UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
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OPPENHEIMER STRATEGIC INCOME FUND
---------------------------------
(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: SEPTEMBER 30
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Date of reporting period: 03/31/2007
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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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Oil & Gas 2.7
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Hotels, Restaurants & Leisure 1.7
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Commercial Banks 1.6
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Diversified Financial Services 1.4
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Diversified Telecommunication Services 1.3
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Thrifts & Mortgage Finance 1.3
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Wireless Telecommunication Services 1.3
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Electric Utilities 1.1
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Containers & Packaging 1.1
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2007, and are based on net assets.
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PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Corporate Bonds 26.9%
Foreign Government Bonds 24.1
Government Agency Bonds 20.0
Other Bonds 18.7
Stocks 1.0
U.S. Government Bonds 4.6
Cash Equivalents 4.7
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2007, and are based on the total market value of investments. The Fund
may invest without limit in below investment-grade securities, which carry a
greater risk that the issue may default on principal or interest payments, and
in foreign securities, which entail higher expenses and risks, such as currency
fluctuation.
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9 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE
FUND'S INVESTMENT OBJECTIVES, RISKS AND OTHER CHARGES AND EXPENSES CAREFULLY
BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION
ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US
AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE
PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the 10-year return for Class B uses
Class A performance for the period after conversion. Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
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.
10 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
11 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended March 31, 2007.
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 STRATEGIC INCOME FUND
FUND EXPENSES
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the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(10/1/06) (3/31/07) MARCH 31, 2007
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Class A Actual $ 1,000.00 $ 1,067.60 $ 4.70
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Class A Hypothetical 1,000.00 1,020.39 4.59
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Class B Actual 1,000.00 1,060.70 8.82
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Class B Hypothetical 1,000.00 1,016.40 8.63
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Class C Actual 1,000.00 1,061.10 8.62
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Class C Hypothetical 1,000.00 1,016.60 8.43
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Class N Actual 1,000.00 1,062.80 6.86
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Class N Hypothetical 1,000.00 1,018.30 6.71
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Class Y Actual 1,000.00 1,069.50 2.89
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Class Y Hypothetical 1,000.00 1,022.14 2.83
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 182/365
(to reflect the one-half year period). Those annualized expense ratios,
excluding indirect expenses from affiliated fund, based on the 6-month period
ended March 31, 2007 are as follows:
CLASS EXPENSE RATIOS
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Class A 0.91%
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Class B 1.71
- -----------------------------
Class C 1.67
- -----------------------------
Class N 1.33
- -----------------------------
Class Y 0.56
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Manager that can be terminated at any time, without advance notice.
The "Financial Highlights" tables in the Fund's financial statements, included
in this report, also show the gross expense ratios, without such waivers or
reimbursements.
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13 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS March 31, 2007 / Unaudited
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--1.9%
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Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2005-HE7, Cl. A2B, 5.50%, 11/25/35 1 $ 2,450,000 $ 2,452,157
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Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series
2005-1A, Cl. A2, 5.38%, 4/20/08 1 1,450,000 1,450,655
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Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 5.80%, 5/25/34 1 6,446,741 6,471,579
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Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates,
Series 2006-M3, Cl. A2B, 5.42%, 9/25/36 1,2 2,090,000 2,087,552
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Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates,
Series 2006-W5, Cl. A2B, 5.42%, 5/26/36 1 3,665,000 3,663,787
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BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed Securities,
Series 2006-A, Cl. A2, 5.30%, 5/26/09 4,070,000 4,070,448
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Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed
Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,884,661
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Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates:
Series 2005-D, Cl. AF1, 5.04%, 10/25/35 466,879 465,379
Series 2005-D, Cl. AV2, 5.59%, 10/25/35 1 244,000 244,193
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Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series
2006-A, Cl. AV2, 5.42%, 5/16/36 1 4,590,000 4,591,058
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CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 3,124,131 3,053,850
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Citigroup Mortgage Loan Trust 2005-WF2, Asset-Backed Pass-Through
Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 3,544,607 3,521,029
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Citigroup Mortgage Loan Trust 2006-WFH3, Asset-Backed Pass-Through
Certificates, Series 2006-WFH3, Cl. A2, 5.42%, 10/31/36 1,2 2,510,000 2,508,431
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Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through
Certificates, Series 2006-WFH4, Cl. AS, 5.42%, 11/25/36 1,2 4,777,000 4,774,014
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CWABS Asset-Backed Certificates Trust 2005-10, Asset-Backed Certificates,
Series 2005-10, Cl. AF1, 5.48%, 2/25/36 1 838,012 838,593
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CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates,
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,714,882
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CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates:
Series 2005-17, Cl. 1AF1, 5.52%, 5/25/36 1 1,361,099 1,362,026
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,146,396
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CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates,
Series 2006-25, Cl. 2A2, 5.44%, 12/25/29 1 3,874,000 3,873,117
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates,
Series 2006-C, Cl. A2, 5.33%, 5/8/09 7,100,000 7,095,882
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DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%,
4/15/11 2,3,4 15,000,000 1,500
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DVI Receivables Corp., Equipment Asset-Backed Certificates, Series
2001-2, Cl. C, 4.405%, 11/11/09 2 3,083,887 510,769
14 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series
2000-A, Cl. B, 8/15/25 2,3,4 $ 2,275,079 $ 22,751
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First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through
Certificates, Series 2005-FF10, Cl. A3, 5.53%, 11/25/35 1 7,200,000 7,206,453
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First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through
Certificates, Series 2006-FF10, Cl. A3, 5.41%, 7/25/36 1 3,620,000 3,620,022
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First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through
Certificates, Series 2006-FF5, Cl. 2A1, 5.37%, 5/15/36 1 1,509,896 1,510,903
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First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through
Certificates, Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36 1 1,850,000 1,850,430
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Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 1,343,098 1,337,213
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Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 0.125%, 6/13/11 1,2 6,932,011 --
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Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub. Pass-
Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 4,306,313
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Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 4,912,846 1,006,467
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Household Home Equity Loan Trust, Home Equity Loan Pass-Through
Certificates:
Series 2005-3, Cl. A1, 5.58%, 1/20/35 1 2,100,858 2,101,254
Series 2006-4, Cl. A2V, 5.43%, 3/20/36 1,2 1,450,000 1,449,708
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Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,259,249 2,245,957
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 2,235,851 2,227,645
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,939,694 1,932,606
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Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl.
C1, 0.303%, 3/24/14 1,2 3,566,342 142,654
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Mastr Asset Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 5.42%, 8/25/36 1,2 5,330,000 5,330,160
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Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series
2005-WMC6, Cl. A2B, 5.58%, 7/25/35 1 2,230,000 2,233,279
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NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD,
0.64%, 1/25/29 2 4,420,411 928,286
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Option One Mortgage Loan Trust, Asset-Backed Certificates, Series
2006-2, Cl. 2A2, 5.42%, 7/1/36 1 6,040,000 6,040,377
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Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through
Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 1,601,600 1,592,016
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Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,810,000 1,817,334
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RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 1,865,711 1,854,611
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-RS4, Cl. A1, 5.40%, 7/25/36 1 $ 1,636,123 $ 1,637,142
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RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-
Through Certificates, Series 2006-KS7, Cl. A2, 5.42%, 9/25/36 1 4,510,000 4,510,354
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Specialty Underwriting & Residential Finance Trust, Home Equity Asset-
Backed Obligations, Series 2005-BC3, Cl. A2B, 5.57%, 6/25/36 1 11,830,000 11,854,809
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Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A,
Cl. F, 22.36%, 6/7/11 1,2 3,560,000 3,560,000
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Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1, 5.38%, 4/25/36 1 1,330,228 1,330,739
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Structured Asset Securities Corp., Mtg. Pass-Through Certificates:
Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 58,867 58,699
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 3,021,164 3,016,076
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Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates,
Series 2006-1A, Cl. C, 8.62%, 11/14/13 1,2 2,595,000 2,595,000
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Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home
Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.42%, 7/25/36 1 3,600,000 3,599,265
----------------
Total Asset-Backed Securities (Cost $178,293,627) 143,700,481
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MORTGAGE-BACKED OBLIGATIONS--20.7%
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GOVERNMENT AGENCY--17.8%
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FHLMC/FNMA/SPONSORED--17.2%
Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9,
Cl. 2A2, 7%, 2/25/44 2,127,745 2,201,507
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Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 5,703,126 5,535,159
5%, 4/1/37 5 17,996,000 17,394,250
6%, 4/1/17-9/1/24 23,727,150 24,125,862
6.50%, 4/1/18-8/1/32 15,882,410 16,317,079
7%, 8/1/21-10/1/31 5,951,485 6,190,082
7.50%, 2/1/32-4/1/36 9,322,501 9,770,522
8.50%, 8/1/31 635,687 683,047
10%, 4/1/20-5/1/20 189,755 210,711
10.50%, 5/1/20 254,773 286,154
11.50%, 10/1/16 178,686 193,941
12%, 5/1/10-6/1/17 605,930 661,205
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Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates:
Series 2368, Cl. TG, 6%, 10/15/16 1,620,532 1,650,191
Series 2410, Cl. PF, 6.30%, 2/15/32 1 14,018,799 14,361,215
Series 2435, Cl. EQ, 6%, 5/15/31 7,790,000 7,845,294
Series 2641, Cl. CE, 3.50%, 9/15/25 4,102,026 4,006,469
Series 2727, Cl. UA, 3.50%, 10/15/22 2,313,456 2,275,358
Series 2736, Cl. DB, 3.30%, 11/15/26 17,947,559 17,417,885
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates: Continued
Series 2777, Cl. PJ, 4%, 5/15/24 $ 2,382,270 $ 2,350,863
Series 2934, Cl. NA, 5%, 4/15/24 6,223,453 6,198,447
Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,689,597
Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,118,192
Series 3138, Cl. PA, 5.50%, 2/15/27 26,320,048 26,421,862
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Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 1360, Cl. PZ, 7.50%, 9/15/22 8,762,796 9,259,855
Series 1590, Cl. IA, 6.425%, 10/15/23 1 5,908,192 6,088,478
Series 2002-66, Cl. FG, 6.32%, 9/25/32 1 8,184,903 8,332,489
Series 2006-11, Cl. PS, 5.06%, 3/25/36 1 3,183,243 3,192,417
Series 2043, Cl. ZP, 6.50%, 4/15/28 4,260,607 4,390,746
Series 2055, Cl. ZM, 6.50%, 5/15/28 1,816,641 1,852,368
Series 2080, Cl. Z, 6.50%, 8/15/28 2,982,058 3,056,818
Series 2173, Cl. Z, 6.50%, 7/15/29 12,243,560 12,633,739
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,279,879 1,313,653
Series 2344, Cl. FP, 6.27%, 8/15/31 1 2,822,340 2,881,762
Series 2387, Cl. PD, 6%, 4/15/30 452,635 452,929
Series 2412, Cl. GF, 6.27%, 2/15/32 1 6,695,135 6,852,396
Series 2427, Cl. ZM, 6.50%, 3/15/32 5,650,987 5,815,961
Series 2451, Cl. FD, 6.32%, 3/15/32 1 2,165,210 2,216,540
Series 2464, Cl. FI, 6.32%, 2/15/32 1 2,302,115 2,362,080
Series 2470, Cl. AF, 6.32%, 3/15/32 1 3,647,117 3,742,410
Series 2470, Cl. LF, 6.32%, 2/15/32 1 2,355,656 2,418,667
Series 2471, Cl. FD, 6.32%, 3/15/32 1 4,269,119 4,387,855
Series 2475, Cl. FB, 6.32%, 2/15/32 1 3,480,580 3,580,841
Series 2500, Cl. FD, 5.82%, 3/15/32 1 743,769 751,300
Series 2517, Cl. GF, 6.32%, 2/15/32 1 1,922,804 1,982,008
Series 2526, Cl. FE, 5.72%, 6/15/29 1 987,435 996,694
Series 2551, Cl. FD, 5.72%, 1/15/33 1 767,703 775,125
Series 2583, Cl. KA, 5.50%, 3/15/22 458,011 457,364
Series 2676, Cl. TF, 5.92%, 1/15/32 1 3,428,298 3,480,892
Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,775,424
Series 3025, Cl. SJ, 5.243%, 8/15/35 1 3,515,316 3,577,872
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. IO, 12.45%, 7/1/26 6 3,065,289 674,768
Series 183, Cl. IO, 7.237%, 4/1/27 6 1,208,161 276,932
Series 192, Cl. IO, 13.621%, 2/1/28 6 544,927 129,468
Series 200, Cl. IO, 12.087%, 1/1/29 6 643,053 143,470
Series 2003-118, Cl. S, 8.73%, 12/25/33 6 9,284,238 1,107,271
Series 2003-13, Cl. IO, 7.68%, 3/25/33 6 5,362,772 1,229,045
Series 2003-26, Cl. IO, 7.763%, 4/25/33 6 4,260,771 997,264
Series 2005-87, Cl. SE, 5.397%, 10/25/35 6 54,164,602 2,111,407
Series 2005-87, Cl. SG, 9.45%, 10/25/35 6 16,006,863 954,718
Series 203, Cl. IO, 3.143%, 6/1/29 6 2,322,937 510,781
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security: Continued
Series 204, Cl. IO, (7.281)%, 5/1/29 6 $ 189,683 $ 41,084
Series 205, Cl. IO, 8.943%, 9/1/29 6 2,870,421 648,698
Series 206, Cl. IO, (13.497)%, 12/1/29 6 979,215 232,850
Series 207, Cl. IO, (17.772)%, 4/1/30 6 1,130,501 263,368
Series 2074, Cl. S, (0.506)%, 7/17/28 6 690,496 69,749
Series 2079, Cl. S, (1.168)%, 7/17/28 6 1,112,891 123,362
Series 208, Cl. IO, (3.826)%, 6/1/30 6 1,954,627 431,525
Series 212, Cl. IO, 3.631%, 5/1/31 6 4,540,980 982,970
Series 214, Cl. IO, (9.691)%, 6/1/31 6 1,088,454 248,852
Series 216, Cl. IO, 12.223%, 12/1/31 6 1,798,295 387,710
Series 224, Cl. IO, 7.682%, 3/1/33 6 5,392,173 1,209,588
Series 243, Cl. 6, 26.368%, 12/15/32 6 3,381,131 766,916
Series 2526, Cl. SE, 1.188%, 6/15/29 6 1,763,897 86,124
Series 2802, Cl. AS, 1.619%, 4/15/33 6 5,591,839 330,951
Series 2819, Cl. S, (1.069)%, 6/15/34 6 15,547,400 1,208,541
Series 2920, Cl. S, (4.223)%, 1/15/35 6 8,998,783 426,181
Series 3000, Cl. SE, (4.55)%, 7/15/25 6 11,537,618 447,995
Series 3004, Cl. SB, 8.439%, 7/15/35 6 17,425,752 638,844
Series 3110, Cl. SL, 4.408%, 2/15/26 6 2,930,384 103,808
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 4/1/18-12/1/20 114,901,988 111,462,777
5%, 12/1/17-3/1/34 156,909,963 153,447,745
5%, 12/1/17-4/1/22 5 94,889,666 93,691,284
5.50%, 1/1/33-11/1/34 69,943,207 69,391,187
5.50%, 4/1/22-4/1/37 5 81,640,000 81,011,333
6%, 7/1/24-11/1/33 71,225,889 72,127,887
6%, 4/1/21 5 76,051,000 77,310,557
6.50%, 5/1/17-9/1/32 40,941,540 42,100,688
6.50%, 4/1/37 5 32,114,000 32,766,300
7%, 11/1/17-9/1/34 42,195,744 44,010,354
7.50%, 6/1/10-1/1/33 14,832,490 15,556,909
8.50%, 7/1/32 113,803 122,699
9.50%, 4/1/20-3/15/21 116,721 127,611
11%, 10/15/15-2/1/26 435,516 483,944
13%, 6/1/15 89,046 99,922
15%, 4/15/13 330,000 377,193
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust, CMO Interest-Only
Stripped Mtg.-Backed Security:
Trust 2001-T10, Cl. IO, 4.186%, 12/25/41 6 161,555,071 2,238,636
Trust 2001-T3, Cl. IO, 25.791%, 11/25/40 6 19,028,054 392,798
Trust 2001-T4, Cl. IO, 14.083%, 7/25/41 6 31,145,487 736,479
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 213,966 220,973
Trust 1997-45, Cl. CD, 8%, 7/18/27 2,229,006 2,357,038
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates: Continued
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 $ 2,750,030 $ 2,839,056
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,199,000 4,334,848
Trust 2001-50, Cl. NE, 6%, 8/25/30 272,989 273,469
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 196,815 201,632
Trust 2001-65, Cl. F, 5.92%, 11/25/31 1 4,228,689 4,256,989
Trust 2001-69, Cl. PF, 6.32%, 12/25/31 1 4,700,000 4,808,356
Trust 2001-70, Cl. LR, 6%, 9/25/30 564,279 564,334
Trust 2001-72, Cl. NH, 6%, 4/25/30 65,011 64,859
Trust 2001-74, Cl. PD, 6%, 5/25/30 51,464 51,322
Trust 2001-80, Cl. ZB, 6%, 1/25/32 5,260,437 5,356,600
Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,223,474 2,302,869
Trust 2002-19, Cl. PE, 6%, 4/25/17 2,353,637 2,395,970
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 5,519,992 5,680,556
Trust 2002-29, Cl. F, 6.32%, 4/25/32 1 2,494,478 2,573,557
Trust 2002-60, Cl. FH, 6.32%, 8/25/32 1 4,879,258 5,026,791
Trust 2002-64, Cl. FJ, 6.32%, 4/25/32 1 766,660 785,432
Trust 2002-68, Cl. FH, 5.82%, 10/18/32 1 1,635,919 1,661,546
Trust 2002-9, Cl. PC, 6%, 3/25/17 4,675,393 4,763,354
Trust 2003-116, Cl. FA, 5.72%, 11/25/33 1 958,616 965,746
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,879,944
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,858,484
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,409,559
Trust 2003-3, Cl. FM, 5.82%, 4/25/33 1 3,597,922 3,623,294
Trust 2003-81, Cl. PW, 4%, 3/25/25 4,940,180 4,860,080
Trust 2003-84, Cl. AJ, 3%, 4/25/13 6,228,243 6,118,075
Trust 2003-84, Cl. PW, 3%, 6/25/22 3,630,629 3,579,574
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,134,038
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 9,459,098 9,367,660
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,817,258
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,823,208
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,276,221
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 10,900,000 10,928,733
Trust 2006-46, Cl. SW, 4.693%, 6/25/36 1 4,637,532 4,563,623
Trust 2006-50, Cl. KS, 4.693%, 6/25/36 1 4,063,014 3,965,922
Trust 2006-50, Cl. SA, 4.693%, 6/25/36 1 4,680,365 4,567,917
Trust 2006-50, Cl. SK, 4.693%, 6/25/36 1 842,900 820,407
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 13,381,950 13,411,194
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-61, Cl. SH, 8.447%, 11/18/31 6 5,495,052 553,733
Trust 2001-63, Cl. SD, 1.876%, 12/18/31 6 72,438 7,303
Trust 2001-68, Cl. SC, 1.766%, 11/25/31 6 50,256 4,860
Trust 2001-81, Cl. S, 0.036%, 1/25/32 6 1,311,143 127,748
Trust 2002-28, Cl. SA, (0.478)%, 4/25/32 6 917,163 84,621
Trust 2002-38, Cl. IO, (4.983)%, 4/25/32 6 786,583 45,610
Trust 2002-39, Cl. SD, (3.217)%, 3/18/32 6 1,288,907 110,944
Trust 2002-48, Cl. S, (0.136)%, 7/25/32 6 1,470,013 141,473
Trust 2002-52, Cl. SL, (0.155)%, 9/25/32 6 872,817 84,641
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed
Security: Continued
Trust 2002-53, Cl. SK, (2.794)%, 4/25/32 6 $ 803,698 $ 75,593
Trust 2002-56, Cl. SN, 0.875%, 7/25/32 6 2,015,604 203,761
Trust 2002-65, Cl. SC, (4.693)%, 6/25/26 6 2,561,439 197,234
Trust 2002-77, Cl. IS, (0.131)%, 12/18/32 6 1,340,105 122,334
Trust 2002-77, Cl. SH, 0.595%, 12/18/32 6 1,561,024 153,623
Trust 2002-89, Cl. S, 10.944%, 1/25/33 6 6,663,597 627,279
Trust 2002-9, Cl. MS, (0.14)%, 3/25/32 6 1,716,553 168,008
Trust 2003-33, Cl. SP, 9.60%, 5/25/33 6 5,606,693 709,054
Trust 2003-4, Cl. S, 7.111%, 2/25/33 6 2,885,292 336,293
Trust 2005-105, Cl. S, 8.513%, 12/25/35 6 12,586,517 745,987
Trust 2005-40, Cl. SA, (4.194)%, 5/25/35 6 13,669,894 670,679
Trust 2005-40, Cl. SB, (2.111)%, 5/25/35 6 6,282,399 340,405
Trust 2005-71, Cl. SA, 3.17%, 8/25/25 6 7,293,305 426,248
Trust 2005-83, Cl. SL, 7.325%, 10/25/35 6 13,446,224 773,085
Trust 2006-119, Cl. MS, 8.231%, 12/25/36 6 13,141,980 785,952
Trust 2006-33, Cl. SP, 12.46%, 5/25/36 6 7,942,251 684,088
Trust 2006-34, Cl. SK, 12.011%, 5/25/36 6 15,824,310 1,350,698
Trust 2006-75, Cl. SA, 8.27%, 8/25/36 6 4,967,676 263,579
Trust 2006-90, Cl. SX, 11.452%, 9/25/36 6 13,327,456 799,570
Trust 221, Cl. 2, 11.125%, 5/1/23 6 1,101,732 260,470
Trust 240, Cl. 2, 19.296%, 9/1/23 6 1,834,881 425,974
Trust 247, Cl. 2, 14.041%, 10/1/23 6 226,151 58,876
Trust 2682, Cl. TQ, 12.706%, 10/15/33 6 6,102,288 357,261
Trust 2981, Cl. BS, 12.391%, 5/15/35 6 11,608,746 597,075
Trust 301, Cl. 2, 4.031%, 4/1/29 6 1,802,640 409,477
Trust 303, Cl. IO, 11.125%, 11/1/29 6 1,068,736 261,743
Trust 313, Cl. 2, (9.523)%, 6/1/31 6 6,452,127 1,496,942
Trust 319, Cl. 2, 10.572%, 2/1/32 6 48,620 11,449
Trust 321, Cl. 2, 8.028%, 4/1/32 6 8,661,995 2,041,050
Trust 324, Cl. 2, 4.463%, 7/1/32 6 6,321,895 1,479,741
Trust 329, Cl. 2, 8.064%, 1/1/33 6 13,989,160 3,210,896
Trust 334, Cl. 12, 5.41%, 2/1/33 6 9,036,034 2,106,311
Trust 342, Cl. 2, 10.019%, 9/1/33 6 14,921,842 3,436,501
Trust 344, Cl. 2, 4.558%, 12/1/33 6 2,323,776 533,310
Trust 346, Cl. 2, 11.829%, 12/1/33 6 17,616,784 4,023,249
Trust 350, Cl. 2, 10.052%, 3/1/34 6 14,793,812 3,380,533
----------------
1,287,949,867
- ---------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.6%
Government National Mortgage Assn.:
5.75%, 7/20/27 1 10,568 10,692
7%, 1/15/28-1/20/30 2,432,180 2,543,210
8%, 1/15/28-9/15/28 1,065,551 1,131,679
11%, 10/20/19 26,948 29,799
12%, 11/20/13-9/20/15 35,562 39,870
12.50%, 12/15/13-11/15/15 1,550,961 1,728,279
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED Continued
Government National Mortgage Assn.: Continued
13%, 10/15/15 $ 2,305,343 $ 2,584,912
13.50%, 6/15/15 3,070,770 3,466,222
- ---------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO, Series 2001-62, Cl. KZ,
6.50%, 12/16/31 10,045,871 10,449,826
- ---------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1999-32, Cl. ZB, 8%, 9/16/29 9,965,349 10,773,101
Series 2000-12, Cl. ZA, 8%, 2/16/30 3,685,255 3,973,932
Series 2000-7, Cl. Z, 8%, 1/16/30 5,278,325 5,650,326
- ---------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-19, Cl. SB, (0.914)%, 7/16/28 6 2,239,244 236,216
Series 1998-6, Cl. SA, (0.401)%, 3/16/28 6 1,355,325 138,018
Series 2006-47, Cl. SA, 14.663%, 8/16/36 6 4,903,118 300,130
----------------
43,056,212
- ---------------------------------------------------------------------------------------------------------------------
NON-AGENCY--2.9%
- ---------------------------------------------------------------------------------------------------------------------
AGRICULTURAL--0.0%
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 2,3,4 624,465 --
Series 1992-2, Cl. B3, 10.605%, 4/15/09 1,2 18,365 6
----------------
6
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL--2.6%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,980,498
- ---------------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., CMO Pass-Through Certificates, Series
2004-2, Cl. 2A1, 6.50%, 7/20/32 3,178,269 3,236,198
- ---------------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., CMO Pass-Through
Certificates:
Series 2005-E, Cl. 2A2, 4.972%, 6/25/35 1 159,634 159,507
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,038,531 3,070,816
- ---------------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 8.155%, 6/22/24 6 6,204,957 244,624
- ---------------------------------------------------------------------------------------------------------------------
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1B, 5.42%, 8/25/08 1,2 2,447,448 2,449,631
- ---------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through
Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,311,000 1,307,392
- ---------------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial
Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 9,103,000 9,148,515
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through
Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 $ 4,861,021 $ 4,848,034
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 9,340,843 9,358,796
Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 1,519,595 1,520,919
- ---------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series
1997-CF2, Cl. B30C, 5.779%, 10/15/30 1,2 36,400,000 10,920,000
- ---------------------------------------------------------------------------------------------------------------------
First Union National Bank/Lehman Brothers/Bank of America
Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2,
Cl. A2, 6.56%, 11/18/35 3,028,909 3,055,121
- ---------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations,
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,919,548
- ---------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-
Through Certificates:
Series 1997-C1, Cl. A3, 6.869%, 7/15/29 566,133 566,138
Series 1998-C1, Cl. F, 7.084%, 5/15/30 1 2,000,000 2,113,332
- ---------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-
Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,199,164
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,313,113
Series 2007-GG9, Cl. A2, 5.381%, 7/10/12 2 6,850,000 6,906,223
- ---------------------------------------------------------------------------------------------------------------------
JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 9,533,860 10,044,287
- ---------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,201,311
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,266,723
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 7,910,000 7,926,057
- ---------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,556,693
- ---------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates:
Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,503,614
Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,620,000 7,678,638
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,269,940
- ---------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A,
2.514%, 7/26/24 2 496,870 385,074
- ---------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 1,782,189 1,767,313
Series 2004-6, Cl. 10A1, 6%, 7/25/34 4,434,918 4,434,212
- ---------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through
Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 12,814,535
- ---------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 9,629,969 9,718,069
- ---------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,024,959
22 | OPPENHEIMER STRATEGIC INCOME 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 $ 380,000 $ 404,581
- ---------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 6,402,860 6,389,785
- ---------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 5,922,488 5,908,910
- ---------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,956,758 6,938,891
- ---------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial
Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,748,121
- ---------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial
Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,083,000 2,091,568
----------------
193,390,850
- ---------------------------------------------------------------------------------------------------------------------
MULTIFAMILY--0.0%
WAMU Mortgage Pass-Through Certificates, Series 2005-AR8 Trust,
Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 1,269,978 1,270,731
- ---------------------------------------------------------------------------------------------------------------------
OTHER--0.1%
JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series
2005-S2, Cl. 3A1, 6.716%, 2/25/32 1 6,869,281 6,956,353
- ---------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--0.2%
Countrywide Alternative Loan Trust, CMO:
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6,969,146 7,064,972
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,587,829 1,621,283
- ---------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., CMO:
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 312,788 315,002
Series 2000-UP1, Cl. A2, 8%, 9/25/30 556,596 558,889
- ---------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,416,278
- ---------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1995-3, Cl. 1IO, 0.778%, 9/15/25 6 38,188,562 328,551
Series 1992-2, Cl. IO, 8.985%, 9/15/22 6 16,741,824 437,439
Series 1995-2B, Cl. 2IO, 12.039%, 6/15/25 6 1,196,854 27,136
- ---------------------------------------------------------------------------------------------------------------------
WAMU Mortgage Pass-Through Certificates, Series 2005-AR5 Trust,
Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 1 1,211,540 1,210,557
----------------
13,980,107
----------------
Total Mortgage-Backed Obligations (Cost $1,561,392,382) 1,546,604,126
- ---------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--4.8%
- ---------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 7,8 23,110,000 22,504,449
- ---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
8.658%, 2/4/08 7,9,10 37,540,000 35,983,892
4.125%, 7/12/10 11 3,100,000 3,038,815
4.75%, 3/5/12 8 112,400,000 112,032,677
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.25%, 7/15/07 8 $ 505,000 $ 503,559
4.75%, 12/15/10 8 15,620,000 15,593,915
5%, 10/15/11-2/13/17 8 42,800,000 43,023,169
6%, 5/15/08 12 15,044,000 15,206,581
6%, 5/15/11 8 33,000,000 34,440,252
7.25%, 1/15/10 31,685,000 33,692,878
- ---------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 6.132%,
1/15/21 7,8 51,220,000 25,523,950
- ---------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
4.50%, 2/15/36 8,12 415,000 391,397
STRIPS, 4.941%, 2/15/16 7,12 23,586,000 15,620,937
----------------
Total U.S. Government Obligations (Cost $354,077,844) 357,556,471
- ---------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--24.9%
- ---------------------------------------------------------------------------------------------------------------------
ARGENTINA--2.3%
Argentina (Republic of) Bonds:
2%, 9/30/14 [ARP] 13,011,900 4,655,730
5.475%, 8/3/12 1 48,514,501 45,999,024
Series V, 7%, 3/28/11 77,910,000 75,925,449
Series VII, 7%, 9/12/13 32,265,000 30,942,135
- ---------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 2,4 [ARP] 1,640 661
- ---------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina Bonds, 2%, 2/4/18 [ARP] 17,153,999 8,256,062
- ---------------------------------------------------------------------------------------------------------------------
Neuquen (Province Del) Sr. Sec. Nts., 8.656%, 10/18/14 2 6,475,000 6,734,000
----------------
172,513,061
- ---------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.1%
New South Wales Treasury Corp., Sr. Unsec. Nts., Series 17RG, 5.50%,
3/1/17 [AUD] 29,765,000 22,966,691
- ---------------------------------------------------------------------------------------------------------------------
New South Wales Treasury Corp. Gtd. Bonds, 8%, 3/1/08 [AUD] 71,585,000 58,718,072
----------------
81,684,763
- ---------------------------------------------------------------------------------------------------------------------
BELGIUM--1.1%
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 9,145,000 13,596,498
- ---------------------------------------------------------------------------------------------------------------------
Belgium (Kingdom of) Treasury Bills, 3.667%, 5/10/07 7 [EUR] 52,685,000 70,110,343
----------------
83,706,841
- ---------------------------------------------------------------------------------------------------------------------
BRAZIL--2.3%
Brazil (Federal Republic of) Bonds:
6%, 1/17/17 22,570,000 22,793,782
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
BRAZIL Continued
Brazil (Federal Republic of) Bonds: Continued
8%, 1/15/18 $ 26,600,000 $ 30,111,200
8.75%, 2/4/25 21,930,000 28,234,875
8.875%, 10/14/19 25,985,000 32,884,018
10.25%, 1/10/28 [BRR] 31,600,000 15,287,725
10.50%, 7/14/14 24,810,000 31,942,875
- ---------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 9,070,950
----------------
170,325,425
- ---------------------------------------------------------------------------------------------------------------------
BULGARIA--0.2%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,080,000 8,407,500
8.25%, 1/15/15 13 6,790,000 8,063,125
----------------
16,470,625
- ---------------------------------------------------------------------------------------------------------------------
CANADA--0.8%
Canada (Government of) Bonds, 5.25%, 6/1/12 [CAD] 42,590,000 38,979,534
- ---------------------------------------------------------------------------------------------------------------------
Canada (Government of) Treasury Bills, 4.056%, 5/3/07 7 [CAD] 22,950,000 19,808,265
----------------
58,787,799
- ---------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.9%
Colombia (Republic of) Bonds:
7.375%, 9/18/37 13,982,000 15,254,362
10.75%, 1/15/13 8,000,000 9,960,000
12%, 10/22/15 [COP] 43,008,000,000 22,676,267
- ---------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 23,854,260,000 11,533,694
- ---------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 4,010,000 4,691,700
----------------
64,116,023
- ---------------------------------------------------------------------------------------------------------------------
COSTA RICA--0.1%
Costa Rica (Republic of) Unsec. Bonds, 9.995%, 8/1/20 5,187,000 6,831,279
- ---------------------------------------------------------------------------------------------------------------------
DENMARK--0.1%
Denmark (Kingdom of) Bonds:
4%, 11/15/10 [DKK] 19,755,000 3,539,218
4%, 11/15/15 [DKK] 14,585,000 2,610,134
7%, 11/10/24 [DKK] 5,325,000 1,283,384
- ---------------------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 21,025,000 3,762,355
----------------
11,195,091
- ---------------------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.1%
Dominican Republic Unsec. Unsub. Bonds, Series REGS, 9.04%, 1/23/18 2,328,041 2,700,527
- ---------------------------------------------------------------------------------------------------------------------
Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,729,106 1,860,518
----------------
4,561,045
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.2%
El Salvador (Republic of) Bonds:
7.625%, 9/21/34 13 $ 4,802,000 $ 5,558,315
7.65%, 6/15/35 13 6,815,000 7,803,175
----------------
13,361,490
- ---------------------------------------------------------------------------------------------------------------------
FRANCE--1.2%
France (Government of) Bonds, 3.25%, 4/25/16 [EUR] 26,850,000 33,674,855
- ---------------------------------------------------------------------------------------------------------------------
France (Government of) Obligations Assimilables du Tresor Bonds, 4%,
4/25/55 [EUR] 25,040,000 31,833,437
- ---------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Bills, 3.565%, 5/10/07 7 [EUR] 17,460,000 23,232,419
----------------
88,740,711
- ---------------------------------------------------------------------------------------------------------------------
GERMANY--2.2%
Germany (Federal Republic of) Bonds:
Series 03, 3.75% 7/4/13 [EUR] 30,820,000 40,544,939
Series 05, 4%, 1/4/37 [EUR] 35,650,000 45,675,089
- ---------------------------------------------------------------------------------------------------------------------
Germany (Federal Republic of) Treasury Bills, Series 0107, 3.801%,
7/18/07 7 [EUR] 61,930,000 81,818,432
----------------
168,038,460
- ---------------------------------------------------------------------------------------------------------------------
GREECE--0.4%
Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 21,190,000 28,990,436
- ---------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 2 2,972,000 3,484,670
10.25%, 11/8/11 2 1,205,000 1,412,863
----------------
4,897,533
- ---------------------------------------------------------------------------------------------------------------------
INDONESIA--0.5%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 13 16,860,000 17,618,700
7.25%, 4/20/15 13 11,655,000 12,631,106
- ---------------------------------------------------------------------------------------------------------------------
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 13 6,210,000 7,622,775
----------------
37,872,581
- ---------------------------------------------------------------------------------------------------------------------
ISRAEL--0.4%
Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 27,552,186
- ---------------------------------------------------------------------------------------------------------------------
ITALY--0.6%
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4%, 7/1/09 1 [EUR] 35,385,000 47,509,937
- ---------------------------------------------------------------------------------------------------------------------
JAPAN--2.0%
Japan (Government of) Bonds:
2 yr., Series 252, 0.80%, 1/15/09 [JPY] 6,894,000,000 58,530,844
10 yr., Series 245, 0.90%, 12/20/12 [JPY] 3,222,000,000 26,513,691
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
JAPAN Continued
Japan (Government of) Bonds: Continued
10 yr., Series 268, 1.50%, 3/20/15 [JPY] 3,329,000,000 $ 28,295,370
30 yr., Series 25, 2.30%, 12/20/36 [JPY] 4,515,000,000 38,045,695
----------------
151,385,600
- ---------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.4%
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 2 [MYR] 57,058,000 18,565,510
- ---------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 8,212,731
----------------
26,778,241
- ---------------------------------------------------------------------------------------------------------------------
MEXICO--0.2%
Mexican Williams Sr. Nts., 6.128%, 11/15/08 1,2 1,500,000 1,545,938
- ---------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds, Series M30, 10%, 11/20/36 [MXN] 135,560,000 15,811,832
----------------
17,357,770
- ---------------------------------------------------------------------------------------------------------------------
NIGERIA--0.2%
Nigeria (Federal Republic of) Bonds, Series 5Y, 13.50%, 9/11/11 [NGN] 36,380,000 318,449
- ---------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Nts., Series 3Y2S, 12.50%, 2/24/09 [NGN] 212,600,000 1,759,288
- ---------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,006,511 1,790,105
- ---------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Treasury Bonds:
Series 5Y13, 12.99%, 9/29/11 [NGN] 524,300,000 4,568,929
Series 7Y16, 11.99%, 12/22/13 2 [NGN] 857,700,000 7,139,121
Series 7YR, 12.74%, 10/27/13 2 [NGN] 341,700,000 2,944,308
----------------
18,520,200
- ---------------------------------------------------------------------------------------------------------------------
PANAMA--0.5%
Panama (Republic of) Bonds:
6.70%, 1/26/36 5 1,800,000 1,877,400
7.25%, 3/15/15 26,685,000 29,033,280
9.375%, 4/1/29 5,500,000 7,356,250
----------------
38,266,930
- ---------------------------------------------------------------------------------------------------------------------
PERU--1.2%
Peru (Republic of) Bonds:
7.84%, 8/12/20 [PEN] 102,295,000 36,809,004
8.20%, 8/12/26 2 [PEN] 10,835,000 4,132,621
9.91%, 5/5/15 [PEN] 63,042,000 24,925,658
Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 9,005,368
Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,161,655
- ---------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.533%, 2/28/16 7 23,556,113 13,913,653
----------------
92,947,959
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.7%
Philippines (Republic of the) Bonds:
8%, 1/15/16 $ 25,470,000 $ 28,812,938
8.375%, 2/15/11 5,050,000 5,528,174
- ---------------------------------------------------------------------------------------------------------------------
Philippines (Republic of the) Sr. Unsec. Bonds, 6.375%, 1/15/32 6,135,000 5,989,294
- ---------------------------------------------------------------------------------------------------------------------
Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 10,195,000 11,545,838
----------------
51,876,244
- ---------------------------------------------------------------------------------------------------------------------
POLAND--0.5%
Poland (Republic of) Bonds:
Series 0K0807, 4.191%, 8/12/07 7 [PLZ] 36,350,000 12,372,210
Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 12,781,163
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 3,082,905
Series 0511, 4.25%, 5/24/11 [PLZ] 33,730,000 11,346,165
----------------
39,582,443
- ---------------------------------------------------------------------------------------------------------------------
SPAIN--0.7%
Spain (Government of) Bonds, 3.80%, 1/31/17 [EUR] 13,435,000 17,521,962
- ---------------------------------------------------------------------------------------------------------------------
Spain (Government of) Treasury Bills, 3.699%, 10/19/07 7 [EUR] 24,260,000 31,722,983
----------------
49,244,945
- ---------------------------------------------------------------------------------------------------------------------
TURKEY--1.4%
Turkey (Republic of) Bonds, 7%, 9/26/16 41,790,000 42,730,275
- ---------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts.:
7.25%, 3/15/15 18,115,000 18,884,888
9.50%, 1/15/14 6,050,000 7,059,140
11%, 1/14/13 2,590,000 3,180,831
16%, 3/7/12 [TRY] 32,390,000 21,970,751
19.868%, 7/16/08 7 [TRY] 6,895,000 3,915,478
20.493%, 8/13/08 7 [TRY] 9,620,000 5,387,995
----------------
103,129,358
- ---------------------------------------------------------------------------------------------------------------------
UKRAINE--0.3%
Ukraine (Government of) Bonds, 7.65%, 6/11/13 19,874,000 21,662,660
- ---------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--1.3%
United Kingdom Treasury Bonds:
5%, 3/7/08 [GBP] 15,025,000 29,433,826
6%, 12/7/28 [GBP] 17,240,000 40,267,717
- ---------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 15,330,000 29,379,408
----------------
99,080,951
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
URUGUAY--0.9%
Uruguay (Oriental Republic of) Bonds:
4.25%, 4/5/27 [UYU] 167,100,000 $ 7,015,847
7.625%, 3/21/36 21,415,000 23,717,113
- ---------------------------------------------------------------------------------------------------------------------
Uruguay (Oriental Republic of) Unsec. Bonds:
5%, 9/14/18 [UYU] 222,660,000 10,435,188
8%, 11/18/22 24,380,000 27,793,200
----------------
68,961,348
----------------
Total Foreign Government Obligations (Cost $1,776,770,554) 1,865,949,935
- ---------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.6%
- ---------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International, Export-Import Bank of Ukraine Loan
Participation Nts., 8.40%, 2/9/16 12,520,000 13,020,800
- ---------------------------------------------------------------------------------------------------------------------
Dali Capital plc/Bank of Moscow Loan Participation Nts., Series 28, Tranche
1, 7.25%, 11/25/09 [RUR] 501,000,000 19,493,263
- ---------------------------------------------------------------------------------------------------------------------
Dali Capital SA (ROSBANK) Loan Participation Nts., Series 23, Tranche 1,
8%, 9/30/09 [RUR] 309,000,000 11,963,331
----------------
Total Loan Participations (Cost $42,928,847) 44,477,394
- ---------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--27.8%
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--7.0%
- ---------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.5%
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,729,000 2,790,403
- ---------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 6,631,000 6,970,839
9% Sr. Unsec. Nts., 7/1/15 6,000,000 6,615,000
- ---------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 4,017,784
- ---------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,243,423
10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,376,980
- ---------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,768,000
- ---------------------------------------------------------------------------------------------------------------------
Visteon Corp.:
7% Sr. Unsec. Nts., 3/10/14 3,975,000 3,498,000
8.25% Sr. Unsec. Nts., 8/1/10 6,600,000 6,765,000
----------------
40,045,429
- ---------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.1%
General Motors Acceptance Corp., 8% Bonds, 11/1/31 7,690,000 8,267,757
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTORS--0.0%
SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 2,825,000 3,008,625
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.1%
Education Management LLC/Education Management Corp., 10.25% Sr. Unsec. Sub.
Nts., 6/1/16 $ 3,345,000 $ 3,646,050
- ---------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--1.7%
American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 1,900,000 1,985,500
- ---------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,788,593
- ---------------------------------------------------------------------------------------------------------------------
Buffets, Inc., 12.50% Sr. Unsec. Nts., 11/1/14 725,000 757,625
- ---------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 13 4,895,000 4,943,950
- ---------------------------------------------------------------------------------------------------------------------
French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 13 4,600,000 3,887,000
- ---------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co.:
6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 685,125
8% Sr. Nts., 11/15/13 1,900,000 1,954,625
- ---------------------------------------------------------------------------------------------------------------------
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 13 4,915,000 5,283,625
- ---------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,991,670
9% Sr. Sub. Nts., 3/15/12 7,132,000 7,470,770
- ---------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,648,025
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,210,618
- ---------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
6.75% Sr. Unsec. Nts., 4/1/13 3,200,000 3,192,000
8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,461,325
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,212,000
- ---------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,653,300
6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,327,000
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,335,825
7.125% Sr. Unsec. Sub. Nts., 8/15/14 900,000 918,000
8% Sr. Sub. Nts., 4/1/12 2,950,000 3,075,375
- ---------------------------------------------------------------------------------------------------------------------
NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,000,000 995,000
- ---------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,839,000 9,280,950
- ---------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,623,375
- ---------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 6,950,000 7,193,250
- ---------------------------------------------------------------------------------------------------------------------
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 13 2,265,000 2,508,488
- ---------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,3,4 10,800,000 --
- ---------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 3,226,000 3,266,325
9.625% Sr. Nts., 6/1/14 1,368,000 1,292,760
9.75% Sr. Nts., 4/15/13 1,050,000 1,005,375
- ---------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,325,000 9,550,625
6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,455,575
- ---------------------------------------------------------------------------------------------------------------------
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,729,000
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 $ 3,858,000 $ 4,103,948
- ---------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,500,000 1,511,250
- ---------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 10,403,000 10,350,985
----------------
127,648,857
- ---------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.4%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,340,995
- ---------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,030,462
- ---------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,711,903
- ---------------------------------------------------------------------------------------------------------------------
KB Home:
8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,542,035
9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,231,500
- ---------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,971,000 2,084,333
- ---------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 1,954,125
- ---------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,004,406
- ---------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,561,075
- ---------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,415,370
----------------
28,876,204
- ---------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 3,450,000 3,501,750
- ---------------------------------------------------------------------------------------------------------------------
Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,935,450
----------------
5,437,200
- ---------------------------------------------------------------------------------------------------------------------
MEDIA--3.5%
Adelphia Communications Corp.:
7.875% Escrow Shares, Series B, 5/1/09 3,4 1,400,000 458,500
8.125% Escrow Shares, Series B, 7/15/03 3,4 2,325,000 784,688
8.375% Escrow Shares, Series B, 2/1/08 3,4 4,236,000 1,429,650
9.25% Escrow Shares, Series B, 10/1/02 4 6,065,000 2,046,938
9.875% Escrow Shares, Series B, 3/1/08 3,4 1,800,000 607,500
10.25% Escrow Shares, Series B, 6/15/11 3,4 800,000 280,000
10.875% Escrow Shares, Series B, 10/1/10 3,4 200,000 67,500
- ---------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,373,380
- ---------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,584,875
- ---------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 889,688
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 5,000,000 4,750,000
- ---------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 13 2,290,000 2,335,800
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
MEDIA Continued
Charter Communications Holdings II LLC/Charter Communications Holdings II
Capital Corp.:
10.25% Sr. Unsec. Nts., 9/15/10 $ 2,650,000 $ 2,809,000
10.25% Sr. Unsec. Nts., Series B, 9/15/10 6,730,000 7,125,388
- ---------------------------------------------------------------------------------------------------------------------
Charter Communications Operating LLC/Charter Communications
Operating Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 13 13,129,000 13,736,216
- ---------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 14 7,129,000 6,558,680
- ---------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
7.625% Sr. Unsec. Debs., 7/15/18 900,000 913,500
7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 6,419,000 6,611,570
- ---------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,441,400
- ---------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,509,000 2,631,314
9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,857,484
- ---------------------------------------------------------------------------------------------------------------------
Dex Media, Inc.:
0%/9% Unsec. Disc. Nts., 11/15/13 14 3,600,000 3,370,500
8% Unsec. Nts., 11/15/13 14,633,000 15,401,233
- ---------------------------------------------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 6.375% Sr. Unsec. Nts.,
6/15/15 2,700,000 2,578,500
- ---------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
6.625% Sr. Unsec. Nts., 10/1/14 6,188,000 6,242,145
7% Sr. Unsec. Nts., 10/1/13 2,150,000 2,225,250
7.125% Sr. Unsec. Nts., 2/1/16 2,200,000 2,282,500
- ---------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,953,875
- ---------------------------------------------------------------------------------------------------------------------
Idearc, Inc., 8% Sr. Nts., 11/15/16 13 6,710,000 6,936,463
- ---------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,023,000 3,942,540
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,831,500
- ---------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,180,464
- ---------------------------------------------------------------------------------------------------------------------
Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 14 7,400,000 6,530,500
- ---------------------------------------------------------------------------------------------------------------------
Mediacom Broadband LLC/Mediacom Broadband Corp.:
8.50% Sr. Nts., 10/15/15 13 4,910,000 5,045,025
8.50% Sr. Unsec. Nts., 10/15/15 1,895,000 1,947,113
- ---------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,855,000 5,018,856
- ---------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc.:
6.375% Sr. Sub. Nts., 4/1/14 1,900,000 1,676,750
6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,369,125
- ---------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC/Nielsen Finance Co.:
0%/12.50% Sr. Sub. Disc. Nts., 8/1/16 13,14 5,360,000 3,778,800
10% Sr. Nts., 8/1/14 13 7,265,000 7,955,175
- ---------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.61% Sr. Sec. Nts., 1/15/13 1,13 4,225,000 4,425,688
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
MEDIA Continued
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 $ 5,317,000 $ 5,529,680
8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,773,835
- ---------------------------------------------------------------------------------------------------------------------
Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 13 1,600,000 1,628,000
- ---------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp.:
6.875% Sr. Disc. Nts., Series A-1, 1/15/13 10,815,000 10,571,663
6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,155,000 9,926,513
6.875% Sr. Nts., 1/15/13 6,800,000 6,647,000
8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 9,910,000 10,578,925
- ---------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 13 4,340,000 4,708,900
- ---------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,100,460
- ---------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 13 1,999,000 2,136,431
- ---------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,543,327
- ---------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 11,275,000 11,726,000
- ---------------------------------------------------------------------------------------------------------------------
Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 1,360,000 1,371,900
- ---------------------------------------------------------------------------------------------------------------------
Vertis, Inc.:
9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,748,485
10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,100,000 3,146,500
- ---------------------------------------------------------------------------------------------------------------------
Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,202,250
- ---------------------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 14 9,185,000 7,072,450
- ---------------------------------------------------------------------------------------------------------------------
XM Satellite Radio Holdings, Inc., 9.75% Sr. Unsec. Nts., 5/1/14 2,150,000 2,179,563
----------------
260,576,955
- ---------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.2%
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 7,700,000 8,306,375
- ---------------------------------------------------------------------------------------------------------------------
Neiman Marcus Group, Inc. (The):
9% Sr. Unsec. Nts., 10/15/15 6,770,000 7,447,000
10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,060,000 2,307,200
----------------
18,060,575
- ---------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.1%
Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,310,365
- ---------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 2,3,4 4,300,000 580,500
- ---------------------------------------------------------------------------------------------------------------------
Linens 'N Things, Inc., 10.985% Sr. Sec. Nts., 1/15/14 1 4,635,000 4,333,725
- ---------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,670,625
----------------
9,895,215
- ---------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 13 5,830,000 6,238,100
- ---------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 6,838,000 7,538,895
- ---------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 2 1,650,000 1,716,000
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS Continued
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 $ 2,865,000 $ 2,714,588
----------------
18,207,583
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.4%
- ---------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Constellation Brands, Inc.:
7.25% Sr. Nts., 9/1/16 1,635,000 1,663,613
8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,106,000
----------------
3,769,613
- ---------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.5%
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 4,617,000 4,728,634
- ---------------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 14,744,000 17,788,946
- ---------------------------------------------------------------------------------------------------------------------
Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,697,000 7,299,730
- ---------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 2,3,4,15 8,836,185 --
- ---------------------------------------------------------------------------------------------------------------------
Rite Aid Corp., 8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,924,533
- ---------------------------------------------------------------------------------------------------------------------
Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 2,900,000 3,037,750
----------------
36,779,593
- ---------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.4%
Del Monte Corp.:
6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,316,719
8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,132,975
- ---------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,838,000 1,842,595
8.875% Sr. Unsec. Nts., 3/15/11 623,000 618,328
- ---------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 3,500,000 2,852,500
- ---------------------------------------------------------------------------------------------------------------------
MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11 13 5,130,000 5,309,550
- ---------------------------------------------------------------------------------------------------------------------
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.:
9.25% Sr. Nts., 4/1/15 2,5 1,239,000 1,225,061
10.625% Sr. Sub. Nts., 4/1/17 2,5 7,448,000 7,364,210
- --------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,386,040
8% Sr. Nts., Series B, 10/15/09 2 1,300,000 1,361,750
----------------
29,409,728
- ---------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.1%
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,960,000
- ---------------------------------------------------------------------------------------------------------------------
Nutro Products, Inc., 10.75% Sr. Sub. Nts., 4/15/14 13 1,460,000 1,584,100
- ---------------------------------------------------------------------------------------------------------------------
Spectrum Brands, Inc., 7.375% Sr. Unsec. Sub. Nts., 2/1/15 4,150,000 3,340,750
----------------
6,884,850
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.2%
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 $ 3,800,000 $ 3,895,000
- ---------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 3,092,000 3,246,600
9.375% Sr. Unsec. Sub. Nts., 6/1/11 2 3,588,000 3,727,035
- ---------------------------------------------------------------------------------------------------------------------
Sally Holdings LLC:
9.25% Sr. Nts., 11/15/14 13 5,467,000 5,644,678
10.50% Sr. Sub. Nts., 11/15/16 13 3,369,000 3,478,493
----------------
19,991,806
- ---------------------------------------------------------------------------------------------------------------------
TOBACCO--0.1%
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 8,170,000 8,602,275
- ---------------------------------------------------------------------------------------------------------------------
ENERGY--2.9%
- ---------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.2%
Basic Energy Services, Inc., 7.125% Sr. Unsec. Nts., 4/15/16 1,600,000 1,568,000
- ---------------------------------------------------------------------------------------------------------------------
Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,160,500
- ---------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 815,070
- ---------------------------------------------------------------------------------------------------------------------
PHI, Inc., 7.125% Sr. Unsec. Nts., 4/15/13 1,920,000 1,843,200
- ---------------------------------------------------------------------------------------------------------------------
RathGibson, Inc., 11.25% Sr. Unsec. Nts., 2/15/14 1,590,000 1,685,400
- ---------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,342,519
----------------
10,414,689
- ---------------------------------------------------------------------------------------------------------------------
OIL & GAS--2.7%
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,244,089
- ---------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 1,635,000 1,692,225
- ---------------------------------------------------------------------------------------------------------------------
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 870,000 870,000
- ---------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 2,000,000
6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,586,278
- ---------------------------------------------------------------------------------------------------------------------
Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 640,000 604,800
- ---------------------------------------------------------------------------------------------------------------------
Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,345,000 6,233,963
- ---------------------------------------------------------------------------------------------------------------------
Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 950,000 988,000
- ---------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,464,300
- ---------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,641,400
- ---------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 915,750
- ---------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,775,000 2,781,938
- ---------------------------------------------------------------------------------------------------------------------
Gaz Capital SA, 8.625% Sr. Unsec. Nts., 4/28/34 13 13,740,000 17,690,250
- ---------------------------------------------------------------------------------------------------------------------
Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,535,000 1,619,425
- ---------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 15,594,000 16,895,990
- ---------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 1,620,000 1,545,075
- ---------------------------------------------------------------------------------------------------------------------
National Gas Co., 6.05% Nts., 1/15/36 13 8,195,000 7,963,336
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 $ 3,600,000 $ 3,618,000
- ---------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec.
Nts., 9/15/15 640,000 641,010
- ---------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,452,983
- ---------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 13 25,794,346 25,257,204
- ---------------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 7.875% Sr. Unsec. Sub. Nts., 5/1/13 1,610,000 1,630,125
- ---------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,740,549
- ---------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,200,000 4,158,000
- ---------------------------------------------------------------------------------------------------------------------
Range Resources Corp.:
6.375% Sr. Sub. Nts., 3/15/15 2,465,000 2,440,350
7.50% Sr. Sub. Nts., 5/15/16 6,525,000 6,753,375
- ---------------------------------------------------------------------------------------------------------------------
Sabine Pass LNG LP:
7.25% Sr. Sec. Nts., 11/30/13 13 4,380,000 4,423,800
7.50% Sr. Sec. Nts., 11/30/16 13 8,760,000 8,847,600
- ---------------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 2,961,000
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,001,250
- ---------------------------------------------------------------------------------------------------------------------
Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 13 3,265,000 3,346,625
- ---------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,083,813
- ---------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 13 17,587,000 17,587,000
- ---------------------------------------------------------------------------------------------------------------------
Tesoro Corp.:
6.25% Sr. Unsec. Nts., 11/1/12 2,450,000 2,495,938
6.625% Sr. Unsec. Nts., 11/1/15 3,750,000 3,815,625
- ---------------------------------------------------------------------------------------------------------------------
Whiting Petroleum Corp.:
7.25% Sr. Sub. Nts., 5/1/12 2,000,000 1,975,000
7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 592,500
- ---------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 9,762,000 10,274,505
8.75% Unsec. Nts., 3/15/32 3,825,000 4,427,438
- ---------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 2 1,100,000 1,109,625
----------------
204,370,134
- ---------------------------------------------------------------------------------------------------------------------
FINANCIALS--5.3%
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.9%
Berry Plastics Holding Corp.:
8.875% Sr. Sec. Nts., 9/15/14 2,450,000 2,517,375
9.23% Sr. Sec. Nts., 9/15/14 1 2,450,000 2,523,500
- ---------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp.:
7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,053,800
8% Sr. Nts., 6/15/11 2,710,000 2,865,825
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS Continued
HBOS Treasury Services plc:
4.375% Sr. Sec. Nts., 7/13/16 [EUR] 22,785,000 $ 30,590,778
4.50% Sr. Sec. Nts., 7/13/21 [EUR] 21,320,000 28,636,423
----------------
69,187,701
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--1.6%
African Development Bank, 9.25% Bonds, 1/18/08 [NGN] 777,800,000 6,213,282
- ---------------------------------------------------------------------------------------------------------------------
Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 [EUR] 5,900,000 7,879,513
- ---------------------------------------------------------------------------------------------------------------------
Banco BMG SA, 9.15% Nts., 1/15/16 13 16,590,000 17,834,250
- ---------------------------------------------------------------------------------------------------------------------
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 1,2 5,190,000 5,177,025
- ---------------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 2 4,012,000 4,137,375
- ---------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
11.601% Sr. Unsec. Nts., 1/12/10 2,7 21,550,000 13,156,275
12.278% Sr. Unsec. Nts., 3/9/09 2,7 16,420,000 11,249,342
9.751% Sr. Unsec. Nts., 7/8/09 2,7 16,420,000 11,863,450
- ---------------------------------------------------------------------------------------------------------------------
ICICI Bank Ltd., 6.375% Bonds, 4/30/22 1,13 10,030,000 9,959,650
- ---------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,523,112
7.889% Nts., 1/25/12 1 [COP] 6,412,857,194 3,090,475
- ---------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 13 6,285,000 6,567,825
- ---------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 2,3,4 4,970,000 --
- ---------------------------------------------------------------------------------------------------------------------
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 13 5,880,000 6,225,450
- ---------------------------------------------------------------------------------------------------------------------
Salisbury International Investments Ltd., 9.51% Sec. Nts., Series 2006-003,
Tranche E, 7/20/11 1,2 4,800,000 4,800,000
- ---------------------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Sr. Nts., 6/30/35 13 6,390,000 6,621,638
----------------
118,298,662
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.0%
Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 2 615,000 636,525
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--1.4%
Astana-finance:
7.625% Unsec. Bonds, 2/16/09 4,245,000 4,262,426
9% Sr. Unsec. Unsub. Bonds, 11/16/11 3,300,000 3,368,987
- ---------------------------------------------------------------------------------------------------------------------
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2 17,723,587 18,698,384
- ---------------------------------------------------------------------------------------------------------------------
Cloverie plc, 9.60% Sec. Nts., Series 2005-93, 12/20/10 1,2 6,400,000 6,451,200
- ---------------------------------------------------------------------------------------------------------------------
Depfa ACS Bank, 3.50% Sec. Nts., 3/16/11 [EUR] 8,055,000 10,509,247
- ---------------------------------------------------------------------------------------------------------------------
Halyk Savings Bank Kazakhstan Europe BV, 7.75% Nts., 5/13/13 13 3,035,000 3,198,131
- ---------------------------------------------------------------------------------------------------------------------
JP Morgan Hipotecaria su Casita, 6.56% Sec. Nts., 8/26/35 5,13 [MXN] 24,775,500 2,244,513
- ---------------------------------------------------------------------------------------------------------------------
JPMorgan, Red Square Capital Ltd., 9% CDO Nts., 11/20/08 5 [RUR] 217,000,000 8,267,812
- ---------------------------------------------------------------------------------------------------------------------
JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 3,151,875
- ---------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 13 4,815,000 5,043,713
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Piazza Vittoria Finance SrL, 4.454% Asset-Backed Nts., 7/20/10 1 [EUR] 22,901,830 $ 30,535,161
- ---------------------------------------------------------------------------------------------------------------------
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 14 14,015,000 5,901,128
- ---------------------------------------------------------------------------------------------------------------------
Universal City Florida:
8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,036,250
10.11% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,036,250
----------------
103,705,077
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.1%
Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,011,000 4,316,839
- ---------------------------------------------------------------------------------------------------------------------
Host Hotels & Resorts LP, 6.875% Sr. Unsub. Nts., 11/1/14 875,000 892,500
- ---------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,815,438
- ---------------------------------------------------------------------------------------------------------------------
Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,835,000 1,908,400
----------------
10,933,177
- ---------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--1.3%
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 2 7,210,000 7,642,600
- ---------------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 2 5,054,000 5,331,970
- ---------------------------------------------------------------------------------------------------------------------
WM Covered Bond Program:
3.875% Sec. Nts., Series1, 9/27/11 [EUR] 26,380,000 34,705,175
4% Sec. Mtg. Nts., Series 2, 9/27/16 [EUR] 37,290,000 48,454,235
----------------
96,133,980
- ---------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.0%
- ---------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.0%
Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 1,605,000 1,488,638
- ---------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.1%
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2 2,000,000 2,095,000
- ---------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,518,233
----------------
4,613,233
- ---------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--0.9%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 3,005,700
- ---------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,344,085
- ---------------------------------------------------------------------------------------------------------------------
DaVita, Inc.:
6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,346,650
7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,345,475
- ---------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,128,005
- ---------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,185,843
- ---------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Securities,
6/15/11 2,888,000 3,046,840
- ---------------------------------------------------------------------------------------------------------------------
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,547,875
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
HCA, Inc., 6.375% Nts., 1/15/15 $ 12,983,000 $ 11,116,694
- ---------------------------------------------------------------------------------------------------------------------
HEALTHSOUTH Corp., 10.75% Sr. Nts., 6/15/16 13 2,545,000 2,780,413
- ---------------------------------------------------------------------------------------------------------------------
Omnicare, Inc.:
6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,306,331
6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,642,275
- ---------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,637,100
- ---------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 4,858,000 4,396,490
- ---------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 3,170,000 2,979,800
7.375% Nts., 2/1/13 118,000 110,183
9.875% Sr. Nts., 7/1/14 7,634,000 7,748,510
- ---------------------------------------------------------------------------------------------------------------------
US Oncology, Inc.:
9% Sr. Unsec. Nts., 8/15/12 100,000 107,250
10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 112,000
- ---------------------------------------------------------------------------------------------------------------------
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 14 9,391,000 7,677,143
----------------
66,564,662
- ---------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.8%
- ---------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.3%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,216,000
- ---------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc., 8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,110,989
- ---------------------------------------------------------------------------------------------------------------------
Bombardier, Inc., 8% Sr. Nts., 11/15/14 13 1,535,000 1,596,400
- ---------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc.:
6.625% Sr. Nts., 2/1/16 3,735,000 3,791,025
7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,159,950
- ---------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,962,599
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,777,500
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,206,694
7.625% Sr. Sub. Nts., 6/15/12 600,000 621,000
----------------
20,442,157
- ---------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0%
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 2,3,4 11,115,000 --
- ---------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,519,495
- ---------------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,476,201
- ---------------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,860,000 2,888,600
- ---------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,785,875
----------------
10,670,171
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.3%
Allied Waste North America, Inc.:
7.375% Sr. Sec. Nts., Series B, 4/15/14 12 $ 8,000,000 $ 8,160,000
9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 283,020
- ---------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 2,3,4 3,462,000 --
- ---------------------------------------------------------------------------------------------------------------------
ARAMARK Corp., 8.50% Sr. Nts., 2/1/15 13 2,441,000 2,550,845
- ---------------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,152,000
- ---------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,351,675
7.50% Sr. Nts., 5/1/11 1,500,000 1,548,750
- ---------------------------------------------------------------------------------------------------------------------
FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,150,000 2,268,250
----------------
21,314,540
- ---------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.3%
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 359,100
- ---------------------------------------------------------------------------------------------------------------------
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 13 16,001,489 18,881,757
----------------
19,240,857
- ---------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 565,125
- ---------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,285,000 4,704,873
- ---------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 1,662,000 1,753,410
----------------
7,023,408
- ---------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 13 3,650,000 3,668,250
- ---------------------------------------------------------------------------------------------------------------------
MACHINERY--0.2%
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 2,550,000 2,664,750
- ---------------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 13 2,714,000 2,537,590
- ---------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,049,800
- ---------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 666,250
- ---------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,953,625
- ---------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,039,750
----------------
14,911,765
- ---------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
7.75% Sr. Nts., 5/15/16 13 1,595,000 1,630,888
7.86% Sr. Nts., 5/15/14 1,13 640,000 656,000
- ---------------------------------------------------------------------------------------------------------------------
Hertz Corp.:
8.875% Sr. Unsec. Nts., 1/1/14 940,000 1,017,550
10.50% Sr. Unsec. Sub. Nts., 1/1/16 4,255,000 4,871,975
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
ROAD & RAIL Continued
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 $ 2,125,000 $ 2,183,438
- ---------------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 972,000 967,140
7.50% Sr. Unsec. Nts., 11/1/13 232,000 236,640
- ---------------------------------------------------------------------------------------------------------------------
TDS Investor Corp., 11.875% Sr. Sub. Nts., 9/1/16 13 4,400,000 4,845,500
----------------
16,409,131
- ---------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.3%
Ashtead Capital, Inc., 9% Nts., 8/15/16 13 1,650,000 1,765,500
- ---------------------------------------------------------------------------------------------------------------------
H&E Equipment Services, Inc., 8.375% Sr. Unsec. Nts., 7/15/16 1,815,000 1,937,513
- ---------------------------------------------------------------------------------------------------------------------
Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,645,000 1,706,688
- ---------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 15,909,000 15,948,773
----------------
21,358,474
- ---------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.8%
- ---------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.2%
NXP BV/NXP Funding LLC, 9.50% Sr. Bonds, 10/15/15 13 12,810,000 13,290,375
- ---------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3,4 12,679,000 127
----------------
13,290,502
- ---------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1%
RBS Global & Rexnord Corp.:
9.50% Sr. Nts., 8/1/14 13 1,980,000 2,069,100
11.75% Sr. Sub. Nts., 8/1/16 13 3,215,000 3,468,181
----------------
5,537,281
- ---------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,3,4 [EUR] 2,116,376 --
- ---------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,3,4 2,081,799 --
- ---------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 2,3,4 [EUR] 6,650,000 --
----------------
--
- ---------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.3%
DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts.,
Series B, 2/15/13 2 4,340,000 4,643,800
- ---------------------------------------------------------------------------------------------------------------------
iPayment Holdings, Inc., 9.75% Sr. Unsec. Sub. Nts., 5/15/14 1,900,000 1,957,000
- ---------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,286,550
- ---------------------------------------------------------------------------------------------------------------------
SunGard Data Systems, Inc.:
9.125% Sr. Unsec. Nts., 8/15/13 4,370,000 4,708,675
10.25% Sr. Unsec. Sub. Nts., 8/15/15 8,150,000 8,934,438
----------------
24,530,463
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
Conexant Systems, Inc., 9.11% Sr. Sec. Nts., 11/15/10 1,13 $ 1,535,000 $ 1,592,563
- ---------------------------------------------------------------------------------------------------------------------
Freescale Semiconductor, Inc., 10.125% Sr. Sub. Nts., 12/15/16 13 13,398,000 13,498,485
----------------
15,091,048
- ---------------------------------------------------------------------------------------------------------------------
MATERIALS--2.8%
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.6%
BCP Crystal US Holdings Corp., 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,738,241
- ---------------------------------------------------------------------------------------------------------------------
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp., 0%/10.50% Sr. Unsec.
Disc. Nts., Series B, 10/1/14 14 3,290,000 3,072,038
- ---------------------------------------------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,864,590
10.125% Sr. Unsec. Nts., 9/1/08 118,000 124,785
10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,432,060
- ---------------------------------------------------------------------------------------------------------------------
Georgia Gulf Corp., 10.75% Sr. Sub. Nts., 10/15/16 4,910,000 4,738,150
- ---------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
7.875% Sr. Unsec. Sub. Nts., 11/13/14 13 875,000 908,906
8.375% Sr. Sub. Nts., 1/1/15 1,13 1,811,000 1,847,220
- ---------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 792,485
11.625% Sr. Unsec. Nts., 10/15/10 76,000 82,745
- ---------------------------------------------------------------------------------------------------------------------
Ineos Group Holdings plc, 8.50% Nts., 2/15/16 13 3,650,000 3,513,125
- ---------------------------------------------------------------------------------------------------------------------
Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 1,090,000 1,133,600
- ---------------------------------------------------------------------------------------------------------------------
KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 14 2,650,000 2,242,563
- ---------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
8% Sr. Unsec. Nts., 9/15/14 4,590,000 4,830,975
8.25% Sr. Unsec. Nts., 9/15/16 2,450,000 2,633,750
10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,262,500
- ---------------------------------------------------------------------------------------------------------------------
Mosaic Global Holdings, Inc.:
7.375% Sr. Nts., 12/1/14 13 1,230,000 1,288,425
7.625% Sr. Nts., 12/1/16 13 1,230,000 1,303,800
- ---------------------------------------------------------------------------------------------------------------------
Rockwood Specialties Group, Inc.:
7.50% Sr. Sub. Nts., 11/15/14 1,350,000 1,377,000
10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 927,500
- ---------------------------------------------------------------------------------------------------------------------
Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Unsec. Nts., 12/1/12 1,406,000 1,497,390
----------------
47,611,848
- ---------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.3%
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs. 13,16 16,520,000 16,322,190
- ---------------------------------------------------------------------------------------------------------------------
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 14 5,990,000 4,372,700
----------------
20,694,890
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.1%
Ball Corp., 6.625% Sr. Nts., 3/15/18 $ 4,500,000 $ 4,483,125
- ---------------------------------------------------------------------------------------------------------------------
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 3,810,000 3,981,450
- ---------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,326,000
9.875% Sr. Unsec. Sub. Nts., 10/15/14 6,614,000 6,779,350
- ---------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,738,000 5,996,210
9.50% Sr. Sub. Nts., 8/15/13 2,555,000 2,730,656
- ---------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 3,950,000 3,969,750
- ---------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 1,206,000 1,287,405
- ---------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,896,700
8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,694,855
8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,144,865
8.875% Sr. Sec. Nts., 2/15/09 2 5,700,000 5,842,500
- ---------------------------------------------------------------------------------------------------------------------
Pliant Corp., 11.85% Sr. Sec. Nts., 6/15/09 4,15 2,270,341 2,582,513
- ---------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 6,158,000 5,272,788
- ---------------------------------------------------------------------------------------------------------------------
Stone Container Corp., 8.375% Sr. Nts., 7/1/12 3,145,000 3,168,588
- ---------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 13 960,000 1,080,000
- ---------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,567,536
- ---------------------------------------------------------------------------------------------------------------------
Vitro SA de CV:
8.625% Sr. Unsec. Unsub. Nts., 2/1/12 13 4,970,000 5,044,550
9.125% Sr. Unsec. Nts., 2/1/17 13 8,445,000 8,613,900
----------------
81,462,741
- ---------------------------------------------------------------------------------------------------------------------
METALS & MINING--0.5%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,848,070
7.875% Sr. Unsec. Nts., 2/15/09 689,000 692,445
- ---------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 11,640,000 13,415,100
8.875% Nts., 11/17/14 13 1,745,000 2,011,113
- ---------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,121,788
- ---------------------------------------------------------------------------------------------------------------------
Gibraltar Industries, Inc., 8% Sr. Unsec. Sub. Nts., Series B, 12/1/15 1,970,000 1,999,550
- ---------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,3,4 1,586,000 --
- ---------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,070,000
- ---------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,974,000 3,286,380
- ---------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2 2,172,000 2,367,480
- ---------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/15 1 7,180,000 7,628,750
- ---------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,175,469
- ---------------------------------------------------------------------------------------------------------------------
United States Steel Corp., 9.75% Sr. Nts., 5/15/10 1,949,000 2,056,195
----------------
42,672,340
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.3%
Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 $ 3,900,000 $ 3,685,500
- ---------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc.:
8.55% Nts., 8/1/10 1,925,000 1,958,688
8.85% Unsec. Bonds, 8/1/30 1,200,000 1,074,000
- ---------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,575,000
- ---------------------------------------------------------------------------------------------------------------------
Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 1,122,000
- ---------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,400,000
- ---------------------------------------------------------------------------------------------------------------------
JSG Holding plc, 11.50% Sr. Nts., 10/1/15 13,15 [EUR] 1,223,736 1,761,412
- ---------------------------------------------------------------------------------------------------------------------
Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 1,665,000 1,677,488
- ---------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,528,500
- ---------------------------------------------------------------------------------------------------------------------
Verso Paper Holdings LLC/Verson Paper, Inc.:
9.11% Sr. Sec. Nts., 8/1/14 1,13 1,975,000 2,034,250
11.375% Sr. Sub. Nts., 8/1/16 13 1,975,000 2,078,688
----------------
20,895,526
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.6%
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.3%
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 13 12,700,000 12,668,250
- ---------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 2,4 6,401,538 --
- ---------------------------------------------------------------------------------------------------------------------
Intelsat Bermuda Ltd., 11.25% Sr. Nts., 6/15/16 13 1,855,000 2,114,700
- ---------------------------------------------------------------------------------------------------------------------
Intelsat Subsidiary Holding Co. Ltd.:
8.25% Sr. Nts., 1/15/13 1 4,000,000 4,190,000
8.625% Sr. Nts., 1/15/15 3,595,000 3,864,625
- ---------------------------------------------------------------------------------------------------------------------
Level 3 Financing, Inc.:
8.75% Sr. Nts., 2/15/17 13 3,095,000 3,133,688
9.25% Sr. Nts., 11/1/14 13 5,620,000 5,802,650
- ---------------------------------------------------------------------------------------------------------------------
Nordic Telephone Co. Holdings ApS, 8.875% Sr. Nts., 5/1/16 13 1,590,000 1,709,250
- ---------------------------------------------------------------------------------------------------------------------
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 1,475,000 1,563,500
- ---------------------------------------------------------------------------------------------------------------------
PanAmSat Corp.:
9% Sr. Nts., 6/15/16 13 3,280,000 3,628,500
9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,948,625
- ---------------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc.:
7.25% Unsec. Unsub. Nts., 2/15/11 2,200,000 2,263,250
7.90% Unsec. Nts., 8/15/10 5,197,000 5,443,858
- ---------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,543,125
- ---------------------------------------------------------------------------------------------------------------------
Qwest Corp.:
7.50% Sr. Unsec. Nts., 10/1/14 3,275,000 3,471,500
8.875% Unsec. Unsub. Nts., 3/15/12 13,690,000 15,195,900
- ---------------------------------------------------------------------------------------------------------------------
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 2 [PEN] 20,898,900 7,328,898
- ---------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,3,4 5,035,000 --
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 $ 7,670,000 $ 8,245,250
- ---------------------------------------------------------------------------------------------------------------------
Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,802,363
- ---------------------------------------------------------------------------------------------------------------------
West Corp.:
9.50% Sr. Nts., 10/15/14 13 3,480,000 3,619,200
11% Sr. Sub. Nts., 10/15/16 13 1,450,000 1,537,000
- ---------------------------------------------------------------------------------------------------------------------
Windstream Corp.:
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 2,445,000 2,658,938
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 2,445,000 2,686,444
----------------
100,419,514
- ---------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.3%
Alamosa Delaware, Inc.:
8.50% Sr. Nts., 1/31/12 200,000 211,821
11% Sr. Unsec. Nts., 7/31/10 118,000 126,126
- ---------------------------------------------------------------------------------------------------------------------
America Movil SAB de CV, 8.46% Bonds, 12/18/362 [MXN] 31,700,000 2,907,443
- ---------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,123,000 1,194,591
- ---------------------------------------------------------------------------------------------------------------------
American Tower Corp.:
7.125% Sr. Unsec. Nts., 10/15/12 750,000 776,250
7.50% Sr. Nts., 5/1/12 3,247,000 3,384,998
- ---------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,3,4 21,702,000 --
- ---------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co. LLC/Centennial Communications Corp., 10.125%
Sr. Nts., 6/15/13 6,810,000 7,388,850
- ---------------------------------------------------------------------------------------------------------------------
Cricket Communications, Inc., 9.375% Sr. Nts., 11/1/14 13 2,905,000 3,093,825
- ---------------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,076,913
- ---------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 3,294,000 3,409,290
9.61% Sr. Unsec. Nts., 10/15/12 1 955,000 987,231
- ---------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 12 18,460,000 19,110,715
- ---------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 208,918
- ---------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc.:
7.50% Sec. Nts., 3/15/15 4,931,000 5,368,626
8% Sr. Sub. Nts., 12/15/12 3,844,000 4,093,860
- ---------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
9.75% Sr. Sub. Nts., 1/15/10 10,663,000 11,036,205
9.875% Sr. Nts., 2/1/10 5,468,000 5,796,080
- ---------------------------------------------------------------------------------------------------------------------
Sprint Capital Corp., 8.75% Nts., 3/15/32 19,957,000 23,605,259
----------------
93,777,001
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES--2.2%
- ---------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.1%
Edison Mission Energy:
7.50% Sr. Unsec. Nts., 6/15/13 $ 1,610,000 $ 1,670,375
7.75% Sr. Unsec. Nts., 6/15/16 2,255,000 2,362,113
- ---------------------------------------------------------------------------------------------------------------------
ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 388,000 398,409
- ---------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil SA:
7.875% Sr. Nts., 1/30/12 13 4,010,000 4,117,268
8.80% Sr. Nts., 1/30/17 13 5,005,000 5,329,074
- ---------------------------------------------------------------------------------------------------------------------
Majapahit Holding BV:
7.25% Nts., 10/17/11 13 7,110,000 7,323,300
7.75% Nts., 10/17/16 13 6,565,000 6,909,663
- ---------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,980,190
- ---------------------------------------------------------------------------------------------------------------------
National Power Corp.:
5.875% Unsec. Unsub. Bonds, 12/19/16 [PHP] 402,300,000 8,337,824
6.875% Nts., 11/2/16 13 5,203,000 5,326,571
9.625% Unsec. Bonds, 5/15/28 11,790,000 14,929,088
- ---------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc.:
6.75% Sr. Sec. Nts., 12/15/14 900,000 955,125
9.25% Sr. Sec. Nts., 7/15/10 1,970,000 2,085,738
9.50% Sr. Sec. Nts., 7/15/13 4,460,000 4,878,125
- ---------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 6,894,000 7,071,872
----------------
83,674,735
- ---------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--1.0%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 13 8,898,000 9,520,860
- ---------------------------------------------------------------------------------------------------------------------
AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 2 3,330,000 3,446,550
- ---------------------------------------------------------------------------------------------------------------------
AES Panama SA, 6.35% Sr. Nts., 12/21/16 13 4,040,000 4,036,619
- ---------------------------------------------------------------------------------------------------------------------
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 2,598,896 2,839,294
- ---------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,130,000 3,153,475
8.75% Sr. Nts., 2/15/12 3,496,000 3,731,980
- ---------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
8.30% Sr. Unsec. Nts., 5/1/11 13,900,000 14,317,000
9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,889,000
- ---------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,374,590 3,574,956
- ---------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc.:
7.375% Sr. Nts., 1/15/17 7,650,000 7,869,938
7.375% Sr. Nts., 2/1/16 14,525,000 14,960,750
----------------
70,340,422
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0%
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 $ 1,300,000 $ 1,316,587
- ---------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.1%
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,318,000 1,359,188
7.75% Sr. Nts., 8/1/10 1,650,000 1,757,250
8.50% Sr. Nts., 4/15/11 2,407,000 2,629,648
- ---------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 661,922
----------------
6,408,008
----------------
Total Corporate Bonds and Notes (Cost $2,079,973,920) 2,078,216,452
SHARES
- ---------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.3%
- ---------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,3,15 338,141 --
- ---------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,3 43,000 --
- ---------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,3,15 5,773 --
- ---------------------------------------------------------------------------------------------------------------------
ION Media Networks, Inc.:
14.25% Cum., Non-Vtg. 2,3,15 1,873 14,612,366
9.75% Cv., Series AI 2,3,15 -- 2,964
- ---------------------------------------------------------------------------------------------------------------------
Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 2,15 8,850 1,830,844
- ---------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 61,550 9,592,568
----------------
Total Preferred Stocks (Cost $39,339,595) 26,038,742
- ---------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--0.7%
- ---------------------------------------------------------------------------------------------------------------------
Adelphia Contingent Value Vehicle 2,3 16,390,588 1,639,059
- ---------------------------------------------------------------------------------------------------------------------
Arco Capital Corp. Ltd. 2,3 2,383,674 35,755,110
- ---------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp. 2,3 32,791 491,865
- ---------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 2,3 56,470 --
- ---------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 7,553 1,560,676
- ---------------------------------------------------------------------------------------------------------------------
Okumura Corp. 267,000 1,454,336
- ---------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 2,3 799,833 --
- ---------------------------------------------------------------------------------------------------------------------
Societe des Autoroutes Paris-Rhin-Rhone 13,252 1,207,262
- ---------------------------------------------------------------------------------------------------------------------
Time Warner Cable, Inc., Cl. A 3 248,277 9,302,939
- ---------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 2,3 16,235 162
----------------
Total Common Stocks (Cost $51,987,698) 51,411,409
UNITS
- ---------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ---------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp. Wts., Exp. 2/28/11 3 4,020 28,846
- ---------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 2,3 800 --
- ---------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 2,3 4,560 --
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
VALUE
UNITS SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- ---------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 2,3 9,035 $ 329,778
----------------
Total Rights, Warrants and Certificates (Cost $30,592) 358,624
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--16.8%
- ---------------------------------------------------------------------------------------------------------------------
Aiolos Ltd. Catastrophe Linked Nts., 8.484%, 4/8/09 1,13 [EUR] 4,850,000 6,464,755
- ---------------------------------------------------------------------------------------------------------------------
Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.86%, 6/1/09 1,13 6,250,000 6,465,313
- ---------------------------------------------------------------------------------------------------------------------
Cascadia Ltd. Catastrophe Linked Nts.:
8.465%, 6/13/08 1,13 2,750,000 2,744,473
9.36%, 8/31/09 1 3,950,000 3,988,315
- ---------------------------------------------------------------------------------------------------------------------
Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.71%, 5/19/09 1,13 7,200,000 7,215,480
- ---------------------------------------------------------------------------------------------------------------------
Champlain Ltd. Catastrophe Linked Nts., Series A, 18.11%, 1/7/09 1 5,250,000 5,272,444
- ---------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Argentina (Republic of) Credit Linked Nts., 11.083%, 5/22/08 2,17 [ARP] 10,355,000 9,263,109
Argentina (Republic of) Credit Linked Nts., 4%, 5/18/09 2 [ARP] 4,756,000 4,253,426
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 10,323,671
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 16,201,730
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.809%, 1/5/10 7 [BRR] 18,237,724 6,528,508
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.427%, 1/2/09 7 [BRR] 17,433,522 6,968,586
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.728%, 1/3/08 7 [BRR] 15,201,753 6,778,847
Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,557,148
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,341,649
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 5,476,892
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 4,432,563
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 3,742,317
Dominican Republic Credit Linked Nts., 10.105%, 7/2/07 (linked to Dominican
Republic Treasury Bills) 7 [DOP] 58,700,000 1,774,663
Dominican Republic Credit Linked Nts., 14.608%, 5/14/07 (linked to Dominican
Republic Treasury Bills) 7 [DOP] 142,700,000 4,382,191
Dominican Republic Credit Linked Nts., 22%, 10/3/11 [DOP] 100,200,000 3,922,389
Dominican Republic Credit Linked Nts., Series II, 15.603%, 4/23/07 (linked to
Dominican Republic Treasury Bills) 7 [DOP] 56,010,000 1,722,840
Dominican Republic Unsec. Credit Linked Nts., 11.648%, 9/24/07 (linked to
Dominican Republic Treasury Bills) 7 [DOP] 272,500,000 8,059,345
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 (linked to Dominican
Republic Treasury Bills) [DOP] 167,200,000 5,225,685
Dominican Republic Unsec. Credit Linked Nts., 15.638%, 4/30/07 (linked to
Dominican Republic Treasury Bills) 7 [DOP] 50,870,000 1,564,736
Dominican Republic Unsec. Credit Linked Nts., 9.696%, 3/10/08 (linked to
Dominican Republic Treasury Bills) 7 [DOP] 117,920,000 3,302,088
Dominican Republic Unsec. Credit Linked Nts., Series II, 15.736%, 4/30/07
(linked to Dominican Republic Treasury Bills) 7 [DOP] 111,530,000 3,424,988
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Egypt (The Arab Republic of) Credit Linked Nts., 8.226%, 6/28/07 (linked to
Egyptian Treasury Bills) 2,7 [EGP] 21,630,000 $ 3,720,569
Egypt (The Arab Republic of) Credit Linked Nts., 8.70%, 7/12/07 (linked to
Egyptian Treasury Bills) 2,7 [EGP] 32,570,000 5,584,629
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.376%, 2/28/08 (linked
to Egyptian Treasury Bills) 2,7 [EGP] 31,710,000 5,162,892
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08 [EGP] 23,760,000 4,188,684
Nigeria (Federal Republic of) Credit Linked Nts., 12.474%, 7/22/07 7 [NGN] 907,570,000 6,911,576
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 15,723,893
Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%, 4/4/11 [NGN] 1,281,000,000 11,469,430
Rusfinans Bank Unsec. Credit Linked Nts., 7.50%, 7/2/07 1,2 [RUR] 186,900,000 7,246,862
Russian Federation Credit Linked Nts., 7.65%, 12/4/08 1,2 [RUR] 74,850,000 2,916,638
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,391,965
Zambia (Republic of) Credit Linked Nts., 8.833%, 2/21/08 (linked to Zambian
Treasury Bills) 7 [ZMK] 22,485,000,000 4,800,149
- ---------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Boryspil Airport Total Return Linked Nts., 10%, 4/19/10 1,5 [UAH] 16,740,000 3,439,798
EES Total Return Linked Nts., 7.10%, 12/12/08 1 [RUR] 130,700,000 5,047,643
Gazprom Total Return Linked Nts., 6.79%, 10/29/09 [RUR] 259,410,000 10,288,286
Gazprom Total Return Linked Nts., Series 002, 6.95%, 8/6/09 [RUR] 254,480,000 9,960,447
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 [IDR] 68,000,000,000 8,266,490
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 1,2 [RUR] 232,499,000 9,039,525
Moitk Total Return Linked Nts., 8.966%, 3/26/11 1 [RUR] 208,910,000 8,043,999
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 2 [RUR] 211,690,000 9,153,118
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,452,938
NAK Naftogaz of Ukraine, Credit Linked Nts., 5%, 1/20/09 14,060,000 14,534,947
Orenburgskaya IZHK Total Return Linked Nts., 9.24%, 2/21/12 1 [RUR] 399,160,000 15,361,820
Rurail Total Return Linked Nts., 6.67%, 1/22/09 1 [RUR] 180,700,000 6,957,783
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%,
12/20/07 [RUR] 553,980,000 22,036,695
South African Rand Interest Bearing Linked Nts., Series Fbi 43, 5.245%, 5/23/22 1 14,280,000 14,007,252
Turkey (Republic of) Credit Linked Nts., Series EMG 59, 21.41%, 7/16/08 7 [TRY] 20,770,000 11,793,570
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,477,574
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 2 [VND] 50,978,000,000 3,354,270
- ---------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Turkey (Republic of) Credit Linked Nts., Series 2, 20.853%, 7/16/08 7 [TRY] 25,240,000 14,331,714
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 1,048,569
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 6,751,632
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 11.077%, 12/21/11 [ARP] 19,110,000 $ 16,897,588
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit
Linked Nts., 9.09%, 1/5/11 2 [MXN] 68,645,052 6,203,288
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit
Linked Nts., 9.65%, 1/5/11 2 [MXN] 44,983,969 4,080,375
Borhis Total Return Linked Nts., 6.45%, 3/15/34 [MXN] 15,380,000 5,152,560
Brazil Real Credit Linked Nts., 13.882%, 3/3/10 7 [BRR] 33,618,120 14,899,144
Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 8,240,879
Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 2 [COP] 8,506,000,000 4,575,627
Egypt (The Arab Republic of) Credit Linked Nts., 9.381%, 2/5/08 (linked to
Egyptian Treasury Bills) 2,7 [EGP] 21,850,000 3,563,895
Egypt (The Arab Republic of) Total Return Linked Nts., 10.029%, 9/12/07 (linked
to Egyptian Treasury Bills) 2,7 [EGP] 43,250,000 7,268,885
European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/10 7 5,580,000 4,894,776
Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 2 10,039,572 10,090,081
Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/20/09 [KZT] 1,345,160,000 10,836,467
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 6,207,680
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,845,535
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 352,600,000 2,904,300
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 474,000,000 4,100,961
OAO Gazprom I Credit Nts., 9.22%, 10/20/07 7,455,000 7,919,465
OAO Gazprom II Credit Nts., 8.97%, 4/20/07 7,455,000 7,774,541
Peru (Republic of) Credit Linked Nts., 6.665%, 2/20/11 1 7,790,000 7,961,857
RosSelkhoz Bank Total Return Linked Nts., 6.926%, 2/22/08 7 [RUR] 211,690,000 7,653,913
Russian Federation Credit Linked Nts., 0%, 12/2/09 7 [RUR] 155,437,000 6,400,914
Russian Federation Credit Linked Nts., 6.942%, 2/22/08 7 [RUR] 289,400,000 10,465,842
Russian Federation Credit Linked Nts., 7.176%, 2/21/08 7 [RUR] 140,200,000 5,069,104
Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 191,850,000 8,234,062
Russian Railways Total Return Linked Bonds, 6.67%, 1/26/09 1 [RUR] 260,450,000 10,033,538
Russian Unified Energy Systems Total Return Linked Nts., Series FSK3, 7.10%,
12/16/08 1 [RUR] 185,560,000 7,309,310
Sberbank Total Return Linked Nts., 6.588%, 2/27/08 7 [RUR] 282,230,000 10,199,161
Sberbank Total Return Linked Nts., 6.593%, 2/20/08 7 [RUR] 211,690,000 7,660,594
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,562,981
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,609,986
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,608,999
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,606,533
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,592,504
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 2 [UAH] 20,075,400 4,429,624
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 480,741
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,703,383
Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/18/07 [UAH] 15,868,000 3,210,495
Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,211,102
United Mexican States BORHIS Total Return Linked Nts., 6.10%, 9/27/35 [MXN] 15,260,418 5,540,016
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 2 [MXN] 45,019,161 4,078,469
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 2 $ 15,470,000 $ 15,557,715
- ---------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG Singapore, Vietnam Shipping Industry Group Total
Return Linked Nts., 9%, 4/20/17 5 [VND] 128,300,000,000 8,008,739
- ---------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index, Pass-Through Certificates, 8.25%,
Series 4-T1, 6/29/10 2 12,823,100 13,384,111
- ---------------------------------------------------------------------------------------------------------------------
Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.041%, 12/8/11 1 [RUR] 128,870,000 4,964,569
- ---------------------------------------------------------------------------------------------------------------------
Eurus Ltd. Catastrophe Linked Nts., 11.61%, 4/8/09 1,2 5,770,000 5,868,090
- ---------------------------------------------------------------------------------------------------------------------
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.26%, 8/10/11 1,13 6,700,000 6,864,485
- ---------------------------------------------------------------------------------------------------------------------
Foundation Re II Ltd. Catastrophe Linked Nts., 15.16%, 1/8/09 1,2 3,544,000 3,366,800
- ---------------------------------------------------------------------------------------------------------------------
Foundation Re Ltd. Catastrophe Linked Nts., 9.46%, 11/24/08 1,13 5,000,000 4,810,950
- ---------------------------------------------------------------------------------------------------------------------
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%,
3/29/17 7 [TRY] 77,520,000 12,580,293
- ---------------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts.,
10.476%, 2/8/37 7 [COP] 226,587,600,000 4,516,013
- ---------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), Russag Total Return Linked Nts., 7.25%,
12/23/09 [RUR] 185,570,000 7,131,846
- ---------------------------------------------------------------------------------------------------------------------
Goldman Sachs International, Russian Federation Total Return Linked Nts., 8%,
5/13/09 1 [RUR] 358,300,000 14,096,484
- ---------------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%,
12/30/09 2 [UAH] 36,698,000 8,227,534
- ---------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Argentina (Republic of) Credit Linked Nts., 11.032%, 12/19/11 2 [ARP] 18,250,000 15,919,242
Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 7 [BRR] 26,663,580 5,465,568
Brazil (Federal Republic of) Credit Linked Nts., 12.683%, 6/1/13 7 [BRR] 42,180,340 10,236,446
Brazil (Federal Republic of) Credit Linked Nts., 14.35%, 2/20/12 [BRR] 20,330,000 9,994,786
Brazil (Federal Republic of) Credit Linked Nts., 15.326%, 1/2/15 7 [BRR] 81,357,010 16,676,765
Brazil (Federal Republic of) Credit Linked Nts., 2.731%, 11/30/12 7 [ARP] 27,660,000 8,549,495
Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 2 [BRR] 30,560,000 21,491,825
Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.553%,
1/2/15 7 [BRR] 56,242,917 11,528,815
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 7 [COP] 115,400,000,000 21,522,403
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 2,7 [COP] 50,103,000,000 8,557,305
Colombia (Republic of) Credit Linked Bonds, 11.198%, 8/3/20 7 [COP] 82,000,000,000 10,907,770
Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%,
10/31/16 2,7 [COP] 49,890,000,000 8,520,926
Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/15 7 [PEN] 24,240,000 4,322,451
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,764,124
- ---------------------------------------------------------------------------------------------------------------------
JSC Astana Finance Nts., 9.16%, 3/14/12 2 24,800,000 24,615,207
- ---------------------------------------------------------------------------------------------------------------------
Lakeside Re Ltd. Catastrophe Linked Nts., 11.865%, 12/31/09 1,13 7,250,000 7,424,000
- ---------------------------------------------------------------------------------------------------------------------
Lehman Brothers International, Romania (Republic of) Total Return Linked Nts.,
7.90%, 2/9/10 (linked to Romanian Treasury Bills) [RON] 6,092,000 2,493,284
- ---------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
CMS 10 yr. Curve Credit Linked Nts., 6%, 2/5/17 46,830,000 48,604,857
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.: Continued
Romania (Republic of) Total Return Linked Nts., 6.50%, 3/9/10 (linked to
Romanian Treasury Bills) [RON] 16,085,800 $ 6,312,339
Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08 (linked to
Romanian Treasury Bills) [RON] 18,680,000 7,464,428
Romania (Republic of) Total Return Linked Nts., 7.25%, 4/19/10 (linked to
Romanian Treasury Bills) [RON] 1,487,000 631,539
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 (linked to
Romanian Treasury Bills) [RON] 1,478,000 637,862
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 (linked to
Romanian Treasury Bills) [RON] 3,568,000 1,539,845
Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08 (linked to
Romanian Treasury Bills) [RON] 13,855,800 5,624,653
- ---------------------------------------------------------------------------------------------------------------------
Merrill Lynch:
Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 2 [COP] 7,341,000,000 3,432,788
Renaissance Capital International Services Ltd. Total Return Linked Nts.,
10.50%, 10/4/08 5 [RUR] 277,000,000 10,660,447
- ---------------------------------------------------------------------------------------------------------------------
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc:
Total Return Linked Nts., Series A, 8.375%, 6/30/12 2 [RUR] 165,774,432 6,603,186
Total Return Linked Nts., Series B, 11%, 6/30/12 2 [RUR] 143,796,285 5,731,065
- ---------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,043,000,000 16,626,923
Brazil (Federal Republic of) Linked Nts., 12.551%, 1/5/22 7 [BRR] 104,427,000 9,503,501
Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 [BRR] 36,298,924 22,005,221
Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 2 16,900,000 19,627,141
Philippines (Republic of the) Credit Linked Nts., 8.22%, 6/20/16 1,2 3,950,000 4,234,972
Sukhoi Co. Total Return Linked Nts., 7.85%, 3/31/17 [RUR] 372,600,000 14,346,819
Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,901,353
WTI Trading Ltd. Total Return Linked Nts., Series A, 0%, 2/6/09 2,7 13,170,000 13,565,100
WTI Trading Ltd. Total Return Linked Nts., Series B, 0%, 2/6/09 2,7 17,610,000 18,138,300
- ---------------------------------------------------------------------------------------------------------------------
Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts.,
Series D, 10.36%, 1/15/10 1,2 2,980,000 2,996,390
- ---------------------------------------------------------------------------------------------------------------------
Residential Reinsurance Ltd. Catastrophe Linked Nts.:
Series B, 13.81%, 6/6/08 1 4,300,000 3,990,293
Series B, 14.86%, 6/8/07 1,13 2,000,000 1,998,150
- ---------------------------------------------------------------------------------------------------------------------
Successor Cal Quake Parametric Ltd. Catastrophe Linked Nts., Cl. A-I,
10.596%, 6/6/08 1,2 4,560,000 4,608,108
- ---------------------------------------------------------------------------------------------------------------------
Successor Euro Wind Ltd. Catastrophe Linked Nts., Series A-I, 22.846%,
6/6/08 1,2 6,000,000 6,201,600
- ---------------------------------------------------------------------------------------------------------------------
Successor Japan Quake Ltd. Catastrophe Linked Nts., Series A-I, 9.596%,
6/6/08 1,13 10,660,000 10,805,509
- ---------------------------------------------------------------------------------------------------------------------
UBS AG:
Congo (Republic of) Credit Linked Nts., 9%, 3/22/12 [XAF] 1,200,000,000 2,303,270
Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 2 [GHC] 44,442,450,000 4,974,017
Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 10,671,975
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------
VASCO Re 2006 Ltd. Catastrophe Linked Nts., 13.848%, 6/5/09 1,13 $ 6,710,000 $ 6,865,001
----------------
Total Structured Notes (Cost $1,163,988,357) 1,256,917,376
STRIKE
DATE PRICE CONTRACTS
- ---------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0%
- ---------------------------------------------------------------------------------------------------------------------
Japanese Yen (JPY) Put 3 (Cost $796,110) 7/25/07 $95 93,660,000 456,593
SHARES
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENTS IN AFFILIATED COMPANIES--4.2%
- ---------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% 18,19
(Cost $312,073,601) 312,073,601 312,073,601
- ---------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with Cash
Collateral from Securities Loaned) (Cost $7,561,653,127) 7,683,761,204
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.6% 20
- ---------------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.0%
GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 5.41%, 4/25/07 $ 1,109,499 1,109,499
- ---------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--0.5%
Undivided interest of 0.65% in joint repurchase agreement (Principal
Amount/Value $3,500,000,000, with a maturity value of $3,501,591,771) with Bank
of America NA, 5.4575%, dated 3/30/07, to be repurchased at $22,606,133 on
4/2/07, collateralized by U.S. Agency Mortgages, 5%-5.50%, 9/1/33-6/1/35, with a
value of $3,570,000,000 22,595,857 22,595,857
- ---------------------------------------------------------------------------------------------------------------------
Undivided interest of 2% in joint repurchase agreement (Principal
Amount/Value $750,000,000 with a maturity value of $750,342,344) with Barclays
Capital, 5.4775%, dated 3/30/07, to be repurchased at $15,006,847 on 4/2/07,
collateralized by AAA Asset-Backed Securities, 0.00%, 9/15/10-11/25/46, with a
value of $772,500,000 15,000,000 15,000,000
----------------
37,595,857
- ---------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM FLOATING NOTE--0.1%
Bear Stearns, 5.37%, 4/2/07 3,000,000 3,000,000
- ---------------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 5.33%, 4/10/07 3,000,000 3,000,000
----------------
6,000,000
- ---------------------------------------------------------------------------------------------------------------------
YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0%
Natexis Banques Populaires NY, 5.37%, 4/2/07 2,000,000 2,000,000
----------------
Total Investments Purchased with Cash Collateral from Securities Loaned
(Cost $46,705,356) 46,705,356
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $7,608,358,483) 103.3% 7,730,466,560
- ---------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (3.3) (246,075,006)
----------------------------------
NET ASSETS 100.0% $ 7,484,391,554
==================================
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
ARP Argentine Peso
AUD Australian Dollar
BRR Brazilian Real
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DKK Danish Krone
DOP Dominican Republic Peso
EGP Egyptian Pounds
EUR Euro
GBP British Pound Sterling
GHC Ghanaian Cedi
IDR Indonesia Rupiah
ILS Israeli Shekel
JPY Japanese Yen
KZT Kazakhstan Tenge
MXN Mexican Nuevo Peso
MYR Malaysian Ringgit
NGN Nigeria Naira
PEN Peruvian New Sol
PHP Philippines Peso
PLZ Polish Zloty
RON New Romanian Leu
RUR Russian Ruble
TRY New Turkish Lira
UAH Ukraine Hryvnia
UYU Uruguay Peso
VND Vietnam Dong
XAF CFA Franc BEAC
ZMK Zambian Kwacha
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of March 31, 2007 was $618,732,486, which represents
8.27% of the Fund's net assets. In addition, the Fund has restricted currency of
$3,450,908, which represents 0.05% of the Fund's net assets. See Note 12 of
accompanying Notes.
3. Non-income producing security.
4. Issue is in default. See Note 1 of accompanying Notes.
5. When-issued security or forward commitment to be delivered and settled after
March 31, 2007. See Note 1 of accompanying Notes.
6. 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 $56,549,528 or 0.76% of the Fund's net assets
as of March 31, 2007.
7. Zero coupon bond reflects effective yield on the date of purchase.
8. Partial or fully-loaned security. See Note 13 of accompanying Notes.
9. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of accompanying Notes.
10. A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1
- -----------------------------------------------------------------------------------
Japanese Yen (JPY) 667,000,000 4/4/07 $ 117.00 $ 33,920 $ 40,887
Japanese Yen (JPY) 581,000,000 4/5/07 117.35 28,072 36,487
Japanese Yen (JPY) 607,000,000 4/9/07 118.00 31,121 31,121
---------------------
$ 93,113 $ 108,495
=====================
11. A sufficient amount of liquid assets has been designated to cover
outstanding written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO PUT DATES PRICE RECEIVED SEE NOTE 1
- -----------------------------------------------------------------------------------
Japanese Yen (JPY) 667,000,000 4/4/07 $ 117.00 $ 32,211 $ 16,208
Japanese Yen (JPY) 581,000,000 4/5/07 117.35 29,310 22,020
Japanese Yen (JPY) 607,000,000 4/9/07 118.00 31,121 31,121
---------------------
$ 92,642 $ 69,349
=====================
54 | OPPENHEIMER STRATEGIC INCOME FUND
12. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures contracts. The aggregate market
value of such securities is $10,484,398. See Note 6 of accompanying Notes.
13. 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 $557,840,623 or 7.45% of the Fund's net
assets as of March 31, 2007.
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
15. Interest or dividend is paid-in-kind, when applicable.
16. 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.
17. Denotes an inflation-indexed security: coupon and principal are indexed to
the consumer price index.
18. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended March 31, 2007 by virtue of the Fund owning at least
5% of the voting securities of the issuer or as a result of the Fund and the
issuer having the same investment advisor. Transactions during the period in
which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2006 ADDITIONS REDUCTIONS MARCH 31, 2007
- ---------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% -- 2,215,116,701 1,903,043,100 312,073,601
Prandium, Inc. 1,034,256 -- 1,034,256 --
VALUE DIVIDEND REALIZED
SEE NOTE 1 INCOME LOSS
- ---------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% $ 312,073,601 $ 11,147,594 $ --
Prandium, Inc. -- -- 12,155,862
------------------------------------------------
$ 312,073,601 $ 11,147,594 $ 12,155,862
================================================
19. Rate shown is the 7-day yield as of March 31, 2007.
20. The security/securities have 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 13 of
accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
March 31, 2007
- --------------------------------------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $7,296,284,882) $ 7,418,392,959
Affiliated companies (cost $312,073,601) 312,073,601
------------------
7,730,466,560
- --------------------------------------------------------------------------------------------------------------
Cash 26,808,577
- --------------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $6,776,667) 6,789,085
- --------------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 36,504,623
- --------------------------------------------------------------------------------------------------------------
Swaps, at value (premiums paid $1,793,354) 43,208,698
- --------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $55,173,912 sold on a when-issued basis or forward commitment) 131,037,669
Interest, dividends and principal paydowns 82,078,210
Shares of beneficial interest sold 14,768,493
Closed foreign currency contracts 3,076,479
Other 99,924
------------------
Total assets 8,074,838,318
- --------------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $185,755)--see accompanying statement of
investments 177,844
- --------------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 46,705,356
- --------------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 11,531,817
- --------------------------------------------------------------------------------------------------------------
Swaps, at value 11,581,889
- --------------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $391,787,611 purchased on a when-issued basis or forward
commitment) 495,773,471
Shares of beneficial interest redeemed 10,963,033
Dividends 6,653,457
Distribution and service plan fees 4,310,883
Futures margins 1,137,641
Transfer and shareholder servicing agent fees 767,512
Shareholder communications 542,871
Trustees' compensation 82,450
Closed foreign currency contracts 55,059
Other 163,481
------------------
Total liabilities 590,446,764
- --------------------------------------------------------------------------------------------------------------
NET ASSETS $ 7,484,391,554
==================
56 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,721,533
- --------------------------------------------------------------------------------------------------------------
Additional paid-in capital 8,227,705,936
- --------------------------------------------------------------------------------------------------------------
Accumulated net investment income 28,588,678
- --------------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (945,600,409)
- --------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies 171,975,816
------------------
NET ASSETS $ 7,484,391,554
==================
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- --------------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of $5,507,202,058 and
1,266,675,139 shares of beneficial interest outstanding) $ 4.35
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering
price) $ 4.57
- --------------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $641,960,657 and 147,161,823
shares of beneficial interest outstanding) $ 4.36
- --------------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $949,552,007 and 218,842,057
shares of beneficial interest outstanding) $ 4.34
- --------------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $128,800,551 and 29,606,447
shares of beneficial interest outstanding) $ 4.35
- --------------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets of
$256,876,281 and 59,247,189 shares of beneficial interest outstanding) $ 4.34
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2007
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $638,177) $ 204,989,413
- --------------------------------------------------------------------------------
Dividends:
Unaffiliated companies (net of foreign withholding
taxes of $2,962) 892,907
Affiliated companies 11,147,594
- --------------------------------------------------------------------------------
Fee income 220,041
- --------------------------------------------------------------------------------
Portfolio lending fees 177,390
------------------
Total investment income 217,427,345
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 18,668,434
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 6,471,845
Class B 3,375,540
Class C 4,506,432
Class N 293,559
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 3,267,482
Class B 536,669
Class C 591,131
Class N 171,286
Class Y 36,158
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 350,171
Class B 73,621
Class C 54,516
Class N 4,621
Class Y 20
- --------------------------------------------------------------------------------
Custodian fees and expenses 254,577
- --------------------------------------------------------------------------------
Trustees' compensation 69,933
- --------------------------------------------------------------------------------
Administration service fees 750
- --------------------------------------------------------------------------------
Other 121,166
------------------
Total expenses 38,847,911
Less reduction to custodian expenses (29,713)
Less waivers and reimbursements of expenses (212,309)
------------------
Net expenses 38,605,889
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 178,821,456
58 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments:
Unaffiliated companies (Including premiums
on options exercised) $ 82,637,667
Affiliated companies (12,155,862)
Closing and expiration of option contracts written 1,496,622
Closing and expiration of futures contracts (4,433,891)
Foreign currency transactions 21,904,062
Swap contracts 16,539,371
------------------
Net realized gain 105,987,969
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 28,076,324
Translation of assets and liabilities denominated in
foreign currencies 138,359,554
Futures contracts (15,729,606)
Option contracts written (244,882)
Swap contracts 19,695,278
------------------
Net change in unrealized appreciation 170,156,668
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 454,966,093
==================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPTEMBER 30,
(UNAUDITED) 2006
- --------------------------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------------------------
Net investment income $ 178,821,456 $ 325,322,096
- --------------------------------------------------------------------------------------------------------
Net realized gain 105,987,969 59,177,730
- --------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation 170,156,668 (134,262,183)
--------------------------------------
Net increase in net assets resulting from operations 454,966,093 250,237,643
- --------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (135,713,769) (361,826,587)
Class B (14,654,798) (55,250,172)
Class C (19,754,161) (53,959,503)
Class N (2,788,165) (6,482,780)
Class Y (5,942,328) (8,310,116)
--------------------------------------
(178,853,221) (485,829,158)
- --------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 227,339,440 481,164,858
Class B (103,221,811) (168,323,661)
Class C 57,112,731 97,789,142
Class N 15,985,812 28,045,769
Class Y 69,444,602 118,978,171
--------------------------------------
266,660,774 557,654,279
- --------------------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------------------
Total increase 542,773,646 322,062,764
- --------------------------------------------------------------------------------------------------------
Beginning of period 6,941,617,908 6,619,555,144
--------------------------------------
End of period (including accumulated net investment income
of $28,588,678 and $28,620,443, respectively) $ 7,484,391,554 $ 6,941,617,908
======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
60 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS A (UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .11 1 .21 1 .21 1 .20 .26 .32
Net realized and unrealized gain (loss) .17 (.05) .19 .15 .43 (.08)
-----------------------------------------------------------------------------------
Total from investment operations .28 .16 .40 .35 .69 .24
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.11) (.32) (.29) (.20) (.25) (.30)
Tax return of capital distribution -- -- -- -- -- (.02)
-----------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.11) (.32) (.29) (.20) (.25) (.32)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.35 $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64
===================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.76% 3.77% 9.77% 8.73% 19.59% 6.63%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 5,507,202 $5,077,400 $4,766,576 $4,117,666 $3,873,018 $3,202,825
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 5,294,018 $4,888,392 $4,392,321 $4,025,554 $3,521,307 $3,263,490
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.14% 5.03% 4.82% 4.69% 6.60% 7.91%
Total expenses 0.91% 4 0.93% 0.94% 0.95% 0.95% 1.01%
Expenses after payments and waivers
and reduction to custodian expenses 0.91% 0.92% 0.94% 0.95% 0.95% 1.01%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended March 31, 2007 0.91%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226
Year Ended September 30, 2006 4,097,005,267 4,231,030,059
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
61 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS B (UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .09 1 .18 1 .17 1 .16 .22 .28
Net realized and unrealized gain (loss) .16 (.05) .20 .15 .44 (.05)
----------------------------------------------------------------------------------
Total from investment operations .25 .13 .37 .31 .66 .23
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.09) (.28) (.26) (.17) (.22) (.28)
Tax return of capital distribution -- -- -- -- -- (.02)
----------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.09) (.28) (.26) (.17) (.22) (.30)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.36 $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66
==================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.07% 3.23% 8.94% 7.66% 18.62% 6.11%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 641,961 $718,742 $ 918,651 $1,163,555 $1,686,295 $1,847,182
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 677,343 $802,936 $1,021,022 $1,424,322 $1,757,152 $2,056,449
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.34% 4.25% 4.05% 4.16% 5.92% 7.22%
Total expenses 1.71% 4 1.71% 1.70% 1.69% 1.68% 1.75%
Expenses after payments and waivers
and reduction to custodian expenses 1.71% 1.71% 1.69% 1.69% 1.68% 1.75%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of less than
one full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended March 31, 2007 1.71%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226
Year Ended September 30, 2006 4,097,005,267 4,231,030,059
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
62 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS C (UNAUDITED) 2006 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .09 1 .18 1 .17 1 .17 .23 .29
Net realized and unrealized gain (loss) .16 (.05) .20 .15 .42 (.06)
------------------------------------------------------------------------------------
Total from investment operations .25 .13 .37 .32 .65 .23
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.09) (.28) (.26) (.17) (.22) (.28)
Tax return of capital distribution -- -- -- -- -- (.02)
------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.09) (.28) (.26) (.17) (.22) (.30)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.34 $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64
====================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.11% 3.22% 8.96% 7.95% 18.45% 6.15%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 949,552 $857,843 $788,217 $710,085 $698,196 $ 568,487
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 904,838 $814,425 $748,199 $716,206 $623,598 $ 571,292
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.38% 4.27% 4.07% 4.06% 5.85% 7.15%
Total expenses 1.67% 4,5,6 1.68% 4 1.69% 4 1.69% 4,7 1.69% 4 1.75% 4
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 36% 8 96% 8 103% 8 90% 8 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended March 31, 2007 1.67%
6. Voluntary waiver or reimbursement of indirect management fees less than
0.01%.
7. Voluntary waiver of transfer agent fees less than 0.01%.
8. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226
Year Ended September 30, 2006 4,097,005,267 4,231,030,059
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
63 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS N (UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 1 .19 1 .19 1 .17 .25 .30
Net realized and unrealized gain (loss) .16 (.04) .19 .16 .42 (.05)
-----------------------------------------------------------------------------
Total from investment operations .26 .15 .38 .33 .67 .25
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.10) (.30) (.27) (.18) (.24) (.30)
Tax return of capital distribution -- -- -- -- -- (.02)
-----------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.10) (.30) (.27) (.18) (.24) (.32)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.35 $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65
=============================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.28% 3.60% 9.27% 8.28% 18.82% 6.70%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 128,801 $108,324 $83,287 $52,969 $30,110 $ 15,508
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 118,248 $ 94,281 $69,480 $40,043 $22,627 $ 8,954
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.73% 4.62% 4.37% 4.19% 6.08% 7.07%
Total expenses 1.33% 4 1.33% 1.40% 1.38% 1.34% 1.22%
Expenses after payments and waivers
and reduction to custodian expenses 1.33% 1.33% 1.40% 1.38% 1.34% 1.22%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended March 31, 2007 1.33%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226
Year Ended September 30, 2006 4,097,005,267 4,231,030,059
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
64 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS Y (UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .12 1 .22 1 .21 1 .21 .26 .32
Net realized and unrealized gain (loss) .17 (.04) .19 .14 .42 (.06)
----------------------------------------------------------------------------------
Total from investment operations .29 .18 .40 .35 .68 .26
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.12) (.33) (.30) (.20) (.25) (.31)
Tax return of capital distribution -- -- -- -- -- (.02)
----------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (.12) (.33) (.30) (.20) (.25) (.33)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.34 $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64
==================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 6.95% 4.35% 9.73% 8.80% 19.33% 7.06%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 256,876 $179,309 $62,824 $150,699 $ 240,296 $ 152,767
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 216,746 $118,239 $68,656 $213,632 $ 194,308 $ 127,992
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.50% 5.38% 4.84% 4.80% 6.57% 7.86%
Total expenses 0.56% 4 0.58% 1.16% 1.29% 1.41% 1.74%
Expenses after payments and waivers
and reduction to custodian expenses 0.56% 0.58% 0.80% 0.90% 0.91% 0.90%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Expenses including indirect expenses from affiliated fund were as follows:
Six Months Ended March 31, 2007 0.56%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226
Year Ended September 30, 2006 4,097,005,267 4,231,030,059
Year Ended September 30, 2005 4,436,804,790 4,469,108,355
Year Ended September 30, 2004 5,593,936,243 5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
65 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities listed or traded on National
Stock Exchanges or other domestic exchanges are valued based on the last sale
price of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ(R) are valued based on the
closing price provided by NASDAQ prior to the time when the Fund's assets are
valued. In the absence of a sale, the security is valued at the last sale price
on the prior trading day, if it is within the spread of the closing "bid" and
"asked" prices, and if not, at the closing bid price. Securities traded on
foreign exchanges are valued based on the last sale price on the principal
exchange on which the security is traded, as identified by the portfolio pricing
service, prior to the time when the Fund's assets are valued. In the absence of
a sale, the security is valued at the official closing price on the principal
exchange. Corporate, government and municipal debt instruments having a
remaining maturity in excess of sixty days and all mortgage-backed securities
will be valued at the mean between the "bid" and "asked" prices. Futures
contracts traded on a commodities or futures exchange will be valued at the
final settlement price or official closing price on the principal exchange as
reported by such principal exchange at its
66 | OPPENHEIMER STRATEGIC INCOME FUND
trading session ending at, or most recently prior to, the time when the Fund's
assets are valued. Options are valued daily based upon the last sale price on
the principal exchange on which the option is traded. 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. Investments in open-end registered investment companies (including
affiliated funds) are valued at that fund's net asset value. Short-term "money
market type" debt securities with remaining maturities of sixty days or less are
valued at amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured note is sold or matures.
- --------------------------------------------------------------------------------
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 take place generally at least ten days or more after the
trade date. Normally the settlement date occurs within six months after the
trade date; however, the Fund may, from time to time, purchase securities whose
settlement date extends six months or more beyond trade date. During this
period, such securities do not earn interest, are subject to market fluctuation
and may increase or decrease in value prior to their delivery. The Fund
maintains internally designated assets with a market value equal to or greater
than the amount of its purchase commitments. The purchase of securities on a
when-issued basis or forward commitment may increase the volatility of the
Fund's net asset value to the extent the Fund executes such transactions while
remaining substantially fully invested. The Fund may also sell securities that
it purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of March 31, 2007, the Fund had purchased $391,787,611
of securities issued on a when-issued basis or forward commitment and sold
$55,173,912 of securities issued on a when-issued basis or forward commitment.
67 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of each
forward roll as realized gain (loss) on investments or as fee income in the case
of such transactions that have an associated fee in lieu of a difference in the
forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of March 31, 2007, securities with an aggregate
market value of $8,862,828, representing 0.12% 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.
68 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted
to invest daily available cash balances in an affiliated money market fund. The
Fund may invest the available cash in Class E shares of Oppenheimer
Institutional Money Market Fund ("IMMF") which seeks current income and
stability of principal. IMMF is a registered open-end management investment
company, regulated as a money market fund under the Investment Company Act of
1940, as amended. The Manager is also the investment advisor of IMMF. The Fund's
investment in IMMF is included in the Statement of Investments. As a
shareholder, the Fund is subject to its proportional share of IMMF's Class E
expenses, including its management fee. The Manager will waive fees and/or
reimburse Fund expenses in an amount equal to the indirect management fees
incurred through the Fund's investment in IMMF.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial
instrument transactions (such as swaps, futures, options and other derivatives)
that may have off-balance sheet market risk. Off-balance sheet market risk
exists when the maximum potential loss on a particular financial instrument is
greater than the value of such financial instrument, as reflected in the Fund's
Statement of Assets and Liabilities.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
69 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
As of March 31, 2007, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $924,428,522 expiring by
2015. This estimated capital loss carryforward represents carryforward as of the
end of the last fiscal year, increased for losses deferred under tax accounting
rules to the current fiscal year and is increased or decreased by capital losses
or gains realized in the first six months of the current fiscal year. As of
March 31, 2007, it is estimated that the Fund will utilize $105,987,969 of
capital loss carryforward to offset realized capital gains. During the fiscal
year ended September 30, 2006, the Fund utilized $69,360,120 of capital loss
carryforward to offset capital gains realized in that fiscal year.
As of September 30, 2006, the Fund had available for federal income tax purposes
post-October foreign currency losses of $65,168,890, straddle losses of
$1,268,559 and unused capital loss carryforwards as follows:
EXPIRING
------------------------------
2008 $ 308,649,467
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
-------------
Total $ 963,979,042
=============
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a compensation
deferral 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 compensation deferral plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income distributions, if any, are declared
daily and paid monthly. Capital gain distributions, if any, are declared and
paid annually.
70 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
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. Such interest expense and other custodian fees may be paid
with these earnings.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
- --------------------------------------------------------------------------------
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.
71 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED MARCH 31, 2007 YEAR ENDED SEPTEMBER 30, 2006
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
CLASS A
Sold 148,019,537 $ 633,775,510 285,205,829 $ 1,197,018,631
Dividends and/or
distributions reinvested 23,825,715 102,095,143 63,712,315 267,183,114
Redeemed (118,813,955) (508,531,213) (234,651,361) (983,036,887)
-------------------------------------------------------------------
Net increase 53,031,297 $ 227,339,440 114,266,783 $ 481,164,858
===================================================================
- -------------------------------------------------------------------------------------------------
CLASS B
Sold 11,299,704 $ 48,502,351 27,099,194 $ 114,141,319
Dividends and/or
distributions reinvested 2,450,341 10,535,461 9,067,246 38,196,513
Redeemed (37,815,247) (162,259,623) (76,102,306) (320,661,493)
-------------------------------------------------------------------
Net decrease (24,065,202) $ (103,221,811) (39,935,866) $ (168,323,661)
===================================================================
- -------------------------------------------------------------------------------------------------
CLASS C
Sold 29,298,783 $ 125,107,418 52,485,697 $ 219,804,771
Dividends and/or
distributions reinvested 3,451,495 14,761,792 9,627,908 40,332,270
Redeemed (19,374,852) (82,756,479) (38,820,281) (162,347,899)
-------------------------------------------------------------------
Net increase 13,375,426 $ 57,112,731 23,293,324 $ 97,789,142
===================================================================
- -------------------------------------------------------------------------------------------------
CLASS N
Sold 6,644,169 $ 28,498,762 11,223,391 $ 47,099,735
Dividends and/or
distributions reinvested 544,367 2,335,754 1,377,036 5,780,559
Redeemed (3,458,892) (14,848,704) (5,922,489) (24,834,525)
-------------------------------------------------------------------
Net increase 3,729,644 $ 15,985,812 6,677,938 $ 28,045,769
===================================================================
- -------------------------------------------------------------------------------------------------
CLASS Y
Sold 16,585,945 $ 70,808,971 27,986,060 $ 117,026,957
Dividends and/or
distributions reinvested 1,355,462 5,798,856 1,974,505 8,229,559
Redeemed (1,673,748) (7,163,225) (1,510,690) (6,278,345)
-------------------------------------------------------------------
Net increase 16,267,659 $ 69,444,602 28,449,875 $ 118,978,171
===================================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations and investments in affiliated companies, for the six
months ended March 31, 2007, were as follows:
PURCHASES SALES
- -------------------------------------------------------------------------------------
Investment securities $ 2,359,709,286 $ 1,739,799,055
U.S. government and government agency obligations 277,534,927 320,722,831
To Be Announced (TBA) mortgage-related securities 1,817,839,808 1,758,139,226
72 | OPPENHEIMER STRATEGIC INCOME 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
annual rate of average net assets as shown in the following table:
FEE SCHEDULE
---------------------------------
Up to $200 million 0.75%
Next $200 million 0.72
Next $200 million 0.69
Next $200 million 0.66
Next $200 million 0.60
Next $4 billion 0.50
Over $5 billion 0.48
- --------------------------------------------------------------------------------
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 or the Transfer Agent), a
division of the Manager, acts as the transfer and shareholder servicing agent
for the Fund. The Fund pays OFS a per account fee. For the six months ended
March 31, 2007, the Fund paid $4,657,866 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
73 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
Class B, Class C or Class N plan is terminated by the Fund or by the
shareholders of a class, the Board of Trustees and its independent trustees must
determine whether the Distributor shall be entitled to payment from the Fund of
all or a portion of the service fee and/or asset-based sales charge in respect
to shares sold prior to the effective date of such termination. The Distributor
determines its uncompensated expenses under the plan at calendar quarter ends.
The Distributor's aggregate uncompensated expenses under the plan at March 31,
2007 for Class B, Class C and Class N shares were $101,552,305, $28,955,138 and
$1,849,375, respectively. Fees incurred by the Fund under the plans are detailed
in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------------------
March 31, 2007 $ 1,019,944 $ 18,098 $ 567,411 $ 49,353 $ 1,860
- --------------------------------------------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit
transfer and shareholder servicing agent fees for all classes to 0.35% of
average annual net assets per class. This undertaking may be amended or
withdrawn at any time.
The Manager will waive fees and/or reimburse Fund expenses in an amount
equal to the indirect management fees incurred through the Fund's investment in
IMMF. During the six months ended March 31, 2007, the Manager waived $212,309
for IMMF management fees.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and
74 | OPPENHEIMER STRATEGIC INCOME FUND
Liabilities as a receivable or payable and in the Statement of Operations with
the change in unrealized appreciation or depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
As of March 31, 2007, the Fund had outstanding foreign currency contracts as
follows:
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) 2007 APPRECIATION DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Australian Dollar [AUD] 4/23/07 2,340 AUD $ 1,892,040 $ 17,700 $ --
Brazilian Real [BRR] 5/3/07-1/5/10 420,036 BRR 194,521,436 29,912,552 --
British Pound Sterling [GBP] 4/10/07-6/27/07 27,625 GBP 54,357,550 546,983 --
Canadian Dollar [CAD] 4/23/07 8,615 CAD 7,467,213 34,081 --
Chilean Peso [CLP] 5/16/07-6/28/07 15,171,000 CLP 28,117,789 11,311 62,129
Euro [EUR] 4/2/07-9/24/07 130,996 EUR 175,227,863 849,167 27,728
Hungarian Forint [HUF] 4/26/07 5,511,000 HUF 29,650,618 -- 310,238
Indian Rupee [INR] 4/26/07 1,303,000 INR 29,820,700 98,985 --
Japanese Yen [JPY] 4/2/07-5/31/07 22,947,000 JPY 195,269,611 1,123,797 517,974
Malaysian Ringgit [MYR] 5/16/07 56,590 MYR 16,405,777 151,292 --
Mexican Nuevo Peso [MXN] 4/2/07-5/25/07 970,812 MXN 87,702,932 -- 318,233
New Zealand Dollar [NZD] 9/24/07 8,950 NZD 6,312,068 83,942 --
Norwegian Krone [NOK] 9/24/07-1/29/08 82,830 NOK 13,676,069 370,696 --
Polish Zloty [PLZ] 5/7/07 123,670 PLZ 42,780,281 1,248,226 --
Russian Ruble [RUR] 6/6/07-2/21/08 2,006,300 RUR 77,193,529 422,221 --
Singapore Dollar [SGD] 2/5/08 32,740 SGD 21,980,056 238,904 --
South African Rand [ZAR] 4/26/07-8/1/07 449,490 ZAR 61,445,733 163,023 296,556
South Korean Won [KRW] 4/12/07-7/2/07 35,003,000 KRW 37,249,292 -- 51,153
Swedish Krone [SEK] 4/10/07 99,350 SEK 14,235,729 30,293 29,703
Swiss Franc [CHF] 4/10/07-4/23/07 14,520 CHF 11,961,523 110,147 2,709
Turkish Lira [TRY] 4/24/07 43,000 TRY 30,622,132 213,023 --
Ukraine Hryvnia [UAH] 4/5/07 17,331 UAH 3,439,921 -- 2,268
Uruguay Peso [UYU] 4/3/07 167,100 UYU 6,920,688 35,644 --
Vietnam Dong [VND] 4/13/07 129,262,250 VND 8,068,805 -- 20,197
-------------------------------
35,661,987 1,638,888
-------------------------------
75 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
VALUATION
CONTRACT AS OF
EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) 2007 APPRECIATION DEPRECIATION
- --------------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL
Australian Dollar [AUD] 4/10/07-4/11/07 69,720 AUD $ 6,393,123 $ -- $ 2,046,020
British Pound Sterling [GBP] 8/6/07 11,310 GBP 22,235,812 -- 29,432
Canadian Dollar [CAD] 8/21/07-9/28/07 33,810 CAD 29,417,609 -- 248,633
Chinese Renminbi (Yuan) [CNY] 4/26/07 230,300 CNY 29,913,051 48,570 --
Czech Koruna [CZK] 4/26/07-1/25/08 1,695,960 CZK 81,912,209 62,078 852,156
Euro [EUR] 4/2/07-1/29/08 177,422 EUR 237,308,157 -- 4,491,057
Hong Kong Dollar [HKD] 12/19/07-1/25/08 786,555 HKD 101,431,278 423,270 2,355
Indian Rupee [INR] 4/5/07 23,763 INR 546,170 -- 2,388
Japanese Yen [JPY] 4/2/07-2/5/08 9,691,000 JPY 83,646,488 19,204 809,095
New Turkish Lira [TRY] 5/7/07-5/8/07 17,800 TRY 12,610,500 -- 322,129
New Zealand Dollar [NZD] 1/16/08 29,110 NZD 20,343,809 -- 587,023
Russian Ruble [RUR] 4/4/07 266,974 RUR 10,274,697 -- 6,481
Swedish Krone [SEK] 4/26/07-9/24/07 233,450 SEK 33,507,904 112,212 --
Swiss Franc [CHF] 4/26/07-1/25/08 102,615 CHF 85,618,006 177,302 496,160
-------------------------------
842,636 9,892,929
-------------------------------
Total unrealized appreciation and depreciation $ 36,504,623 $ 11,531,817
===============================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable
76 | OPPENHEIMER STRATEGIC INCOME FUND
and/or payable for the daily mark to market for variation margin. Realized gains
and losses are reported in the Statement of Operations at 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 March 31, 2007, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2007 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
30 Day Interbank Cash Rate 4/20/07 38 $ 7,443,754 $ 386,683
Canada (Government of) Bonds, 10 yr. 6/20/07 89 8,738,112 (17,848)
DAX Index 6/15/07 89 20,713,642 462,352
Euro-Bundesobligation, 10 yr. 6/7/07 97 14,890,982 (155,407)
Euro-Schatz 6/7/07 1,780 245,639,001 (665,978)
Japan (Government of) Bonds, 10 yr. 6/8/07 101 11,501,349 8,038
Japan (Government of) Bonds, 10 yr. 6/11/07 74 84,242,193 33,705
Nikkei 225 Index 6/7/07 19 2,790,988 (14,776)
Standard & Poor's/MIB Index, 10 yr. 6/15/07 26 7,124,741 326,856
Standard & Poor's/Toronto Stock
Exchange 60 Index 6/14/07 21 2,751,009 32,243
United Kingdom Long Gilt 6/27/07 19 4,030,915 (10,765)
U.S. Treasury Nts., 2 yr. 6/29/07 2,066 423,304,031 1,042,620
U.S. Treasury Nts., 10 yr. 6/20/07 2,764 298,857,500 460,575
U.S. Treasury Nts., 30 yr. 6/20/07 5,095 566,818,750 (2,325,374)
---------------
(437,076)
---------------
CONTRACTS TO SELL
Australia (Commonwealth of)
Bonds, 10 yr. 6/15/07 247 20,171,647 312,274
CAC-40 10 Index 4/20/07 168 12,670,861 (220,321)
DAX Index 6/15/07 80 18,619,004 (790,620)
Euro-Bundesobligation, 5 yr. 6/7/07 82 11,849,958 83,852
Euro-Bundesobligation, 10 yr. 6/7/07 115 17,654,257 75,969
FTSE 100 Index 6/15/07 287 35,727,453 (1,029,615)
NASDAQ 100 Index 6/15/07 691 24,748,165 53,531
Nikkei 225 Index 6/7/07 200 29,378,819 (765,424)
Standard & Poor's 500 E-Mini 6/15/07 1,851 132,457,560 (1,289,499)
Standard & Poor's/Toronto Stock
Exchange 60 Index 6/14/07 60 7,860,026 (234,671)
United Kingdom Long Gilt 6/27/07 17 3,606,608 38,689
U.S. Treasury Nts., 2 yr. 6/29/07 589 120,680,578 125,590
U.S. Treasury Nts., 5 yr. 6/29/07 2,423 256,345,828 (1,208,517)
U.S. Treasury Nts., 10 yr. 6/20/07 3,963 428,499,375 (863,655)
U.S. Treasury Nts., 30 yr. 6/20/07 373 41,496,250 709,607
---------------
(5,002,810)
---------------
$ (5,439,886)
===============
77 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call or put options are noted
in the Statement of Investments where applicable. Contracts subject to call or
put, expiration date, exercise price, premium received and market value are
detailed in a note to the Statement of Investments. Options written are reported
as a liability in the Statement of Assets and Liabilities. Realized gains and
losses are reported in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may incur
a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium whether
or not the option is exercised. The Fund also has the additional risk of not
being able to enter into a closing transaction if a liquid secondary market does
not exist.
Written option activity for the six months ended March 31, 2007 was as follows:
CALL OPTIONS PUT OPTIONS
--------------------------- ------------------------------
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- -----------------------------------------------------------------------------------------------
Options outstanding as of
September 30, 2006 -- $ -- 30,620,000 $ 519,227
Options written 10,983,300,000 666,891 11,054,260,000 1,191,394
Options closed or expired (7,270,300,000) (482,363) (2,584,880,000) (1,275,332)
Options exercised (1,858,000,000) (91,415) (6,645,000,000) (342,647)
------------------------------------------------------------
Options outstanding as of
March 31, 2007 1,855,000,000 $ 93,113 1,855,000,000 $ 92,642
============================================================
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS
A total return swap is an agreement under which a set of future cash flows is
exchanged between two counterparties. One cash flow stream will typically be
based on a reference interest rate or index and the other on the total return of
a reference asset such as a security, a basket of securities, or an index. The
total return includes appreciation or
78 | OPPENHEIMER STRATEGIC INCOME FUND
depreciation on the reference asset, plus any interest or dividend payments.
Payments under the swap are based on an agreed upon principal amount but since
this principal amount is not exchanged, it represents neither an asset nor a
liability to either counterparty, and is referred to as notional. Total return
swaps are marked to market daily using primarily quotations from counterparties
and brokers. The value of the contracts is separately disclosed on the Statement
of Assets and Liabilities. The unrealized appreciation (depreciation) related to
the change in the valuation of the notional amount of the swap is combined with
the amount due to (owed by) the Fund at termination or settlement. The net
change in this amount is included on the Statement of Operations. The Fund also
records any periodic payments received from (paid to) the counterparty,
including at termination, under such contracts as realized gain (loss) on the
Statement of Operations. The primary risks associated with total return swaps
are credit risks (if the counterparty fails to meet its obligations) and market
risk (if there is no liquid market for the agreement or unfavorable changes
occur in the reference asset).
As of March 31, 2007, the Fund had entered into the following total return swap
agreements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ---------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Six-Month
$ 12,650,000 BBA LIBOR 5.46% 5/13/15 $ 2,659,186
6,930,000 Six-Month LIBOR 5.25 6/23/15 1,218,630
- ---------------------------------------------------------------------------------------------------------
If positive, the
If negative, the absolute value of
absolute value of Lehman Brothers
Lehman Brothers U.S. CMBS Index:
U.S. CMBS Index: Aggregate AAA
Goldman Sachs Aggregate plus 15
Capital Markets 18,580,000 AAA. basis points. 9/1/07 8,299
- ---------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Six-Month
7,180,000 BBA LIBOR 5.10 1/14/15 1,495,316
Six-Month
7,180,000 BBA LIBOR 5.08 1/20/15 1,533,105
- ---------------------------------------------------------------------------------------------------------
Goldman Sachs
International:
If negative, the
absolute value of If positive,
the Total Return the Total Return
of the of the
BMU/BOVESPA BMU/BOVESPA
15,277,818BRR 4/07 Index. 4/07 Index. 4/19/07 89,562
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS Continued
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ---------------------------------------------------------------------------------------------------------
Goldman Sachs
International: Continued
If positive, the
absolute value of If negative, the
the Total Return Total Return of
of the Swiss the Swiss Market
Market Index Index 6/07
8,935,436CHF 6/07. Future. 6/20/07 $ (118,646)
If negative, the
If positive, the absolute value of
Total Return of the Total Return
the INDF/NSE INDF/NSE NIFTY
NIFTY Index 3/07 Index 3/07
--INR Future. Future. 4/5/07 546,722
If negative, the
If positive, the absolute value of
Total Return of the Total Return
the INDF/NSE INDF/NSENIFTY
NIFTY Index 4/07 Index 4/07
288,183,150INR Future. Future. 5/3/07 (66,302)
One Month BBA
LIBOR USD plus
spread and if
negative, the
absolute value of If positive, the
the Total Return Total Return of a
of a custom custom equity
71,415,815 equity basket. basket. 1/8/08 3,537,538
One-Month BBA
LIBOR USD and
if negative the
absolute value of
the Total Return If positive the
of the MSCI Total Return of
Daily Total the MSCI Daily
Return Net Total Return Net
Belgium USD Belgium USD
6,930,351 Market Index. Market Index. 10/8/07 405,686
80 | OPPENHEIMER STRATEGIC INCOME FUND
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs
International: Continued
One-Month USD
BBA LIBOR
minus spread
plus, if negative,
the absolute
value of the Total If positive, the
Return of a Total Return of a
custom equity custom equity
$ 18,274,748 basket. basket. 1/8/08 $ 780,900
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc. 936,780,000RUR BBA LIBOR USD 7.75% 12/26/13 11,262
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley
International:
One-Month BBA If positive, the
LIBOR EUR and if Total Return of a
negative, the custom basket of
absolute value of securities plus
the Total Return of the dividends
a custom basket of from the basket
21,542,500EUR securities. of securities. 12/20/07 1,335,486
One-Month BBA If positive, the
LIBOR GBP and if Total Return of a
negative, the custom basket of
absolute value of securities plus
the Total Return the dividends
of a custom basket from the basket
11,270,200GBP of securities. of securities. 10/9/07 1,352,963
One-Month BBA If positive, the
LIBOR JPY and if Total Return of a
negative, the custom basket of
absolute value of securities plus
the Total Return of the dividends
a custom basket of from the basket
2,445,038,900JPY securities. of securities. 10/9/07 629,477
------------
$ 15,419,184
============
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS Continued
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
BRR Brazilian Real
CHF Swiss Franc
EUR Euro
GBP British Pound Sterling
INR Indian Rupee
JPY Japanese Yen
RUR Russian Ruble
Abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BMU/BOVESPA Bovespa Index that trades on the Sao Paulo Stock Exchange
CMBS Commercial Mortgage Backed Securities
INDF/NSE NIFTY Indian National Stock Exchange Nifty
LIBOR London-Interbank Offered Rate
MSCI Morgan Stanley Capital International
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS
An interest rate swap is an agreement under which a set of future cash flows is
exchanged between two counterparties. Interest rate swaps involve the exchange
of rights to receive or commitments to pay interest. One cash flow stream will
typically be a floating rate payment based upon a specified index while the
other is typically a fixed rate. Payments under the swap are based on an agreed
upon principal amount but since this principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as notional. Interest rate swaps are marked to market daily using
primarily quotations from counterparties and brokers. The value of the contracts
is separately disclosed on the Statement of Assets and Liabilities. The
unrealized appreciation (depreciation) related to the change in the valuation of
the notional amount of the swap is combined with the amount due to (owed by) the
Fund at termination or settlement. The net change in this amount is included on
the Statement of Operations. The Fund also records any periodic payments
received from (paid to) the counterparty, including at termination, under such
contracts as realized gain (loss) on the Statement of Operations.
Swap agreements entail both interest rate risk and credit risk. There is a
risk, based on movements of interest rates in the future, the payments made by
the Fund under a swap agreement will be greater than the payments it received.
Credit risk arises from the possibility that the counterparty will default. If
the counterparty defaults, the Fund's loss will consist of the net amount of
contractual interest payments that the Fund has not yet received. The Manager
will monitor the creditworthiness of counterparties to the Fund's interest rate
swap transactions on an ongoing basis.
82 | OPPENHEIMER STRATEGIC INCOME FUND
As of March 31, 2007, the Fund had entered into the following interest rate swap
agreements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
17,450,000 EUR 4.2200% EURIBOR 1/29/10 $ --
16,850,000 EUR EURIBOR 4.1120% 6/15/09 (55,308)
11,520,000 GBP 5.5525 BBA LIBOR GBP 6/13/09 81,723
85,300,000 MXN MXN TIIE 9.2700 7/17/26 961,084
143,260,000 NOK NIBOR 5.3850 1/29/10 15,990
- ------------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Holdings, Inc.:
Six-Month
11,250,000 PLZ WIBO 5.5200 3/24/10 61,215
Six-Month
18,000,000 PLZ WIBO 5.5500 3/25/10 103,109
313,800,000 TWD 2.3200 TWD-Telerate 6/27/11 (128,922)
- ------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston 28-Day
International 68,120,000 MXN MXN TIIE 10.0000 7/9/15 817,495
- ------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Six-Month
Inc. (Nassau Branch) 29,695,000 PLZ WIBO 4.4800 7/1/10 84,317
- ------------------------------------------------------------------------------------------------------------------
Credit Suisse
International 80,490,000 MXN MXN TIIE 8.3000 12/17/26 190,860
- ------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Six-Month
1,531,000,000 HUF 8.4400 BUBOR 7/4/11 (3,807)
INR MIBOR-OIS
314,300,000 INR 7.1750 Compound 6/27/11 234,141
- ------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
70,300,000 BRR BZDI 12.3900 1/2/12 690,156
96,670,000 BRR BZDI 12.6100 1/4/10 870,556
32,290,000 BRR BZDI 12.6700 1/4/10 309,062
32,270,000 BRR BZDI 12.7100 1/4/10 321,453
21,030,000 BRR BZDI 12.7300 1/2/14 333,004
9,730,000 BRR BZDI 12.8400 1/2/14 168,993
16,210,000 BRR BZDI 12.8700 1/2/14 288,341
32,550,000 BRR BZDI 12.9200 1/2/14 601,479
47,435,713 BRR BZDI 17.1800 1/2/08 1,555,090
CNY-
63,300,000 CNY 4.0000 CFXSREPOFIX01 2/16/17 154,811
34,200,000 MXN MXN TIIE 10.0000 6/24/15 406,038
67,560,000 MXN MXN TIIE 10.2200 1/30/15 862,775
59,620,000 MXN MXN TIIE 10.2900 6/4/15 798,870
59,375,000 MXN MXN TIIE 10.3000 6/1/15 799,258
59,375,000 MXN MXN TIIE 10.4300 5/29/15 843,704
MXN-TIIE
Floating
38,800,000 MXN Index Rate 9.3300 9/16/26 449,392
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
17,960,000 BRR BZDI 14.0500% 1/2/12 $ 545,224
89,360,000 BRR BZDI 14.8900 1/4/10 2,774,195
90,610,000 MXN MXN TIIE 9.1500 8/27/26 905,200
68,200,000 MXN MXN TIIE 9.2900 7/17/26 764,157
39,690,000 MXN MXN TIIE 9.4100 8/31/20 426,501
78,820,000 MXN MXN TIIE 9.5000 8/28/25 1,026,483
119,100,000 MXN MXN TIIE 9.5100 8/26/25 1,545,869
179,660,000 MXN MXN TIIE 9.8400 12/13/09 891,243
70,140,000 MXN MXN TIIE 10.7000 5/8/15 1,094,022
30,800,000 MXN MXN TIIE 10.8500 3/5/15 501,392
- ------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
70,300,000 BRR BZDI 12.3800 1/2/12 601,768
35,760,000 BRR BZDI 13.9100 1/2/12 983,969
65,300,000 MXN MXN TIIE 9.7600 8/17/15 700,738
Three-Month
169,320,000 ZAR 8.290 JIBA 6/23/08 239,517
- ------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing, Inc.:
28-Day
67,450,000 MXN MXN TIIE 9.9900 7/9/15 791,803
Six-Month
34,350,000 PLZ WIBO 4.5300 7/5/10 76,601
The greater
of 0% and 8*
(-0.0031375-
(10 yr. CMS
Index + 2 yr.
CMS Index))
46,830,000 quarterly. 1,404,900 2/5/17 (1,222,491)
- ------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital
Services, Inc. 95,900,000 SEK STIBOR SEK 4.1825 11/12/12 (94,503)
- ------------------------------------------------------------------------------------------------------------------
Santander Central
Hispano 17,960,000 BRR BZDI 14.0000 1/3/12 519,203
-------------
$ 24,885,770
=============
84 | OPPENHEIMER STRATEGIC INCOME FUND
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
BRR Brazilian Real
GBP British Pound Sterling
CNY Chinese Renminbi (Yuan)
EUR Euro
HUF Hungarian Forint
INR Indian Rupee
MXN Mexican Nuevo Peso
TWD New Taiwan Dollar
NOK Norwegian Krone
PLZ Polish Zloty
ZAR South African Rand
SEK Swedish Krona
Index abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BUBOR Budapest Interbank Offered Rate
BZDI Brazil Interbank Deposit Rate
CFXSREPOFIX01 Chinese Renminbi 7 Days Repurchase Fixing Rates
EURIBOR Euro Interbank Offered Rate
JIBA South Africa Johannesburg Interbank Agreed Rate
MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate
MIBOR-OIS Mid Market Interest Rate for French Franc/Austrian Schilling
and India Swap Composites-Overnight Indexed Swap
NIBOR Norwegian Interbank Offered Rate
STIBOR Stockholm Interbank Offered Rate
WIBO Poland Warsaw Interbank Offer Bid Rate
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS
A credit default swap is a bilateral contract that enables an investor to buy or
sell protection against a defined-issuer credit event. The Fund may enter into
credit default swaps to hedge an existing position or to obtain exposure to a
security or market by purchasing or selling credit protection. The Fund may
enter into credit default swaps on a single security, or a basket of securities.
In a credit default swap contract, the purchaser of the contract will pay
a periodic interest fee, similar to an insurance premium, on the notional amount
of the swap contract to the counterparty (the seller of the contract). If there
is a credit event (for example, bankruptcy or a failure to timely pay interest
or principal), the purchaser will exercise the contract and will receive a
payment from the seller of the contract equal to the notional value of the
credit default swap contract less the value of the underlying security.
The periodic interest fees are accrued daily as a component of unrealized
appreciation (depreciation) and are recorded as realized loss (gain) upon
payment. In the event that the credit default swap is exercised due to a credit
event, the difference between the value of the underlying security and the
notional amount is recorded as realized gain (loss) and is included on the
Statement of Operations.
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS Continued
Credit default swaps are marked to market daily using primarily quotations
from counterparties and brokers. The value of the contracts is separately
disclosed on the Statement of Assets and Liabilities. The unrealized
appreciation (depreciation) related to the change in the valuation of the
notional amount of the swap is combined with the accrued interest due to (owed
by) the Fund at termination or settlement. The net change in this amount during
the period is included on the Statement of Operations.
Risks of credit default swaps include, but are not limited to, the cost of
paying for credit protection if there are no credit events, pricing transparency
when assessing the cost of a credit default swap, counterparty risk, adverse
pricing when purchasing bonds to satisfy its delivery obligation, and the need
to fund the delivery obligation (either cash or defaulted securities depending
on whether the Fund is the purchaser or seller of the credit default swap
contract, respectively).
Information regarding such credit default swaps as of March 31, 2007 is as
follows:
PAY/
BUY/SELL NOTIONAL RECEIVE
REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
Dow Jones CDX North
America Crossover Index Sell $ 3,075 1.650% 12/20/11 $ 51,614 $ 28,641
Residential Capital LLC Sell 4,775 1.750 3/20/08 -- 25,291
Residential Capital LLC Sell 6,146 1.220 3/20/08 -- 354
Residential Capital LLC Sell 3,074 1.200 3/20/08 -- (453)
Smithfield Foods, Inc. Sell 3,060 1.500 3/20/12 -- (24,110)
- ----------------------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets
Holdings, Inc.:
Allied Waste North
America, Inc. Buy 4,850 1.880 3/20/12 -- (80,217)
Ford Motor Credit Co. Buy 7,350 2.320 3/20/12 -- (257,701)
Hungary (Republic of) Sell 13,190 0.400 12/20/15 -- (66,710)
Univision Communications,
Inc. Buy 1,552 1.100 6/20/08 -- (49)
Williams Cos., Inc. Buy 1,900 1.110 3/20/12 -- 8,953
- ----------------------------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston, Inc.:
Dow Jones CDX North
America Crossover Index Sell 4,555 1.650 12/20/11 77,672 38,718
Dow Jones CDX North
America Crossover Index Sell 12,200 1.650 12/20/11 191,894 103,335
Dow Jones CDX North
America High Yield Index Sell 4,570 3.250 12/20/11 169,471 126,673
Ford Motor Credit Co. Sell 3,300 2.550 3/20/12 -- (83,243)
Ford Motor Credit Co. Sell 10,080 2.385 3/20/12 -- (330,124)
GMAC LLC Sell 5,900 1.390 3/20/17 -- (295,960)
HCA, Inc. Buy 3,095 0.750 6/20/08 -- 1,271
86 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE
REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston, Inc.: Continued
HCA, Inc. Sell $ 3,095 3.250% 6/20/12 $ -- $ 22,258
Inco Ltd. Buy 1,545 0.580 3/20/17 -- (70)
NJSC Naftogaz Sell 10,175 3.250 4/20/11 -- --
Residential Capital LLC Sell 3,095 1.300 3/20/08 -- 2,865
Smithfield Foods, Inc. Sell 3,113 1.490 3/20/12 -- (21,286)
Vale Overseas Ltd. Sell 1,545 1.030 3/20/17 -- 3,222
- ----------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Coriolanus Ltd. Sell 14,360 3.200 4/20/12 -- --
Dow Jones CDX North
America Crossover Index Sell 24,410 1.650 12/20/11 389,069 239,883
Dow Jones CDX North
America Crossover Index Sell 4,345 1.650 12/20/11 75,010 42,699
Dow Jones CDX North
America Crossover Index Sell 12,215 1.650 12/20/11 192,530 120,040
Dow Jones CDX North
America High Yield Index Sell 12,815 3.250 12/20/11 475,223 380,572
El Paso Corp. Sell 2,800 1.030 3/20/12 -- 12,793
Ford Motor Co. Buy 7,555 3.050 12/20/08 -- 29,956
Ford Motor Co. Buy 9,450 3.300 12/20/08 -- (1,150)
Ford Motor Co. Buy 6,220 3.650 12/20/08 -- (36,344)
Ford Motor Co. Sell 9,450 5.800 12/20/16 -- (577,036)
Ford Motor Co. Sell 11,810 5.850 12/20/16 -- (692,519)
Ford Motor Co. Sell 7,775 6.000 12/20/16 -- (399,382)
Ford Motor Credit Co. Sell 11,595 2.390 3/20/12 -- (369,958)
Ford Motor Credit Co. Sell 4,525 2.340 3/20/12 -- (152,763)
General Motors Corp. Buy 7,555 2.030 12/20/08 -- 50,374
General Motors Corp. Buy 6,220 2.550 12/20/08 -- (11,734)
General Motors Corp. Sell 7,555 4.680 12/20/16 -- (257,600)
General Motors Corp. Sell 6,220 4.750 12/20/16 -- (189,001)
GMAC LLC Sell 6,180 1.370 3/20/17 -- (322,468)
Inco Ltd. Buy 3,120 0.630 3/20/17 -- (19,491)
Inco Ltd. Buy 3,045 0.420 3/20/17 -- 16,189
Peru (Republic of) Buy 7,110 1.710 12/20/16 -- (279,588)
Peru (Republic of) Sell 5,080 1.320 4/20/17 -- 23,451
Vale Oversees Ltd. Sell 3,120 1.050 3/20/17 -- 46,323
Vale Oversees Ltd. Sell 3,045 1.000 3/20/17 -- 33,250
Williams Cos., Inc. Sell 3,250 1.020 3/20/12 -- 10,683
- ----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
General Motors Corp. Buy 6,220 2.700 12/20/08 -- (68,122)
General Motors Corp. Sell 6,220 4.950 12/20/16 -- (107,012)
GMAC LLC Sell 3,650 1.390 3/20/17 -- (197,036)
GMAC LLC Sell 3,060 1.390 3/20/17 -- (165,186)
GMAC LLC Sell 6,160 1.390 3/20/17 -- (332,532)
GMAC LLC Sell 5,300 1.370 3/20/17 -- (292,544)
K. Hovnanian
Enterprises,
Inc. Sell 7,975 2.000 6/20/08 -- (22,421)
K. Hovnanian
Enterprises,
Inc. Sell 6,205 2.000 6/20/08 -- (17,445)
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/
BUY/SELL NOTIONAL RECEIVE
REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP: Continued
K. Hovnanian Enterprises,
Inc. Sell $ 6,205 1.800% 6/20/08 $ -- $ --
Residential Capital LLC Sell 2,970 1.360 3/20/08 -- 1,715
Residential Capital LLC Sell 3,063 1.180 3/20/08 -- (3,521)
Standard-Pacific Corp. Sell 16,550 2.200 6/20/08 -- --
- ----------------------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank:
Ford Motor Co. Buy 6,220 3.600 12/20/08 -- (59,978)
Ford Motor Co. Sell 7,775 6.000 12/20/16 -- (384,405)
General Motors Corp. Buy 9,450 2.350 12/20/08 -- (13,846)
General Motors Corp. Sell 9,450 4.750 12/20/16 -- (275,632)
Inco Ltd. Buy 1,520 0.520 3/20/17 -- 2,313
Russian Federation Buy 8,390 2.400 10/9/13 -- (941,730)
Ukraine (Republic of) Sell 1,409 1.920 8/20/11 -- 36,104
- ----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing, Inc.:
Allied Waste North
America, Inc. Sell 1,103 1.880 3/20/12 -- (14,965)
Allied Waste North
America, Inc. Sell 3,500 1.880 3/20/12 -- (47,483)
Dow Jones CDX North
American High Yield Index Sell 3,080 3.250 12/20/11 59,632 83,353
Dow Jones CDX North
American High Yield Index Sell 3,080 3.250 12/20/11 59,632 83,353
GMAC LLC Sell 3,060 1.400 3/20/17 -- (164,092)
GMAC LLC Sell 3,250 1.400 3/20/17 -- (174,280)
HCA, Inc. Buy 3,095 0.725 3/20/08 -- (1,241)
HCA, Inc. Sell 3,095 3.225 3/20/12 -- 54,031
Smithfield Foods, Inc. Sell 3,900 1.580 3/20/12 -- (12,604)
Univision Communications,
Inc. Sell 1,552 1.100 6/20/08 -- (912)
Univision Communications,
Inc. Sell 3,108 1.150 6/20/08 -- --
Univision Communications,
Inc. Sell 6,874 1.200 6/20/08 -- --
- ----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Colombia (Republic of) Buy 5,880 3.700 8/20/15 -- (913,246)
Dow Jones CDX North
America Crossover Index Sell 3,075 1.650 12/20/11 51,607 28,620
Ford Motor Co. Buy 475 2.450 12/20/08 -- 5,746
Ford Motor Co. Buy 6,220 3.700 12/20/08 -- (51,840)
Ford Motor Co. Sell 605 5.900 12/20/16 -- (32,726)
Ford Motor Co. Sell 7,775 6.150 12/20/16 -- (326,209)
General Motors Corp. Buy 475 1.650 12/20/08 -- 6,037
General Motors Corp. Buy 6,220 2.700 12/20/08 -- (28,640)
88 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE
REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.: Continued
General Motors Corp. Sell $ 475 4.620% 12/20/16 $ -- $ (17,720)
General Motors Corp. Sell 6,220 4.900 12/20/16 -- (137,075)
Gisad Dis Ticaret AS Sell 35,885 2.000 3/30/08 -- (563)
Inco Ltd. Buy 3,050 0.520 3/20/17 -- 8,805
Inco Ltd. Buy 3,080 0.520 3/20/17 -- 8,892
Inco Ltd. Buy 3,160 0.600 3/20/17 -- (11,342)
Istanbul Bond Co. SA
for Finansbank Sell 23,940 1.300 3/24/13 -- (397,079)
Smithfield Foods, Inc. Sell 3,000 1.510 3/20/12 -- (13,891)
Turkey (Republic of) Sell 7,965 2.750 11/20/16 -- 172,350
Vale Overseas Ltd. Sell 1,520 1.060 3/20/17 -- 9,005
Vale Overseas Ltd. Sell 3,050 0.920 3/20/17 -- (14,163)
Vale Overseas Ltd. Sell 3,080 0.970 3/20/17 -- (2,678)
Vale Overseas Ltd. Sell 3,160 1.040 3/20/17 -- 15,552
Venezuela (Republic of) Buy 12,480 3.480 11/20/15 -- (1,125,876)
- ----------------------------------------------------------------------------------------------------------------------------
UBS AG Indonesia (Republic of) Sell 6,125 2.300 9/20/11 -- 305,401
--------------------------
$ 1,793,354 $(8,649,921)
==========================
- --------------------------------------------------------------------------------
11. CURRENCY SWAPS
A currency swap is an arrangement under which counterparties agree to exchange
different currencies equivalent to the notional value at contract inception and
reverse the exchange of the same notional values of those currencies at contract
termination. The contract may also include periodic exchanges of cash flows
based on a specified index or interest rate. Currency swaps are marked to market
daily using primarily quotations from counterparties and brokers. The value of
the contracts is separately disclosed on the Statement of Assets and
Liabilities. The unrealized appreciation (depreciation) related to the change in
the valuation of the notional amount of the swap is combined with the amount due
to (owed by) the Fund at termination or settlement. The net change in this
amount during the period is included on the Statement of Operations. The Fund
also records any periodic payments received from (paid to) the counterparty,
including at termination, under such contracts as realized gain (loss) on the
Statement of Operations.
Currency swap agreements entail exchange rate risk, interest rate risk and
credit risk. Due to the exchange of currency at contract termination, changes in
currency exchange rates may result in the Fund paying an amount greater than the
amount received. There is a risk, based on movements of interest rates or
indexes that the periodic payments made by the Fund will be greater than the
payments received. Credit risk arises from the possibility that the counterparty
will default on its payments to the Fund. If the counterparty defaults, the
Fund's maximum loss will consist of the notional contract value to be received
at contract termination as well as any outstanding interest payments due to the
Fund. The Manager monitors the creditworthiness of counterparties on an ongoing
basis.
89 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. CURRENCY SWAPS Continued
As of March 31, 2007, the Fund entered into the following currency swap
arrangements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- --------------------------------------------------------------------------------------------
Three-Month
Merrill Lynch 6,840,000 TRY/USD BBA LIBOR 17.10% 2/6/12 $ 38,412
- --------------------------------------------------------------------------------------------
Credit Suisse:
Three-Month
4,370,000 TRY/USD BBA LIBOR 17.25 2/7/12 51,972
Three-Month
6,590,000 TRY/USD BBA LIBOR 17.30 2/9/12 43,491
Three-Month
10,860,000 TRY/USD BBA LIBOR 16.75 2/26/12 (162,099)
-----------
$ (28,224)
===========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currency:
TRY Turkish Lira
Abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
- --------------------------------------------------------------------------------
12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of March 31, 2007, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Fund will not invest more than 10% of
its net assets (determined at the time of purchase and reviewed periodically) in
illiquid or restricted securities. Certain restricted securities, eligible for
resale to qualified institutional investors, are not subject to that limitation.
Securities that are illiquid or restricted are marked with the applicable
footnote on the Statement of Investments. Information concerning restricted
currency is as follows:
ACQUISITION VALUATION AS OF UNREALIZED
CURRENCY DATES COST MARCH 31, 2007 APPRECIATION
- ----------------------------------------------------------------------------------------
Argentine Peso (ARP) 1/31/07-3/19/07 $3,442,238 $3,450,908 $8,670
- --------------------------------------------------------------------------------
13. 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 market value of the loaned
securities is determined at the close of business each day. If
90 | OPPENHEIMER STRATEGIC INCOME FUND
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 counterparty 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 March 31, 2007,
the Fund had on loan securities valued at $114,475,900, which are included in
the Statement of Assets and Liabilities as "Investments, at value" and, when
applicable, as "Receivable for Investments sold." Collateral of $46,705,355 was
received for the loans, all of which was received in cash and subsequently
invested in approved investments. In addition, collateral of $70,152,052 was
also received in the form of securities.
- --------------------------------------------------------------------------------
14. RECENT ACCOUNTING PRONOUNCEMENTS
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48 ("FIN 48"), ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES.
FIN 48 clarifies the accounting for uncertainty in income taxes recognized in an
enterprise's financial statements in accordance with FASB Statement No. 109,
ACCOUNTING FOR INCOME TAXES. FIN 48 requires the evaluation of tax positions
taken in the course of preparing the Fund's tax returns to determine whether it
is "more-likely-than-not" that tax positions taken in the Fund's tax return will
be ultimately sustained. A tax liability and expense must be recorded in respect
of any tax position that, in Management's judgment, will not be fully realized.
FIN 48 is effective for fiscal years beginning after December 15, 2006. As of
March 31, 2007, the Manager has evaluated the implications of FIN 48 and does
not currently anticipate a material impact to the Fund's financial statements.
The Manager will continue to monitor the Fund's tax positions prospectively for
potential future impacts.
In September 2006, the FASB issued Statement of Financial Accounting
Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a
single authoritative definition of fair value, sets out a framework for
measuring fair value and expands disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007, and interim periods within
those fiscal years. As of March 31, 2007, the Manager does not believe the
adoption of SFAS No. 157 will materially impact the financial statement amounts;
however, additional disclosures may be required about the inputs used to develop
the measurements and the effect of certain of the measurements on changes in net
assets for the period.
91 | OPPENHEIMER STRATEGIC INCOME 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.
92 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Each year, the Board of Trustees (the "Board"), including a majority of the
independent Trustees, is required to determine whether to renew the Fund's
investment advisory agreement (the "Agreement"). The Investment Company Act of
1940, as amended, requires that the Board request and evaluate, and that the
Manager provide, such information as may be reasonably necessary to evaluate the
terms of the Agreement. The Board employs an independent consultant to prepare a
report that provides information, including comparative information, that the
Board requests for that purpose. In addition, the Board receives information
throughout the year regarding Fund services, fees, expenses and performance.
The Manager and the independent consultant provided information to the
Board on the following factors: (i) the nature, quality and extent of the
Manager's services, (ii) the investment performance of the Fund and the Manager,
(iii) the fees and expenses of the Fund, including comparative expense
information, (iv) the profitability of the Manager and its affiliates, including
an analysis of the cost of providing services, (v) whether economies of scale
are realized as the Fund grows and whether fee levels reflect these economies of
scale for Fund investors and (vi) other benefits to the Manager from its
relationship with the Fund. Outlined below is a summary of the principal
information considered by the Board as well as the Board's conclusions.
The Board was aware that there are alternatives to retaining the Manager.
NATURE, QUALITY AND EXTENT OF SERVICES. The Board considered information
about the nature and extent of the services provided to the Fund and information
regarding the Manager's key personnel who provide such services. The Manager's
duties include providing the Fund with the services of the portfolio manager and
the Manager's investment team, who provide research, analysis and other advisory
services in regard to the Fund's investments; securities trading services;
oversight of third party service providers; monitoring compliance with
applicable Fund policies and procedures and adherence to the Fund's investment
restrictions. The Manager is responsible for providing certain administrative
services to the Fund as well. Those services include providing and supervising
all administrative and clerical personnel who are necessary in order to provide
effective corporate administration for the Fund; compiling and maintaining
records with respect to the Fund's operations; preparing and filing reports
required by the Securities and Exchange Commission; preparing periodic reports
regarding the operations of the Fund for its shareholders; preparing proxy
materials for shareholder meetings; and preparing the registration statements
required by Federal and state securities laws for the sale of the Fund's shares.
The Manager also provides the Fund with office space, facilities and equipment.
93 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
- --------------------------------------------------------------------------------
The Board also considered the quality of the services provided and the
quality of the Manager's resources that are available to the Fund. The Board
took account of the fact that the Manager has had over forty years of experience
as an investment adviser and that its assets under management rank it among the
top mutual fund managers in the United States. The Board evaluated the Manager's
administrative, accounting, legal and compliance services, and information the
Board has received regarding the experience and professional qualifications of
the Manager's key personnel and the size and functions of its staff providing
investment management services to the Fund. In its evaluation of the quality of
the portfolio management services provided, the Board considered the experience
of Arthur P. Steinmetz and the Manager's international and quantitative fixed
income investment team and analysts. The Board members also considered the
totality of their experiences with the Manager as directors or trustees of the
Fund and other funds advised by the Manager. In light of the foregoing, the
Board concluded that the Fund benefits from the services provided under the
Agreement as a result of the Manager's experience, reputation, personnel,
operations, and resources.
INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. During the year, the
Manager provided information on the investment performance of the Fund and the
Manager at each Board meeting, including comparative performance information.
The Board also reviewed information, prepared by the Manager and by the
independent consultant, comparing the Fund's historical performance to relevant
market indices and to the performance of other retail front-end load and no-load
multi-sector income funds. The Board noted that the Fund's one-year performance
was below its peer group median. However its three-year, five-year and ten-year
performance were better than its peer group median.
COSTS OF SERVICES AND PROFITS REALIZED BY THE MANAGER. The Board
considered information regarding the Manager's costs in serving as the Fund's
investment adviser, including the costs associated with the personnel and
systems necessary to manage the Fund, and information regarding the Manager's
profitability from its relationship with the Fund. The Board reviewed the fees
paid to the Manager and the other expenses borne by the Fund. The Board also
evaluated the comparability of the fees charged and the services provided to the
Fund to the fees and services for other clients or accounts advised by the
Manager. The independent consultant provided comparative data in regard to the
fees and expenses of the Fund, other multi-sector income funds and other funds
with comparable asset levels and distribution features. The Board noted that the
Fund's contractual and actual management fees are lower than its peer group
median.
94 | OPPENHEIMER STRATEGIC INCOME FUND
ECONOMIES OF SCALE. The Board reviewed whether the Manager may realize
economies of scale in managing and supporting the Fund and whether those
economies of scale benefit the Fund's shareholders. The Board noted that the
Fund currently has management fee breakpoints, which are intended to share with
shareholders any economies of scale that may exist as the Fund grows.
OTHER BENEFITS TO THE MANAGER. In addition to considering the profits
realized by the Manager, the Board considered information that was provided
regarding the direct and indirect benefits the Manager receives as a result of
its relationship with the Fund, including compensation paid to the Manager's
affiliates. The Board also considered that the Manager must be able to pay and
retain experienced professional personnel at competitive rates to provide
services to the Fund and that maintaining the financial viability of the Manager
is important in order for the Manager to continue to provide quality services to
the Fund and its shareholders.
CONCLUSIONS. These factors were also considered by the independent
Trustees meeting separately from the full Board, assisted by experienced counsel
to the Fund and to the independent Trustees. Fund counsel and the independent
Trustees' counsel are both independent of the Manager within the meaning and
intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations
described above, the Board, including a majority of the independent Trustees,
decided to continue the Agreement for another year. In arriving at this
decision, the Board did not single out any factor or factors as being more
important than others, but considered all of the factors together. The Board
considered the Agreement, including the management fee, in light of all of the
surrounding circumstances.
95 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations by
business and personal contacts of current Board members and by executive
search firms which the Committee may engage from time to time and may also
consider shareholder recommendations. The Committee may consider the advice
and recommendation of the Funds' investment manager and its affiliates in
making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met by
a trustee nominee. In evaluating trustee nominees, the Committee considers,
among other things, an individual's background, skills, and experience;
whether the individual is an "interested person" as defined in the
Investment Company Act of 1940; and
whether the individual would be deemed an "audit committee financial expert"
within the meaning of applicable SEC rules. The Committee also considers
whether the individual's background, skills, and experience will complement
the background, skills, and experience of other nominees and will contribute
to the Board. There are no differences in the manner in which the Committee
evaluates nominees for trustees based on whether the nominee is recommended
by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates to
present to the Board and, in such cases where required, to shareholders.
Recommendations for trustee nominees should, at a minimum, be accompanied by
the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person" as
defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in a
proxy statement concerning the person if he or she was nominated; and
o the name and address of the person submitting the recommendation and, if
that person is a shareholder, the period for which that person held Fund
shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under the
Investment Company Act of 1940. In addition, certain other relationships
with Massachusetts Mutual Life Insurance Company or its subsidiaries, with
registered broker-dealers, or with the Funds' outside legal counsel may
cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must be
disclosed under SEC and stock exchange rules and to determine whether the
individual is subject to any statutory disqualification from serving as a
trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 03/31/2007, the registrant's principal executive officer and
principal financial officer found the registrant's disclosure controls and
procedures to provide reasonable assurances that information required to be
disclosed by the registrant in the reports that it files under the Securities
Exchange Act of 1934 (a) is accumulated and communicated to registrant's
management, including its principal executive officer and principal financial
officer, to allow timely decisions regarding required disclosure, and (b) is
recorded, processed, summarized and reported, within the time periods specified
in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a) (1) Not applicable to semiannual reports.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Strategic Income Fund
By: /s/ John V. Murphy
------------------
John V. Murphy
Principal Executive Officer
Date: 05/14/2007
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: 05/14/2007
By: /s/ Brian W. Wixted
-------------------
Brian W. Wixted
Principal Financial Officer
Date: 05/14/2007