000 2,530,875
- -----------------------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,314,000 2,256,150
- -----------------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,146,975
- -----------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 666,250
- -----------------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,730,600
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
MACHINERY Continued
NMHG Holding Co., 10% Sr. Nts., 5/15/09 $ 2,411,000 $ 2,531,552
- -----------------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,060,250
- -----------------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 3,851,000 3,196,330
---------------
20,118,982
- -----------------------------------------------------------------------------------------------------------------------------
MARINE--0.0%
Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 2,3 2,287,000 2,621,474
- -----------------------------------------------------------------------------------------------------------------------------
WPO Shipholding Co. LLC, 12% Sr. Sec. Nts., 7/15/05 3,4 5,400,000 --
---------------
2,621,474
- -----------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,167,500
- -----------------------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 972,000 918,540
7.50% Sr. Unsec. Nts., 11/1/13 232,000 230,260
9.625% Sr. Nts., 12/1/12 3,820,000 4,182,900
---------------
7,499,200
- -----------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.2%
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 13,909,000 13,456,958
- -----------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.0%
- -----------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.2%
Loral Skynet Corp., 14% Sr. Sec. Nts., 11/21/15 15 2,188,000 2,647,480
- -----------------------------------------------------------------------------------------------------------------------------
Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 14,199,000 12,885,593
- -----------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3 12,679,000 190,185
---------------
15,723,258
- -----------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.1%
Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,518,000 2,628,163
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2%
Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 8,006,000 7,885,910
- -----------------------------------------------------------------------------------------------------------------------------
Sanmina-SCI Corp.:
6.75% Unsec. Sub. Nts., 3/1/13 1,700,000 1,627,750
8.125% Sr. Sub. Nts., 3/1/16 3,970,000 4,029,550
- -----------------------------------------------------------------------------------------------------------------------------
Solectron Corp., 8% Sr. Sub. Nts., 3/15/16 2 2,225,000 2,241,688
---------------
15,784,898
- -----------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 3,4 [EUR] 2,116,376 --
- -----------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4 2,081,799 --
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES Continued
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 3,4 [EUR] 6,650,000 $ --
--------------
--
- ----------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.3%
DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts.,
Series B, 2/15/13 4 4,755,000 4,968,975
- ----------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,234,275
- ----------------------------------------------------------------------------------------------------------------------
SunGard Data Systems, Inc.:
9.125% Sr. Unsec. Nts., 8/15/13 2 7,470,000 7,936,875
10.25% Sr. Sub. Nts., 8/15/15 2 4,850,000 5,128,875
--------------
22,269,000
- ----------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 5,151,000 5,414,989
- ----------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc.:
7.75% Sr. Nts., 5/15/13 3,200,000 2,960,000
9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,365,000 4,474,125
--------------
12,849,114
- ----------------------------------------------------------------------------------------------------------------------
MATERIALS--3.4%
- ----------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.7%
Crompton Corp., 9.875% Sr. Nts., 8/1/12 125,000 141,250
- ----------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,829,760
10.125% Sr. Unsec. Nts., 9/1/08 118,000 125,965
10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,469,213
- ----------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc, 10.125% Sr. Unsec. Sub. Nts., 7/1/09 8,413,000 8,665,390
- ----------------------------------------------------------------------------------------------------------------------
Huntsman International LLC, 7.875% Sr. Sub. Nts., 1/1/15 1,2 3,451,000 3,502,765
- ----------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 815,430
11.625% Sr. Unsec. Nts., 10/15/10 76,000 86,450
- ----------------------------------------------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 118,000 135,700
- ----------------------------------------------------------------------------------------------------------------------
Ineos Group Holdings plc, 8.50% Nts., 2/15/16 2 6,950,000 6,637,250
- ----------------------------------------------------------------------------------------------------------------------
Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 3,250,000 3,396,250
- ----------------------------------------------------------------------------------------------------------------------
KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 14 2,650,000 1,934,500
- ----------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 70,000 73,150
9.625% Sr. Sec. Nts., Series A, 5/1/07 2,074,000 2,151,775
10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,310,938
- ----------------------------------------------------------------------------------------------------------------------
Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 900,000 919,125
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
CHEMICALS Continued
Rockwood Specialties Group, Inc.:
7.50% Sr. Sub. Nts., 11/15/14 $ 1,350,000 $ 1,363,500
10.625% Sr. Unsec. Sub. Nts., 5/15/11 4 875,000 964,688
- ----------------------------------------------------------------------------------------------------------------------
Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Nts., 12/1/12 2 3,280,000 3,460,400
--------------
44,983,499
- ----------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.1%
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 14 5,340,000 3,924,900
- ----------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.2%
Ball Corp., 6.625% Sr. Nts., 3/15/18 4,500,000 4,488,750
- ----------------------------------------------------------------------------------------------------------------------
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 2 3,810,000 3,971,925
- ----------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,319,500
9.875% Sr. Unsec. Sub. Nts., 10/15/14 4,814,000 4,898,245
- ----------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,738,000 5,709,310
9.50% Sr. Sub. Nts., 8/15/13 2,655,000 2,495,700
- ----------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,750,000 1,725,938
- ----------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,486,063
- ----------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,924,620
8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,698,900
8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,279,650
8.875% Sr. Sec. Nts., 2/15/09 6,484,000 6,783,885
- ----------------------------------------------------------------------------------------------------------------------
Pliant Corp., 11.625% Sr. Sec. Nts., 6/15/09 3 2,026,004 2,279,255
- ----------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 7,108,000 6,717,060
- ----------------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 4,325,000 4,281,750
9.25% Sr. Unsec. Nts., 2/1/08 4,582,000 4,793,918
9.75% Sr. Unsec. Nts., 2/1/11 8,006,000 8,266,195
- ----------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 2 960,000 1,068,000
- ----------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,019,560
--------------
81,208,224
- ----------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.1%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,829,230
7.875% Sr. Unsec. Nts., 2/15/09 1,379,000 1,392,790
- ----------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 17,015,000 19,439,638
8.875% Nts., 11/17/14 2 8,645,000 9,876,913
- ----------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,147,475
- ----------------------------------------------------------------------------------------------------------------------
Gibraltar Industries, Inc., 8% Sr. Sub. Nts., 12/1/15 4 1,970,000 1,994,625
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
METALS & MINING Continued
IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 $ 2,655,000 $ 2,940,413
- ----------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 3,4 1,586,000 --
- ----------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,095,000
- ----------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,974,000 3,369,108
- ----------------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,865,510
- ----------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3 4,832,000 2,536,800
- ----------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2,172,000 2,389,200
- ----------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,166,000
- ----------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.75% Sr. Nts., 2/15/15 1,2 7,180,000 6,928,700
- ----------------------------------------------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 4 3,762,000 4,006,530
- ----------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,228,594
- ----------------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 1,949,000 2,114,665
10.75% Sr. Nts., 8/1/08 3,197,000 3,532,685
--------------
76,853,876
- ----------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.3%
Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 3,100,000 3,038,000
- ----------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,925,000 1,944,250
- ----------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,518,750
- ----------------------------------------------------------------------------------------------------------------------
Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 1,111,000
- ----------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,246,000
- ----------------------------------------------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3 6,414,000 4,169,100
- ----------------------------------------------------------------------------------------------------------------------
JSG Holding plc, 11.50% Sr. Nts., 10/1/15 2,15 [EUR] 1,094,277 1,352,629
- ----------------------------------------------------------------------------------------------------------------------
Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 2,330,000 2,085,350
- ----------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,470,000
- ----------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 3,4 4,025,000 60,375
- ----------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 2,696,000 1,536,720
--------------
20,532,174
- ----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.3%
- ----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--0.8%
American Tower Corp., 7.125% Sr. Unsec. Nts., 10/15/12 750,000 783,750
- ----------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 3,4 6,401,538 --
- ----------------------------------------------------------------------------------------------------------------------
Intelsat Subsidiary Holding Co. Ltd., 8.625% Sr. Nts., 1/15/15 5,010,000 5,197,875
- ----------------------------------------------------------------------------------------------------------------------
PanAmSat Corp., 9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,784,525
- ----------------------------------------------------------------------------------------------------------------------
PanAmSat Holding Corp., 0%/10.375% Sr. Unsec. Disc. Nts., 11/1/14 14 1,325,000 960,625
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Qwest Capital Funding, Inc.:
7.25% Unsec. Unsub. Nts., 2/15/11 $ 2,200,000 $ 2,241,250
7.90% Unsec. Nts., 8/15/10 6,397,000 6,684,865
- ----------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts.,
2/15/11 1 1,500,000 1,545,000
- ----------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 1 13,690,000 15,367,025
- ----------------------------------------------------------------------------------------------------------------------
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 4 [PEN] 20,898,900 6,089,296
- ----------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 3,4 5,035,000 --
- ----------------------------------------------------------------------------------------------------------------------
Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 7,670,000 8,264,425
- ----------------------------------------------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 825,000 871,406
- ----------------------------------------------------------------------------------------------------------------------
Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts.,
2/15/15 1,665,000 1,752,413
--------------
55,542,455
- ----------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.5%
Alamosa Delaware, Inc.:
8.50% Sr. Nts., 1/31/12 200,000 216,500
11% Sr. Unsec. Nts., 7/31/10 118,000 131,865
12.50% Sr. Unsec. Nts., 2/1/11 4 5,591,000 6,066,235
- ----------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 5,420,000 5,907,800
- ----------------------------------------------------------------------------------------------------------------------
American Tower Corp., 7.50% Sr. Nts., 5/1/12 4,047,000 4,259,468
- ----------------------------------------------------------------------------------------------------------------------
AT&T Corp.:
9.05% Sr. Unsec. Nts., 11/15/11 1 6,229,000 6,741,379
9.75% Sr. Nts., 11/15/31 1 3,300,000 3,952,229
- ----------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 3,4 21,702,000 --
- ----------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co. LLC/Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 6,810,000 7,473,975
- ----------------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,073,125
- ----------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.85% Sr. Unsec. Nts., 10/15/12 1 955,000 952,613
8.875% Sr. Nts., 10/1/13 3,294,000 3,326,940
- ----------------------------------------------------------------------------------------------------------------------
IWO Holdings, Inc., 8.35% Sr. Sec. Nts., 1/15/12 1 850,000 889,313
- ----------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 19,460,000 20,423,367
- ----------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 212,500
- ----------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc.:
7.50% Sec. Nts., 3/15/15 4,931,000 5,313,153
8% Sr. Sub. Nts., 12/15/12 3,844,000 4,098,665
- ----------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
9.75% Sr. Sub. Nts., 1/15/10 10,663,000 10,876,260
9.875% Sr. Nts., 2/1/10 6,268,000 6,722,430
- ----------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 8.50% Sr. Unsec. Nts., Cl. A, 12/1/12 3,102,000 3,458,730
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES Continued
SBA Telecommunications, Inc./SBA Communications Corp.,
0%/9.75% Sr. Disc. Nts., 12/15/11 14 $ 4,117,000 $ 3,952,320
- ----------------------------------------------------------------------------------------------------------------------
Triton PCS, Inc., 8.50% Sr. Unsec. Nts., 6/1/13 2,113,000 2,017,915
- ----------------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,747,043
--------------
100,813,825
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES--1.6%
- ----------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.0%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 8,898,000 9,654,330
- ----------------------------------------------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,318,000 1,362,483
7.75% Sr. Nts., 8/1/10 1,650,000 1,736,625
8.50% Sr. Nts., 4/15/11 2,407,000 2,611,595
- ----------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 9.875% Sr. Unsec. Nts., 4/15/11 1,829,000 2,075,915
- ----------------------------------------------------------------------------------------------------------------------
ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 418,000 434,899
- ----------------------------------------------------------------------------------------------------------------------
FPL Energy National Wind Power LLC:
5.608% Nts., 3/10/24 2 1,900,760 1,830,700
6.125% Nts., 3/25/19 2 1,097,314 1,068,991
- ----------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,952,713
- ----------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
Escrow Shares, 5/1/06 4 2,214,000 --
8.30% Sr. Unsec. Nts., 5/1/11 9,000,000 9,360,000
- ----------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,757,250
- ----------------------------------------------------------------------------------------------------------------------
National Power Corp., 9.625% Unsec. Bonds, 5/15/28 11,790,000 13,123,590
- ----------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 1,970,000 1,982,313
9.50% Sr. Sec. Nts., 7/15/13 1,560,000 1,569,750
- ----------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Nts., 8/15/17 2 6,894,000 6,954,323
--------------
67,475,477
- ----------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--0.3%
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 2,6 3,195,000 3,195,000
- ----------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
8.50% Sr. Unsec. Nts., 10/1/21 1,300,000 1,329,250
9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,889,000
- ----------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc.:
7.25% Sr. Nts., 2/1/14 950,000 967,813
7.375% Sr. Nts., 2/1/16 8,925,000 9,136,969
--------------
17,518,032
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0%
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 $ 1,300,000 $ 1,313,762
- ----------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.3%
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,694,487 2,950,463
- ----------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 1,830,000 1,775,100
8.75% Sr. Nts., 2/15/12 1,335,000 1,401,750
10.125% Sr. Sec. Nts., 7/15/13 2 8,313,000 9,534,595
- ----------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,722,076 3,967,476
- ----------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 663,277
--------------
20,292,661
--------------
Total Corporate Bonds and Notes (Cost $2,039,347,700) 2,013,462,656
--------------
SHARES
- ----------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.5%
- ----------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 4,16 338,141 --
- ----------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F (converts into
Dobson Communications Corp., Cl. A common stock), Non-Vtg. 2 8,195 1,498,661
- ----------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 4,16 11,972 1,197
- ----------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B,
Non-Vtg. 4,16 43,000 --
- ----------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 4,16 5,773 --
- ----------------------------------------------------------------------------------------------------------------------
Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 2,16 18,020 3,613,010
- ----------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 14.25% Cum. Jr. Exchangeable, Non-Vtg. 4,15 1,749 15,262,434
- ----------------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 51,500 2,907,175
- ----------------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg. 4,16 300 573
- ----------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 4,16 2,511 3,063,420
- ----------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 4 61,550 9,001,688
--------------
Total Preferred Stocks (Cost $55,326,259) 35,348,158
- ----------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--3.6%
- ----------------------------------------------------------------------------------------------------------------------
Advanced Micro Devices, Inc. 16 33,000 1,094,280
- ----------------------------------------------------------------------------------------------------------------------
Aggreko plc 260,830 1,433,144
- ----------------------------------------------------------------------------------------------------------------------
Allegheny Technologies, Inc. 24,900 1,523,382
- ----------------------------------------------------------------------------------------------------------------------
Alstom 16 15,890 1,326,326
- ----------------------------------------------------------------------------------------------------------------------
Amada Co. Ltd. 144,000 1,570,909
- ----------------------------------------------------------------------------------------------------------------------
American Tower Corp. 16 90,209 2,735,137
- ----------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. 13,900 1,404,039
46 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Anglo American plc 36,450 $ 1,412,942
- -----------------------------------------------------------------------------------------------------------------------------
Aon Corp. 33,900 1,407,189
- -----------------------------------------------------------------------------------------------------------------------------
Arcelor 37,210 1,466,882
- -----------------------------------------------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 42,400 1,426,760
- -----------------------------------------------------------------------------------------------------------------------------
Ashland, Inc. 20,900 1,485,572
- -----------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp. 4,16 26,036 260,360
- -----------------------------------------------------------------------------------------------------------------------------
Avaya, Inc. 16 121,500 1,372,950
- -----------------------------------------------------------------------------------------------------------------------------
BAA plc 96,920 1,395,950
- -----------------------------------------------------------------------------------------------------------------------------
Barratt Developments plc 75,050 1,380,856
- -----------------------------------------------------------------------------------------------------------------------------
Bear Stearns Cos., Inc. (The) 10,100 1,400,870
- -----------------------------------------------------------------------------------------------------------------------------
Beverly Hills Bancorp, Inc. 539,100 5,714,460
- -----------------------------------------------------------------------------------------------------------------------------
BNP Paribas SA 14,690 1,364,537
- -----------------------------------------------------------------------------------------------------------------------------
British American Tobacco plc 56,100 1,358,712
- -----------------------------------------------------------------------------------------------------------------------------
Broadcom Corp., Cl. A 16 27,900 1,204,164
- -----------------------------------------------------------------------------------------------------------------------------
Burlington Northern Santa Fe Corp. 17,300 1,441,609
- -----------------------------------------------------------------------------------------------------------------------------
Burlington Resources, Inc. 14,900 1,369,459
- -----------------------------------------------------------------------------------------------------------------------------
CA, Inc. 50,600 1,376,826
- -----------------------------------------------------------------------------------------------------------------------------
Caterpillar, Inc. 18,300 1,314,123
- -----------------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 4,16 8,001 --
- -----------------------------------------------------------------------------------------------------------------------------
Centex Corp. 20,030 1,241,660
- -----------------------------------------------------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 16 43,520 2,133,350
- -----------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 431,648 13,558,064
- -----------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc. 88,293 1,480,674
- -----------------------------------------------------------------------------------------------------------------------------
Chubb Corp. 14,300 1,364,792
- -----------------------------------------------------------------------------------------------------------------------------
CIT Group, Inc. 25,200 1,348,704
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 1,106 52,236
- -----------------------------------------------------------------------------------------------------------------------------
CNP Assurances SA 14,190 1,430,728
- -----------------------------------------------------------------------------------------------------------------------------
ConocoPhillips 21,720 1,371,618
- -----------------------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp. 39,000 1,431,300
- -----------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. 16 174,581 336,941
- -----------------------------------------------------------------------------------------------------------------------------
Cummins, Inc. 12,600 1,324,260
- -----------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc. 42,200 1,401,884
- -----------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler AG 24,482 1,406,592
- -----------------------------------------------------------------------------------------------------------------------------
De La Rue plc 139,070 1,348,247
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom AG 86,037 1,451,362
- -----------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 16 442,193 3,546,388
- -----------------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 49,100 1,431,265
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp. 16 53,100 $ 1,432,638
- -----------------------------------------------------------------------------------------------------------------------------
E.ON AG 12,267 1,350,562
- -----------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 1,557 99,274
- -----------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc., Cl. B 5,235 333,941
- -----------------------------------------------------------------------------------------------------------------------------
Eastman Chemical Co. 27,000 1,381,860
- -----------------------------------------------------------------------------------------------------------------------------
El Paso Corp. 146,000 1,759,300
- -----------------------------------------------------------------------------------------------------------------------------
Energy Select Sector SPDR Fund 105,000 5,704,650
- -----------------------------------------------------------------------------------------------------------------------------
Etablissements Economiques du Casino Guichard-Perrachon SA 21,960 1,535,534
- -----------------------------------------------------------------------------------------------------------------------------
Express Scripts, Inc. 16 15,500 1,362,450
- -----------------------------------------------------------------------------------------------------------------------------
Financial Select Sector SPDR Fund 174,300 5,673,465
- -----------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. 177,400 1,412,104
- -----------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., Cl. B 25,400 1,518,158
- -----------------------------------------------------------------------------------------------------------------------------
Gecina SA 10,880 1,443,758
- -----------------------------------------------------------------------------------------------------------------------------
GKN plc 227,200 1,312,508
- -----------------------------------------------------------------------------------------------------------------------------
Globix Corp. 16 107,797 297,520
- -----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 9,500 1,491,120
- -----------------------------------------------------------------------------------------------------------------------------
Hammerson plc 66,550 1,433,744
- -----------------------------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. (The) 16,700 1,345,185
- -----------------------------------------------------------------------------------------------------------------------------
Hochtief AG 25,352 1,437,222
- -----------------------------------------------------------------------------------------------------------------------------
Horizon Natural Resources Co. 4,16 133,333 --
- -----------------------------------------------------------------------------------------------------------------------------
Huntsman Corp. 4,16 68,495 1,255,856
- -----------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 16 300,766 1,699,328
- -----------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. 16 81,469 3,829,043
- -----------------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 23,000 1,286,620
- -----------------------------------------------------------------------------------------------------------------------------
JFE Holdings, Inc. 36,600 1,477,060
- -----------------------------------------------------------------------------------------------------------------------------
Kawasaki Kisen Kaisha Ltd. 218,000 1,287,256
- -----------------------------------------------------------------------------------------------------------------------------
KB Home 20,412 1,326,372
- -----------------------------------------------------------------------------------------------------------------------------
Kobe Steel Ltd. 352,000 1,336,822
- -----------------------------------------------------------------------------------------------------------------------------
Komatsu Ltd. 78,000 1,487,766
- -----------------------------------------------------------------------------------------------------------------------------
Kubota Corp. 139,040 1,500,262
- -----------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 16 30,000 869,100
- -----------------------------------------------------------------------------------------------------------------------------
Land Securities Group plc 41,460 1,388,795
- -----------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. 16 28,354 1,235,951
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 9,400 1,358,582
- -----------------------------------------------------------------------------------------------------------------------------
Lennar Corp., Cl. A 23,000 1,388,740
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series A 129,394 2,648,695
- -----------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series C 16 129,394 2,555,532
- -----------------------------------------------------------------------------------------------------------------------------
48 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 24,400 $ 1,331,996
- -----------------------------------------------------------------------------------------------------------------------------
Lloyds TSB Group plc 140,014 1,339,154
- -----------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. 16 136,580 3,913,017
- -----------------------------------------------------------------------------------------------------------------------------
Louisiana-Pacific Corp. 48,400 1,316,480
- -----------------------------------------------------------------------------------------------------------------------------
MAN AG 21,546 1,498,752
- -----------------------------------------------------------------------------------------------------------------------------
Man Group plc 33,810 1,447,985
- -----------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 8,092 737,586
- -----------------------------------------------------------------------------------------------------------------------------
Marathon Oil Corp. 18,802 1,432,148
- -----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. 17,600 1,386,176
- -----------------------------------------------------------------------------------------------------------------------------
Mirant Corp. 16 12,550 313,750
- -----------------------------------------------------------------------------------------------------------------------------
Nippon Building Fund, Inc. 143 1,324,299
- -----------------------------------------------------------------------------------------------------------------------------
Nippon Kayaku Co. Ltd. 163,000 1,443,042
- -----------------------------------------------------------------------------------------------------------------------------
Nippon Steel Corp. 340,889 1,320,691
- -----------------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp. 26,400 1,427,448
- -----------------------------------------------------------------------------------------------------------------------------
Novell, Inc. 16 143,100 1,099,008
- -----------------------------------------------------------------------------------------------------------------------------
NTL, Inc. 16 902,120 26,260,713
- -----------------------------------------------------------------------------------------------------------------------------
Nucor Corp. 15,300 1,603,287
- -----------------------------------------------------------------------------------------------------------------------------
NVIDIA Corp. 16 27,800 1,591,828
- -----------------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 14,487 1,342,221
- -----------------------------------------------------------------------------------------------------------------------------
Oracle Corp., Japan 29,400 1,471,249
- -----------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. 16 59,993 949,089
- -----------------------------------------------------------------------------------------------------------------------------
PagesJaunes Groupe SA 50,820 1,427,577
- -----------------------------------------------------------------------------------------------------------------------------
Persimmon plc 55,540 1,281,462
- -----------------------------------------------------------------------------------------------------------------------------
Phelps Dodge Corp. 19,000 1,530,070
- -----------------------------------------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc. 19,300 1,299,083
- -----------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 16 16,137 434,085
- -----------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 4,13,16 1,034,256 10,343
- -----------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 4,16 799,833 --
- -----------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc. 18,000 1,364,580
- -----------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc. 12,900 1,360,950
- -----------------------------------------------------------------------------------------------------------------------------
RWE AG, Non-Vtg., Preference 17,286 1,353,251
- -----------------------------------------------------------------------------------------------------------------------------
Schroders plc 67,390 1,392,128
- -----------------------------------------------------------------------------------------------------------------------------
Showa Shell Sekiyu K.K. 119,600 1,357,567
- -----------------------------------------------------------------------------------------------------------------------------
Societe Generale, Cl. A 9,591 1,442,404
- -----------------------------------------------------------------------------------------------------------------------------
Star Gas Partners LP 16 220 614
- -----------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 16 10,861 111,325
- -----------------------------------------------------------------------------------------------------------------------------
Suedzucker AG 51,506 1,335,119
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -----------------------------------------------------------------------------------------------------------------------------
Suez SA 37,073 $ 1,461,031
- -----------------------------------------------------------------------------------------------------------------------------
Sumitomo Metal Industries 306,690 1,315,875
- -----------------------------------------------------------------------------------------------------------------------------
Takefuji Corp. 20,910 1,316,424
- -----------------------------------------------------------------------------------------------------------------------------
Taylor Woodrow plc 16 186,710 1,310,542
- -----------------------------------------------------------------------------------------------------------------------------
Tellabs, Inc. 16 91,900 1,461,210
- -----------------------------------------------------------------------------------------------------------------------------
ThyssenKrupp AG 53,763 1,551,294
- -----------------------------------------------------------------------------------------------------------------------------
TonenGeneral Sekiyu K.K. 136,000 1,384,265
- -----------------------------------------------------------------------------------------------------------------------------
TUI AG 68,850 1,350,834
- -----------------------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 16 59,250 59,250
- -----------------------------------------------------------------------------------------------------------------------------
TXU Corp. 25,800 1,154,808
- -----------------------------------------------------------------------------------------------------------------------------
Ube Industries Ltd. 461,000 1,359,108
- -----------------------------------------------------------------------------------------------------------------------------
Unibail 8,300 1,498,703
- -----------------------------------------------------------------------------------------------------------------------------
United States Steel Corp. 23,700 1,438,116
- -----------------------------------------------------------------------------------------------------------------------------
United Utilities plc 113,520 1,359,905
- -----------------------------------------------------------------------------------------------------------------------------
Utilities Select Sector SPDR Fund 175,000 5,402,250
- -----------------------------------------------------------------------------------------------------------------------------
Valero Energy Corp. 24,000 1,434,720
- -----------------------------------------------------------------------------------------------------------------------------
Verizon Communications, Inc. 32,985 1,123,469
- -----------------------------------------------------------------------------------------------------------------------------
Viatel Holding (Bermuda) Ltd. 16 43,569 218
- -----------------------------------------------------------------------------------------------------------------------------
Volkswagen AG, Preference 26,421 1,442,752
- -----------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 57,800 3,850,636
- -----------------------------------------------------------------------------------------------------------------------------
Washington Mutual, Inc. 32,500 1,385,150
- -----------------------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc. 16 680,382 1,281,706
- -----------------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 4,16 16,235 162
- -----------------------------------------------------------------------------------------------------------------------------
XO Holdings, Inc. 16 39,522 156,112
------------
Total Common Stocks (Cost $212,156,933) 241,507,293
UNITS
- -----------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- -----------------------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 16 2,200 --
- -----------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 4,16 6,650 --
- -----------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 4,16 5,250 --
- -----------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 4,16 800 --
- -----------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 4,16 34,425 --
- -----------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. Wts.:
Exp. 5/16/06 4,16 75,434 377
Exp. 5/16/06 4,16 112 --
- -----------------------------------------------------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 4,16 86,946 --
- -----------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. Wts., Exp. 6/15/10 4,16 6,600 --
50 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
UNITS SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- -----------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 2,16 4,560 $ --
- -----------------------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 4,16 8,500 --
- -----------------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts., Exp. 9/19/10 16 6,738 2,089
- -----------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06 4,16 16,650 167
- -----------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 4,16 17,634 6
- -----------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts.,
Exp. 4/15/20 4,16 9,035 307,190
- -----------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 16 7,500 5,210
- -----------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc.:
Series A Wts., Exp. 1/16/10 16 79,057 35,576
Series B Wts., Exp. 1/16/10 16 59,293 18,381
Series C Wts., Exp. 1/16/10 16 59,293 14,823
- -----------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 16 44,000 440
-------------
Total Rights, Warrants and Certificates (Cost $866,452) 384,259
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--13.6%
- -----------------------------------------------------------------------------------------------------------------------------
Aiolos Ltd. Catastrophe Linked Nts., 7.188%, 4/8/09 1,4 [EUR] 4,850,000 5,865,751
- -----------------------------------------------------------------------------------------------------------------------------
Aon Capital Markets/Helix 04 Ltd. Catastrophe Linked Nts.,
10.379%, 6/30/09 1 2,750,000 2,730,420
- -----------------------------------------------------------------------------------------------------------------------------
Arbor I Ltd. Catastrophe Linked Nts., 20.41%, 6/15/06 1,4 3,250,000 3,260,238
- -----------------------------------------------------------------------------------------------------------------------------
Atlantic & Western Re Ltd. Catastrophe Linked Nts., Series B,
14.72%, 11/15/10 1 6,500,000 6,328,725
- -----------------------------------------------------------------------------------------------------------------------------
Cascadia Ltd., 7.985% Nts., 6/13/08 1,2 2,750,000 2,762,430
- -----------------------------------------------------------------------------------------------------------------------------
Champlain Ltd. Catastrophe Linked Nts., Series A, 17.296%, 1/7/09 1 5,250,000 5,239,238
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Argentina (Republic of) Credit Linked Nts., 4%, 5/22/08 [ARP] 10,355,000 8,968,900
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 8,936,529
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 14,024,782
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.81%, 1/5/10 8 [BRR] 18,237,724 5,008,547
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.43%, 1/2/09 8 [BRR] 17,433,522 5,518,950
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.73%, 1/3/08 8 [BRR] 15,201,753 5,531,008
Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 4,053,925
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,819,787
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07
(linked to Colombian Treasury Bills) [COP] 33,115,250,000 17,885,574
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 18,440,000,000 12,059,069
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 6,595,212
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 5,337,642
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 4,506,456
Dominican Republic Credit Linked Nts., 14.11%, 7/10/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 168,420,000 5,007,792
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Dominican Republic Credit Linked Nts., 15.64%, 5/2/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 143,415,164 $ 4,382,883
Dominican Republic Credit Linked Nts., 16.50%, 3/12/07
(linked to Dominican Republic Treasury Bills) [DOP] 132,800,000 3,535,636
Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,556,271
Dominican Republic Credit Linked Nts., 17.08%, 11/6/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 247,080,000 6,987,865
Dominican Republic Unsec. Credit Linked Nts., 14.67%, 5/15/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 125,263,530 3,807,625
Dominican Republic Unsec. Credit Linked Nts., 16.18%, 4/24/06
(linked to Dominican Republic Treasury Bills) 8 [DOP] 48,437,421 1,484,443
Egypt (The Arab Republic of) Credit Linked Nts., 7.91%, 8/1/06
(linked to Egyptian Treasury Bills) 8 [EGP] 31,970,000 5,403,111
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.21%, 9/19/06
(linked to Egyptian Treasury Bills) 8 [EGP] 3,700,000 618,124
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08
(linked to Egyptian Treasury Bills) [EGP] 23,760,000 4,175,662
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 8/17/06
(linked to Egyptian Treasury Bills) [EGP] 32,040,000 5,397,325
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 13,969,821
Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%,
4/4/116 [NGN] 1,281,000,000 10,136,194
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,437,820
Zambia (Republic of) Credit Linked Nts., 11%, 2/21/07
(linked to Zambian Treasury Bills) [ZMK] 16,410,000,000 4,498,149
Zambia (Republic of) Credit Linked Nts., Series II, 11%, 2/21/07
(linked to Zambian Treasury Bills) [ZMK] 6,700,000,000 1,836,539
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (Cayman), Turkey (Republic of) Credit
Linked Nts., Series EMG 7, 15%, 2/10/10 [TRY] 23,490,000 18,973,700
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,521,780
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,045,965
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 [RUR] 211,690,000 8,687,406
OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,553,174
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108,
8.80%, 12/20/07 [RUR] 553,980,000 21,101,820
South African Rand Interest Bearing Linked Nts., Series FBi 43,
4.465%, 5/23/22 1 14,280,000 14,041,524
Ukraine (Republic of) Credit Linked Nts., Series EMG 13,
11.94%, 12/30/09 [UAH] 15,823,000 3,538,118
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Turkey (Republic of) Credit Linked Nts., 20%, 10/18/07 2,783,000 3,264,236
Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 12,552,093
Turkey (Republic of) Credit Linked Nts., Series EMG 4, 17.20%, 7/6/06 8 [TRY] 14,159,292 10,195,638
Turkey (Republic of) Credit Linked Nts., Series EMG 19,
16.90%, 7/5/06 8 [TRY] 10,138,656 7,300,511
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch): Continued
Ukraine (Republic of) Credit Linked Nts., Series EMG 11,
11.94%, 12/30/09 [UAH] 4,771,000 $ 1,066,824
Ukraine (Republic of) Credit Linked Nts., Series NPC 12,
11.94%, 12/30/09 [UAH] 30,720,000 6,869,177
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 10.10%, 12/21/11 [ARP] 19,110,000 15,101,939
Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 7,070,846
Brazil Real Credit Linked Nts., 13.88%, 3/3/10 8 [BRR] 33,618,120 10,848,213
Campania Total Return Linked Nts., 3.207%, 7/30/10 1 [EUR] 36,800,000 44,904,045
Campania Total Return Linked Nts., 3.207%, 7/30/10 1 [EUR] 31,000,000 37,436,075
Egypt (The Arab Republic of) Credit Linked Nts., 10.132%, 5/23/06
(linked to Egyptian Treasury Bills) [EGP] 20,340,000 3,488,677
Egypt (The Arab Republic of) Total Return Linked Nts., 8.33%, 12/12/06
(linked to Egyptian Treasury Bills) 8 [EGP] 46,890,000 7,688,410
European Investment Bank, Russian Federation Credit Linked Nts.,
5.50%, 1/19/10 8 5,580,000 4,674,645
Halyk Bank of Kazakhstan Total Return Linked Nts., Series I,
7.25%, 3/24/09 [KZT] 1,345,160,000 10,527,672
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 5,343,104
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,111,392
Moscow (City of) Credit Linked Nts., 10%, 4/2/10 [RUR] 151,575,000 6,125,084
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/27/09 [NGN] 352,600,000 2,889,036
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/30/09 [NGN] 474,000,000 4,150,043
OAO Gazprom I Credit Nts., 8.36%, 10/20/07 7,455,000 8,121,348
OAO Gazprom II Credit Nts., 8.11%, 4/20/07 7,455,000 7,980,235
Peru (Republic of) Credit Linked Nts., 6.211%, 2/20/11 1 7,790,000 7,563,557
Romania (The State of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,250,037
Russian Federation Credit Linked Nts., 12/2/09 8 [RUR] 155,437,000 5,991,880
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,459,865
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,510,140
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,510,140
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,510,140
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,510,140
Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,085,575
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 [UAH] 26,767,200 5,883,654
Ukraine (Republic of) Credit Linked Nts., 11.70%, 5/31/06 [UAH] 13,707,000 2,751,787
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 475,599
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,685,163
Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,086,158
Videocon International Ltd. Credit Linked Nts., 7.21%, 12/29/09 15,470,000 15,425,137
Volga Investments Ltd. Credit Linked Nts., Series III, 6.01%, 4/2/08 10,000,000 10,040,000
- -----------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index Pass-Through Certificates,
Series 5-T1, 8.75%, 12/29/10 2 356,700 368,739
- -----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The)/Residential Reinsurance Ltd.
Catastrophe Linked Nts., Series B, 13.27%, 6/6/08 1,4 4,300,000 4,042,000
- -----------------------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725,
11.89%, 12/30/09 4 [UAH] 36,698,000 8,084,253
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Argentina (Republic of) Credit Linked Nts., 10.06%, 12/19/11 4 [ARP] 18,250,000 $ 14,853,501
Brazil (Federal Republic of) Credit Linked Nts., 2.73%, 11/30/12 8 [ARP] 27,660,000 6,289,200
Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 4 [BRR] 30,560,000 17,805,218
Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 8 [BRR] 26,663,580 3,931,855
Brazil (Federal Republic of) Credit Linked Nts., 12.68%, 6/1/13 8 [BRR] 42,180,340 7,512,389
Brazil (Federal Republic of) Credit Linked Nts., 15.33%, 1/2/15 8 [BRR] 81,357,010 11,997,039
Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.55%, 1/2/15 8 [BRR] 56,242,917 8,293,673
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 8 [COP] 115,400,000,000 20,870,079
Colombia (Republic of) Credit Linked Bonds, 13.50%, 8/3/20 [COP] 82,000,000,000 10,921,104
Peru (Republic of) Credit Linked Nts., 8.12%, 9/2/15 8 [PEN] 24,240,000 2,942,979
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,364,440
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers International:
Romania (The State of) Total Return Linked Nts., 7.90%, 2/9/10
(linked to Romanian Treasury Bills) [RON] 6,092,000 2,330,129
Turkey (Republic of) Total Return Linked Nts., 15%, 2/11/10
(linked to Turkish Treasury Bills) [TRY] 9,390,000 7,625,839
Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07
(linked to Turkish Treasury Bills) 3,349,124 4,307,308
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Romania (The State of) Total Return Linked Nts., 6.50%, 3/10/10
(linked to Romanian Treasury Bills) [RON] 16,085,800 5,782,069
Romania (The State of) Total Return Linked Nts., 6.75%, 3/11/08
(linked to Romanian Treasury Bills) [RON] 18,680,000 6,771,580
Romania (The State of) Total Return Linked Nts., 7.25%, 4/18/10
(linked to Romanian Treasury Bills) [RON] 1,487,000 547,086
Romania (The State of) Total Return Linked Nts., 7.50%, 3/6/07
(linked to Romanian Treasury Bills) [RON] 2,467,000 913,105
Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 1,478,000 546,185
Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 3,568,000 1,318,529
Romania (The State of) Total Return Linked Nts., 7.90%, 2/12/08
(linked to Romanian Treasury Bills) [RON] 13,855,800 5,203,232
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley & Co. International Ltd./Red Arrow International
Leasing plc, Total Return Linked Nts.:
Series A, 8.375%, 6/30/12 [RUR] 197,470,000 7,216,481
Series B, 11%, 6/30/12 [RUR] 148,100,000 5,484,433
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Brazil (Federal Republic of) Sr. Sub. Linked Nts., 15.45%, 1/2/14 4 [BRR] 26,050,000 13,131,656
Philippines (Republic of) Credit Linked Nts., 7.97%, 6/20/16 1,2,6 3,950,000 3,964,220
Philippines (Republic of) Credit Linked Nts., 8.619%, 9/20/15 16,900,000 18,164,120
Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,719,264
Venezuela (Republic of) Credit Linked Nts., 6.49%, 5/20/10 8,275,000 8,537,318
Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,539,520
- -----------------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd. Catastrophe Linked Nts., 8.88%, 11/19/07 1,2 2,100,000 2,136,624
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- -----------------------------------------------------------------------------------------------------------------------------
Residential Reinsurance Ltd., 14.32% Nts., Cl. B, 6/8/07 1,4 $ 2,000,000 $ 1,900,000
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Foundation RE Ltd. Catastrophe Linked Nts.,
8.85%, 11/24/08 1,2 3,750,000 3,711,113
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked Nts.,
9.66%, 6/15/07 1,4 250,000 250,163
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.:
Series 2002, Cl. A-A, 10.91%, 6/15/06 1,2 250,000 252,065
Series 2002-1, Cl. E-A, 9.16%, 6/15/06 1 2,000,000 2,002,300
Series 2003-II, Cl. A-A, 10.91%, 6/15/06 1,4 6,000,000 6,042,600
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Redwood Capital V Catastrophe
Linked Nts., 8.70%, 1/9/07 1,2 8,250,000 8,094,158
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Redwood Capital VI Catastrophe
Linked Nts., 8.60%, 1/9/07 1,2 1,750,000 1,707,790
- -----------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Sequoia Capital Ltd. Catastrophe
Linked Nts., 10.66%, 6/15/07 1,4 250,000 245,700
- -----------------------------------------------------------------------------------------------------------------------------
UBS AG:
Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,042,489
OAO Gazprom III Credit Nts., 7.81%, 7/5/06 18,640,000 19,105,559
Ukraine (Republic of) Credit Linked Nts., 8.40%, 2/10/16 12,520,000 12,732,759
----------------
Total Structured Notes (Cost $877,070,394) 926,182,008
STRIKE
DATE PRICE CONTRACTS
- -----------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.1%
- -----------------------------------------------------------------------------------------------------------------------------
Brazilian Real Put 4,16,18 6/7/06 2.35BRR 65,200,000 282,935
- -----------------------------------------------------------------------------------------------------------------------------
Brazilian Real Put 16 6/8/06 2.36BRR 65,560,000 208,008
- -----------------------------------------------------------------------------------------------------------------------------
Japanese Yen Put 4,16 9/21/06 119JPY 34,469,000,000 2,983,292
- -----------------------------------------------------------------------------------------------------------------------------
Mexican Nuevo Peso Call 16 10/12/06 11.40MXN 85,614,000 108,598
- -----------------------------------------------------------------------------------------------------------------------------
Mexican Nuevo Peso Put 16 10/12/06 11.40MXN 85,614,000 337,427
----------------
Total Options Purchased (Cost $4,165,746) 3,920,260
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--3.5%
- -----------------------------------------------------------------------------------------------------------------------------
Undivided interest of 11.43% in joint repurchase agreement (Principal
Amount/Value $2,051,676,000, with a maturity value of $2,052,457,347) with UBS
Warburg LLC, 4.57%, dated 3/31/06, to be repurchased at $234,601,310 on 4/3/06,
collateralized by Federal National Mortgage Assn., 5%--6%, 3/1/34--3/1/36, with
a value of $2,098,378,320 (Cost $234,512,000) $ 234,512,000 234,512,000
- -----------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased
with Cash Collateral from Securities Loaned) (Cost $6,982,036,951) 6,979,558,997
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--3.4%
- -----------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.0%
GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 4.90%, 4/25/06 17 $ 1,873,726 $ 1,873,726
- -----------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--3.0%
Undivided interest of 16.62% in joint repurchase agreement (Principal Amount/
Value $1,000,000,000, with a maturity value of $1,000,407,917) with Bank of
America NA, 4.895%, dated 3/31/06, to be repurchased at $166,262,399 on 4/3/06,
collateralized by U.S. Agency Mortgages, 5.50%, 12/1/34, with a value of
$1,020,000,001 17 166,194,605 166,194,605
- -----------------------------------------------------------------------------------------------------------------------------
Undivided interest of 3.45% in joint repurchase agreement (Principal
Amount/Value $1,000,000,000, with a maturity value of $1,000,404,167) with UBS
Securities LLC, 4.85%, dated 3/31/06, to be repurchased at $34,489,642 on
4/3/06, collateralized by U.S. Agency Mortgages, 0%--7%, 1/15/10--3/25/36, with
a value of $1,020,004,378 17 34,475,708 34,475,708
----------------
200,670,313
- -----------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM FLOATING NOTE--0.4%
American Express Credit Corp., 4.76%, 4/17/06 17 2,000,000 2,000,000
- -----------------------------------------------------------------------------------------------------------------------------
Bear Stearns, 4.87%, 4/3/06 17 3,000,000 3,000,000
- -----------------------------------------------------------------------------------------------------------------------------
CC USA, Inc., 4.87%, 4/3/06 17 3,000,000 3,000,000
- -----------------------------------------------------------------------------------------------------------------------------
Citigroup Funding, Inc., 4.86%, 4/3/06 17 7,000,000 7,000,000
- -----------------------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 4.65%, 4/6/06 17 3,000,000 3,000,000
- -----------------------------------------------------------------------------------------------------------------------------
Links Finance LLC, 4.88%, 4/3/06 17 8,000,000 8,000,000
- -----------------------------------------------------------------------------------------------------------------------------
Tango Finance Corp., 4.88%, 4/3/06 17 3,498,600 3,498,600
----------------
29,498,600
- -----------------------------------------------------------------------------------------------------------------------------
YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0%
Natexis Banques Populaires NY, 4.87%, 4/3/06 17 2,000,000 2,000,000
----------------
Total Investments Purchased with Cash Collateral
from Securities Loaned (Cost $234,042,639) 234,042,639
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $7,216,079,590) 106.3% 7,213,601,636
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (6.3) (426,113,149)
-------------------------------------
NET ASSETS 100.0% $ 6,787,488,487
=====================================
56 | OPPENHEIMER STRATEGIC INCOME FUND
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso
AUD Australian Dollar
BRR Brazilian Real
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DOP Dominican Republic Peso
EGP Egyptian Pound
EUR Euro
GBP British Pound Sterling
ILS Israeli Shekel
JPY Japanese Yen
KZT Kazakhstan Tenge
MXN Mexican Nuevo Peso
MYR Malaysian Ringgit
NGN Nigeria Naira
PEN Peruvian New Sol
PLZ Polish Zloty
RON New Romanian Leu
RUR Russian Ruble
TRY New Turkish Lira
UAH Ukraine Hryvnia
ZAR South African Rand
ZMK Zambian Kwacha
1. Represents the current interest rate for a variable or increasing rate
security.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $654,851,744 or 9.65% of the Fund's net
assets as of March 31, 2006.
3. Issue is in default. Non-income producing. See Note 1 of accompanying Notes.
4. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of March 31, 2006 was $286,958,880, which represents
4.23% of the Fund's net assets, of which $1,266,199 is considered restricted. In
addition, the Fund has restricted currency of $1,903,718, which represents 0.03%
of the Fund's net assets. See Note 12 of accompanying Notes.
5. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $43,726,965 or 0.64% of the Fund's net assets
as of March 31, 2006.
6. When-issued security or forward commitment to be delivered and settled after
March 31, 2006. See Note 1 of accompanying Notes.
7. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $5,532,348 or 0.08% of the Fund's net assets as of
March 31, 2006.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. Partial or fully-loaned security. See Note 14 of accompanying Notes.
10. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of accompanying Notes.
11. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures sales contracts. The aggregate
market value of such securities is $28,836,303. See Note 6 of accompanying
Notes.
12. A sufficient amount of securities has been designated to cover outstanding
written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO PUT DATE PRICE RECEIVED SEE NOTE 7
- ------------------------------------------------------------------------------------
Japanese Yen [JPY] 34,469,000,000 9/21/06 124 JPY $722,737 $78,310
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
13. Represents ownership of at least 5% of the voting securities of the issuer,
and is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended March 31, 2006. Transactions during the period in
which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES VALUE DIVIDEND
SEPTEMBER 30, 2005 ADDITIONS REDUCTIONS MARCH 31, 2006 SEE NOTE 1 INCOME
- ----------------------------------------------------------------------------------------------------------
Prandium, Inc. 1,034,256 -- -- 1,034,256 $ 10,343 $ --
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
15. Interest or dividend is paid-in-kind.
16. Non-income producing security.
17. The security has been segregated to satisfy the forward commitment to return
the cash collateral received in securities lending transactions upon the
borrower's return of the securities loaned. See Note 14 of accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
58 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
March 31, 2006
- -------------------------------------------------------------------------------------------------------------
ASSETS
- -------------------------------------------------------------------------------------------------------------
Investments, at value (including securities loaned of approximately $336,977,428)--
see accompanying statement of investments:
Unaffiliated companies (cost $7,203,922,590) $ 7,213,591,293
Affiliated companies (cost $12,157,000) 10,343
-----------------
7,213,601,636
- -------------------------------------------------------------------------------------------------------------
Cash 11,562,473
- -------------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $1,872,269) 1,863,413
- -------------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 29,304,233
- -------------------------------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 24,263,829
- -------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $160,117,441 sold on a when-issued basis
or forward commitment) 180,680,769
Interest, dividends and principal paydowns 69,964,710
Shares of beneficial interest sold 8,294,545
Other 152,157
-----------------
Total assets 7,539,687,765
- -------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $722,737)--
see accompanying statement of investments 778,310
- -------------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 234,042,639
- -------------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 7,310,282
- -------------------------------------------------------------------------------------------------------------
Unrealized depreciation on swap contracts 8,486,937
- -------------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $450,969,728 purchased on a when-issued basis
or forward commitment) 467,827,322
Closed foreign currency contracts 12,500,345
Shares of beneficial interest redeemed 11,266,057
Dividends 4,275,340
Distribution and service plan fees 4,026,348
Transfer and shareholder servicing agent fees 740,710
Shareholder communications 334,504
Futures margins 244,682
Trustees' compensation 135,575
Other 230,227
-----------------
Total liabilities 752,199,278
- -------------------------------------------------------------------------------------------------------------
NET ASSETS $ 6,787,488,487
=================
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,614,774
- -------------------------------------------------------------------------------------------------------------
Additional paid-in capital 7,764,306,094
- -------------------------------------------------------------------------------------------------------------
Accumulated net investment loss (37,408,371)
- -------------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (969,935,493)
- -------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation
of assets and liabilities denominated in foreign currencies 28,911,483
-----------------
NET ASSETS $ 6,787,488,487
=================
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -------------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets
of $4,934,688,605 and 1,174,118,375 shares of beneficial interest outstanding) $ 4.20
Maximum offering price per share (net asset value plus sales charge
of 4.75% of offering price) $ 4.41
- -------------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net assets
of $814,730,473 and 193,200,160 shares of beneficial interest outstanding) $ 4.22
- -------------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net assets
of $825,064,293 and 196,709,964 shares of beneficial interest outstanding) $ 4.19
- -------------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net assets
of $94,711,676 and 22,521,279 shares of beneficial interest outstanding) $ 4.21
- -------------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share
(based on net assets of $118,293,440 and 28,223,783 shares of beneficial interest $ 4.19
outstanding)
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
60 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2006
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------
Interest $ 189,987,365
- -------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $16,986) 4,221,389
- -------------------------------------------------------------------------------------------------------------
Fee income 1,782,276
- -------------------------------------------------------------------------------------------------------------
Portfolio lending fees 218,250
-----------------
Total investment income 196,209,280
- -------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------
Management fees 17,361,647
- -------------------------------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 5,852,269
Class B 4,263,602
Class C 3,967,069
Class N 219,913
- -------------------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 3,122,813
Class B 640,374
Class C 530,462
Class N 135,812
Class Y 31,502
- -------------------------------------------------------------------------------------------------------------
Shareholder communications:
Class A 348,478
Class B 81,879
Class C 49,677
- -------------------------------------------------------------------------------------------------------------
Custodian fees and expenses 124,150
- -------------------------------------------------------------------------------------------------------------
Trustees' compensation 30,778
- -------------------------------------------------------------------------------------------------------------
Administration service fees 750
- -------------------------------------------------------------------------------------------------------------
Other 138,202
-----------------
Total expenses 36,899,377
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 159,309,903
61 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited / Continued
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- -------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ 118,568,047
Closing and expiration of swaption contracts 283,433
Closing and expiration of futures contracts (32,893,733)
Foreign currency transactions (25,419,377)
Swap contracts 2,039,386
-----------------
Net realized gain 62,577,756
- -------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (111,531,473)
Translation of assets and liabilities denominated in foreign currencies 6,221,141
Futures contracts (1,563,419)
Option contracts (55,573)
Swaption contracts 92,667
Swap contracts (333,191)
-----------------
Net change in unrealized appreciation (107,169,848)
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 114,717,811
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
62 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPTEMBER 30,
(UNAUDITED) 2005
- -------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------
Net investment income $ 159,309,903 $ 289,867,824
- -------------------------------------------------------------------------------------------------------------------
Net realized gain 62,577,756 183,064,148
- -------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (107,169,848) 97,582,611
-------------------------------------
Net increase in net assets resulting from operations 114,717,811 570,514,583
- -------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (236,063,205) (294,738,505)
Class B (39,211,048) (62,870,416)
Class C (36,100,859) (44,696,942)
Class N (4,160,990) (4,206,758)
Class Y (4,258,062) (6,335,724)
- -------------------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from beneficial
interest transactions:
Class A 316,417,918 541,271,143
Class B (76,733,685) (271,334,101)
Class C 61,373,777 60,028,844
Class N 14,100,655 28,754,049
Class Y 57,851,031 (91,805,446)
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
Total increase 167,933,343 424,580,727
- -------------------------------------------------------------------------------------------------------------------
Beginning of period 6,619,555,144 6,194,974,417
-------------------------------------
End of period (including accumulated net investment income (loss) of
$(37,408,371) and $123,075,890, respectively) $ 6,787,488,487 $ 6,619,555,144
=====================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
63 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPT. 30,
CLASS A (UNAUDITED) 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .11 1 .21 1 .20 .26 .32 .36
Net realized and unrealized gain
(loss) (.04) .19 .15 .43 (.08) (.43)
----------------------------------------------------------------------------------------------
Total from investment operations .07 .40 .35 .69 .24 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.21) (.29) (.20) (.25) (.30) (.26)
Tax return of capital distribution -- -- -- -- (.02) (.13)
----------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.21) (.29) (.20) (.25) (.32) (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.20 $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72
==============================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 1.67% 9.77% 8.73% 19.59% 6.63% (1.79)%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 4,934,689 $ 4,766,576 $ 4,117,666 $ 3,873,018 $ 3,202,825 $ 3,186,441
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 4,803,842 $ 4,392,321 $ 4,025,554 $ 3,521,307 $ 3,263,490 $ 3,349,859
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.01% 4.82% 4.69% 6.60% 7.91% 8.90%
Total expenses 0.92% 0.94% 4 0.95% 4,5 0.95% 4 1.01% 4 0.93% 4
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 46% 6 103% 6 90% 6 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ----------------------------------------------------------------------------
Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
64 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPT. 30,
CLASS B (UNAUDITED) 2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .09 1 .17 1 .16 .22 .28 .33
Net realized and unrealized gain
(loss) (.03) .20 .15 .44 (.05) (.43)
--------------------------------------------------------------------------------------------
Total from investment operations .06 .37 .31 .66 .23 (.10)
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.19) (.26) (.17) (.22) (.28) (.24)
Tax return of capital distribution -- -- -- -- (.02) (.12)
--------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.19) (.26) (.17) (.22) (.30) (.36)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.22 $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73
============================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 1.53% 8.94% 7.66% 18.62% 6.11% (2.53)%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 814,730 $ 918,651 $ 1,163,555 $ 1,686,295 $ 1,847,182 $ 2,186,638
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 855,350 $ 1,021,022 $ 1,424,322 $ 1,757,152 $ 2,056,449 $ 2,394,886
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.24% 4.05% 4.16% 5.92% 7.22% 8.14%
Total expenses 1.70% 1.70% 1.69% 1.68% 1.75% 1.68%
Expenses after payments and waivers
and reduction to custodian expenses 1.70% 1.69% 1.69% 1.68% 1.75% 1.68%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 46% 4 103% 4 90% 4 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of less than
one full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ----------------------------------------------------------------------------
Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
65 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPT. 30,
CLASS C (UNAUDITED) 2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .09 1 .17 1 .17 .23 .29 .33
Net realized and unrealized gain
(loss) (.04) .20 .15 .42 (.06) (.43)
-------------------------------------------------------------------------------------------
Total from investment operations .05 .37 .32 .65 .23 (.10)
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.19) (.26) (.17) (.22) (.28) (.24)
Tax return of capital distribution -- -- -- -- (.02) (.12)
-------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.19) (.26) (.17) (.22) (.30) (.36)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.19 $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71
===========================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 1.28% 8.96% 7.95% 18.45% 6.15% (2.54)%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 825,064 $ 788,217 $ 710,085 $ 698,196 $ 568,487 $ 553,399
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 796,193 $ 748,199 $ 716,206 $ 623,598 $ 571,292 $ 554,279
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.25% 4.07% 4.06% 5.85% 7.15% 8.15%
Total expenses 1.68% 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 1.68% 4
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 46% 6 103% 6 90% 6 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ----------------------------------------------------------------------------
Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
66 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPT. 30,
CLASS N (UNAUDITED) 2005 2004 2003 2002 2001 1
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value. beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 $ 4.13
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 2 .19 2 .17 .25 .30 .22
Net realized and unrealized gain (loss) (.03) 19 .16 .42 (.05) (.41)
-------------------------------------------------------------------------------------
Total from investment operations .07 .38 .33 .67 .25 (.19)
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.20) (.27) (.18) (.24) (.30) (.15)
Tax return of capital distribution -- -- -- -- (.02) (.07)
-------------------------------------------------------------------------------------
Total dividends and/or distributions to
shareholders (.20) (.27) (.18) (.24) (.32) (.22)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.21 $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72
=====================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 1.71% 9.27% 8.28% 18.82% 6.70% (4.61)%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 94,712 $ 83,287 $ 52,969 $ 30,110 $ 15,508 $ 3,215
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 88,712 $ 69,480 $ 40,043 $ 22,627 $ 8,954 $ 1,348
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 4.60% 4.37% 4.19% 6.08% 7.07% 9.74%
Total expenses 1.34% 1.40% 5 1.38% 5,6 1.34% 5 1.22% 5 0.98% 5
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 46% 7 103% 7 90% 7 104% 117% 209%
1. For the period from March 1, 2001 (inception of offering) to September 30,
2001.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
4. Annualized for periods of less than one full year.
5. Reduction to custodian expenses less than 0.01%.
6. Voluntary waiver of transfer agent fees less than 0.01%.
7. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------------
Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
67 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2006 SEPT. 30,
CLASS Y (UNAUDITED) 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .11 1 .21 1 .21 .26 .32 .36
Net realized and unrealized gain (loss) (.02) .19 .14 .42 (.06) (.42)
-----------------------------------------------------------------------------------
Total from investment operations .09 .40 .35 .68 .26 (.06)
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.22) (.30) (.20) (.25) (.31) (.26)
Tax return of capital distribution -- -- -- -- (.02) (.14)
-----------------------------------------------------------------------------------
Total dividends and/or distributions to
shareholders (.22) (.30) (.20) (.25) (.33) (.40)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.19 $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71
===================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.06% 9.73% 8.80% 19.33% 7.06% (1.58)%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 118,293 $ 62,824 $ 150,699 $ 240,296 $ 152,767 $ 103,858
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 86,795 $ 68,656 $ 213,632 $ 194,308 $ 127,992 $ 94,400
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.33% 4.84% 4.80% 6.57% 7.86% 9.09%
Total expenses 0.61% 1.16% 1.29% 1.41% 1.74% 1.35%
Expenses after payments and waivers
and reduction to custodian expenses 0.61% 0.80% 0.90% 0.91% 0.90% 0.78%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 46% 4 103% 4 90% 4 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- -------------------------------------------------------------------------------
Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
68 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities listed or traded on National
Stock Exchanges or other domestic exchanges are valued based on the last sale
price of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ are valued based on the closing
price provided by NASDAQ prior to the time when the Fund's assets are valued. In
the absence of a sale, the security is valued at the last sale price on the
prior trading day, if it is within the spread of the closing "bid" and "asked"
prices, and if not, at the closing bid price. Securities traded on foreign
exchanges are valued based on the last sale price on the principal exchange on
which the security is traded, 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
69 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
trading session ending at, or most recently prior to, the time when the Fund's
assets are valued. Securities (including restricted securities) for which market
quotations are not readily available are valued at their fair value. Foreign and
domestic securities whose values have been materially affected by what the
Manager identifies as a significant event occurring before the Fund's assets are
valued but after the close of their respective exchanges will be fair valued.
Fair value is determined in good faith using consistently applied procedures
under the supervision of the Board of Trustees. Short-term "money market type"
debt securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured note is sold or matures. As of March 31, 2006, the market
value of these securities comprised 13.6% of the Fund's net assets and resulted
in unrealized cumulative gains of $49,111,614.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The purchase of securities on a when-issued
basis or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of March 31, 2006, the Fund had purchased $450,969,728
of securities issued on a when-issued basis or forward commitment and sold
$160,117,441 of securities issued on a when-issued basis or forward commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The
70 | OPPENHEIMER STRATEGIC INCOME FUND
Fund records the incremental difference between the forward purchase and sale of
each forward roll as realized gain (loss) on investments or as fee income in the
case of such transactions that have an associated fee in lieu of a difference in
the forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of March 31, 2006, securities with an aggregate
market value of $22,996,693, representing 0.34% of the Fund's net assets, were
in default.
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of the New
York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each
day the Exchange is open for business. Foreign exchange rates may be valued
primarily using dealer supplied valuations or a portfolio pricing service
authorized by the Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the
71 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
agreements mature. Each agreement requires that the market value of the
collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
As of March 31, 2006, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $957,736,877 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
March 31, 2006, it is estimated that the Fund will utilize $62,577,756 of
capital loss carryforward to offset realized capital gains. During the year
ended September 30, 2005, the Fund utilized $12,383,126 of capital loss
carryforward to offset capital gains realized in that fiscal year.
As of September 30, 2005, the Fund had available for federal income tax purposes
unused capital loss carryforwards as follows:
EXPIRING
----------------------------------------
2007 $ 6,301,259
2008 358,683,799
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
---------------
Total $ 1,020,314,633
===============
72 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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 distributions, if any, are declared
daily and paid monthly. Capital gain distributions, if any, are declared and
paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, 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 March 31, 2006, the Fund had $4,120 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
73 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 MARCH 31, 2006 YEAR ENDED SEPTEMBER 30, 2005
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------
CLASS A
Sold 145,337,887 $ 616,271,386 253,721,621 $ 1,091,121,076
Dividends and/or
distributions reinvested 41,093,066 173,685,118 48,950,677 211,128,508
Acquisition--Note 13 -- -- 62,844,742 270,860,838
Redeemed (111,689,637) (473,538,586) (239,685,952) (1,031,839,279)
----------------------------------------------------------------
Net increase 74,741,316 $ 316,417,918 125,831,088 $ 541,271,143
================================================================
- ----------------------------------------------------------------------------------------------
CLASS B
Sold 14,202,742 $ 60,420,210 27,868,668 $ 120,195,274
Dividends and/or
distributions reinvested 6,364,278 26,983,725 9,542,125 41,299,086
Redeemed (38,529,751) (164,137,620) (100,359,143) (432,828,461)
----------------------------------------------------------------
Net decrease (17,962,731) $ (76,733,685) (62,948,350) $ (271,334,101)
================================================================
- ----------------------------------------------------------------------------------------------
CLASS C
Sold 27,013,757 $ 114,214,246 40,612,822 $ 174,277,627
Dividends and/or
distributions reinvested 6,400,935 27,009,878 7,606,352 32,743,949
Redeemed (18,878,035) (79,850,347) (34,262,628) (146,992,732)
----------------------------------------------------------------
Net increase 14,536,657 $ 61,373,777 13,956,546 $ 60,028,844
================================================================
- ----------------------------------------------------------------------------------------------
CLASS N
Sold 5,271,680 $ 22,363,666 10,118,176 $ 43,521,928
Dividends and/or
distributions reinvested 891,583 3,771,419 896,137 3,865,917
Redeemed (2,840,849) (12,034,430) (4,331,470) (18,633,796)
----------------------------------------------------------------
Net increase 3,322,414 $ 14,100,655 6,682,843 $ 28,754,049
================================================================
74 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS ENDED MARCH 31, 2006 YEAR ENDED SEPTEMBER 30, 2005
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------
CLASS Y
Sold 13,125,956 $ 55,462,069 16,530,646 $ 72,458,398
Dividends and/or
distributions reinvested 1,003,882 4,227,003 1,472,034 4,751,793
Redeemed (435,710) (1,838,041) (39,181,919) (169,015,637)
--------------------------------------------------------------
Net increase (decrease) 13,694,128 $ 57,851,031 (21,179,239) $ (91,805,446)
==============================================================
- --------------------------------------------------------------------------------
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 March 31, 2006, were as
follows:
PURCHASES SALES
- ---------------------------------------------------------------------------------------------
Investment securities $2,425,927,055 $2,698,143,590
U.S. government and government agency obligations 134,533,857 78,736,206
To Be Announced (TBA) mortgage-related securities 2,510,070,100 2,602,373,263
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Effective January 1, 2006, management fees paid to the Manager
were in accordance with the investment advisory agreement with the Fund which
provides for a fee at an annual rate of 0.75% of the first $200 million of
average annual net assets of the Fund, 0.72% of the next $200 million, 0.69% of
the next $200 million, 0.66% of the next $200 million, 0.60% of the next $200
million, and 0.50% of the next $4.0 billion, and 0.48% of average annual net
assets in excess of $5 billion. Prior to January 1, 2006, the Fund provided for
a fee at an annual rate of 0.75% of the first $200 million of average annual net
assets of the Fund, 0.72% of the next $200 million, 0.69% of the next $200
million, 0.66% of the next $200 million, 0.60% of the next $200 million, and
0.50% of average annual net assets in excess of $1 billion.
- --------------------------------------------------------------------------------
ADMINISTRATION 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 March 31, 2006, the Fund paid
$4,502,850 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.
75 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
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 March 31, 2006 for Class B, Class C and
Class N shares were $1,457,492, $96,985,771, and $25,279,705, 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 following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- ------------------------------------------------------------------------------------------------------
March 31, 2006 $1,010,137 $10,701 $880,344 $52,075 $14,239
- --------------------------------------------------------------------------------
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.
76 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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 March 31, 2006, the Fund had outstanding foreign currency contracts as
follows:
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000s) 2006 APPRECIATION DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso [ARP] 5/3/06 84,000ARP $ 27,242,895 $ -- $ 3,294
Brazilian Real [BRR] 4/28/06-1/5/10 258,286BRR 104,263,690 16,691,054 --
British Pound Sterling [GBP] 9/5/06 3,750GBP 6,530,973 -- 1,115
Canadian Dollar [CAD] 4/28/06 65,840CAD 56,421,746 -- 1,162,916
Chilean Peso [CLP] 4/6/06-4/28/06 8,750,000CLP 16,595,072 46,114 171,343
Indian Rupee [INR] 4/7/06 1,200,000INR 26,953,240 -- 58,578
Japanese Yen [JPY] 4/5/06-6/15/06 24,185,000JPY 206,638,993 -- 2,844,901
Mexican Nuevo Peso [MXN] 4/17/06-4/25/06 474,930MXN 43,575,889 393,711 540,317
New Turkish Lira [TRY] 4/17/06-2/1/08 107,368TRY 74,706,354 7,875,909 153,277
Norwegian Krone [NOK] 6/14/06 383,810NOK 58,847,933 1,262,901 --
South Korean Won [KRW] 5/2/06-6/5/06 35,003,000KRW 36,067,540 5,098 35,275
Swedish Krona [SEK] 5/15/06 455,090SEK 58,635,998 1,417 618,726
Swiss Franc [CHF] 6/9/06 15,070CHF 11,647,162 55,692 --
Thailand Baht [THB] 4/17/06 991,000THB 25,490,104 370,335 --
-----------------------------
26,702,231 5,589,742
-----------------------------
CONTRACTS TO SELL
Brazilian Real [BRR] 4/3/06 28,985BRR 13,383,630 -- 339,121
British Pound Sterling [GBP] 6/15/06-8/7/06 52,610GBP 91,512,913 177,425 459,959
Canadian Dollar [CAD] 8/17/06 14,600CAD 12,551,668 104,365 --
Chinese Renminbi [CNY] 4/17/06 220,000CNY 27,481,840 -- 19,600
Czech Koruna [CZK] 5/3/06 650,000CZK 27,743,713 -- 220,117
Euro [EUR] 5/3/06-9/6/06 140,835EUR 171,713,700 431,967 631,680
Japanese Yen [JPY] 4/17/06-9/5/06 14,989,000JPY 128,950,061 1,421,972 28,567
77 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) 2006 APPRECIATION DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL Continued
New Taiwan Dollar [TWD] 4/17/06 870,000TWD $ 26,853,928 $ 91,902 $ --
Peruvian New Sol [PEN] 5/4/06 42,410PEN 12,565,121 -- 21,496
South African Rand [ZAR] 4/11/06-4/12/06 147,030ZAR 23,829,870 171,989 --
Swiss Franc [CHF] 4/18/06 36,000CHF 27,665,385 202,382 --
-----------------------------
2,602,002 1,720,540
-----------------------------
Total unrealized appreciation and depreciation $ 29,304,233 $ 7,310,282
=============================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations as the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
78 | OPPENHEIMER STRATEGIC INCOME FUND
As of March 31, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2006 (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
DAX Index 6/16/06 66 $ 12,000,382 $ 126,495
Euro-Bundesobligation, 10 yr. 6/8/06 46 6,531,690 (69,453)
FTSE 100 Index 6/16/06 93 9,646,264 (26,682)
Hang Seng Stock Index 4/27/06 67 6,826,373 (23,347)
Japan (Government of) Bonds, 10 yr. 6/9/06 173 196,164,656 (1,970,685)
Japan (Government of) Mini Bonds, 10 yr. 6/8/06 116 13,133,526 (141,913)
MSCI Taiwan Index 4/27/06 244 6,817,360 83,418
NASDAQ 100 E-Mini Index 6/16/06 678 23,323,200 162,892
Nikkei 225 Index 6/8/06 14 2,024,469 157,093
Standard & Poor's ASX 200 Index 6/15/06 76 6,990,135 267,563
Standard & Poor's/MIB Index, 10 yr. 6/16/06 30 6,784,883 (128,680)
U.S. Long Bonds 6/21/06 1,227 133,934,719 (4,130,128)
U.S. Treasury Nts., 10 yr. 6/21/06 795 84,580,547 (842,569)
United Kingdom Long Gilt 6/28/06 20 3,879,632 (19,903)
---------------
(6,555,899)
---------------
CONTRACTS TO SELL
CAC-40 10 Index 4/21/06 344 21,752,733 (323,740)
DAX Index 6/16/06 119 21,637,052 (230,977)
Euro-Bundesobligation, 10 yr. 6/8/06 128 18,175,138 210,426
FTSE 100 Index 6/16/06 233 24,167,521 47,256
Nikkei 225 Index 6/8/06 179 25,884,282 (2,069,291)
Standard & Poor's 500 E-Mini Index 6/16/06 2,029 132,219,785 (1,387,462)
Standard & Poor's/Toronto
Stock Exchange 60 Index 6/15/06 59 6,926,318 (102,274)
U.S. Long Bonds 6/21/06 1,080 117,888,750 2,547,450
U.S. Treasury Nts., 2 yr. 6/30/06 1,464 298,450,125 412,654
U.S. Treasury Nts., 5 yr. 6/30/06 882 92,113,875 606,622
U.S. Treasury Nts., 10 yr. 6/21/06 1,911 203,312,484 484,313
---------------
194,977
---------------
$ (6,360,922)
===============
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction.
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY Continued
When an option is exercised, the proceeds on sales for a written call option,
the purchase cost for a written put option, or the cost of the security for a
purchased put or call option is adjusted by the amount of premium received or
paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Contracts subject to call, expiration
date, exercise price, premium received and market value are detailed in a note
to the Statement of Investments. Options written are reported as a liability in
the Statement of Assets and Liabilities. Realized gains and losses are reported
in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may incur
a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium whether
or not the option is exercised. The Fund also has the additional risk of not
being able to enter into a closing transaction if a liquid secondary market does
not exist.
Written option activity for the six months ended March 31, 2006 was as follows:
PUT OPTIONS
------------------------------
NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS
- ------------------------------------------------------------
Options outstanding as of
September 30, 2005 -- $ --
Options written 34,469,000,000 722,737
------------------------------
Options outstanding as of
March 31, 2006 34,469,000,000 $ 722,737
==============================
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS
The Fund may enter into a total return swap transaction to maintain a total
return on a particular investment, or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as notional. The unrealized gain (loss) related to the daily change
in the valuation of the notional amount of the swap, as well as the amount due
to (owed by) the Fund at termination or settlement is combined and separately
disclosed as an asset (liability). The Fund also records any periodic payments
received from (paid to) the counterparty, including at termination, under such
contracts as realized gain (loss). Total return swaps are subject to risks (if
the counterparty fails to meet its obligations).
80 | OPPENHEIMER STRATEGIC INCOME FUND
As of March 31, 2006, the Fund had entered into the following total return swap
agreements:
SWAP NOTIONAL TERMINATION UNREALIZED
COUNTERPARTY SWAP DESCRIPTION AMOUNT DATES APPRECIATION
- -------------------------------------------------------------------------------------------
Deutsche Bank AG Six-Month BBA LIBOR $12,650,000 5/13/15 $ 1,714,142
- -------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Received or paid monthly.
If the sum of the Lehman
Brothers CMBS Index Payer
Payment Amount and the
Floating Rate Payer Payment
Amount is positive, the
Counterparty will pay such
amount to the Fund. If the
sums are negative, then the
Fund shall pay the absolute
value of such amount to the
Counterparty. 10,385,000 6/1/06 24,096
Six-Month BBA LIBOR 7,180,000 1/14/15 991,419
Six-Month BBA LIBOR 7,180,000 1/20/15 1,011,652
------------
$ 3,741,309
============
Abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
CMBS Commercial Mortgage Backed Securities
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS
The Fund may enter into an interest rate swap transaction to maintain a total
return or yield spread on a particular investment, or portion of its portfolio,
or for other non-speculative purposes. Interest rate swaps involve the exchange
of commitments to pay or receive interest, e.g., an exchange of floating rate
payments for fixed rate payments. The coupon payments are based on an agreed
upon principal amount and a specified index. Because the principal amount is not
exchanged, it represents neither an asset nor a liability to either
counterparty, and is referred to as notional. The Fund records an increase or
decrease to unrealized gain (loss) on the notional amount of the swap in an
amount equal to the daily change in such valuation. The Fund also records any
periodic payments received from (paid to) the counterparty, including at
termination, under such contracts as realized gain (loss).
Interest rate swaps are subject to credit risk (if the counterparty fails
to meet its obligations) and interest rate risk. The Fund could be obligated to
pay more under its swap agreements than it receives under them, as a result of
interest rate changes.
As of March 31, 2006, the Fund had entered into the following interest rate swap
agreements:
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
Citigroup
Global Markets
Holdings, Inc.:
7,200,000,000KRW 4.2600% 4.9000% KWCDC 2/13/11 $ (17,466)
10,800,000,000KRW 4.1600 4.9900 KWCDC 2/1/11 24,401
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
Citigroup
Global Markets
Holdings, Inc.:
Continued Six-Month
11,250,000PLZ 4.1400% 5.5200% WIBO 3/24/10 $ 107,793
Six-Month
18,000,000PLZ 4.1300 5.5500 WIBO 3/24/10 178,190
- -------------------------------------------------------------------------------------------------------------------
Citigroup
Global
Markets
Holdings, Inc., Three-Month
10 yr. 125,000,000 4.7100 4.9600 BBA LIBOR 5/6/14 (1,656,224)
- -------------------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston 28-Day
International 68,120,000MXN 7.5700 10.0000 MXN TIIE 7/9/15 263,089
- -------------------------------------------------------------------------------------------------------------------
Credit Suisse First
Boston, Inc. Six-Month
(Nassau Branch) 29,695,000PLZ 4.6000 4.4800 WIBO 7/1/10 120,703
- -------------------------------------------------------------------------------------------------------------------
Deutsche
Bank AG:
8,720,000,000KRW 4.2600 4.8600 KWCDC 3/2/11 (42,187)
Six-Month
6,930,000 (3.6600) 5.3800 LIBOR 6/23/15 695,042
- -------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG, 5 yr.: 90-Day
481,500,000TWD 2.5850 1.5304 CPTW 8/19/09 (321,915)
637,815,000INR 4.8800 6.0600 IRS 1/15/09 672,201
- -------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG, 10 yr. Three-Month
94,000,000 4.7400 5.3200 BBA LIBOR 5/12/14 1,053,240
- -------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
118,589,283BRR 14.1400 17.1800 BZDI 1/2/08 1,819,440
12,475,040BRR 21.8800 17.7200 BZDI 1/2/07 52,398
19,476,430BRR 18.1900 18.1600 BZDI 1/2/08 517,334
34,200,000MXN 7.6950 10.0000 MXN TIIE 6/24/15 144,169
67,560,000MXN 8.0650 10.2200 MXN TIIE 1/30/15 374,433
59,375,000MXN 7.6500 10.4300 MXN TIIE 5/29/15 400,332
59,375,000MXN 7.6350 10.3000 MXN TIIE 6/1/15 353,823
59,620,000MXN 7.6250 10.2900 MXN TIIE 6/14/15 350,473
82 | OPPENHEIMER STRATEGIC INCOME FUND
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
23,464,063BRR 16.2100% 18.0000% BZDI 1/2/07 $ 161,965
9,638,700BRR 22.0400 17.1700 BZDI 1/2/08 122,246
11,780,630BRR 22.0400 17.1700 BZDI 1/2/08 149,412
70,140,000MXN 7.8500 10.7000 MXN TIIE 5/8/15 579,812
39,690,000MXN 8.0650 9.4100 MXN TIIE 8/31/20 (21,849)
78,820,000MXN 8.0750 9.5000 MXN TIIE 8/28/25 (17,206)
119,100,000MXN 7.7425 9.5100 MXN TIIE 8/26/25 (29,326)
89,830,000MXN 7.7425 9.7400 MXN TIIE 1/5/10 305,708
179,660,000MXN 7.5700 9.8400 MXN TIIE 12/31/09 670,180
30,800,000MXN 7.6700 10.8500 MXN TIIE 3/5/15 282,133
- -------------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank: Six-Month
3,175,600,000HUF 6.2800 7.0000 LIBOR flat 7/14/08 485,409
28-Day
117,080,000MXN 7.7425 10.8800 MXN TIIE 11/16/14 1,041,915
65,300,000MXN 7.7350 9.7600 MXN TIIE 8/17/15 159,137
Three-Month
300,000,000 4.5900 4.9503 BBA LIBOR 3/24/10 7,490,650
Three-Month
8,500,000 4.9600 4.3800 LIBOR 9/27/14 (572,401)
Three-Month
17,455,000 4.6600 4.9400 BBA LIBOR 4/30/14 (254,605)
- -------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special
Financing, Inc.: 28-Day
67,450,000MXN 7.5700 9.9900 MXN TIIE 7/19/15 275,852
Six-Month
34,350,000PLZ 4.6000 4.5300 WIBO 7/5/10 (87,207)
- -------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
12,776,603BRR 18.6800 16.8800 BZDI 1/2/08 110,804
25,645,000BRR 13.2600 17.5900 BZDI 1/2/07 148,314
Six-Month
1,174,000,000JPY 1.5220 0.0788 BBA LIBOR 10/5/13 283,172
Six-Month
3,981,000,000JPY 0.0788 0.6700 BBA LIBOR 10/5/08 (350,528)
Three-Month
38,140,000ZAR 7.1000 8.1400 JIBA 5/18/10 146,868
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
RATE RATE
PAID BY RECEIVED BY
THE FUND AT THE FUND AT UNREALIZED
SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION
COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
UBS AG Six-Month
369,480,000NOK 4.2200% 3.3453% LIBOR 2/6/12 $ 562,711
--------------
$ 16,732,435
==============
Notional amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
BRR Brazilian Real
HUF Hungarian Forint
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Nuevo Peso
NOK Norwegian Krone
PLZ Polish Zloty
TWD New Taiwan Dollar
ZAR South African Rand
Index abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BZDI Brazil Cetip Interbank Deposit Rate
CPTW Bloomberg Taiwan Secondary Commercial Papers
IRS India Swap Composites
JIBA South Africa Johannesburg Interbank Agreed Rate
KWCDC South Korean Won
LIBOR London-Interbank Offered Rate
MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate
WIBO Poland Warsaw Interbank Offer Bid Rate
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS
The Fund may enter into a credit default swap contract to seek to maintain a
total return on a particular investment or portion of its portfolio, or for
other non-speculative purposes. Credit default swap contracts are subject to
credit risks (for example if the counterparty fails to meet its obligations).
As a purchaser of a credit default swap contract, the Fund pays a periodic
interest fee on the notional amount to the counterparty. This interest fee is
accrued daily as a component of unrealized appreciation (depreciation) and is
recorded as realized loss upon payment. Upon occurrence of a specific credit
event with respect to the underlying referenced debt obligation, the Fund is
obligated to deliver that security to the counterparty in exchange for receipt
of the notional amount from the counterparty. The difference between the value
of the security delivered and the notional amount received is recorded as
realized gain. Information regarding such credit default swaps as of March 31,
2006 is as follows:
84 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL AMOUNT
RECEIVED BY THE ANNUAL INTEREST UNREALIZED
FUND UPON RATE PAID APPRECIATION
COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Limited
London, UK:
Mexican Government Bond $ 12,930,000 0.648% $ (6,486)
Republic of Hungary 4.50% Bond 13,190,000 0.400 199,636
- -----------------------------------------------------------------------------------------------------------------------
Deutsche Bank Colombian Government Bond 24,950,000 1.320 41,252
- -----------------------------------------------------------------------------------------------------------------------
JPMorgan
Chase New York, NY:
Kingdom of Jordan 6% Step-up Bond 4,525,000 2.000 (32,976)
Russian Federation 2.50% Step-up Bond 8,390,000 2.400 (951,932)
- -----------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing, Inc.:
- -----------------------------------------------------------------------------------------------------------------------
General Motors 7.125% Bond 4,300,000 5.450 22,360
General Motors 7.125% Bond 8,700,000 4.400 78,300
- -----------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Indonesian Government Bond 7,600,000 1.680 (8,467)
Mexican Government Bond 22,280,000 0.648 19,171
Republic of Colombia 10.375% Bond 5,880,000 3.700 (704,618)
Ukrainian Government Bond 7,725,000 1.770 (35,441)
Ukrainian Government Bond 4,504,000 1.650 (26,599)
- -----------------------------------------------------------------------------------------------------------------------
UBS AG, London Branch:
Federal Republic of Brazil 12.25% Bond 11,315,000 4.500 (1,470,534)
Ukrainian Government Bond 12,895,000 1.840 (16,972)
---------------
$ (2,893,306)
===============
As a seller of a credit default swap contract, the Fund receives a periodic
interest fee on the notional amount from the counterparty. This interest fee is
accrued daily as a component of unrealized appreciation (depreciation) and is
recorded as realized gain upon receipt. Upon occurrence of a specific credit
event with respect to the underlying referenced debt obligation, the Fund
receives that security from the counterparty in exchange for payment of the
notional amount to the counterparty. The difference between the value of the
security received and the notional amount paid is recorded as realized loss.
Information regarding such credit default swaps as of March 31, 2006 is as
follows:
NOTIONAL AMOUNT
PAID BY THE ANNUAL INTEREST UNREALIZED
FUND UPON RATE RECEIVED APPRECIATION
COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Limited
London, UK Russian Government Bond $ 12,930,000 0.648% $ 58,451
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS Continued
NOTIONAL AMOUNT
PAID BY THE ANNUAL INTEREST UNREALIZED
FUND UPON RATE RECEIVED APPRECIATION
COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------
Deutsche Bank:
Peruvian Government Bond $ 24,950,000 1.820% $ (333,967)
Ukrainian Government Bond 12,895,000 1.880 (68,201)
- -----------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing, Inc.:
General Motors 7.125% Bond 4,300,000 9.800 (148,995)
General Motors 7.125% Bond 8,700,000 5.550 (1,294,125)
- -----------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.
Indonesian Government Bond 7,600,000 1.670 (16,709)
---------------
$ (1,803,546)
===============
- --------------------------------------------------------------------------------
11. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable changes
in the preset rate on the underlying interest rate swap. Swaption contracts
written by the Fund do not give rise to counterparty credit risk as they
obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
Written swaption activity for the six months ended March 31, 2006 was as
follows:
CALL SWAPTIONS
------------------------------
NOTIONAL AMOUNT OF
AMOUNT PREMIUMS
- ------------------------------------------------------------
Swaptions outstanding as of
September 30, 2005 $ 69,130,000 $ 283,433
Swaptions closed or expired (69,130,000) (283,433)
------------------------------
Swaptions outstanding as of
March 31, 2006 $ -- $ --
==============================
- --------------------------------------------------------------------------------
12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of March 31, 2006, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its
86 | OPPENHEIMER STRATEGIC INCOME FUND
valuation has not changed for a certain period of time. The Fund will not invest
more than 10% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. Securities that are illiquid or restricted are
marked with the applicable footnote on the Statement of Investments. Information
concerning restricted securities and currency is as follows:
UNREALIZED
ACQUISITION VALUATION AS OF APPRECIATION
SECURITY DATES COST MARCH 31, 2006 (DEPRECIATION)
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Huntsman Corp. 4/7/05 $ 462,874 $ 1,255,856 $ 792,982
Prandium, Inc. 3/18/99 12,157,000 10,343 (12,146,657)
--------------------------------------------------
12,619,874 1,266,199 (11,353,675)
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CURRENCY
Argentine Peso [ARP] 2/21/06-3/28/06 1,912,574 1,903,718 (8,856)
--------------------------------------------------
$ 14,532,448 $ 3,169,917 $ 11,362,531
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13. ACQUISITION OF OPPENHEIMER MULTI-SECTOR INCOME TRUST
On July 22, 2005, the Fund acquired all of the net assets of Oppenheimer
Multi-Sector Income Trust, pursuant to an Agreement and Plan of Reorganization
approved by the Oppenheimer Multi-Sector Income Trust shareholders on July 12,
2005. The Fund issued (at an exchange ratio of 2.150014 for Class A of the Fund
to one share of Oppenheimer Multi-Sector Income Trust) 62,844,742 shares of
beneficial interest for Class A, valued at $270,860,838 in exchange for the net
assets, resulting in combined Class A net assets of $4,466,747,248 on July 22,
2005. The net assets acquired included net unrealized appreciation of $6,581,052
and an unused capital loss carryforward of $32,689,355, potential utilization
subject to tax limitations. The exchange qualified as a tax-free reorganization
for federal income tax purposes.
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14. 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 March 31, 2006,
the Fund had on loan securities valued at
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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14. SECURITIES LENDING Continued
$336,977,428. Collateral of $342,845,495 was received for the loans, of which
$234,042,639 was received in cash and subsequently invested in approved
instruments.
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15. 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.
In response to the defendants' motions to dismiss the suit, 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,
and the remaining count against the Manager and the Transfer Agent was dismissed
with prejudice by court order dated April 5, 2006. The plaintiffs filed an
appeal of those dismissals on May 11, 2006.
The Manager believes that it is premature to render any opinion as to the
likelihood of an outcome unfavorable to them, the Funds, the Directors/Trustees
or the Officers on the appeal of the decisions of the district court, and that
no estimate can yet be made with any degree of certainty as to the amount or
range of any potential loss. However, the Manager believes that the allegations
contained in the complaints are without merit and that there are substantial
grounds to sustain the district court's rulings.
88 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
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The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-033.
89 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
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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 manager 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
90 | OPPENHEIMER STRATEGIC INCOME 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 Arthur P. Steinmetz and the Manager's international and
quantitative fixed income investment team and analysts. Mr. Steinmetz has had
over 23 years of experience managing fixed income 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 multi-sector income funds (including
both funds advised by the Manager and funds] advised by other investment
advisers). The Board noted that the Fund's one-year, three-year, five-year and
ten-year performance were all 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. 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 multi-sector income funds and other funds
with comparable asset levels and distribution features. The Board noted that the
Fund's contractual management fees lower than its peer group average and equal
to its peer group median and that the Fund's actual management fees and total
expenses are both lower
91 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
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than its peer 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 breakpoints, which
are intended to share with shareholders economies of scale that may exist as the
Fund grows. Based on the Board's evaluation, the Manager agreed to a revised
breakpoint schedule that, effective January 1, 2006, reduced the management fee
on average annual net assets over $5.0 billion to 0.48%.
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.
92 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. 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 March 31, 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 Strategic Income Fund
By: /s/ John V. Murphy
----------------------------
John V. Murphy
Principal Executive Officer
Date: May 15, 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: May 15, 2006
By: /s/ Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: May 15, 2006