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 811-3420
OPPENHEIMER INTEGRITY FUNDS
(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: DECEMBER
Date of reporting period: 06/30/2006
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Media 3.5%
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Commercial Banks 2.5
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Household Durables 2.4
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Insurance 2.3
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Hotels, Restaurants & Leisure 2.3
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Automobiles 2.0
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Food & Staples Retailing 2.0
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Oil & Gas 1.9
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Multi-Utilities & Unregulated Power 1.8
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Real Estate 1.4
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2006, and are based on net assets.
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CREDIT ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Treasury 1.1%
Agency 45.3
AAA 16.3
AA 1.1
A 5.3
BBB 12.9
BB 3.8
B 0.2
Not Rated 14.0
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2006, and are based on the total market value of investments. Average
credit quality and ratings include securities rated by a national rating
organization. As of that date, no securities held by the Fund were rated lower
than B.
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10 | OPPENHEIMER CORE BOND FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares.
INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER
CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS
THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR
FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT
WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific Fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 4/15/88. The Fund's
maximum sales charge for Class A shares was lower prior to 3/29/91, so actual
performance may have been higher. 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 5/3/93. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the 10-year return for Class B uses
Class A performance for the period after conversion. Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 7/11/95. 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.
CLASS Y shares of the Fund were first publicly offered on 4/27/98. Class Y
shares are offered only to certain institutional investors under special
agreements with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
11 | OPPENHEIMER CORE BOND FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended June 30, 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
12 | OPPENHEIMER CORE BOND FUND
the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(1/1/06) (6/30/06) JUNE 30, 2006
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Class A Actual $1,000.00 $ 994.30 $4.46
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Class A Hypothetical 1,000.00 1,020.33 4.52
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Class B Actual 1,000.00 990.50 8.18
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Class B Hypothetical 1,000.00 1,016.61 8.28
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Class C Actual 1,000.00 990.50 8.18
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Class C Hypothetical 1,000.00 1,016.61 8.28
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Class N Actual 1,000.00 993.00 5.70
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Class N Hypothetical 1,000.00 1,019.09 5.77
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Class Y Actual 1,000.00 995.70 2.92
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Class Y Hypothetical 1,000.00 1,021.87 2.96
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended June 30, 2006 are as follows:
CLASS EXPENSE RATIOS
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Class A 0.90%
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Class B 1.65
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Class C 1.65
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Class N 1.15
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Class Y 0.59
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Manager and Transfer Agent that can be terminated at any time,
without advance notice. The "Financial Highlights" tables in the Fund's
financial statements, included in this report, also show the gross expense
ratios, without such waivers or reimbursements.
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13 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS June 30, 2006 / Unaudited
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--10.5%
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Ace Securities Corp., Home Equity Loan Pass-Through Certificates,
Series 2002-HE7, Cl. A2B, 5.503%, 11/25/35 1 $ 2,030,000 $ 2,032,315
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 5.327%, 4/20/08 1 960,000 960,708
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Ameriquest Mortgage Securities, Inc., Home Equity Mtg. Obligations,
Series 2006-R2, Cl. A2A, 5.383%, 3/25/36 1 442,250 442,553
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Argent Securities, Inc., Home Equity Asset-Backed Securities:
Series 2004-W8, Cl. A2, 5.803%, 5/25/34 1 8,320,000 8,369,320
Series 2006-W5, Cl. A2B, 5.423%, 5/26/36 1 3,380,000 3,382,041
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BMW Vehicle Owner Trust, Automobile Loan Certificates,
Series 2005-A, Cl. A2, 3.66%, 12/26/07 986,526 984,766
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Capital Auto Receivables Asset Trust, Automobile Asset-Backed Securities,
Series 2004-2, Cl. A3, 3.58%, 1/15/09 3,070,000 3,005,595
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Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates:
Series 2005-A, Cl. AF3, 4.14%, 3/25/28 4,150,000 4,092,923
Series 2005-B, Cl. AF1, 4.05%, 3/26/35 153,966 153,432
Series 2005-C, Cl. AF1, 4.196%, 6/25/35 836,236 832,171
Series 2005-D, Cl. AF1, 5.04%, 10/25/35 2,443,753 2,425,114
Series 2005-D, Cl. AV2, 5.593%, 10/25/35 1 3,640,000 3,644,244
Series 2006-A, Cl. AV2, 5.423%, 5/16/36 1 4,220,000 4,222,548
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Chase Funding Mortgage Loan Asset-Backed Certificates,
Home Equity Mtg. Obligations, Series 2003-2, Cl. 2A2, 5.603%, 2/25/33 1 2,190,314 2,197,391
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Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 432,864
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Citigroup Mortgage Loan Trust, Inc., CMO Asset-Backed
Pass-Through Certificates,
Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 3,741,215 3,695,183
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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 4,360,000 4,437,680
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Countrywide Asset-Backed Certificates, Inc.,
Home Equity Asset-Backed Certificates:
Series 2002-4, Cl. A1, 5.693%, 2/25/33 1 48,808 48,882
Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 948,519 944,065
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,450,000 1,435,383
Series 2005-17, Cl. 1AF1, 5.523%, 5/25/36 1 2,615,144 2,618,556
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 970,000 959,933
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2005-A, Cl. A2, 3.17%, 9/8/07 220,354 220,404
Series 2005-B, Cl. A2, 3.75%, 12/8/07 1,660,758 1,659,336
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First Franklin Mortgage Loan Asset-Backed Certificates,
Home Equity Receivables:
Series 2005-FF10, Cl. A3, 5.533%, 11/25/35 1 5,840,000 5,846,576
Series 2006-FF5, Cl. 2A1, 5.373%, 5/15/36 1 2,488,426 2,489,933
Series 2006-FF9, Cl. 2A2, 7/7/36 1,3 1,820,000 1,820,000
14 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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First Franklin Mortgage Loan Asset-Backed Certificates,
Home Equity Receivables: Continued
Series 2006-FF10, Cl. A3, 5.413%, 7/25/36 1 $ 3,550,000 $ 3,550,000
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Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates:
Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,741,666 3,704,446
Series 2005-B, Cl. A2, 3.78%, 9/15/07 885,106 884,659
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Household Home Equity Loan Trust, Home Equity
Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.527%, 1/20/35 1 2,306,589 2,310,096
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Lehman XS Trust, Home Equity Asset-Backed Pass-Through Certificates:
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 2,911,876 2,896,478
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 2,376,611 2,358,747
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Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates,
Series 2001-1A, Cl. A1, 8.33%, 4/25/31 4 1,715,139 1,730,215
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MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 6.549%, 3/15/16 1 4,380,000 4,662,880
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Merrill Lynch Mortgage Investors, Inc., Home Equity Asset-Backed
Securities, Series 2005-WMC2, Cl. A2B, 5.503%, 4/25/36 1 4,150,000 4,153,625
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Morgan Stanley ABS Capital I, Home Equity Receivables,
Series 2005-WMC6, Cl. A2B, 5.583%, 7/25/35 1 2,050,000 2,055,515
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NC Finance Trust, CMO Home Equity Pass-Through Certificates,
Series 1999-I, Cl. ECFD, 1.079%, 1/25/29 4 1,750,658 367,638
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Onyx Acceptance Owner Trust, Automobile Receivable Obligations,
Series 2005-B, Cl. A2, 4.03%, 4/15/08 1,070,333 1,068,716
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Option One Mortgage Loan Trust, Home Equity Mtg. Obligations,
Series 2006-2, Cl. 2A2, 5.435%, 7/1/36 1 5,940,000 5,940,000
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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 1 840,000 833,551
Series 2005-1, Cl. A F2, 3.914%, 5/25/35 1 620,000 612,349
Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1 1,110,000 1,095,557
Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,520,000 1,499,903
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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 2,530,000 2,506,845
Series 2006-RS4, Cl. A1, 5.163%, 7/25/36 1 2,390,000 2,390,000
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Structured Asset Investment Loan Trust, Home Equity Asset-Backed
Securities, Series 2006-2, Cl. A1, 5.383%, 4/25/36 1 2,876,916 2,878,863
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Structured Asset Securities Corp., Asset-Backed Securities,
Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,605,471 2,229,182
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Structured Asset Securities Corp., Home Equity Asset-Backed Securities:
Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 247,498 246,365
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 2,841,334 2,830,141
15 | OPPENHEIMER CORE BOND 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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Tobacco Settlement Authority, Asset-Backed Securities,
Series 2001-A, 6.79%, 6/1/10 $ 1,160,000 $ 1,186,077
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Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed
Securities, Series 2005-A, Cl. A2, 3.52%, 4/20/07 698,229 697,765
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Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates:
Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 1 347,573 346,568
Series 2006-2, Cl. A2, 5.45%, 7/7/36 1 3,530,000 3,530,000
--------------
Total Asset-Backed Securities (Cost $123,482,964) 121,920,097
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MORTGAGE-BACKED OBLIGATIONS--66.9%
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GOVERNMENT AGENCY--58.7%
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FHLMC/FNMA/SPONSORED--58.6%
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 2,118,992 2,157,793
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Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 28,302,110 26,771,510
5%, 6/1/33-8/1/33 13,718,452 12,877,699
5%, 7/1/36 3 1,107,000 1,034,007
6%, 5/1/18-10/1/29 7,401,032 7,351,406
6.50%, 4/1/18-4/1/34 3,769,263 3,811,413
7%, 7/1/21-3/1/35 13,349,391 13,685,738
8%, 4/1/16 807,339 853,950
9%, 3/1/17-5/1/25 243,114 259,853
12.50%, 4/1/14 1,515 1,670
13.50%, 11/1/10 3,550 3,893
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Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates:
Series 2046, Cl. G, 6.50%, 4/15/28 413,615 419,375
Series 2453, Cl. BD, 6%, 5/15/17 1,805,328 1,816,878
Series 2723, Cl. MC, 7%, 3/15/32 4,500,855 4,606,642
Series 3138, Cl. PA, 5.50%, 2/15/27 18,221,373 18,111,441
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Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 2034, Cl. Z, 6.50%, 2/15/28 55,033 55,672
Series 2053, Cl. Z, 6.50%, 4/15/28 60,305 61,117
Series 2055, Cl. ZM, 6.50%, 5/15/28 68,736 69,404
Series 2063, Cl. PG, 6.50%, 6/15/28 3,856,092 3,898,683
Series 2075, Cl. D, 6.50%, 8/15/28 711,435 720,439
Series 2080, Cl. Z, 6.50%, 8/15/28 46,194 46,526
Series 2195, Cl. LH, 6.50%, 10/15/29 3,261,410 3,288,024
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,186,299 1,201,688
Series 2387, Cl. PD, 6%, 4/15/30 36,678 36,693
Series 2500, Cl. FD, 5.699%, 3/15/32 1 499,635 504,141
Series 2526, Cl. FE, 5.599%, 6/15/29 1 725,748 729,721
Series 2551, Cl. FD, 5.481%, 1/15/33 1 563,937 570,666
Series 2583, Cl. KA, 5.50%, 3/15/22 1,348,664 1,345,891
16 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., CMO Pass-Through
Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 $ 43,829 $ 43,737
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 176, Cl. IO, 14.547%, 6/1/26 5 923,099 224,596
Series 183, Cl. IO, 11.373%, 4/1/27 5 1,393,741 350,819
Series 184, Cl. IO, 17.327%, 12/1/26 5 1,528,022 367,009
Series 192, Cl. IO, 16.097%, 2/1/28 5 371,433 88,174
Series 200, Cl. IO, 14.982%, 1/1/29 5 444,470 109,764
Series 206, Cl. IO,(7.669)%, 12/1/29 5 508,500 130,459
Series 2003-118, Cl. S, 11.864%, 12/25/33 5 8,341,877 806,473
Series 2130, Cl. SC, 0.285%, 3/15/29 5 1,004,373 55,393
Series 2134, Cl. SB, 3.953%, 3/15/29 5 1,055,642 58,689
Series 2796, Cl. SD, 3.304%, 7/15/26 5 1,585,521 90,603
Series 2920, Cl. S,(0.621)%, 1/15/35 5 6,698,059 223,027
Series 3000, Cl. SE, (0.75)%, 7/15/25 5 9,315,145 191,729
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Federal Home Loan Mortgage Corp., Principal-Only
Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.295%, 6/1/26 6 394,520 308,806
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Federal National Mortgage Assn.:
5%, 6/1/18-9/1/33 22,630,040 21,489,444
5%, 7/1/36 3 80,475,000 75,244,125
5%, 11/1/33 3,7 13,859,584 13,022,658
5.50%, 3/1/33-1/1/34 52,446,264 50,611,360
5.50%, 7/1/21-7/1/36 3 132,987,000 128,099,133
6%, 8/1/29-11/1/32 22,114,597 21,861,485
6%, 7/1/21-7/1/36 3 69,658,000 69,479,461
6.50%, 12/1/29-11/1/31 21,982,260 22,219,416
6.50%, 7/1/36 3 20,355,000 20,463,126
7%, 1/1/09-3/1/36 22,044,998 22,614,636
7.50%, 2/1/08-8/1/33 8,591,752 8,919,888
7.50%, 1/1/33 4 7,700,909 7,993,621
8%, 8/1/17 8,047 8,150
8.50%, 7/1/32 89,821 96,691
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Federal National Mortgage Assn. Grantor Trust, CMO,
Trust 2002-T1, Cl. A2, 7%, 11/25/31 2,323,526 2,361,485
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Federal National Mortgage Assn., CMO Gtd.
Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1992-34, Cl. G, 8%, 3/25/22 33,158 33,537
Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 1,359,742 1,378,213
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 558,846 568,412
Trust 1996-35, Cl. Z, 7%, 7/25/26 197,839 202,399
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,724,919 1,752,804
Trust 2001-50, Cl. NE, 6%, 8/25/30 21,332 21,395
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 3,372,732 3,403,090
Trust 2001-70, Cl. LR, 6%, 9/25/30 520,943 520,763
Trust 2001-72, Cl. NH, 6%, 4/25/30 249,494 249,116
Trust 2001-74, Cl. PD, 6%, 5/25/30 103,992 103,682
Trust 2002-9, Cl. PC, 6%, 3/25/17 5,462,731 5,491,599
17 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., CMO Gtd.
Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued
Trust 2002-77, Cl. WF, 5.652%, 12/18/32 1 $ 847,509 $ 855,328
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 5,972,247
Trust 2003-21, Cl. FK, 5.723%, 3/25/33 1 49,408 49,918
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 7,872,337
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,429,819
Trust 2004-101, Cl. BG, 5%, 1/25/20 2,603,000 2,477,451
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,324,613
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,125,135
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,287,521
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 11,700,000 11,098,013
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 9,429,666
Trust 2006-50, Cl. KS, 4.684%, 6/25/36 1 4,483,137 3,795,305
Trust 2006-50, Cl. SK, 4.684%, 6/25/36 1 3,297,025 2,918,448
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 12,563,294 12,470,685
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Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg
Investment Conduit Pass-Through Certificates, Interest-Only
Stripped Mtg.-Backed Security:
Trust 2002-38, Cl. SO, (1.891)%, 4/25/32 5 540,020 23,705
Trust 2002-47, Cl. NS, 1.956%, 4/25/32 5 1,891,805 149,787
Trust 2002-51, Cl. S, 2.081%, 8/25/32 5 1,737,095 137,304
Trust 2002-77, Cl. IS, 2.813%, 12/18/32 5 920,034 68,908
Trust 2006-34, Cl. SK, 15.769%, 5/25/36 5 22,846,090 1,484,996
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Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 222, Cl. 2, 15.776%, 6/1/23 5 3,026,733 683,847
Trust 240, Cl. 2, 17.827%, 9/1/23 5 3,617,020 910,873
Trust 247, Cl. 2, 14.015%, 10/1/23 5 265,604 60,416
Trust 252, Cl. 2, 9.525%, 11/1/23 5 2,665,093 657,803
Trust 254, Cl. 2, 4.488%, 1/1/24 5 4,616,464 1,125,084
Trust 273, Cl. 2, 16.549%, 8/1/26 5 695,700 164,487
Trust 301, Cl. 2, 8.423%, 4/1/29 5 1,723,383 421,227
Trust 303, Cl. IO, (3.994)%, 11/1/29 5 220,798 59,112
Trust 319, Cl. 2, 12.317%, 2/1/32 5 715,421 190,703
Trust 321, Cl. 2, 9.899%, 4/1/32 5 4,372,473 1,168,935
Trust 322, Cl. 2, 16.944%, 4/1/32 5 7,901,536 2,068,261
Trust 324, Cl. 2, 6.923%, 7/1/32 5 3,493,691 889,251
Trust 329, Cl. 2, 10.678%, 1/1/33 5 3,490,337 928,730
Trust 331, Cl. 9, 8.11%, 2/1/33 5 2,094,585 519,521
Trust 334, Cl. 17, 16.971%, 2/1/33 5 357,178 90,842
Trust 344, Cl. 2, 9.623%, 12/1/33 5 28,308,555 7,509,673
Trust 2001-65, Cl. S, 11.844%, 11/25/31 5 4,279,701 366,398
Trust 2001-81, Cl. S, 5.569%, 1/25/32 5 780,153 56,623
Trust 2002-9, Cl. MS, 3.276%, 3/25/32 5 62,398 4,951
Trust 2002-41, Cl. S, 17.001%, 7/25/32 5 5,078,334 402,401
Trust 2002-52, Cl. SD, (0.666)%, 9/25/32 5 2,100,493 152,233
Trust 2002-75, Cl. SA, 13.203%, 11/25/32 5 3,698,748 307,125
Trust 2002-77, Cl. SH, 5.849%, 12/18/32 5 991,785 85,085
18 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued
Trust 2002-84, Cl. SA, 13.791%, 12/25/32 5 $ 257,158 $ 21,412
Trust 2003-4, Cl. S, 12.388%, 2/25/33 5 2,280,609 221,245
Trust 2003-33, Cl. SP, 14.996%, 5/25/33 5 5,866,561 603,572
Trust 2004-54, Cl. DS, (1.529)%, 11/25/30 5 402,826 16,909
Trust 2005-6, Cl. SE, 0.212%, 2/25/35 5 4,596,266 161,574
Trust 2005-19, Cl. SA, (0.538)%, 3/25/35 5 22,987,563 803,248
Trust 2005-40, Cl. SA, (0.029)%, 5/25/35 5 4,289,292 141,272
Trust 2005-71, Cl. SA, 5.893%, 8/25/25 5 5,922,205 226,640
Trust 2006-33, CL. SP, 16.252%, 5/25/36 5 16,292,929 1,094,681
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security:
Trust 322, Cl. 1, 3.248%, 4/1/32 6 2,540,012 1,842,861
Trust 1993-184, Cl. M, 5.346%, 9/25/23 6 873,102 678,702
--------------
678,157,783
- ----------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.1%
Government National Mortgage Assn.:
4.75%, 7/20/25-7/20/27 1 31,975 32,055
7%, 7/15/09 13,988 14,221
8%, 10/15/06 1,614 1,619
8.50%, 8/15/17-12/15/17 315,602 336,754
9%, 2/15/09-6/15/09 14,107 14,595
10%, 11/15/09 18,318 19,169
10.50%, 12/15/17-5/15/21 29,165 32,155
11%, 10/20/19 59,396 64,724
12%, 5/15/14 332 374
- ----------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 2001-21, Cl. SB, (4.691)%, 1/16/27 5 1,928,870 94,092
Series 2002-15, Cl. SM, (7.327)%, 2/16/32 5 1,925,536 94,137
Series 2002-76, Cl. SY, (3.713)%, 12/16/26 5 935,146 53,484
Series 2004-11, Cl. SM, (6.559)%, 1/17/30 5 336,146 16,185
--------------
773,564
- ----------------------------------------------------------------------------------------------------------------
NON-AGENCY--8.2%
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL--6.5%
Asset Securitization Corp., Commercial Interest-Only Stripped
Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 4.194%, 4/14/29 5 39,939,607 955,323
- ----------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates,
Series 1996-MD6, Cl. A3, 7.694%, 11/13/29 1 800,000 817,656
- ----------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 3,580,000 3,429,838
- ----------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., CMO Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,316,650 2,284,525
19 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates:
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 $ 1,951,259 $ 1,942,722
Series 2005-E, Cl. 2A2, 4.977%, 6/25/35 1 412,326 411,425
- ----------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 218,779 208,139
- ----------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 6.710%, 6/22/24 5 8,362,712 315,356
- ----------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc., CMO,
Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,150,000 1,140,636
- ----------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, CMO,
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 4,634,294 4,643,106
- ----------------------------------------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates, Inc.,
Home Equity Asset-Backed Certificates, Series 2005-10,
Cl. AF1, 5.483%, 2/25/36 1 1,287,812 1,288,874
- ----------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, CMO,
Series 2006-AB2, Cl. A7, 5.961%, 5/1/36 8,029,360 8,002,762
- ----------------------------------------------------------------------------------------------------------------
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, CMO,
Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 2,590,000 2,590,000
- ----------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,
Series 1997-CHL1, Cl. D, 7.619%, 4/29/39 1,2 786,892 787,875
- ----------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 206,736
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,791,214
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,250,000 2,186,484
- ----------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 7 811,686 818,662
- ----------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 2,000,000 1,917,188
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 2,720,000 2,658,728
- ----------------------------------------------------------------------------------------------------------------
JP Morgan Commercial Mortgage Finance Corp., Commercial
Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 5,000,000 5,264,453
- ----------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 860,000 825,244
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 3,370,000 3,250,871
- ----------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 2,700,000 2,624,809
- ----------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only
Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 9.98%, 2/18/30 5 10,865,120 240,433
- ----------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., CMO,
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 4 212,940 157,575
- ----------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,999,637 2,972,565
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 3,427,501 3,394,921
20 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 $ 182,000 $ 192,192
- ----------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., CMO Asset-Backed
Pass-Through Certificates:
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,900,670 1,880,301
Series 2006-QS5, Cl. A2, 6%, 4/25/08 9,368,098 9,335,996
- ----------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only
Commercial Mtg. Pass-Through Certificates,
Series 1999-C1, Cl. X, (4.814)%, 5/18/32 5 200,458,312 529,591
- ----------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial
Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,830,000 3,713,583
- ----------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., CMO Pass-Through
Certificates, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 1 1,837,970 1,833,945
- ----------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities Trust, CMO,
Series 2004-DD, Cl. 2A1, 4.513%, 1/25/35 1 542,524 540,166
--------------
75,153,894
- ----------------------------------------------------------------------------------------------------------------
OTHER--0.8%
Ford Credit Auto Owner Trust, Automobile
Loan Pass-Through Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 3,031,092 3,018,916
- ----------------------------------------------------------------------------------------------------------------
JP Morgan Mortgage Trust, CMO Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.746%, 2/25/32 1 2,899,075 2,889,846
- ----------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only
Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 6.924%, 10/23/17 5 15,049 3,305
- ----------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped
Mtg.-Backed Security, Series1987-3, Cl. A, 1.717%, 10/23/17 6 22,273 20,030
- ----------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Securities Corp., CMO Pass-Through
Certificates, Series 2005-AR8, Cl. 2AB1, 5.573%, 7/25/45 1 2,853,010 2,857,152
--------------
8,789,249
- ----------------------------------------------------------------------------------------------------------------
RESIDENTIAL--0.9%
Countrywide Alternative Loan Trust, CMO,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 8,849,553 8,830,199
- ----------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Home Equity Mtg. Pass-Through Certificates,
Series 2005-10, Cl. 2-A3B, 5.55%, 1/25/36 2,426,444 2,394,414
--------------
11,224,613
--------------
Total Mortgage-Backed Obligations (Cost $785,784,322) 774,099,103
- ----------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--6.1%
- ----------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.58%, 1/31/07 8 9,150,000 8,867,530
21 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- ----------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 7 $ 565,000 $ 550,417
- ----------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
4.125%, 7/12/10 7 5,987,000 5,700,474
5.125%, 4/18/08-4/18/11 7 9,025,000 8,915,252
5.50%, 9/15/11 7 1,800,000 1,801,852
6%, 6/15/11 370,000 378,317
6.625%, 9/15/09 3,435,000 3,554,988
- ----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4%, 2/28/07 1,275,000 1,262,440
4.75%, 12/15/10 2,745,000 2,669,449
6%, 5/15/11 7,9 7,570,000 7,741,256
6.625%, 9/15/09 7 2,870,000 2,969,270
- ----------------------------------------------------------------------------------------------------------------
Tennessee Valley Authority Bonds, Series A, 6.79%, 5/23/12 9,238,000 9,826,738
- ----------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.50%, 8/15/28 7,9 1,819,000 1,869,450
6.875%, 8/15/25 7 110,000 130,470
8.875%, 8/15/17 7 3,464,000 4,521,334
STRIPS, 3.86%, 2/15/13 7,8 1,520,000 1,088,550
- ----------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
4.875%, 5/15/09-5/31/11 7 8,021,000 7,955,250
5.125%, 5/15/16 7 1,244,000 1,242,931
--------------
Total U.S. Government Obligations (Cost $73,171,407) 71,045,968
- ----------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.6%
- ----------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--11.3%
- ----------------------------------------------------------------------------------------------------------------
AUTOMOBILES--2.0%
DaimlerChrysler North America Holdings Corp., 7.30% Nts., 1/15/12 5,125,000 5,339,225
- ----------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
5.80% Sr. Unsec. Nts., 1/12/09 1,512,000 1,382,095
9.75% Sr. Unsec. Nts., 9/15/10 2,7 9,995,000 9,747,144
- ----------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8% Bonds, 11/1/31 7 4,210,000 4,057,118
- ----------------------------------------------------------------------------------------------------------------
Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec.
Nts., 12/19/08 2 3,070,000 3,006,347
--------------
23,531,929
- ----------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.3%
Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 5,710,000 5,932,365
- ----------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 4,230,000 4,454,867
- ----------------------------------------------------------------------------------------------------------------
Hyatt Equities LLC, 6.875% Nts., 6/15/07 2 5,630,000 5,664,709
- ----------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 4,615,000 4,511,163
- ----------------------------------------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 1,525,000 1,546,548
- ----------------------------------------------------------------------------------------------------------------
Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 3,523,000 3,793,887
--------------
25,903,539
22 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--2.4%
Beazer Homes USA, Inc., 6.875% Sr. Unsec. Nts., 7/15/15 7 $ 2,870,000 $ 2,626,050
- ----------------------------------------------------------------------------------------------------------------
Centex Corp., 4.875% Sr. Unsec. Nts., 8/15/08 3,485,000 3,407,048
- ----------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc.:
5.375% Sr. Unsec. Nts., 6/15/12 7 3,730,000 3,489,892
6.125% Nts., 1/15/14 7 2,095,000 1,995,464
- ----------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 4,885,000 4,420,925
- ----------------------------------------------------------------------------------------------------------------
KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 7 3,605,000 3,187,638
- ----------------------------------------------------------------------------------------------------------------
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 7 4,105,000 4,255,103
- ----------------------------------------------------------------------------------------------------------------
Pulte Homes, Inc., 4.875% Nts., 7/15/09 4,758,000 4,592,974
--------------
27,975,094
- ----------------------------------------------------------------------------------------------------------------
MEDIA--3.5%
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,520,000 2,621,430
- ----------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 4,150,000 4,079,442
- ----------------------------------------------------------------------------------------------------------------
Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 5,870,000 5,603,596
- ----------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 2,515,000 2,464,700
- ----------------------------------------------------------------------------------------------------------------
Liberty Media Corp.:
5.70% Sr. Unsec. Nts., 5/15/13 2,500,000 2,282,830
7.875% Sr. Nts., 7/15/09 2,015,000 2,096,158
- ----------------------------------------------------------------------------------------------------------------
Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 2,180,000 2,022,079
- ----------------------------------------------------------------------------------------------------------------
TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 4,950,000 5,716,562
- ----------------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 4,780,000 5,423,288
- ----------------------------------------------------------------------------------------------------------------
Tribune Co., 5.50% Nts., Series E, 10/6/08 3,182,000 3,133,933
- ----------------------------------------------------------------------------------------------------------------
Univision Communications, Inc., 3.50% Sr. Unsec. Nts., 10/15/07 7 5,405,000 5,225,408
--------------
40,669,426
- ----------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.4%
Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 3,165,000 3,217,166
- ----------------------------------------------------------------------------------------------------------------
May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 1,615,000 1,648,597
--------------
4,865,763
- ----------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.7%
Gap, Inc. (The):
6.90% Nts., 9/15/07 2,280,000 2,294,619
9.393% Unsub. Nts., 12/15/08 1 530,000 570,321
- ----------------------------------------------------------------------------------------------------------------
Limited Brands, Inc., 6.125% Sr. Unsec. Nts., 12/1/12 5,720,000 5,625,220
--------------
8,490,160
- ----------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--2.1%
- ----------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--2.0%
Ahold Finance USA, Inc., 6.25% Sr. Unsec. Unsub. Nts., 5/1/09 4,455,000 4,421,588
- ----------------------------------------------------------------------------------------------------------------
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 7 4,775,000 4,327,463
23 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING Continued
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 $ 3,645,000 $ 4,015,368
- ----------------------------------------------------------------------------------------------------------------
Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 5,745,000 5,522,353
- ----------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 4,10 476,601 --
- ----------------------------------------------------------------------------------------------------------------
Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 5,160,000 5,220,155
--------------
23,506,927
- ----------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.1%
Tyson Foods, Inc., 7.25% Sr. Unsec. Nts., 10/1/06 1,065,000 1,068,256
- ----------------------------------------------------------------------------------------------------------------
ENERGY--1.9%
- ----------------------------------------------------------------------------------------------------------------
OIL & GAS--1.9%
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 3,235,000 3,321,902
- ----------------------------------------------------------------------------------------------------------------
Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 4,715,000 4,485,719
- ----------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 7,795,000 8,106,800
- ----------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 2 5,504,000 5,385,323
- ----------------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 2 1,431,150 1,323,564
--------------
22,623,308
- ----------------------------------------------------------------------------------------------------------------
FINANCIALS--8.3%
- ----------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--1.0%
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 8,870,000 8,295,011
- ----------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 2,990,000 2,800,141
--------------
11,095,152
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.5%
Barclays Bank plc, 6.278% Perpetual Bonds 11 7,770,000 6,783,365
- ----------------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 2,11 7,600,000 6,828,798
- ----------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 5,700,000 5,449,206
- ----------------------------------------------------------------------------------------------------------------
National City Bank, 6.20% Sub. Nts., 12/15/11 231,000 235,985
- ----------------------------------------------------------------------------------------------------------------
Popular North America, Inc., 4.70% Nts., 6/30/09 6,799,000 6,575,945
- ----------------------------------------------------------------------------------------------------------------
Wachovia Bank NA, 5.60% Sub. Nts., 3/15/16 2,870,000 2,787,863
--------------
28,661,162
- ----------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--1.1%
CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 7 5,000,000 5,426,465
- ----------------------------------------------------------------------------------------------------------------
Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 2,235,000 2,308,207
- ----------------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 5.15% Sub. Nts., 10/1/15 5,860,000 5,479,557
--------------
13,214,229
- ----------------------------------------------------------------------------------------------------------------
INSURANCE--2.3%
Marsh & McLennan Cos., Inc.:
5.875% Sr. Unsec. Bonds, 8/1/33 3,787,000 3,299,367
7.125% Sr. Unsec. Nts., 6/15/09 3,370,000 3,470,076
24 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
INSURANCE Continued
MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 $ 2,804,000 $ 2,488,679
- ----------------------------------------------------------------------------------------------------------------
MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 2,932,000 2,624,184
- ----------------------------------------------------------------------------------------------------------------
Nationwide Financial Services, Inc.:
5.90% Nts., 7/1/12 2,345,000 2,345,443
6.25% Sr. Unsec. Nts., 11/15/11 710,000 722,135
- ----------------------------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 2 4,675,000 5,563,722
- ----------------------------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 5,635,000 6,771,089
--------------
27,284,695
- ----------------------------------------------------------------------------------------------------------------
REAL ESTATE--1.4%
EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 5,280,000 5,682,663
- ----------------------------------------------------------------------------------------------------------------
iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 5,930,000 5,644,998
- ----------------------------------------------------------------------------------------------------------------
Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 4,410,000 4,392,307
--------------
15,719,968
- ----------------------------------------------------------------------------------------------------------------
HEALTH CARE--0.4%
- ----------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--0.4%
HCA, Inc., 5.50% Sr. Unsec. Nts., 12/1/09 4,785,000 4,635,024
- ----------------------------------------------------------------------------------------------------------------
INDUSTRIALS--0.5%
- ----------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.5%
BAE Systems Holdings, Inc., 4.75% Nts., 8/15/10 2 5,865,000 5,624,828
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.0%
Waste Management, Inc., 7.125% Sr. Unsec. Nts., 10/1/07 5,000 5,072
- ----------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.4%
- ----------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.0%
Loral Skynet Corp., 14% Sr. Sec. Nts., 11/21/15 12 34,000 39,270
- ----------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 10 200,000 2
--------------
39,272
- ----------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS--0.4%
Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 3,905,000 4,188,113
- ----------------------------------------------------------------------------------------------------------------
MATERIALS--0.5%
- ----------------------------------------------------------------------------------------------------------------
CHEMICALS--0.0%
Morton International, Inc., 9.65% Credit Sensitive Nts., 6/1/20 85,000 110,222
- ----------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.5%
MeadWestvaco Corp., 6.85% Unsec. Unsub. Nts., 4/1/12 5,550,000 5,654,973
- ----------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--1.2%
- ----------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.2%
AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 3,885,000 4,280,186
- ----------------------------------------------------------------------------------------------------------------
British Telecommunications plc, 8.875% Bonds, 12/15/30 2,545,000 3,136,590
- ----------------------------------------------------------------------------------------------------------------
Telus Corp., 8% Nts., 6/1/11 620,000 672,080
25 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Verizon Global Funding Corp.:
5.85% Nts., 9/15/35 7 $ 2,895,000 $ 2,526,626
7.25% Sr. Unsec. Unsub. Nts., 12/1/10 2,800,000 2,935,097
--------------
13,550,579
- ----------------------------------------------------------------------------------------------------------------
UTILITIES--3.0%
- ----------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.8%
FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 5,142,000 5,532,982
- ----------------------------------------------------------------------------------------------------------------
Mission Energy Holding Co., 13.50% Sr. Sec. Nts., 7/15/08 3,050,000 3,416,000
--------------
8,948,982
- ----------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--0.4%
IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1 1,535,000 1,584,888
- ----------------------------------------------------------------------------------------------------------------
TXU Energy Co., 6.125% Nts., 3/15/08 3,015,000 3,020,750
--------------
4,605,638
- ----------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--1.8%
CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 5,197,000 5,415,659
- ----------------------------------------------------------------------------------------------------------------
Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 4,345,000 4,666,965
- ----------------------------------------------------------------------------------------------------------------
NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 6,080,000 6,510,544
- ----------------------------------------------------------------------------------------------------------------
PSEG Funding Trust I, 5.381% Nts., 11/16/07 4,120,000 4,091,675
--------------
20,684,843
--------------
Total Corporate Bonds and Notes (Cost $352,650,297) 342,657,154
SHARES
- ----------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.0%
- ----------------------------------------------------------------------------------------------------------------
Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 4,13 (Cost $53,392) 284 56,516
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS--0.0%
- ----------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 7 181 5,475
- ----------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. 13 2,154 61,087
--------------
Total Common Stocks (Cost $62,690) 66,562
UNITS
- ----------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ----------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 4,13 50 --
- ----------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 4,13 1,063 --
- ----------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 4,13 150 --
- ----------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts., Exp. 9/19/10 13 2,028 690
--------------
Total Rights, Warrants and Certificates (Cost $21,515) 690
26 | OPPENHEIMER CORE BOND FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--11.4% 14
Undivided interest of 5.40% in joint repurchase agreement
(Principal Amount/Value $2,439,041,000, with a maturity
value of $2,440,006,454) with UBS Warburg LLC, 4.75%,
dated 6/30/06, to be repurchased at $131,641,087 on
7/3/06, collateralized by Federal National Mortgage
Assn., 5%-6%, 10/1/35-3/1/36, with a value of
$2,494,907,407 (Cost $131,589,000) $131,589,000 $ 131,589,000
- -----------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with
Cash Collateral from Securities Loaned) (Cost $1,466,815,587) 1,441,435,090
- -----------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--5.0%
- -----------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTES--0.4%
Money Market Securities Trust, Series A, 5.27%, 7/17/06 15 2,000,000 2,000,000
- -----------------------------------------------------------------------------------------------------------------
Whitehawk CDO Funding Corp., 5.38%, 9/15/06 15 3,000,000 3,000,000
---------------
5,000,000
- -----------------------------------------------------------------------------------------------------------------
FUNDING AGREEMENT/GUARANTEED INVESTMENT CONTRACT--0.2%
Protective Life Insurance Co., 5.25%, 7/31/06 15 2,000,000 2,000,000
- -----------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--4.0%
Undivided interest of 8.33% in joint repurchase agreement (Principal
Amount/Value $300,000,000, with a maturity value of $300,135,000)
with GX Clarke, 5.40%, dated 6/30/06, to be repurchased at
$25,011,250 on 7/3/06, collateralized by U.S. Agency
Mortgages, 0%-7.625%, 7/5/06-7/15/32, with
a value of $306,002,614 15 25,000,000 25,000,000
- -----------------------------------------------------------------------------------------------------------------
Undivided interest of 2.14% in joint repurchase agreement
(Principal Amount/Value $1,000,000,000, with a maturity
value of $1,000,444,375) with Bank of America NA,
5.3325%, dated 6/30/06, to be repurchased
at $21,439,201 on 7/3/06, collateralized
by U.S. Agency Mortgages, 5%, 6/1/35,
with a value of $1,020,000,000 15 21,429,678 21,429,678
---------------
46,429,678
- -----------------------------------------------------------------------------------------------------------------
MEDIUM-TERM FLOATING NOTE--0.4%
American Honda Finance Corp., 5.07%, 7/18/06 15 2,000,000 2,000,000
- -----------------------------------------------------------------------------------------------------------------
Five Finance, Inc., 5.38%, 7/3/06 15 2,999,494 2,999,494
---------------
4,999,494
---------------
Total Investments Purchased with Cash Collateral from Securities
Loaned (Cost $58,429,172) 58,429,172
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $1,525,244,759) 129.5% 1,499,864,262
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (29.5) (342,072,249)
---------------------------------
NET ASSETS 100.0% $1,157,792,013
=================================
27 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS
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 $48,369,990 or 4.18% of the Fund's net
assets as of June 30, 2006.
3. When-issued security or forward commitment to be delivered and settled after
June 30, 2006. See Note 1 of accompanying Notes.
4. Illiquid security. The aggregate value of illiquid securities as of June 30,
2006 was $10,305,565, which represents 0.89% of the Fund's net assets. See Note
8 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 $28,977,475 or 2.50% of the Fund's net assets
as of June 30, 2006.
6. 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 $2,850,399 or 0.25% of the Fund's net assets as of
June 30, 2006.
7. Partial or fully-loaned security. See Note 9 of accompanying Notes.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. 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 $4,295,860. See Note 5 of accompanying Notes.
10. Issue is in default. Non-income producing. See Note 1 of accompanying Notes.
11. This bond has no contractual maturity date, is not redeemable and
contractually pays an indefinite stream of interest. Rate reported represents
the current interest rate for this variable rate security.
12. Interest or dividend is paid-in-kind.
13. Non-income producing security.
14. The Fund may have elements of risk due to concentrated investments. Such
concentrations may subject the Fund to additional risks.
15. 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 9 of accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28 | OPPENHEIMER CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
June 30, 2006
- ----------------------------------------------------------------------------------------------------------
ASSETS
- ----------------------------------------------------------------------------------------------------------
Investments, at value (cost $1,525,244,759)--see accompanying statement of investments $1,499,864,262
- ----------------------------------------------------------------------------------------------------------
Cash 17,607,474
- ----------------------------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 109,818
- ----------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $61,998,292 sold on a when-issued basis or
forward commitment) 76,131,396
Interest 9,427,300
Shares of beneficial interest sold 2,778,831
Futures margins 281,753
Other 22,197
---------------
Total assets 1,606,223,031
- ----------------------------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 75,599,697
- ----------------------------------------------------------------------------------------------------------
Unrealized depreciation on swap contracts 65,504
- ----------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $363,208,742 purchased on a when-issued
basis or forward commitment) 369,782,228
Shares of beneficial interest redeemed 1,846,493
Distribution and service plan fees 504,341
Dividends 287,047
Transfer and shareholder servicing agent fees 189,581
Shareholder communications 89,717
Trustees' compensation 16,203
Other 50,207
---------------
Total liabilities 448,431,018
- ----------------------------------------------------------------------------------------------------------
NET ASSETS $1,157,792,013
===============
- ----------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 116,426
- ----------------------------------------------------------------------------------------------------------
Additional paid-in capital 1,203,453,354
- ----------------------------------------------------------------------------------------------------------
Accumulated net investment loss (87,084)
- ----------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (20,739,881)
- ----------------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (24,950,802)
---------------
NET ASSETS $1,157,792,013
===============
29 | OPPENHEIMER CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -----------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of $548,209,016 and
55,107,363 shares of beneficial interest outstanding) $ 9.95
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $10.45
- -----------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $116,817,603 and 11,746,890 shares of
beneficial interest outstanding) $ 9.94
- -----------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $122,821,983 and 12,338,484 shares of
beneficial interest outstanding) $ 9.95
- -----------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $45,572,838 and 4,582,700 shares of
beneficial interest outstanding) $ 9.94
- -----------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets of
$324,370,573 and 32,650,094 shares of beneficial interest outstanding) $ 9.93
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER CORE BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended June 30, 2006
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 27,575,223
- --------------------------------------------------------------------------------
Fee income 826,896
- --------------------------------------------------------------------------------
Portfolio lending fees 78,795
- --------------------------------------------------------------------------------
Dividends 20
-------------
Total investment income 28,480,934
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 2,629,853
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 632,942
Class B 597,066
Class C 581,493
Class N 102,150
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 531,524
Class B 179,643
Class C 137,735
Class N 75,830
Class Y 93,727
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 62,917
Class B 28,666
Class C 15,829
Class N 2,587
- --------------------------------------------------------------------------------
Trustees' compensation 7,233
- --------------------------------------------------------------------------------
Custodian fees and expenses 1,208
- --------------------------------------------------------------------------------
Administration service fees 750
- --------------------------------------------------------------------------------
Other 52,254
Total expenses 5,733,407
Less waivers and reimbursements of expenses (495,315)
-------------
Net expenses 5,238,092
-------------
NET INVESTMENT INCOME 23,242,842
31 | OPPENHEIMER CORE BOND FUND
STATEMENT OF OPERATIONS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $(12,061,432)
Closing and expiration of futures contracts (526,154)
Foreign currency transactions 17,652
Swap contracts 290,057
-------------
Net realized loss (12,279,877)
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (18,011,406)
Futures contracts (762,786)
Swap contracts 333
-------------
Net change in unrealized depreciation (18,773,859)
- --------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (7,810,894)
=============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER CORE BOND FUND
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DECEMBER 31,
(UNAUDITED) 2005
- ---------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------
Net investment income $ 23,242,842 $ 30,338,495
- ---------------------------------------------------------------------------------------------------------
Net realized loss (12,279,877) (3,146,837)
- ---------------------------------------------------------------------------------------------------------
Net change in unrealized depreciation (18,773,859) (11,650,764)
-----------------------------------
Net increase (decrease) in net assets resulting from operations (7,810,894) 15,540,894
- ---------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ---------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (11,906,429) (18,178,321)
Class B (2,290,714) (4,744,426)
Class C (2,229,133) (3,359,283)
Class N (885,982) (1,226,750)
Class Y (5,931,660) (4,277,387)
- ---------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 74,926,642 153,603,323
Class B (4,689,884) (20,719,422)
Class C 17,102,150 26,483,304
Class N 10,967,834 10,895,909
Class Y 160,215,612 135,190,630
- ---------------------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------------------
Total increase 227,467,542 289,208,471
- ---------------------------------------------------------------------------------------------------------
Beginning of period 930,324,471 641,116,000
-----------------------------------
End of period (including accumulated net investment loss
of $87,084 and $86,008, respectively) $1,157,792,013 $ 930,324,471
===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DEC. 31,
CLASS A (UNAUDITED) 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.24 $ 10.44 $ 10.38 $ 10.14 $ 9.74 $ 9.79
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .23 1 .42 1 .38 1 .35 .54 .73
Net realized and unrealized gain (loss) (.29) (.18) .12 .24 .40 (.05)
--------------------------------------------------------------------------------
Total from investment operations (.06) .24 .50 .59 .94 .68
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.23) (.44) (.44) (.35) (.54) (.73)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.95 $ 10.24 $ 10.44 $ 10.38 $ 10.14 $ 9.74
================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (0.57)% 2.35% 4.90% 5.87% 10.06% 7.05%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $548,209 $488,889 $344,205 $382,966 $356,480 $280,132
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $524,292 $423,182 $353,046 $382,420 $316,279 $237,232
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.58% 4.12% 3.63% 3.39% 5.47% 7.31%
Total expenses 0.99% 1.06% 1.10% 1.10% 1.10% 1.23%
Expenses after payments and waivers and
reduction to custodian expenses 0.90% 0.90% 0.93% 1.10% 1.10% 1.23%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 75% 4 98% 4 94% 4 111% 151% 162%
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 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 purchases and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2006 $1,591,897,649 $1,525,257,846
Year Ended December 31, 2005 3,609,072,810 3,584,424,906
Year Ended December 31, 2004 3,447,306,025 3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
34 | OPPENHEIMER CORE BOND FUND
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DEC. 31,
CLASS B (UNAUDITED) 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.23 $ 10.44 $ 10.37 $ 10.13 $ 9.73 $ 9.79
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 1 .35 1 .30 1 .27 .47 .65
Net realized and unrealized gain (loss) (.29) (.20) .13 .24 .40 (.05)
--------------------------------------------------------------------------------
Total from investment operations (.10) .15 .43 .51 .87 .60
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.19) (.36) (.36) (.27) (.47) (.66)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.94 $ 10.23 $ 10.44 $ 10.37 $ 10.13 $ 9.73
================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (0.95)% 1.50% 4.21% 5.05% 9.26% 6.14%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $116,818 $125,069 $148,445 $197,774 $217,789 $161,998
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $120,440 $135,296 $167,685 $216,853 $187,343 $118,521
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.84% 3.37% 2.86% 2.61% 4.68% 6.60%
Total expenses 1.87% 1.91% 1.91% 1.87% 1.85% 1.99%
Expenses after payments and waivers and
reduction to custodian expenses 1.65% 1.65% 1.69% 1.87% 1.85% 1.99%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 75% 4 98% 4 94% 4 111% 151% 162%
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 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 purchases and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2006 $1,591,897,649 $1,525,257,846
Year Ended December 31, 2005 3,609,072,810 3,584,424,906
Year Ended December 31, 2004 3,447,306,025 3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
35 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DEC. 31,
CLASS C (UNAUDITED) 2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.24 $ 10.45 $ 10.39 $ 10.14 $ 9.74 $ 9.80
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 1 .35 1 .30 1 .27 .47 .65
Net realized and unrealized gain (loss) (.29) (.20) .12 .25 .40 (.05)
--------------------------------------------------------------------------------
Total from investment operations (.10) .15 .42 .52 .87 .60
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.19) (.36) (.36) (.27) (.47) (.66)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.95 $ 10.24 $ 10.45 $ 10.39 $ 10.14 $ 9.74
=================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (0.95)% 1.49% 4.12% 5.18% 9.26% 6.14%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $122,822 $109,207 $ 84,696 $ 90,583 $ 90,800 $ 57,049
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $117,371 $ 94,742 $ 86,020 $ 96,361 $ 75,531 $ 36,886
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.83% 3.37% 2.87% 2.64% 4.61% 6.65%
Total expenses 1.78% 1.86% 1.87% 1.84% 1.83% 1.98%
Expenses after payments and waivers and
reduction to custodian expenses 1.65% 1.65% 1.68% 1.84% 1.83% 1.98%
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 75% 4 98% 4 94% 4 111% 151% 162%
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 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 purchases and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2006 $1,591,897,649 $1,525,257,846
Year Ended December 31, 2005 3,609,072,810 3,584,424,906
Year Ended December 31, 2004 3,447,306,025 3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
36 | OPPENHEIMER CORE BOND FUND
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DEC. 31,
CLASS N (UNAUDITED) 2005 2004 2003 2002 2001 1
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.23 $ 10.44 $ 10.37 $ 10.13 $ 9.73 $ 10.02
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .22 2 .40 2 .35 2 .31 .51 .61
Net realized and unrealized gain (loss) (.29) (.19) .13 .24 .40 (.29)
--------------------------------------------------------------------------------
Total from investment operations (.07) .21 .48 .55 .91 .32
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.22) (.42) (.41) (.31) (.51) (.61)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.94 $ 10.23 $ 10.44 $ 10.37 $ 10.13 $ 9.73
================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 (0.70)% 1.99% 4.71% 5.51% 9.73% 3.18%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 45,573 $ 35,836 $ 25,580 $ 17,732 $ 11,302 $ 2,176
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 41,258 $ 30,274 $ 21,411 $ 15,338 $ 7,071 $ 768
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 4.33% 3.87% 3.38% 3.03% 4.76% 7.87%
Total expenses 1.40% 1.47% 1.51% 1.50% 1.44% 1.37%
Expenses after payments and waivers and
reduction to custodian expenses 1.15% 1.15% 1.20% 1.44% 1.44% 1.37%
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 75% 5 98% 5 94% 5 111% 151% 162%
1. For the period from March 1, 2001 (inception of offering) to December 31,
2001.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods 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. The portfolio turnover rate excludes purchases and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2006 $1,591,897,649 $1,525,257,846
Year Ended December 31, 2005 3,609,072,810 3,584,424,906
Year Ended December 31, 2004 3,447,306,025 3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
37 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2006 DEC. 31,
CLASS Y (UNAUDITED) 2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.22 $ 10.43 $ 10.36 $ 10.12 $ 9.72 $ 9.78
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .24 1 .45 1 .41 1 .39 .59 .76
Net realized and unrealized gain (loss) (.28) (.19) .13 .24 .40 (.05)
-----------------------------------------------------------------------------------
Total from investment operations (.04) .26 .54 .63 .99 .71
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.25) (.47) (.47) (.39) (.59) (.77)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.93 $ 10.22 $ 10.43 $ 10.36 $ 10.12 $ 9.72
===================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (0.43)% 2.50% 5.30% 6.35% 10.58% 7.30%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $324,370 $171,323 $ 38,190 $ 43,215 $ 24,358 $ 4,067
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $244,583 $ 91,172 $ 45,333 $ 38,398 $ 10,243 $ 2,286
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.89% 4.39% 3.92% 3.80% 5.53% 7.85%
Total expenses 0.59% 0.76% 0.64% 0.63% 0.63% 0.94%
Expenses after payments and waivers and
reduction to custodian expenses 0.59% 0.65% 0.64% 0.63% 0.63% 0.92%
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 75% 4 98% 4 94% 4 111% 151% 162%
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 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 purchases and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2006 $1,591,897,649 $1,525,257,846
Year Ended December 31, 2005 3,609,072,810 3,584,424,906
Year Ended December 31, 2004 3,447,306,025 3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
38 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Core Bond Fund (the Fund), is a separate fund of Oppenheimer
Integrity Funds, an open-end management investment company registered under the
Investment Company Act of 1940, as amended. The Fund's investment objective is
to seek total return by investing mainly in debt instruments. 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
39 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
reported by such principal exchange at its trading session ending at, or most
recently prior to, the time when the Fund's assets are valued. Securities
(including restricted securities) for which market quotations are not readily
available are valued at their fair value. Foreign and domestic securities whose
values have been materially affected by what the Manager identifies as a
significant event occurring before the Fund's assets are valued but after the
close of their respective exchanges will be fair valued. Fair value is
determined in good faith using consistently applied procedures under the
supervision of the Board of Trustees. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The purchase of securities on a when-issued
basis or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of June 30, 2006, the Fund had purchased $363,208,742
of securities issued on a when-issued basis or forward commitment and sold
$61,998,292 of securities issued on a when-issued basis or forward commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of each
forward roll as realized gain (loss) on investments or as fee income in the case
of such transactions that have an associated fee in lieu of a difference in the
forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the coun-terparty; counterparty credit risk; and the
potential pay down speed variance between the mortgage-related pools.
40 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
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 June 30, 2006, securities with an aggregate
market value of $2, representing less than 0.005% of the Fund's net assets, were
in default.
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of the New
York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each
day the Exchange is open for business. Foreign exchange rates may be valued
primarily using dealer supplied valuations or a portfolio pricing service
authorized by the Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal. In the event of default by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
41 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 June 30, 2006, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $19,531,325 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 June
30, 2006, it is estimated that the Fund will not utilize any capital loss carry
forward to offset realized capital gains. During the year ended December 31,
2005, the Fund did not utilize any capital loss carryforward to offset capital
gains realized in that fiscal year.
As of December 31, 2005, the Fund had available for federal income tax purposes
unused capital loss carryforwards as follows:
EXPIRING
-----------------------------
2010 $2,007,359
2013 5,244,089
----------
Total $7,251,448
==========
- --------------------------------------------------------------------------------
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.
42 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
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 June 30, 2006, the Fund had $2,153 of such earnings on
cash balances available to offset future custodian fees or interest expenses
incurred during the next fiscal year.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising
in connection with the performance of their duties to the Fund. In the normal
course of business, the Fund may also enter into contracts that provide general
indemnifications. The Fund's maximum exposure under these arrangements is
unknown as this would be dependent on future claims that may be made against the
Fund. The risk of material loss from such claims is considered remote.
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
43 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
SIX MONTHS ENDED JUNE 30, 2006 YEAR ENDED DECEMBER 31, 2005
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
CLASS A
Sold 9,947,372 $101,023,054 22,484,859 $233,172,087
Dividends and/or
distributions reinvested 967,952 9,747,114 1,468,476 15,183,663
Acquisition--Note 11 4,211,155 42,659,003 -- --
Redeemed (7,784,917) (78,502,529) (9,157,866) (94,752,427)
-----------------------------------------------------------------
Net increase 7,341,562 $ 74,926,642 14,795,469 $153,603,323
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS B
Sold 1,403,112 $ 14,291,616 2,411,315 $ 24,979,660
Dividends and/or
distributions reinvested 193,150 1,945,235 379,150 3,922,040
Acquisition--Note 11 481,162 4,874,168 -- --
Redeemed (2,554,719) (25,800,903) (4,791,597) (49,621,122)
-----------------------------------------------------------------
Net decrease (477,295) $ (4,689,884) (2,001,132) $(20,719,422)
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS C
Sold 2,550,849 $ 25,910,289 4,590,226 $ 47,533,624
Dividends and/or
distributions reinvested 186,404 1,877,961 273,806 2,832,425
Acquisition--Note 11 862,709 8,747,866 -- --
Redeemed (1,924,642) (19,433,966) (2,308,506) (23,882,745)
-----------------------------------------------------------------
Net increase 1,675,320 $ 17,102,150 2,555,526 $ 26,483,304
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS N
Sold 1,425,542 $ 14,452,309 2,021,843 $ 20,942,281
Dividends and/or
distributions reinvested 72,751 732,006 103,371 1,068,388
Acquisition--Note 11 315,811 3,199,167 -- --
Redeemed (733,935) (7,415,648) (1,073,761) (11,114,760)
-----------------------------------------------------------------
Net increase 1,080,169 $ 10,967,834 1,051,453 $ 10,895,909
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS Y
Sold 16,131,915 $162,783,564 13,663,394 $141,043,009
Dividends and/or
distributions reinvested 600,016 5,931,660 415,195 4,276,823
Redeemed (843,316) (8,499,612) (980,307) (10,129,202)
-----------------------------------------------------------------
Net increase 15,888,615 $160,215,612 13,098,282 $135,190,630
=================================================================
- --------------------------------------------------------------------------------
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 June 30, 2006, were as
follows:
PURCHASES SALES
--------------------------------------------------------------------
Investment securities $ 700,746,781 $ 557,243,036
U.S. government and government
agency obligations 103,539,440 114,307,228
To Be Announced (TBA)
mortgage-related securities 1,591,897,649 1,525,257,846
44 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
average annual rate as shown in the following table:
FEE SCHEDULE JAN. 1, 2006 TO MARCH 26, 2006 FEE SCHEDULE EFFECTIVE MARCH 27, 2006
- ------------------------------------------- ----------------------------------------
Up to $200 million of net assets 0.60% Up to $1 billion of net assets 0.50%
Next $200 million of net assets 0.57 Over $1 billion of net assets 0.35
Next $200 million of net assets 0.54
Next $200 million of net assets 0.51
Next $200 million of net assets 0.45
Over $1 billion of net assets 0.35
- --------------------------------------------------------------------------------
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 June 30, 2006, the Fund paid
$1,005,580 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the event that the per account fee does not equal or exceed the
applicable minimum fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
periodically at an annual rate of up to 0.25% of the average annual net assets
of Class A shares of the Fund. The Distributor currently uses all of those fees
to pay dealers, brokers, banks and other financial institutions periodically for
providing personal services and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with
respect to Class A shares in any fiscal year cannot be recovered in subsequent
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% on Class B and
Class C shares and 0.25% on Class N shares. The Distributor also receives a
service fee of 0.25% per year under each plan. If either the Class B, Class C or
Class N plan is terminated by the Fund or by the shareholders of a
45 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
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 June 30, 2006 for Class B, Class C and
Class N shares were $2,825,399, $2,242,001 and $765,529, 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
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------
June 30, 2006 $280,034 $3,818 $207,077 $10,617 $9,964
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. Effective March 1, 2004, the Manager has
voluntarily undertaken to limit the "Total Expenses" for all classes of shares
so that total expenses as percentages of average daily net assets, will not
exceed the following annual rates: 0.90% for the Class A shares; 1.65% for the
Class B and Class C shares, respectively; 1.15% for the Class N shares and 0.65%
for the Class Y shares. During the six months ended June 30, 2006, the Manager
reimbursed the Fund $234,996, $130,823, $76,388, $46,287 and $1,917 for Class A,
Class B, Class C, Class N and Class Y, respectively. The Manager may terminate
this voluntary expense limitation arrangement at any time without notice to
shareholders.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class.
During the six months ended June 30, 2006, OFS waived $4,904 for Class N shares.
This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of
46 | OPPENHEIMER CORE BOND FUND
stocks and bonds or interest rates. The Fund may also buy or write put or call
options on these futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations as the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of June 30, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS JUNE 30, 2006 (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
U.S. Long Bonds 9/20/06 585 $ 62,393,906 $ (82,976)
U.S. Treasury Nts., 10 yr. 9/20/06 303 31,772,391 (259,852)
----------
(342,828)
----------
CONTRACTS TO SELL
Euro-Bundesobligation, 10 yr. 9/7/06 187 27,582,518 154,541
U.S. Treasury Nts., 2 yr. 9/29/06 914 185,342,063 198,769
U.S. Treasury Nts., 5 yr. 9/29/06 565 58,424,531 374,899
----------
728,209
----------
$ 385,381
==========
47 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. 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. The Fund also records an increase or
decrease to unrealized gain (loss) in an amount equal to the daily valuation.
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 June 30, 2006 is as
follows:
NOTIONAL ANNUAL
AMOUNT INTEREST
REFERENCE RECEIVED BY RATE PAID UNREALIZED
DEBT THE FUND UPON BY THE APPRECIATION
COUNTERPARTY OBLIGATION CREDIT EVENT FUND (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Deutsche Bank AG Weyerhaeuser Co. $5,950,000 0.580% $ (473)
- -------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Arrow Electronics, Inc. 5,950,000 0.790 (1,949)
Arrow Electronics, Inc. 2,950,000 0.770 2,572
Belo Corp. 3,100,000 0.650 11,800
Belo Corp. 1,730,000 0.670 5,084
Belo Corp. 3,440,000 0.675 9,364
Federated Department
Stores, Inc. 5,950,000 0.445 (7,667)
--------
$18,731
========
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. The Fund also records an increase or
decrease to unrealized gain (loss) in an amount equal to the daily valuation.
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 June 30, 2006 is as
follows:
48 | OPPENHEIMER CORE BOND FUND
ANNUAL
NOTIONAL INTEREST
AMOUNT RATE
REFERENCE PAID BY RECEIVED UNREALIZED
DEBT THE FUND UPON BY THE APPRECIATION
COUNTERPARTY OBLIGATION CREDIT EVENT FUND (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Allied Waste North
America, Inc. $1,830,000 2.00% $ (7,759)
Allied Waste North
America, Inc. 3,020,000 2.00 (12,805)
General Motors
Acceptance Corp. 2,480,000 2.30 (5,456)
General Motors Corp. 1,820,000 6.40 (237)
General Motors Corp. 1,080,000 6.40 (140)
- --------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Countrywide Home
Loans, Inc. 3,525,000 0.40 (15,916)
Countrywide Home
Loans, Inc. 2,110,000 0.42 (6,316)
General Motors
Acceptance Corp. 3,380,000 3.15 34,605
Hyundai Motor
Manufacturing
Alabama LLC 2,500,000 0.40 (184)
J.C. Penney Corp., Inc. 5,950,000 0.61 (6,602)
---------
$(20,810)
=========
- --------------------------------------------------------------------------------
7. 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).
As of June 30, 2006, the Fund had entered into the following total return swap
agreements:
49 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
7. TOTAL RETURN SWAP CONTRACTS Continued
SWAP NOTIONAL TERMINATION UNREALIZED
COUNTERPARTY SWAP DESCRIPTION AMOUNT DATES APPRECIATION
- ---------------------------------------------------------------------------------------------------------------------------
Received or paid monthly. The Counterparty
pays the Fund a Floating Payment which is
the sum of the Notional Amount, the Lehman
Brothers CMBS Index Spread and the Financial
Spread on the initial Notional Amount for the
Swap Interest Accrual Period. In addition, the
Counterparty, pays the Fund the Total Return
Amount if it is a positive value for a given
Index Period. If it is a negative, the Fund pays
the Counterparty the absolute value of the
Total Return Amount for a given Index
Deutsche Bank AG Period, on each Payment Date. $10,800,000 12/1/06 $22,043
- ---------------------------------------------------------------------------------------------------------------------------
Received or paid monthly. If the Carry
Amount, plus the Spread Return Amount
(Spread Change times Duration times
Notional Amount), is positive, the
Counterparty pays the Fund. The payment
is based on the Carry Amount which is the
Spread on the Lehman Brothers CMBS AAA
8.5+ Index as of the close of one Business
Day prior to the Period End Day plus 15
basis points times the Notional Amount
Lehman Brothers times the Day Count Basis. If it is negative,
Special Financing, the Fund pays the Counterparty the absolute
Inc. value of the Spread Return Amount. 11,930,000 12/1/06 24,350
-------
$46,393
=======
Abbreviation is as follows:
CMBS Commercial Mortgage Backed Securities
- --------------------------------------------------------------------------------
8. ILLIQUID SECURITIES
As of June 30, 2006, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund will not invest more than 15% of its net assets (determined at the time of
purchase and reviewed periodically) in illiquid securities. Securities that are
illiquid are marked with the applicable footnote on the Statement of
Investments.
- --------------------------------------------------------------------------------
9. 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
securities, letters of credit 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
50 | OPPENHEIMER CORE BOND FUND
market value of the loaned securities is determined at the close of business
each day. If the Fund is undercollateralized at the close of business due to an
increase in market value of securities on loan, additional collateral is
requested from the borrowing coun-terparty and is delivered to the Fund on the
next business day. Cash collateral may be invested in approved investments and
the Fund bears the risk of any loss in value of these investments. The Fund
retains a portion of the interest earned from the collateral. 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. 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
June 30, 2006, the Fund had on loan securities valued at $75,374,695, which are
included in the Statement of Assets and Liabilities as "Investments, at value"
and, when applicable, as "Investments sold." Collateral of $75,599,697 was
received for the loans, all of which was received in cash and subsequently
invested in approved investments or held as cash.
- --------------------------------------------------------------------------------
10. LITIGATION
A consolidated amended complaint was filed as a putative class action against
the Manager and the Transfer Agent and other defendants (including 51 of the
Oppenheimer funds including the Fund) 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 the allegations contained in the complaint are
without merit and that there are substantial grounds to sustain the district
court's rulings. The Manager also believes that it is premature to render any
opinion as to the likelihood of an outcome unfavorable to it, 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.
51 | OPPENHEIMER CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. ACQUISITION OF OPPENHEIMER TOTAL RETURN BOND FUND
On March 23, 2006, the Fund acquired all of the net assets of Oppenheimer Total
Return Bond Fund, pursuant to an Agreement and Plan of Reorganization approved
by the Oppenheimer Total Return Bond Fund shareholders on March 15, 2006. The
Fund issued (at an exchange ratio of 0.964160 for Class A, 0.964242 for Class B,
0.962906 for Class C and 0.964275 for Class N of the Fund to one share of
Oppenheimer Total Return Bond Fund), 4,211,155; 481,162; 862,709 and 315,811
shares of beneficial interest for Class A, Class B, Class C and Class N,
respectively, valued at $42,659,003, $4,874,168, $8,747,866 and $3,199,167 in
exchange for the net assets, resulting in combined Class A net assets of
$549,554,571, Class B net assets of $124,605,847, Class C net assets of
$122,287,022 and Class N net assets of $43,300,947 on March 23, 2006. The net
assets acquired included net unrealized depreciation of $949,524. The exchange
qualified as a tax-free reorganization for federal income tax purposes.
52 | OPPENHEIMER CORE BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS UNAUDITED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
53 | OPPENHEIMER CORE BOND FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S 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 06/30/2006, 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 Integrity Funds
By: /s/ John V. Murphy
----------------------------
John V. Murphy
Principal Executive Officer
Date: 08/08/2006
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: 08/08/2006
By: /s/ Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: 08/08/2006