UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
Oppenheimer Strategic Income Fund
---------------------------------
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: September 30
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Date of reporting period: 03/31/2008
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ITEM 1. REPORTS TO STOCKHOLDERS.
MARCH 31, 2008
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Oppenheimer Management
Strategic Income Fund Commentaries
and
Semiannual
Report
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MANAGEMENT COMMENTARIES
An Interview with Your Fund's Manager
Listing of Top Holdings
SEMIANNUAL REPORT
Listing of Investments
Financial Statements
[OPPENHEIMERFUNDS LOGO]
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES -- TOP TEN INDUSTRIES
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Commercial Banks 3.4%
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Oil, Gas & Consumable Fuels 1.8
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Diversified Financial Services 1.6
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Thrifts & Mortgage Finance 1.2
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Media 1.2
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Hotels, Restaurants & Leisure 0.8
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Capital Markets 0.7
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Electric Utilities 0.7
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Diversified Telecommunication Services 0.5
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Health Care Providers & Services 0.4
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2008, and are based on net assets.
PORTFOLIO ALLOCATION
[PIE CHART]
Foreign Government Bonds 26.3%
Mortgage-Backed Obligations 24.9
Corporate Bonds 16.6
Investment Companies 12.7
Structured Securities 11.5
Other Bonds 2.8
U.S. Government Bonds 2.6
Cash Equivalents 1.5
Stocks 1.1
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2008, 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.
10 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends
and capital gains distributions in a hypothetical investment for the
periods shown. Cumulative total returns are not annualized. The Fund's
total returns shown do not reflect the deduction of income taxes on an
individual's investment. Taxes may reduce your actual investment returns
on income or gains paid by the Fund or any gains you may realize if you
sell your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT
OBJECTIVES, RISKS AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE
INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT
THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US
AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM.
READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention
of specific fund holdings does not constitute a recommendation by
OppenheimerFunds, Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent
deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B
shares convert to Class A shares 72 months after purchase, the 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.
11 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N
shares are offered only through retirement plans. Unless otherwise noted,
Class N returns include the contingent deferred sales charge of 1% for the
1-year period Class N shares are subject to an annual 0.25% asset-based
sales charge.
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's
Statement of Additional Information.
12 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of
costs: (1) transaction costs, which may include sales charges (loads) on
purchase payments, contingent deferred sales charges on redemptions; and
redemption fees (if applicable); and (2) ongoing costs, including
management fees; distribution and service fees; and other Fund expenses.
These examples are intended to help you understand your ongoing costs (in
dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the
beginning of the period and held for the entire 6-month period ended March
31, 2008.
ACTUAL EXPENSES. The first section of the table provides information about
actual account values and actual expenses. You may use the information in
this section 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 first section 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 second section of the
table provides 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 for each
class before expenses, which is not the actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and
other funds. To do so, compare this 5% hypothetical example for the class
of shares you hold with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such
as front-end or contingent deferred sales charges (loads), or a $12.00 fee
imposed annually on accounts valued at less than $500.00 (subject to
exceptions described in
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES Continued
- --------------------------------------------------------------------------------
the Statement of Additional Information). Therefore, the "hypothetical"
section of the table is 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
ACTUAL OCTOBER 1, 2007 MARCH 31, 2008 MARCH 31, 2008
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Class A $ 1,000.00 $ 1,037.10 $ 4.44
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Class B 1,000.00 1,035.20 8.63
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Class C 1,000.00 1,033.20 8.27
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Class N 1,000.00 1,037.30 6.54
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Class Y 1,000.00 1,043.20 3.12
HYPOTHETICAL
(5% return before expenses)
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Class A 1,000.00 1,020.65 4.40
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Class B 1,000.00 1,016.55 8.56
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Class C 1,000.00 1,016.90 8.20
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Class N 1,000.00 1,018.60 6.48
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Class Y 1,000.00 1,021.95 3.09
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 183/366
(to reflect the one-half year period). Those annualized expense ratios,
excluding indirect expenses from affiliated funds, based on the 6-month period
ended March 31, 2008 are as follows:
CLASS EXPENSE RATIOS
- ---------------------------------
Class A 0.87%
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Class B 1.69
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Class C 1.62
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Class N 1.28
- ---------------------------------
Class Y 0.61
The expense ratios reflect reduction to custodian expenses and voluntary waivers
or reimbursements of expenses by the Fund's Manager that can be terminated at
any time, without advance notice. The "Financial Highlights" tables in the
Fund's financial statements, included in this report, also show the gross
expense ratios, without such waivers or reimbursements and reduction to
custodian expenses, if applicable.
14 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited
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PRINCIPAL
AMOUNT VALUE
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ASSET-BACKED SECURITIES -- 1.6%
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Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2005-HE7, Cl. A2B, 2.779%, 11/25/35 1 $ 1,549,183 $ 1,521,716
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 2.596%, 4/20/09 1,2 253,333 252,837
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Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 3.079%, 5/25/34 1 4,482,726 3,943,623
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Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates,
Series 2006-M3, Cl. A2B, 2.699%, 9/25/36 1 2,190,000 2,045,588
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Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates,
Series 2006-W5, Cl. A2B, 2.699%, 5/26/36 1 3,845,000 3,637,050
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Capital Auto Receivables Asset Trust 2006-1, Automobile Asset-Backed
Securities, Series 2006-1, Cl. A3, 5.03%, 10/15/09 5,330,887 5,357,970
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Capital One Prime Auto Receivables Trust, Automobile Asset-Backed
Certificates, Series 2005-1, Cl. A4, 2.838%, 4/15/11 1 22,280,000 22,138,825
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Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates,
Series 2005-D, Cl. AV2, 2.869%, 10/25/35 1 162,206 161,714
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Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates,
Series 2006-A, Cl. AV2, 2.699%, 5/16/36 1 4,691,711 4,542,340
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CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 1,797,843 1,774,127
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Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through
Certificates, Series 2006-WFH3, Cl. A2, 2.699%, 10/31/36 1 2,620,000 2,374,557
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Citigroup Mortgage Loan Trust, Inc. 2006-WFH4, Asset-Backed Pass-Through
Certificates, Series 2006-WFH4, Cl. AS, 2.699%, 11/25/36 1 4,777,000 4,275,107
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CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates,
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 2,010,000 1,913,436
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CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates:
Series 2005-17, Cl. 1AF1, 2.799%, 5/25/36 1 285,544 283,551
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,210,000 1,165,776
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CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates,
Series 2006-25, Cl. 2A2, 2.719%, 12/25/29 1 4,054,000 3,497,789
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DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates,
Series 2006-C, Cl. A2, 5.33%, 5/8/09 71,056 71,088
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DLJ Ltd., Collateralized Bond Obligations,
Series 1A, Cl. C2, 11.96%, 4/15/11 3,4,5 15,000,000 150
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DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 5 3,083,887 185,033
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Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 3,4,5 2,730,094 27,301
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First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through
Certificates, Series 2005-FF10, Cl. A3, 2.809%, 11/25/35 1 4,168,850 4,121,386
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First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates,
Series 2006-FF10, Cl. A3, 2.689%, 7/25/36 1 3,790,000 3,476,473
15 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited/ Continued
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PRINCIPAL
AMOUNT VALUE
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ASSET-BACKED SECURITIES Continued
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First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through
Certificates, Series 2006-FF5, Cl. 2A1, 2.649%, 5/15/36 1 $ 452,901 $ 448,035
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First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through
Certificates, Series 2006-FF9, Cl. 2A2, 2.709%, 7/7/36 1 1,940,000 1,786,818
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Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 6/13/11 4,5 6,138,155 --
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Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 4,691,683
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Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 4,163,243 991,597
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Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.,
Series 2007-3, Cl. A3, 3.168%, 6/15/12 1 3,500,000 3,457,810
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HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan
Asset-Backed Nts., Series 2005-3, Cl. A1, 2.796%, 1/20/35 1 1,710,089 1,439,421
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HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan
Asset-Backed Certificates, Series 2006-4, Cl. A2V, 2.646%, 3/20/36 1 1,520,000 1,348,013
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Ice Em CLO, Collateralized Loan Obligations:
Series 2007-1A, Cl. B, 7.10%, 8/15/22 1,5 20,040,000 14,623,188
Series 2007-1A, Cl. C, 8.40%, 8/15/22 1,5 16,980,000 12,938,760
Series 2007-1A, Cl. D, 10.40%, 8/15/22 1,5 16,980,000 11,785,818
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Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,839,462 1,836,109
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 1,157,548 1,163,049
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,023,453 1,031,732
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Madison Avenue CDO Ltd., Collateralized Debt Obligations,
Series 2A, Cl. C1, 0.19%, 3/24/14 1,5 3,841,283 153,651
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Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 2.699%, 8/25/36 1 5,580,000 5,005,038
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NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD,
2.249%, 1/25/29 1,5 4,475,119 581,765
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Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 2.699%, 7/1/36 1 6,330,000 5,870,835
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Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,900,000 1,895,262
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RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-RS4, Cl. A1, 2.679%, 7/25/36 1 705,587 692,828
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RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-KS7, Cl. A2, 2.699%, 9/25/36 1 6,720,000 6,512,509
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Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 2.849%, 6/25/36 1 2,839,136 2,803,997
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Start CLO Ltd., Asset-Backed Credit Linked Securities,
Series 2006-3A, Cl. F, 20%, 6/7/11 1,5 5,430,000 4,778,400
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Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1, 2.659%, 4/25/36 1 156,706 155,823
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
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ASSET-BACKED SECURITIES Continued
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Structured Asset Securities Corp., Mtg. Pass-Through Certificates,
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 $ 272,516 $ 272,868
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Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates,
Series 2006-1A, Cl. C, 6.161%, 11/14/13 1,5 2,715,000 2,515,448
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Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home
Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 2.699%, 7/25/36 1 3,770,000 3,578,777
----------------
Total Asset-Backed Securities (Cost $ 210,952,188) 159,126,671
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MORTGAGE-BACKED OBLIGATIONS -- 25.6%
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GOVERNMENT AGENCY -- 18.7%
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FHLMC/FNMA/SPONSORED -- 18.3%
Fannie Mae Trust 2004-W9, Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,806,954 1,975,221
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Federal Home Loan Mortgage Corp.:
4.50%, 5/15/19-7/15/19 5,220,741 5,213,381
5%, 8/15/33-12/15/34 8,440,237 8,382,985
6%, 4/15/17-3/15/33 24,250,860 25,016,405
6.50%, 4/15/18-8/15/32 12,889,863 13,512,386
7%, 8/15/21-9/1/33 4,441,405 4,707,866
7%, 10/1/31 7 2,082,020 2,207,847
7.50%, 2/15/32-4/25/36 7,888,872 8,553,710
8.50%, 8/15/31 446,115 495,227
10%, 5/15/20 174,407 208,168
10.50%, 6/14/20 185,776 224,579
11.50%, 11/14/16 103,377 114,271
12%, 6/14/10-6/15/17 434,904 484,225
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Participation Certificates,
Series 1360, Cl. PZ, 7.50%, 9/15/22 7,423,084 8,001,623
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 151, Cl. F, 9%, 5/15/21 15,019 15,010
Series 1590, Cl. IA, 3.925%, 10/15/23 1 6,712,509 6,833,963
Series 1674, Cl. Z, 6.75%, 2/15/24 331,928 356,661
Series 2002-66, Cl. FG, 3.606%, 9/25/32 1 7,537,756 7,416,286
Series 2002-84, Cl. FB, 3.606%, 12/25/32 1 440,194 444,585
Series 2003-11, Cl. FA, 3.606%, 9/25/32 1 600,695 606,910
Series 2006-11, Cl. PS, 15.01%, 3/25/36 1 2,966,104 3,505,362
Series 2034, Cl. Z, 6.50%, 2/15/28 64,313 67,584
Series 2043, Cl. ZP, 6.50%, 4/15/28 4,466,229 4,683,988
Series 2053, Cl. Z, 6.50%, 4/15/28 66,907 70,219
Series 2055, Cl. ZM, 6.50%, 5/15/28 1,621,932 1,689,344
Series 2080, Cl. Z, 6.50%, 8/15/28 2,647,967 2,779,918
Series 2173, Cl. Z, 6.50%, 7/15/29 10,873,893 11,336,788
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,101,253 1,158,269
Series 2344, Cl. FP, 3.768%, 8/15/31 1 2,496,408 2,520,825
17 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL
AMOUNT VALUE
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: Continued
Series 2368, Cl. TG, 6%, 10/15/16 $ 1,260,161 $ 1,326,468
Series 2410, Cl. PF, 3.798%, 2/15/32 1,7 11,637,456 11,550,021
Series 2412, Cl. GF, 3.768%, 2/15/32 1 5,545,156 5,505,248
Series 2427, Cl. ZM, 6.50%, 3/15/32 4,925,111 5,189,686
Series 2435, Cl. EQ, 6%, 5/15/31 6,085,306 6,205,204
Series 2451, Cl. FD, 3.818%, 3/15/32 1 1,874,018 1,862,656
Series 2453, Cl. BD, 6%, 5/15/17 157,249 165,680
Series 2461, Cl. PZ, 6.50%, 6/15/32 287,438 303,819
Series 2464, Cl. FI, 3.818%, 2/15/32 1 2,065,012 2,086,108
Series 2470, Cl. AF, 3.818%, 3/15/32 1 3,154,390 3,174,380
Series 2470, Cl. LF, 3.818%, 2/15/32 1 2,113,805 2,133,428
Series 2471, Cl. FD, 3.818%, 3/15/32 1 3,825,345 3,863,056
Series 2475, Cl. FB, 3.818%, 2/15/32 1 2,985,600 3,013,056
Series 2500, Cl. FD, 3.318%, 3/15/32 1 649,562 654,171
Series 2517, Cl. GF, 3.818%, 2/15/32 1 1,727,135 1,738,980
Series 2526, Cl. FE, 3.218%, 6/15/29 1 863,423 867,150
Series 2551, Cl. FD, 3.218%, 1/15/33 1 663,622 647,861
Series 2641, Cl. CE, 3.50%, 9/15/25 2,857,671 2,853,055
Series 2676, Cl. KY, 5%, 9/15/23 2,516,000 2,511,126
Series 2676, Cl. TF, 3.418%, 1/15/32 1 3,589,708 3,543,630
Series 2727, Cl. UA, 3.50%, 10/15/22 1,292,639 1,291,944
Series 2736, Cl. DB, 3.30%, 11/15/26 13,387,757 13,335,442
Series 2777, Cl. PJ, 4%, 5/15/24 1,377,664 1,379,883
Series 2934, Cl. NA, 5%, 4/15/24 4,244,399 4,294,045
Series 2936, Cl. PE, 5%, 2/1/35 2,807,000 2,632,759
Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,772,769
Series 3025, Cl. SJ, 14.419%, 8/15/35 1 3,232,550 3,909,180
Series 3035, Cl. DM, 5.50%, 11/15/25 9,432,681 9,600,385
Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,675,702
Series 3094, Cl. HS, 14.052%, 6/15/34 1 1,729,502 2,064,887
Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,438,835
Series 3138, Cl. PA, 5.50%, 2/15/27 20,683,375 21,213,382
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Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security:
Series 177, Cl. IO, 11.516%, 7/1/26 8 2,624,324 586,861
Series 183, Cl. IO, 8.174%, 4/1/27 8 1,047,174 214,080
Series 192, Cl. IO, 12.028%, 2/1/28 8 475,712 105,169
Series 200, Cl. IO, 11.256%, 1/1/29 8 574,590 120,929
Series 2003-13, Cl. I O, 11.156%, 3/25/33 8 5,256,849 1,150,048
Series 2003-26, Cl. D I, 12.204%, 4/25/33 8 3,515,192 735,966
Series 2003-26, Cl. I K, 15.596%, 4/25/33 8 616,028 103,926
Series 203, Cl. IO, 2.56%, 6/1/29 8 1,969,704 431,055
Series 204, Cl. IO, (8.08)%, 5/1/29 8 163,892 35,751
Series 205, Cl. IO, 8.793%, 9/1/29 8 2,565,464 611,544
Series 206, Cl. IO, (13.69)%, 12/1/29 8 811,719 178,766
Series 207, Cl. IO, (18.488)%, 4/1/30 8 930,832 222,300
Series 2074, Cl. S, 19.804%, 7/17/28 8 601,842 69,663
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security: Continued
Series 2079, Cl. S, 23.037%, 7/17/28 8 $ 961,651 $ 111,822
Series 208, Cl. IO, (5.945)%, 6/1/30 8 1,708,951 400,858
Series 212, Cl. IO, 2.185%, 5/1/31 8 3,812,330 798,588
Series 214, Cl. IO, (10.882)%, 6/1/31 8 910,956 198,498
Series 216, Cl. IO, 11.213%, 12/1/31 8 9,111,677 2,139,289
Series 224, Cl. IO, 8.408%, 3/1/33 8 4,936,300 1,084,360
Series 243, Cl. 6, 15.031%, 12/15/32 8 3,052,411 580,109
Series 2526, Cl. SE, 21.531%, 6/15/29 8 1,560,205 151,472
Series 2802, Cl. AS, 64.495%, 4/15/33 8 4,552,947 378,217
Series 2819, Cl. S, 23.312%, 6/15/34 8 13,369,015 1,112,441
Series 2920, Cl. S, 33.936%, 1/15/35 8 7,870,375 577,818
Series 3000, Cl. SE, 52.563%, 7/15/25 8 10,298,172 869,537
Series 3004, Cl. SB, 99.534%, 7/15/35 8 15,323,726 1,304,132
Series 3110, Cl. SL, 82.133%, 2/15/26 8 2,918,204 251,388
- ---------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 192, Cl. PO, 6.336%, 2/1/28 9 475,712 390,001
- ---------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 4/25/18-8/1/20 55,000,943 54,957,338
4.50%, 5/25/18-9/1/18 7 33,681,702 33,684,459
5%, 12/1/17-9/25/35 264,860,873 265,369,094
5%, 4/1/23-4/1/38 10 38,135,000 37,819,893
5%, 3/1/18-9/25/33 7 56,945,242 56,722,453
5.296%, 10/1/36 67,369,584 68,632,131
5.50%, 1/25/22-11/25/34 370,637,578 375,503,917
5.50%, 4/1/23-4/1/38 10 75,127,000 76,004,698
5.50%, 4/25/33-4/25/34 7 60,835,840 61,621,168
6%, 7/25/24-8/1/34 65,753,016 67,806,197
6%, 4/1/22-4/1/37 10 82,657,000 84,938,204
6%, 11/25/32-10/25/33 7 37,662,206 38,813,146
6.50%, 5/25/17-9/25/32 28,817,466 30,169,480
6.50%, 6/25/17 7 6,875,027 7,217,209
7%, 11/1/17-9/25/34 36,114,667 38,417,738
7.50%, 6/25/10-1/1/33 12,709,615 13,753,087
8.50%, 7/1/32 82,921 91,444
9.50%, 4/25/20-4/8/21 99,369 110,781
11%, 11/8/15-2/25/26 365,313 435,303
13%, 6/25/15 80,578 95,389
15%, 5/9/13 249,596 296,993
- ---------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust:
Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T10, Cl. IO, 30.409%, 12/25/41 8 135,918,671 1,252,382
Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T3, Cl. IO, 34.998%, 11/25/40 8 15,782,480 205,003
Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T4, Cl. IO, 26.879%, 7/25/41 8 26,001,573 378,716
19 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 $ 356,305 $ 380,375
Trust 1997-45, Cl. CD, 8%, 7/18/27 1,893,427 2,052,732
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 2,345,493 2,450,591
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 103,866 109,961
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,085,208 4,250,592
Trust 2001-19, Cl. Z, 6%, 5/1/31 2,490,233 2,576,728
Trust 2001-44, Cl. QC, 6%, 9/25/16 346,909 364,857
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 443,849 472,971
Trust 2001-65, Cl. F, 3.206%, 11/25/31 1 4,259,842 4,232,009
Trust 2001-69, Cl. PF, 3.606%, 12/25/31 1 4,629,035 4,566,039
Trust 2001-70, Cl. LR, 6%, 9/25/30 261,032 262,418
Trust 2001-80, Cl. ZB, 6%, 1/25/32 5,006,754 5,188,917
Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 1,947,949 2,057,399
Trust 2002-12, Cl. PG, 6%, 3/25/17 3,291,593 3,464,582
Trust 2002-19, Cl. PE, 6%, 4/25/17 1,870,559 1,967,296
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 4,614,483 4,858,692
Trust 2002-29, Cl. F, 3.606%, 4/25/32 1 2,250,311 2,234,276
Trust 2002-60, Cl. FH, 3.606%, 8/25/32 1 4,406,612 4,375,079
Trust 2002-64, Cl. FJ, 3.606%, 4/25/32 1 691,131 681,730
Trust 2002-68, Cl. FH, 3.275%, 10/18/32 1 1,435,970 1,406,030
Trust 2002-81, Cl. FM, 3.106%, 12/25/32 1 2,650,176 2,585,108
Trust 2002-9, Cl. PC, 6%, 3/25/17 3,740,478 3,937,088
Trust 2003-116, Cl. FA, 3.006%, 11/25/33 1 822,387 821,516
Trust 2003-130, Cl. CS, 8.888%, 12/25/33 1 3,412,095 3,555,082
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 5,484,000 5,649,248
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,312,000 12,598,318
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,556,000 5,759,303
Trust 2003-3, Cl. FM, 3.106%, 4/25/33 1 3,190,168 3,210,476
Trust 2003-81, Cl. NB, 4.50%, 11/25/14 10,264,000 10,389,067
Trust 2003-81, Cl. PW, 4%, 3/25/25 3,215,441 3,220,202
Trust 2003-84, Cl. AJ, 3%, 4/25/13 3,455,646 3,449,226
Trust 2003-84, Cl. GC, 4.50%, 5/25/15 12,320,000 12,471,446
Trust 2003-84, Cl. PW, 3%, 6/25/22 743,274 741,424
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,413,000 4,558,866
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 5,856,874 5,875,905
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 3,800,000 3,916,774
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,877,591
Trust 2005-59, Cl. NQ, 10.359%, 5/25/35 1 3,120,445 3,405,356
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,449,732
Trust 2006-24, Cl. DB, 5.50%, 4/25/26 960,000 973,382
Trust 2006-29, Cl. PA, 5.50%, 8/25/26 16,903,372 17,182,618
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 8,793,999 9,001,389
Trust 2006-46, Cl. SW, 14.643%, 6/25/36 1 4,333,876 5,119,921
Trust 2006-50, Cl. KS, 14.644%, 6/25/36 1 3,663,864 4,159,784
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 10,473,841 10,717,371
Trust 2006-64, Cl. MD, 5.50%, 7/25/36 311,000 311,537
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.,
Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-61, Cl. SH, 33.136%, 11/18/31 8 $ 4,835,237 $ 522,932
Trust 2001-63, Cl. SD, 12.364%, 12/18/31 8 124,823 14,366
Trust 2001-68, Cl. SC, 10.236%, 11/25/31 8 85,790 9,230
Trust 2001-81, Cl. S, 21.770%, 1/25/32 8 1,145,188 117,949
Trust 2002-28, Cl. SA, 21.98%, 4/25/32 8 804,091 89,555
Trust 2002-38, Cl. IO, 25.134%, 4/25/32 8 708,591 60,952
Trust 2002-39, Cl. SD, 18.523%, 3/18/32 8 1,102,460 108,481
Trust 2002-48, Cl. S, 20.915%, 7/25/32 8 1,286,490 138,497
Trust 2002-52, Cl. SL, 20.90%, 9/25/32 8 766,559 80,808
Trust 2002-53, Cl. SK, 18.644%, 4/25/32 8 687,223 72,282
Trust 2002-56, Cl. SN, 22.828%, 7/25/32 8 1,764,361 190,361
Trust 2002-65, Cl. SC, 28.595%, 6/25/26 8 2,161,516 337,489
Trust 2002-77, Cl. IS, 23.246%, 12/18/32 8 1,207,223 128,392
Trust 2002-77, Cl. SH, 24.347%, 12/18/32 8 1,401,013 167,262
Trust 2002-89, Cl. S, 42.422%, 1/25/33 8 7,334,475 796,437
Trust 2002-9, Cl. MS, 20.478%, 3/25/32 8 1,527,253 169,121
Trust 2003-118, Cl. S, 32.639%, 12/25/33 8 8,772,971 1,268,088
Trust 2003-23, Cl. ES, 42.373%, 10/25/22 8 26,686,500 2,393,478
Trust 2003-33, Cl. SP, 37.508%, 5/25/33 8 5,128,850 642,507
Trust 2003-4, Cl. S, 31.654%, 2/25/33 8 2,647,644 307,250
Trust 2003-46, Cl. IH, (4.609)%, 6/1/33 8 1,061,182 197,212
Trust 2005-105, Cl. S, 64.311%, 12/25/35 8 12,563,076 1,146,038
Trust 2005-40, Cl. SA, 34.636%, 5/25/35 8 11,854,790 989,383
Trust 2005-40, Cl. SB, 45.481%, 5/25/35 8 5,540,367 491,203
Trust 2005-71, Cl. SA, 45.514%, 8/25/25 8 6,478,542 646,177
Trust 2005-83, Cl. SL, 55.723%, 10/25/35 8 14,170,785 1,264,086
Trust 2005-87, Cl. SE, 92.811%, 10/25/35 8 53,742,711 3,865,874
Trust 2005-87, Cl. SG, 66.626%, 10/25/35 8 14,557,834 1,245,292
Trust 2006-119, Cl. MS, 57.974%, 12/25/36 8 13,230,627 1,190,673
Trust 2006-33, Cl. SP, 50.778%, 5/25/36 8 8,901,051 1,016,062
Trust 2006-34, Cl. SK, 53.934%, 5/25/36 8 14,057,219 1,602,912
Trust 2006-48, Cl. QA, 27.027%, 6/25/36 8 9,529,473 981,233
Trust 2006-75, Cl. SA, 52.431%, 8/25/36 8 8,551,410 889,005
Trust 2006-90, Cl. SX, 72.303%, 9/25/36 8 11,368,438 1,045,999
Trust 221, Cl. 2, 14.47%, 5/1/23 8 1,043,812 260,451
Trust 240, Cl. 2, 23.157%, 9/1/23 8 1,719,248 421,947
Trust 247, Cl. 2, 1.707%, 10/1/23 8 405,734 97,761
Trust 252, Cl. 2, 6.841%, 11/1/23 8 121,436 30,302
Trust 2682, Cl. TQ, 72.017%, 10/15/33 8 5,075,635 424,651
Trust 2981, Cl. BS, 83.417%, 5/15/35 8 9,587,331 789,046
Trust 301, Cl. 2, 5.183%, 4/1/29 8 1,602,466 339,352
Trust 303, Cl. IO, 13.604%, 11/1/29 8 876,457 217,058
Trust 313, Cl. 2, (6.482)%, 6/1/31 8 6,097,347 1,327,229
Trust 319, Cl. 2, 5.582%, 2/1/32 8 93,835 19,655
Trust 321, Cl. 2, 9.057%, 4/1/32 8 7,604,628 1,629,759
Trust 322, Cl. 2, 5.363%, 4/1/32 8 377,486 82,328
Trust 324, Cl. 2, 5.05%, 7/1/32 8 5,536,166 1,246,179
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.,
Interest-Only Stripped Mtg.-Backed Security: Continued
Trust 331, Cl. 5, 9.361%, 2/1/33 8 $ 6,455,672 $ 1,386,219
Trust 334, Cl. 12, 5.245%, 2/1/33 8 8,061,564 1,741,858
Trust 334, Cl. 1O, 10.963%, 2/1/33 8 5,226,351 1,010,348
Trust 334, Cl. 5, 13.605%, 5/1/33 8 3,802,934 840,974
Trust 339, Cl. 7, 10.548%, 7/1/33 8 18,847,688 4,001,589
Trust 342, Cl. 2, 6.287%, 9/1/33 8 21,203,673 4,709,680
Trust 344, Cl. 2, 6.425%, 12/1/33 8 9,939,289 2,206,341
Trust 345, Cl. 9, 11.109%, 1/1/34 8 6,502,284 1,367,797
Trust 362, Cl. 12, 7.115%, 8/1/35 8 171,818 33,716
Trust 362, Cl. 13, 11.526%, 8/1/35 8 181,879 35,797
- -------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 324, Cl. 1, 6.144%, 7/1/32 9 1,382,422 1,123,359
- -------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through
Certificates,
Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 5,808,949 5,577,983
- -------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust,
Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.039%,
9/25/33 1 6,260,333 5,955,528
---------------
1,843,552,910
- -------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED -- 0.4%
Government National Mortgage Assn.:
5.625%, 8/8/27 1 8,274 8,333
7%, 1/29/28-2/8/30 2,164,866 2,315,668
8%, 1/29/28-9/29/28 795,804 873,148
11%, 11/8/19 18,491 21,773
12%, 12/9/13-10/9/15 32,146 38,336
12.50%, 12/29/13-11/29/15 1,121,287 1,316,288
13%, 10/30/15 1,730,028 2,048,840
13.50%, 6/30/15 2,287,369 2,716,162
- -------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Series 1999-32, Cl. ZB, 8%, 9/16/29 8,755,251 9,543,115
Series 2000-12, Cl. ZA, 8%, 2/16/30 3,856,321 4,236,814
Series 2000-7, Cl. Z, 8%, 1/16/30 4,553,558 4,988,430
Series 2001-62, Cl. KZ, 6.50%, 12/16/31 11,207,509 11,794,562
- -------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-19, Cl. SB, 15.844%, 7/16/28 8 1,946,146 235,935
Series 1998-6, Cl. SA, 26.54%, 3/16/28 8 1,203,078 144,610
Series 2006-47, Cl. SA, 75.786%, 8/16/36 8 4,066,301 390,809
-----------------
40,672,823
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
NON-AGENCY -- 6.9%
- -------------------------------------------------------------------------------------------------------------
COMMERCIAL -- 3.1%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2005-3, Cl. A2, 4.501%, 7/10/43 $ 6,390,000 $ 6,290,289
Series 2006-5, Cl. A2, 5.348%, 10/10/11 1,325,000 1,302,660
- -------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,819,933 2,741,195
- -------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates,
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,732,427 2,806,639
- -------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18,
Commercial Mtg. Pass-Through Certificates,
Series PW18, Cl. A2, 5.613%, 6/1/50 940,000 918,771
- -------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, (6.132)%, 6/22/24 8 3,548,232 96,106
- -------------------------------------------------------------------------------------------------------------
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1B, 3.235%, 8/25/08 1 1,275,319 1,233,031
- -------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-17, Mtg.
Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 9,286,000 8,572,796
- -------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through
Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,049,941 1,057,479
- -------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial
Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 27,603,000 26,903,220
- -------------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment
Conduit Pass-Through Certificates,
Series 2006-A5, Cl. 1A13, 3.056%, 10/25/36 1 7,022,128 5,146,069
- -------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates,
Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 18,105,814 16,877,923
- -------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2006-8, Asset-Backed Certificates,
Series 2006-8, Cl. 2A1, 2.629%, 1/25/46 1 4,701,945 4,606,642
- -------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 2,118,387 2,098,515
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 7,624,577 7,334,557
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 696,538 686,447
- -------------------------------------------------------------------------------------------------------------
DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-CF2, Cl. A1B, 6.24%, 11/12/31 178,143 178,507
- -------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 5.829%, 10/15/30 1,5 36,400,000 18,200,000
- -------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2007-FA2,
Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 4,146,350 4,022,775
- -------------------------------------------------------------------------------------------------------------
First Union National Bank/Lehman Brothers/Bank of America
Commercial Mtg. Trust, Pass-Through Certificates,
Series 1998-C2, Cl. A2, 6.56%, 11/18/35 789,885 787,818
- -------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations,
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 3,080,000 3,054,737
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1998-C1, Cl. F, 7.093%, 5/15/30 1 $ 2,000,000 $ 1,975,047
- -----------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 4,380,000 4,323,481
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 6,712,000 6,676,680
Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 9,020,000 8,845,566
- -----------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2006-GG8, Cl. A2, 5.479%, 11/10/39 1,000,000 989,434
- -----------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 2,205,000 2,173,001
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 5,406,000 5,343,017
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 9,220,000 8,994,038
Series 2007-LD11, Cl. A2, 5.804%, 6/15/49 1 14,520,000 14,444,705
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 5,275,000 5,226,998
- -----------------------------------------------------------------------------------------------------------
JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through
Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 9,002,728 9,289,014
- -----------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates,
Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,383,281
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2000-C3, Commercial Mtg. Pass-Through
Certificates, Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,421,572 9,813,246
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C5, Commercial Mtg. Pass-Through
Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 5,986,000 5,948,717
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg. Pass-Through
Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 540,000 536,853
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through
Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 4,150,000 4,095,367
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through
Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 21,030,000 20,600,113
- -----------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 5 442,933 332,200
- -----------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates,
Series 2004-6, Cl. 10A1, 6%, 7/25/34 3,890,689 3,588,623
- -----------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates,
Series 2006-3, Cl. 2A1, 3.049%, 10/25/36 1 18,707,149 17,127,947
- -----------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,284,863 1,287,678
- -----------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 9,850,492
- -----------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 571,000 591,488
- -----------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 5,411,614 5,374,302
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial
Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 $ 5,708,102 $ 5,669,813
- -----------------------------------------------------------------------------------------------------------
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 2,042,791
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg,
Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.884%, 8/1/46 1 21,256,561 20,410,405
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through
Certificates, Series 2004-V, Cl. 1A1, 3.835%, 10/1/34 1 11,350,935 11,406,154
---------------
310,256,627
- -----------------------------------------------------------------------------------------------------------
MANUFACTURED HOUSING -- 0.1%
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36 1 17,947,360 16,919,913
- -----------------------------------------------------------------------------------------------------------
MULTIFAMILY -- 0.4%
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates,
Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 1 9,496,363 9,480,229
- -----------------------------------------------------------------------------------------------------------
Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates:
Series 2003-46, Cl. 1A2, 4.124%, 1/19/34 1 16,101,270 16,354,422
Series 2007-HY1, Cl. 1A1, 5.691%, 4/25/37 1 12,270,326 11,629,209
---------------
37,463,860
- -----------------------------------------------------------------------------------------------------------
OTHER -- 0.1%
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.761%, 2/25/32 1 5,747,904 5,673,936
- -----------------------------------------------------------------------------------------------------------
RESIDENTIAL -- 3.2%
Chase Mortgage Finance Trust 2006-S3, Multiclass Mtg. Pass-Through
Certificates, Series 2006-S3, Cl. 1A2, 6%, 11/1/36 10,650,000 9,700,149
- -----------------------------------------------------------------------------------------------------------
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through
Certificates, Series 2007-A1, Cl. 9A1, 4.571%, 2/1/37 1 10,656,876 10,132,376
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates,
Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 10 9,907,502 9,349,180
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-27, Mtg. Pass-Through Certificates,
Series 2005-27, Cl. 2A1, 5.50%, 12/1/35 10 8,619,793 8,133,969
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates,
Series 2005-J4, Cl. A7, 5.50%, 11/1/35 5,301,000 4,592,011
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates:
Series 2007-HY5, Cl. 1A2, 5.946%, 9/1/37 1 11,512,908 7,943,907
Series 2007-HY5, Cl. 2A2, 6.017%, 9/1/37 1 2,917,272 2,012,918
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates,,
Series 2007-HY5, Cl. 3A2, 6.216%, 9/1/37 1 7,243,281 4,997,864
- -----------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2005-3, Asset-Backed Pass-Through
Certificates, Series 2005-3, Cl. 2A4, 5.201%, 8/1/35 1 22,339,454 19,825,692
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
Citigroup Mortgage Loan Trust, Inc., 2006-AR2, Mtg. Pass-Through
Certificates, Series 2006-AR2, Cl.1A2, 5.527%, 3/1/36 1 $ 25,881,505 $ 24,843,467
- --------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment
Conduit Pass-ThroughCertificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 6,907,039 6,844,604
- --------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 7,107,576 6,303,385
- --------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates,
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,326,974 1,278,413
- --------------------------------------------------------------------------------------------------------
Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates:
Series 2005-31, Cl. 2A4, 5.496%, 1/1/36 1 3,895,369 3,605,371
Series 2007-HY3, Cl. 1A1, 5.714%, 6/1/47 1 10,207,417 9,435,481
- --------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2007-AR1, Mgt. Pass-Through Certificates,
Series 2007-AR1, Cl. 2A1, 5.999%, 3/1/37 1 33,869,426 32,255,169
- --------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates,
Series 2007-AR1, Cl. 4A1, 5.834%, 3/1/37 1 10,931,566 10,063,195
- --------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates,
Series 2007-A1, Cl. 7A1, 5.301%, 7/1/35 1 17,621,933 16,256,234
- --------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through
Certificates, Series 2006-3, Cl. 2A1, 6.085%, 10/25/36 1 15,144,158 14,529,108
- --------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2007-3, Mtg. Pass-Through
Certificates, Series 2007-3, Cl. 1A1, 5.861%, 9/1/37 1,5 9,547,281 9,260,863
- --------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust:
Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 13,494,515 13,182,214
Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 3,969,583 3,943,665
- --------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 2,686,002 2,688,545
- --------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 5,304,996 5,094,068
- --------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through
Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 9,429,000 7,914,028
- --------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., CMO:
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 208,714 208,303
Series 2000-UP1, Cl. A2, 8%, 9/25/30 385,514 387,413
- --------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,445,531
- --------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1995-3, Cl. 1IO, 7.159%, 9/15/25 8 32,189,848 201,090
Series 1992-2, Cl. IO, 15.875%, 9/15/22 8 14,126,168 292,746
Series 1995-2B, Cl. 2IO, 13.348%, 6/15/25 8 979,668 15,031
- --------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR14, Cl. 1A1, 5.056%, 12/1/35 1 12,006,415 11,684,169
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY4, Cl. 4A1, 5.497%, 9/25/36 1 $ 30,285,601 $ 28,787,254
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR12, Cl. 2A6, 4.329%, 7/1/35 1 6,470,758 5,992,114
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.943%, 10/1/35 1 8,118,997 8,234,510
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-12 Trust, Mtg.
Pass-Through Certificates, Series 2006-12, Cl. A1, 6%, 10/25/36 5,895,263 5,903,519
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR10, Cl. 5A3, 5.597%, 7/1/36 1 4,861,496 4,713,551
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-A R8, Cl. 2A1, 5.241%, 4/1/36 1 7,352,681 7,242,482
-----------------
320,293,589
-----------------
Total Mortgage-Backed Obligations (Cost $2,539,926,008) 2,574,833,658
- -------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 2.7%
- -------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
3.375%, 4/15/09 26,370,000 26,675,444
4.625%, 10/25/12 11 63,280,000 67,230,634
5.25%, 5/21/09 25,770,000 26,640,150
- -------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
2.75%, 4/11/11 11 23,450,000 23,479,430
3.25%, 4/9/13 11 61,875,000 61,898,760
5.50%, 3/15/11 14,995,000 16,163,200
- -------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 6.135%, 1/15/21 12 53,130,000 30,029,289
- -------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, STRIPS, 4.955%, 2/15/16 7,11,12 23,896,000 18,368,329
-----------------
Total U.S. Government Obligations (Cost $256,791,214) 270,485,236
- -------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS -- 27.1%
- -------------------------------------------------------------------------------------------------------------------
ARGENTINA -- 0.6%
Argentina (Republic of) Bonds:
3.092%, 8/3/12 1 29,085,001 24,724,287
7%, 10/3/15 5,800,000 4,413,800
Series GDP, 0.971%, 12/15/35 1 23,710,000 2,857,055
Series V, 7%, 3/28/11 14,317,000 12,960,864
Series VII, 7%, 9/12/13 9,540,000 7,815,249
- -------------------------------------------------------------------------------------------------------------------
Neuquen (Province Del) Sr. Sec. Nts., 8.656%, 10/18/14 2 6,770,000 6,617,675
-----------------
59,388,930
- -------------------------------------------------------------------------------------------------------------------
AUSTRALIA -- 0.9%
New South Wales Treasury Corp. Bonds, Series 10RG, 7%, 12/1/10 1,505,000 AUD 1,381,773
- -------------------------------------------------------------------------------------------------------------------
New South Wales Treasury Corp. Sr. Unsec. Nts., 6%, 10/1/09 92,295,000 AUD 83,254,356
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------
AUSTRALIA Continued
Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 4,530,000 AUD $ 4,094,413
---------------
88,730,542
- ------------------------------------------------------------------------------------------------------
AUSTRIA -- 0.2%
Austria (Republic of) Unsec. Unsub. Nts., Series E, 4%, 9/15/16 14,571,000 EUR 22,954,369
- ------------------------------------------------------------------------------------------------------
BELGIUM -- 0.2%
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 13,505,000 EUR 21,990,159
- ------------------------------------------------------------------------------------------------------
BRAZIL -- 2.3%
Brazil (Federal Republic of) Bonds:
6%, 1/17/17 23,215,000 23,725,730
8%, 1/15/18 36,080,000 40,499,800
8.75%, 2/4/25 1,815,000 2,227,913
8.875%, 10/14/19 21,300,000 26,358,750
10.50%, 7/14/14 17,798,000 22,647,955
- ------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts.:
7.875%, 3/7/15 7,950,000 9,003,375
10%, 1/10/10 58,026,000 BRR 31,462,027
10%, 1/1/12 29,874,000 BRR 15,852,441
10%, 1/1/17 58,901,000 BRR 28,890,257
- ------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Treasury Bills, 10.697%, 7/1/08 12 53,780,000 BRR 29,831,457
---------------
230,499,705
- ------------------------------------------------------------------------------------------------------
BULGARIA -- 0.2%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,080,000 8,301,300
8.25%, 1/15/15 2 6,790,000 7,961,275
---------------
16,262,575
- ------------------------------------------------------------------------------------------------------
CANADA -- 1.0%
Canada (Government of) Nts.:
3.75%, 6/1/12 49,240,000 CAD 49,554,211
4.25%, 12/1/09 48,210,000 CAD 48,231,135
---------------
97,785,346
- ------------------------------------------------------------------------------------------------------
COLOMBIA -- 0.5%
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28 2 9,427,000,000 COP 4,393,774
- ------------------------------------------------------------------------------------------------------
Colombia (Republic of) Bonds:
7.375%, 9/18/37 10,402,000 11,182,150
10.75%, 1/15/13 8,000,000 9,928,000
12%, 10/22/15 14,703,000,000 COP 8,420,119
- ------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts., 11.75%, 3/1/10 5,175,000,000 COP 2,875,121
- ------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 4,010,000 4,683,680
- ------------------------------------------------------------------------------------------------------
EEB International Ltd. Sr. Unsec. Bonds, 8.75%, 10/31/14 2 8,730,000 9,035,550
---------------
50,518,394
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
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 26,605,000 DKK 5,654,523
4%, 11/15/15 19,370,000 DKK 4,086,917
7%, 11/10/24 13 7,025,000 DKK 1,917,478
- ----------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Nts., 4%, 8/15/08 28,015,000 DKK 5,924,644
---------------
17,583,562
- ----------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC -- 0.0%
Dominican Republic Unsec. Unsub. Bonds, Series REGS, 9.04%, 1/23/18 2,626,423 2,797,141
- ----------------------------------------------------------------------------------------------------------
Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 5 1,344,859 1,415,465
---------------
4,212,606
- ----------------------------------------------------------------------------------------------------------
EGYPT -- 0.1%
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/12 2 31,310,000 EGP 5,876,102
- ----------------------------------------------------------------------------------------------------------
EL SALVADOR -- 0.2%
El Salvador (Republic of) Bonds:
7.625%, 9/21/34 2 4,802,000 5,234,180
7.65%, 6/15/35 2 10,425,000 11,102,625
---------------
16,336,805
- ----------------------------------------------------------------------------------------------------------
FRANCE -- 3.1%
France (Government of) Obligations Assimilables du Tresor Bonds:
3.25%, 4/25/16 58,795,000 EUR 88,098,749
4%, 10/25/38 44,370,000 EUR 62,732,053
- ----------------------------------------------------------------------------------------------------------
France (Government of) Treasury Nts.:
3.75%, 1/12/13 71,110,000 EUR 112,058,789
4.50%, 7/12/12 28,165,000 EUR 45,719,824
---------------
308,609,415
- ----------------------------------------------------------------------------------------------------------
GERMANY -- 3.0%
Germany (Federal Republic of) Bonds:
Series 03, 3.75%, 7/4/13 69,200,000 EUR 109,938,207
Series 05, 4%, 1/4/37 114,260,000 EUR 164,555,073
Series 07, 4.25%, 7/4/17 14,600,000 EUR 23,682,675
---------------
298,175,955
- ----------------------------------------------------------------------------------------------------------
GHANA -- 0.1%
Ghana (Republic of) Bonds, 8.50%, 10/4/17 2 9,290,000 9,754,500
- ----------------------------------------------------------------------------------------------------------
GREECE -- 0.5%
Greece (Republic of) Bonds, 4.60%, 5/20/13 31,430,000 EUR 50,623,880
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
GUATEMALA -- 0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 2 $ 3,052,000 $ 3,549,476
10.25%, 11/8/11 3,208,000 3,730,904
-----------------
7,280,380
- ---------------------------------------------------------------------------------------------------------------------------
INDONESIA -- 0.5%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 2 22,015,000 23,170,788
6.90%, 1/17/18 2 12,160,000 12,817,892
7.25%, 4/20/15 2 11,655,000 12,470,850
- ---------------------------------------------------------------------------------------------------------------------------
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 6,210,000 7,001,775
-----------------
55,461,305
- ---------------------------------------------------------------------------------------------------------------------------
ISRAEL -- 0.5%
Israel (State of) Bonds:
5.50%, 2/28/17 107,110,000 ILS 29,922,697
Series 2682, 7.50%, 3/31/14 68,180,000 ILS 21,483,464
-----------------
51,406,161
- ---------------------------------------------------------------------------------------------------------------------------
ITALY -- 0.6%
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4.20%, 7/1/09 1 41,195,000 EUR 65,140,273
- ---------------------------------------------------------------------------------------------------------------------------
JAPAN -- 2.6%
Japan (Government of) Bonds:
2 yr., Series 252, 0.80%, 1/15/09 10,059,000,000 JPY 101,111,215
10 yr., Series 245, 0.90%, 12/20/12 14 4,692,000,000 JPY 47,413,300
10 yr., Series 288, 1.70%, 9/20/17 4,144,000,000 JPY 43,376,056
30 yr., Series 25, 2.30%, 12/20/36 6,752,000,000 JPY 66,585,233
-----------------
258,485,804
- ---------------------------------------------------------------------------------------------------------------------------
MALAYSIA -- 0.3%
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 5 59,778,000 MYR 22,520,710
- ---------------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 27,925,000 MYR 9,263,225
-----------------
31,783,935
- ---------------------------------------------------------------------------------------------------------------------------
MEXICO -- 0.9%
Mexican Williams Sr. Nts., 5.488%, 11/15/08 1,5 1,500,000 1,512,300
- ---------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
Series M7, 8%, 12/24/08 1 634,570,000 MXN 59,857,163
Series MI10, 8%, 12/19/13 319,920,000 MXN 30,916,968
-----------------
92,286,431
- ---------------------------------------------------------------------------------------------------------------------------
NIGERIA -- 0.8%
Nigeria (Federal Republic of) Nts., Series 3Y2S, 12.50%, 2/24/09 212,600,000 NGN 1,857,855
- ---------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 1,402,243 1,459,410
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
NIGERIA Continued
Nigeria (Federal Republic of) Treasury Bills, Series 364, 9.13%, 2/5/09 12 791,000,000 NGN $ 6,240,025
- ---------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Treasury Bonds:
Series 3Y, 9.23%, 5/25/12 1,559,500,000 NGN 13,088,530
Series 3Y, 12.50%, 7/31/09 378,800,000 NGN 3,365,242
Series 3Y1S, 15%, 1/27/09 294,000,000 NGN 2,611,882
Series 5 yr., 9.50%, 2/23/12 697,500,000 NGN 5,925,458
Series 5Y, 9.50%, 8/31/12 1,552,000,000 NGN 13,151,531
Series 5Y13, 12.99%, 9/29/11 524,300,000 NGN 5,027,350
Series 7Y16, 11.99%, 12/22/13 857,700,000 NGN 7,876,201
Series 7YR, 12.74%, 10/27/13 341,700,000 NGN 3,210,780
Series 10 yr., 9.35%, 8/31/17 1,487,100,000 NGN 11,731,404
Series 364, 9.163%, 1/8/09 12 1,212,200,000 NGN 9,628,015
-----------------
85,173,683
- ---------------------------------------------------------------------------------------------------------------------------
PANAMA -- 0.5%
Panama (Republic of) Bonds:
6.70%, 1/26/36 10,705,000 10,945,863
7.25%, 3/15/15 26,685,000 29,353,500
8.875%, 9/30/27 4,925,000 6,279,375
9.375%, 4/1/29 5,500,000 7,260,000
-----------------
53,838,738
- ---------------------------------------------------------------------------------------------------------------------------
PERU -- 2.0%
Peru (Republic of) Bonds:
7.84%, 8/12/20 61,210,000 PEN 24,425,174
9.91%, 5/5/15 66,044,000 PEN 29,312,044
Series 7, 8.60%, 8/12/17 59,542,000 PEN 24,997,019
Series 8-1, 12.25%, 8/10/11 83,770,000 PEN 36,875,420
- ---------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Certificate of Deposit:
5.364%, 4/11/08 12 39,133,000 PEN 14,229,710
5.50%, 5/2/08 5,12 51,311,000 PEN 18,274,337
5.502%, 4/3/08 12 9,240,000 PEN 3,355,260
5.516%, 5/16/08 12 18,510,000 PEN 6,695,135
5.719%, 11/6/08 12 28,450,000 PEN 10,007,730
5.818%, 1/5/09 12 67,130,000 PEN 23,383,087
- ---------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.54%, 2/28/16 12 14,029,647 9,412,490
-----------------
200,967,406
- ---------------------------------------------------------------------------------------------------------------------------
PHILIPPINES -- 0.4%
Philippines (Republic of the) Bonds:
8%, 1/15/16 25,470,000 29,163,150
8.375%, 2/15/11 5,050,000 5,555,000
- ---------------------------------------------------------------------------------------------------------------------------
Philippines (Republic of the) Unsec. Bonds:
7.75%, 1/14/31 7,539,000 8,452,727
9%, 2/15/13 930,000 1,091,634
-----------------
44,262,511
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
POLAND -- 0.2%
Poland (Republic of) Bonds:
Series DS1013, 5%, 10/24/13 38,810,000 PLZ $ 16,572,085
Series WS0922, 5.75%, 9/23/22 8,880,000 PLZ 3,903,034
-----------------
20,475,119
- ---------------------------------------------------------------------------------------------------------------------------
THE NETHERLANDS -- 0.4%
Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 16,080,000 EUR 26,379,009
- ---------------------------------------------------------------------------------------------------------------------------
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 7,875,000 EUR 12,839,976
-----------------
39,218,985
- ---------------------------------------------------------------------------------------------------------------------------
TURKEY -- 1.6%
Turkey (Republic of) Bonds:
6.75%, 4/3/18 11,135,000 11,107,163
7%, 9/26/16 26,490,000 27,019,800
- ---------------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts.:
7.25%, 3/15/15 14,055,000 14,863,163
14%, 1/19/11 1 38,490,000 TRY 26,776,844
15.861%, 10/7/09 12 46,140,000 TRY 26,698,126
16%, 3/7/12 1 59,465,000 TRY 41,861,992
18.163%, 8/13/08 12 18,130,000 TRY 12,797,500
-----------------
161,124,588
- ---------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 1.4%
United Kingdom Treasury Bonds:
5.75%, 12/7/09 15 39,915,000 GBP 81,659,117
6%, 12/7/28 25,195,000 GBP 59,391,786
-----------------
141,050,903
- ---------------------------------------------------------------------------------------------------------------------------
URUGUAY -- 0.5%
Uruguay (Oriental Republic of) Bonds:
4.25%, 4/5/27 167,100,000 UYU 8,659,639
7.625%, 3/21/36 8,155,000 8,297,713
- ---------------------------------------------------------------------------------------------------------------------------
Uruguay (Oriental Republic of) Unsec. Bonds:
5%, 9/14/18 232,960,000 UYU 14,039,146
8%, 11/18/22 19,500,000 20,962,500
-----------------
51,958,998
- ---------------------------------------------------------------------------------------------------------------------------
VENEZUELA -- 0.6%
Venezuela (Republic of) Bonds, 9.25%, 9/15/27 36,850,000 35,099,625
- ---------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Nts., 10.75%, 9/19/13 12,320,000 12,597,200
- ---------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Unsec. Bonds, 7.65%, 4/21/25 15,755,000 12,712,316
-----------------
60,409,141
-----------------
Total Foreign Government Obligations (Cost $ 2,569,096,826) 2,726,685,186
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 1.3%
- ---------------------------------------------------------------------------------------------------------------------------
Bayerische Hypo- und Vereinsbank AG for the City of Kiev, Ukraine
Loan Participation Nts., 8.625%, 7/15/11 5 $ 20,560,000 $ 21,592,564
- ---------------------------------------------------------------------------------------------------------------------------
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%, 11/25/09 136,600,000 RUR 5,860,178
- ---------------------------------------------------------------------------------------------------------------------------
Dali Capital SA (ROSBANK) Loan Participation Nts.,
Series 23, Tranche 1, 8%, 9/30/09 134,000,000 RUR 5,509,111
- ---------------------------------------------------------------------------------------------------------------------------
Gaz Capital SA Sr. Unsec. Loan Participation Nts., 7.288%, 8/16/37 2 41,570,000 38,580,701
- ---------------------------------------------------------------------------------------------------------------------------
Gazprom International SA Unsec. Loan Participation Nts., 7.201%, 2/1/20 2 4,879,802 4,989,597
- ---------------------------------------------------------------------------------------------------------------------------
VTB Capital SA Loan Participation Nts., 6.315%, 2/4/15 1 41,305,000 41,751,920
-----------------
Total Loan Participations (Cost $ 132,399,154) 131,020,171
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 17.0%
- ---------------------------------------------------------------------------------------------------------------------------
Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 5 645,000 528,900
- ---------------------------------------------------------------------------------------------------------------------------
AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 2 3,594,000 3,459,225
- ---------------------------------------------------------------------------------------------------------------------------
AES Panama SA, 6.35% Sr. Nts., 12/21/16 2 4,230,000 4,235,271
- ---------------------------------------------------------------------------------------------------------------------------
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 5 1,717,608 1,726,196
- ---------------------------------------------------------------------------------------------------------------------------
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 6,255,000 5,995,130
- ---------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,496,000 4,428,560
- ---------------------------------------------------------------------------------------------------------------------------
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 5 4,510,000 4,408,525
- ---------------------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 7,005,000 6,926,194
- ---------------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 12,160,000 13,059,232
8.875% Nts., 11/17/14 2 7,235,000 7,770,028
- ---------------------------------------------------------------------------------------------------------------------------
AmBev International Finance Co. Ltd., 9.50% Bonds, 7/24/17 2 15,650,000 BRR 7,692,554
- ---------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 1,890,000 1,611,225
- ---------------------------------------------------------------------------------------------------------------------------
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 33,200,000 MXN 3,063,967
- ---------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 1,050,000 698,250
8.875% Sr. Unsec. Sub. Nts., 1/15/11 5 38,178 25,388
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 5,200,000 3,510,000
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 2 189,072 126,678
- ---------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 3,4,5 3,462,000 --
- ---------------------------------------------------------------------------------------------------------------------------
American Tower Corp.:
7.125% Sr. Unsec. Nts., 10/15/12 890,000 914,475
7.50% Sr. Nts., 5/1/12 6,580,000 6,760,950
- ---------------------------------------------------------------------------------------------------------------------------
Ashtead Capital, Inc., 9% Nts., 8/15/16 2 1,725,000 1,405,875
- ---------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4,5 11,587,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 4,835,000 4,943,788
- ---------------------------------------------------------------------------------------------------------------------------
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2 20,167,408 20,167,408
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 $ 5,135,000 $ 4,454,613
- ---------------------------------------------------------------------------------------------------------------------------
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 5,800,000 EUR 8,926,402
- ---------------------------------------------------------------------------------------------------------------------------
Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 12,090,000 EUR 18,839,755
- ---------------------------------------------------------------------------------------------------------------------------
Banco BMG SA, 9.15% Nts., 1/15/16 2 17,395,000 17,395,000
- ---------------------------------------------------------------------------------------------------------------------------
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 1,2 5,425,000 5,425,000
- ---------------------------------------------------------------------------------------------------------------------------
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 2 7,600,000 6,821,000
- ---------------------------------------------------------------------------------------------------------------------------
Banco Invex SA, 25.672% Mtg. Backed Certificates, Series 062U, 3/13/34 1,16 18,079,316 MXN 7,053,253
- ---------------------------------------------------------------------------------------------------------------------------
Bank of Scotland plc:
4.375% Sr. Sec. Nts., 7/13/16 43,455,000 EUR 67,008,418
4.50% Sr. Sec. Nts., 7/13/21 25,580,000 EUR 37,753,731
- ---------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bonds 17 17,640,000 14,119,056
- ---------------------------------------------------------------------------------------------------------------------------
Bausch & Lomb, Inc., 9.875% Sr. Unsec. Nts., 11/1/15 2 3,580,000 3,651,600
- ---------------------------------------------------------------------------------------------------------------------------
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 2,280,000 2,342,700
- ---------------------------------------------------------------------------------------------------------------------------
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 7,865,000 6,901,538
- ---------------------------------------------------------------------------------------------------------------------------
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs. 2,17 17,200,000 15,946,842
- ---------------------------------------------------------------------------------------------------------------------------
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 7,710,000 7,594,350
- ---------------------------------------------------------------------------------------------------------------------------
CCH I Holdings LLC/CCH I Holdings Capital Corp., 11% Sr. Sec. Nts., 10/1/15 5,500,000 3,850,000
- ---------------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 3,300,000 2,788,500
- ---------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 3,4,5 21,747,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 3,285,000 3,088,935
- ---------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 9,590,000 9,542,050
- ---------------------------------------------------------------------------------------------------------------------------
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,360,000 2,312,800
- ---------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 18 5,045,000 4,565,725
- ---------------------------------------------------------------------------------------------------------------------------
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 12,240,000 11,138,400
- ---------------------------------------------------------------------------------------------------------------------------
Claire's Stores, Inc., 10.50% Sr. Unsec. Sub. Nts., 6/1/17 7,515,000 3,344,175
- ---------------------------------------------------------------------------------------------------------------------------
Cloverie plc, 6.792% Sec. Nts., Series 2005-93, 12/20/10 1,5 6,700,000 5,782,100
- ---------------------------------------------------------------------------------------------------------------------------
Constellation Brands, Inc.:
8.125% Sr. Sub. Nts., 1/15/12 4,495,000 4,562,425
8.375% Sr. Nts., 12/15/14 2,510,000 2,597,850
- ---------------------------------------------------------------------------------------------------------------------------
Coriolanus Ltd.:
3.359% Sec. Nts., 12/31/17 5,12 68,800,000 BRR 27,407,078
10.62% Sec. Nts., 8/10/10 9,200,000 6,628,600
- ---------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,140,000 3,092,900
7.50% Sr. Nts., 5/1/11 1,855,000 1,882,825
- ---------------------------------------------------------------------------------------------------------------------------
Countrywide Financial Corp., 3.345% Unsec. Unsub. Nts, 5/5/08 1 3,085,000 3,065,052
- ---------------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 3.25% Nts., Series L, 5/21/08 22,960,000 22,517,607
- ---------------------------------------------------------------------------------------------------------------------------
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 6,625,000 6,840,313
- ---------------------------------------------------------------------------------------------------------------------------
DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 8,325,000 8,116,875
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 $ 1,912,000 $ 1,668,220
- ---------------------------------------------------------------------------------------------------------------------------
Del Monte Corp.:
6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,385,000 1,333,063
8.625% Sr. Sub. Nts., 12/15/12 4,055,000 4,146,238
- ---------------------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 9,071,000 10,946,366
- ---------------------------------------------------------------------------------------------------------------------------
Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 3,035,000 3,118,463
- ---------------------------------------------------------------------------------------------------------------------------
Depfa ACS Bank, 3.875% Sec. Nts., 11/14/16 2,660,000 EUR 4,053,202
- ---------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,609,000 2,550,298
9.875% Sr. Sub. Nts., 8/15/13 4,627,000 4,037,058
- ---------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc.:
0%/9% Unsec. Disc. Nts., 11/15/13 18 2,460,000 1,783,500
8% Unsec. Nts., 11/15/13 2,005,000 1,473,675
- ---------------------------------------------------------------------------------------------------------------------------
Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 2,005,000 2,010,013
- ---------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,991,000 1,742,125
8.875% Sr. Unsec. Nts., 3/15/11 641,000 522,415
- ---------------------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 5 2,814,000 2,124,570
- ---------------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc.:
6.625% Sr. Nts., 2/1/16 3,955,000 3,885,788
7.625% Sr. Sub. Nts., 2/1/18 1,160,000 1,165,800
- ---------------------------------------------------------------------------------------------------------------------------
Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 980,000 980,000
- ---------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 6.375% Sr. Unsec. Nts., 10/1/11 5,420,000 5,216,750
- ---------------------------------------------------------------------------------------------------------------------------
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 6,880,000 6,880,000
- ---------------------------------------------------------------------------------------------------------------------------
Eirles Two Ltd.:
6.482% Sec. Nts., Series 335, 4/30/12 1,5 16,700,000 12,733,750
8.279% Sec. Nts., Series 324, 4/30/12 1,5 14,300,000 10,582,000
- ---------------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 8,680,000 BRR 5,441,386
- ---------------------------------------------------------------------------------------------------------------------------
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 2,620,000 2,502,100
- ---------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub.
Nts., 3/1/14 1,925,000 1,708,438
- ---------------------------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 8.375% Jr. Sub. Nts., 8/1/66 1 8,610,000 8,395,404
- ---------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc.:
10.75% Sr. Nts., 12/15/09 3,4,5 2,196,821 EUR --
10.75% Sr. Unsec. Sub. Nts., 12/15/09 3,4,5 6,378,763 --
- ---------------------------------------------------------------------------------------------------------------------------
Exsportfinans ASA, 3.50% Nts., 2/11/11 1 50,480,000 EUR 77,377,563
- ---------------------------------------------------------------------------------------------------------------------------
FairPoint Communications, Inc., 13.125% Sr. Nts., 4/1/18 5,050,000 4,873,250
- ---------------------------------------------------------------------------------------------------------------------------
Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,224,000 4,160,640
- ---------------------------------------------------------------------------------------------------------------------------
Fiserv, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/20/12 7,950,000 8,204,082
- ---------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 4,515,000 4,661,738
- ---------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 9,380,000 9,977,975
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV,
7.875% Sr. Sub. Nts., 6/15/11 $ 2,650,000 $ 2,762,625
- ---------------------------------------------------------------------------------------------------------------------------
GameStop Corp., 8% Sr. Unsec. Nts., 10/1/12 75,000 79,688
- ---------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co.:
6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 612,500
8% Sr. Nts., 11/15/13 1,200,000 1,119,000
- ---------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8% Bonds, 11/1/31 4,985,000 3,580,322
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 9,435,000 8,193,646
- ---------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 2,800,000 2,880,500
9% Sr. Unsec. Nts., 7/1/15 1,790,000 1,901,875
- ---------------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc., 9.875% Sr. Unsec. Sub. Nts., 10/15/14 6,510,000 5,500,950
- ---------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp., 8.50% Sr. Nts., 8/15/11 6,965,000 6,877,938
- ---------------------------------------------------------------------------------------------------------------------------
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 3,435,000 3,143,025
- ---------------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 3,130,000 2,957,850
- ---------------------------------------------------------------------------------------------------------------------------
H&E Equipment Services, Inc., 8.375% Sr. Unsec. Nts., 7/15/16 1,900,000 1,577,000
- ---------------------------------------------------------------------------------------------------------------------------
Harrah's Operating Co., Inc., 10.75% Sr. Unsec. Nts., 2/1/16 2 6,145,000 5,207,888
- ---------------------------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 2,17 16,300,000 11,707,084
- ---------------------------------------------------------------------------------------------------------------------------
HCA, Inc., 6.375% Nts., 1/15/15 9,400,000 8,001,750
- ---------------------------------------------------------------------------------------------------------------------------
HealthSouth Corp., 10.75% Sr. Unsec. Nts., 6/15/16 4,420,000 4,663,100
- ---------------------------------------------------------------------------------------------------------------------------
Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/16 2 4,475,000 4,497,375
- ---------------------------------------------------------------------------------------------------------------------------
Hertz Corp.:
8.875% Sr. Unsec. Nts., 1/1/14 1,110,000 1,057,275
10.50% Sr. Unsec. Sub. Nts., 1/1/16 4,375,000 4,117,969
- ---------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 4,550,000 4,254,250
- ---------------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
10.221% Sr. Unsec. Nts., 7/8/09 12 17,190,000 15,703,065
12.045% Sr. Unsec. Nts., 1/12/10 12 22,570,000 17,469,180
12.895% Sr. Unsec. Nts., 3/9/09 12 17,190,000 14,869,350
- ---------------------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 13,800,000 11,210,568
- ---------------------------------------------------------------------------------------------------------------------------
HSBK Europe BV, 7.25% Unsec. Unsub. Nts., 5/3/17 2 3,440,000 2,992,800
- ---------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
7.375% Sr. Unsub. Nts., 1/15/15 5 1,911,000 1,987,440
7.875% Sr. Unsec. Sub. Nts., 11/15/14 5 915,000 974,475
- ---------------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 805,000 861,350
11.625% Sr. Unsec. Nts., 10/15/10 79,000 83,740
- ---------------------------------------------------------------------------------------------------------------------------
ICICI Bank Ltd.:
6.375% Bonds, 4/30/22 1,2 18,530,000 15,967,097
6.625% Nts., 10/3/12 2 17,600,000 17,594,597
- ---------------------------------------------------------------------------------------------------------------------------
Idearc, Inc., 8% Sr. Unsec. Nts., 11/15/16 5,090,000 3,321,225
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 5 $ 18,149,619 $ 20,282,199
- ---------------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 7,510,000 BRR 4,364,463
9.891% Nts., 1/25/12 1,5 5,369,714,366 COP 3,164,548
- ---------------------------------------------------------------------------------------------------------------------------
Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 2,560,000 2,630,400
- ---------------------------------------------------------------------------------------------------------------------------
iPayment Holdings, Inc., 9.75% Sr. Unsec. Sub. Nts., 5/15/14 5 1,905,000 1,700,213
- ---------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.625% Sr. Unsec. Sub. Nts., 4/1/13 4,455,000 4,521,825
- ---------------------------------------------------------------------------------------------------------------------------
ISA Capital do Brasil SA:
7.875% Sr. Nts., 1/30/12 2 4,195,000 4,341,825
8.80% Sr. Nts., 1/30/17 2 5,240,000 5,475,800
- ---------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 7,740,000 5,553,450
- ---------------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,715,000 2,920,911
- ---------------------------------------------------------------------------------------------------------------------------
iStar Financial, Inc., 3.35% Sr. Unsec. Nts., 3/16/09 1 3,320,000 2,961,951
- ---------------------------------------------------------------------------------------------------------------------------
Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 4,125,000 3,630,000
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan, Red Square Capital Ltd.,
9% Collaterlized Debt Obligation Nts., 11/20/08 2 217,000,000 RUR 8,873,446
- ---------------------------------------------------------------------------------------------------------------------------
JPMorgan Hipotecaria su Casita:
6.47% Sec. Nts., 8/26/35 5 22,241,591 MXN 2,077,171
20.368% Mtg. Backed Certificates, Series 06U, 9/25/35 1 13,343,955 MXN 5,484,884
- ---------------------------------------------------------------------------------------------------------------------------
JSC Astana Finance, 9.16% Nts., 3/14/12 5 26,000,000 23,826,281
- ---------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc.:
7.75% Sr. Unsec. Sub. Nts., 5/15/13 1,240,000 663,400
8.875% Sr. Sub. Nts., 4/1/12 2,195,000 1,229,200
- ---------------------------------------------------------------------------------------------------------------------------
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,225,000 2,269,500
- ---------------------------------------------------------------------------------------------------------------------------
KB Home, 8.625% Sr. Sub. Nts., 12/15/08 2,724,000 2,744,430
- ---------------------------------------------------------------------------------------------------------------------------
Key Energy Services, Inc., 8.375% Sr. Nts., 12/1/14 2 4,385,000 4,395,963
- ---------------------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 8,519,000 8,722,093
- ---------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 5 1,340,000 1,413,700
- ---------------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 2 6,585,000 6,799,013
- ---------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,267,000 4,106,988
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,900,000 1,862,000
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,420,000 2,377,650
7.625% Sr. Sub. Nts., 6/15/12 600,000 617,250
- ---------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,277,000 3,785,145
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,719,000
- ---------------------------------------------------------------------------------------------------------------------------
Lear Corp., 8.75% Sr. Unsec. Nts., Series B, 12/1/16 10,115,000 8,686,256
- ---------------------------------------------------------------------------------------------------------------------------
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 2,970,000 2,717,550
- ---------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 5,660,000 5,667,075
- ---------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,433,000 3,201,273
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
Majapahit Holding BV:
7.25% Nts., 10/17/11 2 $ 7,460,000 $ 7,478,650
7.75% Nts., 10/17/16 2 10,065,000 9,964,350
- ---------------------------------------------------------------------------------------------------------------------------
Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 18 7,225,000 5,436,813
- ---------------------------------------------------------------------------------------------------------------------------
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/15 2 6,670,000 5,902,950
- ---------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc.:
6.375% Sr. Sub. Nts., 4/1/14 2,400,000 1,128,000
6.875% Sr. Unsec. Sub. Nts., 10/1/13 6,555,000 3,228,338
- ---------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
6.625% Sr. Unsec. Nts., 7/15/15 4,045,000 3,539,375
8.375% Sr. Unsec. Sub. Nts., 2/1/11 4,580,000 4,614,350
- ---------------------------------------------------------------------------------------------------------------------------
MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11 2 5,365,000 4,989,450
- ---------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC, 9.125% Sr. Unsec. Nts., 5/1/31 900,000 821,250
- ---------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 2,185,000 2,004,738
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,540,000 2,057,400
8% Sr. Sub. Nts., 4/1/12 3,250,000 2,990,000
- ---------------------------------------------------------------------------------------------------------------------------
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 7,540,000 5,777,525
- ---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley, 6.25% Sr. Nts., 3/23/17 5 15,216,000 PEN 5,012,916
- ---------------------------------------------------------------------------------------------------------------------------
Mosaic Co.:
7.375% Sr. Nts., 12/1/14 5 3,415,000 3,671,125
7.625% Sr. Nts., 12/1/16 2 2,880,000 3,110,400
- ---------------------------------------------------------------------------------------------------------------------------
National Gas Co., 6.05% Nts., 1/15/36 2 8,590,000 8,084,564
- ---------------------------------------------------------------------------------------------------------------------------
National Power Corp.:
5.875% Unsec. Unsub. Bonds, 12/19/16 421,000,000 PHP 9,534,738
6.875% Nts., 11/2/16 2 5,440,000 5,508,000
9.625% Unsec. Bonds, 5/15/28 12,365,000 14,792,250
- ---------------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 1,945,000 1,429,575
- ---------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 4,525,000 4,479,750
- ---------------------------------------------------------------------------------------------------------------------------
NewPage Corp., 10% Sr. Sec. Nts., 5/1/12 4,200,000 4,284,000
- ---------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 30,510,000 23,508,779
- ---------------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC, 10% Sr. Unsec. Nts., 8/1/14 7,605,000 7,605,000
- ---------------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC/Nielsen Finance Co.,
0%/12.50% Sr. Unsec. Sub. Disc. Nts., 8/1/16 18 5,645,000 3,598,688
- ---------------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,720,000 2,026,400
- ---------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4,5 2,121,834 --
- ---------------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/15 1 4,105,000 3,653,450
- ---------------------------------------------------------------------------------------------------------------------------
NTK Holdings, Inc., 0%/10.75% Sr. Unsec. Nts., 3/1/14 18 5,410,000 2,650,900
- ---------------------------------------------------------------------------------------------------------------------------
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 5,605,000 5,044,500
- ---------------------------------------------------------------------------------------------------------------------------
NXP BV/NXP Funding LLC, 9.50% Sr. Unsec. Unsub. Nts., 10/15/15 4,825,000 3,980,625
- ---------------------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5 3,610,000 3,068,500
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc.:
6.75% Sr. Sub. Nts., 12/15/13 $ 1,360,000 $ 1,220,600
6.875% Sr. Sub. Nts., 12/15/15 1,700,000 1,487,500
- ---------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 3,4,5 5,010,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 4,5 12,879,000 129
- ---------------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp.,
6.25% Sr. Unsec. Nts., 9/15/15 670,000 667,294
- ---------------------------------------------------------------------------------------------------------------------------
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/26 5 9,240,000 8,500,800
- ---------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 11,305,000 10,654,963
- ---------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 8,855,000 9,032,100
- ---------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc.:
6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,745,000 1,592,313
6.875% Sr. Sub. Nts., 12/1/11 100,000 94,500
- ---------------------------------------------------------------------------------------------------------------------------
Petrobras International Finance Co., 5.785% Sr. Unsec. Nts., 3/1/18 25,590,000 24,768,561
- ---------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 22,621,102 22,712,514
- ---------------------------------------------------------------------------------------------------------------------------
Piazza Vittoria Finance SrL, 6.033% Asset-Backed Nts., 7/20/10 1,5 4,502,455 EUR 7,108,279
- ---------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 5,750,000 5,448,125
- ---------------------------------------------------------------------------------------------------------------------------
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.,
10.625% Sr. Sub. Nts., 4/1/17 6,531,000 5,584,005
- ---------------------------------------------------------------------------------------------------------------------------
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 2 2,214,000 2,346,840
- ---------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3,4,5 10,850,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Pride International, Inc., 7.375% Sr. Unsec. Nts., 7/15/14 3,230,000 3,375,350
- ---------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 3,4,5 6,650,000 EUR --
- ---------------------------------------------------------------------------------------------------------------------------
PTS Acquisition, 9.50% Sr. Unsec. Nts., 4/15/15 19 5,180,000 4,221,700
- ---------------------------------------------------------------------------------------------------------------------------
Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2,4 3,515,000 1,687,200
- ---------------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,720,000 4,578,400
- ---------------------------------------------------------------------------------------------------------------------------
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,640,000 2,138,400
- ---------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 10,690,000 10,957,250
- ---------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp.:
6.875% Sr. Disc. Nts., Series A-1, 1/15/13 8,460,000 5,202,900
6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,645,000 6,546,675
6.875% Sr. Nts., 1/15/13 5,590,000 3,437,850
- ---------------------------------------------------------------------------------------------------------------------------
Rabobank Nederland, 3% Nts., 3/11/11 1,5 39,030,000 38,834,850
- ---------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 3,292,000 2,658,290
- ---------------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,785,000 1,834,088
- ---------------------------------------------------------------------------------------------------------------------------
Range Resources Corp.:
6.375% Sr. Sub. Nts., 3/15/15 480,000 472,800
7.375% Sr. Sub. Nts., 7/15/13 75,000 76,500
7.50% Sr. Sub. Nts., 5/15/16 2,015,000 2,075,450
- ---------------------------------------------------------------------------------------------------------------------------
RBS Global & Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 2,230,000 1,940,100
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- ---------------------------------------------------------------------------------------------------------------------------
ReAble Therapeutics Finance LLC, 10.875% Sr. Unsec. Nts., 11/15/14 2 $ 4,675,000 $ 4,406,188
- ---------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 4,5,19 8,836,185 --
- ---------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,700,000 1,581,000
- ---------------------------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 8,170,000 8,697,913
- ---------------------------------------------------------------------------------------------------------------------------
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 2 6,180,000 6,311,325
- ---------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.875% Sr. Nts., 2/1/10 5 5,668,000 5,852,210
- ---------------------------------------------------------------------------------------------------------------------------
Sabine Pass LNG LP:
7.25% Sr. Sec. Nts., 11/30/13 4,580,000 4,442,600
7.50% Sr. Sec. Nts., 11/30/16 6,630,000 6,431,100
- ---------------------------------------------------------------------------------------------------------------------------
Salisbury International Investments Ltd., 8.044% Sec. Nts.,
Series 2006-003, Tranche E, 7/20/11 1 5,000,000 4,600,000
- ---------------------------------------------------------------------------------------------------------------------------
Sally Holdings LLC:
9.25% Sr. Unsec. Nts., 11/15/14 3,360,000 3,368,400
10.50% Sr. Unsec. Sub. Nts., 11/15/16 3,525,000 3,278,250
- ---------------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 5,145,000 4,090,275
- ---------------------------------------------------------------------------------------------------------------------------
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 4,870,000 4,815,213
- ---------------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 4,345,000 4,213,216
- ---------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 5,199,000 5,263,988
- ---------------------------------------------------------------------------------------------------------------------------
SLM Corp., 4.50% Nts., Series A, 7/26/10 11,075,000 9,094,236
- ---------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc., 8% Sr. Nts., Series B, 10/15/09 1,300,000 1,326,000
- ---------------------------------------------------------------------------------------------------------------------------
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 2 1,965,000 2,043,600
- ---------------------------------------------------------------------------------------------------------------------------
Sprint Capital Corp., 8.75% Nts., 3/15/32 4,712,000 3,990,541
- ---------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 5,760,000 3,484,800
6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,070,000 628,625
- ---------------------------------------------------------------------------------------------------------------------------
Stena AB, 7.50% Sr. Unsec. Nts., 11/1/13 5 269,000 266,646
- ---------------------------------------------------------------------------------------------------------------------------
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 2 21,925,200 PEN 8,450,261
- ---------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/08 3,4,5 5,135,000 --
- ---------------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 18,377,000 17,625,381
- ---------------------------------------------------------------------------------------------------------------------------
Tesoro Corp., 6.625% Sr. Unsec. Nts., 11/1/15 4,705,000 4,375,650
- ---------------------------------------------------------------------------------------------------------------------------
TGI International Ltd., 9.50% Nts., 10/3/17 2 16,200,000 16,807,500
- ---------------------------------------------------------------------------------------------------------------------------
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 18 14,710,000 7,800,669
- ---------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 2,530,000 2,314,950
- ---------------------------------------------------------------------------------------------------------------------------
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 4,600,000 3,933,000
- ---------------------------------------------------------------------------------------------------------------------------
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 4,940,000 3,359,200
- ---------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 12,630,000 9,977,700
- ---------------------------------------------------------------------------------------------------------------------------
Universal City Florida, 8.375% Sr. Unsec. Nts., 5/1/10 5 700,000 689,500
- ---------------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/15 19 1,980,000 1,989,900
- ---------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc., 9% Sr. Unsec. Nts., 8/15/12 4,905,000 4,905,000
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- -------------------------------------------------------------------------------------------------------
Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 5 $ 2,590,000 $ 2,538,200
- -------------------------------------------------------------------------------------------------------
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc
Nts., 10/1/15 18 6,560,000 5,051,200
- -------------------------------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 3,916,000 3,348,180
- -------------------------------------------------------------------------------------------------------
Virgin Media Finance plc, 8.75% Sr. Unsec. Nts., 4/15/14 1,710,000 1,543,275
- -------------------------------------------------------------------------------------------------------
Vitro SAB de CV:
8.625% Sr. Unsec. Unsub. Nts., 2/1/12 5,205,000 4,827,638
9.125% Sr. Unsec. Unsub. Nts., 2/1/17 8,840,000 7,381,400
- -------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 6,690,000 6,196,613
- -------------------------------------------------------------------------------------------------------
Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 1,782,500
- -------------------------------------------------------------------------------------------------------
West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 2,425,000 2,182,500
- -------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc.:
7.50% Sr. Unsec. Nts., 2/15/14 410,000 202,950
10.75% Sr. Nts., 4/1/13 2,855,000 1,498,875
- -------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 8.125% Sr. Unsec. Nts., 3/15/12 8,267,000 9,073,033
- -------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,097,250
- -------------------------------------------------------------------------------------------------------
Windstream Corp.:
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 6,905,000 6,818,688
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 4,460,000 4,404,250
- -------------------------------------------------------------------------------------------------------
WM Covered Bond Program:
3.875% Sec. Nts., Series 1, 9/27/11 30,655,000 EUR 46,534,949
4% Sec. Mtg. Nts., Series 2, 9/27/16 24,915,000 EUR 35,284,417
- -------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 18 9,658,000 5,070,450
- -------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 8,895,000 8,605,913
---------------
Total Corporate Bonds and Notes (Cost $1,820,065,512) 1,713,677,300
SHARES
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.1%
- -------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 3,5,19 338,141 --
- -------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable,
Series B, Non-Vtg. 3,5 44,000 --
- -------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 8.25% Non-Cum. Sub.,
Series S, Non-Vtg. 373,405 8,980,390
- -------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 3,5,19 5,816 --
- -------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 62,690 7,036,953
---------------
Total Preferred Stocks (Cost $30,587,493) 16,017,343
- -------------------------------------------------------------------------------------------------------
COMMON STOCKS -- 1.0%
- -------------------------------------------------------------------------------------------------------
Arco Capital Corp. Ltd. 3,5,20 2,383,674 35,755,110
- -------------------------------------------------------------------------------------------------------
AT&T, Inc. 220,818 8,457,329
- -------------------------------------------------------------------------------------------------------
Comcast Corp., Cl. A 703,547 13,606,599
- -------------------------------------------------------------------------------------------------------
Constellation Energy Group, Inc. 137,928 12,174,905
- -------------------------------------------------------------------------------------------------------
Global Aero Logistics, Inc. 3,5 32,791 245,933
41 | OPPENHEIMER STRATEGIC INCOME FUND
SHARES VALUE
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 9,869 $ 1,632,234
- ------------------------------------------------------------------------------------------------------------------------------
Mediacom Communications Corp. 3 108,825 471,212
- ------------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 3,5 799,833 --
- ------------------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 102,197 4,107,297
- ------------------------------------------------------------------------------------------------------------------------------
Revlon, Inc., Cl. A 3 3,667,531 3,594,180
- ------------------------------------------------------------------------------------------------------------------------------
Societe des Autoroutes Paris-Rhin-Rhone 16,090 1,945,808
- ------------------------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., Liquidating Trust 3,5 7,998,920 --
- ------------------------------------------------------------------------------------------------------------------------------
Telus Corp. 182,343 7,940,701
- ------------------------------------------------------------------------------------------------------------------------------
Verizon Communications, Inc. 214,905 7,833,287
----------------
Total Common Stocks (Cost $102,017,344) 97,764,595
UNITS
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES -- 0.0%
- ------------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 3,5 800 --
- ------------------------------------------------------------------------------------------------------------------------------
Global Aero Logistics, Inc. Wts., Exp. 2/28/11 3 4,020 4,873
- ------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 3,5 4,610 --
----------------
Total Rights, Warrants and Certificates (Cost $30,592) 4,873
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES -- 11.9%
- ------------------------------------------------------------------------------------------------------------------------------
Aiolos Ltd. Catastrophe Linked Nts., 9.38%, 4/8/09 1,2 5,100,000 EUR 8,171,627
- ------------------------------------------------------------------------------------------------------------------------------
Akibare Ltd. Catastrophe Linked Nts., Cl. A, 6.028%, 5/22/12 1,2 2,512,000 2,542,270
- ------------------------------------------------------------------------------------------------------------------------------
Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 11.593%, 6/1/09 1,2 6,500,000 6,671,925
- ------------------------------------------------------------------------------------------------------------------------------
Cascadia Ltd. Catastrophe Linked Nts.:
6.115%, 6/13/08 1,5 2,750,000 2,748,075
7.09%, 8/31/09 1,5 3,950,000 4,005,695
- ------------------------------------------------------------------------------------------------------------------------------
Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 5.446%, 5/19/09 1,5 7,450,000 7,362,090
- ------------------------------------------------------------------------------------------------------------------------------
Champlain Ltd. Catastrophe Linked Nts., Series A, 17.396%, 1/7/09 1,2 5,260,000 5,346,264
- ------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.407%, 1/5/10 12 19,079,551 BRR 8,714,430
Colombia (Republic of) Credit Linked Bonds, 11%, 7/27/20 7,580,000,000 COP 4,003,100
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 4,498,269,508 COP 2,737,254
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 10,490,000,000 COP 6,383,299
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 8,514,000,000 COP 5,180,877
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 7,206,900,000 COP 4,385,490
Dominican Republic Credit Linked Bonds, 9.85%, 11/10/08 12 76,560,000 DOP 2,085,952
Dominican Republic Credit Linked Nts., 22%, 10/3/11 104,800,000 DOP 3,645,889
Dominican Republic Credit Linked Nts., 9.522%, 5/12/08 12 62,910,000 DOP 1,828,405
Dominican Republic Unsec. Credit Linked Nts., 12.047%, 2/23/09 12 121,200,000 DOP 3,215,157
Dominican Republic Unsec. Credit Linked Nts., 13.182%, 2/23/09 12 229,100,000 DOP 6,002,206
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 174,700,000 DOP 5,000,866
Dominican Republic Unsec. Credit Linked Nts., 9.342%, 8/11/08 12 152,200,000 DOP 4,286,472
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- -----------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Dominican Republic Unsec. Credit Linked Nts.,
Series 007, 9.302%, 5/12/08 12 136,200,000 DOP $ 3,958,494
Egypt (The Arab Republic of) Credit Linked Nts., 5.765%, 2/5/09 12 45,450,000 EGP 7,782,121
Egypt (The Arab Republic of) Credit Linked Nts., 6.089%, 3/5/09 12 32,610,000 EGP 5,549,850
Egypt (The Arab Republic of) Credit Linked Nts., 6.267%, 3/26/09 12 44,450,000 EGP 7,530,780
Egypt (The Arab Republic of) Credit Linked Nts., 6.641%, 2/19/09 12 45,040,000 EGP 7,688,524
Egypt (The Arab Republic of) Credit Linked Nts., 7.024%, 7/10/08 12 32,400,000 EGP 5,825,191
Egypt (The Arab Republic of) Credit Linked Nts., 7.981%, 4/2/09 10,12 20,590,000 EGP 3,483,133
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 6.529%, 3/26/09 12 44,560,000 EGP 7,549,416
Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10 5 10,330,000 GHS 10,503,082
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 1,2 1,846,000,000 NGN 17,830,343
Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%,
4/4/11 5 1,342,000,000 NGN 13,009,599
Renins Nonlife Ltd. Credit Linked Nts., 12.50%, 5/30/12 5 15,090,868 14,185,416
Russian Federation Credit Linked Nts., 7.65%, 12/4/08 1,5 78,340,000 RUR 3,275,788
Russian Federation Credit Linked Nts., Series 2, 7.50%, 12/4/08 1,5 195,600,000 RUR 8,179,015
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 6,780,000 UAH 1,447,730
Zimbabwe (Republic of) Credit Linked Nts., 10.076%, 11/26/08 12 4,570,000,000 ZMK 1,170,482
Zimbabwe (Republic of) Credit Linked Nts., 10.717%, 3/4/09 12 9,715,000,000 ZMK 2,411,895
Zimbabwe (Republic of) Credit Linked Nts., 10.793%, 2/25/09 12 9,715,000,000 ZMK 2,407,223
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Boryspil Airport Total Return Linked Nts., 10%, 4/19/10 1 16,740,000 UAH 3,437,481
EES Total Return Linked Nts., 7.10%, 12/12/08 1,5 136,800,000 RUR 5,758,137
Gazprom Total Return Linked Nts., 6.79%, 10/29/09 271,550,000 RUR 11,766,182
Gazprom Total Return Linked Nts., Series 002, 6.95%, 8/6/09 266,360,000 RUR 11,376,926
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 5 71,300,000,000 IDR 8,174,985
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/19/09 1,5 242,139,000 RUR 10,264,166
Moitk Total Return Linked Nts., 9.014%, 3/26/11 1,5 208,910,000 RUR 8,531,076
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 5 220,335,000 RUR 10,057,276
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 2 230,200,000 RUR 10,373,248
NAK Naftogaz of Ukraine Credit Linked Nts., 5%, 1/20/09 14,720,000 14,475,648
Orenburgskaya IZHK Total Return Linked Nts., 9.24%, 2/21/12 1,5 417,305,000 RUR 16,694,793
RuRail Total Return Linked Nts., 6.67%, 1/22/09 1,5 189,120,000 RUR 8,085,130
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 16,568,000 UAH 3,536,729
Vietnam Shipping Industry Group Total Return Linked Nts.,
10.50%, 1/19/17 5 53,361,000,000 VND 3,223,756
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Russian Specialized Construction and Installation Administration
Credit Linked Nts., 8.59%, 5/20/10 1,5 320,000,000 RUR 13,551,041
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 2 200,000 UAH 42,693
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 4,995,000 UAH 1,066,270
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 2 32,180,000 UAH 6,869,383
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse Group, Russian Moscoblgaz Finance Total Return Linked Nts.,
9.25%, 6/24/12 5 368,300,000 RUR 14,969,410
- -----------------------------------------------------------------------------------------------------------------
Credit Suisse International, FSK EES RRU Total Return Linked Nts.,
8.25%, 6/22/10 1,5 208,505,000 RUR 8,913,864
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 11.991%, 12/21/11 5,21 20,050,000 ARP $ 17,118,092
Arrendadora Capita Corp. SA de CV/Capita Corp. (The)
de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 5 55,912,238 MXN 5,253,552
Arrendadora Capita Corp. SA de CV/Capita Corp. (The)
de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 5 36,694,021 MXN 3,447,795
Brazil Real Credit Linked Nts., 14.389%, 3/3/10 12 35,170,920 BRR 15,937,428
Brazil Real Credit Linked Nts., 6%, 8/18/10 11,400,000 BRR 10,692,300
Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 8,909,000,000 COP 5,272,495
Colombia (Republic of) Total Return Linked Bonds,
Series 002, 11%, 7/28/20 220,000,000 COP 116,132
Egypt (The Arab Republic of) Total Return Linked Nts., 7.725%, 9/16/08 12 46,475,000 EGP 8,310,181
European Investment Bank, Russian Federation Credit Linked Nts.,
5.702%, 1/19/10 5,12 5,820,000 5,144,298
Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 5 9,660,505 9,660,505
Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/20/09 1,409,410,000 KZT 11,241,180
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,360,000 6,069,475
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/22/13 6,494,933 7,709,746
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 369,400,000 NGN 3,253,964
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 496,600,000 NGN 4,506,794
Opic Reforma Credit Linked Nts., 9.94%, 10/3/15 1,5,21 36,680,000 MXN 3,446,478
Peru (Republic of) Credit Linked Nts., 4.249%, 2/20/11 1 8,015,000 8,064,927
RuRail Total Return Linked Bonds, 6.67%, 1/26/09 1 272,550,000 RUR 11,599,674
Russian Federation Credit Linked Nts., 0%, 12/2/09 12 162,122,000 RUR 7,266,264
Russian Federation Total Return Linked Nts., 7.375%, 5/7/09 12 369,230,000 RUR 14,363,550
Russian Federation Total Return Linked Nts., 7.406%, 6/9/09 12 147,700,000 RUR 5,701,854
Russian Federation Total Return Linked Nts., 7.919%, 3/20/09 12 116,100,000 RUR 4,547,133
Russian Federation Total Return Linked Nts., 7.949%, 1/15/09 12 218,560,000 RUR 8,688,505
Russian Federation Total Return Linked Nts., Series 2, 7.948%, 1/16/09 12 228,940,000 RUR 9,103,289
Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 199,715,000 RUR 9,090,569
Russian Unified Energy Systems Total Return Linked Nts.,
Series FSK3, 7.10%, 12/16/08 1 194,210,000 RUR 8,450,770
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,690,000 5,581,662
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 3/1/11 5,740,000 5,598,050
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/29/11 5,740,000 5,553,507
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/29/12 5,740,000 5,507,358
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/30/12 5,740,000 5,468,441
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 13,938,400 UAH 2,916,879
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 2,231,000 UAH 477,197
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 7,904,000 UAH 1,690,617
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 5 36,671,191 MXN 3,445,650
Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 16,060,000 14,456,088
- ------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG Singapore, Vietnam Shipping Industry
Group Total Return Linked Nts., 9%, 4/20/17 5 128,300,000,000 VND 7,215,884
- ------------------------------------------------------------------------------------------------------------------
Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%, 12/8/11 1,2 134,130,000 RUR 6,307,373
- ------------------------------------------------------------------------------------------------------------------
Eurus Ltd. Catastrophe Linked Nts., 9.556%, 4/8/09 1,2 5,790,000 5,879,745
- ------------------------------------------------------------------------------------------------------------------
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 7.012%, 8/10/11 1,5 7,010,000 7,181,745
- ------------------------------------------------------------------------------------------------------------------
Foundation Re II Ltd. Catastrophe Linked Nts., 12.87%, 1/8/09 1,2 3,706,000 3,706,927
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- ---------------------------------------------------------------------------------------------------------------
Foundation Re Ltd. Catastrophe Linked Nts., 7.17%, 11/24/08 1,5 $ 5,250,000 $ 5,133,450
- ---------------------------------------------------------------------------------------------------------------
Fusion 2007 Ltd. Catastrophe Linked Nts., 9.07%, 5/19/09 1,2 8,300,000 8,310,790
- ---------------------------------------------------------------------------------------------------------------
GlobeCat Ltd. Catastrophe Linked Nts., 7.01%, 12/30/08 1 5,250,000 5,252,888
- ---------------------------------------------------------------------------------------------------------------
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts.,
14.802%, 3/29/17 2,12 77,520,000 TRY 10,283,325
- ---------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital Markets LP, Colombia (Republic of)
Credit Linked Nts., 10.48%, 2/8/37 2,12 237,059,200,000 COP 3,082,139
- ---------------------------------------------------------------------------------------------------------------
Goldman Sachs International, Russian Federation Total Return
Linked Nts., 8%, 5/13/09 1 374,900,000 RUR 15,699,629
- ---------------------------------------------------------------------------------------------------------------
Hallertau SPC 2007-01, Philippines (Republic of)
Credit Linked Nts., 6.42%, 12/20/17 1,5 16,640,000 15,581,696
- ---------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts.,
Series 725, 11.89%, 12/30/09 5 38,336,000 UAH 8,187,480
- ---------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank NA:
Argentina (Republic of) Credit Linked Nts., 11.942%, 12/19/11 5,21 19,065,000 ARP 15,326,977
Brazil (Federal Republic of) Credit Linked Nts., 14.35%, 2/20/12 5 21,280,000 BRR 10,657,585
Brazil (Federal Republic of) Credit Linked Nts., 15.582%, 1/2/15 12 70,845,010 BRR 17,234,168
Brazil (Federal Republic of) Credit Linked Nts., 2.765%, 11/30/12 2,12 29,015,000 ARP 8,492,128
Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 5 7,895,000 BRR 6,933,400
Colombia (Republic of) Credit Linked Bonds, 10.244%, 10/31/16 5,12 52,420,000,000 COP 10,097,125
Colombia (Republic of) Credit Linked Bonds, 10.266%, 1/5/16 2,12 121,000,000,000 COP 25,812,188
Colombia (Republic of) Credit Linked Bonds,
Series A, 10.244%, 10/31/16 5,12 52,197,000,000 COP 10,054,171
Peru (Republic of) Credit Linked Nts., 8.194%, 9/2/15 2,12 25,410,000 PEN 5,394,653
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 2 9,185,000 9,782,025
- ---------------------------------------------------------------------------------------------------------------
Lakeside Re Ltd. Catastrophe Linked Nts., 9.196%, 12/31/09 1,2 7,580,000 7,894,570
- ---------------------------------------------------------------------------------------------------------------
Lehman Brothers International, Romania (Republic of) Total Return
Linked Nts., 7.90%, 2/9/10 6,371,800 RON 2,673,590
- ---------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 5 27,550,000 27,550,000
Romania (Republic of) Total Return Linked Nts., 6.50%, 3/9/10 16,840,300 RON 6,840,684
Romania (Republic of) Total Return Linked Nts., 7.25%, 4/19/10 1,558,000 RON 682,855
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 1,548,000 RON 702,881
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 3,738,000 RON 1,697,267
- ---------------------------------------------------------------------------------------------------------------
Medquake Ltd. Catastrophe Linked Nts., 8.165%, 5/31/10 1,2 4,000,000 4,011,600
- ---------------------------------------------------------------------------------------------------------------
Merrill Lynch:
Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 5 7,680,000,000 COP 3,569,498
Renaissance Capital International Services Ltd. Total Return
Linked Nts., 10.50%, 10/7/08 277,000,000 RUR 11,553,284
- ---------------------------------------------------------------------------------------------------------------
Midori Ltd. Catastrophe Linked Nts., 7.008%, 10/24/12 1,2 4,300,000 4,338,270
- ---------------------------------------------------------------------------------------------------------------
Morgan Stanley, Russian Federation Total Return Linked Securities,
Series 007, Cl. VR, 5%, 8/22/34 327,811,922 RUR 11,383,956
- ---------------------------------------------------------------------------------------------------------------
Morgan Stanley & Co. International Ltd./Red Arrow International
Leasing plc Total Return Linked Nts., Series A, 8.375%, 6/30/12 5 137,445,911 RUR 5,878,919
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 2,138,000,000 KZT $ 17,571,228
Brazil (Federal Republic of) Linked Nts., 12.563%, 1/5/22 2,12 109,310,000 BRR 9,406,628
Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 5 38,023,494 BRR 26,306,788
Brazil (Federal Republic of) Total Return Nts., 8/2/10 15,555,985 BRR 7,343,196
Eurokommerz Total Return Linked Nts., Series 1, 12.89%, 10/19/09 1 845,000,000 RUR 36,085,773
Russian Federation Total Return Linked Nts., 12.89%, 10/19/09 1 400,000,000 RUR 17,082,022
Ukraine (Republic of) Credit Linked Nts., 6.653%, 10/15/17 1,2 21,300,000 20,362,800
Ukraine (Republic of) Credit Linked Nts., Series 2, 5.728%, 10/15/17 1,5 5,400,000 5,283,900
United Mexican States Credit Linked Nts., 5.64%, 11/20/15 2 300,000 301,680
WTI Trading Ltd. Total Return Linked Nts., Series A, 13.50%, 2/9/09 5 13,780,000 13,091,000
WTI Trading Ltd. Total Return Linked Nts., Series B, 13.50%, 2/9/09 5 2,250,000 2,137,500
WTI Trading Ltd. Total Return Linked Nts., Series B, 13.50%, 2/9/09 5 18,430,000 17,508,500
- ------------------------------------------------------------------------------------------------------------------
Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 14.965%,
6/21/10 1,2 7,410,000 7,450,014
- ------------------------------------------------------------------------------------------------------------------
Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts.,
Series D, 9.258%, 1/15/10 1,2 3,230,000 3,258,747
- ------------------------------------------------------------------------------------------------------------------
Redwood Capital X Ltd. Catastrophe Linked Nts., Series C, 9.58%, 1/9/09 1,5 890,000 891,291
- ------------------------------------------------------------------------------------------------------------------
Residential Reinsurance Ltd. Catastrophe Linked Nts.:
Series B, 11.526%, 6/6/08 1,5 4,600,000 4,598,620
Series CL3, 15.326%, 6/7/10 1,2 3,000,000 3,046,950
- ------------------------------------------------------------------------------------------------------------------
Successor Euro Wind Ltd. Catastrophe Linked Nts.:
Cl. A-I, 8.258%, 6/6/08 1,2 4,810,000 4,837,417
Cl. A-I, 20.508%, 6/6/08 1,2 6,000,000 6,103,800
- ------------------------------------------------------------------------------------------------------------------
Successor Japan Quake Ltd. Catastrophe Linked Nts., Cl. A-I, 7.258%,
6/6/08 1,2 10,950,000 10,970,805
- ------------------------------------------------------------------------------------------------------------------
UBS AG:
Egypt (The Arab Republic of) Credit Linked Nts., 7.449%, 11/26/08 5,10,12 35,110,000 EGP 6,122,058
Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 2 4,650,997 GHS 4,755,765
- ------------------------------------------------------------------------------------------------------------------
VASCO Re 2006 Ltd. Catastrophe Linked Nts., 11.514%, 6/5/09 1,2 6,780,000 6,875,598
- ------------------------------------------------------------------------------------------------------------------
Willow Re Ltd. Catastrophe Linked Nts., 8.369%, 6/16/10 1,2 8,150,000 8,257,376
-----------------
Total Structured Securities (Cost $1,125,809,002) 1,194,060,339
SHARES
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 13.0%
- ------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 3.29% 20,22 976,957,253 976,957,253
- ------------------------------------------------------------------------------------------------------------------
Oppenheimer Master Loan Fund, LLC 20 35,344,070 333,681,962
----------------
Total Investment Companies (Cost $1,338,538,301) 1,310,639,215
- ------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with
Cash Collateral from Securities Loaned) (Cost $10,126,213,634) 10,194,314,587
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED -- 1.5% 6
- ------------------------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 3.10%, 4/7/08 $ 3,000,000 $ 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 0.05% in joint repurchase agreement (Principal
Amount/Value $7,000,000,000 with a maturity value of $7,000,486,111) with
Barclays Capital, 2.50%, dated 3/31/08, to be repurchased at $3,225,842 on
4/1/08, collateralized by U.S. Agency Mortgages, 0%-6.40%, 3/1/28-3/1/38, with a
value of $7,140,000,000 3,225,618 3,225,618
- ------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 2.27% in joint repurchase agreement (Principal
Amount/Value $6,600,000,000 with a maturity value of $6,600,577,500) with
Barclays Capital, 3.15%, dated 3/31/08, to be repurchased at $150,013,125 on
4/1/08, collateralized by Private Label CMOs, 0%-6.50%, 6/12/24-9/18/56, with a
value of $6,930,000,000 150,000,000 150,000,000
------------------
Total Investments Purchased with Cash Collateral from Securities Loaned
(Cost $156,225,618) 156,225,618
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $10,282,439,252) 102.8% 10,350,540,205
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (2.8) (284,114,402)
------------------------------------
NET ASSETS 100.0% $ 10,066,425,803
====================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso KZT Kazakhstan Tenge
AUD Australian Dollar MXN Mexican Nuevo Peso
BRR Brazilian Real MYR Malaysian Ringgit
CAD Canadian Dollar NGN Nigeria Naira
COP Colombian Peso PEN Peruvian New Sol
DKK Danish Krone PHP Philippines Peso
DOP Dominican Republic Peso PLZ Polish Zloty
EGP Egyptian Pounds RON New Romanian Leu
EUR Euro RUR Russian Ruble
GBP British Pound Sterling TRY New Turkish Lira
GHS Ghana Cedi UAH Ukraine Hryvnia
IDR Indonesia Rupiah UYU Uruguay Peso
ILS Israeli Shekel VND Vietnam Dong
JPY Japanese Yen 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 $749,459,745 or 7.45% of the Fund's net
assets as of March 31, 2008.
3. Non-income producing security.
4. Issue is in default. See Note 1 of accompanying Notes.
5. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of March 31, 2008 was $801,303,036, which represents
7.96% of the Fund's net assets, of which $3,446,478 is considered restricted.
See Note 9 of accompanying Notes. Information concerning restricted securities
is as follows:
ACQUISITION UNREALIZED
SECURITY DATE COST VALUE APPRECIATION
- ------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Opic Reforma Credit Linked Nts., 9.94%, 10/3/15 12/27/07 $3,371,014 $3,446,478 $ 75,464
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
6. 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 10 of
accompanying Notes.
7. 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 $74,935,845. See Note 6 of accompanying Notes.
8. 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 $66,143,638 or 0.66% of the Fund's net assets
as of March 31, 2008.
9. 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 $1,513,360 or 0.02% of the Fund's net assets as of
March 31, 2008.
10. When-issued security or delayed delivery to be delivered and settled after
March 31, 2008. See Note 1 of accompanying Notes.
11. Partial or fully-loaned security. See Note 10 of accompanying Notes.
12. Zero coupon bond reflects effective yield on the date of purchase.
13. A sufficient amount of liquid assets has been designated to cover
outstanding written call options.
14. A sufficient amount of liquid assets has been designated to cover
outstanding written put options.
15. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of accompanying Notes.
16. Denotes an inflation-indexed security: coupon and principal are indexed to
the consumer price index.
17. 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.
18. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
19. Interest or dividend is paid-in-kind, when applicable.
20. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended March 31, 2008, 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 adviser. Transactions during the period in
which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2007 ADDITIONS REDUCTIONS MARCH 31, 2008
- -------------------------------------------------------------------------------------------------------------------------------
Arco Capital Corp. Ltd. 2,383,674 -- -- 2,383,674
Oppenheimer Institutional Money Market Fund, Cl. E 808,046,388 3,531,697,520 3,362,786,655 976,957,253
Oppenheimer Master Loan Fund, LLC -- 36,200,028 855,958 35,344,070
DIVIDEND REALIZED
VALUE INCOME GAIN
- -------------------------------------------------------------------------------------------------------------------------------
Arco Capital Corp. Ltd. $ 35,755,110 $ -- $ --
Oppenheimer Institutional Money Market Fund, Cl. E 976,957,253 16,300,535 --
Oppenheimer Master Loan Fund, LLC 333,681,962 9,432,910 1,563,162
--------------------------------------------------
$ 1,346,394,325 $ 25,733,445 $ 1,563,162
==================================================
21. Represents the current interest rate on a security whose interest rate is
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. See Note
1 of accompanying Notes.
22. Rate shown is the 7-day yield as of March 31, 2008.
48 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED
CONTRACT DESCRIPTION BUY/SELL (000S) DATE VALUE APPRECIATION DEPRECIATION
- ---------------------------------------------------------------------------------------------------------------------------------
Argentine Peso (ARP) Sell 124,300 ARP 4/21/08 $ 39,130,494 $ 170,669 $ --
Australian Dollar (AUD) Sell 48,460 AUD 4/8/08-4/28/08 44,150,756 172,178 544,753
Australian Dollar (AUD) Buy 42,211 AUD 4/28/08-5/9/08 38,440,463 296,276 25,368
Brazilian Real (BRR) Sell 97,540 BRR 4/2/08-5/5/08 55,400,869 1,304,676 --
Brazilian Real (BRR) Buy 421,350 BRR 4/2/08-1/5/10 232,886,034 20,790,470 2,449,098
British Pound Sterling
(GBP) Sell 52,115 GBP 4/2/08-8/5/08 102,972,962 739,274 501,204
British Pound Sterling
(GBP) Buy 42,635 GBP 4/10/08-5/9/08 84,502,142 578,176 157,855
Canadian Dollar (CAD) Sell 116,225 CAD 4/8/08-4/10/08 113,211,887 3,851,939 305,995
Canadian Dollar (CAD) Buy 37,050 CAD 4/25/08-5/9/08 36,077,735 -- 113,620
Chilean Peso (CLP) Buy 28,770,000 CLP 4/21/08-6/17/08 65,695,506 359,848 282,445
Colombian Peso (COP) Sell 139,744,000 COP 5/6/08-6/9/08 75,417,878 -- 2,726,834
Czech Koruna (CZK) Buy 1,123,450 CZK 4/2/08-4/30/08 70,232,566 6,395,997 181
Egyptian Pounds (EGP) Buy 52,534 EGP 4/1/08-4/7/08 9,640,301 22,152 --
Euro (EUR) Sell 415,375 EUR 4/2/08-8/5/08 655,205,600 -- 37,861,221
Euro (EUR) Buy 197,035 EUR 4/7/08-6/26/08 310,247,789 10,451,106 --
Hungarian Forint (HUF) Sell 11,579,000 HUF 4/21/08-10/2/08 69,101,269 131,197 520,011
Hungarian Forint (HUF) Buy 5,049,000 HUF 4/21/08 30,485,190 -- 151,945
Indonesia Rupiah (IDR) Buy 487,180,000 IDR 5/30/08 52,582,839 -- 802,817
Israeli Shekel (ILS) Buy 216,490 ILS 4/30/08-5/2/08 61,400,667 4,141,274 --
Japanese Yen (JPY) Sell 11,890,450 JPY 4/2/08-8/5/08 119,733,426 -- 3,979,063
Japanese Yen (JPY) Buy 47,216,000 JPY 4/10/08-5/9/08 474,007,663 39,124,117 124,669
Kuwaiti Dinar (KWD) Buy 1,655 KWD 1/29/09 6,359,028 188,260 --
Malaysian Ringgit (MYR) Buy 303,850 MYR 4/10/08-6/17/08 94,938,949 899,184 520,601
Mexican Nuevo Peso (MXN) Sell 444,580 MXN 4/25/08-9/30/08 41,597,467 -- 349,229
Mexican Nuevo Peso (MXN) Buy 511,010 MXN 5/27/08 47,657,282 685,134 --
New Taiwan Dollar (TWD) Sell 1,201,000 TWD 4/30/08 39,831,520 606,190 --
New Taiwan Dollar (TWD) Buy 545,000 TWD 4/28/08 18,066,063 -- 334,910
New Turkish Lira (TRY) Sell 118,220 TRY 4/28/08 87,683,889 3,526,566 --
New Zealand Dollar (NZD) Sell 33,835 NZD 4/8/08-4/28/08 26,527,837 303,939 501,498
New Zealand Dollar (NZD) Buy 57,220 NZD 5/14/08 44,640,594 2,321,767 --
Norwegian Krone (NOK) Sell 140,890 NOK 4/28/08 27,601,641 -- 1,017,193
Norwegian Krone (NOK) Buy 860,705 NOK 4/10/08-5/14/08 168,714,853 5,008,785 --
Peruvian New Sol (PEN) Buy 40,195 PEN 4/18/08 14,670,524 838,840 --
Philippines Peso (PHP) Buy 4,110,000 PHP 4/25/08-5/30/08 97,972,875 -- 2,566,248
Polish Zloty (PLZ) Buy 268,440 PLZ 4/10/08-10/2/08 119,895,508 6,998,673 85,318
Qatari Riyal (QAR) Buy 21,650 QAR 1/29/09 6,114,132 -- 57,476
Russian Ruble (RUR) Buy 936,780 RUR 8/19/08 39,375,300 1,866,591 --
Saudi Riyal (SAR) Buy 22,790 SAR 1/29/09 6,184,081 12,111 --
Singapore Dollar (SGD) Sell 49,490 SGD 4/28/08 36,003,642 -- 389,412
Slovak Koruna (SKK) Buy 1,083,740 SKK 4/30/08 52,602,380 5,099,092 --
South Korean Won (KRW) Buy 84,689,000 KRW 4/28/08-6/30/08 85,585,379 93,565 3,378,274
Swedish Krona (SEK) Sell 166,450 SEK 5/14/08 27,947,257 -- 2,303,861
Swedish Krona (SEK) Buy 198,710 SEK 4/10/08 33,425,718 2,722,027 --
Swiss Franc (CHF) Sell 24,390 CHF 4/8/08-4/28/08 24,562,653 -- 620,832
Swiss Franc (CHF) Buy 90,530 CHF 4/10/08-5/9/08 91,164,414 4,264,616 1,186
Ukraine Hryvnia (UAH) Buy 32,160 UAH 1/28/09 5,992,511 -- 179,050
United Arab Emirates
Dirham (AED) Buy 22,060 AED 1/29/09 6,157,892 -- 12,737
Vietnam Dong (VND) Buy 98,080,000 VND 1/30/09 5,864,007 -- 308,428
-------------------------------
Total unrealized appreciation and depreciation $ 123,964,689 $ 63,173,332
===============================
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
FUTURES CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
Amsterdam Exchange Index Buy 71 4/18/08 $ 9,905,543 $ 460,126
Australia (Commonwealth of)
Bonds, 10 yr. Sell 228 6/16/08 20,744,208 42,020
CAC-40 10 Index Sell 227 4/18/08 16,890,340 (608,815)
Canada (Government of)
Bonds, 10 yr. Buy 469 6/19/08 54,729,232 1,867,645
DAX Index Sell 203 6/20/08 52,844,386 (1,416,348)
DAX Index Buy 36 6/20/08 9,371,418 251,130
Euro-Bundesobligation, 10 yr. Sell 1,283 6/6/08 234,922,625 3,193,926
Euro-Bundesobligation, 10 yr. Buy 129 6/6/08 23,620,435 (258,931)
Euro-Schatz Buy 4,189 6/6/08 691,134,407 (5,002,087)
FTSE 100 Index Sell 292 6/20/08 33,081,589 (964,484)
FTSE/JSE Top 40 Index Sell 268 6/19/08 9,241,208 8,851
Hang Seng China Enterprises
Index Sell 116 4/29/08 8,917,631 (59,655)
Japan (Government of) Bonds,
10 yr. Buy 101 6/10/08 14,232,002 (43,583)
Japan (Government of) Bonds,
10 yr. Buy 90 6/11/08 126,873,997 1,406,442
Mexican Bola Index Sell 341 6/20/08 10,039,919 (591,516)
NASDAQ 100 Index Sell 928 6/20/08 33,231,680 (58,853)
Nikkei 225 Index Sell 235 6/12/08 29,445,726 (181,373)
Nikkei 225 Index Buy 26 6/12/08 3,257,825 (75,705)
OMXS 30 Index Sell 1,273 4/25/08 19,929,959 (544,326)
SGX CNX Nifty Index Sell 880 4/24/08 8,298,400 296,529
Standard & Poor's 500 E-Mini
Index Sell 2,155 6/20/08 142,661,000 (4,787,466)
Standard & Poor's 500 E-Mini
Index Buy 285 6/20/08 18,867,000 632,700
Standard & Poor's 500 Index Sell 154 6/19/08 50,974,000 (639,568)
Standard & Poor's/MIB Index,
10 yr. Buy 37 6/20/08 8,949,606 85,968
Standard & Poor's/Toronto
Stock Exchange 60 Index Buy 130 6/19/08 19,904,330 113,185
U.S. Long Bonds Buy 5,809 6/19/08 690,091,047 10,910,954
U.S. Long Bonds Sell 410 6/19/08 48,706,719 (442,759)
U.S. Treasury Nts., 2 yr. Sell 832 6/30/08 178,594,000 114,165
U.S. Treasury Nts., 2 yr. Buy 2,494 6/30/08 535,352,688 2,322,072
U.S. Treasury Nts., 5 yr. Sell 2,095 6/30/08 239,321,016 (2,908,530)
U.S. Treasury Nts., 5 yr. Buy 10,643 6/30/08 1,215,796,453 18,033,574
U.S. Treasury Nts., 10 yr. Buy 3,102 6/19/08 368,992,594 7,929,801
U.S. Treasury Nts., 10 yr. Sell 3,574 6/19/08 425,138,469 (14,727,322)
United Kingdom Long Gilt Buy 23 6/26/08 5,080,477 134,910
---------------
$ 14,492,677
===============
50 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
WRITTEN OPTIONS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
NUMBER OF EXPERCISE EXPIRATION PREMIUM
DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE
- ----------------------------------------------------------------------------------------------------------------
British Pound Sterling (GBP) Put 1,550,000 $ 1.98 4/7/08 $ 16,110 $ 18,105
British Pound Sterling (GBP) Call 1,425,000 1.99 4/1/08 14,055 2,111
British Pound Sterling (GBP) Put 1,425,000 1.99 4/1/08 14,764 15,126
British Pound Sterling (GBP) Call 1,550,000 1.98 4/7/08 16,110 14,202
British Pound Sterling (GBP) Call 1,560,000 2.00 4/4/08 16,780 5,348
British Pound Sterling (GBP) Put 1,560,000 2.00 4/4/08 16,780 27,765
Euro (EUR) Put 5,665,000 1.56 4/1/08 55,622 3,144
Euro (EUR) Put 7,605,000 1.58 4/3/08 78,294 61,425
Euro (EUR) Call 5,665,000 1.56 4/1/08 54,474 118,785
Euro (EUR) Call 5,200,000 1.57 4/2/08 51,413 47,903
Euro (EUR) Call 7,605,000 1.58 4/3/08 78,174 59,232
Euro (EUR) Put 5,200,000 1.57 4/2/08 51,413 19,181
Euro (EUR) Call 6,730,000 1.58 4/4/08 71,000 50,768
Euro (EUR) Call 6,390,000 1.58 4/7/08 63,752 57,011
Euro (EUR) Put 6,730,000 1.58 4/4/08 71,000 68,691
Euro (EUR) Put 6,390,000 1.58 4/7/08 63,752 74,411
Japanese Yen (JPY) Call 692,000,000 99.45 4/7/08 68,748 68,716
Japanese Yen (JPY) Put 692,000,000 99.45 4/7/08 68,748 68,716
Japanese Yen (JPY) Call 611,000,000 100.05 4/1/08 54,046 38,102
Japanese Yen (JPY) Call 842,000,000 99.30 4/3/08 76,314 42,353
Japanese Yen (JPY) Put 584,000,000 99.15 4/2/08 55,308 60,094
Japanese Yen (JPY) Call 770,000,000 99.70 4/4/08 73,563 69,215
Japanese Yen (JPY) Put 770,000,000 99.70 4/4/08 73,563 68,099
Japanese Yen (JPY) Call 584,000,000 99.15 4/2/08 56,898 23,535
Japanese Yen (JPY) Put 611,000,000 100.05 4/1/08 54,046 17,798
Japanese Yen (JPY) Put 842,000,000 99.30 4/3/08 80,555 80,327
---------------------------
$ 1,395,282 $ 1,180,163
===========================
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
Beazer Homes
USA, Inc. Sell $ 3,205 4.7000% 9/20/08 $ -- $ (108,358)
Citigroup, Inc. Sell 17,910 3.2500 9/20/08 -- (1,000,435)
Six Flags, Inc. Sell 2,285 7.0000 9/20/08 -- (203,667)
The Bear Stearns
Cos., Inc. Sell 2,850 14.0000 9/20/08 -- 158,292
The Mosaic Co. Sell 1,555 1.5000 9/20/12 -- 39,031
- -----------------------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
Amkor
Technology, Inc. Sell 955 2.0500 9/20/08 -- (1,650)
Cablevision
Systems Corp. Sell 265 3.1000 12/20/10 -- (13,922)
Capmark
Financial Group,
Inc. Sell 6,155 7.1250 12/20/12 -- (1,263,363)
Capmark
Financial Group,
Inc. Sell 4,180 9.7000 12/20/12 -- (570,127)
Capmark
Financial Group,
Inc. Sell 3,500 9.7500 12/20/12 -- (472,700)
Ford Motor
Credit Co. Sell 7,670 2.3200 3/20/12 -- (1,637,361)
Intelsat Ltd. Sell 1,030 4.3000 12/20/08 -- (26,049)
Intelsat Ltd. Sell 1,085 5.0000 3/20/09 -- (8,465)
Nalco Co. Sell 1,610 3.6000 9/20/12 -- (18,660)
Nortel Networks
Corp. Sell 2,985 1.8900 9/20/08 -- 878
Pakistan Sell 4,860 5.1000 3/20/13 -- 57,873
Reliant Energy,
Inc. Sell 1,580 2.4500 9/20/11 -- (111,322)
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- ------------------------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
Continued
Reliant Energy, Inc. Sell $ 3,800 2.6000% 9/20/11 $ -- $ (250,922)
Republic of
Hungary Buy 13,835 0.4000 12/20/15 -- 1,468,641
Tribune Co. Sell 1,300 5.0000 3/20/10 (429,000) (538,084)
Tribune Co. Sell 1,375 7.6000 9/20/08 -- (137,363)
Tribune Co. Sell 1,980 7.5000 9/20/08 -- (198,699)
Tribune Co. Sell 1,185 5.0000 3/20/10 (414,750) (490,485)
Tribune Co. Sell 1,145 5.0000 3/20/10 (374,988) (473,928)
Tribune Co. Sell 1,085 5.0000 3/20/10 (347,200) (449,093)
Univision
Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (53,064)
- ------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
Aramark Corp. Sell 1,745 6.0000 3/20/13 -- 6,596
ArvinMeritor, Inc. Sell 3,060 1.6000 9/20/08 -- (74,927)
ArvinMeritor, Inc. Sell 3,165 1.4000 9/20/08 -- (80,622)
Capmark Financial
Group, Inc. Sell 1,040 6.2500 12/20/12 -- (237,804)
Capmark Financial
Group, Inc. Sell 2,010 5.2000 12/20/12 -- (516,045)
CDX.NA.HY.8 Index Sell 7,900 2.7500 6/20/12 (397,836) (794,108)
CenturyTel, Inc. Buy 4,155 0.3775 9/20/12 -- 170,662
Charter Communications
Holdings LLC Sell 755 5.0000 9/20/17 (151,000) (461,705)
Charter Communications
Holdings LLC Sell 635 5.0000 9/20/17 (127,000) (388,322)
Charter Communications
Holdings LLC Buy 635 7.0000 9/20/10 -- 278,581
Charter Communications
Holdings LLC Buy 755 5.0000 9/20/10 48,131 347,371
Dean Foods Co. Sell 1,525 1.0000 6/20/11 -- (202,546)
Dean Foods Co. Sell 1,565 1.0200 6/20/11 -- (207,014)
Development Bank
of Kazakhstan Sell 20,660 3.7500 2/20/13 -- 127,493
Dow Jones CDX.NA.HY.7
Index Sell 4,732 3.2500 12/20/11 169,471 (297,731)
El Paso Corp. Sell 1,100 2.8000 3/20/18 -- (25,487)
Ford Motor Credit Co. Sell 3,390 2.5500 3/20/12 -- (701,696)
Ford Motor Credit Co. Sell 10,620 2.3850 3/20/12 -- (2,247,649)
Freescale
Semiconductor, Inc. Sell 2,465 5.0000 3/20/13 (449,863) (540,663)
GMAC LLC Sell 6,195 1.3900 3/20/17 -- (1,963,598)
Harrah's Operating
Co., Inc. Sell 3,285 5.0000 3/20/10 (209,419) (189,850)
Intelsat Ltd. Sell 1,050 4.4000 3/20/09 -- (14,266)
Intelsat Ltd. Sell 110 5.7500 3/20/09 -- (63)
iStar Financial, Inc. Sell 870 12.0000 3/20/09 -- (12,551)
iStar Financial, Inc. Sell 1,800 4.1500 12/20/12 -- (239,524)
iStar Financial, Inc. Sell 225 4.0000 12/20/12 -- (29,941)
Joint Stock Co. "Halyk
Bank of Kazakhstan" Sell 4,040 4.9500 3/20/13 -- 29,819
Massey Energy Co. Sell 1,295 5.0000 3/20/13 -- 24,804
Massey Energy Co. Sell 615 5.0000 3/20/13 -- 11,780
NJSC Naftogaz Sell 8,905 3.2500 4/20/11 -- (699,791)
Republic of Turkey Buy 12,545 2.9850 4/20/13 -- 4,341
Rite Aid Corp. Sell 285 7.5000 3/20/09 -- (3,947)
Smithfield Foods, Inc. Sell 3,253 1.4900 3/20/12 -- (332,177)
Tenet Healthcare Corp. Sell 3,475 4.0500 12/20/08 -- 30,385
Toys "R" Us, Inc. Sell 1,810 2.8000 9/20/08 -- (49,913)
52 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
Continued
Tribune Co. Sell $ 850 6.3500% 12/20/08 $ -- $ (104,894)
TXU Corp. Sell 1,560 1.6100 6/20/11 -- (196,100)
TXU Corp. Sell 3,050 1.5300 6/20/11 -- (389,924)
Univision
Communications, Inc. Sell 355 14.6000 3/20/09 -- 3,769
- -----------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
ABX.HE.AA.06-2 Index Sell 1,980 0.1700 5/25/46 (237,581) (1,150,155)
ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,971) (1,169,138)
ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,927) (1,169,138)
CDX.NA.HY.9 Index Sell 20,077 3.7500 12/20/12 40,138 (2,174,970)
CenturyTel, Inc. Buy 4,225 0.4250 9/20/12 -- 165,388
Countrywide Home
Loans, Inc. Sell 7,590 9.0000 12/20/08 -- 75,354
Countrywide Home
Loans, Inc. Sell 2,075 8.5000 12/20/08 -- 13,122
Countrywide Home
Loans, Inc. Sell 17,960 2.5500 9/20/08 -- (314,677)
Countrywide Home
Loans, Inc. Sell 7,600 9.7500 12/20/08 -- 116,546
CVRD Inco Ltd. Buy 3,245 0.6300 3/20/17 -- 147,511
Dow Jones
CDX.NA.HY.7 Index Sell 13,281 3.2500 12/20/11 475,222 (817,395)
Ford Motor Co. Sell 9,450 5.8000 12/20/16 -- (1,943,544)
Ford Motor Co. Sell 11,810 5.8500 12/20/16 -- (2,405,697)
Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (1,148,601)
Ford Motor Credit Co. Sell 12,095 2.3900 3/20/12 -- (2,558,117)
Ford Motor Credit Co. Sell 4,740 2.3400 3/20/12 -- (1,009,203)
Freescale
Semiconductor, Inc. Sell 800 5.0000 3/20/13 (152,000) (156,802)
Freescale
Semiconductor, Inc. Sell 490 5.0000 3/20/13 (86,975) (87,875)
General Motors Corp. Sell 7,555 4.6800 12/20/16 -- (1,469,787)
General Motors Corp. Sell 6,220 4.7500 12/20/16 -- (1,191,192)
GMAC LLC Sell 6,465 1.3700 3/20/17 -- (2,056,581)
Intelsat Ltd. Sell 425 4.4000 3/20/09 -- (5,774)
Intelsat Ltd. Sell 1,070 4.7500 3/20/09 -- (10,927)
Intelsat Ltd. Sell 650 5.0000 3/20/09 -- (5,071)
iStar Financial, Inc. Sell 3,165 3.0000 12/20/08 -- (245,943)
iStar Financial, Inc. Sell 4,375 5.8500 12/20/08 -- (253,518)
iStar Financial, Inc. Sell 1,410 4.3200 12/20/12 -- (187,627)
iStar Financial, Inc. Sell 1,930 4.5000 12/20/12 -- (256,823)
iStar Financial, Inc. Sell 5,435 2.9250 12/20/08 -- (425,164)
iStar Financial, Inc. Sell 2,100 12.0000 3/20/09 -- (30,297)
iStar Financial, Inc. Sell 2,220 4.0000 12/20/12 -- (295,413)
Lehman Brothers
Holdings, Inc. Sell 2,680 2.0700 3/20/09 -- (71,307)
Republic of Peru Buy 7,440 1.7100 12/20/16 -- 31,122
Republic of Peru Sell 5,080 1.3200 4/20/17 -- (266,791)
Vale Overseas Ltd. Sell 3,245 1.0500 3/20/17 -- (303,570)
Washington Mutual,
Inc. Sell 1,055 4.5000 12/20/08 -- (22,336)
- -----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
ABX.HE.AA.06-2 Index Sell 725 0.1700 5/25/46 (59,734) (420,479)
ArvinMeritor, Inc. Sell 3,145 1.6000 9/20/08 -- (77,008)
Beazer Homes USA, Inc. Sell 3,100 2.5000 6/20/08 -- (64,319)
Beazer Homes USA, Inc. Sell 3,395 2.6500 9/20/08 -- (136,635)
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
Continued
Beazer Homes USA,
Inc. Sell $ 3,205 4.8000% 9/20/08 $ -- $ (95,538)
General Motors Corp. Sell 6,220 4.9500 12/20/16 -- (1,137,271)
GMAC LLC Sell 3,825 1.3900 3/20/17 -- (1,212,391)
GMAC LLC Sell 3,210 1.3900 3/20/17 -- (1,017,458)
GMAC LLC Sell 6,625 1.3900 3/20/17 -- (2,099,893)
GMAC LLC Sell 5,330 1.3700 3/20/17 -- (1,695,526)
K. Hovnanian
Enterprises, Inc. Sell 8,265 2.0000 6/20/08 -- (284,564)
K. Hovnanian
Enterprises, Inc. Sell 6,470 2.0000 6/20/08 -- (222,762)
K. Hovnanian
Enterprises, Inc. Sell 6,470 1.8000 6/20/08 -- (225,958)
Lennar Corp. Sell 1,465 2.9000 12/20/08 -- (40,104)
Nalco Co. Sell 1,735 3.7000 9/20/12 -- (13,668)
Rite Aid Corp. Sell 585 8.0600 3/20/09 -- (5,058)
Standard Pacific Corp. Sell 17,250 2.2000 6/20/08 -- (311,018)
Univision
Communications, Inc. Sell 520 5.0000 6/20/09 (52,000) (4,776)
- ----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
International:
ABX.HE.AA.06-2 Index Sell 2,050 0.1700 5/25/46 (809,702) (1,188,942)
ABX.HE.AAA.06-2 Index Sell 1,700 0.1100 5/25/46 (188,031) (424,969)
Amkor Technology, Inc. Sell 1,062 2.6500 9/20/08 -- 1,363
CMBX.NA.A.1 Index Sell 13,330 0.3500 10/12/52 -- (2,769,679)
CMBX.NA.AAA.3 Index Sell 33,310 0.0800 12/13/49 (4,713,405) (3,240,443)
CMBX.NA.AJ.3 Index Sell 4,100 1.4700 12/13/49 (504,074) (744,765)
CMBX.NA.AJ.4 Index Sell 4,100 0.9600 2/17/51 (707,141) (886,614)
First Data Corp. Sell 640 3.0000 9/20/08 -- (762)
iStar Financial, Inc. Sell 4,855 3.9500 12/20/12 -- (646,050)
Morgan Stanley Sell 2,340 1.5000 9/20/08 -- 9,068
- ----------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase
Bank NA, NY Branch:
CDX.NA.HY.8 Index Sell 9,479 2.7500 6/20/12 (477,354) (993,740)
CDX.NA.HY.9 Index Sell 16,682 3.7500 12/20/12 (17,552) (1,836,835)
CMBX.NA.AJ.3 Index Sell 12,600 1.4700 12/13/49 (2,786,785) (2,106,724)
CMBX.NA.AJ.3 Index Sell 2,100 1.4700 12/13/49 (251,761) (351,121)
CMBX.NA.AJ.4 Index Sell 2,100 0.9600 2/17/51 (355,655) (438,113)
Dean Foods Co. Sell 1,560 1.0500 6/20/11 -- (205,089)
Dean Foods Co. Sell 4,000 1.0800 6/20/11 -- (522,628)
Dean Foods Co. Sell 3,040 1.0300 6/20/11 -- (401,301)
Dean Foods Co. Sell 3,035 1.0600 6/20/11 -- (398,183)
Dole Food Co., Inc. Sell 2,475 2.3800 9/20/08 -- (122,168)
Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (1,537,918)
General Motors Corp. Sell 9,450 4.7500 12/20/16 -- (1,809,770)
Lehman Brothers
Holdings, Inc. Sell 9,950 1.5500 9/20/08 -- (246,093)
Merrill Lynch &
Co., Inc. Sell 9,950 0.8000 9/20/08 -- 7,144
Morgan Stanley Sell 8,725 0.7500 9/20/08 -- 750
Morgan Stanley Sell 3,215 0.7500 9/20/08 -- 276
Rite Aid Corp. Sell 975 1.4000 9/20/08 -- (42,178)
The Mosaic Co. Sell 1,550 1.5000 9/20/12 -- 38,905
Toys "R" Us, Inc. Sell 1,585 1.9200 9/20/08 -- (50,546)
- ----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
ABX.HE.AA.06-2 Index Sell 490 0.1700 5/25/46 (120,022) (283,783)
ABX.HE.AA.06-2 Index Sell 3,630 0.1700 5/25/46 (2,350,134) (2,102,311)
54 | OPPENHEIMER STRATEGIC INCOME FUND
- -------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- -------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.: Continued
Amkor Technology, Inc. Sell $ 1,650 2.5000% 9/20/08 $ -- $ 875
Aramark Corp. Sell 1,190 6.0000 3/20/13 -- 4,498
ArvinMeritor, Inc. Sell 2,200 3.0000 9/20/08 -- (38,663)
ArvinMeritor, Inc. Sell 3,380 2.2000 9/20/08 -- (22,355)
ArvinMeritor, Inc. Sell 3,120 1.1500 9/20/08 -- (83,326)
Beazer Homes USA, Inc. Sell 1,280 2.6500 6/20/08 -- (26,079)
Beazer Homes USA, Inc. Sell 1,500 2.3300 6/20/08 -- (31,757)
Beazer Homes USA, Inc. Sell 4,810 5.4000 9/20/08 -- (129,375)
Cablevision Systems Corp. Sell 1,580 3.1300 12/20/10 -- (84,252)
Cablevision Systems Corp. Sell 400 3.4000 12/20/10 -- (24,162)
CDX.NA.HY.8 Index Sell 11,048 2.7500 6/20/12 (556,373) (1,154,188)
CDX.NA.HY.8 Index Sell 7,900 2.7500 6/20/12 (387,861) (825,308)
CDX.NA.HY.9 Index Sell 33,393 3.7500 12/20/12 108,920 (3,568,410)
CenturyTel, Inc. Buy 5,795 2.0500 3/20/13 -- (41,307)
CenturyTel, Inc. Buy 2,910 2.0500 3/20/13 -- (20,742)
CenturyTel, Inc. Buy 2,065 1.9200 3/20/13 -- (3,025)
Charter Communications
Holdings LLC Sell 1,605 5.0000 9/20/12 (256,800) (917,343)
Charter Communications
Holdings LLC Sell 1,605 5.0000 9/20/12 (240,750) (917,343)
Charter Communications
Holdings LLC Buy 1,605 7.6000 9/20/10 -- 693,833
Charter Communications
Holdings LLC Buy 1,605 7.2500 9/20/10 -- 699,839
CMBX.NA.A.1 Index Sell 13,310 0.3500 10/12/52 -- (2,508,730)
CMBX.NA.AAA.3 Index Sell 33,260 0.0800 12/13/49 (3,594,115) (3,331,812)
CMBX.NA.AJ.3 Index Sell 5,300 1.4700 12/13/49 (747,792) (887,360)
CMBX.NA.AJ.4 Index Sell 5,300 0.9600 2/17/51 (1,009,149) (1,103,002)
CSC Holdings, Inc. Sell 1,185 5.6000 3/20/13 -- 20,170
Dillard's, Inc. Sell 1,705 2.2500 12/20/08 -- 18,995
Dillard's, Inc. Sell 4,955 2.2500 12/20/08 -- 55,204
Dole Food Co., Inc. Sell 2,300 5.2500 9/20/08 -- (81,694)
Dole Food Co., Inc. Sell 3,170 3.2000 9/20/08 -- (143,937)
First Data Corp. Sell 3,175 3.5000 9/20/08 -- 438
First Data Corp. Sell 1,650 3.0000 9/20/08 -- (3,894)
First Data Corp. Sell 3,170 2.7500 9/20/08 -- (11,444)
First Data Corp. Sell 2,200 3.0000 9/20/08 -- (5,192)
Freescale
Semiconductor, Inc. Sell 930 5.0000 3/20/13 (174,375) (156,986)
GMAC LLC Sell 3,210 1.4000 3/20/17 -- (1,015,622)
GMAC LLC Sell 3,400 1.4000 3/20/17 -- (1,075,736)
JSC "Gazprom" Buy 6,555 2.1500 2/20/11 -- (21,881)
K. Hovnanian
Enterprises, Inc. Sell 3,616 4.2200 9/20/08 -- (185,215)
Lennar Corp. Sell 5,920 2.9000 12/20/08 -- (162,060)
MBIA, Inc. Sell 17,870 1.9500 9/20/08 -- (1,127,329)
Nalco Co. Sell 960 3.4000 9/20/12 -- (18,254)
Nortel Networks Corp. Sell 1,490 1.8500 9/20/08 -- 139
Owens-Illinois, Inc. Sell 2,310 3.4100 3/20/13 -- 27,223
Owens-Illinois, Inc. Sell 2,220 3.2000 3/20/13 -- 6,820
Owens-Illinois, Inc. Sell 2,620 3.4600 3/20/13 -- 36,311
Reliant Energy, Inc. Sell 155 2.5000 9/20/11 -- (10,692)
Rite Aid Corp. Sell 1,600 1.3500 9/20/08 -- (69,605)
Rite Aid Corp. Sell 2,300 1.4500 9/20/08 -- (98,937)
Rite Aid Corp. Sell 1,850 1.3500 9/20/08 -- (80,481)
Six Flags, Inc. Sell 2,050 5.0000 9/20/08 -- (201,507)
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.: Continued
Six Flags, Inc. Sell $ 5,125 5.2200% 9/20/08 $ -- $ (498,601)
Six Flags, Inc. Sell 1,380 7.0000 9/20/08 -- (123,002)
Smithfield Foods, Inc. Sell 4,085 1.5800 3/20/12 -- (404,493)
Smurfit-Stone Container
Enterprises, Inc. Sell 1,290 6.7000 6/20/13 -- (11,721)
Smurfit-Stone Container
Enterprises, Inc. Sell 1,065 6.6000 6/20/13 -- (13,612)
The Bear Stearns
Cos., Inc. Sell 9,945 1.6000 9/20/08 -- (65,249)
Toys "R" Us, Inc. Sell 1,778 4.3000 9/20/08 -- (35,958)
Toys "R" Us, Inc. Sell 4,250 1.9500 9/20/08 -- (134,908)
Toys "R" Us, Inc. Sell 3,130 1.8500 9/20/08 -- (100,889)
Tribune Co. Sell 1,700 5.0000 3/20/10 (510,000) (703,649)
Tribune Co. Sell 1,600 5.0000 3/20/10 (504,000) (662,258)
Tribune Co. Sell 1,030 6.0000 12/20/08 -- (129,451)
Tribune Co. Sell 1,605 7.4500 9/20/08 -- (161,431)
Tribune Co. Sell 1,005 7.5500 9/20/08 -- (100,628)
Tribune Co. Sell 400 7.5500 9/20/08 -- (40,051)
Tribune Co. Sell 450 6.4000 12/20/08 -- (55,386)
Tribune Co. Sell 1,595 5.0000 3/20/10 (414,700) (660,188)
Tribune Co. Sell 1,185 5.0000 3/20/10 (402,900) (490,485)
Tribune Co. Sell 1,200 5.0000 3/20/10 (396,000) (496,693)
Tribune Co. Sell 1,070 5.0000 3/20/10 (374,500) (442,885)
Tribune Co. Sell 400 5.0000 3/20/10 (132,000) (165,564)
Univision
Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (53,064)
Univision
Communications, Inc. Sell 3,241 1.1500 6/20/08 -- (105,825)
Univision
Communications, Inc. Sell 7,168 1.2000 6/20/08 -- (233,161)
Univision
Communications, Inc. Sell 370 5.0000 3/20/09 (31,450) (35,821)
Washington Mutual, Inc. Sell 5,200 5.1500 12/20/08 -- (85,700)
Washington Mutual, Inc. Sell 2,445 4.4000 12/20/08 -- (53,530)
- -----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch
International:
El Paso Corp. Sell 1,165 2.9000 3/20/18 -- (19,185)
El Paso Corp. Sell 2,975 2.8900 3/20/18 -- (50,986)
Ford Motor Co. Sell 6,480 5.3000 12/20/12 -- (1,457,475)
Freescale
Semiconductor, Inc. Sell 1,330 5.0000 3/20/13 (247,713) (278,417)
General Motors Corp. Sell 4,315 4.0500 12/20/12 -- (903,229)
Reliant Energy, Inc. Sell 1,805 2.0500 9/20/11 -- (148,478)
Smurfit-Stone Container
Enterprises, Inc. Sell 2,585 6.7000 6/20/13 -- (23,487)
TXU Corp. Sell 3,060 1.5900 6/20/11 -- (386,291)
TXU Corp. Sell 3,850 1.6200 6/20/11 -- (482,932)
TXU Corp. Sell 4,450 2.0600 6/20/11 -- (505,845)
TXU Corp. Sell 3,050 1.5300 6/20/11 -- (389,924)
TXU Corp. Sell 3,060 1.5800 6/20/11 -- (387,111)
- -----------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
& Co. International
Ltd. Smithfield Foods, Inc. Sell 940 1.5100 3/20/12 -- (95,340)
56 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PREMIUM
SWAP CREDIT AMOUNT PAY/RECEIVE TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE (RECEIVED) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
ABX.HE.AA.06-2 Index Sell $ 1,320 0.1700% 5/25/46 $ (131,994) $ (764,477)
ABX.HE.AA.06-2 Index Sell 625 0.1700 5/25/46 (49,932) (361,968)
ABX.HE.AAA.06-2 Index Sell 3,130 0.1100 5/25/46 (970,137) (762,475)
Aramark Corp. Sell 1,895 5.9200 3/20/13 -- 1,505
Capmark Financial
Group, Inc. Sell 1,135 7.4000 12/20/12 -- (224,621)
Capmark Financial
Group, Inc. Sell 1,045 7.1500 12/20/12 -- (213,797)
CDX North America
Investment Grade Index Sell 35,885 3.0000 3/23/13 -- (2,867,186)
CDX.NA.HY.9 Index Sell 15,345 3.7500 12/20/12 (82,344) (1,617,222)
Dean Foods Co. Sell 3,030 0.9500 6/20/11 -- (406,526)
Ford Motor Co. Sell 2,705 5.9000 12/20/16 -- (545,690)
Ford Motor Co. Sell 7,775 6.1500 12/20/16 -- (1,492,069)
General Motors Corp. Sell 2,175 4.6200 12/20/16 -- (428,793)
General Motors Corp. Sell 6,220 4.9000 12/20/16 -- (1,150,750)
Istanbul Bond Co. SA
for Finansbank Sell 25,090 1.3000 3/24/13 -- (1,657,496)
iStar Financial, Inc. Sell 2,870 4.8600 12/20/12 -- (381,908)
Joint Stock Co.
"Halyk Bank
of Kazakhstan" Sell 8,080 4.8800 3/20/13 -- 37,604
Joint Stock Co.
"Halyk Bank
of Kazakhstan" Sell 8,090 4.7800 3/20/13 -- 6,124
Lennar Corp. Sell 1,090 2.9000 12/20/08 -- (29,839)
Republic of Peru Sell 6,760 1.0400 6/20/17 -- (335,729)
Republic of Turkey Buy 12,545 2.9800 4/20/13 -- 6,962
Residential Capital LLC Sell 3,253 6.2500 9/20/08 -- (1,059,473)
Residential Capital LLC Sell 9,565 6.1700 9/20/08 -- (3,123,795)
- -----------------------------------------------------------------------------------------------------------------------------------
UBS AG:
ABX.HE.AAA.06-2 Index Sell 2,770 0.1100 5/25/46 (865,481) (674,784)
iStar Financial, Inc. Sell 1,035 4.5600 12/20/12 -- (137,726)
Lehman Brothers
Holdings, Inc. Sell 3,980 1.5500 9/20/08 -- (98,437)
Massey Energy Co. Sell 960 5.0500 9/20/12 -- 31,473
Massey Energy Co. Sell 1,610 5.1000 9/20/12 -- 55,745
Republic of The
Philippines Sell 9,895 1.4500 6/20/17 -- (977,873)
------------------------------
$(28,485,344) $(120,273,078)
==============================
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ---------------------------------------------------------------------------------------------------
Banco Santander
Central Hispano SA:
Six-Month
3,247,000,000 CLP TNA-Chile 6.6000% 8/21/17 $ 182,232
18,790,000 BRR BZDI 14.0000 1/3/12 320,063
- ---------------------------------------------------------------------------------------------------
Barclays Bank plc 82,350,000 MXN MXN TIIE 9.2700 7/17/26 893,228
- ---------------------------------------------------------------------------------------------------
Citibank NA,
London:
Six-Month
11,710,000 PLZ WIBOR 5.5200 3/24/10 (89,060)
Six-Month
18,736,000 PLZ WIBOR 5.5500 3/25/10 (137,832)
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------
Citibank NA,
New York:
328,800,000 TWD 2.3200% TWD-Telerate 6/27/11 $ 14,871
Six-Month
2,598,000,000 CLP TNA-Chile 6.5300% 8/25/17 62,728
- -------------------------------------------------------------------------------------------------------
Credit Suisse Six-Month
First Boston, Inc. 30,925,000 PLZ WIBOR 4.4800 7/1/10 (37,998)
- -------------------------------------------------------------------------------------------------------
Credit Suisse
International:
84,250,000 MXN MXN TIIE 8.3000 12/17/26 56,973
Six-Month
2,598,000,000 CLP TNA-Chile 6.5800 8/21/17 162,552
- -------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Three-Month
58,190,000 NZD NZD-BBR 7.5875 1/8/18 267,632
INR
MIBOR-OIS
329,300,000 INR 7.1750 Compound 6/27/11 23,959
Three-Month
167,830,000 SEK SEK-STIBOR 4.7875 11/14/17 319,710
- -------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP 154,850,000 MXN MXN TIIE 8.1400 1/10/18 160,659
- -------------------------------------------------------------------------------------------------------
Goldman Sachs CNY-
International 66,200,000 CNY 4.0000 CFXSREPOFIX01 2/16/17 267,764
- -------------------------------------------------------------------------------------------------------
J Aron & Co.:
94,770,000 MXN MXN TIIE 9.1500 8/27/26 785,150
40,600,000 MXN MXN TIIE 9.3300 9/16/26 480,688
34,060,000 BRR BZDI 12.9200 1/2/14 (163,749)
16,960,000 BRR BZDI 12.8700 1/2/14 (101,922)
33,770,000 BRR BZDI 12.7100 1/4/10 44,649
66,840,000 BRR BZDI 12.6100 1/4/10 445,143
73,600,000 BRR BZDI 12.3900 1/2/12 (307,369)
92,950,000 BRR BZDI 14.8900 1/4/10 2,842,478
130,000 BRR BZDI 12.2600 1/2/15 (1,935)
60,000 BRR BZDI 12.2900 1/2/15 (840)
18,790,000 BRR BZDI 14.0500 1/2/12 384,078
26,190,000 BRR BZDI 13.1000 1/2/17 552
- -------------------------------------------------------------------------------------------------------
JPMorgan Chase
Bank NA:
73,600,000 BRR BZDI 12.3800 1/2/12 (158,802)
37,410,000 BRR BZDI 13.9100 1/2/12 1,232,311
- -------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
Six-Month
35,990,000 PLZ WIBOR 4.5300 7/5/10 25,184
61,550,000 BRR BZDI 12.9000 1/2/14 (924,741)
58 | OPPENHEIMER STRATEGIC INCOME FUND
INTEREST RATE SWAP CONTRACTS: Continued
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch
Capital Services, Inc.:
Six-Month
64,360,000 SGD 3.3350% SGD-SOR 1/8/18 $ (221,259)
Three-Month
79,490,000 CAD CAD-BA-CDOR 4.0300% 1/16/11 1,316,586
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Three-Month
132,870,000 SEK SEK-STIBOR 4.4938 1/25/18 (534,579)
Six-Month
38,630,000 EUR 4.7130 EURIBOR 8/22/17 (3,087,973)
Six-Month
NOK-NIBOR-
416,200,000 NOK 4.9850 NIBR 1/18/11 1,662,152
Three-Month
165,730,000 SEK SEK-STIBOR 4.2600 1/18/11 (240,066)
Six-Month
17,590,000 EUR EUR-EURIBOR 3.9960 1/18/11 (194,587)
Six-Month
28,450,000 CHF CHF-BBA LIBOR 2.6600 1/18/11 (188,043)
- ------------------------------------------------------------------------------------------------------------
Westpac Banking
Corp.:
Six-Month
50,970,000 AUD AUD-BBR 7.0100 1/8/18 (461,530)
Six-Month
EUR-EURIBOR-
86,890,000 EUR Telerate 4.2400 11/29/10 293,150
Three-Month
56,430,000 NZD 7.9700 NZD-BBR-FRA 11/29/10 (670,005)
Three-Month
56,280,000 NZD 7.8400 NZD-BBR-FRA 10/13/10 (81,061)
Three-Month
100,780,000 NZD 7.9325 NZD-BBR-FRA 1/18/11 246,099
Three-Month
56,280,000 NZD 7.9075 NZD-BBR-FRA 10/19/10 (589,021)
------------
$ 4,298,219
============
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
AUD Australian Dollar
BRR Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CNY Chinese Renminbi (Yuan)
EUR Euro
INR Indian Rupee
MXN Mexican Nuevo Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLZ Polish Zloty
SEK Swedish Krone
SGD Singapore Dollar
TWD New Taiwan Dollar
Abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
BBR Bank Bill Rate
BZDI Brazil Interbank Deposit Rate
CDOR Canada Bankers Acceptances Rate
CFXSREPOFIX01 Chinese Renminbi 7 Days Repurchase Fixing Rates
EURIBOR Euro Interbank Offered Rate
FRA Forward Rate Agreement
MIBOR-OIS Mid Market Interest Rate for French Franc/Austrian Schilling and India Swap
Composites-Overnight Indexed Swap
NIBOR-NIBR Norwegian Interbank Offered Rate
SOR Swap Offer Rate
STIBOR Stockholm Interbank Offered Rate
TIIE Interbank Equilibrium Interest Rate
TNA Tasa Nominal Annual
WIBOR Poland Warsaw Interbank Offer Bid Rate
60 | OPPENHEIMER STRATEGIC INCOME FUND
TOTAL RETURN SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ----------------------------------------------------------------------------------------------------------
Citibank NA:
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
$ 39,800,000 Index Index 2/1/09 $ 538,884
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index plus 15 Index minus 15
23,600,000 basis points basis points 8/1/08 758,044
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
Index minus 15 Index plus 15
19,900,000 basis points basis points 2/1/09 271,930
- ---------------------------------- -----------------------------------------------------------------------
Citibank NA,
New York:
Twelve-Month
JPY BBA LIBOR
plus 40 basis
points and if
negative, the
absolute value of If positive, the
the Total Return Total Return of a
of a custom bas- custom basket
3,055,875,000 JPY ket of securities of securities 4/8/08 (25,400)
Twelve-Month
GBP BBA LIBOR
plus 35 basis
points and if
negative, the
absolute value of If positive, the
the Total Return Total Return of a
of a custom bas- custom basket
14,716,735 GBP ket of securities of securities 5/7/08 849,671
- ----------------------------------------------------------------------------------------------------------
Deutsche Bank If positive, the If negative, the
AG: Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 55 Index plus 55
2,000,000 basis points basis points 5/1/08 65,408
61 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -----------------------------------------------------------------------------------------------------------
Deutsche Bank
AG: Continued
Six-Month USD
$ 7,260,000 LIBOR 5.25% times UDI 6/23/15 $ 2,050,965
Six-Month USD
13,250,000 BBA LIBOR 5.46% times UDI 5/13/15 4,268,677
- -----------------------------------------------------------------------------------------------------------
One-Month USD
BBA LIBOR plus
20 basis points
and if negative,
the absolute
value of the Total If positive, the
Return of a Total Return of a
Deutsche Bank custom equity custom equity
AG, London 24,678,208 basket basket 9/15/08 (447,768)
- -----------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 50 Index plus 50
21,930,000 basis points basis points 8/1/08 642,053
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA
22,600,000 Index 8.5+ Index 3/1/09 618,135
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 50 Index plus 50
5,100,000 basis points basis points 3/1/09 164,696
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 250 Index plus 250
31,800,000 basis points basis points 3/1/09 2,199,087
62 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------------------
Goldman
Sachs Group, Inc. (The):
Continued
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 200 Index plus 200
$ 13,860,000 basis points basis points 3/1/09 $ 1,380,409
Six-Month BBA
7,490,000 LIBOR 5.08% times UDI 1/20/15 2,471,172
Six-Month BBA
7,490,000 LIBOR 5.10% times UDI 1/14/15 2,404,771
- -------------------------------------------------------------------------------------------------------------------
Goldman Sachs
International:
One-Month USD
BBA LIBOR plus
30 basis points
and if negative,
the absolute value If positive, the
of the Total Total Return of a
Return of a cus- custom equity
94,708,161 tom equity basket basket 3/9/09 (1,068,453)
One-Month USD
BBA LIBOR and if
negative, the If positive, the
absolute value of Total Return of
the MSCI Daily the MSCI Daily
Total Return New Total Return New
Belgium USD Belgium USD
1,808,147 Market Index Market Index 10/8/08 97,098
One-Month
USD BBA LIBOR
and if negative,
the absolute If positive, the
value of the Total Return of
MSCI Daily Total the MSCI Daily
Return New Total Return New
Belgium USD Belgium USD
9,103,713 Market Index Market Index 10/8/08 420,930
If negative, the
absolute value of If positive, the
the Total Return Total Return of
of the BOVESPA the BOVESPA
6,686,521 BRR 4/08 Index 4/08 Index 4/17/08 130,688
63 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ---------------------------------------------------------------------------------------------------
Lehman Brothers
Holdings, Inc.:
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index plus 30 Index minus 30
$ 30,200,000 basis points basis points 8/1/08 $ 959,370
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 35 Index plus 35
40,860,000 basis points basis points 8/1/08 1,317,929
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index plus 25 Index minus 25
5,600,000 basis points basis points 5/1/08 178,107
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index plus 42.5 Index minus 42.5
41,700,000 basis points basis points 6/1/08 1,320,784
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA
20,850,000 Index 8.5+ Index 6/1/08 667,038
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index plus 20 Index minus 20
13,200,000 basis points basis points 5/1/08 420,317
64 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- --------------------------------------------------------------------------------------------------------
Lehman Brothers
Holdings, Inc.:
Continued
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 55 Index plus 55
$ 31,138,000 basis points basis points 5/1/08 $ 1,009,020
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA
20,850,000 Index 8.5+ Index 6/1/08 667,038
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
13,750,000 Index Index 3/1/09 439,893
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 45 Index plus 45
40,892,000 basis points basis points 5/1/08 1,322,028
- --------------------------------------------------------------------------------------------------------
Merrill Lynch
Capital Services,
Inc.:
The Constant
Maturity Option
Price divided
43,500,000 5.33% by 10,000 8/13/17 (1,427,113)
The Constant
Maturity Option
Price divided
177,060,000 4.66 by 10,001 6/11/17 2,012,436
65 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ------------------------------------------------------------------------------------------------
Morgan Stanley:
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 225 Index plus 225
$25,730,000 basis points basis points 8/1/08 $ 624,377
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 150 Index plus 150
9,000,000 basis points basis points 8/1/08 218,312
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
20,840,000 8.5+ Index 8.5+ Index 6/1/08 577,337
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA
4,240,000 Index 8.5+ Index 8/1/08 103,004
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
71,400,000 Index Index 3/1/09 1,654,385
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 250 Index plus 250
21,750,000 basis points basis points 3/1/09 1,804,407
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA 8.5+ CMBS AAA 8.5+
Index minus 250 Index plus 250
12,860,000 basis points basis points 3/1/09 1,520,752
66 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- --------------------------------------------------------------------------------------------------------------
Morgan Stanley:
Continued
One-Month EUR
BBA LIBOR plus
25 basis points
and if negative,
the absolute
value of the Total If positive, the
Return of a cus- Total Return of a
tom basket of custom basket
12,843,118 EUR securities of securities 3/6/09 $ (600,346)
- --------------------------------------------------------------------------------------------------------------
7.75% from
debt obligations
Morgan of JSC Rushydro
Stanley Capital Three-Month and OJSC
Services, Inc. 936,780,000 RUR USD BBA LIBOR Saratovskaya HPP 12/26/13 2,936,257
- --------------------------------------------------------------------------------------------------------------
One-Month
EUR BBA LIBOR
plus 30 basis
points and if
negative, the
absolute value of If positive, the
the Total Return Total Return of a
Morgan Stanley of a custom bas- custom basket of
International 11,624,900 EUR ket of securities securities 10/7/08 203,975
- --------------------------------------------------------------------------------------------------------------
If negative, the
If positive, the Total Total Return of
Return of the the Lehman
Lehman Brothers Brothers U.S.
U.S. CMBS AAA CMBS AAA 8.5+
8.5+ Index plus 20 Index minus 20
UBS AG 9,200,000 basis points basis points 5/1/08 295,851
---------------
$ 36,016,155
===============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currencies:
BRR Brazilian Real
EUR Euro
GBP British Pound Sterling
JPY Japanese Yen
RUR Russian Ruble
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
MSCI Morgan Stanley Capital International
UDI Unidad de Inversion (Unit of Investment)
67 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CURRENCY SWAPS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ---------------------------------------------------------------------------------------------
Credit Suisse
International:
Three Month
11,360,000 TRY USD BBA LIBOR 16.75% 2/26/12 $ 496,911
Three-Month
4,575,000 USD BBA LIBOR 17.25 2/7/12 295,491
Three-Month
6,900,000 USD BBA LIBOR 17.30 2/9/12 438,360
- ---------------------------------------------------------------------------------------------
Merrill Lynch Three-Month
International 7,160,000 BBA LIBOR 17.10 2/6/12 561,060
-------------
$ 1,791,822
=============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currency:
TRY New Turkish Lira
Abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
68 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
MARCH 31, 2008
- --------------------------------------------------------------------------------
ASSETS
Investments, at value -- see accompanying statement of investments:
Unaffiliated companies (cost $ 8,908,145,841) $ 9,004,145,880
Affiliated companies (cost $ 1,374,293,411) 1,346,394,325
-------------------
10,350,540,205
- ---------------------------------------------------------------------------------------------------------------
Cash 31,936,335
- ---------------------------------------------------------------------------------------------------------------
Cash -- foreign currencies (cost $ 4,840,868) 4,839,890
- ---------------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency exchange contracts 123,964,689
- ---------------------------------------------------------------------------------------------------------------
Swaps, at value (net premiums received $ 15,667,720) 46,368,110
- ---------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 120,474,741
Investments sold (including $102,565,004 sold on a when-issued or delayed delivery basis) 111,621,296
Closed foreign currency contracts 40,699,166
Shares of beneficial interest sold 36,256,459
Futures margins 4,239,801
Other 145,987
-------------------
Total assets 10,871,086,679
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
Options written, at value (premiums received $1,395,282) -- see accompanying
statement of investments 1,180,163
- ---------------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 156,225,618
- ---------------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency exchange contracts 63,173,332
- ---------------------------------------------------------------------------------------------------------------
Swaps, at value (net premiums received $ 12,817,624) 124,534,992
- ---------------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $325,541,285 purchased on a when-issued or
delayed delivery basis) 387,216,545
Closed foreign currency contracts 41,080,175
Shares of beneficial interest redeemed 13,914,343
Dividends 8,161,336
Distribution and service plan fees 5,745,591
Transfer and shareholder servicing agent fees 926,231
Shareholder communications 155,056
Trustees' compensation 104,719
Other 2,242,775
-------------------
Total liabilities 804,660,876
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $ 10,066,425,803
===================
69 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited/Continued
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 2,286,147
- -----------------------------------------------------------------------------------------------------
Additional paid-in capital 10,709,435,615
- -----------------------------------------------------------------------------------------------------
Accumulated net investment loss (15,073,411)
- -----------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (725,882,174)
- -----------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets and
liabilities denominated in foreign currencies 95,659,626
------------------
NET ASSETS $ 10,066,425,803
==================
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -----------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$7,768,289,203 and 1,764,062,343 shares of beneficial interest outstanding) $ 4.40
Maximum offering price per share (net asset value plus sales charge of 4.75%
of offering price) $ 4.62
- -----------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$556,497,201 and 125,953,373 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
$1,407,636,439 and 320,294,463 shares of beneficial interest outstanding) $ 4.39
- -----------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of
$181,295,794 and 41,142,555 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 $152,707,166 and 34,694,538 shares of beneficial interest outstanding) $ 4.40
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
70 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2008
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $ 829,489) $ 253,997,972
- -----------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies (net of foreign withholding taxes of $ 19,789) 1,250,364
Affiliated companies 16,300,535
- -----------------------------------------------------------------------------------------
Net investment income allocated from Oppenheimer Master Loan Fund, LLC 9,432,910
- -----------------------------------------------------------------------------------------
Fee income 474,547
- -----------------------------------------------------------------------------------------
Portfolio lending fees 214,632
----------------
Total investment income 281,670,960
- -----------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------
Management fees 23,350,069
- -----------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 8,650,699
Class B 2,746,125
Class C 6,134,483
Class N 403,132
- -----------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 4,029,229
Class B 465,952
Class C 728,535
Class N 223,645
Class Y 81,767
- -----------------------------------------------------------------------------------------
Shareholder communications:
Class A 258,160
Class B 41,628
Class C 39,874
Class N 4,407
Class Y 512
- -----------------------------------------------------------------------------------------
Custodian fees and expenses 182,250
- -----------------------------------------------------------------------------------------
Trustees' compensation 66,258
- -----------------------------------------------------------------------------------------
Administration service fees 750
- -----------------------------------------------------------------------------------------
Other 176,746
----------------
Total expenses 47,584,221
Less reduction to custodian expenses (30,646)
Less waivers and reimbursements of expenses (737,180)
----------------
Net expenses 46,816,395
- -----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 234,854,565
71 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Unaudited/Continued
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- -------------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments from unaffiliated companies (including premiums on options
exercised) $ 35,068,466
Closing and expiration of option contracts written 9,009,700
Closing and expiration of futures contracts 111,980,837
Foreign currency transactions 75,062,138
Short positions 825,381
Swap contracts (58,201,989)
Allocated from Oppenheimer Master Loan Fund, LLC 1,563,162
-----------------
Net realized gain 175,307,695
- -------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (157,154,805)
Translation of assets and liabilities denominated in foreign currencies 133,059,236
Futures contracts 22,489,284
Option contracts written 284,107
Short positions (49,242)
Swap contracts (72,524,490)
-----------------
Net change in unrealized appreciation (73,895,910)
- -------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 336,266,350
=================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
72 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2008 SEPTEMBER 30,
(UNAUDITED) 2007
- ----------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
OPERATIONS
- ----------------------------------------------------------------------------------------------------
Net investment income $ 234,854,565 $ 388,873,931
- ----------------------------------------------------------------------------------------------------
Net realized gain 175,307,695 228,599,247
- ----------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (73,895,910) 155,720,385
---------------------------------------
Net increase in net assets resulting from operations 336,266,350 773,193,563
- ----------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ----------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (269,975,342) (296,916,438)
Class B (18,891,220) (28,156,208)
Class C (42,200,448) (43,047,658)
Class N (5,838,972) (6,142,076)
Class Y (5,724,988) (14,610,638)
---------------------------------------
(342,630,970) (388,873,018)
- ----------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 1,343,847,003 1,070,926,051
Class B (13,042,388) (183,763,262)
Class C 322,190,172 180,462,840
Class N 35,785,509 30,962,123
Class Y (196,595,059) 156,078,981
---------------------------------------
1,492,185,237 1,254,666,733
- ----------------------------------------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------------------------------------
Total increase 1,485,820,617 1,638,987,278
- ----------------------------------------------------------------------------------------------------
Beginning of period 8,580,605,186 6,941,617,908
---------------------------------------
End of period (including accumulated net investment income
(loss) of $(15,073,411) and $92,702,994, respectively) $ 10,066,425,803 $ 8,580,605,186
=======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
73 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
MARCH 31,
2008 YEAR ENDED SEPTEMBER 30,
CLASS A (UNAUDITED) 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.41 $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .12 1 .23 1 .21 1 .21 1 .20 .26
Net realized and unrealized gain (loss) .04 .23 (.05) .19 .15 .43
----------------------------------------------------------------------------------
Total from investment operations .16 .46 .16 .40 .35 .69
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.17) (.23) (.32) (.29) (.20) (.25)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.40 $ 4.41 $ 4.18 $ 4.34 $ 4.23 $ 4.08
==================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.71% 11.14% 3.77% 9.77% 8.73% 19.59%
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $7,768,289 $ 6,430,790 $ 5,077,400 $ 4,766,576 $ 4,117,666 $ 3,873,018
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $7,037,475 $ 5,655,265 $ 4,888,392 $ 4,392,321 $ 4,025,554 $ 3,521,307
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.30% 5.25% 5.03% 4.82% 4.69% 6.60%
Total expenses 0.89% 4 0.90% 4 0.93% 0.94% 0.95% 0.95%
Expenses after payments, waivers
and/or reimbursements and reduction
to custodian expenses 0.87% 0.89% 0.92% 0.94% 0.95% 0.95%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 34% 5 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 funds were as
follows:
Six Months Ended March 31, 2008 0.91%
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
- -------------------------------------------------------------------------------
Six Months Ended March 31, 2008 $ 717,174,716 $ 540,119,838
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.
74 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS
ENDED
MARCH 31,
2008 YEAR ENDED SEPTEMBER 30,
CLASS B (UNAUDITED) 2007 2006 2005 2004 2003
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.42 $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 1 .19 1 .18 1 .17 1 .16 .22
Net realized and unrealized gain (loss) .05 .22 (.05) .20 .15 .44
---------------------------------------------------------------------------------
Total from investment operations .15 .41 .13 .37 .31 .66
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.15) (.19) (.28) (.26) (.17) (.22)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.42 $ 4.42 $ 4.20 $ 4.35 $ 4.24 $ 4.10
=================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.52% 9.99% 3.23% 8.94% 7.66% 18.62%
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 556,497 $ 569,523 $ 718,742 $ 918,651 $ 1,163,555 $ 1,686,295
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 549,239 $ 635,237 $ 802,936 $ 1,021,022 $ 1,424,322 $ 1,757,152
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.48% 4.43% 4.25% 4.05% 4.16% 5.92%
Total expenses 1.71% 4 1.71% 4 1.71% 1.70% 1.69% 1.68%
Expenses after payments, waivers
and/or reimbursements and reduction
to custodian expenses 1.69% 1.70% 1.71% 1.69% 1.69% 1.68%
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 34% 5 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 funds were as
follows:
Six Months Ended March 31, 2008 1.73%
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
- -----------------------------------------------------------------------------
Six Months Ended March 31, 2008 $ 717,174,716 $ 540,119,838
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.
75 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- -------------------------------------------------------------------------------
SIX MONTHS
ENDED
MARCH 31, 2008 YEAR ENDED SEPTEMBER 30,
CLASS C (UNAUDITED) 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.40 $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .10 1 .19 1 .18 1 .17 1 .17 .23
Net realized and unrealized gain (loss) .04 .22 (.05) .20 .15 .42
----------------------------------------------------------------------------------
Total from investment operations .14 .41 .13 .37 .32 .65
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.15) (.19) (.28) (.26) (.17) (.22)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.39 $ 4.40 $ 4.18 $ 4.33 $ 4.22 $ 4.07
==================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.32% 10.06% 3.22% 8.96% 7.95% 18.45%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 1,407,637 $ 1,086,918 $ 857,843 $ 788,217 $710,085 $ 698,196
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 1,227,909 $ 959,439 $ 814,425 $ 748,199 $716,206 $ 623,598
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.54% 4.49% 4.27% 4.07% 4.06% 5.85%
Total expenses 1.64% 4 1.66% 4 1.68% 1.69% 1.69% 1.69%
Expenses after payments, waivers
and/or reimbursements and reduction
to custodian expenses 1.62% 1.65% 1.68% 1.69% 1.69% 1.69%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 34% 5 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 funds were as
follows:
Six Months Ended March 31, 2008 1.66%
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
- ---------------------------------------------------------------------------
Six Months Ended March 31, 2008 $ 717,174,716 $ 540,119,838
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.
76 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2008 YEAR ENDED SEPTEMBER 30,
CLASS N (UNAUDITED) 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.41 $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .11 1 .21 1 .19 1 .19 1 .17 .25
Net realized and unrealized gain (loss) .05 .22 (.04) .19 .16 .42
-------------------------------------------------------------------------------
Total from investment operations .16 .43 .15 .38 .33 .67
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.16) (.21) (.30) (.27) (.18) (.24)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.41 $ 4.41 $ 4.19 $ 4.34 $ 4.23 $ 4.08
===============================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.73% 10.42% 3.60% 9.27% 8.28% 18.82%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 181,296 $ 145,685 $ 108,324 $ 83,287 $ 52,969 $ 30,110
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 161,463 $ 126,935 $ 94,281 $ 69,480 $ 40,043 $ 22,627
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.89% 4.84% 4.62% 4.37% 4.19% 6.08%
Total expenses 1.30% 4 1.32% 4 1.33% 1.40% 1.38% 1.34%
Expenses after payments, waivers
and/or reimbursements and reduction
to custodian expenses 1.28% 1.31% 1.33% 1.40% 1.38% 1.34%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 34% 5 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 funds were as
follows:
Six Months Ended March 31, 2008 1.32%
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
- ---------------------------------------------------------------------------
Six Months Ended March 31, 2008 $ 717,174,716 $ 540,119,838
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.
77 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- -------------------------------------------------------------------------------
SIX MONTHS
ENDED
MARCH 31, 2008 YEAR ENDED SEPTEMBER 30,
CLASS Y (UNAUDITED) 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.39 $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .12 1 .24 1 .22 1 .21 1 .21 .26
Net realized and unrealized gain (loss) .07 .22 (.04) .19 .14 .42
-----------------------------------------------------------------------------
Total from investment operations .19 .46 .18 .40 .35 .68
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.18) (.24) (.33) (.30) (.20) (.25)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.40 $ 4.39 $ 4.17 $ 4.32 $ 4.22 $ 4.07
=============================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 4.32% 11.28% 4.35% 9.73% 8.80% 19.33%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 152,707 $ 347,689 $ 179,309 $ 62,824 $ 150,699 $ 240,296
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 156,694 $ 260,589 $ 118,239 $ 68,656 $ 213,632 $ 194,308
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.50% 5.61% 5.38% 4.84% 4.80% 6.57%
Total expenses 0.63% 4 0.56% 4 0.58% 1.16% 1.29% 1.41%
Expenses after payments, waivers
and/or reimbursements and reduction
to custodian expenses 0.61% 0.55% 0.58% 0.80% 0.90% 0.91%
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 34% 5 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 funds were as
follows:
Six Months Ended March 31, 2008 0.65%
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
- ---------------------------------------------------------------------------
Six Months Ended March 31, 2008 $ 717,174,716 $ 540,119,838
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.
78 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the "Fund") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Fund's investment objective is to seek high current income by
investing mainly in debt securities. The Fund's investment adviser 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 72
months 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 trading. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities traded on a registered U.S.
securities exchange 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 whose principal exchange is NASDAQ(R) are valued based on the closing
price reported 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, collateralized
mortgage obligations and other asset-backed securities will be valued at the
mean between the "bid" and "asked" prices. Securities for which market
quotations are not readily available are valued at their fair value. Securities
whose values have been materially affected
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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. Shares of a
registered investment company that are not traded on an exchange are valued at
the acquired investment company's net asset value per share. "Money market-type"
debt instruments with remaining maturities of sixty days or less are valued at
cost adjusted by the amortization of discount or premium to maturity (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.
As of March 31, 2008, the Fund held no securities sold short.
- --------------------------------------------------------------------------------
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 note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured security is sold or matures.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase
securities on a "when-issued" basis, and may purchase or sell securities on a
"delayed delivery" basis. "When-issued" or "delayed delivery" refers to
securities whose terms and indenture are available and for which a market
exists, but which are not available for immediate delivery. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis
normally takes place within six months and possibly as long as two years or more
after the 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 purchase of securities on a when-issued basis may increase
the volatility of the Fund's net asset value to the extent the Fund executes
such transactions while remaining substantially fully invested. When the Fund
engages in when-issued or delayed delivery transactions, it relies on the buyer
or seller, as the case may be, to complete the transaction. Their failure to do
so may cause the Fund to lose the opportunity to obtain or dispose of the
security at a price and yield it considers advantageous. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase.
80 | OPPENHEIMER STRATEGIC INCOME FUND
As of March 31, 2008, the Fund had purchased securities issued on a when-issued
or delayed delivery basis and sold securities issued on a delayed delivery basis
as follows:
WHEN-ISSUED OR
DELAYED DELIVERY
BASIS TRANSACTIONS
------------------------------------------------
Purchased securities $ 325,541,285
Sold securities 102,565,004
The Fund may enter into "forward roll" transactions with respect to
mortgage-related securities. In this type of transaction, the Fund sells a
mortgage-related security to a buyer and simultaneously agrees to repurchase a
similar security (same type, coupon and maturity) at a later date at a set
price. During the period between the sale and the repurchase, the Fund will not
be entitled to receive interest and principal payments on the securities that
have been sold. 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. To assure its
future payment of the purchase price, the Fund maintains internally designated
assets with a market value equal to or greater than the payment obligation under
the roll.
- --------------------------------------------------------------------------------
CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which
may be subject to a greater degree of credit risk. Credit risk relates to the
ability of the issuer to meet interest or principal payments or both as they
become due. The Fund may acquire securities in default, and is not obligated to
dispose of securities whose issuers subsequently default. As of March 31, 2008,
securities with an aggregate market value of $1,714,780, representing 0.02% 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
Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for
trading. Foreign exchange rates may be valued primarily using a reliable bank,
dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions
arise from sales of portfolio securities, sales and maturities of short-term
securities, sales of foreign currencies, exchange rate fluctuations 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 appreciation and depreciation on the
translation of assets and liabilities denominated in foreign currencies arise
from
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
- --------------------------------------------------------------------------------
INVESTMENTS 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") to seek current income while preserving
liquidity. 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 adviser of IMMF. The Fund's
investment in IMMF is included in the Statement of Investments. As a
shareholder, the Fund is subject to its proportional share of IMMF's Class E
expenses, including its management fee. The Manager will waive fees and/or
reimburse Fund expenses in an amount equal to the indirect management fees
incurred through the Fund's investment in IMMF.
- --------------------------------------------------------------------------------
INVESTMENTS IN OPPENHEIMER MASTER LOAN FUND, LLC. The Fund is permitted to buy
interests in trusts and other pooled entities that invest primarily or
exclusively in loan obligations, including entities sponsored and/or advised by
the Manager or an affiliate. The loans underlying these investments may include
loans to foreign or U.S. borrowers, may be collateralized or uncollateralized
and may be rated above or below investment grade or unrated. Oppenheimer Master
Loan Fund, LLC ("Master Loan") is a mutual fund registered under the Investment
Company Act of 1940, which seeks as high a level of current income and
preservation of capital as is consistent with investing primarily in loans and
other debt securities. The Manager is also the investment adviser of Master
Loan. The Manager expects at certain times that the investment in Master Loan
may exceed 15% of the Fund's net assets. The Fund's investment in Master Loan is
included in the Statement of Investments. The Fund recognizes income and
gain/(loss) on its investment in Master Loan according to its allocated pro-rata
share, based on its relative proportion of total outstanding Master Loan shares
held, of the total net income earned by the net gain/(loss) realized on
investments sold by Master Loan. As a shareholder, the Fund is subject to its
proportional share of Master Loan's 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 Master Loan.
- --------------------------------------------------------------------------------
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
82 | OPPENHEIMER STRATEGIC INCOME FUND
sufficient to cover payments of interest and principal. If the seller of the
agreement defaults and the value of the collateral declines, or if the seller
enters an insolvency proceeding, realization of the value of the collateral by
the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
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 Fund files income tax returns in U.S. federal and applicable state
jurisdictions. The statute of limitations on the Fund's tax return filings
generally remain open for the three preceding fiscal reporting period ends.
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.
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. As of September 30, 2007, the Fund had available for federal income tax
purposes straddle losses of $698,241 and unused capital loss carryforwards 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
==============
As of March 31, 2008, the Fund had available for federal income tax purposes an
estimated capital loss carryforward of $727,549,007 expiring by 2016. This
estimated capital loss carryforward represents carryforward as of the end of
the last fiscal year, increased for losses deferred under tax accounting rules
to the current fiscal year and is increased or decreased
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
by capital losses or gains realized in the first six months of the current
fiscal year. During the six months ended March 31, 2008, it is estimated that
the Fund will utilize $175,307,695 of capital loss carryforward to offset
realized capital gains.
The approximate 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 March 31, 2008 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.
Federal tax cost of securities $ 10,282,439,252
Federal tax cost of other investments 2,204,750,901
-------------------
Total federal tax cost $ 12,487,190,153
===================
Gross unrealized appreciation $ 555,311,314
Gross unrealized depreciation (533,539,142)
-------------------
Net unrealized appreciation $ 21,772,172
===================
- --------------------------------------------------------------------------------
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 and
may differ from U.S. generally accepted accounting principles, 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 is recognized on an accrual basis. Discount and
premium, which are included in interest income on the Statement of Operations,
are amortized or accreted daily.
84 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, at a rate equal to the
Federal Funds Rate plus 0.50%. The "Reduction to custodian expenses" line item,
if applicable, represents earnings on cash balances maintained by the Fund
during the period. Such interest expense and other custodian fees may be paid
with these earnings.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising
in connection with the performance of their duties to the Fund. In the normal
course of business, the Fund may also enter into contracts that provide general
indemnifications. The Fund's maximum exposure under these arrangements is
unknown as this would be dependent on future claims that may be made against the
Fund. The risk of material loss from such claims is considered remote.
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America 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 increases and
decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED MARCH 31, 2008 YEAR ENDED SEPTEMBER 30, 2007
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------
CLASS A
Sold 419,799,178 $ 1,852,612,179 374,243,875 $ 1,621,225,351
Dividends and/or
distributions reinvested 48,302,822 212,083,319 52,588,260 227,757,694
Acquisition -- Note 13 -- -- 59,159,381 260,892,868
Redeemed (163,340,459) (720,848,495) (240,334,556) (1,038,949,862)
------------------------------------------------------------------------
Net increase 304,761,541 $ 1,343,847,003 245,656,960 $ 1,070,926,051
========================================================================
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
SIX MONTHS ENDED MARCH 31, 2008 YEAR ENDED SEPTEMBER 30, 2007
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
CLASS B
Sold 23,128,084 $ 102,398,679 24,227,240 $ 105,145,550
Dividends and/or
distributions reinvested 3,299,467 14,526,090 4,782,734 20,771,577
Redeemed (29,283,753) (129,967,157) (71,427,424) (309,680,389)
-----------------------------------------------------------------
Net decrease (2,856,202) $ (13,042,388) (42,417,450) $(183,763,262)
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS C
Sold 89,773,693 $ 395,548,815 72,545,647 $ 313,480,785
Dividends and/or
distributions reinvested 7,349,656 32,196,447 7,574,819 32,747,903
Redeemed (23,974,877) (105,555,090) (38,441,106) (165,765,848)
-----------------------------------------------------------------
Net increase 73,148,472 $ 322,190,172 41,679,360 $ 180,462,840
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS N
Sold 11,625,770 $ 51,357,835 13,299,138 $ 57,565,717
Dividends and/or
distributions reinvested 1,074,556 4,718,815 1,188,326 5,153,772
Redeemed (4,595,072) (20,291,141) (7,326,966) (31,757,366)
-----------------------------------------------------------------
Net increase 8,105,254 $ 35,785,509 7,160,498 $ 30,962,123
=================================================================
- ------------------------------------------------------------------------------------------------
CLASS Y
Sold 23,188,937 $ 102,273,890 36,588,605 $ 157,983,527
Dividends and/or
distributions reinvested 972,634 4,269,928 3,321,638 14,364,136
Redeemed (68,589,626) (303,138,877) (3,767,180) (16,268,682)
-----------------------------------------------------------------
Net increase (decrease) (44,428,055) $(196,595,059) 36,143,063 $ 156,078,981
=================================================================
- -------------------------------------------------------------------------------
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 six months ended
March 31, 2008, were as follows:
PURCHASES SALES
-------------------------------------------------------------------------------------------------------
Investment securities $ 2,729,668,317 $ 1,895,530,293
U.S. government and government agency obligations 367,859,916 439,696,754
To Be Announced (TBA) mortgage-related securities 717,174,716 540,119,838
86 | OPPENHEIMER STRATEGIC INCOME FUND
- -------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Under the investment advisory agreement, the Fund pays the
Manager a management fee based on the daily net assets of the Fund at an annual
rate as shown in the following table:
FEE SCHEDULE
----------------------------------------
Up to $200 million 0.75%
Next $200 million 0.72
Next $200 million 0.69
Next $200 million 0.66
Next $200 million 0.60
Next $4 billion 0.50
Over $5 billion 0.48
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services ("OFS"), a division of the
Manager, acts as the transfer and shareholder servicing agent for the Fund. The
Fund pays OFS a per account fee. For the six months ended March 31, 2008, the
Fund paid $5,504,354 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000
annually 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 (the
"Plan") for Class A shares under Rule 12b-1 of the Investment Company Act of
1940. Under the Plan, the Fund 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 service 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 (the "Plans") for Class B, Class C
and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 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
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
charge of 0.75% on Class B and Class C shares and 0.25% on Class N shares. The
Distributor also receives a service fee of 0.25% per year under each plan. If
either the Class B, Class C or Class N plan is terminated by the Fund or by the
shareholders of a class, the Board of Trustees and its independent trustees must
determine whether the Distributor shall be entitled to payment from the Fund of
all or a portion of the service fee and/or asset-based sales charge in respect
to shares sold prior to the effective date of such termination. The
Distributor's aggregate uncompensated expenses under the Plans at March 31, 2008
for Class B, Class C and Class N shares were $108,071,160, $35,228,416 and
$2,325,057, respectively. Fees incurred by the Fund under the Plans are detailed
in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
("CDSC") do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -----------------------------------------------------------------------------------------------------------------------
March 31, 2008 $ 1,495,377 $ 23,535 $ 407,310 $ 94,218 $ 3,573
- --------------------------------------------------------------------------------
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 investments in
IMMF and Master Loan. During the six months ended March 31, 2008, the Manager
waived $737,180 for management fees.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY EXCHANGE CONTRACTS
The Fund may enter into foreign currency exchange contracts ("forward
contracts") for the purchase or sale of a foreign currency at a negotiated rate
at a future date.
Foreign currency exchange contracts are reported on a schedule following
the Statement of Investments. Forward contracts will be valued daily based upon
the closing prices of the forward currency rates determined at the close of the
Exchange as provided by a bank, dealer or pricing service. The resulting
unrealized appreciation (depreciation) is reported in the Statement of Assets
and Liabilities as a receivable or payable and in the Statement of Operations
within the change in unrealized appreciation (depreciation). At
88 | OPPENHEIMER STRATEGIC INCOME FUND
contract close, the difference between the original cost of the contract and the
value at the close date is recorded as a realized gain (loss) in the Statement
of Operations.
Risks to the Fund include both market and credit risk. Market risk is the
risk that the value of the forward contract will depreciate due to unfavorable
changes in the exchange rates. 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 payments that the Fund has not yet
received.
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
financial instrument at a negotiated price on a stipulated future date. The Fund
may buy and sell futures contracts and may also buy or write put or call options
on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be
valued at the final settlement price or official closing price on the principal
exchange as reported by such principal exchange at its trading session ending
at, or most recently prior to, the time when the Fund's assets are valued.
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.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker to cover initial margin requirements on
open futures contracts and the receivable and/or payable for the daily mark to
market for the variation margin are noted in the Statement of Assets and
Liabilities. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations. Realized gains (losses) are reported in
the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market where the Fund is unable to
liquidate the contract or enter into an offsetting position and, if used for
hedging purposes, the risk that the price of the contract will correlate
imperfectly with the prices of the Fund's securities.
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security at a fixed price, upon
exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded. The difference between the premium
received or paid, and market value of the option, is recorded as unrealized
appreciation or depreciation. The
89 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY Continued
net change in unrealized appreciation or depreciation is reported in the
Statement of Operations. When an option is exercised, the cost of the security
purchased or the proceeds of the security sale are adjusted by the amount of
premium received or paid. Upon the expiration or closing of the option
transaction, a gain or loss is reported in the Statement of Operations.
Securities designated to cover outstanding call or put options are noted
in the Statement of Investments where applicable. Options written are reported
in a schedule following the Statement of Investments and as a liability in the
Statement of Assets and Liabilities.
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 that there
may be an illiquid market where the Fund is unable to close the contract.
Written option activity for the six months ended March 31, 2008 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, 2007 16,070,000 $ 101,920 16,070,000 $ 102,047
Options written 48,665,170,000 9,748,007 41,507,685,000 9,098,602
Options closed or expired (23,236,330,000) (4,409,336) (22,714,300,000) (5,030,405)
Options exercised (21,909,785,000) (4,745,264) (15,274,330,000) (3,470,289)
------------------------------------------------------------------------------------
Options outstanding as of
March 31, 2008 3,535,125,000 $ 695,327 3,535,125,000 $ 699,955
====================================================================================
- --------------------------------------------------------------------------------
8. SWAP CONTRACTS
The Fund may enter into swap contract agreements with a counterparty to exchange
a series of cash flows based on either specified reference rates, or the
occurrence of a credit event, over a specified period. Such contracts may
include interest rate, equity, debt, index, total return, credit and currency
swaps.
Swaps are marked to market daily using primarily quotations from pricing
services, counterparties and brokers. Swap contracts are reported on a schedule
following the Statement of Investments. 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. 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.
90 | OPPENHEIMER STRATEGIC INCOME FUND
Risks of entering into swap contracts include credit, market and liquidity
risk. 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 payments that the Fund has not yet received. Market risk
is the risk that the value of the contract will depreciate due to unfavorable
changes in the reference asset. If there is an illiquid market for the
agreement, the Fund may be unable to close the contract prior to contract
termination.
- --------------------------------------------------------------------------------
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 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. 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.
Risks of credit default swaps include, but are not limited to, the cost of
paying for credit protection if there are no credit events, or the cost of
selling protection (buying the notional amount) when a credit event occurs,
pricing transparency when assessing the cost of a credit default swap, and the
need to fund the delivery obligation (either cash or defaulted securities).
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between
counterparties to exchange periodic interest payments on the notional amount of
the contract. One cash flow stream will typically be a floating rate payment
based upon a specified index while the other is typically a fixed rate.
Interest rate swap agreements include interest rate risk. There is a risk,
based on future movements of interest rates where the payments made by the Fund
under a swap agreement will be greater than the payments it received.
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between
counterparties to exchange a set of future cash flows on the notional amount of
the contract. One cash flow is typically 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.
- --------------------------------------------------------------------------------
CURRENCY SWAPS. A currency swap is an agreement between counterparties 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.
91 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. SWAP CONTRACTS Continued
Currency swap agreements include exchange rate 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.
- --------------------------------------------------------------------------------
9. ILLIQUID OR RESTRICTED SECURITIES
As of March 31, 2008, investments in securities included issues that are
illiquid or restricted. Investments may be illiquid because they do not have an
active trading market, making it difficult to value them or dispose of them
promptly at an acceptable price. A restricted security may have a contractual
restriction on its resale and is valued under methods approved by the Board of
Trustees as reflecting fair value. The Fund will not invest more than 15% of its
net assets (determined at the time of purchase and reviewed periodically) in
illiquid and restricted securities. Certain restricted securities, eligible for
resale to qualified institutional purchasers, may not be subject to that
limitation. Securities that are illiquid or restricted are marked with an
applicable footnote on the Statement of Investments. Restricted securities are
reported on a schedule following the Statement of Investments.
- --------------------------------------------------------------------------------
10. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income in the form of fees or interest on securities received as
collateral or the investment of any cash received as collateral. The loans are
secured by collateral (either securities, letters of credit, or cash) 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 each business day and any additional required collateral is
delivered to the Fund on the next business day. If the borrower defaults on its
obligation to return the securities loaned because of insolvency or other
reasons, the Fund could experience delays and cost in recovering the securities
loaned or in gaining access to the collateral. 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 and recognizes the gain
or loss in the fair value of the securities loaned that may occur during the
term of the loan. The Fund has the right under the lending agreement to recover
the securities from the borrower on demand. As of March 31, 2008, the Fund had
on loan securities valued at $153,583,924. Collateral of $156,225,618 was
received for the loans, all of which was received in cash and subsequently
invested in approved instruments or held as cash.
- --------------------------------------------------------------------------------
11. UNFUNDED PURCHASE COMMITMENTS
Pursuant to the terms of certain indenture agreements, the Fund has unfunded
purchase commitments of $33,345,455 at March 31, 2008. The Fund generally will
maintain with its custodian, liquid investments having an aggregate value at
least equal to the amount of
92 | OPPENHEIMER STRATEGIC INCOME FUND
unfunded purchase commitments. The following commitments are subject to funding
based on the borrower's discretion. The Fund is obligated to fund these
commitments at the time of the request by the borrower. These commitments have
been excluded from the Statement of Investments.
As of March 31, 2008, the Fund had unfunded purchase commitments as follows:
COMMITMENT
TERMINATION UNFUNDED
DATE AMOUNT
-------------------------------------------------------------------
Deutsche Bank AG,
Opic Reforma Credit Linked Nts. 10/20/13 $ 33,345,455
- --------------------------------------------------------------------------------
12. RECENT ACCOUNTING PRONOUNCEMENTS
In September 2006, Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE
MEASUREMENTS. This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and expands
disclosures about fair value measurements. SFAS No. 157 applies to fair value
measurements already required or permitted by existing standards. SFAS No. 157
is effective for financial statements issued for fiscal years beginning after
November 15, 2007, and interim periods within those fiscal years. As of March
31, 2008, 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.
- --------------------------------------------------------------------------------
13. 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.
93 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF
INVESTMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
94 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In evaluating trustee nominees, the Committee
considers, among other things, an individual's background, skills, and
experience; whether the individual is an "interested person" as defined in
the Investment Company Act of 1940; and whether the individual would be
deemed an "audit committee financial expert" within the meaning of
applicable SEC rules. The Committee also considers whether the
individual's background, skills, and experience will complement the
background, skills, and experience of other nominees and will contribute
to the Board. There are
no differences in the manner in which the Committee evaluates nominees for
trustees based on whether the nominee is recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where required, to
shareholders. Recommendations for trustee nominees should, at a minimum,
be accompanied by the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in
a proxy statement concerning the person if he or she was nominated;
and
o the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 03/31/2008, the registrant's principal executive officer and
principal financial officer found the registrant's disclosure controls and
procedures to provide reasonable assurances that information required to be
disclosed by the registrant in the reports that it
files under the Securities Exchange Act of 1934 (a) is accumulated and
communicated to registrant's management, including its principal executive
officer and principal financial officer, to allow timely decisions regarding
required disclosure, and (b) is recorded, processed, summarized and reported,
within the time periods specified in the rules and forms adopted by the U.S.
Securities and Exchange Commission.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a) (1) Not applicable to semiannual reports.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Strategic Income Fund
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: 05/14/2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: 05/14/2008
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: 05/14/2008