UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-3420
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Oppenheimer Integrity Funds
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(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: December 31
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Date of reporting period: 06/30/2008
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ITEM 1. REPORTS TO STOCKHOLDERS.
JUNE 30, 2008
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Management
Oppenheimer Commentaries
Core Bond Fund and
Semiannual
Report
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MANAGEMENT COMMENTARIES
An Interview with Your Fund's Managers
Listing of Top Holdings
SEMIANNUAL REPORT
Listing of Investments
Financial Statements
[OPPENHEIMERFUNDS LOGO]
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS AND NOTES--TOP TEN INDUSTRIES
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Diversified Financial Services 4.1%
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Commercial Banks 3.8
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Insurance 2.7
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Capital Markets 2.6
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Media 2.0
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Automobiles 1.5
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Hotels, Restaurants & Leisure 1.1
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Diversified Telecommunication Services 1.0
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Household Durables 0.9
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Oil, Gas & Consumable Fuels 0.9
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2008, and are based on net assets.
CREDIT ALLOCATION
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Treasury 0.1%
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Agency 29.4
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AAA 34.8
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AA 2.9
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A 7.3
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BBB 6.3
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BB 3.3
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Not Rated 15.7
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Other Securities 0.2
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2008, and are based on the total market value of investments. Average
credit quality and ratings include securities rated by a national rating
organization. As of that date, no securities held by the Fund were rated lower
than BB.
10 | OPPENHEIMER CORE BOND FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends
and capital gains distributions in a hypothetical investment for the
periods shown. Cumulative total returns are not annualized. The Fund's
total returns shown do not reflect the deduction of income taxes on an
individual's investment. Taxes may reduce your actual investment returns
on income or gains paid by the Fund or any gains you may realize if you
sell your shares.
INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND
OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S
PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE
OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR
VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS
CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention
of specific Fund holdings does not constitute a recommendation by
OppenheimerFunds, Inc.
CLASS A shares of the Fund were first publicly offered on 4/15/88. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%.
CLASS B shares of the Fund were first publicly offered on 5/3/93. Unless
otherwise noted, Class B returns include the applicable contingent
deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B
shares convert to Class A shares 72 months after purchase, the 10-year
return for Class B uses Class A performance for the period after
conversion. Class B shares are subject to an annual 0.75% asset-based
sales charge.
CLASS C shares of the Fund were first publicly offered on 7/11/95. Unless
otherwise noted, Class C returns include the contingent deferred sales
charge of 1% for the 1-year period. Class C shares are subject to an
annual 0.75% asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N
shares are offered only through retirement plans. Unless otherwise noted,
Class N returns include the contingent deferred sales charge of 1% for the
1-year period. Class N shares are subject to an annual 0.25% asset-based
sales charge.
11 | OPPENHEIMER CORE BOND FUND
NOTES
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CLASS Y shares of the Fund were first publicly offered on 4/27/98. Class Y
shares are offered only to certain institutional investors under a special
agreement with the Distributor, and to present or former officers,
directors, trustees or employees (and their eligible family members) of
the Fund, the Manager, its affiliates, its parent company and the
subsidiaries of its parent company, and retirement plans established for
the benefit of such individuals.
An explanation of the calculation of performance is in the Fund's
Statement of Additional Information.
12 | OPPENHEIMER CORE BOND FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, which may include sales charges (loads) on purchase
payments, contingent deferred sales charges on redemptions; and redemption
fees (if 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 June
30, 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 CORE BOND FUND
FUND EXPENSES
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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 JANUARY 1, 2008 JUNE 30, 2008 JUNE 30, 2008
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Class A $1,000.00 $ 986.70 $4.31
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Class B 1,000.00 982.80 8.17
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Class C 1,000.00 983.00 8.12
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Class N 1,000.00 985.30 5.69
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Class Y 1,000.00 988.50 2.38
HYPOTHETICAL
(5% return before expenses)
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Class A 1,000.00 1,020.54 4.38
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Class B 1,000.00 1,016.66 8.31
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Class C 1,000.00 1,016.71 8.26
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Class N 1,000.00 1,019.14 5.79
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Class Y 1,000.00 1,022.48 2.42
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 182/366
(to reflect the one-half year period). Those annualized expense ratios,
excluding indirect expenses from affiliated fund, based on the 6-month period
ended June 30, 2008 are as follows:
CLASS EXPENSE RATIOS
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Class A 0.87%
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Class B 1.65
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Class C 1.64
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Class N 1.15
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Class Y 0.48
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 CORE BOND FUND
STATEMENT OF INVESTMENTS June 30, 2008 / Unaudited
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PRINCIPAL
AMOUNT VALUE
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ASSET-BACKED SECURITIES--3.5%
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Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2005-HE7, Cl. A2B, 2.663%, 11/25/35 1 $ 793,915 $ 787,326
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Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 2.963%, 5/25/34 1 3,925,924 3,501,527
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Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates,
Series 2006-W5, Cl. A2B, 2.583%, 5/26/36 1 3,082,213 3,004,010
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Capital One Prime Auto Receivables Trust, Automobile Asset-Backed
Certificates, Series 2005-1, Cl. A4, 2.491%, 4/15/11 1 18,105,040 18,063,940
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Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates,
Series 2005-D, Cl. AV2, 2.753%, 10/25/35 1 347,808 342,802
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Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates,
Series 2006-A, Cl. AV2, 2.583%, 5/16/36 1 2,948,590 2,893,021
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Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates,
Series 2003-2, Cl. 2A2, 3.043%, 2/25/33 1 1,385,127 1,373,920
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Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 401,537
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Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed
Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 2.583%, 10/31/36 1 2,300,000 2,143,975
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Countrywide Home Loans, Asset-Backed Certificates:
Series 2002-4, Cl. A1, 3.223%, 2/25/33 1 48,808 41,278
Series 2005-11, Cl. AF2, 4.657%, 2/25/36 2,076,991 2,074,411
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 4,980,000 4,337,223
Series 2005-17, Cl. 1AF1, 2.683%, 5/25/36 1 89,562 89,076
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 970,000 883,540
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CWABS Asset-Backed Certificates Trust, Asset-Backed Certificates,
Series 2006-25, Cl. 2A2, 2.603%, 12/25/29 1 3,020,000 2,700,458
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First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates,
Series 2005-FF10, Cl. A3, 2.693%, 11/25/35 1 2,426,898 2,410,340
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First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates,
Series 2006-FF10, Cl. A3, 2.573%, 7/25/36 1 3,550,000 3,414,058
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First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates,
Series 2006-FF5, Cl. 2A1, 2.533%, 5/15/36 1 145,495 144,977
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First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates,
Series 2006-FF9, Cl. 2A2, 2.593%, 7/7/36 1 1,820,000 1,731,928
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Honda Auto Receivables Owner Trust, Automobile Receivable Obligations,
Series 2005-2, Cl. A4, 4.15%, 10/15/10 2,732,332 2,740,969
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HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan
Asset-Backed Nts., Series 2005-3, Cl. A1, 2.742%, 1/20/35 1 1,249,378 1,157,473
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HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan
Asset-Backed Certificates, Series 2006-4, Cl. A2V, 2.592%, 3/20/36 1 1,120,000 1,071,020
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Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 692,696 695,526
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 694,195 691,906
F1 | OPPENHEIMER CORE BOND 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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Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates,
Series 2001-1A, Cl. A1, 8.33%,4/25/31 2 $ 981,797 $ 951,705
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MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 3.821%, 3/15/16 1 4,380,000 3,858,863
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NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I,
Cl. ECFD, 5.827%, 1/25/29 1,2 1,750,658 227,586
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Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 2.583%,7/1/36 1 11,300,000 10,871,342
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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 1,520,000 1,517,895
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RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-RS4, Cl. A1, 2.563%, 7/25/36 1 387,759 384,605
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Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 2.733%, 6/25/36 1 1,316,561 1,309,260
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Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-BNC3, Cl. A2, 2.523%, 9/25/36 1 2,900,774 2,856,775
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Tobacco Settlement Authority, Asset-Backed Securities,
Series 2001-A, 6.79%, 6/1/10 440,000 453,922
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Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity
Asset-Backed Certificates, Series 2006-2, Cl. A2, 2.583%, 7/25/36 1 3,530,000 3,459,542
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Total Asset-Backed Securities (Cost $87,473,903) 82,587,736
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MORTGAGE-BACKED OBLIGATIONS--92.1%
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GOVERNMENT AGENCY--53.2%
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FHLMC/FNMA/SPONSORED--53.1%
Federal Home Loan Mortgage Corp.:
4.50%, 5/15/19 21,284,083 20,796,727
5%, 6/15/33-8/15/33 11,201,920 10,805,567
5.50%, 5/1/34 9,517,074 9,412,981
6%, 5/15/18-3/15/33 8,800,695 8,973,319
6.50%, 4/15/18-4/1/34 6,414,158 6,678,511
7%, 7/15/21-10/1/31 16,585,909 17,542,955
8%, 4/1/16 481,725 512,078
9%, 4/14/17-5/1/25 134,540 147,439
12.50%, 5/15/14 713 827
13.50%, 12/15/10 807 878
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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 28,973 28,966
Series 1590, Cl. IA, 3.55%, 10/15/23 1 4,535,870 4,553,109
Series 2006-11, Cl. PS, 15.464%, 3/25/36 1 2,572,266 2,805,995
Series 2034, Cl. Z, 6.50%, 2/15/28 36,836 38,493
Series 2043, Cl. ZP, 6.50%, 4/15/28 3,556,908 3,728,395
Series 2046, Cl. G, 6.50%, 4/15/28 3,366,317 3,538,819
F2 | OPPENHEIMER CORE BOND FUND
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 2053, Cl. Z, 6.50%, 4/15/28 $ 37,842 $ 39,736
Series 2055, Cl. ZM, 6.50%, 5/15/28 196,073 203,961
Series 2063, Cl. PG, 6.50%, 6/15/28 2,606,620 2,726,672
Series 2075, Cl. D, 6.50%, 8/15/28 584,904 614,478
Series 2080, Cl. C, 6.50%, 8/15/28 143,296 149,751
Series 2080, Cl. Z, 6.50%, 8/15/28 1,402,838 1,473,560
Series 2145, Cl. MZ, 6.50%, 4/15/29 922,076 969,242
Series 2148, Cl. ZA, 6%, 4/15/29 1,854,013 1,902,846
Series 2195, Cl. LH, 6.50%, 10/15/29 2,159,899 2,263,259
Series 2326, Cl. ZP, 6.50%, 6/15/31 781,095 820,522
Series 2341, Cl. FP, 3.371%, 7/15/31 1 1,347,134 1,351,333
Series 2399, Cl. PG, 6%, 1/15/17 1,207,369 1,260,791
Series 2410, Cl. PF, 3.451%, 2/15/32 1 4,382,380 4,444,790
Series 2423, Cl. MC, 7%, 3/15/32 3,031,301 3,212,349
Series 2426, Cl. BG, 6%, 3/15/17 7,334,186 7,640,305
Series 2427, Cl. ZM, 6.50%, 3/15/32 4,157,154 4,366,622
Series 2453, Cl. BD, 6%, 5/15/17 1,155,183 1,203,644
Series 2461, Cl. PZ, 6.50%, 6/15/32 4,908,746 5,214,365
Series 2463, Cl. F, 3.471%, 6/15/32 1 6,726,689 6,865,137
Series 2500, Cl. FD, 2.971%, 3/15/32 1 329,942 327,935
Series 2526, Cl. FE, 2.871%, 6/15/29 1 518,324 515,934
Series 2551, Cl. FD, 2.871%, 1/15/33 1 1,063,083 1,056,667
Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,435,916
Series 2681, Cl. B, 5%, 9/15/23 3,233,000 3,044,144
Series 2764, Cl. UG, 5%, 3/15/34 8,661,000 8,132,849
Series 3025, Cl. SJ, 15.689%, 8/15/35 1 1,037,422 1,145,163
Series 3094, Cl. HS, 15.322%, 6/15/34 1 1,557,155 1,682,533
Series 3138, Cl. PA, 5.50%, 2/15/27 16,990,741 17,310,919
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Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.
- -Backed Security:
Series 176, Cl. IO, 14.672%, 6/1/26 3 606,164 161,712
Series 183, Cl. IO, 13.692%, 4/1/27 3 2,030,658 454,971
Series 184, Cl. IO, 19.378%, 12/1/26 3 1,055,100 280,972
Series 192, Cl. IO, 14.749%, 2/1/28 3 258,558 66,815
Series 200, Cl. IO, 14.586%, 1/1/29 3 318,585 85,093
Series 2003-26, Cl. IK, 13.695%, 4/25/33 3 3,030,499 706,522
Series 206, Cl. IO, (4.586)%, 12/1/29 3 328,059 92,493
Series 2129, Cl. S, 30.276%, 2/15/29 3 1,470,150 134,838
Series 2130, Cl. SC, 28.05%, 3/15/29 3 675,331 69,396
Series 2134, Cl. SB, 41.422%, 3/15/29 3 726,010 60,095
Series 2155, Cl. SE, 31.617%, 5/15/29 3 1,822,063 193,643
Series 216, Cl. IO, 13.426%, 12/1/31 3 1,235,263 352,008
Series 224, Cl. IO, 10.235%, 3/1/33 3 3,619,387 960,633
Series 2422, Cl. SJ, 60.551%, 1/15/32 3 3,197,714 369,108
Series 243, Cl. 6, 8.293%, 12/15/32 3 2,183,779 648,788
Series 2493, Cl. S, 53.664%, 9/15/29 3 189,440 19,220
Series 2517, Cl. GS, 32.194%, 2/15/32 3 972,327 125,194
Series 2796, Cl. SD, 38.367%, 7/15/26 3 1,088,653 103,573
F3 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed
Security: Continued
Series 2802, Cl. AS, 75%, 4/15/33 3 $ 3,550,701 $ 270,888
Series 2920, Cl. S, 44.619%, 1/15/35 3 4,346,529 395,999
Series 3000, Cl. SE, 75.907%, 7/15/25 3 6,506,361 439,650
Series 3110, Cl. SL, 99.999%, 2/15/26 3 1,994,088 140,269
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Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed
Security:
Series 176, Cl. PO, 4.268%, 6/1/26 4 253,029 203,804
Series 192, Cl. PO, 5.893%, 2/1/28 4 252,020 196,670
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Federal National Mortgage Assn.:
4.50%, 10/25/18-8/1/20 27,264,917 26,659,763
4.50%, 7/1/22 5 58,245,000 56,297,404
5%, 12/1/17-9/25/33 146,322,898 144,506,908
5%, 7/1/22-7/1/38 5 147,785,000 142,955,347
5.50%, 12/25/18-9/1/36 86,500,238 85,783,891
5.50%, 7/1/22-7/1/37 5 162,868,000 160,896,191
5.50%, 12/25/32 6 51,968,052 51,569,157
6%, 5/25/20-12/1/33 47,609,171 48,384,678
6%, 7/1/22 5 19,276,000 19,760,907
6%, 3/1/33-11/1/33 6 21,040,113 21,371,741
6.50%, 6/25/17-11/25/31 31,510,664 32,841,408
6.50%, 7/1/37 5 44,334,000 45,643,227
7%, 1/25/09-4/1/34 13,155,910 13,900,400
7%, 7/1/37 5 635,000 665,758
7.50%, 1/1/33-8/25/33 10,658,591 11,517,908
8%, 8/25/17 130 130
8.50%, 7/1/32 50,153 55,250
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Federal National Mortgage Assn. Grantor Trust, Gtd. Trust Mtg. Pass-Through
Certificates, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,624,380 1,722,606
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Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates:
Trust 1992-34, Cl. G, 8%, 3/25/22 17,485 18,369
Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 918,663 954,959
Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 6 3,671,191 3,819,409
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 712,799 739,415
Trust 1996-35, Cl. Z, 7%, 7/25/26 223,330 237,028
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,525,103 1,584,588
Trust 1998-61, Cl. PL, 6%, 11/25/28 2,230,627 2,296,072
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 2,836,400 2,929,888
Trust 1999-60, Cl. PG, 7.50%, 12/25/29 9,621,424 10,264,743
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,785,562 2,930,959
Trust 2001-70, Cl. LR, 6%, 9/25/30 92,198 92,701
Trust 2001-74, Cl. QE, 6%, 12/25/31 10,261,360 10,557,835
Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 1,970,449 2,061,156
Trust 2002-16, Cl. PG, 6%, 4/25/17 2,176,982 2,263,225
Trust 2002-2, Cl. UC, 6%, 2/25/17 1,269,125 1,310,848
Trust 2002-56, Cl. FN, 3.483%, 7/25/32 1 1,762,103 1,791,020
F4 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Gtd. Real Estate
Mtg. Investment Conduit
Pass-Through Certificates: Continued
Trust 2002-9, Cl. PC, 6%, 3/25/17 $ 6,920,860 $ 7,199,334
Trust 2003-130, Cl. CS, 9.135%, 12/25/33 1 7,628,306 7,363,254
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,315,668
Trust 2003-21, Cl. FK, 2.883%, 3/25/33 1 652,010 647,819
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 8,255,300
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,494,527
Trust 2003-84, Cl. GC, 4.50%, 5/25/15 11,330,000 11,385,284
Trust 2003-84, Cl. PW, 3%, 6/25/22 46,626 46,524
Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,673,765
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,348,517 1,432,713
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,442,483
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 12,573,000 12,466,150
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 9,859,109
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,439,996
Trust 2005-59, Cl. NQ, 10.669%, 5/25/35 1 2,852,174 2,753,047
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,184,143
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 6,549,598 6,667,120
Trust 2006-46, Cl. SW, 15.097%, 6/25/36 1 2,449,979 2,626,921
Trust 2006-50, Cl. KS, 15.098%, 6/25/36 1 3,433,682 3,597,105
Trust 2006-50, Cl. SK, 15.098%, 6/25/36 1 2,432,146 2,545,234
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 7,445,623 7,575,188
Trust 2006-64, Cl. MD, 5.50%, 7/25/36 2,753,828 2,705,263
- -----------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 47.03%, 3/17/31 3 1,207,513 177,540
Trust 2001-61, Cl. SE, 30.804%, 11/18/31 3 1,693,914 207,144
Trust 2001-65, Cl. S, 41.857%, 11/25/31 3 4,209,574 557,716
Trust 2001-81, Cl. S, 26.545%, 1/25/32 3 517,821 65,303
Trust 2002-12, Cl. SB, 48.985%, 7/25/31 3 827,181 100,488
Trust 2002-2, Cl. SW, 51.423%, 2/25/32 3 940,076 102,166
Trust 2002-38, Cl. IO, 32.644%, 4/25/32 3 347,501 28,402
Trust 2002-41, Cl. S, 55.238%, 7/25/32 3 3,631,026 355,530
Trust 2002-47, Cl. NS, 25.148%, 4/25/32 3 1,337,405 161,075
Trust 2002-5, Cl. SD, 43.815%, 2/25/32 3 625,302 58,689
Trust 2002-51, Cl. S, 25.424%, 8/25/32 3 1,227,994 148,452
Trust 2002-52, Cl. SD, 23.539%, 9/25/32 3 1,384,867 160,155
Trust 2002-60, Cl. SM, 38.567%, 8/25/32 3 6,317,115 579,854
Trust 2002-60, Cl. SY, 22.255%, 4/25/32 3 5,462,650 214,244
Trust 2002-7, Cl. SK, 41.226%, 1/25/32 3 1,927,485 198,480
Trust 2002-75, Cl. SA, 43.487%, 11/25/32 3 3,339,821 425,079
Trust 2002-77, Cl. BS, 33.422%, 12/18/32 3 3,778,680 439,037
Trust 2002-77, Cl. IS, 29.1%, 12/18/32 3 592,038 72,922
Trust 2002-77, Cl. JS, 33.35%, 12/18/32 3 6,522,679 768,136
Trust 2002-77, Cl. SA, 33.473%, 12/18/32 3 6,008,736 732,970
Trust 2002-77, Cl. SH, 29.774%, 12/18/32 3 689,690 71,574
Trust 2002-84, Cl. SA, 45.032%, 12/25/32 3 831,389 106,346
Trust 2002-89, Cl. S, 52.2%, 1/25/33 3 5,322,646 694,597
Trust 2002-9, Cl. MS, 26.615%, 3/25/32 3 42,829 5,276
F5 | OPPENHEIMER CORE BOND 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 2002-90, Cl. SN, 38.565%, 8/25/32 3 $ 3,253,600 $ 297,321
Trust 2002-90, Cl. SY, 41.146%, 9/25/32 3 1,302,716 128,151
Trust 2002-96, Cl. SK, 31.71%, 4/25/32 3 194,444 26,840
Trust 2003-117, Cl. KS, 41.049%, 8/25/33 3 30,321,745 2,794,367
Trust 2003-118, Cl. S, 38.954%, 12/25/33 3 8,163,476 1,248,004
Trust 2003-14, Cl. OI, 12.342%, 3/25/33 3 7,791,351 1,858,118
Trust 2003-33, Cl. SP, 42.802%, 5/25/33 3 5,160,286 754,434
Trust 2003-4, Cl. S, 39.383%, 2/25/33 3 1,646,411 251,562
Trust 2003-52, Cl. NS, 45.309%, 6/25/23 3 26,145,227 2,766,288
Trust 2004-54, Cl. DS, 29.394%, 11/25/30 3 299,609 25,712
Trust 2005-105, Cl. S, 77.313%, 12/25/35 3 8,483,587 779,065
Trust 2005-19, Cl. SA, 42.066%, 3/25/35 3 15,234,829 1,119,819
Trust 2005-40, Cl. SA, 41.665%, 5/25/35 3 2,678,732 214,183
Trust 2005-6, Cl. SE, 49.957%, 2/25/35 3 3,295,288 259,698
Trust 2005-71, Cl. SA, 55.308%, 8/25/25 3 5,360,071 478,728
Trust 2005-83, Cl. SL, 74.04%, 10/25/35 3 10,973,669 1,105,897
Trust 2005-87, Cl. SE, 99.999%, 10/25/35 3 20,148,299 1,341,075
Trust 2005-87, Cl. SG, 78.534%, 10/25/35 3 15,843,809 1,536,129
Trust 2006-119, Cl. MS, 75.239%, 12/25/36 3 8,923,407 912,469
Trust 2006-33, Cl. SP, 60.942%, 5/25/36 3 12,617,483 1,415,772
Trust 2006-34, Cl. SK, 59.65%, 5/25/36 3 17,735,731 2,151,025
Trust 2006-42, Cl. CI, 33.62%, 6/25/36 3 12,149,983 1,138,879
Trust 222, Cl. 2, 19.237%, 6/1/23 3 2,151,811 587,494
Trust 240, Cl. 2, 22.397%, 9/1/23 3 2,556,347 728,683
Trust 247, Cl. 2, 18.305%, 10/1/23 3 175,457 42,928
Trust 252, Cl. 2, 17.725%, 11/1/23 3 1,830,091 519,433
Trust 254, Cl. 2, 12.658%, 1/1/24 3 3,230,948 917,527
Trust 2682, Cl. TQ, 81.615%, 10/15/33 3 4,813,959 392,026
Trust 273, Cl. 2, 17.298%, 8/1/26 3 480,411 131,589
Trust 2981, Cl. BS, 92.822%, 5/15/35 3 8,971,551 656,643
Trust 301, Cl. 2, 7.848%, 4/1/29 3 1,198,447 305,648
Trust 303, Cl. IO, (0.493)%, 11/1/29 3 146,529 41,811
Trust 319, Cl. 2, 12.786%, 2/1/32 3 727,730 188,518
Trust 321, Cl. 2, 11.015%, 4/1/32 3 3,017,637 776,658
Trust 322, Cl. 2, 15.811%, 4/1/32 3 3,886,650 1,040,206
Trust 324, Cl. 2, 7.867%, 7/1/32 3 2,387,495 617,568
Trust 331, Cl. 9, 11.365%, 2/1/33 3 7,755,496 1,718,997
Trust 334, Cl. 14, 14.018%, 2/1/33 3 6,832,548 1,554,964
Trust 334, Cl. 15, 8.594%, 2/1/33 3 4,718,973 1,057,854
Trust 334, Cl. 17, 22.05%, 2/1/33 3 263,490 67,879
Trust 339, Cl. 12, 7.81%, 7/1/33 3 7,155,861 1,807,343
Trust 339, Cl. 7, 6.348%, 7/1/33 3 9,171,684 2,154,009
Trust 342, Cl. 2, 12.523%, 9/1/33 3 1,467,397 394,726
Trust 343, Cl. 13, 8.358%, 9/1/33 3 5,766,155 1,450,197
Trust 344, Cl. 2, 11.207%, 12/1/33 3 39,402,094 10,611,068
Trust 345, Cl. 9, 8.72%, 1/1/34 3 5,336,676 1,333,069
Trust 354, Cl. 2, 9.574%, 11/1/34 3 12,885,813 3,332,036
F6 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed
Security: Continued
Trust 362, Cl. 12, 7.296%, 8/1/35 3 $ 8,529,917 $ 2,015,381
Trust 362, Cl. 13, 7.243%, 8/1/35 3 4,725,510 1,116,724
Trust 364, Cl. 16, 9.622%, 9/1/35 3 7,354,923 1,836,299
Trust 365, Cl. 16, 13.887%, 3/1/36 3 4,525,202 1,095,574
- -------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security:
Trust 1993-184, Cl. M, 4.819%, 9/25/23 4 645,058 517,938
Trust 324, Cl. 1, 5.561%, 7/1/32 4 596,176
457,947
----------------
1,261,037,120
- -------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED -- 0.1%
Government National Mortgage Assn.:
5.625%, 8/8/25-8/8/27 1 20,600 20,826
7%, 7/29/09 1,807 1,850
8.50%, 8/1/17-12/15/17 211,106 230,504
9%, 3/29/09-6/29/09 2,660 2,730
10.50%, 12/29/17-5/29/21 16,680 18,878
11%, 11/8/19 32,252 36,096
12%, 5/29/14 263 301
- -------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 2001-21, Cl. SB, 42.449%, 1/16/27 3 1,298,215 120,922
Series 2002-15, Cl. SM, 35.565%, 2/16/32 3 1,490,304 136,972
Series 2002-41, Cl. GS, 40.38%, 6/16/32 3 1,045,214 152,126
Series 2002-76, Cl. SY, 38.589%, 12/16/26 3 669,965 66,811
Series 2002-78, Cl. S, 27.84%, 11/16/32 3 632,478 68,722
Series 2004-11, Cl. SM, 23.401%, 1/17/30 3 237,639 25,953
Series 2006-47, Cl. SA, 86.712%, 8/16/36 3 15,892,985 1,372,038
----------------
2,254,729
- -------------------------------------------------------------------------------------------------------
NON-AGENCY -- 38.9%
- -------------------------------------------------------------------------------------------------------
COMMERCIAL -- 15.7%
Asset Securitization Corp., Commercial Interest-Only Stripped
Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 2.188%, 4/14/29 3 3,317,022 451,748
- -------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2006-1, Cl. AM, 5.421%, 9/1/45 20,850,000 19,113,053
Series 2006-5, Cl. A2, 5.348%, 10/10/11 6,320,000 6,235,873
- -------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,486,049 1,489,580
- -------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through
Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,335,045 1,361,563
- -------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18,
Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2,
5.613%, 6/1/50 17,675,000 17,268,551
F7 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Bear Stearns Commercial Mortgage Securities, Inc.,
Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 $ 129,146 $ 125,943
- ------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, (6.906)%, 6/22/24 3 3,939,264 114,643
- ------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed
Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 545,489 545,330
- ------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B,
5.205%, 12/11/49 12,775,000 12,442,244
- ------------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 2006-A5, Cl. 1A1, 2.883%, 10/25/36 1 12,544,300 10,698,695
Series 2006-A5, Cl. 1A13, 2.933%, 10/25/36 1 6,578,108 5,497,525
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-HY13, Mtg. Pass-Through Certificates,
Series 2006-HY13, Cl. 3A1, 5.978%, 1/1/47 1 3,525,325 3,338,033
- ------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,537,614 1,523,808
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 545,474 536,742
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 7,226,523 7,117,306
- ------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg.
Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 3,395,695 3,006,335
- ------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg.
Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 3,626,238 3,506,301
- ------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 117,083 116,219
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,846,588
- ------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 17,310,000 16,949,756
- ------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg.
Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 10,330,000 9,786,385
- ------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2006-GG8, Cl. A2, 5.479%, 11/1/39 10,380,000 10,303,629
- ------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates,
Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 8,873,854 8,501,641
- ------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,525,000 3,292,544
Series 2007-LD11, Cl. A2, 5.992%, 6/15/49 1 5,450,000 5,407,049
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 12,980,000 12,829,432
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 23,552,000 22,949,177
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 21,450,000 21,517,139
Series 2008-C2, Cl. AM, 6.799%, 2/1/51 7,000,000 6,903,750
F8 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
JPMorgan Chase Commercial Mortgage Securities Trust 2005-LDP2,
Commercial Mtg. Pass-Through Certificates, Series 2005-LDP2, Cl. AM,
4.78%, 7/1/42 $ 8,810,000 $ 8,148,917
- -------------------------------------------------------------------------------------------------------------
JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through
Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 4,338,619 4,470,849
- -------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg.
Pass-Through Certificates:
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 12,040,000 11,938,243
Series 2006-C1, Cl. AM, 5.217%, 2/11/31 1 11,760,000 10,646,146
- -------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg.
Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 13,940,000 13,643,177
- -------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only
Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.859%, 2/18/30 3 3,239,424 97,951
- -------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 171,572 156,559
- -------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates,
Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,986,863 1,811,180
- -------------------------------------------------------------------------------------------------------------
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates,
Series 2006-3, Cl. 2A1, 2.933%, 10/25/36 1 20,096,306 18,212,555
- -------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through
Certificates, Series 2006-C1, Cl. A2, 5.797%, 5/1/39 1 6,100,000 6,107,939
- -------------------------------------------------------------------------------------------------------------
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial
Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 6,140,000 5,801,850
- -------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 854,459 858,500
- -------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 191,100
- -------------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 5,054,284 4,845,856
- -------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 5,032,554 4,981,862
- -------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial
Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 5.704%, 5/18/32 3 145,716,200 233,190
- -------------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-3, Mtg. Pass-Through Certificates,
Series 2007-3, Cl. 1A1, 5.658%, 6/1/37 1 15,659,962 14,683,661
- -------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Mtg. Pass-Through Certificates,
Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,228,146 1,081,143
- -------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial
Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,146,000 2,112,108
- -------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.882%, 8/1/46 1 20,265,832 19,631,781
F9 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.714%, 2/25/37 1,2 $ 4,611,055 $ 2,536,080
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.665%, 3/1/37 1 11,885,763 8,642,765
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.636%, 11/1/36 1 3,728,841 3,550,304
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.658%, 5/1/37 1 3,887,099 3,627,529
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg.
Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.833%, 10/1/34 1 10,469,983 10,399,380
--------------
373,187,207
- ---------------------------------------------------------------------------------------------------------------
MANUFACTURED HOUSING--1.2%
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/36 1 13,203,923 12,631,191
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.106%, 3/25/36 1 16,025,095 15,535,530
---------------
28,166,721
- ---------------------------------------------------------------------------------------------------------------
MULTIFAMILY--7.4%
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates:
Series 2003-E, Cl. 2A2, 4.606%, 6/25/33 1 7,621,759 7,604,456
Series 2005-F, Cl. 2A3, 4.713%, 7/25/35 1 12,074,678 11,705,770
- ---------------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates,
Series 2006-4, Cl. 2A1, 5.794%, 10/25/36 1 6,332,006 5,623,393
- ----------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through
Certificates, Series 2003-46, Cl. 1A2, 4.13%, 1/19/34 1 7,480,593 7,421,450
- ---------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through
Certificates, Series 2005-HYB1, Cl. 1A2, 4.995%, 3/25/35 1 11,341,104 10,774,049
- ---------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY1, Mtg. Pass-Through
Certificates, Series 2007-HY1, Cl. 1A1, 5.694%, 4/25/37 1 17,182,068 16,050,123
- ---------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 1 A3A, 5.89%, 7/25/36 1 5,343,093 5,188,716
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through
Certificates, Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 10,018,000 8,610,624
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through
Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 7,710,000 6,912,489
- ---------------------------------------------------------------------------------------------------------------
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates:
Series 2004-J4, Cl. A7, 5.50%, 9/25/34 7,166,000 6,470,599
Series 2005-AR4, Cl. 2A1, 5.297%, 7/19/35 1 11,637,832 10,054,379
- ---------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 3A1, 5.149%, 11/25/35 1 19,827,528 18,930,819
F10 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
MULTIFAMILY Continued
Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through
Certificates, Series 2007-2, Cl. 2A1, 5.995%, 6/25/37 1 $ 13,888,789 $ 13,352,997
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg.
Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.993%, 12/25/34 1 3,809,613 3,706,731
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg.
Pass-Through Certificates, Series 2004-S, Cl. A1, 3.541%, 9/25/34 1 3,159,428 3,008,833
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.542%, 3/25/35 1 2,429,568 2,349,197
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.526%, 4/25/35 1 3,861,482 3,698,579
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates:
Series 2006-AR10, Cl. 2A1, 5.646%, 7/25/36 1 5,965,946 5,777,976
Series 2006-AR10, Cl. 4A1, 5.561%, 7/25/36 1 7,838,757 7,593,641
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg.
Pass-Through Certificates:
Series 2006-AR2, Cl. 2A3, 5.10%, 3/1/36 1 14,165,913 13,733,145
Series 2006-AR2, Cl. 2A6, 5.106%, 3/25/36 1 3,048,456 2,830,463
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/36 1 3,458,167 3,332,288
---------------
174,730,717
- ---------------------------------------------------------------------------------------------------------------
OTHER -- 0.2%
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.762%, 2/25/32 1 3,772,047 3,707,619
- ---------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped
Mtg.-Backed Security, Series 1987-3, Cl. B, 49.825%, 10/23/17 3 6,378 784
- ---------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped
Mtg.-Backed Security, Series 1987-3, Cl. A, 1.147%, 10/23/17 4 9,440 9,055
---------------
3,717,458
- ---------------------------------------------------------------------------------------------------------------
RESIDENTIAL--14.4%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2007-4, Cl. A4, 5.936%, 7/1/17 1 10,690,000 10,201,462
- ---------------------------------------------------------------------------------------------------------------
Bank of America Alternative Loan Trust, Mtg. Pass-Through Certificates,
Series 2003-1, Cl. A6, 6%, 2/1/33 6,997,349 6,934,011
- ---------------------------------------------------------------------------------------------------------------
Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through
Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 4,500,000 4,132,672
- ---------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through
Certificates, Series 2007-HY4, Cl. 1A1, 6.094%, 9/25/47 1 22,973,972 20,676,575
- ---------------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Series 2006-A1,
Cl. 2A1, 5.25%, 3/1/21 6,882,730 6,606,929
F11 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
CitiMortgage Alternative Loan Trust 2007-A2, Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Series 2007-A2,
Cl. 1A5, 6%, 2/25/37 $ 24,606,054 $ 22,668,667
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through
Certificates, Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 8,151,344 7,644,206
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through
Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 6,445,016 5,867,277
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through
Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 9,396,000 8,027,008
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through
Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 7,177,680 6,361,148
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through
Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 5,910,539 5,205,771
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through
Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,077,227 2,964,109
- ---------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-41CB, Mtg. Pass-Through
Certificates, Series 2006-41CB, Cl. 1A10, 6%, 1/1/37 23,370,660 21,964,508
- ---------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through
Certificates, Series 2007-AR1, Cl. 4A1, 5.832%, 3/1/37 1,2 10,657,477 9,659,831
- ---------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg.
Pass-Through Certificates, Series 2007-C7, Cl. A3, 5.866%, 9/11/45 23,990,000 22,937,362
- ---------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10,
Cl. 2A3B, 5.55%, 1/25/36 1,371,940 1,338,818
- ---------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed
Certificates, Series 2005-A1, Cl. 2A1, 4.516%, 12/25/34 1 2,458,142 2,406,826
- ---------------------------------------------------------------------------------------------------------------
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through
Certificates, Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 1 4,750,000 4,474,984
- ---------------------------------------------------------------------------------------------------------------
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,112,624 1,083,217
- ---------------------------------------------------------------------------------------------------------------
RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2004-QS10, Cl. A3, 2.983%, 7/25/34 1 1,736,541 1,551,290
- ---------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 2,996,493 2,978,462
- ---------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 1,910,145 1,846,355
- ---------------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates,
Series 2007-S1, Cl. 3A1, 5.009%, 8/1/22 1 18,729,514 18,152,121
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg.
Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.046%, 9/25/33 1 5,343,171 5,115,365
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR14, Cl. 1A1, 5.053%, 12/1/35 1 11,910,670 11,604,620
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 1 16,553,264 15,360,376
F12 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR8,Cl. 2A1, 6.13%, 8/25/36 1 $ 16,006,561 $ 15,713,321
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY2,Cl. 2A1, 6.611%, 11/1/36 1 1,502,567 1,419,593
- ---------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.698%, 6/25/37 1 11,580,977 10,751,487
- ---------------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Pass-Through Certificates, Mtg.
Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 15,024,238 14,590,078
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through
Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 6,209,397 6,006,045
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through
Certificates, Series 2004-R, Cl. 2A1, 4.365%, 9/1/34 1 1,385,838 1,349,290
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.944%, 10/1/35 1 7,812,580 7,538,626
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates:
Series 2006-AR10, Cl. 5A3, 5.595%,7/1/36 1 3,727,029 3,642,905
Series 2006-AR10, Cl. 5A6, 5.595%,7/1/36 1 20,084,397 19,356,008
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg.
Pass-Through Certificates:
Series 2006-AR13, Cl. A2, 5.752%,9/1/36 1 22,127,132 21,492,703
Series 2006-AR13, Cl. A5, 5.752%, 9/1/36 1,2 8,049,281 6,117,454
- ---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.54%, 4/1/36 1,2 9,481,150 6,257,559
---------------
341,999,039
---------------
Total Mortgage-Backed Obligations (Cost $2,188,903,778) 2,185,092,991
- ---------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--0.1%
- ---------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, STRIPS, 3.862%, 2/15/13 7 (Cost $1,273,716) 1,520,000 1,301,257
- ---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--23.4%
- ---------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--6.2%
- ---------------------------------------------------------------------------------------------------------------
AUTOMOBILES--1.5%
Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08 8 1,780,000 1,789,568
- ---------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 9 22,680,000 19,787,234
- ---------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8% Bonds, 11/1/31 16,865,000 11,002,406
- ---------------------------------------------------------------------------------------------------------------
Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 8 3,145,000 3,147,387
---------------
35,726,595
- ---------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--1.1%
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 15,065,000 14,895,519
- ---------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 9 1,400,000 1,281,000
F13 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 $ 9,772,000 $ 8,990,240
---------------
25,166,759
- ---------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.9%
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 2,9 6,760,000 6,455,800
- ---------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 5,694,000 5,708,235
- ---------------------------------------------------------------------------------------------------------------
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 9,680,000 9,438,000
---------------
21,602,035
- ---------------------------------------------------------------------------------------------------------------
MEDIA--2.0%
Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 2 14,175,000 14,315,843
- ---------------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 5,130,000 5,206,796
- ---------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 6,350,000 5,384,819
- ---------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.25% Sr. Unsec. Nts., 7/15/08 7,080,000 7,097,700
- ---------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 9,370,000 9,393,425
- ---------------------------------------------------------------------------------------------------------------
Tribune Co., 5.50% Nts., Series E, 10/6/08 5,370,000 5,276,025
- ---------------------------------------------------------------------------------------------------------------
Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 1,795,000 1,777,050
---------------
48,451,658
- ---------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.7%
Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 2 4,070,000 4,075,088
- ---------------------------------------------------------------------------------------------------------------
Macy's Retail Holdings, Inc., 4.80% Sr. Nts., 7/15/09 9 11,895,000 11,660,169
---------------
15,735,257
- ---------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.0%
Gap, Inc. (The), 10.05% Unsub. Nts., 12/15/08 1,2 546,000 558,968
- ---------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--0.4%
- ---------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.4%
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 6,950,000 7,156,186
- ---------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,423,000 1,681,368
- ---------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Nts., 5/31/09 2,10,11 476,601 --
---------------
8,837,554
- ---------------------------------------------------------------------------------------------------------------
ENERGY--0.9%
- ---------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS--0.9%
Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 4,165,000 3,980,728
- ---------------------------------------------------------------------------------------------------------------
Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 2,310,000 2,332,033
- ---------------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 6,075,000 5,859,149
- ---------------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 1,066,413 1,060,422
- ---------------------------------------------------------------------------------------------------------------
TEPPCO Partners LP, 6.125% Nts., 2/1/13 3,060,000 3,038,198
F14 | OPPENHEIMER CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS Continued
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 $ 4,347,000 $ 4,250,353
--------------
20,520,883
- ------------------------------------------------------------------------------------------------------
FINANCIALS--13.7%
- ------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--2.6%
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 9 18,850,000 16,044,272
- ------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38 26,240,000 24,435,869
- ------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 23,775,000 22,375,199
--------------
62,855,340
- ------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--3.8%
Barclays Bank plc, 6.278% Perpetual Bonds 12 32,320,000 26,701,814
- ------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 8,12 36,300,000 25,469,895
- ------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 32,880,000 26,416,450
- ------------------------------------------------------------------------------------------------------
Popular North America, Inc.:
3.875% Sr. Bonds, Series E, 10/1/08 5,450,000 5,438,877
4.70% Nts., 6/30/09 9 6,799,000 6,717,358
--------------
90,744,394
- ------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.5%
SLM Corp.:
3.95% Nts., Series A, 8/15/08 1,780,000 1,768,145
4% Nts., 1/15/09 10,566,000 10,437,739
--------------
12,205,884
- ------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--4.1%
Bank of America Corp.:
8% Unsec. Perpetual Bonds, Series K 9,12 16,140,000 15,159,334
8.125% Perpetual Bonds, Series M 12 4,200,000 3,975,342
- ------------------------------------------------------------------------------------------------------
Capmark Financial Group, Inc.:
3.366% Sr. Unsec. Nts., 5/10/10 1 3,920,000 3,023,292
5.875% Sr. Unsec. Nts., 5/10/12 8,600,000 6,073,268
- ------------------------------------------------------------------------------------------------------
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 5,029,000 4,208,946
- ------------------------------------------------------------------------------------------------------
Citigroup, Inc.:
8.30% Jr. Sub. Bonds, 12/21/57 1 24,580,000 23,314,597
8.40% Perpetual Bonds, Series E 12 9,885,000 9,409,136
- ------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1 12 20,080,000 18,883,834
- ------------------------------------------------------------------------------------------------------
Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2,625,000 2,664,060
- ------------------------------------------------------------------------------------------------------
Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 9,495,000 9,601,230
--------------
96,313,039
F15 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------
INSURANCE--2.7%
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 $ 1,745,000 $ 1,372,523
- ------------------------------------------------------------------------------------------------------
Axa SA, 6.379% Sub. Perpetual Bonds 8,12 28,339,000 22,838,967
- ------------------------------------------------------------------------------------------------------
MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 6 4,160,000 1,675,819
- ------------------------------------------------------------------------------------------------------
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 1 19,345,000 16,976,224
- ------------------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 9,470,000 11,038,431
- ------------------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 8,725,000 9,574,841
--------------
63,476,805
- ------------------------------------------------------------------------------------------------------
INDUSTRIALS--0.2%
- ------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.2%
MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/68 1 5,600,000 6,057,111
- ------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.3%
- ------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.0%
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts.,
1/15/07 2,11 200,000 2
- ------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.3%
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 9 7,675,000 7,783,624
- ------------------------------------------------------------------------------------------------------
MATERIALS--0.0%
- ------------------------------------------------------------------------------------------------------
CHEMICALS--0.0%
Morton International, Inc., 9.75% Credit Sensitive Nts., 6/1/20 1 85,000 110,268
- ------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--1.0%
- ------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.0%
Qwest Corp.:
5.625% Unsec. Nts., 11/15/08 729,000 730,823
8.875% Unsec. Unsub. Nts., 3/15/12 21,835,000 22,380,875
--------------
23,111,698
- ------------------------------------------------------------------------------------------------------
UTILITIES--0.7%
- ------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.7%
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 7,977,000 8,179,616
- ------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 7,494,000 7,728,811
--------------
15,908,427
--------------
Total Corporate Bonds and Notes (Cost $596,609,935) 555,166,301
SHARES
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
COMMON STOCKS--0.0%
- ------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. (Cost $9) 181 11,939
UNITS
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 2,13
(Cost $5,577) 2,028 71
F16 | OPPENHEIMER CORE BOND FUND
SHARES VALUE
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
INVESTMENT COMPANY--0.3%
- --------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E,
2.69% 14,15 (Cost $6,575,974) 6,575,974 $ 6,575,974
- --------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments
Purchased with Cash Collateral from Securities Loaned)
(Cost $2,880,842,892) 2,830,736,269
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES
LOANED--0.9% 16
- --------------------------------------------------------------------------------------------------------
Repurchase agreement (Principal Amount/Value $ 21,763,265
with a maturity value of $21,764,897) with Barclays Capital,
2.70%, dated 6/30/08, to be repurchased at $21,764,897 on
7/1/08, collateralized by various securities, 0%-7.325%,
12/15/10-11/20/56, with a value of $22,228,530 (Cost $21,763,265) $ 21,763,265 21,763,265
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $2,902,606,157) 120.3% 2,852,499,534
- --------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (20.3) (480,387,944)
-------------------------------
NET ASSETS 100.0% $2,372,111,590
===============================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid security. The aggregate value of illiquid securities as of June
30, 2008 was $51,312,546, which represents 2.16% of the Fund's net assets. See
Note 7 of accompanying Notes.
3. 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 $76,501,303 or 3.23% of the Fund's net assets
as of June 30, 2008.
4. 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 $1,385,414 or 0.06% of the Fund's net assets as of
June 30, 2008.
5. When-issued security or delayed delivery to be delivered and settled after
June 30, 2008. See Note 1 of accompanying Notes.
6. 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 $5,069,311. See Note 5 of accompanying Notes.
7. Zero coupon bond reflects effective yield on the date of purchase.
8. 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 $74,919,511 or 3.16% of the Fund's net
assets as of June 30, 2008.
9. Partial or fully-loaned security. See Note 8 of accompanying Notes.
F17 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
10. Interest or dividend is paid-in-kind, when applicable.
11. Issue is in default. See Note 1 of accompanying Notes.
12. 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.
13. Non-income producing security.
14. Rate shown is the 7-day yield as of June 30, 2008.
15. Is or was an affiliate, as defined in the Investment Company Act of 1940,
at or during the period ended June 30, 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
DECEMBER 31, 2007 ADDITIONS REDUCTIONS JUNE 30, 2008
- ------------------------------------------------------------------------------------------------------
Oppenheimer Institutional
Money Market Fund, Cl. E 52,911,646 726,308,556 772,644,228 6,575,974
DIVIDEND
VALUE INCOME
- ------------------------------------------------------------------------------------------------------
Oppenheimer Institutional
Money Market Fund, Cl. E $ 6,575,974 $ 1,117,157
16. 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 8 of
accompanying Notes.
- --------------------------------------------------------------------------------
VALUATION INPUTS
- --------------------------------------------------------------------------------
Various data inputs are used in determining the value of each of the Fund's
investments as of the reporting period end. These data inputs are categorized in
the following hierarchy under applicable financial accounting standards:
1) Level 1 - quoted prices in active markets for identical assets or
liabilities (including securities actively traded on a securities
exchange)
2) Level 2 - inputs other than quoted prices that are observable for
the asset (such as quoted prices for similar assets and
market-corroborated inputs such as interest rates, prepayment
speeds, credit risks, etc.)
3) Level 3 - unobservable inputs (including the Manager's own judgments
about assumptions that market participants would use in pricing the
asset).
The market value of the Fund's investments was determined based on the following
inputs as of June 30, 2008:
INVESTMENTS OTHER FINANCIAL
IN SECURITIES INSTRUMENTS*
- -------------------------------------------------------------------------------------------------------
Level 1 - Quoted Prices $ 6,587,913 $ (624,737)
Level 2 - Other Significant Observable Inputs 2,777,303,697 (52,835,529)
Level 3 - Significant Unobservable Inputs 68,607,924 --
----------------------------------
TOTAL $2,852,499,534 $ (53,460,266)
==================================
* Other financial instruments include options written, currency contracts,
futures, forwards and swap contracts. Currency contracts and forwards are
reported at their unrealized appreciation/depreciation at measurement date,
which represents the change in the contract's value from trade date. Futures are
reported at their variation margin at measurement date, which represents the
amount due to/from the Fund at that date. Options and swaps are reported at
their market value at measurement date.
SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN
DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE
VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD.
F18 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
FUTURES CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------
U.S. Long Bonds Buy 1,521 9/19/08 $175,818,094 $ 1,401,613
U.S. Treasury Nts., 2 yr. Sell 1,823 9/30/08 385,023,299 (660,995)
U.S. Treasury Nts., 5 yr. Sell 1,624 9/30/08 179,540,813 471,195
U.S. Treasury Nts., 10 yr. Sell 1,493 9/19/08 170,085,359 (1,528,193)
----------------
$ (316,380)
================
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE RECEIVED VALUE
- --------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
American
International
Group, Inc. Sell $ 22,690 1.850% 9/20/08 $ -- $ 10,460
Capmark Financial
Group, Inc. Sell 3,950 1.000 6/20/12 -- (1,031,195)
Countrywide Home
Loans, Inc. Sell 5,980 0.750 9/20/08 -- (74,284)
Dillard's, Inc. Sell 3,610 1.900 12/20/08 -- (34,808)
General Mills, Inc. Sell 3,390 0.400 12/20/12 -- 383
HCP, Inc. Sell 5,350 4.600 3/20/09 -- 5,452
iStar
Financial, Inc. Sell 5,555 4.400 12/20/12 -- (459,710)
Kohl's Corp. Buy 3,685 1.180 6/20/18 -- 39,488
Kohl's Corp. Sell 3,685 1.080 6/20/13 -- (19,667)
Kohl's Corp. Sell 3,695 0.900 6/20/13 -- (48,774)
Kohl's Corp. Buy 3,695 1.040 6/20/18 -- 77,809
Lehman Brothers Sell 8,735 0.490 9/20/10 -- (446,297)
Holdings, Inc.
Merrill Lynch & Co.,
Inc. Sell 18,610 0.680 9/20/08 -- 2,698
Morgan Stanley Sell 20,305 2.150 9/20/08 -- 74,905
Six Flags, Inc. Sell 4,885 8.250 12/20/08 -- (359,170)
The Bear Stearns
Cos., Inc. Sell 485 14.000 9/20/08 -- 13,778
Toys "R" Us, Inc. Sell 4,370 1.450 9/20/08 -- (69,837)
XL Capital Ltd. Sell 8,340 3.550 9/20/09 -- --
- --------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
ArvinMeritor, Inc. Sell 6,980 1.550 9/20/08 -- (80,179)
CenturyTel, Inc. Buy 4,725 1.230 9/20/13 -- 100,104
Intelsat Ltd. Sell 4,600 3.450 9/20/08 -- 18,363
iStar Financial, Inc. Sell 1,255 4.000 12/20/12 -- (120,302)
iStar Financial, Inc. Sell 340 6.350 3/20/09 -- (1,246)
iStar Financial, Inc. Sell 2,540 12.000 3/20/09 -- 93,495
Morgan Stanley Sell 21,825 2.150 9/20/08 -- 80,512
Rite Aid Corp. Sell 2,890 7.500 3/20/09 -- 36,518
Saks, Inc. Sell 7,380 2.000 9/20/08 -- 7,520
Sprint Nextel Corp Sell 15,630 6.300 3/20/09 -- 308,333
The Bear Stearns
Cos., Inc. Sell 9,730 2.088 12/20/08 -- 4,242
The Goodyear Tire &
Rubber Co. Sell 7,205 1.550 9/20/08 -- 749
TXU Corp. Sell 1,680 5.910 12/20/12 -- (11,179)
TXU Corp. Sell 1,620 6.050 12/20/12 -- (3,144)
F19 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- -------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- -------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE RECEIVED VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
Continued
TXU Corp. Sell $ 1,685 6.000% 12/20/12 $ -- $ (6,107)
Univision Communications, Sell 585 14.600 3/20/09 -- 32,221
Inc.
Vornado Realty LP Sell 3,520 3.600 3/20/09 -- 83,256
Wachovia Corp. Sell 6,920 1.000 3/20/09 -- 460
Washington Mutual, Inc. Sell 4,280 6.500 12/20/08 -- (17,709)
Washington Mutual, Inc. Sell 14,860 6.800 6/20/09 -- (133,239)
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
ABX.HE.AA.06-2 Index Sell 2,000 0.170 5/25/46 239,981 (1,592,727)
Allied Waste North Sell 1,830 2.000 9/20/09 -- (9,640)
America, Inc.
Allied Waste North Sell 3,020 2.000 9/20/09 -- (15,909)
America, Inc.
Ambac Assurance Corp. Sell 8,370 4.550 9/20/08 -- (653,956)
Ambac Assurance Corp. Sell 6,765 4.550 9/20/08 -- (528,556)
Ambac Assurance Corp. Sell 5,075 8.450 12/20/08 -- (431,913)
CDX.NA.IG.10 Index Buy 29,575 1.550 6/20/13 656,233 (162,952)
Cemex Sell 3,635 2.000 3/20/09 -- 785
Centex Corp. Sell 1,765 1.550 9/20/09 -- (45,193)
CenturyTel, Inc. Buy 8,010 1.230 9/20/13 -- 169,700
Citgroup, Inc. Sell 850 5.000 12/20/08 -- (17,540)
Citgroup, Inc. Sell 2,040 5.000 3/20/09 234,600 (58,752)
Countrywide Home Loans, Sell 5,180 3.250 9/20/08 -- (31,852)
Inc.
Dillard's, Inc. Sell 2,055 0.750 9/20/08 -- (19,767)
Georgia-Pacific Corp. Sell 7,075 1.750 9/20/08 -- (28,618)
Intelsat Ltd. Sell 1,830 2.850 9/20/08 -- 4,529
iStar Financial, Inc. Sell 9,140 2.925 12/20/08 -- (307,269)
iStar Financial, Inc. Sell 5,320 3.000 12/20/08 -- (176,917)
iStar Financial, Inc. Sell 880 4.320 12/20/12 -- (75,131)
iStar Financial, Inc. Sell 320 4.500 12/20/12 -- (25,434)
iStar Financial, Inc. Sell 6,245 12.000 3/20/09 -- 229,872
Jones Apparel Group, Inc. Sell 3,755 2.720 6/20/13 -- (73,827)
Jones Apparel Group, Inc. Buy 3,755 2.635 6/20/18 -- 113,446
Kohl's Corp. Sell 3,725 1.180 6/20/13 -- (3,613)
Kohl's Corp. Buy 3,725 1.300 6/20/18 -- 6,891
Lehman Brothers Holdings, Sell 9,920 1.410 9/20/08 -- (117,433)
Inc.
Lehman Brothers Holdings, Sell 4,270 2.070 3/20/09 -- 4,641
Inc.
Levi Strauss & Co. Sell 3,920 1.000 9/20/08 -- 220
Levi Strauss & Co. Sell 2,965 0.900 9/20/08 -- (584)
Liz Claiborne, Inc. Sell 13,245 3.250 6/20/09 -- 8,199
MBIA, Inc. Sell 4,340 0.520 9/20/08 -- (358,454)
MBIA, Inc. Sell 4,350 0.600 9/20/08 -- (358,436)
MBIA, Inc. Sell 2,670 4.900 12/20/12 -- (1,042,082)
MBIA Insurance Corp. Sell 14,340 8.850 12/20/08 -- (2,512,067)
Merrill Lynch & Co., Inc. Sell 3,600 1.650 9/20/08 -- 9,367
Owens-Illinois, Inc. Sell 3,880 1.250 9/20/08 -- 935
Prudential Financial, Inc. Sell 10,750 2.050 6/20/09 -- (4,107)
F20 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE RECEIVED VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG: Continued
Tenet Healthcare Corp. Sell $ 6,900 1.600% 3/20/09 $ -- $ (67,275)
The Bear Stearns Cos., Inc. Sell 18,130 2.350 9/20/08 -- (17,912)
The Bear Stearns Cos., Inc. Sell 1,600 2.750 9/20/08 -- 34
Vornado Realty LP Sell 7,180 3.875 6/20/09 -- 184,793
Wachovia Corp. Sell 15,690 1.000 3/20/09 -- 1,043
Washington Mutual, Inc. Sell 1,195 4.500 12/20/08 -- (16,611)
Washington Mutual, Inc. Sell 5,895 4.500 12/20/08 -- (81,943)
XL Capital Ltd. Sell 9,440 3.550 9/20/09 -- (30,112)
- ---------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets
LP:
ABX.HE.AA.06-2 Index Sell 730 0.170 5/25/46 60,146 (580,333)
ABX.HE.AA.06-2 Index Sell 2,680 0.170 5/25/46 1,058,537 (2,130,537)
Amkor Technology, Inc. Sell 620 2.650 9/20/08 -- 613
Capmark Financial Group, Inc. Sell 4,595 0.950 6/20/12 -- (1,205,806)
Citigroup, Inc. Sell 6,105 1.250 9/20/08 -- (188,052)
Dole Food Co., Inc. Sell 7,090 3.880 9/20/08 -- (47,624)
D.R. Horton, Inc. Sell 2,490 4.210 12/20/08 -- 3,630
First Data Corp. Sell 4,365 1.150 9/20/08 -- (23,492)
First Data Corp. Sell 1,890 4.700 3/20/09 -- 38,734
General Mills, Inc. Sell 6,860 0.380 12/20/12 -- (4,871)
iStar Financial, Inc. Sell 1,445 3.950 12/20/12 -- (140,882)
K. Hovnanian Enterprises, Inc. Sell 3,185 6.750 9/20/08 -- (3,481)
Morgan Stanley Sell 4,190 1.500 9/20/08 -- 8,556
Pulte Homes, Inc. Sell 7,100 2.750 9/20/09 -- (80,145)
R.H. Donnelley Corp. Sell 7,680 9.000 3/20/09 -- 180,119
Sara Lee Corp. Buy 5,975 0.419 9/20/12 -- 12,249
Six Flags, Inc. Sell 315 10.850 12/20/08 -- (19,409)
Smurfit-Stone Container
Enterprises, Inc. Sell 7,175 1.450 9/20/08 -- 1,342
Sprint Nextel Corp. Sell 5,620 6.300 3/20/09 -- 110,866
Univision Communications, Inc. Sell 630 5.000 6/20/09 69,300 (4,813)
Univision Communications, Inc. Sell 200 5.000 6/20/09 12,000 (1,528)
Univision Communications, Inc. Sell 1,590 5.000 6/20/09 159,000 (12,147)
- ---------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
ABX.HE.AA.06-2 Index Sell 990 0.170 5/25/46 242,494 (789,380)
ABX.HE.AA.06-2 Index Sell 6,280 0.170 5/25/46 4,065,796 (5,007,382)
Ambac Assurance Corp. Sell 4,235 8.500 12/20/08 -- (359,463)
Ambac Assurance Corp. Sell 2,155 8.500 12/20/08 -- (182,914)
Ambac Assurance Corp. Sell 3,530 4.650 9/20/08 -- (274,952)
Cemex, Sociedad Anonima
Bursatil De Capital Variable Sell 7,245 1.950 3/20/09 -- (1,101)
Centex Corp. Sell 6,430 3.750 6/20/09 -- 4,887
CenturyTel, Inc. Buy 3,645 1.230 9/20/13 -- 77,223
Companhia Vale Do Rio Doce Sell 3,580 1.590 3/20/17 -- 29,646
F21 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE RECEIVED VALUE
- ---------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.: Continued
CVRD Inco Ltd. Buy $ 3,580 0.710% 3/20/17 $ -- $ (5,893)
Dillard's, Inc. Sell 2,235 3.250 9/20/09 -- 539
Dole Food Co., Inc. Sell 1,320 3.450 9/20/08 -- (10,288)
D.R. Horton, Inc. Sell 7,430 4.200 12/20/08 -- 10,461
General Mills, Inc. Sell 4,915 0.400 12/20/12 -- 555
Genworth Financial,
Inc. Sell 10,845 3.250 3/20/09 -- 14,066
Georgia-Pacific LLC Sell 800 0.800 12/20/08 -- (11,040)
Harrah's Operating
Co., Inc. Sell 2,620 2.600 12/20/08 -- (55,997)
Harrah's Operating
Co., Inc. Sell 3,625 5.000 3/20/10 181,250 (293,063)
Levi Strauss & Co. Sell 1,400 1.750 9/20/08 -- 2,737
Limited Brands, Inc. Sell 3,705 2.900 6/20/13 -- (1,415)
Limited Brands, Inc. Buy 3,705 2.930 6/20/18 -- (181,701)
Liz Claiborne, Inc. Buy 5,565 2.920 6/20/18 -- 76,396
Liz Claiborne, Inc. Sell 5,565 3.150 6/20/13 -- 9,538
Liz Claiborne, Inc. Sell 1,805 2.750 6/20/13 -- (26,173)
Liz Claiborne, Inc. Buy 1,805 2.600 6/20/18 -- 62,235
Macy's, Inc. Sell 7,430 2.610 6/20/13 -- 196,159
Macy's, Inc. Buy 7,430 2.540 6/20/18 -- (96,486)
Macy's, Inc. Sell 3,720 2.570 6/20/13 -- 91,910
Macy's, Inc. Buy 3,720 2.500 6/20/18 -- (38,108)
MBIA Insurance Corp. Sell 2,435 8.500 12/20/08 -- (430,121)
Merrill Lynch & Co.,
Inc. Sell 4,015 3.000 9/20/08 -- 24,182
Morgan Stanley Sell 18,645 0.640 9/20/08 -- (2,536)
Nortel Networks Corp. Sell 1,135 1.850 9/20/08 -- 345
Prudential Financial,
Inc. Sell 11,030 2.100 6/20/09 -- 1,180
R.H. Donnelley Corp. Sell 1,015 5.000 3/20/09 101,500 (39,089)
Rite Aid Corp. Sell 2,300 5.000 9/20/09 69,000 (53,208)
Rite Aid Corp. Sell 1,750 3.300 9/20/08 -- (27,209)
Saks, Inc. Sell 1,100 2.200 12/20/08 -- 2,746
Sprint Nextel Corp. Sell 10,560 6.300 3/20/09 -- 208,317
The Bear Stearns Cos.,
Inc. Sell 3,100 2.100 9/20/08 -- (5,019)
The Hartford Financial
Services
Group, Inc. Sell 3,580 2.350 3/20/09 -- 35,589
The Hartford Financial
Services
Group, Inc. Sell 3,720 2.350 3/20/09 -- 36,981
Toys "R" Us, Inc. Sell 1,400 3.300 9/20/08 -- (15,901)
Toys "R" Us, Inc. Sell 2,945 8.610 3/20/09 -- 81,506
Toys "R" Us, Inc. Sell 690 8.610 3/20/09 -- 19,096
Tribune Co. Sell 2,535 5.000 3/20/10 595,725 (661,561)
Tribune Co. Sell 2,390 7.350 12/20/08 -- (45,204)
Univision
Communications, Inc. Sell 860 3.000 12/20/08 -- (31,141)
Univision
Communications, Inc. Sell 7,420 3.000 12/20/08 -- (268,684)
Univision
Communications, Inc. Sell 1,470 5.000 3/20/09 124,950 (51,337)
Washington Mutual, Inc. Sell 4,290 6.800 6/20/09 -- (38,465)
Washington Mutual, Inc. Sell 2,785 4.400 12/20/08 -- (40,072)
Washington Mutual, Inc. Sell 2,640 7.500 6/20/09 -- (10,237)
F22 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE RECEIVED VALUE
- ------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc:
ABX.HE.AA.06-2 Index Sell $ 600 0.170% 5/25/46 $ 47,935 $ (478,412)
ABX.HE.AA.06-2 Index Sell 1,240 0.170 5/25/46 123,994 (988,718)
Capmark Financial Sell 2,140 5.000 6/20/12 577,800 (326,808)
Group, Inc.
Clear Channel
Communications, Inc. Sell 450 6.300 9/20/12 -- (59,114)
Countrywide Home Loans,
Inc. Sell 4,080 0.750 9/20/08 -- (50,682)
Countrywide Home Loans,
Inc. Sell 11,880 0.420 6/20/09 -- (306,243)
Dow Jones
CDX.NA.IG.HVOL.7
Index Sell 17,000 0.750 12/20/11 64,344 (1,348,681)
First Data Corp. Sell 2,675 1.350 9/20/08 -- (13,049)
Ford Motor Co. Sell 6,445 7.150 12/20/16 -- (1,418,835)
Ford Motor Co. Sell 3,065 7.050 12/20/16 -- (766,452)
Ford Motor Co. Sell 4,900 6.050 12/20/17 -- (1,186,364)
General Motors Corp. Sell 3,250 5.800 12/20/16 -- (1,096,726)
General Motors Corp. Sell 3,440 5.750 12/20/16 -- (1,165,623)
General Motors Corp. Sell 2,860 5.050 12/20/17 -- (933,427)
Harrah's Operating Co.,
Inc. Sell 5,585 2.200 9/20/08 -- (56,247)
Inco Ltd. Buy 3,660 0.700 3/20/17 -- (3,451)
Inco Ltd. Buy 3,670 0.630 3/20/17 -- 42,436
Intelsat Ltd. Sell 650 2.750 12/20/08 -- 497
iStar
Financial, Inc. Sell 1,085 4.860 12/20/12 -- (73,441)
J.C. Penney Sell 5,215 1.300 12/20/17 -- (159,334)
Co., Inc.
J.C. Penney Sell 4,665 1.070 12/20/17 -- (216,843)
Co., Inc.
Jones Apparel Group,
Inc. Sell 7,580 3.200 6/20/13 -- (2,115)
Jones Apparel Group,
Inc. Buy 7,580 2.970 6/20/18 -- 63,975
Kohl's Corp. Buy 6,995 0.660 12/20/17 -- 182,807
Kohl's Corp. Buy 7,745 0.870 12/20/17 -- 83,832
Lennar Corp. Sell 7,820 2.900 12/20/08 -- (141,511)
Liz Claiborne, Inc. Sell 7,425 3.100 6/20/13 -- (2,324)
Liz Claiborne, Inc. Buy 7,425 2.900 6/20/18 -- 111,561
Merrill Lynch & Co.,
Inc. Sell 8,030 3.250 9/20/08 -- 53,448
Merrill Lynch & Co.,
Inc. Sell 19,415 3.000 9/20/08 -- 116,937
Residential Capital LLC Sell 10,585 6.120 9/20/08 -- (187,672)
Sara Lee Corp. Buy 7,680 0.418 9/20/12 -- 16,044
Sara Lee Corp. Buy 1,510 0.390 9/20/12 -- 4,803
The Hartford Financial
Services
Group, Inc. Sell 3,575 2.400 3/20/09 -- 36,865
Toys "R" Us,
Inc. Sell 2,605 2.550 9/20/08 -- (34,469)
Univision
Communications, Inc. Sell 2,420 5.000 6/20/09 145,200 (18,487)
Vale Overseas Ltd. Sell 3,660 1.170 3/20/17 -- (147,132)
Vale Overseas Ltd. Sell 3,670 1.100 3/20/17 -- (164,805)
----------------------------
$8,829,785 $(32,847,845)
============================
F23 | OPPENHEIMER CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
RECEIVED PREMIUMS
SWAP NOTIONAL PAID BY BY THE TERMINATION (PAID)/
COUNTERPARTY AMOUNT THE FUND FUND DATE RECEIVED VALUE
- ------------------------------------------------------------------------------------------------------------------
Credit Suisse
International $ 19,780,000 Three-Month USD BBA LIBOR 5.4280% 8/7/17 $ -- $ 1,417,296
- ------------------------------------------------------------------------------------------------------------------
Deutsche
Bank AG 16,700,000 Three-Month USD BBA LIBOR 5.4450 8/8/17 (130,573) 1,218,248
-----------------------------
$ (130,573) $ 2,635,544
=============================
Abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ----------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 15
$ 24,000,000 8.5+ Index basis points 8/1/08 $ (945,588)
- ----------------------------------------------------------------------------------------------------------------------
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 CMBS AAA
70,300,000 8.5+ Index 8.5+ Index 3/1/09 (2,755,098)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 200
17,150,000 8.5+ Index basis points 3/1/09 (417,465)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 50
5,270,000 8.5+ Index basis points 12/1/08 (219,243)
- ----------------------------------------------------------------------------------------------------------------------
Lehman Brothers If negative, the
Holdings, Inc.: If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 30
58,580,000 8.5+ Index basis points 8/1/08 (2,325,447)
F24 | OPPENHEIMER CORE BOND 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 negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA
CMBS AAA Index plus 25
$ 37,600,000 Index basis points 2/1/09 $ (775,950)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 15
68,040,000 8.5+ Index basis points 8/1/08 (2,693,602)
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
10,540,000 8.5+ Index 8.5+ Index 3/1/09 (416,121)
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
1,500,000 8.5+ Index 8.5+ Index 3/1/09 (59,220)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 250
3,410,000 8.5+ Index basis points 3/1/09 (128,471)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 200
17,050,000 8.5+ Index basis points 3/1/09 (648,508)
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
18,700,000 8.5+ Index 8.5+ Index 5/1/09 (738,279)
F25 | OPPENHEIMER CORE BOND 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.:
Continued
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 20
$ 37,300,000 8.5+ Index basis points 5/1/09 $ (1,477,999)
- ----------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 150
34,250,000 8.5+ Index basis points 8/1/08 (1,244,115)
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
2,500,000 8.5+ Index 8.5+ Index 8/1/08 (97,052)
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
37,800,000 Index Index 2/1/09 (675,677)
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
71,500,000 Index Index 3/1/09 (1,248,872)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 250
19,530,000 8.5+ Index basis points 3/1/09 (316,965)
F26 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------
Morgan Stanley:
Continued
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 250
$ 31,780,000 8.5+ Index basis points 3/1/09 $ (515,778)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 350
26,480,000 8.5+ Index basis points 3/1/09 (233,179)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 50
95,450,000 8.5+ Index basis points 12/1/08 (3,721,803)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 65
24,380,000 8.5+ Index basis points 12/1/08 (968,796)
----------------
$ (22,623,228)
================
Abbreviation is as follows:
CMBS Commercial Mortgage Backed Securities
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F27 | OPPENHEIMER CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
June 30, 2008
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
ASSETS
- ----------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $2,896,030,183) $ 2,845,923,560
Affiliated companies (cost $6,575,974) 6,575,974
------------------
2,852,499,534
- ----------------------------------------------------------------------------------------
Swaps, at value (net premiums received $2,019,010) 5,687,232
- ----------------------------------------------------------------------------------------
Receivables and other assets:
Interest and dividends 17,865,678
Shares of beneficial 4,349,072
interest sold
Investments sold 1,027,747
Other 50,892
------------------
Total assets 2,881,480,155
- ----------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------
Bank overdraft 68,555
- ----------------------------------------------------------------------------------------
Return of collateral for securities loaned 21,763,265
- ----------------------------------------------------------------------------------------
Swaps, at value (premiums received $6,680,202) 58,522,761
- ----------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $423,065,384 purchased on a
when-issued or delayed delivery basis) 423,633,155
Shares of beneficial interest redeemed 2,496,819
Dividends 1,025,929
Distribution and service plan 772,761
fees
Futures margins 624,737
Transfer and shareholder servicing agent fees 291,809
Shareholder communications 103,328
Trustees' compensation 19,176
Other 46,270
------------------
Total liabilities 509,368,565
- ----------------------------------------------------------------------------------------
NET ASSETS $ 2,372,111,590
==================
- ----------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 243,034
- ----------------------------------------------------------------------------------------
Additional paid-in capital 2,466,142,252
- ----------------------------------------------------------------------------------------
Accumulated net investment income 8,279,253
- ----------------------------------------------------------------------------------------
Accumulated net realized loss on investments (7,993,629)
- ----------------------------------------------------------------------------------------
Net unrealized depreciation on investments (94,559,320)
------------------
NET ASSETS $ 2,372,111,590
==================
F28 | OPPENHEIMER CORE BOND FUND
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of $830,510,696 and
85,034,429 shares of beneficial interest outstanding) $ 9.77
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering
price) $10.26
- -------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and
offering price per share (based on net assets of $80,483,794 and 8,243,425 shares of
beneficial interest outstanding) $ 9.76
- -------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and
offering price per share (based on net assets of $185,124,142 and 18,942,249 shares of
beneficial interest outstanding) $ 9.77
- -------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and
offering price per share (based on net assets of $94,039,360 and 9,632,363 shares of
beneficial interest outstanding) $ 9.76
- -------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets of
$ 1,181,953,598 and 121,181,467 shares of beneficial interest $ 9.75
outstanding)
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F29 | OPPENHEIMER CORE BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended June 30, 2008
- ---------------------------------------------------------------
- ---------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------
Interest $ 68,909,146
- ---------------------------------------------------------------
Dividends:
Unaffiliated companies 26
Affiliated companies 1,117,157
- ---------------------------------------------------------------
Fee income 3,104,123
- ---------------------------------------------------------------
Portfolio lending fees 76,822
--------------
Total investment income 73,207,274
- ---------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------
Management fees 4,704,746
- ---------------------------------------------------------------
Distribution and service plan fees:
Class A 1,128,108
Class B 450,172
Class C 952,177
Class N 227,098
- ---------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 835,588
Class B 144,270
Class C 186,365
Class N 135,965
Class Y 298,332
- ---------------------------------------------------------------
Shareholder communications:
Class A 75,990
Class B 21,489
Class C 15,855
Class N 2,915
Class Y 554
- ---------------------------------------------------------------
Trustees' compensation 23,108
- ---------------------------------------------------------------
Custodian fees and expenses 6,453
- ---------------------------------------------------------------
Administration service fees 750
- ---------------------------------------------------------------
Other 65,624
--------------
Total expenses 9,275,559
Less reduction to custodian expenses (2,033)
Less waivers and reimbursements of expenses (135,038)
--------------
Net expenses 9,138,488
- ---------------------------------------------------------------
NET INVESTMENT INCOME 64,068,786
F30 | OPPENHEIMER CORE BOND FUND
- ---------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ---------------------------------------------------------------------------
Net realized gain (loss) on:
Investments from unaffiliated companies $ (3,170,179)
Closing and expiration of futures contracts (6,609,528)
Swap contracts 15,566,960
----------------
Net realized gain 5,787,253
- ---------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (63,261,403)
Futures contracts 1,294,363
Swap contracts (38,107,522)
----------------
Net change in unrealized depreciation (100,074,562)
- ---------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (30,218,523)
================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F31 | OPPENHEIMER CORE BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2008 DECEMBER 31,
(UNAUDITED) 2007
- ----------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
OPERATIONS
- ----------------------------------------------------------------------------------------------------
Net investment income $ 64,068,786 $ 85,447,673
- ----------------------------------------------------------------------------------------------------
Net realized gain (loss) 5,787,253 (12,524,932)
- ----------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) (100,074,562) 5,643,791
----------------------------------
Net increase (decrease) in net assets resulting from operations (30,218,523) 78,566,532
- ----------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ----------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (25,400,667) (29,656,191)
Class B (2,155,827) (3,253,244)
Class C (4,593,081) (5,234,319)
Class N (2,417,014) (2,495,333)
Class Y (29,472,992) (25,916,933)
----------------------------------
(64,039,581) (66,556,020)
- ----------------------------------------------------------------------------------------------------
Tax return of capital distribution from net investment income:
Class A -- (8,456,006)
Class B -- (1,158,167)
Class C -- (1,868,050)
Class N -- (765,637)
Class Y -- (6,699,873)
----------------------------------
-- (18,947,733)
- ----------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A (84,100,607) 287,770,231
Class B (14,942,255) (16,382,772)
Class C (844,227) 45,361,474
Class N 13,722,410 26,067,879
Class Y 395,661,393 391,767,895
----------------------------------
309,496,714 734,584,707
- ----------------------------------------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------------------------------------
Total increase 215,238,610 727,647,486
- ----------------------------------------------------------------------------------------------------
Beginning of period 2,156,872,980 1,429,225,494
----------------------------------
End of period (including accumulated net investment income of
$8,279,253 and $8,250,048, respectively) $2,372,111,590 $2,156,872,980
==================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F32 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
JUNE 30, 2008 YEAR ENDED DECEMBER 31,
CLASS A (UNAUDITED) 2007 2006 2005 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.18 $ 10.23 $ 10.24 $ 10.44 $ 10.38 $ 10.14
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .28 1 .50 1 .47 1 .42 1 .38 1 .35
Net realized and unrealized gain (loss) (.41) (.05) .01 (.18) .12 .24
--------------------------------------------------------------------------------------
Total from investment operations (.13) .45 .48 .24 .50 .59
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.28) (.39) (.49) (.44) (.44) (.35)
Tax return of capital distribution -- (.11) -- -- -- --
--------------------------------------------------------------------------------------
Total dividends and/or distributions to
shareholders (.28) (.50) (.49) (.44) (.44) (.35)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.77 $ 10.18 $ 10.23 $ 10.24 $ 10.44 $ 10.38
======================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (1.33)% 4.49% 4.84% 2.35% 4.90% 5.87%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 830,511 $ 954,825 $ 670,012 $ 488,889 $ 344,205 $ 382,966
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 915,664 $ 779,234 $ 566,159 $ 423,182 $ 353,046 $ 382,420
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.58% 4.89% 4.66% 4.12% 3.63% 3.39%
Total expenses 0.87% 4 0.88% 4 0.96% 4 1.06% 1.10% 1.10%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 0.87% 0.87% 0.90% 0.90% 0.93% 1.10%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 28% 5 89% 5 107% 5 98% 5 94% 5 111%
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. returns are not annualized for periods less than one full year.
Returns do not reflect the deduction of taxes a shareholder would pay on fund
distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 0.87%
Year Ended December 31, 2007 0.89%
Year Ended December 31, 2006 0.96%
F33 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
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 June 30, 2008 $2,313,307,772 $2,105,452,324
Year Ended December 31, 2007 $2,990,658,315 $2,928,450,309
Year Ended December 31, 2006 $2,924,444,249 $2,991,206,014
Year Ended December 31, 2005 $3,609,072,810 $3,584,424,906
Year Ended December 31, 2004 $3,447,306,025 $3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F34 | OPPENHEIMER CORE BOND FUND
SIX MONTHS
ENDED
JUNE 30, 2008 YEAR ENDED DECEMBER 31,
CLASS B (UNAUDITED) 2007 2006 2005 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.17 $ 10.23 $ 10.23 $ 10.44 $ 10.37 $ 10.13
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .24 1 .42 1 .40 1 .35 1 .30 1 .27
Net realized and unrealized gain (loss) (.41) (.06) .01 (.20) .13 .24
--------------------------------------------------------------------------------------
Total from investment operations (.17) .36 .41 .15 .43 .51
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.24) (.31) (.41) (.36) (.36) (.27)
Tax return of capital distribution -- (.11) -- -- -- --
--------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.24) (.42) (.41) (.36) (.36) (.27)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.76 $ 10.17 $ 10.23 $ 10.23 $ 10.44 $ 10.37
======================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (1.72)% 3.60% 4.17% 1.50% 4.21% 5.05%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 80,484 $ 99,282 $ 116,230 $ 125,069 $ 148,445 $ 197,774
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 90,471 $ 106,727 $ 118,240 $ 135,296 $ 167,685 $ 216,853
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.80% 4.13% 3.92% 3.37% 2.86% 2.61%
Total expenses 1.79% 4 1.79% 4 1.86% 4 1.91% 1.91% 1.87%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 1.65% 1.64% 1.65% 1.65% 1.69% 1.87%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 28% 5 89% 5 107% 5 98% 5 94% 5 111%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 1.79%
Year Ended December 31, 2007 1.80%
Year Ended December 31, 2006 1.86%
F35 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
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 June 30, 2008 $2,313,307,772 $2,105,452,324
Year Ended December 31, 2007 $2,990,658,315 $2,928,450,309
Year Ended December 31, 2006 $2,924,444,249 $2,991,206,014
Year Ended December 31, 2005 $3,609,072,810 $3,584,424,906
Year Ended December 31, 2004 $3,447,306,025 $3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F36 | OPPENHEIMER CORE BOND FUND
SIX MONTHS
ENDED
JUNE 30, 2008 YEAR ENDED DECEMBER 31,
CLASS C (UNAUDITED) 2007 2006 2005 2004 2003
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.18 $ 10.24 $ 10.24 $ 10.45 $ 10.39 $ 10.14
- --------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .24 1 .42 1 .40 1 .35 1 .30 1 .27
Net realized and unrealized gain (loss) (.41) (.06) .01 (.20) .12 .25
-------------------------------------------------------------------------------------
Total from investment operations (.17) .36 .41 .15 .42 .52
- --------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.24) (.31) (.41) (.36) (.36) (.27)
Tax return of capital distribution -- (.11) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.24) (.42) (.41) (.36) (.36) (.27)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.77 $ 10.18 $ 10.24 $ 10.24 $ 10.45 $ 10.39
=====================================================================================
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (1.70)% 3.60% 4.16% 1.49% 4.12% 5.18%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 185,124 $ 194,071 $ 149,440 $ 109,207 $ 84,696 $ 90,583
- --------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 191,472 $ 172,144 $ 126,593 $ 94,742 $ 86,020 $ 96,361
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.83% 4.12% 3.92% 3.37% 2.87% 2.64%
Total expenses 1.64% 4 1.66% 4 1.76% 4 1.86% 1.87% 1.84%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 1.64% 1.64% 1.65% 1.65% 1.68% 1.84%
- --------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 28% 5 89% 5 107% 5 98% 5 94% 5 111%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 1.64%
Year Ended December 31, 2007 1.67%
Year Ended December 31, 2006 1.76%
F37 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
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 June 30, 2008 $2,313,307,772 $2,105,452,324
Year Ended December 31, 2007 $2,990,658,315 $2,928,450,309
Year Ended December 31, 2006 $2,924,444,249 $2,991,206,014
Year Ended December 31, 2005 $3,609,072,810 $3,584,424,906
Year Ended December 31, 2004 $3,447,306,025 $3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F38 | OPPENHEIMER CORE BOND FUND
SIX MONTHS
ENDED
JUNE 30, 2008 YEAR ENDED DECEMBER 31,
CLASS N (UNAUDITED) 2007 2006 2005 2004 2003
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.17 $ 10.23 $ 10.23 $ 10.44 $ 10.37 $ 10.13
- --------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .26 1 .47 1 .45 1 .40 1 .35 1 .31
Net realized and unrealized gain (loss) (.41) (.06) .01 (.19) .13 .24
-------------------------------------------------------------------------------
Total from investment operations (.15) .41 .46 .21 .48 .55
- --------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.26) (.36) (.46) (.42) (.41) (.31)
Tax return of capital distribution -- (.11) -- -- -- --
-------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.26) (.47) (.46) (.42) (.41) (.31)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.76 $ 10.17 $ 10.23 $ 0.23 $ 10.44 10.37
===============================================================================
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (1.47)% 4.11% 4.68% 1.99% 4.71% 5.51%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 94,039 $ 84,017 $ 58,232 $35,836 $ 25,580 $17,732
- --------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 91,396 $ 70,555 $ 46,672 $30,274 $ 21,411 $15,338
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.32% 4.62% 4.42% 3.87% 3.38% 3.03%
Total expenses 1.23% 4 1.26% 4 1.35% 4 1.47% 1.51% 1.50%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 1.15% 1.14% 1.15% 1.15% 1.20% 1.44%
- --------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 28% 5 89% 5 107% 5 98% 5 94% 5 111%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day
of the fiscal period, with all dividends and distributions reinvested in
additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods less than one full year. Returns do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 1.23%
Year Ended December 31, 2007 1.27%
Year Ended December 31, 2006 1.35%
F39 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
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 June 30, 2008 $2,313,307,772 $2,105,452,324
Year Ended December 31, 2007 $2,990,658,315 $2,928,450,309
Year Ended December 31, 2006 $2,924,444,249 $2,991,206,014
Year Ended December 31, 2005 $3,609,072,810 $3,584,424,906
Year Ended December 31, 2004 $3,447,306,025 $3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F40 | OPPENHEIMER CORE BOND FUND
SIX MONTHS
ENDED
JUNE 30, 2008 YEAR ENDED DECEMBER 31,
CLASS Y (UNAUDITED) 2007 2006 2005 2004 2003
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.16 $ 10.22 $ 10.22 $ 10.43 $ 10.36 $ 10.12
- ----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .30 1 .53 1 .51 1 .45 1 .41 1 .39
Net realized and unrealized gain (loss) (.42) (.05) .01 (.19) .13 .24
---------------------------------------------------------------------------------
Total from investment operations (.12) .48 .52 .26 .54 .63
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.29) (.43) (.52) (.47) (.47) (.39)
Tax return of capital distribution -- (.11) -- -- -- --
---------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.29) (.54) (.52) (.47) (.47) (.39)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.75 $ 10.16 $ 10.22 $ 10.22 $ 10.43 $ 10.36
=================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 (1.15)% 4.80% 5.29% 2.50% 5.30% 6.35%
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 1,181,954 $824,678 $ 435,311 $171,323 $ 38,190 $ 43,215
- ----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 986,765 $617,403 $ 309,558 $ 91,172 $ 45,333 $ 38,398
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 6.01% 5.28% 5.03% 4.39% 3.92% 3.80%
Total expenses 0.48% 4 0.48% 4 0.55% 4 0.76% 0.64% 0.63%
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses 0.48% 0.47% 0.55% 0.65% 0.64% 0.63%
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 28% 5 89% 5 107% 5 98% 5 94% 5 111%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of
the fiscal period, with all dividends and distributions reinvested in additional
shares on the reinvestment date, and redemption at the net asset value
calculated on the last business day of the fiscal period. Sales charges are not
reflected in the total returns. Total returns are not annualized for periods
less than one full year. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 0.48%
Year Ended December 31, 2007 0.49%
Year Ended December 31, 2006 0.55%
F41 | OPPENHEIMER CORE BOND FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
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 June 30, 2008 $2,313,307,772 $2,105,452,324
Year Ended December 31, 2007 $2,990,658,315 $2,928,450,309
Year Ended December 31, 2006 $2,924,444,249 $2,991,206,014
Year Ended December 31, 2005 $3,609,072,810 $3,584,424,906
Year Ended December 31, 2004 $3,447,306,025 $3,473,854,068
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F42 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Core Bond Fund (the "Fund"), is a separate fund of Oppenheimer
Integrity Funds, an open-end management investment company registered under the
Investment Company Act of 1940, as amended. The Fund's investment objective is
to seek total return by investing mainly in debt instruments. The Fund's
investment 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.
Effective for fiscal periods beginning after November 15, 2007, FASB
Statement of Financial Accounting Standards No. 157, Fair Value Measurements,
establishes a hierarchy for measuring fair value of assets and liabilities. As
required by the standard, each investment asset or liability of the Fund is
assigned a level at measurement date based on the significance and source of the
inputs to its valuation. Quoted prices in active markets for identical
securities are classified as "Level 1", inputs other than quoted prices for an
asset that are observable are classified as "Level 2" and unobservable inputs,
including the Manager's judgment about the assumptions that a market participant
would use in pricing an asset or liability are classified as "Level 3". The
inputs used for valuing securities are not necessarily an indication of the
risks associated with investing in those securities. A table summarizing the
Fund's investments under these levels of classification is included following
the Statement of Investments.
Securities are valued using quoted market prices, when available, as
supplied primarily either by portfolio pricing services approved by the Board of
Trustees or dealers. These securities are typically classified within Level 1 or
2; however, they may be designated as
F43 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Level 3 if the dealer or portfolio pricing service values a security through an
internal model with significant unobservable market data inputs.
Securities traded on a registered U.S. securities exchange are valued based
on the last sale price of the security reported on the principal exchange on
which traded, prior to the time when the Fund's assets are valued. Securities
whose principal exchange is NASDAQ(R) are valued based on the official closing
prices 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 current day's closing "bid"
and "asked" prices, and if not, at the current day's closing bid price. A
foreign security traded on a foreign exchange is valued based on the last sale
price on the principal exchange on which the security is traded, as identified
by the portfolio pricing service used by the Manager, prior to the time when the
Fund's assets are valued. In the absence of a sale, the security is valued at
the most recent official closing price on the principal exchange on which it is
traded.
Shares of a registered investment company that are not traded on an
exchange are valued at that investment company's net asset value per share.
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 are valued
at the mean between the "bid" and "asked" prices.
"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. These
securities are typically designated as Level 2.
In the absence of a readily available quoted market price, including for
securities whose values have been materially affected by what the Manager
identifies as a significant event occurring before the Fund's assets are valued
but after the close of the securities' respective exchanges, the Manager, acting
through its internal valuation committee, in good faith determines the fair
valuation of that asset using consistently applied procedures under the
supervision of the Board of Trustees (which reviews those fair valuations by the
Manager). Those procedures include certain standardized methodologies to fair
value securities. Such methodologies include, but are not limited to, pricing
securities initially at cost and subsequently adjusting the value based on:
changes in company specific fundamentals, changes in an appropriate securities
index, or changes in the value of similar securities which may be adjusted for
any discounts related to resale restrictions. When possible, such methodologies
use observable market inputs such as quoted prices of similar securities,
observable interest rates, currency rates and yield curves. The methodologies
used for valuing securities are not necessarily an indication of the risks
associated with investing in those securities.
F44 | OPPENHEIMER CORE BOND FUND
Fair valued securities may be classified as "Level 3" if the valuation
primarily reflects the Manager's own assumptions about the inputs that market
participants would use in valuing such securities.
There have been no significant changes to the fair valuation methodologies
during the period.
- --------------------------------------------------------------------------------
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.
As of June 30, 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 $423,065,384
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
F45 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 June 30, 2008,
securities with an aggregate market value of $2, representing less than .01% of
the Fund's net assets, were in default.
- --------------------------------------------------------------------------------
INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted
to invest daily available cash balances in an affiliated money market fund. The
Fund may invest the available cash in Class E shares of Oppenheimer
Institutional Money Market Fund ("IMMF") 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.
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS. The Fund requires its custodian bank to take possession,
to have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the collateral is required to be
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 MARKET 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.
F46 | OPPENHEIMER CORE BOND FUND
- --------------------------------------------------------------------------------
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.
During the fiscal year ended December 31, 2007, the Fund did not utilize any
capital loss carryforward to offset capital gains realized in that fiscal year.
As of December 31, 2007, the Fund had available for federal income tax purposes
straddle losses of $260,082 and unused capital loss carryforwards as follows:
EXPIRING
----------------------------------------------------
2010 $ 2,007,359
2013 6,003,757
2014 5,185,579
2015 2,067,456
-----------
Total $15,264,151
===========
As of June 30, 2008, the Fund had available for federal income tax purposes an
estimated capital loss carryforward of $9,736,980. This estimated capital loss
carryforward represents carryforward as of the end of the last fiscal year,
increased for losses deferred under tax accounting rules to the current fiscal
year and is increased or decreased by capital losses or gains realized in the
first six months of the current fiscal year. During the six months ended June
30, 2008, it is estimated that the Fund will utilize $5,787,253 of capital loss
carryforward to offset realized capital gains.
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.
The aggregate cost of securities and other investments and the composition of
unrealized appreciation and depreciation of securities and other investments for
federal income tax purposes as of June 30, 2008 are noted in the following
table. The primary difference between book and tax appreciation or depreciation
of securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
F47 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Federal tax cost of securities $2,903,233,219
Federal tax cost of other investments (567,214,210)
--------------
Total federal tax cost $2,336,019,009
==============
Gross unrealized appreciation $ 43,030,840
Gross unrealized depreciation (138,217,222)
--------------
Net unrealized depreciation $ (95,186,382)
==============
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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
F48 | OPPENHEIMER CORE BOND FUND
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 JUNE 30, 2008 YEAR ENDED DECEMBER 31, 2007
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------------
CLASS A
Sold 17,087,636 $ 170,222,682 51,782,681 $ 526,866,898
Dividends and/or
distributions reinvested 2,108,639 20,893,265 3,101,363 31,544,029
Redeemed (27,984,359) (275,216,554) (26,558,196) (270,640,696)
--------------------------------------------------------------------
Net increase (decrease) (8,788,084) $ (84,100,607) 28,325,848 $ 287,770,231
====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS B
Sold 1,330,680 $ 13,311,545 3,194,204 $ 32,473,051
Dividends and/or
distributions reinvested 192,888 1,910,309 375,245 3,817,248
Redeemed (3,038,913) (30,164,109) (5,176,614) (52,673,071)
--------------------------------------------------------------------
Net decrease (1,515,345) $ (14,942,255) (1,607,165) $ (16,382,772)
====================================================================
- -----------------------------------------------------------------------------------------------------
CLASS C
Sold 3,377,559 $ 33,717,511 8,354,127 $ 84,954,263
Dividends and/or
distributions reinvested 367,457 3,641,778 572,829 5,830,346
Redeemed (3,859,919) (38,203,516) (4,468,801) (45,423,135)
--------------------------------------------------------------------
Net increase (decrease) (114,903) $ (844,227) 4,458,155 $ 45,361,474
====================================================================
F49 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
SIX MONTHS ENDED JUNE 30, 2008 YEAR ENDED DECEMBER 31, 2007
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------
CLASS N
Sold 2,788,626 $ 27,727,966 4,388,857 $ 44,595,612
Dividends and/or
distributions reinvested 173,353 1,715,898 239,554 2,435,640
Redeemed (1,588,313) (15,721,454) (2,064,166) (20,963,373)
---------------------------------------------------------------
Net increase 1,373,666 $ 13,722,410 2,564,245 $ 26,067,879
===============================================================
- -----------------------------------------------------------------------------------------
CLASS Y
Sold 50,038,110 $ 493,612,993 41,552,519 $ 422,555,881
Dividends and/or
distributions reinvested 2,960,270 29,283,166 3,196,427 32,455,691
Redeemed (12,959,258) (127,234,766) (6,215,861) (63,243,677)
---------------------------------------------------------------
Net increase 40,039,122 $ 395,661,393 38,533,085 $ 391,767,895
===============================================================
- -------------------------------------------------------------------------------
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
June 30, 2008, were as follows:
PURCHASES SALES
--------------------------------------------------------------------
Investment securities $ 662,956,150 $ 445,880,623
U.S. government and government
agency obligations -- 6,339,307
To Be Announced (TBA)
mortgage-related securities 2,313,307,772 2,105,452,324
- -------------------------------------------------------------------------------
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 $1 billion 0.50%
Over $1 billion 0.35
- -------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- -------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services ("OFS"), a division of the
Manager, acts as the transfer and shareholder servicing agent for the Fund. The
Fund pays OFS a per account fee. For the six months ended June 30, 2008, the
Fund paid $1,570,998 to OFS for services to the Fund.
F50 | OPPENHEIMER CORE BOND 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 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 June 30, 2008 for Class B, Class C and Class N
shares were $1,925,856, $3,134,879, $1,399,831, 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.
F51 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -------------------------------------------------------------------------------------------------
June 30, 2008 $260,976 $28,572 $98,043 $13,459 $3,316
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. Effective March 1, 2004, the Manager has
voluntarily undertaken to limit the "Total Expenses" for all classes of shares
so that "Total expenses after waivers, payments and/or reimbursements and
reduction to custodian expenses" as percentages of average daily net assets,
will not exceed the following annual rates: 0.90% for the Class A shares; 1.65%
for the Class B and Class C shares, respectively; 1.15% for the Class N shares
and 0.65% for the Class Y shares. During the six months ended June 30, 2008, the
Manager reimbursed the Fund $64,567 and $35,917 for Class B and Class N shares,
respectively. The Manager may terminate this voluntary expense limitation
arrangement at any time without notice to shareholders.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class. This
undertaking may be amended or withdrawn at any time.
The Manager will waive fees and/or reimburse Fund expenses in an amount
equal to the indirect management fees incurred through the Fund's investment in
IMMF. During the six months ended June 30, 2008, the Manager waived $34,554 for
IMMF management fees.
- -------------------------------------------------------------------------------
5. 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
F52 | OPPENHEIMER CORE BOND FUND
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.
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6. 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.
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.
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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
F53 | OPPENHEIMER CORE BOND FUND
NOTE TO FINANCIAL STATEMENTS Unaudited / Continued
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6. SWAP CONTRACTS Continued
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 (paying 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
counter-parties 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
counter-parties 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.
- --------------------------------------------------------------------------------
7. ILLIQUID SECURITIES
As of June 30, 2008, investments in securities included issues that are
illiquid. 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. The Fund will not invest more than 15% of its net assets
(determined at the time of purchase and reviewed periodically) in illiquid
securities. Securities that are illiquid are marked with an applicable footnote
on the Statement of Investments.
- --------------------------------------------------------------------------------
8. 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
F54 | OPPENHEIMER CORE BOND 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 June 30,
2008, the Fund had on loan securities valued at $20,525,747. Collateral of
$21,763,265 was received for the loans, all of which was received in cash and
subsequently invested in approved instruments.
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9. RECENT ACCOUNTING PRONOUNCEMENT
In March 2008, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards ("SFAS") No. 161, "Disclosures about
Derivative Instruments and Hedging Activities." This standard requires enhanced
disclosures about derivative and hedging activities, including qualitative
disclosures about how and why the Fund uses derivative instruments, how these
activities are accounted for, and their effect on the Fund's financial position,
financial performance and cash flows. SFAS No. 161 is effective for financial
statements issued for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. At this time, management is evaluating the
implications of SFAS No. 161 and its impact on the Fund's financial statements
and related disclosures.
F55 | OPPENHEIMER CORE BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
F56 | OPPENHEIMER CORE BOND FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF
INVESTMENTS Unaudited
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The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for
the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
15 | OPPENHEIMER CORE BOND FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In evaluating trustee nominees, the Committee
considers, among other things, an individual's background, skills, and
experience; whether the individual is
an "interested person" as defined in the Investment Company Act of 1940;
and whether the individual would be deemed an "audit committee financial
expert" within the meaning of applicable SEC rules. The Committee also
considers whether the individual's background, skills, and experience will
complement the background, skills, and experience of other nominees and
will contribute to the Board. There are no differences in the manner in
which the Committee evaluates nominees for trustees based on whether the
nominee is recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where required, to
shareholders. Recommendations for trustee nominees should, at a minimum,
be accompanied by the following:
- the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
- a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
- 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
- the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 06/30/2008, 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 Integrity Funds
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: 08/07/2008
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: 08/07/2008
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: 08/07/2008