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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Opperheimer Strategic Income Fund
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(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: 09/30/2007
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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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Oil & Gas 2.6%
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Commercial Banks 2.4
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Media 2.1
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Capital Markets 2.0
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Hotels, Restaurants & Leisure 1.3
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Diversified Financial Services 1.2
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Thrifts & Mortgage Finance 0.9
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Wireless Telecommunication Services 0.9
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Electric Utilities 0.9
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Diversified Telecommunication Services 0.8
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 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.]
Mortgage-Backed Obligations 23.3%
Corporate Bonds 22.3
Foreign Government Bonds 21.5
Structured Securities 14.7
Cash Equivalents 10.6
U.S. Government Bonds 4.1
Other Bonds 1.8
Stocks 1.7
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 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.
9 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF
THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2007, FOLLOWED
BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO APPROPRIATE BROAD-BASED
MARKET INDICES.
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. For the 12-month period ended
September 30, 2007, Oppenheimer Strategic Income Fund's Class A shares (without
sales charge) produced a total return that was greater than that of its
benchmarks, the Lehman Brothers Aggregate Bond Index and the Citigroup World
Government Bond Index, and significantly higher than the average return of the
funds reported in its peer group, the Lipper Multi-Sector Income Funds category.
In fact, the Fund's Class A shares (without sales charge) finished 2nd out of
122 funds ranked in the category.
Emerging-market bonds bolstered the Fund's relative performance over the
reporting period. We focused primarily on markets where the rate of inflation
and long-term bond yields have been falling due to improved credit and economic
fundamentals. In Latin American markets, Brazil and, to a lesser extent, Mexico
produced attractive returns as they drew down debt, reduced their budget
deficits and became more significant participants in world trade. In Eastern
Europe, Turkey prospered through reforms designed to help it qualify for
inclusion in the European Union. Among developed markets, we maintained
relatively light exposure to Japan, where bond yields remained very low.
Otherwise, we have attempted to diversify holdings across the developed nations
of Europe, where robust economic growth has led to higher bond yields. To manage
risks in this environment, we generally focused on sovereign debt securities and
maintained a neutral duration. The Fund also benefited from unhedged currency
exposure as the U.S. dollar continued to deteriorate relative to most foreign
currencies.
We maintained a slightly shorter-than-average duration posture with regard
to U.S. Treasury securities over most of the reporting period, as narrow yield
differences along the market's maturity range provided little incentive to incur
the risks that longer-term bonds typically entail. In the wake of what we
believed to be indiscriminate market declines in July and August, we allocated
some assets to AAA-rated, short-term mortgage-backed securities that, in our
judgment, represented attractive values. In the high yield bond portfolio, an
underweighted position helped the Fund weather market volatility in June and
July. While we continued to move toward a higher-quality credit profile, even a
reduced position in lower-quality bonds dampened the Fund's performance during
the credit crisis. The resulting weakness more than offset better results
10 | OPPENHEIMER STRATEGIC INCOME FUND
from our duration management strategy, which was shorter than industry averages,
and our security selection strategy, which emphasized bonds from the
telecommunications and gaming sectors while de-emphasizing homebuilders.
We currently expect economic growth to remain stronger in international
markets than in the United States, and we have seen no evidence that the decline
of the U.S. dollar is complete. However, we are aware that some emerging markets
already have posted impressive rallies, and further gains may be more modest.
Accordingly, to reduce risks, we recently trimmed the Fund's positions in some
emerging markets. We have also maintained the Fund's relatively light exposure
to high yield bonds in light of the U.S. economic slowdown.
COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 2007. In the case of Class A, Class B and Class C
shares, performance is measured over a ten fiscal year period; Class Y shares
since inception of the Class on January 26, 1998. In the case of Class N shares,
performance is measured from inception of the Class on March 1, 2001. The Fund's
performance reflects the deduction of the maximum initial sales charge on Class
A shares, the applicable contingent deferred sales charge on Class B, Class C
and Class N shares, and reinvestments of all dividends and capital gains
distributions.
The Fund's performance is compared to the performance of the Lehman
Brothers Aggregate Bond Index and the Citigroup World Government Bond Index,
formerly the Salomon Brothers World Government Bond Index. The former is a
broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government
securities and mortgage-backed securities widely regarded as a measure of the
performance of the domestic debt securities market. The latter is an unmanaged
index of fixed-rate bonds having a maturity of one year or more, widely regarded
as a benchmark of fixed-income performance on a worldwide basis. Index
performance reflects the reinvestment of dividends but does not consider the
effect of capital gains or transaction costs, and none of the data in the graphs
that follow shows the effect of taxes. The Fund's performance reflects the
effects of Fund business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Fund's performance, it must be noted that
the Fund's investments are not limited to the securities in the indices.
11 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS A SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class A)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
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Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class A) Aggregate Bond Index Government Bond Index
09/30/1997 $ 9,525 $ 10,000 $ 10,000
12/31/1997 $ 9,618 $ 10,294 $ 10,021
03/31/1998 $ 9,875 $ 10,455 $ 10,099
06/30/1998 $ 9,940 $ 10,699 $ 10,300
09/30/1998 $ 9,601 $ 11,151 $ 11,158
12/31/1998 $ 9,779 $ 11,189 $ 11,554
03/31/1999 $ 9,831 $ 11,133 $ 11,108
06/30/1999 $ 9,864 $ 11,035 $ 10,725
09/30/1999 $ 9,881 $ 11,110 $ 11,211
12/31/1999 $ 10,174 $ 11,097 $ 11,061
03/31/2000 $ 10,335 $ 11,342 $ 11,081
06/30/2000 $ 10,392 $ 11,539 $ 11,064
09/30/2000 $ 10,491 $ 11,887 $ 10,774
12/31/2000 $ 10,399 $ 12,387 $ 11,237
03/31/2001 $ 10,584 $ 12,763 $ 10,985
06/30/2001 $ 10,496 $ 12,835 $ 10,724
09/30/2001 $ 10,303 $ 13,427 $ 11,492
12/31/2001 $ 10,765 $ 13,433 $ 11,126
03/31/2002 $ 10,945 $ 13,445 $ 10,946
06/30/2002 $ 10,940 $ 13,942 $ 12,222
09/30/2002 $ 10,986 $ 14,581 $ 12,694
12/31/2002 $ 11,502 $ 14,810 $ 13,295
03/31/2003 $ 11,941 $ 15,016 $ 13,708
06/30/2003 $ 12,722 $ 15,392 $ 14,240
09/30/2003 $ 13,138 $ 15,370 $ 14,521
12/31/2003 $ 13,756 $ 15,418 $ 15,277
03/31/2004 $ 14,076 $ 15,828 $ 15,562
06/30/2004 $ 13,818 $ 15,441 $ 15,044
09/30/2004 $ 14,285 $ 15,935 $ 15,537
12/31/2004 $ 15,078 $ 16,087 $ 16,858
03/31/2005 $ 14,906 $ 16,010 $ 16,423
06/30/2005 $ 15,415 $ 16,492 $ 16,189
09/30/2005 $ 15,681 $ 16,380 $ 16,007
12/31/2005 $ 15,705 $ 16,478 $ 15,699
03/31/2006 $ 15,943 $ 16,371 $ 15,635
06/30/2006 $ 15,685 $ 16,359 $ 16,131
09/30/2006 $ 16,272 $ 16,982 $ 16,364
12/31/2006 $ 16,911 $ 17,192 $ 16,659
03/31/2007 $ 17,372 $ 17,450 $ 16,851
06/30/2007 $ 17,638 $ 17,360 $ 16,592
09/30/2007 $ 18,085 $ 17,854 $ 17,787
AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT
9/30/07
1-Year 5.86% 5-Year 9.41% 10-Year 6.10%
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12 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class B)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
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Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class B) Aggregate Bond Index Government Bond Index
09/30/1997 $ 10,000 $ 10,000 $ 10,000
12/31/1997 $ 10,079 $ 10,294 $ 10,021
03/31/1998 $ 10,328 $ 10,455 $ 10,099
06/30/1998 $ 10,376 $ 10,699 $ 10,300
09/30/1998 $ 10,026 $ 11,151 $ 11,158
12/31/1998 $ 10,170 $ 11,189 $ 11,554
03/31/1999 $ 10,205 $ 11,133 $ 11,108
06/30/1999 $ 10,242 $ 11,035 $ 10,725
09/30/1999 $ 10,218 $ 11,110 $ 11,211
12/31/1999 $ 10,500 $ 11,097 $ 11,061
03/31/2000 $ 10,646 $ 11,342 $ 11,081
06/30/2000 $ 10,684 $ 11,539 $ 11,064
09/30/2000 $ 10,766 $ 11,887 $ 10,774
12/31/2000 $ 10,678 $ 12,387 $ 11,237
03/31/2001 $ 10,847 $ 12,763 $ 10,985
06/30/2001 $ 10,711 $ 12,835 $ 10,724
09/30/2001 $ 10,495 $ 13,427 $ 11,492
12/31/2001 $ 10,971 $ 13,433 $ 11,126
03/31/2002 $ 11,105 $ 13,445 $ 10,946
06/30/2002 $ 11,079 $ 13,942 $ 12,222
09/30/2002 $ 11,135 $ 14,581 $ 12,694
12/31/2002 $ 11,603 $ 14,810 $ 13,295
03/31/2003 $ 12,055 $ 15,016 $ 13,708
06/30/2003 $ 12,817 $ 15,392 $ 14,240
09/30/2003 $ 13,186 $ 15,370 $ 14,521
12/31/2003 $ 13,806 $ 15,418 $ 15,277
03/31/2004 $ 14,128 $ 15,828 $ 15,562
06/30/2004 $ 13,869 $ 15,441 $ 15,044
09/30/2004 $ 14,338 $ 15,935 $ 15,537
12/31/2004 $ 15,133 $ 16,087 $ 16,858
03/31/2005 $ 14,960 $ 16,010 $ 16,423
06/30/2005 $ 15,471 $ 16,492 $ 16,189
09/30/2005 $ 15,738 $ 16,380 $ 16,007
12/31/2005 $ 15,762 $ 16,478 $ 15,699
03/31/2006 $ 16,001 $ 16,371 $ 15,635
06/30/2006 $ 15,742 $ 16,359 $ 16,131
09/30/2006 $ 16,332 $ 16,982 $ 16,364
12/31/2006 $ 16,973 $ 17,192 $ 16,659
03/31/2007 $ 17,435 $ 17,450 $ 16,851
06/30/2007 $ 17,703 $ 17,360 $ 16,592
09/30/2007 $ 18,151 $ 17,854 $ 17,787
AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT
9/30/07
1-Year 4.99% 5-Year 9.30% 10-Year 6.14%
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THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS C SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class C)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
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Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class C) Aggregate Bond Index Government Bond Index
09/30/1997 $ 10,000 $ 10,000 $ 10,000
12/31/1997 $ 10,058 $ 10,294 $ 10,021
03/31/1998 $ 10,309 $ 10,455 $ 10,099
06/30/1998 $ 10,357 $ 10,699 $ 10,300
09/30/1998 $ 10,005 $ 11,151 $ 11,158
12/31/1998 $ 10,150 $ 11,189 $ 11,554
03/31/1999 $ 10,208 $ 11,133 $ 11,108
06/30/1999 $ 10,223 $ 11,035 $ 10,725
09/30/1999 $ 10,198 $ 11,110 $ 11,211
12/31/1999 $ 10,505 $ 11,097 $ 11,061
03/31/2000 $ 10,627 $ 11,342 $ 11,081
06/30/2000 $ 10,691 $ 11,539 $ 11,064
09/30/2000 $ 10,748 $ 11,887 $ 10,774
12/31/2000 $ 10,659 $ 12,387 $ 11,237
03/31/2001 $ 10,829 $ 12,763 $ 10,985
06/30/2001 $ 10,719 $ 12,835 $ 10,724
09/30/2001 $ 10,475 $ 13,427 $ 11,492
12/31/2001 $ 10,953 $ 13,433 $ 11,126
03/31/2002 $ 11,087 $ 13,445 $ 10,946
06/30/2002 $ 11,062 $ 13,942 $ 12,222
09/30/2002 $ 11,119 $ 14,581 $ 12,694
12/31/2002 $ 11,589 $ 14,810 $ 13,295
03/31/2003 $ 12,043 $ 15,016 $ 13,708
06/30/2003 $ 12,808 $ 15,392 $ 14,240
09/30/2003 $ 13,170 $ 15,370 $ 14,521
12/31/2003 $ 13,765 $ 15,418 $ 15,277
03/31/2004 $ 14,061 $ 15,828 $ 15,562
06/30/2004 $ 13,777 $ 15,441 $ 15,044
09/30/2004 $ 14,217 $ 15,935 $ 15,537
12/31/2004 $ 14,980 $ 16,087 $ 16,858
03/31/2005 $ 14,780 $ 16,010 $ 16,423
06/30/2005 $ 15,258 $ 16,492 $ 16,189
09/30/2005 $ 15,491 $ 16,380 $ 16,007
12/31/2005 $ 15,485 $ 16,478 $ 15,699
03/31/2006 $ 15,690 $ 16,371 $ 15,635
06/30/2006 $ 15,442 $ 16,359 $ 16,131
09/30/2006 $ 15,990 $ 16,982 $ 16,364
12/31/2006 $ 16,548 $ 17,192 $ 16,659
03/31/2007 $ 16,968 $ 17,450 $ 16,851
06/30/2007 $ 17,195 $ 17,360 $ 16,592
09/30/2007 $ 17,599 $ 17,854 $ 17,787
AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT
9/30/07
1-Year 9.06% 5-Year 9.62% 10-Year 5.82%
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14 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class N)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
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Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class N) Aggregate Bond Index Government Bond Index
03/01/2001 $ 10,000 $ 10,000 $ 10,000
03/31/2001 $ 9,799 $ 10,050 $ 9,712
06/30/2001 $ 9,717 $ 10,107 $ 9,560
09/30/2001 $ 9,539 $ 10,573 $ 10,244
12/31/2001 $ 9,988 $ 10,578 $ 9,917
03/31/2002 $ 10,122 $ 10,588 $ 9,757
06/30/2002 $ 10,112 $ 10,979 $ 10,894
09/30/2002 $ 10,177 $ 11,482 $ 11,316
12/31/2002 $ 10,617 $ 11,663 $ 11,851
03/31/2003 $ 11,044 $ 11,825 $ 12,219
06/30/2003 $ 11,753 $ 12,121 $ 12,693
09/30/2003 $ 12,092 $ 12,103 $ 12,944
12/31/2003 $ 12,648 $ 12,141 $ 13,618
03/31/2004 $ 12,929 $ 12,464 $ 13,872
06/30/2004 $ 12,678 $ 12,159 $ 13,410
09/30/2004 $ 13,094 $ 12,548 $ 13,850
12/31/2004 $ 13,806 $ 12,668 $ 15,027
03/31/2005 $ 13,632 $ 12,607 $ 14,640
06/30/2005 $ 14,080 $ 12,986 $ 14,430
09/30/2005 $ 14,307 $ 12,899 $ 14,268
12/31/2005 $ 14,315 $ 12,976 $ 13,994
03/31/2006 $ 14,552 $ 12,892 $ 13,937
06/30/2006 $ 14,302 $ 12,882 $ 14,379
09/30/2006 $ 14,822 $ 13,372 $ 14,587
12/31/2006 $ 15,387 $ 13,538 $ 14,850
03/31/2007 $ 15,754 $ 13,741 $ 15,021
06/30/2007 $ 16,015 $ 13,670 $ 14,789
09/30/2007 $ 16,367 $ 14,059 $ 15,855
AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT
9/30/07
1-Year 9.42% 5-Year 9.97% Since Inception (3/1/01) 7.77%
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THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
15 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS Y SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class Y)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
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Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund (Class Y) Aggregate Bond Index Government Bond Index
01/26/1998 $ 10,000 $ 10,000 $ 10,000
03/31/1998 $ 10,181 $ 10,027 $ 9,981
06/30/1998 $ 10,257 $ 10,261 $ 10,180
09/30/1998 $ 9,936 $ 10,695 $ 11,028
12/31/1998 $ 10,108 $ 10,731 $ 11,420
03/31/1999 $ 10,194 $ 10,678 $ 10,979
06/30/1999 $ 10,237 $ 10,584 $ 10,600
09/30/1999 $ 10,241 $ 10,656 $ 11,081
12/31/1999 $ 10,579 $ 10,643 $ 10,932
03/31/2000 $ 10,732 $ 10,878 $ 10,951
06/30/2000 $ 10,826 $ 11,067 $ 10,935
09/30/2000 $ 10,912 $ 11,401 $ 10,648
12/31/2000 $ 10,850 $ 11,880 $ 11,106
03/31/2001 $ 11,049 $ 12,241 $ 10,768
06/30/2001 $ 10,965 $ 12,310 $ 10,599
09/30/2001 $ 10,740 $ 12,877 $ 11,358
12/31/2001 $ 11,256 $ 12,883 $ 10,996
03/31/2002 $ 11,419 $ 12,895 $ 10,819
06/30/2002 $ 11,416 $ 13,372 $ 12,079
09/30/2002 $ 11,498 $ 13,984 $ 12,546
12/31/2002 $ 12,021 $ 14,204 $ 13,140
03/31/2003 $ 12,496 $ 14,402 $ 13,548
06/30/2003 $ 13,317 $ 14,762 $ 14,074
09/30/2003 $ 13,721 $ 14,741 $ 14,351
12/31/2003 $ 14,369 $ 14,787 $ 15,099
03/31/2004 $ 14,706 $ 15,181 $ 15,380
06/30/2004 $ 14,437 $ 14,810 $ 14,869
09/30/2004 $ 14,927 $ 15,283 $ 15,356
12/31/2004 $ 15,760 $ 15,429 $ 16,662
03/31/2005 $ 15,590 $ 15,355 $ 16,232
06/30/2005 $ 16,131 $ 15,817 $ 16,000
09/30/2005 $ 16,379 $ 15,710 $ 15,820
12/31/2005 $ 16,454 $ 15,804 $ 15,516
03/31/2006 $ 16,718 $ 15,701 $ 15,453
06/30/2006 $ 16,460 $ 15,689 $ 15,943
09/30/2006 $ 17,093 $ 16,287 $ 16,173
12/31/2006 $ 17,780 $ 16,489 $ 16,465
03/31/2007 $ 18,280 $ 16,736 $ 16,655
06/30/2007 $ 18,576 $ 16,650 $ 16,398
09/30/2007 $ 19,021 $ 17,123 $ 17,580
AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES OF THE FUND AT 9/30/07
1-Year 11.28% 5-Year 10.59% Since Inception (1/26/98) 6.87%
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THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
16 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. 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 one-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
17 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
- --------------------------------------------------------------------------------
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.
18 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
- --------------------------------------------------------------------------------
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 September 30, 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
19 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES Continued
- --------------------------------------------------------------------------------
the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(4/1/07) (9/30/07) SEPTEMBER 30, 2007
- ----------------------------------------------------------------------------
Class A Actual $ 1,000.00 $ 1,041.10 $ 4.56
- ----------------------------------------------------------------------------
Class A Hypothetical 1,000.00 1,020.61 4.52
- ----------------------------------------------------------------------------
Class B Actual 1,000.00 1,036.90 8.67
- ----------------------------------------------------------------------------
Class B Hypothetical 1,000.00 1,016.60 8.58
- ----------------------------------------------------------------------------
Class C Actual 1,000.00 1,037.20 8.46
- ----------------------------------------------------------------------------
Class C Hypothetical 1,000.00 1,016.80 8.38
- ----------------------------------------------------------------------------
Class N Actual 1,000.00 1,039.00 6.67
- ----------------------------------------------------------------------------
Class N Hypothetical 1,000.00 1,018.55 6.60
- ----------------------------------------------------------------------------
Class Y Actual 1,000.00 1,040.50 2.82
- ----------------------------------------------------------------------------
Class Y Hypothetical 1,000.00 1,022.31 2.79
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 183/365
(to reflect the one-half year period). Those annualized expense ratios,
excluding indirect expenses from affiliated fund, based on the 6-month period
ended September 30, 2007 are as follows:
CLASS EXPENSE RATIOS
- -----------------------------
Class A 0.89%
- -----------------------------
Class B 1.69
- -----------------------------
Class C 1.65
- -----------------------------
Class N 1.30
- -----------------------------
Class Y 0.55
The expense ratios reflect reduction to custodian expenses and voluntary waivers
or reimbursements 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 and reduction to custodian
expenses, if applicable.
- --------------------------------------------------------------------------------
20 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS September 30, 2007
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--1.5%
- -------------------------------------------------------------------------------------------------------------------------
Ace Securities Corp. Home Equity Loan Trust, Asset-Backed
Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.311%, 11/25/35 1 $ 2,570,000 $ 2,554,645
- -------------------------------------------------------------------------------------------------------------------------
Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 5.556%, 4/20/08 1,2 1,520,000 1,519,097
- -------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through
Certificates, Series 2004-W8, Cl. A2, 5.611%, 5/25/34 1 4,482,726 4,426,931
- -------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through
Certificates, Series 2006-M3, Cl. A2B, 5.231%, 9/25/36 1 2,190,000 2,154,768
- -------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through
Certificates, Series 2006-W5, Cl. A2B, 5.231%, 5/26/36 1 3,845,000 3,809,315
- -------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed
Securities, Series 2006-A, Cl. A2, 5.30%, 5/26/09 2,500,289 2,498,285
- -------------------------------------------------------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust, Automobile
Asset-Backed Certificates, Series 2005-1, Cl. A4, 5.773%, 4/15/11 1 22,280,000 22,166,457
- -------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates,
Series 2005-D, Cl. AV2, 5.401%, 10/25/35 1 92,028 91,780
- -------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates,
Series 2006-A, Cl. AV2, 5.231%, 5/16/36 1 4,810,000 4,775,947
- -------------------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 2,392,866 2,318,722
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2005-WF2, Asset-Backed
Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 877,889 875,977
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed
Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 5.231%, 10/31/36 1,3 2,620,000 2,574,299
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WFH4, Asset-Backed
Pass-Through Certificates, Series 2006-WFH4, Cl. AS, 5.231%, 11/25/36 1,3 4,777,000 4,638,133
- -------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed
Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 2,010,000 1,987,822
- -------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed
Certificates:
Series 2005-17, Cl. 1AF1, 5.331%, 5/25/36 1 717,302 716,150
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,210,000 1,198,142
- -------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed
Certificates, Series 2006-25, Cl. 2A2, 5.251%, 12/25/29 1 4,054,000 3,968,219
- -------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through
Certificates, Series 2006-C, Cl. A2, 5.33%, 5/8/09 3,604,225 3,603,912
- -------------------------------------------------------------------------------------------------------------------------
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2,
11.96%, 4/15/11 3,4,5 15,000,000 37,500
- -------------------------------------------------------------------------------------------------------------------------
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 3 3,083,887 185,033
- -------------------------------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 3,4,5 2,730,094 27,301
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through
Certificates, Series 2005-FF10, Cl. A3, 5.341%, 11/25/35 1 $ 7,550,000 $ 7,443,037
- -------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through
Certificates, Series 2006-FF10, Cl. A3, 5.221%, 7/25/36 1 3,790,000 3,719,727
- -------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through
Certificates, Series 2006-FF5, Cl. 2A1, 5.181%, 5/15/36 1 1,033,353 1,028,801
- -------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through
Certificates, Series 2006-FF9, Cl. 2A2, 5.241%, 7/7/36 1 1,940,000 1,897,568
- -------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 149,108 149,013
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized
Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1,3 5,776,000 --
- -------------------------------------------------------------------------------------------------------------------------
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 4,330,003
- -------------------------------------------------------------------------------------------------------------------------
Greenpoint Credit Manufactured Housing Contract Trust,
Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 4,577,934 1,072,409
- -------------------------------------------------------------------------------------------------------------------------
Household Home Equity Loan Trust, Home Equity Loan
Pass-Through Certificates:
Series 2005-3, Cl. A1, 5.798%, 1/20/35 1 1,883,164 1,838,376
Series 2006-4, Cl. A2V, 5.606%, 3/20/36 1,3 1,520,000 1,499,255
- -------------------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,020,702 2,019,420
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 1,609,173 1,609,287
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,342,372 1,331,500
- -------------------------------------------------------------------------------------------------------------------------
Madison Avenue CDO Ltd., Commercial Debt Obligations,
Series 2A, Cl. C1, 0.303%, 3/24/14 1,3 3,704,214 148,169
- -------------------------------------------------------------------------------------------------------------------------
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 5.231%, 8/25/36 1 5,580,000 5,474,767
- -------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl.
ECFD, 0.274%, 1/25/29 3 4,475,119 939,775
- -------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 5.231%, 7/1/36 1 6,330,000 6,242,401
- -------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through
Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 239,146 238,293
- -------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,900,000 1,887,386
- -------------------------------------------------------------------------------------------------------------------------
RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 492,866 490,690
- -------------------------------------------------------------------------------------------------------------------------
RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-RS4, Cl. A1, 5.211%, 7/25/36 1 1,160,739 1,156,615
- -------------------------------------------------------------------------------------------------------------------------
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-KS7, Cl. A2, 5.231%, 9/25/36 1 4,720,000 4,639,570
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 5.381%, 6/25/36 1 $ 5,121,810 $ 5,105,133
- -------------------------------------------------------------------------------------------------------------------------
Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A,
Cl. F, 22.36%, 6/7/11 1,3 3,720,000 3,720,000
- -------------------------------------------------------------------------------------------------------------------------
Structured Asset Investment Loan Trust, Mtg. Pass-Through
Certificates, Series 2006-2, Cl. A1, 5.191%, 4/25/36 1 767,109 764,836
- -------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Mtg. Pass-Through Certificates,
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,133,579 1,135,378
- -------------------------------------------------------------------------------------------------------------------------
Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates,
Series 2006-1A, Cl. C, 8.62%, 11/14/13 1,3 2,715,000 2,715,000
- -------------------------------------------------------------------------------------------------------------------------
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 3,770,000 3,725,989
---------------
Total Asset-Backed Securities (Cost $167,845,124) 132,450,833
- -------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--23.7%
- -------------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--19.5%
- -------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--19.0%
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,987,558 2,069,466
- -------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
4.50%, 5/15/19-7/15/19 5,587,469 5,391,194
5%, 8/15/33-12/15/34 6,622,101 6,339,761
6%, 4/15/17-3/15/33 26,485,981 26,774,214
6.50%, 4/15/18-8/15/28 11,055,941 11,359,888
6.50%, 7/15/28 6 1,247,277 1,281,157
6.50%, 8/15/32 7 2,193,420 2,248,099
7%, 8/15/21-3/15/31 3,451,607 3,586,744
7%, 10/15/31 8 2,225,800 2,311,517
7.50%, 2/15/32-4/25/36 8,643,633 9,061,918
8.50%, 8/15/31 499,561 535,431
10%, 5/15/20 181,071 204,187
10.50%, 6/14/20 209,861 239,442
11.50%, 11/14/16 122,735 132,580
12%, 6/14/10-6/15/17 529,076 575,867
- -------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates:
Series 2368, Cl. TG, 6%, 10/15/16 1,427,185 1,466,427
Series 2410, Cl. PF, 6.733%, 2/15/32 1,8 12,661,767 12,940,206
Series 2435, Cl. EQ, 6%, 5/15/31 7,090,439 7,161,226
Series 2453, Cl. BD, 6%, 5/15/17 175,935 180,903
Series 2641, Cl. CE, 3.50%, 9/15/25 3,454,090 3,400,215
Series 2727, Cl. UA, 3.50%, 10/15/22 1,767,794 1,750,268
Series 2736, Cl. DB, 3.30%, 11/15/26 22 15,857,747 15,515,668
Series 2777, Cl. PJ, 4%, 5/15/24 1,887,542 1,873,631
Series 2934, Cl. NA, 5%, 4/15/24 5,304,689 5,306,099
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates: Continued
Series 3057, Cl. LG, 5%, 10/15/35 $ 5,000,000 $ 4,574,711
Series 3094, Cl. HS, 3.291%, 6/15/34 1 1,835,001 1,870,486
Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,010,784
Series 3138, Cl. PA, 5.50%, 2/15/27 23,756,720 23,906,530
- -------------------------------------------------------------------------------------------------------------------------
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 8,217,158 8,599,184
Series 151, Cl. F, 9%, 5/15/21 15,738 15,717
Series 1590, Cl. IA, 6.80%, 10/15/23 1 5,445,965 5,559,863
Series 1674, Cl. Z, 6.75%, 2/15/24 356,181 372,031
Series 2002-66, Cl. FG, 6.131%, 9/25/32 1 8,065,593 8,151,104
Series 2002-84, Cl. FB, 6.131%, 12/25/32 1 471,019 481,342
Series 2003-11, Cl. FA, 6.131%, 9/25/32 1 471,066 481,877
Series 2006-11, Cl. PS, 5.752%, 3/25/36 1 3,145,943 3,271,004
Series 2034, Cl. Z, 6.50%, 2/15/28 47,680 49,123
Series 2043, Cl. ZP, 6.50%, 4/15/28 4,086,603 4,205,845
Series 2053, Cl. Z, 6.50%, 4/15/28 48,387 49,976
Series 2055, Cl. ZM, 6.50%, 5/15/28 1,713,960 1,758,382
Series 2080, Cl. Z, 6.50%, 8/15/28 2,856,409 2,948,582
Series 2173, Cl. Z, 6.50%, 7/15/29 11,216,849 11,637,846
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,200,896 1,242,058
Series 2344, Cl. FP, 6.703%, 8/15/31 1 2,702,768 2,745,643
Series 2387, Cl. PD, 6%, 4/15/30 49,178 49,080
Series 2412, Cl. GF, 6.703%, 2/15/32 1 6,091,726 6,220,206
Series 2427, Cl. ZM, 6.50%, 3/15/32 5,299,558 5,480,953
Series 2451, Cl. FD, 6.753%, 3/15/32 1 2,023,956 2,068,303
Series 2461, Cl. PZ, 6.50%, 6/15/32 278,271 286,655
Series 2464, Cl. FI, 6.753%, 2/15/32 1 2,215,405 2,267,702
Series 2470, Cl. AF, 6.753%, 3/15/32 1 3,406,768 3,485,110
Series 2470, Cl. LF, 6.753%, 2/15/32 1 2,267,752 2,330,585
Series 2471, Cl. FD, 6.753%, 3/15/32 1 4,103,446 4,217,191
Series 2475, Cl. FB, 6.753%, 2/15/32 1 3,203,040 3,292,204
Series 2500, Cl. FD, 6.253%, 3/15/32 1 684,495 689,563
Series 2517, Cl. GF, 6.753%, 2/15/32 1 1,852,921 1,898,133
Series 2526, Cl. FE, 6.153%, 6/15/29 1 933,799 938,240
Series 2551, Cl. FD, 6.153%, 1/15/33 1 717,564 720,220
Series 2676, Cl. KY, 5%, 9/15/23 2,516,000 2,368,869
Series 2676, Cl. TF, 6.353%, 1/15/32 1 3,589,776 3,621,379
Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,585,606
Series 3025, Cl. SJ, 3.658%, 8/15/35 1 3,461,097 3,591,093
Series 3035, Cl. DM, 5.50%, 11/15/25 11,680,931 11,734,474
- -------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. IO, 6.85%, 7/1/26 9 2,873,598 734,569
Series 183, Cl. IO, 2.76%, 4/1/27 9 1,101,322 272,974
Series 192, Cl. IO, 10.45%, 2/1/28 9 513,029 131,579
Series 200, Cl. IO, 9.64%, 1/1/29 9 618,104 161,167
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates: Continued
Series 2003-118, Cl. S, 7.79%, 12/25/33 9 $ 9,085,833 $ 1,204,580
Series 2003-13, Cl. IO, 9.08%, 3/25/33 9 5,004,828 1,262,752
Series 2003-26, Cl. DI, 5.13%, 4/25/33 9 3,749,278 865,235
Series 2003-26, Cl. IK, 0.93%, 4/25/33 9 100,444 23,171
Series 2005-87, Cl. SE, 0.12%, 10/25/35 9 51,849,329 2,290,289
Series 2005-87, Cl. SG, 6.58%, 10/25/35 9 15,322,943 981,620
Series 203, Cl. IO, 1.44%, 6/1/29 9 2,130,252 549,965
Series 204, Cl. IO, (7.80)%, 5/1/29 9 175,093 44,342
Series 205, Cl. IO, 3.27%, 9/1/29 9 2,748,867 730,189
Series 206, Cl. IO, (13.95)%, 12/1/29 9 888,056 246,702
Series 207, Cl. IO, (22.41)%, 4/1/30 9 1,008,102 270,004
Series 2074, Cl. S, (3.77)%, 7/17/28 9 647,950 43,971
Series 2079, Cl. S, (5.83)%, 7/17/28 9 1,040,124 72,863
Series 208, Cl. IO, (10.36)%, 6/1/30 9 1,843,194 492,180
Series 212, Cl. IO, 2.79%, 5/1/31 9 4,119,915 1,006,715
Series 214, Cl. IO, (11.73)%, 6/1/31 9 986,359 257,040
Series 216, Cl. IO, 4.69%, 12/1/31 9 4,074 1,018
Series 224, Cl. IO, 7.29%, 3/1/33 9 5,237,012 1,320,132
Series 243, Cl. 6, 9.30%, 12/15/32 9 3,255,269 824,069
Series 2526, Cl. SE, (2.75)%, 6/15/29 9 1,687,376 93,896
Series 2802, Cl. AS, (3.83)%, 4/15/33 9 5,024,859 295,175
Series 2819, Cl. S, (9.42)%, 6/15/34 9 14,514,634 1,135,487
Series 2920, Cl. S, (10.69)%, 1/15/35 9 8,492,264 441,381
Series 3000, Cl. SE, (12.04)%, 7/15/25 9 11,007,814 459,305
Series 3004, Cl. SB, (0.99)%, 7/15/35 9 16,636,519 684,816
Series 3110, Cl. SL, 8.65%, 2/15/26 9 2,820,802 113,524
- -------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 192, Cl. PO, 6.73%, 2/1/28 10 513,029 394,528
- -------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 4/25/18-8/25/20 22 66,920,825 64,579,849
4.50%, 9/25/18 8 26,474,814 25,567,592
5%, 12/25/17-9/25/35 261,673,728 253,515,959
5%, 10/1/21 11 10,417,000 10,210,285
5%, 3/25/18-9/25/33 8 13,694,971 13,239,975
5.50%, 1/25/22-11/25/34 421,694,148 414,554,410
5.50%, 10/1/21 11 3,620,000 3,611,515
5.50%, 4/25/34 8 16,127,095 15,843,921
6%, 5/25/21-11/25/33 90,024,117 90,697,437
6%, 10/1/21-10/1/36 11 99,224,652 100,016,660
6.50%, 5/25/17-9/25/32 31,179,239 32,042,307
6.50%, 6/25/17 8 7,650,127 7,852,478
7%, 11/25/17-9/25/34 39,416,685 41,053,169
7.50%, 6/25/10-1/25/33 13,838,152 14,518,590
8.50%, 7/25/32 82,116 88,293
9.50%, 4/25/20-4/8/21 102,599 112,047
11%, 11/8/15-2/25/26 405,279 456,323
13%, 6/25/15 84,927 96,412
15%, 5/9/13 286,506 331,410
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn. Grantor Trust:
CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10,
Cl. IO, 18.95%, 12/25/41 9 $ 146,223,145 $ 1,870,033
CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T3,
Cl. IO, 25.39%, 11/25/40 9 17,244,241 333,861
CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T4,
Cl. IO, 20.22%, 7/25/41 9 28,052,208 598,920
- -------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 384,963 399,868
Trust 1997-45, Cl. CD, 8%, 7/18/27 2,028,655 2,157,786
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 2,551,669 2,647,979
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 113,393 117,797
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,013,315 4,164,599
Trust 2001-44, Cl. QC, 6%, 9/25/16 389,102 399,667
Trust 2001-50, Cl. NE, 6%, 8/25/30 100,591 100,074
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 376,328 385,304
Trust 2001-65, Cl. F, 5.731%, 11/25/31 1 4,614,516 4,633,133
Trust 2001-69, Cl. PF, 6.131%, 12/25/31 1 4,920,000 4,990,069
Trust 2001-70, Cl. LR, 6%, 9/25/30 410,614 411,760
Trust 2001-80, Cl. ZB, 6%, 1/25/32 5,376,818 5,467,830
Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,096,669 2,152,806
Trust 2002-12, Cl. PG, 6%, 3/25/17 3,649,948 3,749,880
Trust 2002-19, Cl. PE, 6%, 4/25/17 2,070,930 2,127,151
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 4,994,394 5,167,109
Trust 2002-29, Cl. F, 6.131%, 4/25/32 1 2,417,089 2,478,820
Trust 2002-60, Cl. FH, 6.131%, 8/25/32 1 4,715,585 4,833,472
Trust 2002-64, Cl. FJ, 6.131%, 4/25/32 1 742,353 755,672
Trust 2002-68, Cl. FH, 6.114%, 10/18/32 1 1,555,529 1,568,110
Trust 2002-81, Cl. FM, 5.631%, 12/25/32 1 2,835,757 2,858,324
Trust 2002-9, Cl. PC, 6%, 3/25/17 4,171,242 4,285,403
Trust 2003-116, Cl. FA, 5.531%, 11/25/33 1 896,456 899,078
Trust 2003-130, Cl. CS, 3.838%, 12/25/33 1 3,633,541 3,355,180
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 5,484,000 5,333,197
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,312,000 11,956,340
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,344,147
Trust 2003-3, Cl. FM, 5.631%, 4/25/33 1 3,362,683 3,392,879
Trust 2003-81, Cl. NB, 4.50%, 11/25/14 10,264,000 10,155,562
Trust 2003-81, Cl. PW, 4%, 3/25/25 4,099,894 4,059,193
Trust 2003-84, Cl. AJ, 3%, 4/25/13 6,336,971 6,271,735
Trust 2003-84, Cl. GC, 4.50%, 5/25/15 12,320,000 12,189,964
Trust 2003-84, Cl. PW, 3%, 6/25/22 2,102,011 2,083,989
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,413,000 4,322,046
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 7,512,214 7,470,042
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 3,800,000 3,701,933
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,777,242
Trust 2005-59, Cl. NQ, 4.047%, 5/25/35 1 3,337,958 3,116,960
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,211,377
Trust 2006-24, Cl. DB, 5.50%, 4/25/26 540,000 533,754
26 | 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 2006-29, Cl. PA, 5.50%, 8/25/26 $ 20,955,346 $ 21,020,136
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 10,305,799 10,353,222
Trust 2006-46, Cl. SW, 5.385%, 6/25/36 1 4,589,301 4,719,001
Trust 2006-50, Cl. KS, 5.385%, 6/25/36 1 3,878,952 3,786,268
Trust 2006-50, Cl. SA, 5.385%, 6/25/36 1 4,431,071 4,341,985
Trust 2006-50, Cl. SK, 5.385%, 6/25/36 1 1,039,459 1,043,483
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 12,229,114 12,281,276
Trust 2006-64, Cl. MD, 5.50%, 7/25/36 311,000 301,185
- -------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-61, Cl. SH, 6.02%, 11/18/31 9 5,237,819 567,772
Trust 2001-63, Cl. SD, (5.39)%, 12/18/31 9 133,990 13,509
Trust 2001-68, Cl. SC, (5.48)%, 11/25/31 9 92,117 9,281
Trust 2001-81, Cl. S, 0.02%, 1/25/32 9 1,225,812 130,643
Trust 2002-28, Cl. SA, (0.46)%, 4/25/32 9 870,560 78,834
Trust 2002-38, Cl. IO, (6.63)%, 4/25/32 9 745,269 47,959
Trust 2002-39, Cl. SD, (3.75)%, 3/18/32 9 1,189,301 114,952
Trust 2002-48, Cl. S, 0.03%, 7/25/32 9 1,398,725 129,847
Trust 2002-52, Cl. SL, (0.07)%, 9/25/32 9 829,925 82,272
Trust 2002-53, Cl. SK, (3.32)%, 4/25/32 9 741,356 75,033
Trust 2002-56, Cl. SN, 0.96%, 7/25/32 9 1,918,286 182,497
Trust 2002-65, Cl. SC, (5.40)%, 6/25/26 9 2,326,425 179,433
Trust 2002-77, Cl. IS, (1.07)%, 12/18/32 9 1,269,718 126,014
Trust 2002-77, Cl. SH, 0.89%, 12/18/32 9 1,483,003 148,795
Trust 2002-89, Cl. S, 10.32%, 1/25/33 9 6,150,730 596,336
Trust 2002-9, Cl. MS, 0.09%, 3/25/32 9 1,633,504 158,356
Trust 2003-33, Cl. SP, 9.20%, 5/25/33 9 5,438,597 692,920
Trust 2003-4, Cl. S, 6.99%, 2/25/33 9 2,775,402 327,328
Trust 2003-46, Cl. IH, 1.74%, 6/25/33 9 1,136,284 227,868
Trust 2005-105, Cl. S, 6.28%, 12/25/35 9 12,101,113 744,039
Trust 2005-40, Cl. SA, (5.81)%, 5/25/35 9 12,867,418 682,427
Trust 2005-40, Cl. SB, (3.15)%, 5/25/35 9 6,073,012 341,209
Trust 2005-71, Cl. SA, (2.60)%, 8/25/25 9 6,950,778 454,643
Trust 2005-83, Cl. SL, 4.83%, 10/25/35 9 12,321,442 812,736
Trust 2006-119, Cl. MS, 13.04%, 12/25/36 9 12,349,810 766,769
Trust 2006-33, Cl. SP, 10.14%, 5/25/36 9 8,870,775 739,382
Trust 2006-34, Cl. SK, 9.05%, 5/25/36 9 14,785,402 1,392,877
Trust 2006-75, Cl. SA, 12.40%, 8/25/36 9 5,513,056 371,373
Trust 2006-90, Cl. SX, 17.53%, 9/25/36 9 12,431,115 821,887
Trust 221, Cl. 2, 12.49%, 5/1/23 9 1,045,403 244,402
Trust 240, Cl. 2, 21.35%, 9/1/23 9 1,761,032 473,074
Trust 247, Cl. 2, 0.04%, 10/1/23 9 442,255 115,131
Trust 2682, Cl. TQ, 4.63%, 10/15/33 9 5,490,974 332,534
Trust 2981, Cl. BS, 3.01%, 5/15/35 9 10,181,688 503,801
Trust 301, Cl. 2, 5.75%, 4/1/29 9 1,720,787 438,731
Trust 303, Cl. IO, 12%, 11/1/29 9 955,733 257,707
Trust 313, Cl. 2, (5.39)%, 6/1/31 9 6,617,763 1,745,503
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued
Trust 319, Cl. 2, 5.24%, 2/1/32 9 $ 86,250 $ 21,551
Trust 321, Cl. 2, 9.85%, 4/1/32 9 8,067,813 2,039,433
Trust 322, Cl. 2, 4.89%, 4/1/32 9 361,047 91,748
Trust 324, Cl. 2, 6.09%, 7/1/32 9 6,019,149 1,489,292
Trust 329, Cl. 2, (1.40)%, 1/1/33 9 287,762 73,630
Trust 331, Cl. 5, 9.43%, 2/1/33 9 6,968,308 1,619,474
Trust 334, Cl. 12, 5.30%, 2/1/33 9 8,698,730 2,170,849
Trust 334, Cl. 5, 11.34%, 5/1/33 9 4,024,229 1,056,161
Trust 339, Cl. 7, 8.88%, 7/1/33 9 20,172,120 4,661,242
Trust 342, Cl. 2, 7.37%, 9/1/33 9 22,742,797 5,816,162
Trust 344, Cl. 2, 9.06%, 12/1/33 9 10,592,420 2,711,955
Trust 345, Cl. 9, 8.72%, 1/1/34 9 6,850,571 1,596,541
Trust 362, Cl. 12, 2.98%, 8/1/35 9 183,438 42,000
Trust 362, Cl. 13, 3.01%, 8/1/35 9 101,864 23,421
- -------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 324, Cl. 1, 5.82%, 7/1/32 10 1,503,027 1,128,540
---------------
1,629,624,106
- -------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.5%
Government National Mortgage Assn.:
5.75%, 8/8/27 1 9,229 9,320
7%, 1/29/28-2/8/30 2,363,268 2,475,920
8%, 1/29/28-9/29/28 824,552 876,952
11%, 11/8/19 22,831 25,622
12%, 12/9/13-10/9/15 33,895 38,603
12.50%, 12/29/13-11/29/15 1,340,030 1,512,417
13%, 10/30/15 2,008,929 2,283,350
13.50%, 6/30/15 2,616,079 2,990,129
- -------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO, Series 2001-62,
Cl. KZ, 6.50%, 12/16/31 10,850,072 11,254,834
- -------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates:
Series 1999-32, Cl. ZB, 8%, 9/16/29 9,650,236 10,250,451
Series 2000-12, Cl. ZA, 8%, 2/16/30 4,226,294 4,503,562
Series 2000-7, Cl. Z, 8%, 1/16/30 4,963,758 5,271,412
- -------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 1998-19, Cl. SB, (0.26)%, 7/16/28 9 2,113,448 157,533
Series 1998-6, Cl. SA, (0.69)%, 3/16/28 9 1,297,319 107,215
Series 2006-47, Cl. SA, 14.94%, 8/16/36 9 4,415,994 269,948
---------------
42,027,268
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
NON-AGENCY--4.2%
- -------------------------------------------------------------------------------------------------------------------------
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 3,4,5 $ 624,465 $ --
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL--3.1%
Banc of America Commercial Mortgage, Inc., Commercial
Mtg. Pass-Through Certificates:
Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,310,000 5,238,526
Series 2006-5, Cl. A2, 5.348%, 10/10/11 315,000 315,878
- -------------------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., CMO Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,065,155 3,110,624
- -------------------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., CMO Pass-Through
Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,860,138 2,886,684
- -------------------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only
Corporate-Backed Pass-Through Certificates,
Series 1997-CTL1, (5.01)%, 6/22/24 9 4,310,789 125,125
- -------------------------------------------------------------------------------------------------------------------------
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1B, 5.231%, 8/25/08 1 1,745,423 1,743,677
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed
Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,371,000 1,368,294
- -------------------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank Commercial Mortgage Trust,
Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3 9,503,000 9,470,525
- -------------------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, Mtg. Pass-Through Certificates,
Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 19,435,407 19,373,408
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg.
Pass-Through Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 3,155,533 3,156,591
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 8,930,616 8,902,508
Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 933,847 935,186
- -------------------------------------------------------------------------------------------------------------------------
DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-CF2, Cl. A1B, 6.24%, 11/12/31 258,625 260,539
- -------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 5.829%, 10/15/30 1,3 36,400,000 10,920,000
- -------------------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust, Mtg. Pass-Through
Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 4,572,727 4,565,705
- -------------------------------------------------------------------------------------------------------------------------
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 2,839,717 2,844,928
- -------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations,
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 3,080,000 3,066,543
- -------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1998-C1, Cl. F, 7.213%, 5/15/30 1 2,000,000 2,012,823
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 $ 3,430,000 $ 3,381,592
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,470,000 3,478,547
Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 3 7,170,000 7,192,013
- -------------------------------------------------------------------------------------------------------------------------
Ice Em CLO, Collateralized Loan Obligation:
Series 2007-1A, Cl. C, 8.40%, 8/15/22 1,3 16,980,000 15,876,300
Series 2007-1A, Cl. D, 10.40%, 8/15/22 1,3 16,980,000 15,621,600
- -------------------------------------------------------------------------------------------------------------------------
JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 9,404,729 9,834,916
- -------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,280,000 1,264,932
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,520,000 4,488,474
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 8,250,000 8,235,014
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 4,580,000 4,664,603
- -------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,500,680
- -------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates:
Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,690,000 3,681,464
Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,970,000 7,984,896
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,543,163 10,086,939
- -------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., CMO, Series 2002-GE1,
Cl. A, 2.514%, 7/26/24 3 466,119 358,912
- -------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 417,746 416,449
Series 2004-6, Cl. 10A1, 6%, 7/25/34 4,133,602 4,143,031
- -------------------------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through
Certificates, Series 2006-3, Cl. 2A1, 5.955%, 10/25/36 1 19,524,745 19,267,016
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through
Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,883,000 13,848,927
- -------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 8,761,997 8,795,187
- -------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,013,335
- -------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg.
Pass-Through Certificates, Series PRU-HTG 2000-C1,
Cl. A2, 7.306%, 10/6/15 3 571,000 612,108
- -------------------------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 6,284,068 6,301,059
- -------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,254,222 6,260,210
- -------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial
Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,768,835
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Wachovia Bank Commercial Mortgage Trust 2006-C29,
Commercial Mtg. Pass-Through Certificates, Series 2006-C29,
Cl. A2, 5.272%, 11/15/48 $ 2,083,000 $ 2,084,381
- -------------------------------------------------------------------------------------------------------------------------
WAMU, Mtg. Pass-Through Certificates,
Series 2003-AR9, Cl. 2A, 4.048%, 9/25/33 1 6,638,504 6,570,997
---------------
269,029,981
- -------------------------------------------------------------------------------------------------------------------------
MULTIFAMILY--0.5%
Banc of America Mortgage Securities, Inc., CMO Pass-Through
Certificates, Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 1 11,291,095 11,398,729
- -------------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates,
Series 2007-HY1, Cl. 1A1, 5.702%, 4/25/37 1 12,919,380 12,920,537
- -------------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, CMO, Series 2003-46, Cl. 1A2,
4.129%, 1/19/34 1 17,509,999 17,574,938
- -------------------------------------------------------------------------------------------------------------------------
WAMU, Mtg. Pass-Through Certificates, Series 2005-AR8, Cl. 2AB1,
5.57%, 7/25/45 1 350,012 348,891
---------------
42,243,095
- -------------------------------------------------------------------------------------------------------------------------
OTHER--0.1%
JP Morgan Mortgage Trust, CMO Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.75%, 2/25/32 1 5,942,416 6,011,060
- -------------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--0.5%
Countrywide Alternative Loan Trust, CMO:
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 7,693,941 7,786,363
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,453,705 1,480,595
- -------------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust:
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13,
Cl. 1A5, 6%, 9/25/36 14,706,343 14,880,647
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13,
Cl. 1A8, 6%, 9/25/36 4,998,359 5,002,448
- -------------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 3,897,570 3,898,549
- -------------------------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 5,738,897 5,806,883
- -------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., CMO:
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 226,939 226,990
Series 2000-UP1, Cl. A2, 8%, 9/25/30 449,360 451,781
- -------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg.
Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,420,607
- -------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1995-3, Cl. 1IO, 0.78%, 9/15/25 9 34,646,564 276,968
Series 1992-2, Cl. IO, 8.99%, 9/15/22 9 15,153,781 336,481
Series 1995-2B, Cl. 2IO, 12.04%, 6/15/25 9 1,059,536 23,369
---------------
42,591,681
---------------
Total Mortgage-Backed Obligations (Cost $2,043,457,959) 2,031,527,191
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--4.2%
- -------------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 5.825%, 10/5/07 8,13 $ 25,550,000 $ 25,538,145
- -------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
5.208%, 2/4/08 13,15 37,540,000 36,965,188
3.375%, 4/15/09 14 26,370,000 25,953,090
4.625%, 10/25/12 14 63,280,000 63,279,367
5.25%, 5/21/09 14 25,770,000 26,097,150
- -------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
5%, 10/15/11 14 16,000,000 16,263,904
5.125%, 7/13/09 34,925,000 35,343,821
5.125%, 4/15/11 14 11,125,000 11,366,668
6%, 5/15/11 14 51,700,000 54,314,314
- -------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Bonds, Residual Funding STRIPS,
6.135%, 1/15/21 13,14 53,130,000 27,195,069
- -------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, STRIPS, 4.955%, 2/15/16 8,13,14 23,896,000 16,318,053
- -------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 4.50%, 3/31/09 14 24,300,000 24,486,065
---------------
Total U.S. Government Obligations (Cost $356,707,484) 363,120,834
- -------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--21.9%
- -------------------------------------------------------------------------------------------------------------------------
ARGENTINA--0.8%
Argentina (Republic of) Bonds:
2%, 9/30/14 [ARP] 13,632,900 4,388,575
5.374%, 8/3/12 1 24,436,251 21,923,642
7%, 10/3/15 5,800,000 4,769,050
Series GDP, 7.24%, 12/15/35 13 23,710,000 3,094,155
Series V, 7%, 3/28/11 14,317,000 13,446,847
Series VII, 7%, 9/12/13 9,540,000 8,308,943
- -------------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina Bonds, 2%, 2/4/18 [ARP] 17,502,479 7,304,972
- -------------------------------------------------------------------------------------------------------------------------
Neuquen (Province Del) Sr. Sec. Nts., 8.656%, 10/18/14 2 6,770,000 6,871,550
---------------
70,107,734
- -------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.2%
New South Wales Treasury Corp. Sr. Unsec. Nts.:
6%, 10/1/09 [AUD] 81,550,000 71,396,755
Series 17RG, 5.50%, 3/1/17 [AUD] 31,795,000 26,112,838
- -------------------------------------------------------------------------------------------------------------------------
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 1,010,000 885,997
---------------
98,395,590
- -------------------------------------------------------------------------------------------------------------------------
AUSTRIA--0.2%
Austria (Republic of) Unsec. Unsub. Nts., Series E, 4%, 9/15/16 [EUR] 10,641,000 14,740,036
- -------------------------------------------------------------------------------------------------------------------------
BELGIUM--0.6%
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 10,325,000 15,360,810
- -------------------------------------------------------------------------------------------------------------------------
Belgium (Kingdom of) Treasury Bills, 4.06%, 11/15/07 13 [EUR] 25,630,000 36,377,174
---------------
51,737,984
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
BRAZIL--1.6%
Brazil (Federal Republic of) Bonds:
6%, 1/17/17 $ 23,215,000 $ 23,586,440
8%, 1/15/18 26,620,000 29,774,470
8.75%, 2/4/25 17,815,000 22,847,738
8.875%, 10/14/19 26,001,000 32,436,248
10.50%, 7/14/14 17,798,000 22,558,965
- -------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 8,999,400
---------------
140,203,261
- -------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.2%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,080,000 8,265,900
8.25%, 1/15/15 2 6,790,000 7,927,325
---------------
16,193,225
- -------------------------------------------------------------------------------------------------------------------------
CANADA--0.9%
Canada (Government of) Treasury Bills:
4.271%, 11/1/07 13 [CAD] 25,625,000 25,673,821
4.436%, 12/27/07 13 [CAD] 49,170,000 48,962,128
---------------
74,635,949
- -------------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.5%
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28 2 [COP] 9,427,000,000 4,494,227
- -------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Bonds:
7.375%, 9/18/37 13,982,000 15,415,155
10.75%, 1/15/13 8,000,000 9,800,000
12%, 10/22/15 [COP] 14,703,000,000 8,181,317
- -------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 5,175,000,000 2,677,362
- -------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 4,010,000 4,691,700
---------------
45,259,761
- -------------------------------------------------------------------------------------------------------------------------
COSTA RICA--0.1%
Costa Rica (Republic of) Unsec. Bonds, 9.995%, 8/1/20 5,424,000 7,057,980
- -------------------------------------------------------------------------------------------------------------------------
DENMARK--0.2%
Denmark (Kingdom of) Bonds:
4%, 11/15/10 [DKK] 21,815,000 4,139,546
4%, 11/15/15 [DKK] 15,890,000 2,962,229
7%, 11/10/24 [DKK] 5,785,000 1,413,961
- -------------------------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 22,830,000 4,350,797
---------------
12,866,533
- -------------------------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.1%
Dominican Republic Unsec. Unsub. Bonds, Series REGS, 9.04%, 1/23/18 2,626,423 2,970,485
- -------------------------------------------------------------------------------------------------------------------------
Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,536,983 1,635,350
---------------
4,605,835
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
EGYPT--0.1%
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%,
7/15/12 2 [EGP] 31,310,000 $ 5,743,669
- -------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.2%
El Salvador (Republic of) Bonds:
7.625%, 9/21/34 2 4,802,000 5,450,270
7.65%, 6/15/35 2 10,425,000 11,728,125
---------------
17,178,395
- -------------------------------------------------------------------------------------------------------------------------
FRANCE--1.2%
France (Government of) Obligations Assimilables du Tresor Bonds:
3.25%, 4/25/16 [EUR] 31,645,000 41,542,269
4%, 10/25/38 [EUR] 33,860,000 43,109,711
- -------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Bills, 4.026%, 10/18/07 13 [EUR] 13,905,000 19,793,047
---------------
104,445,027
- -------------------------------------------------------------------------------------------------------------------------
GERMANY--2.2%
Germany (Federal Republic of) Bonds:
Series 03, 3.75%, 7/4/13 [EUR] 22,910,000 31,916,996
Series 05, 4%, 1/4/37 [EUR] 40,855,000 52,840,197
- -------------------------------------------------------------------------------------------------------------------------
Germany (Federal Republic of) Treasury Bills, Series 0707,
4.153%, 1/16/08 13 [EUR] 72,430,000 102,108,856
---------------
186,866,049
- -------------------------------------------------------------------------------------------------------------------------
GHANA--0.1%
Ghana (Republic of) Bonds, 8.50%, 10/4/17 3,11 9,290,000 9,475,800
- -------------------------------------------------------------------------------------------------------------------------
GREECE--0.4%
Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 23,910,000 34,444,120
- -------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 1,235,000 1,426,425
10.25%, 11/8/11 2 3,052,000 3,525,060
---------------
4,951,485
- -------------------------------------------------------------------------------------------------------------------------
INDONESIA--0.4%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 2 16,860,000 17,407,950
7.25%, 4/20/15 2 11,655,000 12,383,438
- -------------------------------------------------------------------------------------------------------------------------
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 6,210,000 7,343,325
---------------
37,134,713
- -------------------------------------------------------------------------------------------------------------------------
ISRAEL--0.2%
Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 68,180,000 18,799,393
- -------------------------------------------------------------------------------------------------------------------------
ITALY--1.2%
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4.40%, 7/1/09 1 [EUR] 73,630,000 105,426,896
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
JAPAN--2.0%
Japan (Government of) Bonds:
2 yr., Series 252, 0.80%, 1/15/09 [JPY] 7,639,000,000 $ 66,516,793
10 yr., Series 245, 0.90%, 12/20/12 [JPY] 3,565,000,000 30,534,575
10 yr., Series 268, 1.50%, 3/20/15 [JPY] 3,785,000,000 33,174,150
30 yr., Series 25, 2.30%, 12/20/36 [JPY] 5,138,000,000 43,551,220
---------------
173,776,738
- -------------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.3%
Johor Corp. Malaysia (Government of) Bonds,
Series P3, 1%, 7/31/12 3 [MYR] 59,778,000 20,349,957
- -------------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 27,925,000 8,707,355
---------------
29,057,312
- -------------------------------------------------------------------------------------------------------------------------
MEXICO--0.0%
Mexican Williams Sr. Nts., 6.63%, 11/15/08 1,3 1,500,000 1,513,500
- -------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.2%
Nigeria (Federal Republic of) Bonds, Series 5Y, 13.50%, 9/11/11 [NGN] 36,380,000 296,387
- -------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Nts., Series 3Y2S, 12.50%, 2/24/09 [NGN] 212,600,000 1,794,195
- -------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 1,731,168 1,557,682
- -------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Treasury Bonds:
Series 5Y13, 12.99%, 9/29/11 [NGN] 524,300,000 4,742,570
Series 7Y16, 11.99%, 12/22/13 [NGN] 857,700,000 7,672,716
Series 7YR, 12.74%, 10/27/13 [NGN] 341,700,000 3,138,618
---------------
19,202,168
- -------------------------------------------------------------------------------------------------------------------------
PANAMA--0.5%
Panama (Republic of) Bonds:
6.70%, 1/26/36 3,320,000 3,427,900
7.25%, 3/15/15 26,685,000 28,686,375
8.875%, 9/30/27 4,925,000 6,268,688
9.375%, 4/1/29 5,500,000 7,397,500
---------------
45,780,463
- -------------------------------------------------------------------------------------------------------------------------
PERU--0.9%
Peru (Republic of) Bonds:
7.84%, 8/12/20 [PEN] 61,210,000 22,348,645
9.91%, 5/5/15 [PEN] 66,044,000 26,155,736
Series 7, 8.60%, 8/12/17 [PEN] 28,782,000 10,891,437
Series 8-1, 12.25%, 8/10/11 [PEN] 11,069,000 4,340,218
- -------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.54%, 2/28/16 13 23,120,366 14,049,553
---------------
77,785,589
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--0.5%
Philippines (Republic of the) Bonds:
8%, 1/15/16 $ 25,470,000 $ 28,590,075
8.375%, 2/15/11 5,050,000 5,488,542
- -------------------------------------------------------------------------------------------------------------------------
Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 7,539,000 8,387,138
---------------
42,465,755
- -------------------------------------------------------------------------------------------------------------------------
POLAND--0.2%
Poland (Republic of) Bonds:
Series DS1013, 5%, 10/24/13 [PLZ] 38,810,000 14,228,742
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,880,000 3,357,112
---------------
17,585,854
- -------------------------------------------------------------------------------------------------------------------------
SPAIN--0.7%
Spain (Government of) Bonds, 3.80%, 1/31/17 [EUR] 14,050,000 19,104,266
- -------------------------------------------------------------------------------------------------------------------------
Spain (Government of) Treasury Bills, 3.854%, 10/19/07 13 [EUR] 27,505,000 39,150,767
---------------
58,255,033
- -------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS--0.3%
Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 [EUR] 14,925,000 21,890,880
- -------------------------------------------------------------------------------------------------------------------------
TURKEY--1.6%
Turkey (Republic of) Bonds:
6.75%, 4/3/18 11 24,875,000 24,875,000
7%, 9/26/16 26,490,000 27,119,138
- -------------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts.:
7.25%, 3/15/15 18,115,000 18,975,463
16%, 3/7/12 [TRY] 62,510,000 52,219,311
18.163%, 8/13/08 13 [TRY] 18,130,000 13,048,914
---------------
136,237,826
- -------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--1.3%
United Kingdom Treasury Bonds:
5%, 3/7/08 [GBP] 16,725,000 34,179,897
6%, 12/7/28 [GBP] 19,210,000 45,640,454
- -------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 17,250,000 34,801,053
---------------
114,621,404
- -------------------------------------------------------------------------------------------------------------------------
URUGUAY--0.9%
Uruguay (Oriental Republic of) Bonds:
4.25%, 4/5/27 [UYU] 167,100,000 7,900,163
7.625%, 3/21/36 27,165,000 29,134,463
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
URUGUAY Continued
Uruguay (Oriental Republic of) Unsec. Bonds:
5%, 9/14/18 [UYU] 232,960,000 $ 12,453,435
8%, 11/18/22 24,380,000 27,183,700
---------------
76,671,761
---------------
Total Foreign Government Obligations (Cost $1,763,880,076) 1,875,113,718
- -------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.3%
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International, Export-Import Bank of Ukraine
Loan Participation Nts., 8.40%, 2/9/16 13,130,000 12,736,100
- -------------------------------------------------------------------------------------------------------------------------
Dali Capital plc/Bank of Moscow Loan Participation Nts.,
Series 28, Tranche 1, 7.25%, 11/25/09 [RUR] 136,600,000 5,468,055
- -------------------------------------------------------------------------------------------------------------------------
Dali Capital SA (ROSBANK) Loan Participation Nts.,
Series 23, Tranche 1, 8%, 9/30/09 [RUR] 134,000,000 5,377,077
---------------
Total Loan Participations (Cost $22,936,293) 23,581,232
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--22.7%
- -------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--4.7%
- -------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.2%
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 6,906,000 7,044,120
9% Sr. Unsec. Nts., 7/1/15 4,109,000 4,406,903
- -------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 4,027,000 4,218,283
- -------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Unsec. Sub. Nts., 11/15/14 2,810,000 2,845,125
10.25% Sr. Sec. Nts., Series B, 7/15/13 1,775,000 1,912,563
---------------
20,426,994
- -------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.1%
General Motors Acceptance Corp., 8% Bonds, 11/1/31 4,985,000 4,903,555
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTORS--0.0%
SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 3 2,985,000 3,089,475
- -------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.0%
Education Management LLC/Education Management Corp.,
10.25% Sr. Unsec. Sub. Nts., 6/1/16 3,595,000 3,738,800
- -------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--1.3%
American Casino & Entertainment Properties LLC,
7.85% Sr. Sec. Nts., 2/1/12 2,100,000 2,168,250
- -------------------------------------------------------------------------------------------------------------------------
Buffets, Inc., 12.50% Sr. Unsec. Nts., 11/1/14 760,000 535,800
- -------------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 5,135,000 5,032,300
- -------------------------------------------------------------------------------------------------------------------------
French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2 4,950,000 3,960,000
- -------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co.:
6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 675,500
8% Sr. Nts., 11/15/13 2,100,000 2,139,375
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 $ 5,255,000 $ 5,228,725
- -------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 2,322,000 2,089,800
- -------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group, 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,546,925
- -------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
6.625% Sr. Unsec. Nts., 7/15/15 100,000 95,375
6.75% Sr. Unsec. Nts., 4/1/13 3,355,000 3,296,288
8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,410,000 6,714,475
- -------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,745,000 1,670,838
6.375% Sr. Sub. Nts., 7/15/09 3,427,000 3,427,000
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,540,000 2,511,425
7.125% Sr. Unsec. Sub. Nts., 8/15/14 1,000,000 1,007,500
8% Sr. Sub. Nts., 4/1/12 3,150,000 3,228,750
- -------------------------------------------------------------------------------------------------------------------------
NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,150,000 1,164,375
- -------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,939,000 9,162,475
- -------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,745,000 1,788,625
6.875% Sr. Sub. Nts., 12/1/11 100,000 101,750
- -------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 7,375,000 7,504,063
- -------------------------------------------------------------------------------------------------------------------------
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 2 2,375,000 2,618,438
- -------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3,4,5 10,850,000 --
- -------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,625,000 9,403,125
6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,660,000 1,452,500
- -------------------------------------------------------------------------------------------------------------------------
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 4,600,000 4,841,500
- -------------------------------------------------------------------------------------------------------------------------
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 9,100,000 7,621,250
- -------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,958,000 4,146,005
- -------------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,800,000 1,764,000
- -------------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,053,000 10,887,205
---------------
109,783,637
- -------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.3%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,629,000 5,236,910
- -------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,813,000 2,796,865
- -------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,978,000 2,248,390
- -------------------------------------------------------------------------------------------------------------------------
KB Home, 8.625% Sr. Sub. Nts., 12/15/08 2,724,000 2,727,405
- -------------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 931,000 942,638
- -------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,125,000 1,434,375
- -------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 1,876,875
- -------------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,745,000 3,098,988
- -------------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,821,000 2,846,645
---------------
23,209,091
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 $ 3,725,000 $ 3,557,375
- -------------------------------------------------------------------------------------------------------------------------
Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 3 2,100,000 2,005,500
---------------
5,562,875
- -------------------------------------------------------------------------------------------------------------------------
MEDIA--2.1%
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,496,000 4,563,440
- -------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 1,850,000 1,771,375
- -------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 1,050,000 924,000
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 5,200,000 4,641,000
- -------------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings I LLC, 11% Sr. Sec. Nts., 10/1/15 3,265,000 3,322,138
- -------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 16 7,529,000 7,152,550
- -------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr.
Unsec. Nts., 11/15/09 4,340,000 4,459,350
- -------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,609,000 2,693,793
9.875% Sr. Sub. Nts., 8/15/13 4,627,000 4,945,106
- -------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc.:
0%/9% Unsec. Disc. Nts., 11/15/13 16 3,800,000 3,591,000
8% Unsec. Nts., 11/15/13 9,850,000 9,973,125
- -------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec.
Sub. Nts., 3/1/14 1,925,000 1,905,750
- -------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., 8% Sr. Unsec. Nts., 11/15/16 7,015,000 7,032,538
- -------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,277,000 4,148,690
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,818,000
- -------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,433,000 3,355,758
- -------------------------------------------------------------------------------------------------------------------------
Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 1 6 7,700,000 6,545,000
- -------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc.:
6.375% Sr. Sub. Nts., 4/1/14 2,400,000 1,788,000
6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 3,652,875
- -------------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC, 10% Sr. Unsec. Nts., 8/1/14 7,605,000 8,080,313
- -------------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC/Nielsen Finance Co., 0%/12.50% Sr. Unsec.
Sub. Disc. Nts., 8/1/16 1 6 5,645,000 3,979,725
- -------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.61% Sr. Sec. Nts., 1/15/13 1,2 4,435,000 4,534,788
- -------------------------------------------------------------------------------------------------------------------------
Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,675,000 1,528,438
- -------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp.:
6.875% Sr. Disc. Nts., Series A-1, 1/15/13 11,085,000 10,530,750
6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,645,000 10,112,750
6.875% Sr. Nts., 1/15/13 7,100,000 6,745,000
8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 9,445,000 9,669,319
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
R.H. Donnelley, Inc., 10.875% Sr. Unsec. Unsub. Nts., 12/15/12 $ 4,440,000 $ 4,739,700
- -------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 3,292,000 3,267,310
- -------------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,785,000 1,860,863
- -------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,117,000 14,295,405
- -------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 5,199,000 5,341,973
- -------------------------------------------------------------------------------------------------------------------------
Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 1,430,000 1,426,425
- -------------------------------------------------------------------------------------------------------------------------
Vertis, Inc.:
9.75% Sr. Sec. Nts., 4/1/09 3,916,000 3,994,320
10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,200,000 3,096,000
- -------------------------------------------------------------------------------------------------------------------------
Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,012,500
- -------------------------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 1 6 9,658,000 6,808,890
- -------------------------------------------------------------------------------------------------------------------------
XM Satellite Radio Holdings, Inc., 9.75% Sr. Unsec. Nts., 5/1/14 2,290,000 2,307,175
---------------
182,615,132
- -------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.2%
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 8,085,000 7,599,900
- -------------------------------------------------------------------------------------------------------------------------
Neiman Marcus Group, Inc. (The):
9% Sr. Unsec. Nts., 10/15/15 7,150,000 7,650,500
10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,200,000 2,409,000
---------------
17,659,400
- -------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.2%
Claire's Stores, Inc., 10.50% Sr. Sub. Nts., 6/1/17 2 7,310,000 5,665,250
- -------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 3,4,5 4,300,000 537,500
- -------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,700,000 1,623,500
- -------------------------------------------------------------------------------------------------------------------------
Sally Holdings LLC:
9.25% Sr. Unsec. Nts., 11/15/14 5,723,000 5,808,845
10.50% Sr. Unsec. Sub. Nts., 11/15/16 3,525,000 3,542,625
---------------
17,177,720
- -------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.2%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 2,560,000 2,700,800
- -------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 4,770,000 5,032,350
- -------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 3 1,750,000 1,776,250
- -------------------------------------------------------------------------------------------------------------------------
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,970,000 2,858,625
---------------
12,368,025
- -------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.0%
- -------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
AmBev International Finance Co. Ltd., 9.50% Bonds, 7/24/17 2 [BRR] 15,650,000 7,918,917
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
BEVERAGES Continued
Constellation Brands, Inc.:
7.25% Sr. Nts., 9/1/16 $ 1,260,000 $ 1,266,300
8.125% Sr. Sub. Nts., 1/15/12 2,125,000 2,172,813
---------------
11,358,030
- -------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.4%
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 8,304,000 8,471,251
- -------------------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 14,256,000 17,055,950
- -------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 3,4,5,17 8,836,185 --
- -------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp., 8.125% Sr. Sec. Nts., 5/1/10 3,951,000 3,980,633
---------------
29,507,834
- -------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.3%
Del Monte Corp.:
6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,385,000 1,336,525
8.625% Sr. Sub. Nts., 12/15/12 4,055,000 4,136,100
- -------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,991,000 2,005,933
8.875% Sr. Unsec. Nts., 3/15/11 641,000 628,180
- -------------------------------------------------------------------------------------------------------------------------
MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11 2 5,365,000 5,311,350
- -------------------------------------------------------------------------------------------------------------------------
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.,
10.625% Sr. Sub. Nts., 4/1/17 2 9,073,000 8,551,303
- -------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,436,000 3,453,180
8% Sr. Nts., Series B, 10/15/09 1,300,000 1,348,750
---------------
26,771,321
- -------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.0%
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,100,000 2,031,750
- -------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.1%
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 4,075,000 4,034,250
- -------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 3 3,392,000 3,570,080
9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,728,000 3,853,820
---------------
11,458,150
- -------------------------------------------------------------------------------------------------------------------------
TOBACCO--0.1%
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 8,170,000 8,665,984
- -------------------------------------------------------------------------------------------------------------------------
ENERGY--2.7%
- -------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.1%
Basic Energy Services, Inc., 7.125% Sr. Unsec. Nts., 4/15/16 1,675,000 1,637,313
- -------------------------------------------------------------------------------------------------------------------------
PHI, Inc., 7.125% Sr. Unsec. Nts., 4/15/13 2,010,000 1,939,650
---------------
3,576,963
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
OIL & GAS--2.6%
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 $ 1,715,000 $ 1,697,850
- -------------------------------------------------------------------------------------------------------------------------
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 910,000 923,650
- -------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Unsec. Nts., 6/15/15 2,100,000 2,071,125
6.875% Sr. Unsec. Nts., 1/15/16 6,997,000 7,031,985
- -------------------------------------------------------------------------------------------------------------------------
Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,580,000 6,382,600
- -------------------------------------------------------------------------------------------------------------------------
Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 995,000 1,017,388
- -------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,745,000 3,819,900
- -------------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,950,000 2,913,125
- -------------------------------------------------------------------------------------------------------------------------
Gaz Capital (Gazprom), 7.288% Sr. Unsec. Bonds, 8/16/37 2 41,570,000 44,220,088
- -------------------------------------------------------------------------------------------------------------------------
Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,585,000 1,644,438
- -------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 16,324,000 17,155,512
- -------------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.625% Sr. Nts., 11/15/10 800,000 786,000
- -------------------------------------------------------------------------------------------------------------------------
National Gas Co., 6.05% Nts., 1/15/36 2 8,590,000 8,180,223
- -------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 4,100,000 4,048,750
- -------------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr.
Unsec. Nts., 9/15/15 670,000 646,515
- -------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 8,380,000 8,505,700
- -------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 25,024,891 24,894,636
- -------------------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 7.875% Sr. Unsec. Sub. Nts., 5/1/13 1,690,000 1,757,600
- -------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,514,000 5,822,911
- -------------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,455,000 4,410,450
- -------------------------------------------------------------------------------------------------------------------------
Range Resources Corp.:
6.375% Sr. Sub. Nts., 3/15/15 2,545,000 2,494,100
7.375% Sr. Sub. Nts., 7/15/13 100,000 102,000
7.50% Sr. Sub. Nts., 5/15/16 6,835,000 7,005,875
- -------------------------------------------------------------------------------------------------------------------------
Sabine Pass LNG LP:
7.25% Sr. Sec. Nts., 11/30/13 4,580,000 4,534,200
7.50% Sr. Sec. Nts., 11/30/16 9,160,000 9,068,400
- -------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,460,000 3,217,800
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,002,500
- -------------------------------------------------------------------------------------------------------------------------
Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,425,000 3,442,125
- -------------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 18,377,000 18,191,392
- -------------------------------------------------------------------------------------------------------------------------
Tesoro Corp.:
6.25% Sr. Unsec. Nts., 11/1/12 2,570,000 2,589,275
6.625% Sr. Unsec. Nts., 11/1/15 3,870,000 3,889,350
- -------------------------------------------------------------------------------------------------------------------------
TGI International Ltd., 9.50% Nts., 10/3/17 3,11 16,200,000 16,362,000
- -------------------------------------------------------------------------------------------------------------------------
Whiting Petroleum Corp.:
7.25% Sr. Sub. Nts., 5/1/12 2,200,000 2,172,500
7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 588,000
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 3 $ 1,100,000 $ 1,102,750
---------------
223,692,713
- -------------------------------------------------------------------------------------------------------------------------
FINANCIALS--6.7%
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--2.0%
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 4,170,000 4,284,675
- -------------------------------------------------------------------------------------------------------------------------
Coriolanus Ltd., 3.366% Sec. Nts., 12/31/17 2,11,13 [BRR] 68,800,000 26,549,753
- -------------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp.:
7.375% Sr. Unsec. Nts., 9/15/13 2,103,000 1,976,820
8% Sr. Nts., 6/15/11 2,845,000 2,845,000
- -------------------------------------------------------------------------------------------------------------------------
Eirles Two Ltd.:
6.793% Sec. Nts., Series 335, 4/30/12 1,3 16,700,000 16,648,230
8.519% Sec. Nts., Series 324, 4/20/12 1,3 14,300,000 13,665,080
- -------------------------------------------------------------------------------------------------------------------------
HBOS Treasury Services plc:
4.375% Sr. Sec. Nts., 7/13/16 [EUR] 38,725,000 53,452,913
4.50% Sr. Sec. Nts., 7/13/21 [EUR] 22,265,000 30,247,877
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
6.25% Sr. Nts., 3/23/17 3 [PEN] 15,216,000 4,651,868
10.09% Sr. Unsec. Nts., 5/3/17 3,8 [BRR] 30,605,000 16,362,739
---------------
170,684,955
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.4%
African Development Bank, 9.25% Bonds, 1/18/08 [NGN] 814,100,000 6,934,155
- -------------------------------------------------------------------------------------------------------------------------
Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 [EUR] 12,090,000 16,744,880
- -------------------------------------------------------------------------------------------------------------------------
Banco BMG SA, 9.15% Nts., 1/15/16 2 17,395,000 18,482,188
- -------------------------------------------------------------------------------------------------------------------------
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 1,2 5,425,000 5,316,500
- -------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bonds 18 13,240,000 11,650,670
- -------------------------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 2,18 19,300,000 17,138,960
- -------------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
10.221% Sr. Unsec. Nts., 7/8/09 3,13 17,190,000 15,900,750
12.045% Sr. Unsec. Nts., 1/12/10 3,13 22,570,000 17,830,300
12.989% Sr. Unsec. Nts., 3/9/09 3,13 17,190,000 14,984,523
- -------------------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 9,800,000 9,315,468
- -------------------------------------------------------------------------------------------------------------------------
ICICI Bank Ltd.:
6.375% Bonds, 4/30/22 1,2 18,530,000 17,355,198
6.625% Nts., 10/3/12 3,11 17,600,000 17,661,600
- -------------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 [BRR] 7,510,000 4,117,594
9.891% Nts., 1/25/12 1 [COP] 6,040,928,638 3,526,315
- -------------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 2 6,585,000 6,634,388
- -------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 3,4,5 5,010,000 --
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS Continued
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 2 $ 6,180,000 $ 6,310,398
- -------------------------------------------------------------------------------------------------------------------------
Salisbury International Investments Ltd., 9.51% Sec. Nts.,
Series 2006-003, Tranche E, 7/20/11 1,3 5,000,000 5,215,000
- -------------------------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 6,690,000 6,565,566
---------------
201,684,453
- -------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.1%
Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 3 645,000 649,838
- -------------------------------------------------------------------------------------------------------------------------
SLM Corp., 4.50% Nts., Series A, 7/26/10 11,075,000 10,370,840
---------------
11,020,678
- -------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--1.2%
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2 19,252,876 19,541,669
- -------------------------------------------------------------------------------------------------------------------------
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 [EUR] 5,800,000 7,898,881
- -------------------------------------------------------------------------------------------------------------------------
Banco Invex SA, 24.891% Mtg. Backed Certificates,
Series 062U, 3/13/34 1,19 [MXN] 19,980,000 7,308,500
- -------------------------------------------------------------------------------------------------------------------------
Cloverie plc, 9.838% Sec. Nts., Series 2005-93, 12/20/10 1,3 6,700,000 7,272,850
- -------------------------------------------------------------------------------------------------------------------------
Coriolanus Ltd., 10.62% Sec. Nts., 8/10/10 3 9,200,000 8,822,800
- -------------------------------------------------------------------------------------------------------------------------
JP Morgan Hipotecaria su Casita:
6.47% Sec. Nts., 8/26/35 3 [MXN] 24,775,500 2,241,305
20.077% Mtg. Backed Certificates, Series 06U, 9/25/35 1 [MXN] 16,957,500 5,361,022
- -------------------------------------------------------------------------------------------------------------------------
JPMorgan, Red Square Capital Ltd., 9% CDO Nts., 11/20/08 3 [RUR] 217,000,000 8,712,020
- -------------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 9,010,000 8,266,675
- -------------------------------------------------------------------------------------------------------------------------
Piazza Vittoria Finance SrL, 5.77% Asset-Backed Nts., 7/20/10 1 [EUR] 13,796,693 19,606,417
- -------------------------------------------------------------------------------------------------------------------------
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 16 14,710,000 6,643,477
- -------------------------------------------------------------------------------------------------------------------------
Universal City Florida:
8.375% Sr. Unsec. Nts., 5/1/10 1,050,000 1,063,125
10.106% Sr. Unsec. Nts., 5/1/10 1 1,050,000 1,065,750
---------------
103,804,491
- -------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.1%
Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,224,000 4,477,440
- -------------------------------------------------------------------------------------------------------------------------
Host Hotels & Resorts LP, 6.875% Sr. Unsub. Nts., 11/1/14 915,000 917,288
- -------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 4,005,000 3,934,913
- -------------------------------------------------------------------------------------------------------------------------
Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,920,000 1,924,800
---------------
11,254,441
- -------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.9%
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 2 7,600,000 7,543,000
- -------------------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 3 3,610,000 3,249,000
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE Continued
WM Covered Bond Program:
3.875% Sec. Nts., Series 1, 9/27/11 [EUR] 27,570,000 $ 38,022,021
4% Sec. Mtg. Nts., Series 2, 9/27/16 [EUR] 22,590,000 29,987,018
---------------
78,801,039
- -------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--0.6%
- -------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.0%
Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 1,685,000 1,550,200
- -------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--0.6%
DaVita, Inc.:
6.625% Sr. Unsec. Nts., 3/15/13 3,490,000 3,481,275
7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,485,000 5,526,138
- -------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,167,000 4,187,835
- -------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,710,000 1,252,949
- -------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred
Securities, 6/15/11 3,288,000 3,427,740
- -------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375% Nts., 1/15/15 14,005,000 11,974,275
- -------------------------------------------------------------------------------------------------------------------------
HealthSouth Corp., 10.75% Sr. Unsec. Nts., 6/15/16 2,755,000 2,913,413
- -------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc.:
6.75% Sr. Sub. Nts., 12/15/13 1,360,000 1,275,000
6.875% Sr. Sub. Nts., 12/15/15 1,700,000 1,581,000
- -------------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,680,000 1,709,400
- -------------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 5,126,000 4,613,400
- -------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc.:
9% Sr. Unsec. Nts., 8/15/12 200,000 202,500
10.75% Sr. Unsec. Sub. Nts., 8/15/14 200,000 207,500
- -------------------------------------------------------------------------------------------------------------------------
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 16 9,829,000 7,396,323
---------------
49,748,748
- -------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.0%
Valeant Pharmaceuticals International, Inc., 7% Sr. Nts., 12/15/11 3 150,000 147,750
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.7%
- -------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.2%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,455,000 3,429,088
- -------------------------------------------------------------------------------------------------------------------------
Bombardier, Inc., 8% Sr. Nts., 11/15/14 2 1,605,000 1,689,263
- -------------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc.:
6.625% Sr. Nts., 2/1/16 3,955,000 3,925,338
7.625% Sr. Sub. Nts., 2/1/18 1,160,000 1,189,000
- -------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,267,000 4,117,655
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,900,000 1,871,500
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,420,000 2,389,750
7.625% Sr. Sub. Nts., 6/15/12 600,000 616,500
---------------
19,228,094
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0%
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4,5 $ 11,587,000 $ --
- -------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.2%
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 3 2,457,000 2,401,718
- -------------------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 8,313,000 8,209,088
- -------------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 3,050,000 2,661,125
---------------
13,271,931
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.3%
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 8,400,000 8,484,000
- -------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 3,4,5 3,462,000 --
- -------------------------------------------------------------------------------------------------------------------------
Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 2,555,000 2,618,875
- -------------------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,450,000 3,156,750
- -------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,490,000 3,455,100
7.50% Sr. Nts., 5/1/11 1,600,000 1,620,000
- -------------------------------------------------------------------------------------------------------------------------
FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,250,000 2,340,000
---------------
21,674,725
- -------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.2%
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 3 430,000 414,950
- -------------------------------------------------------------------------------------------------------------------------
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 2 17,398,387 20,617,089
---------------
21,032,039
- -------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 700,000 715,750
- -------------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,680,000 5,469,394
- -------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 1,155,000 1,209,863
---------------
7,395,007
- -------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.2%
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 2,670,000 2,750,100
- -------------------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,814,000 2,546,670
- -------------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 3,130,000 3,137,825
- -------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 650,000
- -------------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 3 4,355,000 4,115,475
- -------------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,355,000 5,488,875
- -------------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,200,000 2,123,000
---------------
20,811,945
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
Avis Budget Car Rental LLC:
7.75% Sr. Unsec. Unsub. Nts., 5/15/16 $ 1,670,000 $ 1,644,950
8.058% Sr. Unsec. Unsub. Nts., 5/15/14 1 670,000 656,600
- -------------------------------------------------------------------------------------------------------------------------
Hertz Corp.:
8.875% Sr. Unsec. Nts., 1/1/14 1,110,000 1,148,850
10.50% Sr. Unsec. Sub. Nts., 1/1/16 4,375,000 4,746,875
- -------------------------------------------------------------------------------------------------------------------------
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,225,000 2,261,156
- -------------------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 1,022,000 1,022,000
7.50% Sr. Unsec. Nts., 11/1/13 309,000 312,090
---------------
11,792,521
- -------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.3%
Ashtead Capital, Inc., 9% Nts., 8/15/16 2 1,725,000 1,709,906
- -------------------------------------------------------------------------------------------------------------------------
H&E Equipment Services, Inc., 8.375% Sr. Unsec. Nts., 7/15/16 1,900,000 1,862,000
- -------------------------------------------------------------------------------------------------------------------------
Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,725,000 1,712,063
- -------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 16,809,000 17,229,225
---------------
22,513,194
- -------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE--0.1%
Transshipment Megahub Bhd:
5.15% Nts., 11/2/12 3 [MYR] 7,000,000 2,028,408
6.70% Bonds, Series F, 11/2/12 3 [MYR] 5,000,000 1,542,627
6.95% Nts., 11/2/12 3 [MYR] 8,000,000 2,494,028
---------------
6,065,063
- -------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.2%
- -------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.0%
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3,5 12,879,000 129
- -------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1%
RBS Global & Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 3,495,000 3,739,650
- -------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 3,4,5 [EUR] 2,200,248 --
- -------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4,5 2,121,834 --
- -------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 3,4,5 [EUR] 6,650,000 --
---------------
--
- -------------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.1%
DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts.,
Series B, 2/15/13 3 4,519,000 4,699,760
- -------------------------------------------------------------------------------------------------------------------------
iPayment Holdings, Inc., 9.75% Sr. Unsec. Sub. Nts., 5/15/14 1,970,000 1,891,200
- -------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.625% Sr. Unsec. Sub. Nts., 4/1/13 3,780,000 3,846,150
---------------
10,437,110
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
MATERIALS--1.6%
- -------------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.3%
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 $ 4,794,000 $ 4,979,768
10.125% Sr. Unsec. Nts., 9/1/08 75,000 77,813
10.625% Sr. Unsec. Nts., 5/1/11 857,000 899,850
- -------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
7.375% Sr. Unsub. Nts., 1/15/15 3 1,911,000 2,006,550
7.875% Sr. Unsec. Sub. Nts., 11/15/14 915,000 979,050
- -------------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 805,000 879,463
11.625% Sr. Unsec. Nts., 10/15/10 3 79,000 83,938
- -------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
8% Sr. Unsec. Nts., 9/15/14 3 4,800,000 5,304,000
8.25% Sr. Unsec. Nts., 9/15/16 2,560,000 2,899,200
10.50% Sr. Sec. Nts., 6/1/13 4,000,000 4,320,000
---------------
22,429,632
- -------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.2%
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs. 2,18 17,200,000 16,549,049
- -------------------------------------------------------------------------------------------------------------------------
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 16 6,440,000 3,992,800
---------------
20,541,849
- -------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--0.5%
Ball Corp., 6.625% Sr. Nts., 3/15/18 4,755,000 4,683,675
- -------------------------------------------------------------------------------------------------------------------------
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 4,040,000 4,191,500
- -------------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc., 9.875% Sr. Unsec. Sub. Nts., 10/15/14 3,295,000 3,278,525
- -------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 2,960,000 3,026,600
9.50% Sr. Sub. Nts., 8/15/13 1,585,000 1,636,513
- -------------------------------------------------------------------------------------------------------------------------
Owens-Brockway Glass Container, Inc.:
8.25% Sr. Unsec. Nts., 5/15/13 2,031,000 2,112,240
8.75% Sr. Sec. Nts., 11/15/12 7,952,000 8,319,780
8.875% Sr. Sec. Nts., 2/15/09 5,788,000 5,903,760
- -------------------------------------------------------------------------------------------------------------------------
Vitro SAB de CV:
8.625% Sr. Unsec. Unsub. Nts., 2/1/12 5,205,000 5,152,950
9.125% Sr. Unsec. Unsub. Nts., 2/1/17 8,840,000 8,729,500
---------------
47,035,043
- -------------------------------------------------------------------------------------------------------------------------
METALS & MINING--0.5%
AK Steel Corp., 7.75% Sr. Unsec. Nts., 6/15/12 3,881,000 3,948,918
- -------------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 12,160,000 13,399,104
8.875% Nts., 11/17/14 2 1,845,000 2,033,006
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
METALS & MINING Continued
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 $ 9,380,000 $ 10,271,100
- -------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 3,4,5 1,586,000 --
- -------------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 3,201,000 3,488,418
- -------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 3 1,340,000 1,423,750
- -------------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/15 1 7,610,000 7,381,700
---------------
41,945,996
- -------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.1%
Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 863,500
- -------------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 7.125% Nts., 8/15/15 1,500,000 1,447,500
- -------------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 1,245,000 933,750
- -------------------------------------------------------------------------------------------------------------------------
Verso Paper Holdings LLC, 9.106% Sr. Sec. Nts., Series B, 8/1/14 1 2,065,000 2,085,650
---------------
5,330,400
- -------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--1.7%
- -------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--0.8%
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 12,755,000 12,499,900
- -------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 3,4,5 6,401,538 --
- -------------------------------------------------------------------------------------------------------------------------
Intelsat Bermuda Ltd., 11.25% Sr. Unsec. Nts., 6/15/16 1,915,000 2,061,019
- -------------------------------------------------------------------------------------------------------------------------
Intelsat Subsidiary Holding Co. Ltd.:
8.25% Sr. Nts., 1/15/13 1 4,200,000 4,284,000
8.625% Sr. Nts., 1/15/15 3,840,000 3,936,000
- -------------------------------------------------------------------------------------------------------------------------
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 1,545,000 1,610,663
- -------------------------------------------------------------------------------------------------------------------------
PanAmSat Corp.:
9% Sr. Unsec. Nts., 6/15/16 3,380,000 3,498,300
9% Sr. Unsec. Nts., 8/15/14 5,797,000 5,999,895
- -------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 11,590,000 12,705,538
- -------------------------------------------------------------------------------------------------------------------------
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 2 [PEN] 21,925,200 7,611,304
- -------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 3,4,5 5,135,000 --
- -------------------------------------------------------------------------------------------------------------------------
West Corp.:
9.50% Sr. Unsec. Nts., 10/15/14 3,640,000 3,776,500
11% Sr. Unsec. Sub. Nts., 10/15/16 1,515,000 1,598,325
- -------------------------------------------------------------------------------------------------------------------------
Windstream Corp.:
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 8,345,000 8,824,838
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 3,885,000 4,161,806
---------------
72,568,088
- -------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.9%
America Movil SAB de CV, 8.46% Bonds, 12/18/36 2 [MXN] 33,200,000 2,984,157
- -------------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,174,000 1,232,700
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES Continued
American Tower Corp.:
7.125% Sr. Unsec. Nts., 10/15/12 $ 1,965,000 $ 2,019,038
7.50% Sr. Nts., 5/1/12 10,180,000 10,510,850
- -------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 3,4,5 21,747,000 --
- -------------------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,060,000 1,130,225
- -------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 3,521,000 3,767,470
9.61% Sr. Unsec. Nts., 10/15/12 1 1,000,000 1,022,500
- -------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 8 45,240,000 46,012,518
- -------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 8% Sr. Sub. Nts., 12/15/12 2,000,000 2,094,540
- -------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.875% Sr. Nts., 2/1/10 5,668,000 5,951,400
---------------
76,725,398
- -------------------------------------------------------------------------------------------------------------------------
UTILITIES--1.8%
- -------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.9%
Edison Mission Energy:
7% Sr. Nts., 5/15/17 2 9,370,000 9,276,300
7.50% Sr. Unsec. Nts., 6/15/13 1,690,000 1,740,700
7.75% Sr. Unsec. Nts., 6/15/16 2,365,000 2,459,600
- -------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil SA:
7.875% Sr. Nts., 1/30/12 2 4,195,000 4,268,413
8.80% Sr. Nts., 1/30/17 2 5,240,000 5,502,000
- -------------------------------------------------------------------------------------------------------------------------
Majapahit Holding BV:
7.25% Nts., 10/17/11 2 7,460,000 7,553,250
7.75% Nts., 10/17/16 2 6,890,000 7,010,575
- -------------------------------------------------------------------------------------------------------------------------
National Power Corp.:
5.875% Unsec. Unsub. Bonds, 12/19/16 [PHP] 421,000,000 9,101,543
6.875% Nts., 11/2/16 2 5,440,000 5,399,200
9.625% Unsec. Bonds, 5/15/28 12,365,000 14,868,913
- -------------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc., 6.75% Sr. Sec. Nts., 12/15/14 1,100,000 1,116,500
- -------------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 7,387,000 7,302,869
---------------
75,599,863
- -------------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--0.8%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 9,448,000 9,932,210
- -------------------------------------------------------------------------------------------------------------------------
AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 2 3,594,000 3,692,835
- -------------------------------------------------------------------------------------------------------------------------
AES Panama SA, 6.35% Sr. Nts., 12/21/16 2 4,230,000 4,152,561
- -------------------------------------------------------------------------------------------------------------------------
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,758,097 2,951,164
- -------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,260,000 3,219,250
8.75% Sr. Nts., 2/15/12 3,660,000 3,797,250
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS Continued
Mirant Americas Generation LLC:
8.30% Sr. Unsec. Nts., 5/1/11 $ 14,600,000 $ 14,819,000
9.125% Sr. Unsec. Nts., 5/1/31 2,900,000 2,900,000
- -------------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,240,215 3,371,171
- -------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc.:
7.375% Sr. Nts., 1/15/17 8,000,000 8,020,000
7.375% Sr. Nts., 2/1/16 15,330,000 15,406,650
---------------
72,262,091
- -------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0%
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,350,000 1,360,382
- -------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.1%
CMS Energy Corp.:
7.75% Sr. Nts., 8/1/10 1,700,000 1,785,734
8.50% Sr. Nts., 4/15/11 2,507,000 2,704,416
- -------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 700,000 683,334
---------------
5,173,484
---------------
Total Corporate Bonds and Notes (Cost $1,981,049,562) 1,945,227,838
SHARES
- -------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.3%
- -------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 3,4,17 338,141 --
- -------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 3,4 44,000 --
- -------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 3,4,17 5,816 --
- -------------------------------------------------------------------------------------------------------------------------
ION Media Networks, Inc.:
14.25% Cum., Non-Vtg. 4,17 1,891 12,949,104
9.75% Cv., Series AI 3,4,17 1 2,603
- -------------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 3 62,690 9,055,571
---------------
Total Preferred Stocks (Cost $37,978,871) 22,007,278
- -------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--1.4%
- -------------------------------------------------------------------------------------------------------------------------
AboveNet, Inc. 4 1,259 100,091
- -------------------------------------------------------------------------------------------------------------------------
Alltel Corp. 133,302 9,288,483
- -------------------------------------------------------------------------------------------------------------------------
Arco Capital Corp. Ltd. 3,4 2,383,674 35,755,110
- -------------------------------------------------------------------------------------------------------------------------
AT&T, Inc. 331,982 14,046,158
- -------------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 3,4 56,936 569,360
- -------------------------------------------------------------------------------------------------------------------------
Constellation Energy Group, Inc. 195,835 16,800,685
- -------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler AG 14 99,275 9,947,355
- -------------------------------------------------------------------------------------------------------------------------
Global Aero Logistics, Inc. 3,4 32,791 524,656
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 9,159 1,985,122
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- -------------------------------------------------------------------------------------------------------------------------
Mediacom Communications Corp. 4 571,397 $ 4,028,349
- -------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 3,4 799,833 --
- -------------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 206,099 18,134,651
- -------------------------------------------------------------------------------------------------------------------------
Revlon, Inc., Cl. A 4 3,271,620 3,762,363
- -------------------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., Liquidating Trust 3,4 7,998,920 --
- -------------------------------------------------------------------------------------------------------------------------
Telus Corp. 163,358 9,443,608
---------------
Total Common Stocks (Cost $123,343,127) 124,385,991
UNITS
- -------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- -------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 3,4 800 --
- -------------------------------------------------------------------------------------------------------------------------
Global Aero Logistics, Inc. Wts., Exp. 2/28/11 4 4,020 32,088
- -------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 3,4 4,610 --
- -------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts.,
Exp. 4/15/20 3,4 11,835 443,813
---------------
Total Rights, Warrants and Certificates (Cost $30,592) 475,901
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES--15.0%
- -------------------------------------------------------------------------------------------------------------------------
Aiolos Ltd. Catastrophe Linked Nts., 8.94%, 4/8/09 1,2 [EUR] 5,100,000 7,267,585
- -------------------------------------------------------------------------------------------------------------------------
Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.999%, 6/1/09 1,2 6,500,000 6,816,225
- -------------------------------------------------------------------------------------------------------------------------
Cascadia Ltd. Catastrophe Linked Nts.:
8.849%, 6/13/08 1,2 2,750,000 2,753,713
9.51%, 8/31/09 1,3 3,950,000 3,999,375
- -------------------------------------------------------------------------------------------------------------------------
Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.85%, 5/19/09 1,2 7,450,000 7,374,755
- -------------------------------------------------------------------------------------------------------------------------
Champlain Ltd. Catastrophe Linked Nts., Series A, 18.11%, 1/7/09 1,2 5,260,000 5,335,744
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Argentina (Republic of) Credit Linked Nts., 11.44%, 5/22/08 3,19 [ARP] 10,655,000 9,685,512
Argentina (Republic of) Credit Linked Nts., 4%, 5/18/09 3 [ARP] 4,978,000 4,524,013
Argentina (Republic of) Unsec. Credit Linked Nts., 9.28%, 4/16/10 3,19 [ARP] 354,472 183,825
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 22,581,000 12,288,804
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 35,445,000 19,289,521
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.407%,
1/5/10 13 [BRR] 19,079,551 8,162,061
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 16.41%, 1/2/09 13 [BRR] 18,185,594 8,680,967
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.527%,
1/3/08 13 [BRR] 15,856,964 8,431,476
Colombia (Republic of) Credit Linked Bonds, 11%, 7/27/20 [COP] 7,580,000,000 3,974,488
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,498,269,508 2,562,318
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,490,000,000 5,975,347
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,514,000,000 4,849,771
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 7,206,900,000 4,105,217
Dominican Republic Credit Linked Nts., 10.086%, 3/20/08 3,13 [DOP] 77,800,000 2,126,029
Dominican Republic Credit Linked Nts., 22%, 10/3/11 [DOP] 104,800,000 3,971,976
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Dominican Republic Credit Linked Nts., 9.522%, 5/12/08 13 [DOP] 62,910,000 $ 1,781,469
Dominican Republic Credit Linked Nts., 9.826%, 3/20/08 13 [DOP] 71,810,000 2,062,781
Dominican Republic Credit Linked Nts., 9.931%, 12/24/07 13 [DOP] 70,460,000 2,024,001
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 [DOP] 174,700,000 5,415,826
Dominican Republic Unsec. Credit Linked Nts., 9.342%, 8/11/08 11,13 [DOP] 152,200,000 4,207,419
Dominican Republic Unsec. Credit Linked Nts., 9.696%, 3/10/08 13 [DOP] 117,920,000 3,398,726
Dominican Republic Unsec. Credit Linked Nts., Series 007, 9.302%,
5/12/08 13 [DOP] 136,200,000 3,856,874
Egypt (The Arab Republic of) Credit Linked Nts., 7.364%, 1/10/08 3,13 [EGP] 31,750,000 5,571,464
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.467%,
2/28/08 3,13 [EGP] 33,160,000 5,764,885
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%,
2/16/08 [EGP] 24,890,000 4,498,687
Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10 [GHS] 10,330,000 11,293,843
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 2 [NGN] 1,846,000,000 17,191,096
Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%,
4/4/11 2 [NGN] 1,342,000,000 12,544,806
Renins Nonlife Ltd. Credit Linked Nts., 12.50%, 5/30/12 3 14,180,000 14,180,000
Russian Federation Credit Linked Nts., 7.65%, 12/4/08 1,3 [RUR] 78,340,000 3,096,312
Russian Federation Credit Linked Nts., Series 2, 7.50%, 12/4/08 1,3 [RUR] 195,600,000 7,721,456
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,780,000 1,451,803
Zambia (Republic of) Credit Linked Nts., 8.944%, 2/21/08 13 [ZMK] 23,525,000,000 5,749,667
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Boryspil Airport Total Return Linked Nts., 10%, 4/19/10 1 [UAH] 16,740,000 3,454,757
EES Total Return Linked Nts., 7.10%, 12/12/08 1 [RUR] 136,800,000 5,492,186
Gazprom Total Return Linked Nts., 6.79%, 10/29/09 [RUR] 271,550,000 11,197,342
Gazprom Total Return Linked Nts., Series 002, 6.95%, 8/6/09 [RUR] 266,360,000 10,790,354
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 3 [IDR] 71,300,000,000 8,648,702
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/19/09 1,3 [RUR] 242,139,000 9,789,475
Moitk Total Return Linked Nts., 8.966%, 3/26/11 1,3 [RUR] 208,910,000 7,563,631
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 3 [RUR] 220,335,000 9,736,708
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 2 [RUR] 230,200,000 10,000,309
NAK Naftogaz of Ukraine Credit Linked Nts., 5%, 1/20/09 3 14,720,000 15,217,242
Orenburgskaya IZHK Total Return Linked Nts., 9.24%, 2/21/12 1,3 [RUR] 417,305,000 15,947,983
Rurail Total Return Linked Nts., 6.67%, 1/22/09 1 [RUR] 189,120,000 7,569,882
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%,
12/20/07 3 [RUR] 553,980,000 22,917,309
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%,
12/30/09 [UAH] 16,568,000 3,743,300
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%,
1/19/17 3 [VND] 53,361,000,000 3,383,577
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Russian Specialized Construction and Installation Administration
Credit Linked Nts., 8.59%, 5/20/10 1,3 [RUR] 320,000,000 12,872,964
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 2 [UAH] 200,000 45,187
Ukraine (Republic of) Credit Linked Nts., Series EMG 11,
11.94%, 12/30/09 [UAH] 4,995,000 1,128,548
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%,
12/30/09 2 [UAH] 32,180,000 7,270,605
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse Group, Russian Moscoblgaz Finance Total Return
Linked Nts., 9.25%, 6/24/12 3 [RUR] 368,300,000 $ 14,667,817
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse International, FSK EES RRU Total Return Linked Nts.,
8.25%, 6/22/10 1 [RUR] 208,505,000 8,534,527
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 11.50%, 12/21/11 3 [ARP] 20,050,000 16,297,190
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico
SA de CV Credit Linked Nts., 9.09%, 1/5/11 3 [MXN] 64,140,169 5,893,619
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico
SA de CV Credit Linked Nts., 9.65%, 1/5/11 3 [MXN] 42,060,481 3,864,793
Brazil Real Credit Linked Nts., 14.389%, 3/3/10 13 [BRR] 35,170,920 14,976,180
Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 11,400,000 10,188,975
Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 3 [COP] 8,909,000,000 5,075,292
Colombia (Republic of) Total Return Linked Bonds, Series 002,
11%, 7/28/20 [COP] 220,000,000 115,288
Egypt (The Arab Republic of) Credit Linked Nts., 9.537%, 2/5/08 3,13 [EGP] 22,870,000 3,964,133
Egypt (The Arab Republic of) Total Return Linked Nts., 7.725%,
9/16/08 13 [EGP] 46,475,000 7,773,365
European Investment Bank, Russian Federation Credit Linked Nts.,
5.702%, 1/19/10 3,13 5,820,000 4,980,756
Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 3 10,099,100 10,149,596
Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%,
3/20/09 [KZT] 1,409,410,000 11,243,817
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,360,000 6,682,706
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,494,933 8,257,333
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 369,400,000 3,075,875
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 496,600,000 4,303,602
OAO Gazprom I Credit Nts., 9.35%, 10/20/07 7,760,000 8,102,331
Peru (Republic of) Credit Linked Nts., 6.659%, 2/20/11 1 8,015,000 8,174,046
RosSelkhoz Bank Total Return Linked Nts., 7.082%, 2/22/08 13 [RUR] 221,550,000 8,640,417
Russian Federation Credit Linked Nts., 0%, 12/2/09 13 [RUR] 162,122,000 6,836,851
Russian Federation Credit Linked Nts., 7.054%, 2/22/08 13 [RUR] 302,900,000 11,815,736
Russian Federation Credit Linked Nts., 7.302%, 2/21/08 13 [RUR] 146,800,000 5,725,178
Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 199,715,000 8,757,210
Russian Railways Total Return Linked Bonds, 6.67%, 1/26/09 1 [RUR] 272,550,000 10,908,228
Russian Unified Energy Systems Total Return Linked Nts.,
Series FSK3, 7.10%, 12/16/08 1 [RUR] 194,210,000 7,955,029
Sberbank Total Return Linked Nts., 6.734%, 2/27/08 13 [RUR] 295,380,000 11,541,402
Sberbank Total Return Linked Nts., 6.743%, 2/20/08 13 [RUR] 221,550,000 8,669,026
Singapore, Vietnam Shipping Industry Group Total Return Linked
Nts., 9%, 4/20/17 3 [VND] 128,300,000,000 7,606,596
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,690,000 5,797,029
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,740,000 5,835,571
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,740,000 5,828,166
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,740,000 5,816,112
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,740,000 5,805,379
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 3 [UAH] 13,938,400 2,901,706
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,231,000 494,914
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,904,000 $ 1,753,385
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 3 [MXN] 42,064,401 3,865,153
Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 3 16,060,000 16,039,283
- -------------------------------------------------------------------------------------------------------------------------
Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%,
12/8/11 1,2 [RUR] 134,130,000 5,681,760
- -------------------------------------------------------------------------------------------------------------------------
Eurus Ltd. Catastrophe Linked Nts., 11.61%, 4/8/09 1,2 5,790,000 5,790,000
- -------------------------------------------------------------------------------------------------------------------------
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.26%, 8/10/11 1,2 7,010,000 7,125,665
- -------------------------------------------------------------------------------------------------------------------------
Foundation Re II Ltd. Catastrophe Linked Nts., 15.32%, 1/8/09 1,2 3,706,000 3,699,700
- -------------------------------------------------------------------------------------------------------------------------
Foundation Re Ltd. Catastrophe Linked Nts., 9.62%, 11/24/08 1,2 5,250,000 5,113,343
- -------------------------------------------------------------------------------------------------------------------------
Fusion 2007 Ltd. Catastrophe Linked Nts., 11.51%, 5/19/09 1,2 8,300,000 8,340,255
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts.,
14.802%, 3/29/17 2,13 [TRY] 77,520,000 15,471,887
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit
Linked Nts., 10.48%, 2/8/37 2,13 [COP] 237,059,200,000 4,882,869
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs International, Russian Federation Total Return Linked
Nts., 8%, 5/13/09 1 [RUR] 374,900,000 15,075,004
- -------------------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725,
11.89%, 12/30/09 3 [UAH] 38,336,000 8,705,034
- -------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Argentina (Republic of) Credit Linked Nts., 11.45%, 12/19/11 3 [ARP] 19,065,000 15,767,745
Brazil (Federal Republic of) Credit Linked Nts., 14.35%, 2/20/12 3 [BRR] 21,280,000 11,443,369
Brazil (Federal Republic of) Credit Linked Nts., 15.582%, 1/2/15 13 [BRR] 70,845,010 17,464,358
Brazil (Federal Republic of) Credit Linked Nts., 2.765%, 11/30/12 2,13 [ARP] 29,015,000 8,004,805
Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 3 [BRR] 7,895,000 7,076,470
Colombia (Republic of) Credit Linked Bonds, 10.244%, 10/31/16 3,13 [COP] 52,420,000,000 10,012,751
Colombia (Republic of) Credit Linked Bonds, 10.266%, 1/5/16 2,13 [COP] 121,000,000,000 23,112,225
Colombia (Republic of) Credit Linked Bonds, 11.268%, 8/3/20 3,13 [COP] 85,910,000,000 12,259,520
Colombia (Republic of) Credit Linked Bonds, Series A, 10.244%,
10/31/16 3,13 [COP] 52,197,000,000 9,970,156
Peru (Republic of) Credit Linked Nts., 8.193%, 9/2/15 2,13 [PEN] 25,410,000 4,666,807
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 2 9,185,000 9,093,150
- -------------------------------------------------------------------------------------------------------------------------
JSC Astana Finance, 9.16% Nts., 3/14/12 3 26,000,000 23,716,561
- -------------------------------------------------------------------------------------------------------------------------
Lakeside Re Ltd. Catastrophe Linked Nts., 11.86%, 12/31/09 1,2 7,580,000 7,777,080
- -------------------------------------------------------------------------------------------------------------------------
Lehman Brothers International, Romania (Republic of) Total Return
Linked Nts., 7.90%, 2/9/10 [RON] 6,371,800 2,887,793
- -------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
CMS 10 yr. Curve Credit Linked Nts., 6%, 2/5/17 49,020,000 47,245,525
Microvest Capital Management LLC Credit Linked Nts., 10.75%, 5/24/12 3 27,550,000 27,550,000
Romania (Republic of) Total Return Linked Nts., 6.50%, 3/9/10 [RON] 16,840,300 7,317,568
Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08 [RON] 19,560,000 8,619,839
Romania (Republic of) Total Return Linked Nts., 7.25%, 4/19/10 [RON] 1,558,000 684,852
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 [RON] 1,548,000 683,788
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 [RON] 3,738,000 1,651,163
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- -------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.: Continued
Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08 [RON] 14,496,100 $ 6,493,209
- -------------------------------------------------------------------------------------------------------------------------
Medquake Ltd. Catastrophe Linked Nts., 10.658%, 5/31/10 1,2 4,000,000 4,008,200
- -------------------------------------------------------------------------------------------------------------------------
Merrill Lynch:
Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 3 [COP] 7,680,000,000 3,543,156
Renaissance Capital International Services Ltd. Total Return Linked Nts.,
10.50%, 10/7/08 3 [RUR] 277,000,000 10,948,154
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley, Russian Federation Total Return Linked Securities,
Series 007, Cl. VR, 5%, 8/22/34 [RUR] 366,050,000 12,173,163
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley & Co. International Ltd./Red Arrow International
Leasing plc:
Total Return Linked Nts., Series A, 8.375%, 6/30/12 3 [RUR] 155,490,929 6,395,831
Total Return Linked Nts., Series B, 11%, 6/30/12 3 [RUR] 117,292,305 4,871,785
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,138,000,000 17,329,607
Brazil (Federal Republic of) Linked Nts., 12.563%, 1/5/22 2,13 [BRR] 109,310,000 12,344,337
Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 3 [BRR] 38,023,494 28,004,210
Brazil (Federal Republic of) Total Return Nts., 8/2/10 [BRR] 18,339,278 8,357,462
Philippines (Republic of the) Credit Linked Nts., 10.21%, 9/20/15 3 3,350,000 3,974,407
Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 3 17,240,000 19,701,872
Philippines (Republic of the) Credit Linked Nts., 8.21%, 6/20/16 1,3 4,070,000 4,313,264
United Mexican States Credit Linked Nts., 5.64%, 11/20/15 2 300,000 317,355
WTI Trading Ltd. Total Return Linked Nts., Series A, 13.50%, 2/6/09 3 13,780,000 13,228,800
WTI Trading Ltd. Total Return Linked Nts., Series B, 13.50%, 2/6/09 3 18,430,000 17,692,800
- -------------------------------------------------------------------------------------------------------------------------
Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 17.458%,
6/21/10 1,2 7,410,000 7,451,311
- -------------------------------------------------------------------------------------------------------------------------
Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts.,
Series D, 10.36%, 1/15/10 1,2 3,230,000 3,273,282
- -------------------------------------------------------------------------------------------------------------------------
Residential Reinsurance Ltd. Catastrophe Linked Nts.:
Series B, 13.991%, 6/6/08 1,2 4,600,000 4,434,860
Series CL3, 17.791%, 6/7/10 1,2 3,000,000 3,051,750
- -------------------------------------------------------------------------------------------------------------------------
Successor Euro Wind Ltd. Catastrophe Linked Nts.:
Cl. A-I, 10.948%, 6/6/08 1,2 4,810,000 4,781,862
Cl. A-I, 23.198%, 6/6/08 1,2 6,000,000 6,149,700
- -------------------------------------------------------------------------------------------------------------------------
Successor Japan Quake Ltd. Catastrophe Linked Nts., Cl. A-I, 9.948%,
6/6/08 1,2 10,950,000 11,059,500
- -------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital Markets Corp./Akibare Ltd. Catastrophe Linked Nts.,
Cl. A, 8.445%, 5/22/12 1,2 2,512,000 2,548,926
- -------------------------------------------------------------------------------------------------------------------------
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 3 [GHS] 4,650,997 5,001,599
- -------------------------------------------------------------------------------------------------------------------------
VASCO Re 2006 Ltd. Catastrophe Linked Nts., 14.169%, 6/5/09 1,2 6,780,000 7,032,894
- -------------------------------------------------------------------------------------------------------------------------
Willow Re Ltd. Catastrophe Linked Nts., 10.483%, 6/16/10 1,2 8,150,000 8,276,121
---------------
Total Structured Securities (Cost $1,173,410,384) 1,283,503,969
56 | OPPENHEIMER STRATEGIC INCOME FUND
EXPIRATION STRIKE VALUE
DATES PRICE CONTRACTS SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0%
- -------------------------------------------------------------------------------------------------------------------------
Brazilian Real (BRR) Call 4 12/21/07 $ 1.81 59,380,000 $ 479,998
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse International
Basket of Currencies Call 4 11/19/07 90.86 42,610,000 4,261
- -------------------------------------------------------------------------------------------------------------------------
Credit Suisse International
Basket of Currencies Call 4 12/12/07 1.02 86,160,000 251,174
- -------------------------------------------------------------------------------------------------------------------------
Euro (EUR) Call 4 12/21/07 1.41 67,680,000 1,949,272
---------------
Total Options Purchased (Cost $2,768,745) 2,684,705
SHARES
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENTS IN AFFILIATED COMPANIES--9.4%
- -------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 5.37% 20,21
(Cost $808,046,388) 808,046,388 808,046,388
- -------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding
Investments Purchased with Cash Collateral from
Securities Loaned) (Cost $8,481,454,605) 8,612,125,878
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--1.4% 12
- -------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--1.4%
Undivided interest of 11.56% in joint repurchase agreement (Principal
Amount/Value $1,000,000,000, with a maturity value of $1,000,425,000)
with Bank of America NA, 5.10%, dated 9/28/07, to be repurchased
at $115,625,393 on 10/1/07, collateralized by U.S. Agency
Mortgages, 5%-5.50%, 5/1/33-6/1/35, with a
value of $1,020,000,000 $ 115,576,273 115,576,273
- -------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM FLOATING NOTE--0.0%
HSBC Finance Corp., 5.81%, 8/5/08 3,000,000 3,000,000
- -------------------------------------------------------------------------------------------------------------------------
YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0%
Natexis Banques Populaires NY, 4.87%, 1/28/08 2,000,000 2,000,000
---------------
Total Investments Purchased with Cash Collateral from
Securities Loaned (Cost $120,576,273) 120,576,273
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $8,602,030,878) 101.8% 8,732,702,151
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (1.8) (152,096,965)
----------------------------------
NET ASSETS 100.0% $8,580,605,186
=================================
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso
AUD Australian Dollar
BRR Brazilian Real
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DKK Danish Krone
DOP Dominican Republic Peso
EGP Egyptian Pounds
EUR Euro
GBP British Pound Sterling
GHS Ghana 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
ZMK Zambian Kwacha
1. Represents the current interest rate for a variable or increasing rate
security.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $756,024,818 or 8.81% of the Fund's net
assets as of September 30, 2007.
3. Illiquid security. The aggregate value of illiquid securities as of September
30, 2007 was $865,614,714, which represents 10.09% of the Fund's net assets. See
Note 12 of accompanying Notes.
4. Non-income producing security.
5. Issue is in default. See Note 1 of accompanying Notes.
6. 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
- -----------------------------------------------------------------------------------------------
British Pound Sterling (GBP) 1,235,000 10/1/07 $ 2.0245 $ 9,251 $ 26,253
British Pound Sterling (GBP) 1,265,000 10/2/07 2.0135 9,297 40,753
British Pound Sterling (GBP) 1,290,000 10/5/07 2.0335 11,411 23,420
Euro (EUR) 5,870,000 10/4/07 1.4190 32,173 64,937
Euro (EUR) 6,410,000 10/5/07 1.4188 39,788 73,664
----------------------
$ 101,920 $ 229,027
======================
7. 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
- -----------------------------------------------------------------------------------------------
British Pound Sterling (GBP) 1,235,000 10/1/07 $ 2.0245 $ 9,251 $ --
British Pound Sterling (GBP) 1,265,000 10/2/07 2.0135 9,424 --
British Pound Sterling (GBP) 1,290,000 10/5/07 2.0335 11,411 6,038
Euro (EUR) 5,870,000 10/4/07 1.4190 32,173 16,846
Euro (EUR) 6,410,000 10/5/07 1.4188 39,788 21,044
----------------------
$ 102,047 $ 43,928
======================
8. 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 $38,501,328. See Note 6 of accompanying Notes.
58 | OPPENHEIMER STRATEGIC INCOME FUND
9. 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 $59,651,496 or 0.70% of the Fund's net assets
as of September 30, 2007.
10. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $1,523,068 or 0.02% of the Fund's net assets as of
September 30, 2007.
11. When-issued security or forward commitment to be delivered and settled after
September 30, 2007. See Note 1 of accompanying Notes.
12. 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.
13. Zero coupon bond reflects effective yield on the date of purchase.
14. Partial or fully-loaned security. See Note 13 of accompanying Notes.
15. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of accompanying Notes.
16. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
17. Interest or dividend is paid-in-kind, when applicable.
18. 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.
19. Denotes an inflation-indexed security: coupon and principal are indexed to
the consumer price index.
20. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended September 30, 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 SEPTEMBER 30, 2007
- -----------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional
Money Market Fund, Cl. E -- 4,372,770,451 3,564,724,063 808,046,388
Prandium, Inc. 1,034,256 -- 1,034,256 --
VALUE DIVIDEND REALIZED
SEE NOTE 1 INCOME LOSS
- ------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E $ 808,046,388 $ 24,396,684 $ --
Prandium, Inc. -- -- (12,155,862)
----------------------------------------------
$ 808,046,388 $ 24,396,684 $ (12,155,862)
==============================================
21. Rate shown is the 7-day yield as of September 30, 2007.
PRINCIPAL VALUE
SOLD SHORT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATION SOLD SHORT--(0.9)%
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 5.50%, 10/1/36 (proceeds $75,030,381) $ (76,548,000) $ (74,981,139)
22. All or a portion of the security was segregated by the Fund in the amount of
$76,548,000, which represented 102.09% of the market value of securities sold
short. See Note 1 of accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2007
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
ASSETS
- -------------------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $7,793,984,490) $ 7,924,655,763
Affiliated companies (cost $808,046,388) 808,046,388
----------------
8,732,702,151
- -------------------------------------------------------------------------------------------------
Cash 13,571,435
- -------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $6,155,142) 6,071,010
- -------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 56,207,297
- -------------------------------------------------------------------------------------------------
Swaps, at value (net premiums received $3,428,475) 45,039,439
- -------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $11,753,062 sold on a when-issued basis or forward
commitment) 112,950,841
Interest, dividends and principal paydowns 89,263,358
Shares of beneficial interest sold 26,330,784
Closed foreign currency contracts 24,870,124
Futures margins 1,888,563
Other 965,866
----------------
Total assets 9,109,860,868
- -------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------
Short positions, at value (proceeds of $75,030,381)--
see accompanying statement of investments 74,981,139
- -------------------------------------------------------------------------------------------------
Options written, at value (premiums received $203,967)--
see accompanying statement of investments 272,955
- -------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 120,576,273
- -------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 32,221,541
- -------------------------------------------------------------------------------------------------
Swaps, at value (net premiums received $959,748) 26,584,710
- -------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $211,298,906 purchased on a when-issued basis
or forward commitment) 230,805,474
Closed foreign currency contracts 20,272,749
Shares of beneficial interest redeemed 11,407,571
Dividends 5,690,655
Distribution and service plan fees 4,908,899
Transfer and shareholder servicing agent fees 901,457
Shareholder communications 327,990
Trustees' compensation 82,450
Other 221,819
----------------
Total liabilities 529,255,682
- -------------------------------------------------------------------------------------------------
NET ASSETS $ 8,580,605,186
================
60 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,947,416
- --------------------------------------------------------------------------------------------------------
Additional paid-in capital 9,217,589,109
- --------------------------------------------------------------------------------------------------------
Accumulated net investment income 92,702,994
- --------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (901,189,869)
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies 169,555,536
-----------------
NET ASSETS $ 8,580,605,186
=================
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ---------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of $6,430,790,442
and 1,459,300,802 shares of beneficial interest outstanding) $ 4.41
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.63
- ---------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $569,522,906 and 128,809,575 shares
of beneficial interest outstanding) $ 4.42
- ---------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $1,086,917,538 and 247,145,991 shares
of beneficial interest outstanding) $ 4.40
- ---------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $145,685,151 and 33,037,301 shares
of beneficial interest outstanding) $ 4.41
- ---------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets
of $347,689,149 and 79,122,593 shares of beneficial interest outstanding) $ 4.39
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
61 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2007
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $308,728) $ 442,033,424
- -------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies (net of foreign withholding taxes of $14,965) 1,947,283
Affiliated companies 24,396,684
- -------------------------------------------------------------------------------------
Fee income 564,352
- -------------------------------------------------------------------------------------
Portfolio lending fees 413,159
- -------------------------------------------------------------------------------------
Other income 73,342
--------------
Total investment income 469,428,244
- -------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------
Management fees 39,478,329
- -------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 13,856,969
Class B 6,346,693
Class C 9,576,622
Class N 633,015
- -------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 6,824,967
Class B 1,012,508
Class C 1,225,703
Class N 359,898
Class Y 78,193
- -------------------------------------------------------------------------------------
Shareholder communications:
Class A 574,268
Class B 109,108
Class C 91,607
Class N 8,725
Class Y 391
- -------------------------------------------------------------------------------------
Custodian fees and expenses 486,843
- -------------------------------------------------------------------------------------
Trustees' compensation 137,111
- -------------------------------------------------------------------------------------
Administration service fees 1,500
- -------------------------------------------------------------------------------------
Other 266,327
--------------
Total expenses 81,068,777
Less reduction to custodian expenses (52,278)
Less waivers and reimbursements of expenses (462,186)
--------------
Net expenses 80,554,313
- -------------------------------------------------------------------------------------
NET INVESTMENT INCOME 388,873,931
62 | OPPENHEIMER STRATEGIC INCOME FUND
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ----------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments:
Unaffiliated companies (including premiums on options exercised) $ 110,808,455
Affiliated companies (12,155,862)
Closing and expiration of option contracts written 4,341,484
Closing and expiration of futures contracts 17,139,079
Foreign currency transactions 87,159,556
Short positions (676,979)
Swap contracts 21,983,514
--------------
Net realized gain 228,599,247
- ----------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (72,059,233)
Translation of assets and liabilities denominated in foreign currencies 235,427,063
Futures contracts (18,286,327)
Option contracts written (321,781)
Short positions 49,242
Swap contracts 10,911,421
--------------
Net change in unrealized appreciation 155,720,385
- ----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 773,193,563
==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
63 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2007 2006
- -----------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------
Net investment income $ 388,873,931 $ 325,322,096
- -----------------------------------------------------------------------------------------------
Net realized gain 228,599,247 59,177,730
- -----------------------------------------------------------------------------------------------
Net change in unrealized appreciation 155,720,385 (134,262,183)
----------------------------------
Net increase in net assets resulting from operations 773,193,563 250,237,643
- -----------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -----------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (296,916,438) (361,826,587)
Class B (28,156,208) (55,250,172)
Class C (43,047,658) (53,959,503)
Class N (6,142,076) (6,482,780)
Class Y (14,610,638) (8,310,116)
----------------------------------
(388,873,018) (485,829,158)
- -----------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 1,070,926,051 481,164,858
Class B (183,763,262) (168,323,661)
Class C 180,462,840 97,789,142
Class N 30,962,123 28,045,769
Class Y 156,078,981 118,978,171
----------------------------------
1,254,666,733 557,654,279
- -----------------------------------------------------------------------------------------------
NET ASSETS
- -----------------------------------------------------------------------------------------------
Total increase 1,638,987,278 322,062,764
- -----------------------------------------------------------------------------------------------
Beginning of period 6,941,617,908 6,619,555,144
----------------------------------
End of period (including accumulated net investment income
of $92,702,994 and $28,620,443, respectively) $ 8,580,605,186 $ 6,941,617,908
==================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
64 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .23 1 .21 1 .21 1 .20 .26
Net realized and unrealized gain (loss) .23 (.05) .19 .15 .43
---------------------------------------------------------------------------
Total from investment operations .46 .16 .40 .35 .69
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.23) (.32) (.29) (.20) (.25)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.41 $ 4.18 $ 4.34 $ 4.23 $ 4.08
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 11.14% 3.77% 9.77% 8.73% 19.59%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 6,430,790 $ 5,077,400 $ 4,766,576 $ 4,117,666 $ 3,873,018
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 5,655,265 $ 4,888,392 $ 4,392,321 $ 4,025,554 $ 3,521,307
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.25% 5.03% 4.82% 4.69% 6.60%
Total expenses 0.90% 4 0.93% 0.94% 0.95% 0.95%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 0.89% 0.92% 0.94% 0.95% 0.95%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Year Ended September 30, 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
-------------------------------------------------------------------------
Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791
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
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS B YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 1 .18 1 .17 1 .16 .22
Net realized and unrealized gain (loss) .22 (.05) .20 .15 .44
---------------------------------------------------------------------------
Total from investment operations .41 .13 .37 .31 .66
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.19) (.28) (.26) (.17) (.22)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.42 $ 4.20 $ 4.35 $ 4.24 $ 4.10
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 9.99% 3.23% 8.94% 7.66% 18.62%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 569,523 $ 718,742 $ 918,651 $ 1,163,555 $ 1,686,295
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 635,237 $ 802,936 $ 1,021,022 $ 1,424,322 $ 1,757,152
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.43% 4.25% 4.05% 4.16% 5.92%
Total expenses 1.71% 4 1.71% 1.70% 1.69% 1.68%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 1.70% 1.71% 1.69% 1.69% 1.68%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Year Ended September 30, 2007 1.72%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
-------------------------------------------------------------------------
Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791
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.
66 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS C YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 1 .18 1 .17 1 .17 .23
Net realized and unrealized gain (loss) .22 (.05) .20 .15 .42
---------------------------------------------------------------------------
Total from investment operations .41 .13 .37 .32 .65
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.19) (.28) (.26) (.17) (.22)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.40 $ 4.18 $ 4.33 $ 4.22 $ 4.07
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 10.06% 3.22% 8.96% 7.95% 18.45%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 1,086,918 $ 857,843 $ 788,217 $ 710,085 $ 698,196
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 959,439 $ 814,425 $ 748,199 $ 716,206 $ 623,598
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.49% 4.27% 4.07% 4.06% 5.85%
Total expenses 1.66% 4 1.68% 1.69% 1.69% 1.69%
Expenses after payments, waivers and/or
reimbursements and reduction to custodian
expenses 1.65% 1.68% 1.69% 1.69% 1.69%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Year Ended September 30, 2007 1.67%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
-------------------------------------------------------------------------
Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791
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.
67 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS N YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 1 .19 1 .19 1 .17 .25
Net realized and unrealized gain (loss) .22 (.04) .19 .16 .42
---------------------------------------------------------------------------
Total from investment operations .43 .15 .38 .33 .67
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.21) (.30) (.27) (.18) (.24)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.41 $ 4.19 $ 4.34 $ 4.23 $ 4.08
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 10.42% 3.60% 9.27% 8.28% 18.82%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 145,685 $ 108,324 $ 83,287 $ 52,969 $ 30,110
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 126,935 $ 94,281 $ 69,480 $ 40,043 $ 22,627
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.84% 4.62% 4.37% 4.19% 6.08%
Total expenses 1.32% 4 1.33% 1.40% 1.38% 1.34%
Expenses after payments, waivers and/or
reimbursements and reduction to custodian
expenses 1.31% 1.33% 1.40% 1.38% 1.34%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Year Ended September 30, 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
-------------------------------------------------------------------------
Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791
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.
68 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .24 1 .22 1 .21 1 .21 .26
Net realized and unrealized gain (loss) .22 (.04) .19 .14 .42
---------------------------------------------------------------------------
Total from investment operations .46 .18 .40 .35 .68
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.24) (.33) (.30) (.20) (.25)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.39 $ 4.17 $ 4.32 $ 4.22 $ 4.07
===========================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 11.28% 4.35% 9.73% 8.80% 19.33%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 347,689 $ 179,309 $ 62,824 $ 150,699 $ 240,296
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 260,589 $ 118,239 $ 68,656 $ 213,632 $ 194,308
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.61% 5.38% 4.84% 4.80% 6.57%
Total expenses 0.56% 4 0.58% 1.16% 1.29% 1.41%
Expenses after payments, waivers and/or
reimbursements and reduction to custodian
expenses 0.55% 0.58% 0.80% 0.90% 0.91%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Year Ended September 30, 2007 0.57%
5. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
-------------------------------------------------------------------------
Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791
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.
69 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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
70 | 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).
- --------------------------------------------------------------------------------
SECURITIES SOLD SHORT. The Fund may short sale when-issued securities for future
settlement. The value of the open short position is recorded as a liability, and
the Fund records an unrealized gain or loss for the value of the open short
position. The Fund records a realized gain or loss when the short position is
closed out.
- --------------------------------------------------------------------------------
STRUCTURED SECURITIES. The Fund invests in structured securities 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 securities are often
leveraged, increasing the volatility of each securities' 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 security is sold, matures or expires.
- --------------------------------------------------------------------------------
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 September 30, 2007, the Fund had purchased
$211,298,906 of securities issued on a when-issued basis or forward commitment
and sold $11,753,062 of securities issued on a when-issued basis or forward
commitment.
71 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS 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 September 30, 2007, securities with an
aggregate market value of $602,430, representing 0.01% 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.
72 | 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, if applicable.
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.
The tax components of capital shown in the table below represent distribution
requirements the Fund must satisfy under the income tax regulations, losses the
Fund may be able to offset against income and gains realized in future years and
unrealized appreciation or depreciation of securities and other investments for
federal income tax purposes.
73 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
NET UNREALIZED
APPRECIATION
BASED ON COST OF
SECURITIES AND
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS
NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME
INCOME GAIN CARRYFORWARD 1,2,3,4 TAX PURPOSES
- ---------------------------------------------------------------------------
$178,789,674 $ -- $902,856,702 $115,641,755
1. As of September 30, 2007, the Fund had $902,158,461 of net capital loss
carryforwards available to offset future realized capital gains, if any, and
thereby reduce future taxable gain distributions. As of September 30, 2007,
details of the capital loss carryforwards were as follows:
EXPIRING
----------------------------
2008 $ 235,306,107
2009 56,817,462
2010 192,931,367
2011 294,188,800
2012 122,914,725
-------------
Total $ 902,158,461
=============
2. The Fund had $698,241 of straddle losses which were deferred.
3. During the fiscal year ended September 30, 2007, the Fund utilized
$73,657,199 of capital loss carryforward to offset capital gains realized in
that fiscal year.
4. 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.
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. Accordingly, the
following amounts have been reclassified for September 30, 2007. Net assets of
the Fund were unaffected by the reclassifications.
INCREASE INCREASE
TO ACCUMULATED TO ACCUMULATED
INCREASE TO NET INVESTMENT NET REALIZED LOSS
PAID-IN CAPITAL INCOME ON INVESTMENTS
----------------------------------------------------
$14,119,100 $64,081,638 $78,200,738
The tax character of distributions paid during the years ended September 30,
2007 and September 30, 2006 was as follows:
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2007 SEPTEMBER 30, 2006
------------------------------------------------------------------
Distributions paid from:
Ordinary income $388,873,018 $485,829,158
74 | OPPENHEIMER STRATEGIC INCOME FUND
The aggregate cost of securities and other investments and the composition of
unrealized appreciation and depreciation of securities and other investments for
federal income tax purposes as of September 30, 2007 are noted below. The
primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
Federal tax cost of securities $ 8,606,414,997
Federal tax cost of other investments 2,158,658,678
----------------
Total federal tax cost $ 10,765,073,675
================
Gross unrealized appreciation $ 353,802,200
Gross unrealized depreciation (238,160,445)
----------------
Net unrealized appreciation $ 115,641,755
================
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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
75 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
- --------------------------------------------------------------------------------
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:
YEAR ENDED SEPTEMBER 30, 2007 YEAR ENDED SEPTEMBER 30, 2006
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------------------
CLASS A
Sold 374,243,875 $ 1,621,225,351 285,205,829 $ 1,197,018,631
Dividends and/or
distributions reinvested 52,588,260 227,757,694 63,712,315 267,183,114
Acquisition-Note 15 59,159,381 260,892,868 -- --
Redeemed (240,334,556) (1,038,949,862) (234,651,361) (983,036,887)
-----------------------------------------------------------------
Net increase 245,656,960 $ 1,070,926,051 114,266,783 $ 481,164,858
=================================================================
- --------------------------------------------------------------------------------------------------------
CLASS B
Sold 24,227,240 $ 105,145,550 27,099,194 $ 114,141,319
Dividends and/or
distributions reinvested 4,782,734 20,771,577 9,067,246 38,196,513
Redeemed (71,427,424) (309,680,389) (76,102,306) (320,661,493)
-----------------------------------------------------------------
Net decrease (42,417,450) $ (183,763,262) (39,935,866) $ (168,323,661)
=================================================================
76 | OPPENHEIMER STRATEGIC INCOME FUND
YEAR ENDED SEPTEMBER 30, 2007 YEAR ENDED SEPTEMBER 30, 2006
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------------------
CLASS C
Sold 72,545,647 $ 313,480,785 52,485,697 $ 219,804,771
Dividends and/or
distributions reinvested 7,574,819 32,747,903 9,627,908 40,332,270
Redeemed (38,441,106) (165,765,848) (38,820,281) (162,347,899)
----------------------------------------------------------------
Net increase 41,679,360 $ 180,462,840 23,293,324 $ 97,789,142
================================================================
- --------------------------------------------------------------------------------------------------------
CLASS N
Sold 13,299,138 $ 57,565,717 11,223,391 $ 47,099,735
Dividends and/or
distributions reinvested 1,188,326 5,153,772 1,377,036 5,780,559
Redeemed (7,326,966) (31,757,366) (5,922,489) (24,834,525)
----------------------------------------------------------------
Net increase 7,160,498 $ 30,962,123 6,677,938 $ 28,045,769
================================================================
- --------------------------------------------------------------------------------------------------------
CLASS Y
Sold 36,588,605 $ 157,983,527 27,986,060 $ 117,026,957
Dividends and/or
distributions reinvested 3,321,638 14,364,136 1,974,505 8,229,559
Redeemed (3,767,180) (16,268,682) (1,510,690) (6,278,345)
----------------------------------------------------------------
Net increase 36,143,063 $ 156,078,981 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 IMMF, for the year ended
September 30, 2007, were as follows:
PURCHASES SALES
- ----------------------------------------------------------------------------------------
Investment securities $4,191,125,496 $3,536,218,951
U.S. government and government agency obligations 776,865,907 789,350,206
To Be Announced (TBA) mortgage-related securities 3,319,818,108 3,509,387,791
- --------------------------------------------------------------------------------
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
77 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the year ended September 30, 2007, the Fund paid
$9,422,464 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the event that the per account fee does not equal or exceed the
applicable minimum fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
periodically at an annual rate of up to 0.25% of the average annual net assets
of Class A shares of the Fund. The Distributor currently uses all of those fees
to pay dealers, brokers, banks and other financial institutions periodically for
providing personal services and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with
respect to Class A shares in any fiscal year cannot be recovered in subsequent
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% on Class B and
Class C shares and 0.25% on Class N shares. The Distributor also receives a
service fee of 0.25% per year under each plan. If either the Class B, Class C or
Class N plan is terminated by the Fund or by the shareholders of a class, the
Board of 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 September 30,
2007 for Class B, Class C and Class N shares were $104,697,154, $31,460,220 and
$2,012,295, respectively. Fees incurred by the Fund under the plans are detailed
in the Statement of Operations.
78 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- ----------------------------------------------------------------------------------------------------
September 30, 2007 $2,315,213 $45,817 $1,005,718 $103,452 $4,011
- --------------------------------------------------------------------------------
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 year ended September 30, 2007, the Manager waived $462,186 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 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.
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS Continued
As of September 30, 2007, the Fund had outstanding foreign currency contracts as
follows:
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2007 APPRECIATION DEPRECIATION
- ------------------------------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso (ARP) 10/24/07 102,400 ARP $ 32,381,628 $ -- $ 214,266
Australian Dollar (AUD) 10/11/07-12/21/07 14,900 AUD 13,181,432 836,477 --
Brazilian Real (BRR) 10/11/07-1/5/10 215,300 BRR 112,653,918 24,011,425 --
British Pound
Sterling (GBP) 10/1/07-12/27/07 25,940 GBP 53,047,559 958,605 --
Canadian Dollar (CAD) 10/11/07-12/21/07 19,320 CAD 19,435,674 668,332 --
Chilean Peso (CLP) 10/22/07 9,025,000 CLP 17,664,497 116,373 --
Dominican Republic
Peso (DOP) 10/9/07 140,977 DOP 4,220,880 -- 38,256
Euro (EUR) 10/1/07-12/27/07 208,085 EUR 296,970,786 7,555,510 --
Indian Rupee (INR) 10/4/07-10/15/07 1,411,430 INR 35,412,151 524,336 4,644
Japanese Yen (JPY) 10/2/07-10/30/07 40,120,000 JPY 349,891,422 7,056,875 553,034
Malaysian Ringgit (MYR) 11/15/07-12/17/07 103,400 MYR 30,422,920 602,831 --
Mexican Nuevo
Peso (MXN) 11/26/07 437,500 MXN 39,848,361 524,639 --
New Turkish Lira (TRY) 10/24/07-11/2/07 57,715 TRY 47,390,417 1,715,375 --
New Zealand
Dollar (NZD) 12/21/07 14,178 NZD 10,658,641 50,778 716
Norwegian Krone (NOK) 1/29/08 172,190 NOK 31,895,120 2,477,404 --
Polish Zloty (PLZ) 10/10/07-11/7/07 163,730 PLZ 61,977,629 2,759,411 --
Russian Ruble (RUR) 2/21/08 936,780 RUR 37,454,573 1,631,246 --
Singapore Dollar (SGD) 2/5/08 38,170 SGD 25,928,476 558,483 --
South African Rand (ZAR) 10/15/07 241,500 ZAR 34,978,241 1,438,438 --
South Korean Won (KRW) 10/12/07-2/1/08 33,628,000 KRW 36,829,708 153,713 --
Swedish Krona (SEK) 10/10/07 229,930 SEK 35,692,691 1,165,026 --
Swiss Franc (CHF) 10/11/07-11/8/07 31,225 CHF 26,896,170 370,756 --
-----------------------------
55,176,033 810,916
-----------------------------
CONTRACTS TO SELL
Australian Dollar (AUD) 10/9/07-10/10/07 46,535 AUD 41,274,632 -- 1,741,423
Brazilian Real (BRR) 11/5/07 61,131 BRR 33,215,128 -- 666,136
British Pound
Sterling (GBP) 10/1/07-2/6/08 30,940 GBP 63,216,566 -- 518,170
Canadian Dollar (CAD) 10/9/07-1/16/08 68,440 CAD 68,858,643 -- 3,767,232
Colombian Peso (COP) 10/16/07 33,475,000 COP 16,511,912 -- 1,265,491
Czech Koruna (CZK) 10/15/07-1/25/08 1,800,825 CZK 93,522,376 -- 5,572,042
Euro (EUR) 10/1/07-2/6/08 176,530 EUR 251,918,124 -- 9,727,339
Hong Kong Dollar (HKD) 12/19/07-1/25/08 860,745 HKD 110,780,807 646,560 24,496
Indian Rupee (INR) 11/16/07 686,000 INR 17,199,666 -- 508,669
Japanese Yen (JPY) 10/2/07-2/6/08 17,929,000 JPY 157,401,139 384,704 1,404,658
New Taiwan Dollar (TWD) 10/15/07 1,090,000 TWD 33,466,514 -- 469,208
New Turkish Lira (TRY) 11/7/07 21,190 TRY 17,328,268 -- 2,124,163
80 | OPPENHEIMER STRATEGIC INCOME FUND
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2007 APPRECIATION DEPRECIATION
- ------------------------------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL (continued)
New Zealand
Dollar (NZD) 10/9/07-10/10/07 22,240 NZD $ 16,838,130 $ -- $ 90,749
Singapore Dollar (SGD) 10/15/07 50,375 SGD 33,949,465 -- 677,556
Swiss Franc (CHF) 10/9/07-1/25/08 128,073 CHF 110,510,333 -- 2,853,293
-----------------------------
1,031,264 31,410,625
-----------------------------
Total unrealized appreciation and depreciation $ 56,207,297 $ 32,221,541
=============================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations 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.
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS Continued
As of September 30, 2007, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2007 (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Canada (Government of) Bonds, 10 yr. 12/18/07 182 $ 20,572,322 $ 64,827
DAX Index 12/21/07 113 32,043,039 574,896
Euro-Bundesobligation, 10 yr. 12/6/07 130 20,887,793 (174,548)
Euro-Schatz 12/6/07 4,189 617,397,995 (631,207)
FTSE 100 Index 12/21/07 87 11,604,806 242,124
Japan (Government of) Bonds, 10 yr. 12/10/07 108 12,692,221 (105,339)
Japan (Government of) Bonds, 10 yr. 12/11/07 139 163,293,083 (602,108)
NASDAQ 100 E-Mini Index 12/21/07 681 28,792,680 633,077
Nikkei 225 Index 12/13/07 20 2,930,397 70,659
OMXS30 Index 10/26/07 439 8,309,465 225,026
Standard & Poor's 500 Index 12/20/07 133 51,141,825 (246,316)
Standard & Poor's/MIB Index, 10 yr. 12/21/07 30 8,564,859 (44,396)
U.S. Long Bonds 12/19/07 5,850 651,360,938 1,890,780
U.S. Treasury Nts., 2 yr. 12/31/07 2,002 414,507,844 233,174
U.S. Treasury Nts., 5 yr. 12/31/07 11,146 1,192,970,313 4,527,766
U.S. Treasury Nts., 10 yr. 12/19/07 1,455 159,004,219 50,547
United Kingdom Long Gilt 12/27/07 118 25,818,234 (214,969)
---------------
6,493,993
---------------
CONTRACTS TO SELL
Australia (Commonwealth of) Bonds, 10 yr. 12/17/07 228 19,985,162 377,891
CAC 40 Index 10/19/07 202 16,496,086 (535,348)
DAX Index 12/21/07 60 17,014,003 (305,308)
Euro-Bundesobligation, 10 yr. 12/6/07 549 88,210,754 58,560
FTSE 100 Index 12/21/07 234 31,212,927 (819,242)
Mexican Bolsa Index 12/21/07 293 8,249,616 (5,864)
Nikkei 225 Index 12/13/07 302 44,248,988 (2,558,640)
Standard & Poor's 500 E-Mini Index 12/21/07 1,919 147,580,695 (4,695,121)
U.S. Long Bonds 12/19/07 1,631 181,601,656 (171,919)
U.S. Treasury Nts., 2 yr. 12/31/07 1,084 224,438,813 (923,637)
U.S. Treasury Nts., 5 yr. 12/31/07 1,455 155,730,469 (1,419,219)
U.S. Treasury Nts., 10 yr. 12/19/07 5,287 577,769,969 (3,492,753)
---------------
(14,490,600)
---------------
$ (7,996,607)
===============
- --------------------------------------------------------------------------------
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,
82 | OPPENHEIMER STRATEGIC INCOME FUND
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 year ended September 30, 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 38,670,475,000 3,507,361 38,741,435,000 4,040,434
Options closed or expired (21,123,550,000) (1,557,651) (18,258,940,000) (3,044,908)
Options exercised (17,530,855,000) (1,847,790) (20,497,045,000) (1,412,706)
---------------------------------------------------------------------
Options outstanding as of
September 30, 2007 16,070,000 $ 101,920 16,070,000 $ 102,047
=====================================================================
- --------------------------------------------------------------------------------
8. 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.
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. CREDIT DEFAULT SWAP CONTRACTS Continued
The periodic interest fees are accrued daily as a component of unrealized
appreciation (depreciation) and are recorded as realized gain (loss) 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.
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 September 30, 2007 is as
follows:
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Barclays Bank
plc: Beazer Homes USA, Inc. Sell $ 3,205 4.7000% 9/20/08 $ -- $ (228,515)
CDX.EM.8 5-Year Index Buy 34,630 1.7500 12/20/12 (318,596) (358,485)
Citigroup, Inc. Sell 17,910 3.2500 9/20/08 -- 38,193
Constellation Brands, Inc. Sell 3,070 1.0100 6/20/11 -- (27,387)
Constellation Brands, Inc. Sell 2,620 1.0300 6/20/11 -- (21,600)
Republic of Turkey Sell 9,650 1.6200 4/20/12 -- 88,539
Residential Capital LLC Sell 6,423 1.2200 3/20/08 -- (468,963)
Residential Capital LLC Sell 4,970 1,7500 3/20/08 -- (350,596)
Residential Capital LLC Sell 3,213 1.2000 3/20/08 -- (234,890)
Six Flags, Inc. Sell 2,285 7.0000 9/20/08 -- 145,352
Smithfield Foods, Inc. Sell 3,205 1.5000 3/20/12 -- 3,218
The Mosaic Co. Sell 1,555 1.5000 9/20/12 -- 31,541
- ---------------------------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
Allied Waste North
America, Inc. Sell 5,050 1.8800 3/20/12 -- (120,262)
Amkor Technology, Inc. Sell 955 2.0500 9/20/08 -- 7,291
El Paso Corp. Sell 3,050 0.7200 6/20/11 -- (53,097)
El Paso Corp. Sell 2,770 0.7800 6/20/11 -- (42,603)
El Paso Corp. Sell 2,740 0.8200 6/20/11 -- (38,436)
Ford Motor Credit Co. Sell 7,670 2.3200 3/20/12 -- (382,703)
Nalco Co. Sell 1,610 3.6000 9/20/12 -- 54,934
Nortel Networks Corp. Sell 2,985 1.8900 9/20/08 -- 13,233
NXP B.V. Sell 1,170 4.6500 9/20/12 -- (31,161)
NXP B.V. Sell 955 4.5000 9/20/12 -- (30,887)
84 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
Continued Reliant Energy, Inc. Sell $ 3,800 2.6000% 9/20/11 $ -- $ (26,731)
Reliant Energy, Inc. Sell 1,580 2.4500 9/20/11 -- (19,279)
Republic of Hungary Buy 13,835 0.4000 12/20/15 -- 11,167
Republic of Indonesia Sell 4,760 2.1000 9/20/12 -- 159,900
Republic of Turkey Sell 7,240 2.4700 4/20/17 -- 122,654
The Williams Cos., Inc. Sell 7,200 0.6500 3/20/12 -- (38,946)
The Williams Cos., Inc. Sell 2,000 1.1100 3/20/12 -- 26,116
Tribune Co. Sell 1,980 7.5000 9/20/08 -- 18,502
Tribune Co. Sell 1,375 7.6000 9/20/08 -- 15,604
Univision
Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (9,518)
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
ArvinMeritor, Inc. Sell 3,165 1.4000 9/20/08 -- (373)
ArvinMeritor, Inc. Sell 3,060 1.6000 9/20/08 -- 5,624
CDX.NA.HY.8 Index Sell 7,980 2.7500 6/20/12 (397,836) (169,749)
CenturyTel, Inc. Buy 4,155 0.3775 9/20/12 -- 5,019
Charter
Communications
Holdings LLC Buy 755 5.0000 9/20/10 48,131 39,024
Charter
Communications
Holdings LLC Sell 755 5.0000 9/20/17 (151,000) (132,254)
Charter
Communications
Holdings LLC Buy 635 7.0000 9/20/10 -- (1,870)
Charter
Communications
Holdings LLC Sell 635 5.0000 9/20/17 (127,000) (109,317)
Constellation
Brands, Inc. Sell 2,930 1.0200 6/20/11 -- (19,851)
Constellation
Brands, Inc. Sell 1,479 1.0000 6/20/11 -- (11,093)
CVRD Inco Ltd. Buy 1,615 0.5800 3/20/17 -- (8,836)
Dean Foods Co. Sell 1,565 1.0200 6/20/11 -- (22,677)
Dean Foods Co. Sell 1,525 1.0000 6/20/11 -- (23,126)
Dow Jones
CDX.NA.HY.7 Index Sell 4,780 3.2500 12/20/11 169,471 48,216
Echostar DBS Corp. Sell 1,605 2.1300 9/20/11 -- 62,274
El Paso Corp. Sell 1,535 0.7400 6/20/11 -- (32,859)
El Paso Corp. Sell 1,530 0.7700 6/20/11 -- (31,207)
Embarq Corp. Buy 2,015 0.5700 9/20/12 -- (499)
Ford Motor Credit Co. Sell 10,620 2.3850 3/20/12 -- (507,038)
Ford Motor Credit Co. Sell 3,390 2.5500 3/20/12 -- (143,496)
GMAC LLC Sell 6,195 1.3900 3/20/17 -- (584,940)
NJSC Naftogaz Sell 8,905 3.2500 4/20/11 -- (862,258)
NXP B.V. Sell 1,330 6.2000 9/20/12 -- 62,569
NXP B.V. Sell 440 5.2500 9/20/12 -- 4,565
Residential Capital LLC Sell 3,234 1.3000 3/20/08 -- (126,608)
Smithfield Foods, Inc. Sell 3,253 1.4900 3/20/12 -- 1,829
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
Continued Toys "R" Us, Inc. Sell $ 1,810 2.8000% 9/20/08 $ -- $ (15,738)
TXU Corp. Sell 3,050 1.5300 6/20/11 -- (231,434)
TXU Corp. Sell 1,560 1.6100 6/20/11 -- (114,420)
Vale Overseas Ltd. Sell 1,615 1.0300 3/20/17 -- (16,381)
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
ABX.HE.AA.06-2 Index Sell 1,980 0.1700 5/25/46 (237,581) (207,955)
ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,971) (190,917)
ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,927) (190,917)
CenturyTel, Inc. Buy 4,225 0.4250 9/20/12 -- (339)
Countrywide Home
Loans, Inc. Sell 17,960 2.5500 9/20/08 -- (412,701)
CVRD Inco Ltd. Buy 3,245 0.6300 3/20/17 -- (26,040)
CVRD Inco Ltd. Buy 3,190 0.4200 3/20/17 -- 25,635
Dow Jones
CDX.NA.HY.7 Index Sell 13,415 3.2500 12/20/11 475,222 132,967
Echostar DBS Corp. Sell 1,060 1.6000 9/20/11 -- 24,342
Embarq Corp. Buy 6,365 0.6100 9/20/12 -- 1,801
Ford Motor Co. Sell 11,810 5.8500 12/20/16 -- (100,236)
Ford Motor Co. Sell 9,450 5.8000 12/20/16 -- (103,788)
Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (7,781)
Ford Motor Credit Co. Sell 12,095 2.3900 3/20/12 -- (571,476)
Ford Motor Credit Co. Sell 4,740 2.3400 3/20/12 -- (158,784)
General Motors Corp. Sell 7,555 4.6800 12/20/16 -- (78,688)
General Motors Corp. Sell 6,220 4.7500 12/20/16 -- (41,774)
GMAC LLC Sell 6,465 1.3700 3/20/17 -- (663,991)
Lear Corp. Sell 3,475 2.4000 9/20/08 -- 47,827
Mediacom LLC Sell 690 4.9000 9/20/12 -- 13,419
Republic of Peru Buy 7,440 1.7100 12/20/16 -- (314,806)
Republic of Peru Sell 5,080 1.3200 4/20/17 -- 72,908
The Williams Cos., Inc. Sell 3,800 1.0200 3/20/12 -- 35,752
Vale Overseas Ltd. Sell 3,245 1.0500 3/20/17 -- (3,944)
Vale Overseas Ltd. Sell 3,190 1.0000 3/20/17 -- (15,530)
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets
LP:
ABX.HE.AA.06-2 Index Sell 725 0.1700 5/25/46 (59,734) (72,490)
ArvinMeritor, Inc. Sell 3,145 1.6000 9/20/08 -- 9,712
Beazer Homes USA, Inc. Sell 3,395 2.6500 9/20/08 -- (392,166)
Beazer Homes USA, Inc. Sell 3,205 4.8000 9/20/08 -- (314,071)
Beazer Homes USA, Inc. Sell 3,100 2.5000 6/20/08 -- (279,290)
Constellation Brands, Inc. Sell 2,480 1.9000 6/20/11 -- 45,827
Freescale Semiconductor,
Inc. Sell 3,125 3.6000 9/20/11 -- (95,854)
Freescale Semiconductor,
Inc. Sell 1,660 3.7500 9/20/11 -- (43,015)
General Motors Corp. Sell 6,220 4.9500 12/20/16 -- (35,093)
GMAC LLC Sell 6,625 1.3900 3/20/17 -- (686,915)
GMAC LLC Sell 5,330 1.3700 3/20/17 -- (558,217)
GMAC LLC Sell 3,825 1.3900 3/20/17 -- (396,596)
86 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets
LP: Continued
GMAC LLC Sell $ 3,210 1.3900% 3/20/17 $ -- $ (332,830)
K. Hovnanian
Enterprises, Inc. Sell 8,265 2.0000 6/20/08 -- (435,658)
K. Hovnanian
Enterprises, Inc. Sell 6,470 2.0000 6/20/08 -- (341,042)
K. Hovnanian
Enterprises, Inc. Sell 6,470 1.8000 6/20/08 -- (349,964)
Lear Corp. Sell 1,645 2.2500 9/20/08 -- 9,922
Lennar Corp. Sell 1,465 2.9000 12/20/08 -- (17,851)
Nalco Co. Sell 1,735 3.7000 9/20/12 -- 53,244
Residential Capital LLC Sell 3,201 1.1800 3/20/08 -- (199,203)
Residential Capital LLC Sell 3,118 1.3600 3/20/08 -- (191,445)
Standard Pacific Corp. Sell 17,250 2.2000 6/20/08 -- (1,351,169)
- ---------------------------------------------------------------------------------------------------------------------------
Goldman
Sachs
International:
Amkor Technology, Inc. Sell 1,062 2.6500 9/20/08 -- 10,518
CDX.NA.IG.9 Index Buy 68,100 0.8000 12/20/17 (495,876) (1,045,243)
First Data Corp. Sell 640 3.0000 9/20/08 -- 2,628
The Mosaic Co. Sell 1,570 1.6000 9/20/12 -- 40,515
The Mosaic Co. Sell 600 2.0000 9/20/12 -- 14,691
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank
NA, NY
Branch:
CDX.NA.HY.8 Index Sell 9,575 2.7500 6/20/12 (477,354) (205,437)
CVRD Inco Ltd. Buy 1,590 0.5200 3/20/17 -- (3,069)
Dean Foods Co. Sell 4,000 1.0800 6/20/11 -- (57,933)
Dean Foods Co. Sell 3,040 1.0300 6/20/11 -- (49,139)
Dean Foods Co. Sell 3,035 1.0600 6/20/11 -- (45,997)
Dean Foods Co. Sell 1,560 1.0500 6/20/11 -- (24,167)
Dole Food Co., Inc. Sell 2,475 2.3800 9/20/08 -- (13,365)
Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (3,276)
General Motors Corp. Sell 9,450 4.7500 12/20/16 -- (131,674)
Lehman Brothers
Holdings, Inc. Sell 9,950 1.5500 9/20/08 -- 73,698
Merrill Lynch & Co., Inc. Sell 9,950 0.8000 9/20/08 -- 30,199
Morgan Stanley Sell 8,725 0.7500 9/20/08 -- 22,090
Morgan Stanley Sell 3,215 0.7500 9/20/08 -- 8,471
Rite Aid Corp. Sell 975 1.4000 9/20/08 -- (7,201)
The Mosaic Co. Sell 1,565 1.3500 9/20/12 -- 30,895
The Mosaic Co. Sell 1,550 1.5000 9/20/12 -- 40,830
Toys "R" Us, Inc. Sell 1,585 1.9200 9/20/08 -- (11,878)
- ---------------------------------------------------------------------------------------------------------------------------
Lehman
Brothers
Special
Financing,
Inc.:
ABX.HE.AA.06-2 Index Sell 490 0.1700 5/25/46 (120,022) (53,387)
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Lehman
Brothers
Special
Financing,
Inc.: Continued
Allied Waste
North America, Inc. Sell $ 3,500 1.8800% 3/20/12 $ -- $ (107,227)
Allied Waste
North America, Inc. Sell 1,103 1.8800 3/20/12 -- (33,791)
Amkor Technology, Inc. Sell 1,650 2.5000 9/20/08 -- 18,752
ArvinMeritor, Inc. Sell 3,380 2.2000 9/20/08 -- 23,786
ArvinMeritor, Inc. Sell 3,120 1.1500 9/20/08 -- (9,932)
ArvinMeritor, Inc. Sell 2,200 3.0000 9/20/08 -- 32,612
Beazer Homes USA, Inc. Sell 4,810 5.4000 9/20/08 -- (348,497)
Beazer Homes USA, Inc. Sell 1,500 2.3300 6/20/08 -- (100,300)
Beazer Homes USA, Inc. Sell 1,280 2.6500 6/20/08 -- (82,851)
Cablevision Systems Corp. Sell 1,580 3.1300 12/20/10 -- (2,253)
Cablevision Systems Corp. Sell 400 3.4000 12/20/10 -- 2,630
CDX.NA.HY.8 Index Sell 11,160 2.7500 6/20/12 (556,373) (238,766)
CDX.NA.HY.8 Index Sell 7,980 2.7500 6/20/12 (387,861) (170,731)
CDX.NA.IG.9 Index Buy 68,100 0.8000 12/20/17 (404,034) (503,330)
Charter
Communications
Holdings LLC Buy 1,605 7.2500 9/20/10 -- (65,656)
Charter
Communications
Holdings LLC Buy 1,605 7.6000 9/20/10 -- (79,050)
Charter
Communications
Holdings LLC Sell 1,605 5.0000 9/20/12 (240,750) (184,952)
Charter
Communications
Holdings LLC Sell 1,605 5.0000 9/20/12 (256,800) (186,053)
Constellation
Brands, Inc. Sell 3,060 1.0000 6/20/11 -- (29,782)
Dole Food Co., Inc. Sell 3,170 3.2000 9/20/08 -- 6,396
Dole Food Co., Inc. Sell 2,300 5.2500 9/20/08 -- 50,232
Dow Jones
CDX.NA.HY.7 Index Sell 3,218 3.2500 12/20/11 59,632 30,167
Dow Jones
CDX.NA.HY.7 Index Sell 3,218 3.2500 12/20/11 59,632 30,167
El Paso Corp. Sell 4,575 0.7300 6/20/11 -- (45,509)
El Paso Corp. Sell 1,550 0.8000 6/20/11 -- (11,707)
First Data Corp. Sell 3,175 3.5000 9/20/08 -- 35,266
First Data Corp. Sell 3,170 2.7500 9/20/08 -- 12,193
First Data Corp. Sell 2,200 3.0000 9/20/08 -- 13,788
First Data Corp. Sell 1,650 3.0000 9/20/08 -- 10,341
Freescale
Semiconductor, Inc. Sell 1,500 3.7200 9/20/11 -- (38,958)
88 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------
Lehman
Brothers
Special
Financing,
Inc.: Continued
Freescale
Semiconductor, Inc. Sell $ 2,165 3.5500% 9/20/11 $ -- $ (68,300)
GMAC LLC Sell 3,400 1.4000 3/20/17 -- (392,679)
GMAC LLC Sell 3,210 1.4000 3/20/17 -- (370,736)
K. Hovnanian
Enterprises, Inc. Sell 3,616 4.2200 9/20/08 -- (176,851)
Lear Corp. Sell 3,205 2.1000 9/20/08 -- 19,421
Lear Corp. Sell 3,205 2.5000 9/20/08 -- 8,606
Lear Corp. Sell 3,175 3.7000 9/20/08 -- 68,655
Lear Corp. Sell 3,155 2.0000 9/20/08 -- 16,049
Lennar Corp. Sell 5,920 2.9000 12/20/08 -- (37,011)
MBIA Inc. Sell 17,870 1.9500 9/20/08 -- 15,165
Mediacom LLC Sell 1,905 4.7500 9/20/12 -- 39,428
Mediacom LLC Sell 655 4.8000 9/20/12 -- 13,566
Mediacom LLC Sell 505 4.7500 9/20/12 -- 10,452
Mediacom LLC Sell 420 4.8000 9/20/12 -- 9,749
Nalco Co. Sell 960 3.4000 9/20/12 -- 20,349
Nortel Networks Corp. Sell 1,490 1.8500 9/20/08 -- 2,126
NXP B.V. Sell 2,165 4.1500 9/20/12 -- (115,219)
NXP B.V. Sell 1,635 4.4500 9/20/12 -- (68,585)
Reliant Energy, Inc. Sell 155 2.5000 9/20/11 -- (1,003)
Rite Aid Corp. Sell 2,300 1.4500 9/20/08 -- (22,448)
Rite Aid Corp. Sell 1,850 1.3500 9/20/08 -- (19,847)
Rite Aid Corp. Sell 1,600 1.3500 9/20/08 -- (17,165)
Six Flags, Inc. Sell 5,125 5.2200 9/20/08 -- 38,433
Six Flags, Inc. Sell 2,050 5.0000 9/20/08 -- 18,664
Six Flags, Inc. Sell 1,380 7.0000 9/20/08 -- 41,769
Smithfield Foods, Inc. Sell 4,085 1.5800 3/20/12 -- 2,693
The Bear Stearns Cos., Inc. Sell 9,945 1.6000 9/20/08 -- 48,133
Toys "R" Us, Inc. Sell 4,250 1.9500 9/20/08 -- (38,903)
Toys "R" Us, Inc. Sell 1,778 4.3000 9/20/08 -- 24,062
Toys "R" Us, Inc. Sell 3,130 1.8500 9/20/08 -- (31,675)
Tribune Co. Sell 1,605 7.4500 9/20/08 -- 8,309
Tribune Co. Sell 1,005 7.5500 9/20/08 -- 1,426
Tribune Co. Sell 400 7.5500 9/20/08 -- 485
Univision
Communications, Inc. Sell 7,168 1.2000 6/20/08 -- (36,798)
Univision
Communications, Inc. Sell 3,241 1.1500 6/20/08 -- (17,831)
Univision
Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (9,503)
- -----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch
International:
Echostar DBS Corp. Sell 1,605 2.0500 9/20/11 -- 50,031
Reliant Energy, Inc. Sell 1,805 2.0500 9/20/11 -- (43,211)
Republic of Turkey Sell 4,750 2.4700 4/20/17 -- 72,724
TXU Corp. Sell 4,450 2.0600 6/20/11 -- (270,843)
TXU Corp. Sell 3,850 1.6200 6/20/11 -- (288,066)
89 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch
International:
Continued TXU Corp. Sell $ 3,060 1.5800% 6/20/11 $ -- $ (232,839)
TXU Corp. Sell 3,060 1.5900 6/20/11 -- (231,869)
TXU Corp. Sell 3,050 1.5300 6/20/11 -- (236,916)
- -----------------------------------------------------------------------------------------------------------------------------
Morgan
Stanley
& Co.
International
Ltd.: Smithfield Foods, Inc. Sell 3,160 1.5100 3/20/12 -- 6,859
- -----------------------------------------------------------------------------------------------------------------------------
Morgan
Stanley
Capital
Services, Inc.:
ABX.HE.AA.06-2 Index Sell 1,320 0.1700 5/25/46 (131,994) (143,819)
ABX.HE.AA.06-2 Index Sell 625 0.1700 5/25/46 (49,932) (68,096)
CDX North America
Investment Grade Index Sell 35,885 3.0000 3/23/13 -- 277,035
CDX.EM.8 Index Buy 34,630 1.7500 12/20/12 (311,670) (391,353)
Companhia Vale Do
Rio Doce Sell 3,290 1.0400 3/20/17 -- 2,002
Companhia Vale Do
Rio Doce Sell 3,220 0.9700 3/20/17 -- (16,706)
Companhia Vale Do
Rio Doce Sell 3,190 0.9200 3/20/17 -- (27,939)
Companhia Vale Do
Rio Doce Sell 1,590 1.0600 3/20/17 -- 1,969
CVRD Inco Ltd. Buy 3,290 0.6000 3/20/17 -- (11,322)
CVRD Inco Ltd. Buy 3,220 0.5200 3/20/17 -- 7,823
CVRD Inco Ltd. Buy 3,190 0.5200 3/20/17 -- 7,750
Dean Foods Co. Sell 3,030 0.9500 6/20/11 -- (48,160)
Ford Motor Co. Sell 7,775 6.1500 12/20/16 -- 58,082
Ford Motor Co. Sell 2,705 5.9000 12/20/16 -- (38,461)
General Motors Corp. Sell 6,220 4.9000 12/20/16 -- (20,344)
General Motors Corp. Sell 2,175 4.6200 12/20/16 -- (123,322)
Istanbul Bond Co. SA
for Finansbank Sell 25,090 1.3000 3/24/13 -- (224,631)
Lennar Corp. Sell 1,090 2.9000 12/20/08 -- (8,799)
NXP B.V. Sell 705 4.9500 9/20/12 -- (11,179)
Republic of Indonesia Sell 9,490 2.2300 9/20/12 -- 370,364
Republic of Peru Sell 6,760 1.0400 6/20/17 -- (48,919)
Republic of Turkey Sell 9,500 1.6000 4/20/12 -- 69,942
Republic of Turkey Sell 8,290 2.7500 11/20/16 -- 264,139
Residential Capital LLC Sell 9,565 6.1700 9/20/08 -- (482,165)
Residential Capital LLC Sell 3,253 6.2500 9/20/08 -- (161,711)
- -----------------------------------------------------------------------------------------------------------------------------
UBS AG:
Lehman Brothers
Holdings, Inc. Sell 3,980 1.5500 9/20/08 -- 29,378
Massey Energy Co. Sell 1,610 5.1000 9/20/12 -- 54,063
Massey Energy Co. Sell 960 5.0500 9/20/12 -- 30,452
90 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------
UBS AG:
Continued Republic of Indonesia Sell $ 6,450 2.3000% 9/20/11 $ -- $ 273,875
Republic of the Philippines Sell 9,895 1.4500 6/20/17 -- (372,714)
The Mosaic Co. Sell 1,560 1.7800 9/20/12 -- 54,573
---------------------------
$(4,388,223) $(19,633,482)
===========================
- --------------------------------------------------------------------------------
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
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.
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.
As of September 30, 2007, the Fund had entered into the following interest rate
swap agreements:
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ----------------------------------------------------------------------------------------------------------
Banco Santander
Central Hispano
SA:
Six-Month
Tasa Nominal
Annual (TNA-
3,247,000,000 CLP Chile) 6.6000% 8/21/17 $ 112,883
18,790,000 BRR BZDI 14.0000 1/3/12 699,221
91 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ----------------------------------------------------------------------------------------------------------
Barclays Bank plc:
87,900,000 MXN MXN TIIE 9.2700% 7/17/26 $ 668,288
Six-Month
149,890,000 NOK NIBOR 5.3850 1/29/10 (132,738)
Six-Month
18,260,000 EUR 4.2200% EURIBOR 1/29/10 112,324
- ----------------------------------------------------------------------------------------------------------
Citibank NA,
London:
Six-Month
11,710,000 PLZ WIBOR 5.5200 3/24/10 45,511
Six-Month
18,736,000 PLZ WIBOR 5.5500 3/25/10 75,388
- ----------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
328,800,000 TWD 2.3200 TWD-Telerate 6/27/11 74,776
Six-Month
Tasa Nominal
2,598,000,000 CLP Annual (TNA) 6.5300 8/25/17 128
- ----------------------------------------------------------------------------------------------------------
Credit Suisse
First Boston, Six-Month
Inc. 30,925,000 PLZ WIBOR 4.4800 7/1/10 (310,408)
- ----------------------------------------------------------------------------------------------------------
Credit Suisse
International:
84,250,000 MXN MXN TIIE 8.3000 12/17/26 (111,364)
Six-Month
Tasa Nominal
Annual (TNA-
2,598,000,000 CLP Chile) 6.5800 8/21/17 83,874
- ----------------------------------------------------------------------------------------------------------
Deutsche
Bank AG:
INR MIBOR-
329,300,000 INR 7.1750 OIS Compound 6/27/11 (1,433)
Six-Month
1,604,000,000 HUF 8.4400 BUBOR 7/4/11 (487,370)
- ----------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets
LP:
Six-Month
144,170,000 NOK NIBOR 5.4700 5/2/10 (14,582)
EUR EURIBOR-
17,910,000 EUR 4.4155 Telerate 5/2/10 329
- ----------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc.
(The) 187,430,000 MXN MXN TIIE 9.8400 12/31/09 677,187
- ----------------------------------------------------------------------------------------------------------
Goldman Sachs
International CNY-
66,200,000 CNY 4.0000 CFXSREPOFIX01 2/16/17 524,717
92 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- ----------------------------------------------------------------------------------------------------------
J Aron & Co.:
94,770,000 MXN MXN TIIE 9.1500% 8/27/26 $ 593,943
40,600,000 MXN MXN TIIE 9.3300 9/16/26 322,233
34,060,000 BRR BZDI 12.9200 1/2/14 879,136
16,960,000 BRR BZDI 12.8700 1/2/14 423,575
33,770,000 BRR BZDI 12.7100 1/4/10 460,928
66,840,000 BRR BZDI 12.6100 1/4/10 835,604
41,081,100 BRR BZDI 12.3900 1/2/12 1,094,875
121,700,000 MXN MXN TIIE 9.5100 8/26/25 1,139,706
82,420,000 MXN MXN TIIE 9.5000 8/28/25 763,853
92,950,000 BRR BZDI 14.8900 1/4/10 3,621,213
130,000 BRR BZDI 12.2600 1/2/15 1,981
60,000 BRR BZDI 12.2900 1/2/15 946
70,300,000 MXN MXN TIIE 9.2900 7/17/26 532,367
18,790,000 BRR BZDI 14.0500 1/2/12 744,862
- ----------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank NA:
Three-Month
177,410,000 ZAR 8.2900% JIBA 6/21/08 366,840
41,099,351 BRR BZDI 12.3800 1/2/12 1,779,049
37,410,000 BRR BZDI 13.9100 1/2/12 2,672,896
- ----------------------------------------------------------------------------------------------------------
Lehman
Brothers
Special
Financing, Inc.:
Six-Month
35,990,000 PLZ WIBOR 4.5300 7/5/10 (77,773)
Fund pays
the greater of
0% and 8*(-
0.0031375-
(10 yr. CMS Index
+ 2 yr. CMS Index))
49,020, 000 quarterly $ 1,404,900 2/5/17 (1,238,851)
- ----------------------------------------------------------------------------------------------------------
Morgan Stanley
& Co. Three-Month
International 4,492,000,000 KZT 8.2500 KZT 6/29/12 (1,219,710)
- ----------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Six-Month
Inc. 38,630,000 EUR 4.7130 EURIBOR 8/22/17 (141,604)
- ----------------------------------------------------------------------------------------------------------
Three-Month
Westpac 86,450,000 NZD 7.7750 NZD-BBR-FRA 9/17/09 153,569
-------------
$ 15,726,369
=============
93 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
BRR Brazilian Real
CLP Chilean Peso
CNY Chinese Renminbi (Yuan)
EUR Euro
HUF Hungarian Forint
INR Indian Rupee
KZT Kazakhstan Tenge
MXN Mexican Nuevo Peso
TWD New Taiwan Dollar
NZD New Zealand Dollar
NOK Norwegian Krone
PLZ Polish Zloty
ZAR South African Rand
Index abbreviations are as follows:
BUBOR Budapest Interbank Offered Rate
BZDI Brazil Interbank Deposit Rate
CMS Constant Maturity Swap
CNY-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
NZD-BBR-FRA New Zealand Dollar--Bank Bill Rate--Forward Rate Agreement
WIBOR Poland Warsaw Interbank Offer Bid Rate
- --------------------------------------------------------------------------------
10. 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 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 during the
period is included on the Statement of Operations. The Fund also records any
periodic payments received from (paid to) the
94 | OPPENHEIMER STRATEGIC INCOME FUND
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 September 30, 2007, the Fund had entered into the following total return
swap agreements:
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- -------------------------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
Twelve-Month JPY
BBA LIBOR plus 40
basis points and if
negative, the absolute If positive, the
value of the Total Total Return of a
Return of a custom custom basket of
2,874,377,680 JPY basket of securities securities 4/8/08 $ 286,980
Twelve-Month GBP
BBA LIBOR plus 35
basis points and if
negative, the absolute If positive, the
value of the Total Total Return of a
Return of a custom custom basket of
12,207,291 GBP basket of securities securities 5/7/08 (81,691)
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG:
If positive, the
Total Return of the
If negative, the Lehman Brothers
absolute value of the U.S. CMBS
Lehman Brothers U.S. AAA 8.5+
CMBS AAA 8.5+ Index plus 60
29,610,000 Index basis points 2/1/08 212,227
Six-Month USD BBA
13,250,000 LIBOR 5.4600% 5/13/15 2,688,338
Six-Month USD
7,260,000 LIBOR 5.2500 6/23/15 1,227,085
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG, London:
One-Month BBA
EURIBOR plus 10
basis points and if
negative, the absolute If positive, the
value of the Total Total Return of a
Return of a custom custom equity
6,752,653 EUR equity basket basket 10/7/08 (150,519)
95 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. TOTAL RETURN SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- -------------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG, London:
Continued One-Month USD
BBA LIBOR plus 20
basis points and if
negative, the absolute If positive, the
value of the Total Total Return of a
Return of a custom custom equity
$20,693,236 equity basket basket 9/15/08 $ 810,598
- -------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Six-Month BBA
7,490,000 LIBOR 5.1000% 1/14/15 1,580,439
Six-Month BBA
7,490,000 LIBOR 5.0800 1/20/15 1,621,297
- -------------------------------------------------------------------------------------------------------------------------
Goldman
Sachs
International:
One-Month USD
BBA LIBOR and if
negative, the absolute If positive, the
value of the Total Total Return of the
Return of the MSCI MSCI Daily Total
Daily Total Return Return Net Belgium
Net Belgium USD USD Market
926,913 Market Index Index 10/9/07 13,356
If positive, the
If negative, the absolute value of
Total Return of the the Total Return
BOVESPA 10/07 of the BOVESPA
15,245,202 BRR Index 10/07 Index 10/18/07 988,314
If positive, the
If negative, the absolute value of
Total Return of the the Total Return
BOVESPA 10/07 of the BOVESPA
1,012,620 BRR Index 10/07 Index 10/18/07 140,516
If negative, the
If positive, the absolute value of
Total Return of the Total Return
the INDF/NSE INDF/NSE
NIFTY Index NIFTY Index
(357,368,000) INR 10/07 Future 10/07 Future 10/25/07 (140,312)
96 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- -------------------------------------------------------------------------------------------------------------------------
Goldman
Sachs
International:
Continued
If negative, the
If positive, the absolute value of
Price Return of the Price Return
the SMI 12/07 of the SMI 12/07
(9,352,161) CHF Future Future 12/28/07 $ (154,634)
One-Month USD
BBA LIBOR plus
spread and if
negative, the absolute If positive, the
value of the Total Total Return of a
Return of a custom custom equity
80,436,402 equity basket basket 1/8/08 2,882,740
One-Month USD
BBA LIBOR and if
negative, the If positive, the
absolute value of the Total Return of
Total Return of the the MSCI Daily
MSCI Daily Total Total Return
Return Net Belgium Net Belgium USD
7,194,271 USD Market Index Market Index 10/9/07 124,434
- -------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
If positive, the
If negative, the Total Return of
absolute value of the U.S. CMBS
the Lehman AAA 8.5+ Index
Brothers U.S. CMBS plus 32.5 basis
19,410,000 AAA 8.5+ Index points 11/1/07 131,847
If positive, the
Total Return of
If negative, the the Lehman
absolute value of Brothers U.S. CMBS
the Lehman AAA 8.5+ Index
Brothers U.S. CMBS plus 60 basis
10,765,000 AAA 8.5+ Index points 2/1/08 73,512
If positive, the
Total Return of
If negative, the the Lehman
absolute value of Brothers U.S. CMBS
the Lehman AAA 8.5+ Index
Brothers U.S. CMBS minus 25 basis
13,750,000 AAA 8.5+ Index points 3/1/08 87,689
97 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. TOTAL RETURN SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- -------------------------------------------------------------------------------------------------------------------------
Merrill Lynch
Capital Services,
Inc.:
The Constant
Maturity Option
Price divided by
$ 43,500,000 5.3300% 10,000 8/13/17 $ (991,029)
The Constant
Maturity Option
Price divided by
177,060,000 4.6600 10,000 6/11/17 3,355,641
- -------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
If positive, the
If negative, the Total Return of
absolute value of the Lehman
the Lehman Brothers U.S. CMBS
Brothers U. S. CMBS AAA 8.5+Index
3,000,000 AAA 8.5+ Index plus 25 basis points 10/31/07 20,474
If positive, the
Total Return of
If negative, the the Lehman
absolute value of Brothers U.S. CMBS
the Lehman AAA 8.5+Index
Brothers U.S. CMBS plus 110 basis
4,240,000 AAA 8.5+ Index points 1/31/08 31,739
Three-Month USD
936,780,000 RUR BBA LIBOR 7.7500% 12/26/13 87,691
- -------------------------------------------------------------------------------------------------------------------------
One-Month EUR If positive, the
BBA LIBOR and if Total Return of a
negative, the custom basket of
absolute value of securities plus the
the Total Return of dividends from the
Morgan Stanley a custom basket of basket of
International 11,988,600 EUR securities securities 12/20/07 331,857
- -------------------------------------------------------------------------------------------------------------------------
If positive, the
Total Return of
If negative, the the Lehman
absolute value of Brothers U.S. CMBS
the Lehman AAA 8.5+ Index
Brothers U.S. CMBS plus 60 basis
UBS AG 13,457,000 AAA 8.5+ Index points 2/1/08 95,501
------------
$15,274,090
============
98 | OPPENHEIMER STRATEGIC INCOME FUND
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
Index abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BOVESPA Bovespa Index that trades on the Sao Paulo Stock Exchange
CMBS Commercial Mortgage Backed Securities
EURIBOR Euro Interbank Offered Rate
INDF/NSE
NIFTY Index Indian National Stock Exchange Nifty Index
LIBOR London-Interbank Offered Rate
MSCI Morgan Stanley Capital International
SMI Swiss Market Index
- --------------------------------------------------------------------------------
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 counter-party 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.
99 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. CURRENCY SWAPS Continued
As of September 30, 2007, the Fund entered into the following currency swap
arrangements:
NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- --------------------------------------------------------------------------------------------
Credit Suisse
International:
Three Month USD
11,360,000 TRY BBA LIBOR 16.75% 2/26/12 $ 2,483,251
Three-Month USD
4,575,000 TRY BBA LIBOR 17.25 2/7/12 1,144,830
Three-Month USD
6,900,000 TRY BBA LIBOR 17.30 2/9/12 1,722,781
- --------------------------------------------------------------------------------------------
Merrill Lynch Three-Month BBA
International 7,160,000 TRY LIBOR 17.10 2/6/12 1,736,890
------------
$ 7,087,752
============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currency:
TRY New Turkish Lira
Index abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
- --------------------------------------------------------------------------------
12. ILLIQUID SECURITIES
As of September 30, 2007, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund will not invest more than 10% of its net assets (determined at the time of
purchase and reviewed periodically) in illiquid securities. Securities that are
illiquid are marked with the applicable footnote on the Statement of
Investments.
- --------------------------------------------------------------------------------
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 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
100 | OPPENHEIMER STRATEGIC INCOME FUND
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 September 30,
2007, the Fund had on loan securities valued at $239,036,233, which are included
in the Statement of Assets and Liabilities as "Investments, at value" and, when
applicable, as "Receivable for Investments sold." Collateral of $243,457,871 was
received for the loans, $120,576,273 of which was received in cash and
subsequently invested in approved investments. In addition, collateral of
$122,881,598 was also received in the form of securities.
- --------------------------------------------------------------------------------
14. RECENT ACCOUNTING PRONOUNCEMENT
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
September 30, 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, ("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 September 30, 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.
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15. ACQUISITION OF ATLAS STRATEGIC INCOME FUND
On May 10, 2007, the Fund acquired all of the net assets of Atlas Strategic
Income Fund, pursuant to an Agreement and Plan of Reorganization approved by the
Atlas Strategic Income Fund shareholders on March 23, 2007. The Fund issued (at
an exchange ratio of 1.049645 for Class A to one share of Atlas Strategic Income
Fund) 59,159,381, shares of beneficial interest for Class A valued at
$260,892,868 in exchange for the net assets, resulting in combined Class A net
assets of $5,988,114,190 on May 10, 2007. The net assets acquired included net
unrealized appreciation of $12,016,003. The exchange qualified as a tax-free
reorganization for federal income tax purposes.
101 | OPPENHEIMER STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND:
We have audited the accompanying statement of assets and liabilities of
Oppenheimer Strategic Income Fund (the "Fund"), including the statement of
investments, as of September 30, 2007, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of September 30, 2007, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Fund as of September 30, 2007, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America.
DELOITTE & TOUCHE LLP
Denver, Colorado
November 14, 2007
102 | OPPENHEIMER STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
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In early 2008, if applicable, shareholders of record will receive information
regarding all dividends and distributions paid to them by the Fund during
calendar year 2007. Regulations of the U.S. Treasury Department require the Fund
to report this information to the Internal Revenue Service.
Dividends, if any, paid by the Fund during the fiscal year ended September
30, 2007 which are not designated as capital gain distributions should be
multiplied by 0.20% to arrive at the amount eligible for the corporate
dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal
year ended September 30, 2007 which are not designated as capital gain
distributions are eligible for lower individual income tax rates to the extent
that the Fund has received qualified dividend income as stipulated by recent tax
legislation. $1,023,299 of the Fund's fiscal year taxable income may be eligible
for the lower individual income tax rates. In early 2008, shareholders of record
will receive information regarding the percentage of distributions that are
eligible for lower individual income tax rates.
Recent tax legislation allows a regulated investment company to designate
distributions not designated as capital gain distributions, as either interest
related dividends or short-term capital gain dividends, both of which are exempt
from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal
year ended September 30, 2007, $227,117,762 or 58.40% of the ordinary
distributions paid by the Fund qualifies as an interest related dividend.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because of
the complexity of the federal regulations which may affect your individual tax
return and the many variations in state and local tax regulations, we recommend
that you consult your tax advisor for specific guidance.
103 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
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The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
104 | OPPENHEIMER STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
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- --------------------------------------------------------------------------------
Each year, the Board of Trustees (the "Board"), including a majority of the
independent Trustees, is required to determine whether to renew the Fund's
investment advisory agreement (the "Agreement"). The Investment Company Act of
1940, as amended, requires that the Board request and evaluate, and that the
Manager provide, such information as may be reasonably necessary to evaluate the
terms of the Agreement. The Board employs an independent consultant to prepare a
report that provides information, including comparative information, that the
Board requests for that purpose. In addition, the Board receives information
throughout the year regarding Fund services, fees, expenses and performance.
The Manager and the independent consultant provided information to the
Board on the following factors: (i) the nature, quality and extent of the
Manager's services, (ii) the investment performance of the Fund and the Manager,
(iii) the fees and expenses of the Fund, including comparative expense
information, (iv) the profitability of the Manager 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.
105 | 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. Mr. Steinmetz has been a portfolio manager
of the Fund since October 1989. 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, 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
considered 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 and other multi-sector income 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.
106 | OPPENHEIMER STRATEGIC INCOME FUND
ECONOMIES OF SCALE. The Board reviewed whether the Manager may realize
economies of scale in managing and supporting the Fund. The Board noted that the
Fund currently has management fee breakpoints, which are intended to share with
shareholders 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
quality services to the Fund and that maintaining the financial viability of the
Manager is important in order for the Manager to continue to provide significant
services to the Fund and its shareholders.
CONCLUSIONS. These factors were also considered by the independent
Trustees meeting separately from the full Board, assisted by experienced counsel
to the Fund and to the independent Trustees. Fund counsel and the independent
Trustees' counsel are both independent of the Manager within the meaning and
intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations
described above, the Board, including a majority of the independent Trustees,
decided to continue the Agreement for another year. In arriving at this
decision, the Board considered all of the above information, and considered the
terms and conditions of the Agreement, including the management fee, in light of
all of the surrounding circumstances.
107 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
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NAME, POSITION(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER TRUSTEESHIPS/DIRECTORSHIPS
FUND, LENGTH OF SERVICE, AGE HELD; NUMBER OF PORTFOLIOS IN THE FUND COMPLEX CURRENTLY OVERSEEN
INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, CENTENNIAL,
TRUSTEES COLORADO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR UNTIL HIS OR
HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL.
WILLIAM L. ARMSTRONG, President, Colorado Christian University (since 2006); Chairman, Cherry Creek
Chairman of the Board of Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since
Trustees (since 2003), 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador
Trustee (since 1999) Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director
Age: 70 of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992),
Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde
and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former
Chairman of: Transland Financial Services, Inc. (private mortgage banking company)
(1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc.
(residential real estate brokerage) (1994-2000) and Frontier Title (title
insurance agency) (1995-2000); former Director of the following: UNUMProvident
(insurance company) (1991-2004), Storage Technology Corporation (computer
equipment company) (1991-2003) and International Family Entertainment (television
channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 38
portfolios in the OppenheimerFunds complex.
GEORGE C. BOWEN, Assistant Secretary and Director of the Manager (December 1991-April 1999);
Trustee (since 2000) President, Treasurer and Director of Centennial Capital Corporation (June
Age: 71 1989-April 1999); Chief Executive Officer and Director of MultiSource Services,
Inc. (March 1996-April 1999); Mr. Bowen held several positions with
OppenheimerFunds, Inc. and with subsidiary or affiliated companies of
OppenheimerFunds, Inc. (September 1987-April 1999). Oversees 38 portfolios in the
OppenheimerFunds complex.
EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical site) (June
Trustee (since 2000) 2000-May 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July
Age: 69 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management
Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 38
portfolios in the OppenheimerFunds complex.
JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director of
Trustee (since 1990) Northwestern Energy Corp. (public utility corporation) (since November 2004);
Age: 65 Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky
Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and
since February 2005); Chairman and Director (until October 1996) and President and
Chief Executive Officer (until October 1995) of the Manager; President, Chief
Executive Officer and Director of the following: Oppenheimer Acquisition Corp.
("OAC") (parent holding company of the Manager), Shareholders Services, Inc. and
Shareholder Financial Services, Inc. (until October 1995). Oversees 38 portfolios
in the OppenheimerFunds complex.
SAM FREEDMAN, Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr.
Trustee (since 1996) Freedman held several positions with the Manager and with subsidiary or affiliated
Age: 67 companies of the Manager (until October 1994). Oversees 38 portfolios in the
OppenheimerFunds complex.
108 | OPPENHEIMER STRATEGIC INCOME FUND
BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational organization)
Trustee (since 2002) (since February 2000); Board Member of Middlebury College (educational
Age: 61 organization) (since December 2005); Director of The California Endowment
(philanthropic organization) (since April 2002); Director (February 2002-2005) and
Chairman of Trustees (since 2006) of the Community Hospital of Monterey Peninsula;
Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds'
Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment
Management Company (February 1991-April 2000); Member of the investment committees
of The Rockefeller Foundation (since 2001) and The University of Michigan (since
2000); Advisor at Credit Suisse First Boston's Sprout venture capital unit
(venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional
Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund
(investment company) (April 1989-June 2004); Member of the investment committee of
Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund
(2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex.
ROBERT J. MALONE, Director of Jones Knowledge, Inc. (since 2006); Director of Jones International
Trustee (since 2002) University (educational organization) (since August 2005); Chairman, Chief
Age: 63 Executive Officer and Director of Steele Street State Bank (commercial banking)
(since August 2003); Director of Colorado UpLift (charitable organization) (since
1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since
2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and
formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial
Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones
Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and
gas exploration) (1997-February 2004). Oversees 38 portfolios in the
OppenheimerFunds complex.
F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds)
Trustee (since 2000) (investment company) (since 1996) and MML Series Investment Fund (investment
Age: 65 company) (since 1996); Trustee of Worcester Polytech Institute (since 1985);
Chairman (since 1994) of the Investment Committee of the Worcester Polytech
Institute (private university); President and Treasurer of the SIS Funds (private
charitable fund) (since January 1999); Chairman of SIS & Family Bank, F.S.B.
(formerly SIS Bank) (commercial bank) (January 1999-July 1999); and Executive Vice
President of Peoples Heritage Financial Group, Inc. (commercial bank) (January
1999-July 1999). Oversees 40 portfolios in the OppenheimerFunds complex.
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INTERESTED TRUSTEE AND THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH
OFFICER FLOOR, NEW YORK, NEW YORK 10281-1008. MR. MURPHY SERVES AS A TRUSTEE FOR AN
INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL AND AS AN
OFFICER FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR
REMOVAL. MR. MURPHY IS AN INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH
OPPENHEIMERFUNDS, INC. AND ITS AFFILIATES.
JOHN V. MURPHY, Chairman, Chief Executive Officer and Director of the Manager (since June 2001);
Trustee, President and President of the Manager (September 2000-March 2007); President and director or
Principal Executive Officer trustee of other Oppenheimer funds; President and Director of Oppenheimer
(since 2001) Acquisition Corp. ("OAC") (the Manager's parent holding company) and of
Age: 58 Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager)
(since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of
the Manager) (November 2001-December 2006); Chairman and Director of Shareholder
Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent
subsidiaries of the Manager) (since July 2001);
109 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
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JOHN V. MURPHY, President and Director of OppenheimerFunds Legacy Program (charitable trust
Continued program established by the Manager) (since July 2001); Director of the following
investment advisory subsidiaries of the Manager: OFI Institutional Asset
Management, Inc., Centennial Asset Management Corporation, Trinity Investment
Management Corporation and Tremont Capital Management, Inc. (since November 2001),
HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since
July 2001); President (since November 2001) and Director (since July 2001) of
Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts
Mutual Life Insurance Company (OAC's parent company) (since February 1997);
Director of DLB Acquisition Corporation (holding company parent of Babson Capital
Management LLC) (since June 1995); Chairman (since October 2007) and Member of the
Investment Company Institute's Board of Governors (since October 2003); Chief
Operating Officer of the Manager (September 2000- June 2001). Oversees 102
portfolios in the OppenheimerFunds complex.
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OTHER OFFICERS OF THE THE ADDRESSES OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS.
FUND STEINMETZ, ZACK, GILLESPIE AND MS. BLOOMBERG, TWO WORLD FINANCIAL CENTER, 225
LIBERTY STREET, NEW YORK, NEW YORK 10281-1008, FOR MESSRS. VANDEHEY, WIXTED,
PETERSEN, SZILAGYI AND MS. IVES, 6803 S. TUCSON WAY, CENTENNIAL, COLORADO 80112-
3924. EACH OFFICER SERVES FOR AN INDEFINITE TERM OR UNTIL HIS OR HER RESIGNATION,
RETIREMENT, DEATH OR REMOVAL.
ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView Asset
Vice President and Portfolio Management Corporation (since March 2000). An officer of 4 portfolios in the
Manager (since 1993) OppenheimerFunds complex.
Age: 48
MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager (since March
Vice President and Chief 2004); Chief Compliance Officer of the Manager, OppenheimerFunds Distributor,
Compliance Officer (since Inc., Centennial Asset Management and Shareholder Services, Inc. (since March
2004) 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset
Age: 57 Management Corporation and Shareholder Services, Inc. (since June 1983). Former
Vice President and Director of Internal Audit of the Manager (1997-February 2004).
An officer of 102 portfolios in the OppenheimerFunds complex.
BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer
Treasurer and Principal of the following: HarbourView Asset Management Corporation, Shareholder Financial
Financial & Accounting Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management,
Officer (since 1999) Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private
Age: 48 Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. (since
May 2000), OppenheimerFunds plc (since May 2000), OFI Institutional Asset
Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program
(charitable trust program established by the Manager) (since June 2003); Treasurer
and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the
Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March
1999), Centennial Asset Management Corporation (March 1999-October 2003) and
OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief
Operating Officer of Bankers Trust Company-Mutual Fund Services Division (March
1995-March 1999). An officer of 102 portfolios in the OppenheimerFunds complex.
110 | OPPENHEIMER STRATEGIC INCOME FUND
BRIAN S. PETERSEN, Vice President of the Manager (since February 2007); Assistant Vice President of
Assistant Treasurer the Manager (August 2002-February 2007); Manager/Financial Product Accounting of
(since 2004) the Manager (November 1998-July 2002). An officer of 102 portfolios in the
Age: 37 OppenheimerFunds complex.
BRIAN C. SZILAGYI, Assistant Vice President of the Manager (since July 2004); Director of Financial
Assistant Treasurer Reporting and Compliance of First Data Corporation (April 2003-July 2004); Manager
(since 2005) of Compliance of Berger Financial Group LLC (May 2001-March 2003); Director of
Age: 37 Mutual Fund Operations at American Data Services, Inc. (September 2000-May 2001).
An officer of 102 portfolios in the OppenheimerFunds complex.
ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since March
Vice President and Secretary 2002) of the Manager; General Counsel and Director of the Distributor (since
(since 2001) December 2001); General Counsel of Centennial Asset Management Corporation (since
Age: 59 December 2001); Senior Vice President and General Counsel of HarbourView Asset
Management Corporation (since December 2001); Secretary and General Counsel of OAC
(since November 2001); Assistant Secretary (since September 1997) and Director
(since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds
plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since
December 2002); Director of Oppenheimer Real Asset Management, Inc. (since
November 2001); Senior Vice President, General Counsel and Director of Shareholder
Financial Services, Inc. and Shareholder Services, Inc. (since December 2001);
Senior Vice President, General Counsel and Director of OFI Private Investments,
Inc. and OFI Trust Company (since November 2001); Vice President of
OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and
General Counsel of OFI Institutional Asset Management, Inc. (since November 2001);
Director of OppenheimerFunds (Asia) Limited (since December 2003); Senior Vice
President (May 1985-December 2003), Acting General Counsel (November 2001-February
2002) and Associate General Counsel (May 1981-October 2001) of the Manager;
Assistant Secretary of the following: Shareholder Services, Inc. (May
1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November
2001), and OppenheimerFunds International Ltd. (September 1997-November 2001). An
officer of 102 portfolios in the OppenheimerFunds complex.
LISA I. BLOOMBERG, Vice President and Associate Counsel of the Manager (since May 2004); First Vice
Assistant Secretary President (April 2001-April 2004), Associate General Counsel (December 2000-April
(since 2004) 2004), Corporate Vice President (May 1999-April 2001) and Assistant General
Age: 39 Counsel (May 1999-December 2000) of UBS Financial Services Inc. (formerly,
PaineWebber Incorporated). An officer of 102 portfolios in the OppenheimerFunds
complex.
PHILLIP S. GILLESPIE, Senior Vice President and Deputy General Counsel of the Manager (since September
Assistant Secretary 2004); First Vice President (2000-September 2004), Director (2000- September 2004)
(since 2004) and Vice President (1998-2000) of Merrill Lynch Investment Management. An officer
Age: 43 of 102 portfolios in the OppenheimerFunds complex.
111 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
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KATHLEEN T. IVES, Vice President (since June 1998) and Senior Counsel and Assistant Secretary (since
Assistant Secretary October 2003) of the Manager; Vice President (since 1999) and Assistant Secretary
(since 2001) (since October 2003) of the Distributor; Assistant Secretary of Centennial Asset
Age: 42 Management Corporation (since October 2003); Vice President and Assistant
Secretary of Shareholder Services, Inc. (since 1999); Assistant Secretary of
OppenheimerFunds Legacy Program and Shareholder Financial Services, Inc. (since
December 2001); Assistant Counsel of the Manager (August 1994-October 2003). An
officer of 102 portfolios in the OppenheimerFunds complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION
ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON
REQUEST, BY CALLING 1.800.525.7048.
112 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal accounting
officer or controller or persons performing similar functions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that Edward L. Cameron,
the Chairman of the Board's Audit Committee, and George C. Bowen, a member of
the Board's Audit Committee, are audit committee financial experts and that
Messrs. Cameron and Bowen are "independent" for purposes of this Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The principal accountant for the audit of the registrant's annual financial
statements billed $66,000 in fiscal 2007 and $77,000 in fiscal 2006.
(b) Audit-Related Fees
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees during the last two fiscal years.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees in fiscal 2007 and $40,000 in fiscal 2006 to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such services include review of management's assessment of the financial
statements disclosure impacts of an IRS private letter ruling.
(c) (c) Tax Fees
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees to the registrant during the last two fiscal
years.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees to the registrant during the last two fiscal
years to the registrant's investment adviser or any entity controlling,
controlled by, or under common control with the adviser that provides ongoing
services to the registrant.
(d) All Other Fees
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees in fiscal 2007 and $22,777 in fiscal 2006.
The principal accountant for the audit of the registrant's annual financial
statements billed $32,732 in fiscal 2007 and no such fees in fiscal 2006 to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such fees would include compliance review and professional services for 22c-2
program.
(e) (1) During its regularly scheduled periodic meetings, the registrant's
audit committee will pre-approve all audit, audit-related, tax and other
services to be provided by the principal accountants of the registrant.
The audit committee has delegated pre-approval authority to its Chairman
for any subsequent new engagements that arise between regularly scheduled
meeting dates provided that any fees such pre-approved are presented to
the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services maybe waived
provided that: 1) the aggregate amount of all such services provided
constitutes no more than five percent of the total amount of fees paid by
the registrant to it principal accountant during the fiscal year in which
services are provided 2) such services were not recognized by the
registrant at the time of engagement as non-audit services and 3) such
services are promptly brought to the attention of the audit committee of
the registrant and approved prior to the completion of the audit.
(2) 100%
(f) Not applicable as less than 50%.
(g) The principal accountant for the audit of the registrant's annual
financial statements billed $32,732 in fiscal 2007 and $62,777 in fiscal
2006 to the registrant and the registrant's investment adviser or any
entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant related to
non-audit fees. Those billings did not include any prohibited non-audit
services as defined by the Securities Exchange Act of 1934.
(h) No such services were rendered.
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 09/30/2007, 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) Exhibit attached hereto.
(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: 11/14/2007
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: 11/14/2007
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: 11/14/2007