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 811-07857
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Oppenheimer Commodity Strategy Total Return Fund
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(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: 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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Oppenheimer Management
Commodity Strategy Commentaries
Total Return Fund(R) 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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SECTOR ALLOCATION ON COMMODITY-LINKED SECURITIES
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Energy 78%
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Agriculture 13
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Industrial Metals 5
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Livestock 2
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Precious Metals 2
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2008, and are dollar-weighted based on percentages of commodity-linked
securities. Commodity-linked securities are investments whose return is based
upon the price movements (whether up or down) of a particular commodity or
basket of commodities. The Fund's allocation of its investments within each
sector of the GSCI may differ (at times, significantly) from the sector
weightings of the GSCI. The Fund is not an index fund.
PORTFOLIO ALLOCATION
[PIE CHART]
Mortgage-Backed Obligations 26.6%
Wholly-Owned Subsidiary 23.7
Hybrid Instruments 23.0
Corporate Bonds 16.4
Investment Companies 9.5
Other Bonds 0.8
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.
10 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN 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. Please note that Oppenheimer Commodity Strategy
Total Return Fund is non-diversified and invests a substantial portion of
its assets in derivative instruments that entail potentially higher
volatility and risk of loss than traditional equity or debt securities.
The Fund is not intended as a complete investment program and is intended
for investors with long-term investment goals who are willing to accept
this risk.
CLASS A shares of the Fund were first publicly offered on 3/31/97. Class A
returns include the current maximum initial sales charge of 5.75%.
CLASS B shares of the Fund were first publicly offered on 3/31/97. 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 3/31/97. Class C
returns include the contingent deferred sales charge of 1% for the 1-year
period. Class C shares are subject to an annual 0.75% asset-based sales
charge.
11 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES
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CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N
shares are offered only through retirement plans. Unless otherwise noted,
Class N returns include the contingent deferred sales charge of 1% for the
1-year period. Class N shares are subject to an annual 0.25% asset-based
sales charge.
CLASS Y shares of the Fund were first publicly offered on 3/31/97. 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 COMMODITY STRATEGY TOTAL RETURN 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), redemption
fees, or a $12.00 fee imposed annually on accounts valued at less than
$500.00 (subject to exceptions
13 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FUND EXPENSES Continued
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described in 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 $ 1,419.40 $ 6.21
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Class B 1,000.00 1,414.10 11.45
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Class C 1,000.00 1,414.20 10.91
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Class N 1,000.00 1,415.90 8.68
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Class Y 1,000.00 1,422.50 3.56
HYPOTHETICAL
(5% return before expenses)
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Class A 1,000.00 1,019.74 5.19
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Class B 1,000.00 1,015.42 9.57
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Class C 1,000.00 1,015.86 9.11
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Class N 1,000.00 1,017.70 7.25
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Class Y 1,000.00 1,021.93 2.97
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
- ----------------------------------
Class A 1.03%
- ----------------------------------
Class B 1.90
- ----------------------------------
Class C 1.81
- ----------------------------------
Class N 1.44
- ----------------------------------
Class Y 0.59
The expense ratios reflect reduction to custodian expenses and voluntary waivers
or reimbursements of expenses by the Fund's Manager and Transfer Agent that can
be terminated at any time, without advance notice. The "Financial Highlights"
tables in the Fund's financial statements, included in this report, also show
the gross expense ratios, without such waivers or reimbursements and reduction
to custodian expenses, if applicable.
14 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS June 30, 2008 / Unaudited
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SHARES VALUE
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WHOLLY-OWNED SUBSIDIARY--24.6%
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RAF Fund Ltd. 1 (Cost $109,280,539) 4,000,000 $ 543,784,651
PRINCIPAL
AMOUNT
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ASSET-BACKED SECURITIES--0.9%
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Capital One Prime Auto Receivables Trust, Automobile Asset-Backed
Certificates, Series 2005-1, Cl. A4, 2.491%, 4/15/11 2 $ 6,416,763 6,402,196
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Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-2,
Cl. 2A1B, 5.18%, 8/25/35 2 771,184 774,334
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Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 2.583%, 8/25/36 2 3,200,000 2,760,704
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NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I,
Cl. ECFD, 5.827%, 1/25/29 2,3 405,715 52,743
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Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 2.583%, 7/1/36 2 1,940,000 1,866,407
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RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-KS7, Cl. A2, 2.583%, 9/25/36 2 6,913,000 6,688,229
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Salomon Smith Barney Mutual Fund Fee Trust XIV, Asset-Backed Nts.,
Series 2000-14, Cl. 2, 8.61%, 9/30/08 3 2,946,769 89,582
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Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 2.733%, 6/25/36 2 789,139 784,763
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Total Asset-Backed Securities (Cost $23,354,170) 19,418,958
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MORTGAGE-BACKED OBLIGATIONS--27.5%
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GOVERNMENT AGENCY--16.3%
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FHLMC/FNMA/SPONSORED--16.3%
Federal Home Loan Mortgage Corp.:
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4.50%, 9/15/18-10/15/18 1,152,459 1,127,111
6%, 7/15/17 1,038,955 1,064,770
6.50%, 6/15/16-8/15/32 4,883,780 5,084,309
7%, 12/1/23 3,757,465 3,974,750
8%, 4/1/16 70,810 75,271
9%, 8/1/22-5/1/25 22,577 24,795
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2001-81, Cl. HE, 6.50%, 1/25/32 1,160,872 1,207,305
Series 2002-66, Cl. FG, 3.483%, 9/25/32 2 1,212,662 1,246,703
Series 2002-84, Cl. FB, 3.483%, 12/25/32 2 6,384,689 6,488,105
Series 2003-11, Cl. FA, 3.483%, 9/25/32 2 4,542,210 4,606,605
Series 2080, Cl. C, 6.50%, 8/15/28 2,051,468 2,143,878
Series 2080, Cl. Z, 6.50%, 8/15/28 4 1,121,218 1,177,742
Series 2116, Cl. ZA, 6%, 1/15/29 5,395,695 5,553,972
Series 2191, Cl. TZ, 7%, 10/15/29 2,310,034 2,453,376
Series 2341, Cl. FP, 3.371%, 7/15/31 2 2,595,147 2,603,236
Series 2427, Cl. ZM, 6.50%, 3/15/32 3,451,813 3,625,740
F1 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL
AMOUNT VALUE
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: Continued
Series 2436, Cl. MC, 7%, 4/15/32 $ 1,272,823 $ 1,352,835
Series 2465, Cl. PG, 6.50%, 6/15/32 5,369,675 5,617,650
Series 2754, Cl. PE, 5%, 2/15/34 2,735,000 2,561,329
Series 2844, Cl. PE, 5%, 8/15/34 6,185,000 5,802,630
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 177, Cl. IO, 15.764%, 7/1/26 5 508,518 135,645
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Federal National Mortgage Assn.:
4.50%, 5/25/19 1,954,966 1,907,558
4.50%, 7/1/22 6 35,379,000 34,195,997
5%, 12/25/17-3/1/34 38,834,831 38,336,176
5%, 3/1/18-12/1/33 4 40,527,004 39,663,131
5%, 7/1/22 6 29,230,000 28,905,722
5.50%, 11/25/17-9/1/36 22,693,862 22,662,494
5.50%, 3/25/21-8/25/33 4 8,887,740 8,830,938
5.50%, 7/1/22-7/1/37 6 15,390,000 15,211,161
6%, 7/25/21-11/1/33 37,007,134 37,777,625
6%, 6/25/21-4/25/33 4 7,632,318 7,764,760
6%, 7/1/22 6 14,780,000 15,151,806
6.50%, 5/25/17-6/25/31 10,637,354 11,092,855
6.50%, 5/25/33 4 474,786 493,249
7%, 11/1/17-4/25/33 14,438,665 15,264,510
8.50%, 7/1/32 11,711 12,901
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Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 3,109,166 3,234,693
Trust 1999-64, Cl. TH, 7.50%, 12/25/29 5,871,623 6,259,610
Trust 2002-9, Cl. PC, 6%, 3/25/17 3,629,930 3,775,987
Trust 2003-84, Cl. PW, 3%, 6/25/22 46,426 46,324
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 149,563 158,901
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 4 6,812,434 6,934,673
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Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2005-87, Cl. SE, 99.999%, 10/25/35 5 10,413,576 693,130
Trust 2006-42, Cl. CI, 33.62%, 6/25/36 5 14,633,470 1,371,668
Trust 2006-51, Cl. SA, 29.206%, 6/25/36 5 19,100,607 1,792,359
Trust 294, Cl. 2, 14.985%, 2/1/28 5 408,631 114,903
Trust 321, Cl. 2, 13.321%, 4/1/32 5 1,861,423 479,080
Trust 331, Cl. 5, 9.175%, 2/1/33 5 4,344,557 973,778
Trust 342, Cl. 2, 13.141%, 9/1/33 5 1,497,968 402,949
----------------
361,436,695
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GNMA/GUARANTEED--0.0%
Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 39,988 43,663
F2 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
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NON-AGENCY--11.2%
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COMMERCIAL--6.1%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2006-5, Cl. A2, 5.348%, 10/10/11 $ 5,325,000 $ 5,254,117
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Banc of America Funding Corp., Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,112,414 1,115,057
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Bear Stearns ARM Trust 2005-12, Mtg. Pass-Through Certificates,
Series 2005-12, Cl. 12A1, 5.348%, 2/1/36 2 5,443,371 5,164,557
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Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg.
Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 410,570 400,386
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ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1B, 2.493%, 8/25/08 2 1,424,956 1,390,123
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CHL Mortgage Pass-Through Trust 2003-J5, Mtg. Pass-Through Certificates,
Series 2003-J5,. Cl. 2A1, 5%, 7/1/08 8,546,360 8,267,147
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Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3,700,000 3,603,625
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 4,460,000 4,131,751
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Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through
Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,157,248 1,146,858
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 541,562 532,893
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 3,595,484 3,541,144
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GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 370,852 368,117
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,300,000 1,297,603
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Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 5,580,000 5,463,873
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Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg.
Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 4,520,000 4,282,135
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GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2006-GG8, Cl. A2, 5.479%, 11/1/39 10,756,000 10,676,863
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JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2007-LD11, Cl. A2, 5.992%, 6/15/49 2 4,635,000 4,598,472
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 3,060,000 3,024,504
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 4,000,000 3,897,618
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LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg.
Pass-Through Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 10,400,000 10,381,074
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LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg.
Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 5,830,000 5,780,727
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Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9,
Commercial Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4,
5.70%, 9/1/17 17,040,000 16,101,551
F3 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL
AMOUNT VALUE
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COMMERCIAL Continued
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 $ 266,571 $ 267,832
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Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 4,771,122 4,723,064
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STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates,
Series 2007-1, Cl. 2A1, 5.829%, 2/1/37 2 14,991,597 13,772,873
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Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg.
Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 3,683,000 3,624,835
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WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.882%, 8/1/46 2 11,439,414 11,081,513
----------------
133,890,312
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MULTIFAMILY--0.7%
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates,
Series 2003-E, Cl. 2A2, 4.606%, 6/25/33 2 2,682,881 2,676,790
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Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates,
Series 2006-4, Cl. 2A1, 5.794%, 10/25/36 2 1,930,243 1,714,230
- --------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through Certificates,
Series 2003-46, Cl. 1A2, 4.13%, 1/19/34 2 4,941,359 4,902,292
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Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 1 A3A, 5.89%, 7/25/36 2 4,117,536 3,998,569
- --------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR10, Cl. 2A1, 5.646%, 7/25/36 2 2,076,779 2,011,345
----------------
15,303,226
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RESIDENTIAL--4.4%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2007-4, Cl. A4, 5.936%, 7/1/17 2 17,550,000 16,747,956
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CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 5,426,612 4,779,548
- --------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates,
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,674,213 1,612,670
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GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 4A1, 5.347%, 11/25/35 2 15,497,519 14,661,394
- --------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg.
Pass-Through Certificates, Series 2007-C7, Cl. A3, 5.866%, 9/11/45 17,550,000 16,779,938
- --------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through
Certificates, Series 2006-3, Cl. 2A1, 6.073%, 10/25/36 2 13,943,531 13,495,602
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Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through
Certificates, Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 2 1,660,000 1,563,889
F4 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 $ 2,514,217 $ 2,499,089
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WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg.
Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.046%, 9/25/33 2 1,880,501 1,800,326
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Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR10, Cl. 5A6, 5.595%, 7/1/36 2 12,003,195 11,567,882
- --------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR13, Cl. A2, 5.752%, 9/1/36 2 13,292,391 12,911,272
----------------
98,419,566
----------------
Total Mortgage-Backed Obligations (Cost $609,705,705) 609,093,462
- --------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--16.9%
- --------------------------------------------------------------------------------------------------------------
Allstate Life Global Funding Trust, 5.375% Nts., 4/30/13 2,775,000 2,768,187
- --------------------------------------------------------------------------------------------------------------
America Movil SAB de CV, 4.125% Unsec. Unsub. Nts., 3/1/09 2,520,000 2,536,939
- --------------------------------------------------------------------------------------------------------------
American General Finance Corp.:
5.20% Nts., Series J, 12/15/11 4,950,000 4,689,472
5.625% Nts., Series J, 8/17/11 2,695,000 2,636,349
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Amgen, Inc., 4% Sr. Unsec. Nts., 11/18/09 6,330,000 6,339,609
- --------------------------------------------------------------------------------------------------------------
AT&T Wireless Services, Inc., 7.875% Sr. Unsec. Nts., 3/1/11 2,587,000 2,756,645
- --------------------------------------------------------------------------------------------------------------
BAE Systems Holdings, Inc., 4.75% Nts., 8/15/10 7 8,030,000 8,132,021
- --------------------------------------------------------------------------------------------------------------
Banco Popular North America, Inc., 5.65% Sr. Unsec. Nts., 4/15/09 4,420,000 4,378,054
- --------------------------------------------------------------------------------------------------------------
Banco Santander Central Hispano Issuances Ltd., 7.625% Sub. Nts., 11/3/09 1,190,000 1,220,701
- --------------------------------------------------------------------------------------------------------------
Bank of America Corp., 4.90% Sr. Unsec. Nts., 5/1/13 7,230,000 6,987,694
- --------------------------------------------------------------------------------------------------------------
Bank United, 8% Unsec. Sub. Nts., Series A, 3/15/09 3 6,938,000 6,748,502
- --------------------------------------------------------------------------------------------------------------
Bear Stearns Co., 4.55% Nts., Series B, 6/23/10 8,065,000 8,002,319
- --------------------------------------------------------------------------------------------------------------
British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 2,250,000 2,323,017
- --------------------------------------------------------------------------------------------------------------
British Telecommunications plc, 8.625% Nts., 12/15/10 5,630,000 6,049,621
- --------------------------------------------------------------------------------------------------------------
Capmark Financial Group, Inc., 5.875% Sr. Unsec. Nts., 5/10/12 4,920,000 3,474,474
- --------------------------------------------------------------------------------------------------------------
CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 7,135,000 7,365,332
- --------------------------------------------------------------------------------------------------------------
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 3 1,955,000 1,867,025
- --------------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 3,885,000 3,943,158
- --------------------------------------------------------------------------------------------------------------
CIGNA Corp., 7% Sr. Unsec. Nts., 1/15/11 2,705,000 2,785,130
- --------------------------------------------------------------------------------------------------------------
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,955,000 2,473,143
- --------------------------------------------------------------------------------------------------------------
Citigroup, Inc.:
5.50% Sr. Unsec. Nts., 4/11/13 9,200,000 8,991,988
6% Nts., 2/21/12 4 490,000 494,518
- --------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 3,870,000 3,281,772
- --------------------------------------------------------------------------------------------------------------
CNA Financial Corp., 6.60% Sr. Unsec. Unsub. Nts., 12/15/08 7,120,000 7,174,126
F5 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- -----------------------------------------------------------------------------------------------------------
Comcast Cable Communications LLC, 6.875% Sr. Unsec. Unsub. Nts., 6/15/09 $ 2,380,000 $ 2,444,957
- -----------------------------------------------------------------------------------------------------------
Comcast Corp., 5.85% Sr. Unsec. Unsub. Nts., 1/15/10 6,305,000 6,404,688
- -----------------------------------------------------------------------------------------------------------
CVS Corp., 4% Sr. Unsec. Nts., 9/15/09 1,590,000 1,581,905
- -----------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 1,970,000 1,974,925
- -----------------------------------------------------------------------------------------------------------
DaimlerChrysler North America Holding Corp.:
7.30% Nts., 1/15/12 3,265,000 3,458,931
3.138% Nts., Series E, 3/13/09 2 1,775,000 1,769,908
- -----------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2 2,399,000 2,539,382
- -----------------------------------------------------------------------------------------------------------
DTE Energy Co., 6.65% Sr. Unsec. Unsub. Nts., Series A, 4/15/09 6,750,000 6,850,116
- -----------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 4.625% Sr. Unsec. Nts.,
Series B, 10/15/09 6,985,000 6,962,648
- -----------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,935,000 1,937,291
- -----------------------------------------------------------------------------------------------------------
FirstEnergy Corp., 6.45% Unsec. Unsub. Nts., Series B, 11/15/11 7,790,000 8,001,958
- -----------------------------------------------------------------------------------------------------------
Fiserv, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/20/12 6,260,000 6,299,995
- -----------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 4.80% Sr. Unsec. Nts., 5/1/13 4,270,000 4,189,408
- -----------------------------------------------------------------------------------------------------------
Genworth Financial, Inc., 5.231% Sr. Nts., 5/16/09 9,860,000 9,910,148
- -----------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 6.875% Bonds, 1/15/11 4,550,000 4,727,109
- -----------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. (The), 5.55%, Sr. Unsec. Nts.,
8/16/08 2,850,000 2,855,176
- -----------------------------------------------------------------------------------------------------------
Home Depot, Inc. (The), 3.75% Sr. Unsec. Nts., 9/15/09 3,185,000 3,115,682
- -----------------------------------------------------------------------------------------------------------
Hutchison Whampoa Ltd., 5.45% Sr. Unsec. Unsub. Nts., 11/24/10 7 6,825,000 6,885,852
- -----------------------------------------------------------------------------------------------------------
International Paper Co., 4.25% Sr. Unsec. Nts., 1/15/09 3,185,000 3,174,986
- -----------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc., 7.375% Unsec. Nts., 8/15/08 4,945,000 4,958,450
- -----------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP:
5.875% Sr. Unsec. Nts., 6/1/13 3,580,000 3,452,799
7.75% Sr. Unsec. Nts., 2/15/12 470,000 503,317
- -----------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.50% Sr. Unsec. Nts., 11/1/10 5,225,000 5,496,538
- -----------------------------------------------------------------------------------------------------------
Kroger Co. (The), 7.25% Sr. Unsec. Nts., 6/1/09 2,490,000 2,556,921
- -----------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc.:
3.60% Sr. Unsec. Nts., 3/13/09 3,530,000 3,473,555
3.95% Sr. Unsec. Nts., Series G, 11/10/09 4,330,000 4,190,778
4.25% Nts., Series G, 1/27/10 5,200,000 5,065,793
6.625% Nts., 1/18/12 2,560,000 2,535,647
2.998% Sr. Unsec. Nts., Series H, 10/22/08 2 4,330,000 4,313,996
- -----------------------------------------------------------------------------------------------------------
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 243,000 236,925
- -----------------------------------------------------------------------------------------------------------
Mack-Cali Realty LP, 7.25% Unsec. Nts., 3/15/09 7,544,000 7,628,976
- -----------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc., 7.125% Sr. Unsec. Nts., 6/15/09 1,260,000 1,272,959
- -----------------------------------------------------------------------------------------------------------
Metropolitan Life Global Funding I, 5.125% Sr. Sec. Nts., 4/10/13 7 6,825,000 6,730,324
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley, 6.60% Nts., 4/1/12 9,550,000 9,720,850
- -----------------------------------------------------------------------------------------------------------
National Fuel Gas Co., 6% Nts., Series D, 3/1/09 6,620,000 6,667,326
- -----------------------------------------------------------------------------------------------------------
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 2,410,000 2,444,109
- -----------------------------------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 7.75% Sr. Unsec. Nts., Series G, 10/1/08 9,527,000 9,608,408
F6 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES Continued
- -----------------------------------------------------------------------------------------------------------
NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 $ 6,040,000 $ 6,268,270
- -----------------------------------------------------------------------------------------------------------
Panhandle Eastern Pipe Line Co. LLC, 4.80% Sr. Unsec. Nts., 8/15/08 8,845,000 8,843,187
- -----------------------------------------------------------------------------------------------------------
Pearson Dollar Finance Two plc, 5.50% Nts., 5/6/13 7 2,785,000 2,761,486
- -----------------------------------------------------------------------------------------------------------
PPL Electric Utilities Corp., 6.25% Sr. Sec. Bonds 8/15/09 290,000 296,444
- -----------------------------------------------------------------------------------------------------------
Pricoa Global Funding I, 3.90% Nts., 12/15/08 7 1,140,000 1,134,796
- -----------------------------------------------------------------------------------------------------------
Public Service Co. of New Mexico, 4.40% Sr. Unsec. Nts., 9/15/08 1,235,000 1,230,811
- -----------------------------------------------------------------------------------------------------------
Regions Financial Corp., 4.50% Bonds, 8/8/08 1,385,000 1,386,752
- -----------------------------------------------------------------------------------------------------------
Rio Tinto Finance USA Ltd., 2.625% Unsec. Nts., 9/30/08 2,945,000 2,936,489
- -----------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 293,000 324,618
- -----------------------------------------------------------------------------------------------------------
Safeway, Inc., 7.50% Sr. Unsec. Nts., 9/15/09 8,600,000 8,884,299
- -----------------------------------------------------------------------------------------------------------
Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 6,220,000 6,560,517
- -----------------------------------------------------------------------------------------------------------
Simon Property Group LP, 4.60% Sr. Unsec. Unsub. Nts., 6/15/10 6,470,000 6,368,932
- -----------------------------------------------------------------------------------------------------------
Telecom Italia Capital SpA:
4% Sr. Unsec. Nts., 11/15/08 1,200,000 1,199,964
4% Unsec. Unsub. Nts., 1/15/10 6,150,000 6,070,253
- -----------------------------------------------------------------------------------------------------------
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 730,000 769,897
- -----------------------------------------------------------------------------------------------------------
Telefonos de Mexico SAB de CV, 4.75% Sr. Unsec. Unsub. Nts., 1/27/10 9,880,000 9,948,883
- -----------------------------------------------------------------------------------------------------------
TEPPCO Partners LP, 6.125% Nts., 2/1/13 2,280,000 2,263,755
- -----------------------------------------------------------------------------------------------------------
Time Warner Cable, Inc., 5.40% Sr. Unsec. Nts., 7/2/12 6,295,000 6,239,377
- -----------------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 1,140,000 1,114,654
- -----------------------------------------------------------------------------------------------------------
Vodafone Group plc, 7.75% Unsec. Unsub. Nts., 2/15/10 7,330,000 7,663,449
- -----------------------------------------------------------------------------------------------------------
Vornado Realty LP, 4.50% Unsec. Unsub. Nts., 8/15/09 4,825,000 4,679,415
- -----------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 5,315,000 5,481,524
- -----------------------------------------------------------------------------------------------------------
Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 8,925,000 9,188,734
--------------
Total Corporate Bonds and Notes (Cost $379,008,568) 374,979,038
- -----------------------------------------------------------------------------------------------------------
HYBRID INSTRUMENTS--23.9%
- -----------------------------------------------------------------------------------------------------------
COMMODITY-LINKED SECURITIES--20.7%
AIG International, Inc.:
Goldman Sachs Commodity Index Excess Return Linked Nts., 2.85%,
5/19/09 7,8 26,000,000 36,523,029
Goldman Sachs Commodity Index Excess Return Linked Nts., 3.374%,
1/26/09 7,8 29,000,000 66,224,270
- -----------------------------------------------------------------------------------------------------------
Cargill, Inc.:
Goldman Sachs Commodity Index Total Return Linked Nts., 2.499%,
4/8/09 8 60,000,000 107,701,032
Goldman Sachs Commodity Index Total Return Linked Nts., 2.831%,
2/9/09 8 42,500,000 98,139,313
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc., Goldman Sachs Commodity Index
Total Return Linked Nts., 2.349%, 3/10/09 2,7,8 80,000,000 148,469,976
--------------
457,057,620
F7 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES--3.2%
Goldman Sachs Group, Inc. (The):
AB Svensk Exportkredit Linked Nts., 2.538%, 1/13/09 2 $ 12,000,000 $ 18,152,400
AB Svensk Exportkredit Linked Nts., 2.436%, 6/23/09 2 40,000,000 52,500,000
-----------------
70,652,400
-----------------
Total Hybrid Instruments (Cost $289,500,000) 527,710,020
SHARES
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANY--9.8%
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 2.69% 9,10
(Cost $216,804,614) 216,804,614 216,804,614
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $1,627,653,596) 103.6% 2,291,790,743
- --------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (3.6) (79,618,665)
--------------------------------
NET ASSETS 100.0% $ 2,212,172,078
================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Non-income producing security.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Illiquid security. The aggregate value of illiquid securities as of June 30,
2008 was $8,757,852, which represents 0.40% of the Fund's net assets. See Note 8
of accompanying Notes.
4. 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 $35,500,438. See Note 5 of accompanying Notes.
5. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $5,963,512 or 0.27% of the Fund's net assets
as of June 30, 2008.
6. When-issued security or delayed delivery to be delivered and settled after
June 30, 2008. See Note 1 of accompanying Notes.
7. 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 $276,861,754 or 12.52% of the Fund's net
assets as of June 30, 2008.
8. Security is linked to the Goldman Sachs Commodity Index, the Goldman Sachs
Commodity Excess Return Index or the Goldman Sachs Commodity Index Total Return
Index. The indexes currently contain twenty-four commodities from the sectors of
energy, metals, livestock and agricultural products. Individual components in
the index are weighted by their respective world production values.
9. Rate shown is the 7-day yield as of June 30, 2008.
F8 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
10. 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 24,854,186 726,115,597 534,165,169 216,804,614
DIVIDEND
VALUE INCOME
- ----------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money
Market Fund, Cl. E $216,804,614 $ 1,202,736
- --------------------------------------------------------------------------------
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 IN OTHER FINANCIAL
SECURITIES INSTRUMENTS*
-------------------------------------------------------------------------------------------
Level 1--Quoted Prices $ 760,589,262 $ (716,085)
Level 2--Other Significant Observable Inputs 1,531,201,481 (7,098,665)
Level 3--Significant Unobservable Inputs -- --
-----------------------------------
Total $2,291,790,743 $ (7,814,750)
===================================
*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.
- --------------------------------------------------------------------------------
FUTURE 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 Sell 240 9/19/08 $ 27,742,500 $ (409,370)
U.S. Treasury Nts., 2 yr. Sell 1,588 9/30/08 335,390,564 (641,789)
U.S. Treasury Nts., 5 yr. Sell 2,627 9/30/08 290,427,165 784,381
U.S. Treasury Nts., 10 yr. Sell 2,678 9/19/08 305,082,781 (1,285,111)
----------------
$ (1,551,889)
================
F9 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF INVESTMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
PAY/
BUY/SELL NOTIONAL RECEIVE PREMIUM
SWAP CREDIT AMOUNT FIXED TERMINATION (PAID)/
COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) RATE DATE RECEIVED VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets ABX.HE.AAA.06-2
LP Index Sell $ 9,030 0.11% 5/25/46 $ 998,778 $ (2,754,012)
- -----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, ABX.HE.AAA.06-2
Inc. Index Sell 2,850 0.11 5/25/46 883,352 (881,235)
- -----------------------------------------------------------------------------------------------------------------------------------
ABX.HE.AAA.06-2
UBS AG Index Sell 3,150 0.11 5/25/46 984,211 (973,998)
----------------------------
$ 2,866,341 $ (4,609,245)
============================
- --------------------------------------------------------------------------------
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 DATES VALUE
- -----------------------------------------------------------------------------------------------------
Lehman Brothers
Holdings, Inc.:
If positive, the If negative, the
Total Return of the Total Return of the
Lehman Brothers Lehman Brothers
U.S. CMBS AAA U.S. CMBS AAA
$ 8,890,000 8.5+ Index 8.5+ Index 3/1/09 $ (350,978)
If negative, the
If positive, the Total Return of the
Total Return of the Lehman Brothers
Lehman Brothers U.S. CMBS AAA
U.S. CMBS AAA 8.5+ Index plus
15,940,000 8.5+ Index 250 basis points 3/1/09 (600,534)
If positive, the If negative, the
Total Return of the Total Return of the
Lehman Brothers Lehman Brothers
U.S. CMBS AAA U.S. CMBS AAA
5,500,000 8.5+ Index 8.5+ Index 5/1/09 (217,141)
If negative, the
If positive, the Total Return of the
Total Return of the Lehman Brothers
Lehman Brothers U.S. CMBS AAA
U.S. CMBS AAA 8.5+ Index minus
11,000,000 8.5+ Index 20 basis points 5/1/09 (435,871)
- ------------------------------------------------------------------------------------------------------
Morgan Stanley:
If negative, the
If positive, the Total Return of the
Total Return of the Lehman Brothers
Lehman Brothers U.S. CMBS AAA
U.S. CMBS AAA 8.5+ Index minus
1,200,000 8.5+ Index 30 basis points 8/1/08 (47,184)
F10 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE
- --------------------------------------------------------------------------------------------------------
Morgan Stanley:
Continued
If positive, the If negative, the
Total Return of the Total Return of the
Lehman Brothers Lehman Brothers
U.S. CMBS AAA U.S. CMBS AAA
$ 4,000,000 8.5+ Index 8.5+ Index 8/1/08 $ (155,283)
- --------------------------------------------------------------------------------------------------------
If negative, the
If positive, the Total Return of the
Total Return of the Lehman Brothers
Lehman Brothers U.S. CMBS AAA
U.S. CMBS AAA 8.5+ Index minus
Citibank NA 17,300,000 8.5+ Index 15 basis points 8/1/08 (682,429)
--------------
$ (2,489,420)
==============
Abbreviation is as follows:
CMBS Commercial Mortgage-Backed Securities
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F11 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF ASSETS AND LIABILITES Unaudited
- --------------------------------------------------------------------------------
JUNE 30, 2008
- -------------------------------------------------------------------------------------------
ASSETS
- -------------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $1,301,568,443) $ 1,531,201,478
Affiliated companies (cost $216,804,614) 216,804,614
Wholly-owned subsidary (cost $109,280,539) 543,784,651
-----------------
2,291,790,743
- -------------------------------------------------------------------------------------------
Cash 945,432
- -------------------------------------------------------------------------------------------
Receivables and other assets:
Shares of beneficial interest sold 21,819,311
Interest and principal paydowns 10,099,681
Investments sold (including $7,850,353 sold on a when-issued or
delayed delivery basis) 7,851,149
Other 27,423
-----------------
Total assets 2,332,533,739
- -------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------
Swaps, at value (premiums received $2,866,341) 7,098,665
- -------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased on a when-issued or delayed delivery basis 100,515,618
Shares of beneficial interest redeemed 10,543,796
Distribution and service plan fees 842,105
Futures margins 716,085
Transfer and shareholder servicing agent fees 234,162
Shareholder communications 173,412
Trustees' compensation 20,918
Other 216,900
-----------------
Total liabilities 120,361,661
- -------------------------------------------------------------------------------------------
NET ASSETS $ 2,212,172,078
=================
- -------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 207,914
- -------------------------------------------------------------------------------------------
Additional paid-in capital 1,720,495,563
- -------------------------------------------------------------------------------------------
Accumulated net investment loss (118,288,521)
- -------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (48,595,812)
- -------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 658,352,934
-----------------
NET ASSETS $ 2,212,172,078
=================
F12 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net
assets of $1,157,154,209 and 108,502,806 shares of beneficial interest
outstanding) Maximum offering price per share (net asset value plus sales $ 10.66
charge of 5.75% of offering price) $ 11.31
- -------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $115,203,275 and
11,021,159 shares of beneficial interest outstanding) $ 10.45
- -------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $259,498,021 and
24,994,627 shares of beneficial interest outstanding) $ 10.38
- -------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $37,883,185 and
3,600,503 shares of beneficial interest outstanding) $ 10.52
- -------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share
(based on net assets of $ 642,433,388 and 59,794,975 shares of
beneficial interest outstanding) $ 10.74
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F13 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended June 30, 2008
- ----------------------------------------------------------------------------------
INVESTMENT INCOME
- ----------------------------------------------------------------------------------
Interest $ 27,083,611
- ----------------------------------------------------------------------------------
Dividends from affiliated companies 1,202,736
----------------
Total investment income 28,286,347
- ----------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------
Management fees 7,237,195
- ----------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 1,130,099
Class B 451,373
Class C 1,011,541
Class N 70,813
- ----------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 893,373
Class B 129,829
Class C 231,247
Class N 50,325
Class Y 33,487
- ----------------------------------------------------------------------------------
Shareholder communications:
Class A 65,412
Class B 19,903
Class C 17,393
Class N 3,671
Class Y 1,909
- ----------------------------------------------------------------------------------
Trustees' compensation 12,664
- ----------------------------------------------------------------------------------
Custodian fees and expenses 3,128
- ----------------------------------------------------------------------------------
Administration service fees 750
- ----------------------------------------------------------------------------------
Other 37,063
----------------
Total expenses 11,401,175
Less reduction to custodian expenses (2,879)
Less waivers and reimbursements of expenses (2,184,047)
----------------
Net expenses 9,214,249
- ----------------------------------------------------------------------------------
NET INVESTMENT INCOME 19,072,098
F14 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- ----------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ----------------------------------------------------------------------------------
Net realized gain (loss) on:
- ----------------------------------------------------------------------------------
Investments from unaffiliated companies $ 301,269,846
Closing and expiration of futures contracts 31,988,586
Swap contracts (3,494,144)
---------------
Net realized gain 329,764,288
- ----------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 306,367,505
Futures contracts (2,008,817)
Swap contracts (6,076,859)
---------------
Net change in unrealized appreciation 298,281,829
- ----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 647,118,215
===============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F15 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30,2008 DECEMBER 31,
(UNAUDITED) 2007
- --------------------------------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------------------------------
Net investment income $ 19,072,098 $ 33,943,422
- --------------------------------------------------------------------------------------------------------------
Net realized gain (loss) 329,764,288 (227,086,897)
- --------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation 298,281,829 555,468,004
---------------------------------
Net increase in net assets resulting from operations 647,118,215 362,324,529
- --------------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A -- (95,405,939)
Class B -- (8,607,125)
Class C -- (19,379,159)
Class N -- (2,628,151)
Class Y -- (53,966,924)
---------------------------------
-- (179,987,298)
- --------------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from beneficial interest
transactions:
Class A 17,730,489 (23,795,443)
Class B 5,087,079 (17,962,931)
Class C 14,031,396 (19,054,716)
Class N 4,462,312 777,794
Class Y 4,370,972 127,785,636
---------------------------------
45,682,248 67,750,340
- --------------------------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------------------------
Total increase 692,800,463 250,087,571
---------------------------------
Beginning of period 1,519,371,615 1,269,284,044
---------------------------------
End of period (including accumulated net investment loss
of $118,288,521 and $137,360,619, respectively) $ 2,212,172,07 $ 1,519,371,615
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F16 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30,2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS A (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 7.51 $ 6.52 $ 7.82 $ 9.59 $ 9.13 $ 7.51 $ 6.15
- -------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .09 2 .18 2 .07 2 .24 2 .11 2 .01 .03
Net realized and
unrealized gain (loss) 3.06 1.80 (1.14) (1.17) 2.84 1.85 1.38
-----------------------------------------------------------------------------------
Total from investment
operations 3.15 1.98 (1.07) (.93) 2.95 1.86 1.41
- -------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to shareholders:
Dividends from net
investment income -- (.99) (.23) (.08) (.07) -- 3 (.05)
Distributions from net
realized gain -- -- -- (.76) (2.42) (.24) --
-----------------------------------------------------------------------------------
Total dividends and/or
distributions to
shareholders -- (.99) (.23) (.84) (2.49) (.24) (.05)
- -------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.66 $ 7.51 $ 6.52 $ 7.82 $ 9.59 $ 9.13 $ 7.51
===================================================================================
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN,
AT NET ASSET VALUE 4 41.94% 30.23 (13.79)% (9.98)% 44.66% 25.44% 23.08%
- -------------------------------------------------------------------------------------------------------------
F17 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS A Continued (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 1,157,154 $ 805,066 $ 729,959 $ 1,017,895 $1,246,436 $ 638,254 $ 238,828
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 930,442 $ 729,503 $ 835,927 $ 1,140,904 $ 844,342 $ 413,618 $ 193,837
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 5
Net investment income 2.14% 2.58% 3.10% 2.95% 1.34% 0.22% 0.46%
Total expenses 1.27% 6,7 1.37% 6,7 1.47% 6,7 1.30% 6 1.32% 1.40% 1.49%
Expenses after payments,
waivers and/or reimbursements
and reduction to
custodian expenses 1.03% 1.13% 1.23% 1.29% 1.32% 1.40% 1.49%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 31% 8 52% 8 32% 8 89% 8,9 94% 8 87% 61%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Less than $0.005 per share.
4. 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.
5. Annualized for periods less than one full year.
6. Total expenses including all expenses of the wholly-owned subsidiary were
as follows:
Six Months Ended June 30, 2008 1.51%
Year Ended December 31, 2007 1.61%
Four Months Ended December 31, 2006 1.71%
Year Ended August 31, 2006 1.31%
7. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 1.27%
Year Ended December 31, 2007 1.37%
Four Months Ended December 31, 2006 1.47%
8. The portfolio turnover rate excludes purchase and sale transactions of To Be
Announced (TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- ----------------------------------------------------------------------------------
Six Months Ended June 30, 2008 $ 373,076,235 $ 296,181,810
Year Ended December 31, 2007 $ 680,590,562 $ 787,318,530
Four Months Ended December 31, 2006 $ 642,777,532 $ 686,348,366
Year Ended August 31, 2006 $ 4,236,251,723 $ 4,418,930,664
Year Ended August 31, 2005 $ 4,827,248,691 $ 4,809,916,669
9. The portfolio turnover rate including the transfer of securities to RAF Ltd.
would have been 119%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F18 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
SIX MONTHS
ENDED YEAR ENDED
JUNE 30,2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS B (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 7.39 $ 6.43 $ 7.67 $ 9.46 $ 9.05 $ 7.51 $ 6.16
- ------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .05 2 .12 2 .05 2 .17 2 .04 2 (.05) (.04)
(loss)
Net realized and
unrealized gain (loss) 3.01 1.75 (1.12) (1.15) 2.80 1.83 1.40
---------------------------------------------------------------------------------
Total from investment
operations 3.06 1.87 (1.07) (.98) 2.84 1.78 1.36
- ------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to
shareholders:
Dividends from net
investment income -- (.91) (.17) (.05) (.01) -- (.01)
Distributions from net
realized gain -- -- -- (.76) (2.42) (.24) --
---------------------------------------------------------------------------------
Total dividends and/or
distributions to -- (.91) (.17) (.81) (2.43) (.24) (.01)
shareholders
- ------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.45 $ 7.39 $ 6.43 $ 7.67 $ 9.46 $ 9.05 $ 7.51
=================================================================================
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN,
AT NET ASSET VALUE 3 41.41% 29.00% (14.03)% (10.72)% 43.33% 24.32% 22.12%
- ------------------------------------------------------------------------------------------------------------
F19 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS B Continued (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 115,203 $ 77,686 $ 85,124 $ 115,174 $ 147,663 $ 78,125 $ 37,589
- -------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 91,311 $ 76,819 $ 94,533 $ 130,837 $ 102,816 $ 52,436 $ 32,101
- -------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income (loss) 1.27% 1.70% 2.28% 2.05% 0.46% (0.69)% (0.41)%
Total expenses 2.14% 5,6 2.34% 5,6 2.42% 5,6 2.19% 5 2.19% 2.32% 2.44%
Expenses after payments,
waivers and/or reimbursements
and reduction to
custodian expenses 1.90% 2.03% 2.05% 2.18% 2.19% 2.31% 2.36%
- -------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 31% 7 52% 7 32% 7 89% 7,8 94% 7 87% 61%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including all expenses of the wholly-owned subsidiary were as
follows:
Six Months Ended June 30, 2008 2.38%
Year Ended December 31, 2007 2.58%
Four Months Ended December 31, 2006 2.66%
Year Ended August 31, 2006 2.20%
6. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 2.14%
Year Ended December 31, 2007 2.34%
Four Months Ended December 31, 2006 2.42%
7. 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 $ 373,076,235 $ 296,181,810
Year Ended December 31, 2007 $ 680,590,562 $ 787,318,530
Four Months Ended December 31, 2006 $ 642,777,532 $ 686,348,366
Year Ended August 31, 2006 $ 4,236,251,723 $ 4,418,930,664
Year Ended August 31, 2005 $ 4,827,248,691 $ 4,809,916,669
8. The portfolio turnover rate including the transfer of securities to RAF
Fund Ltd. would have been 119%.
F20 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS C (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 7.34 $ 6.40 $ 7.64 $ 9.42 $ 9.02 $ 7.48 $ 6.14
- -----------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .06 2 .12 2 .05 2 .17 2 .05 2 (.03) (.03)
(loss)
Net realized and
unrealized gain (loss) 2.98 1.74 (1.12) (1.13) 2.79 1.81 1.38
--------------------------------------------------------------------------------------
Total from investment
operations 3.04 1.86 (1.07) (.96) 2.84 1.78 1.35
- -----------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to
shareholders:
Dividends from net
investment income -- (.92) (.17) (.06) (.02) -- (.01)
Distributions from net
realized gain -- -- -- (.76) (2.42) (.24) --
--------------------------------------------------------------------------------------
Total dividends and/or
distributions to -- (.92) (.17) (.82) (2.44) (.24) (.01)
shareholders
- -----------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.38 $ 7.34 $ 6.40 $ 7.64 $ 9.42 $ 9.02 $ 7.48
======================================================================================
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN,
AT NET ASSET VALUE 3 41.42% 29.03% (14.03)% (10.59)% 43.50% 24.42% 22.04%
- -----------------------------------------------------------------------------------------------------------------
F21 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS C Continued (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 259,498 $ 172,402 $ 170,180 $ 245,844 $ 264,019 $ 110,728 $ 36,531
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 204,483 $ 159,408 $ 197,628 $ 261,017 $ 170,306 $ 68,392 $ 25,746
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income (loss) 1.35% 1.76% 2.30% 2.17% 0.57% (0.62)% (0.43)%
Total expenses 2.05% 5,6 2.20% 5,6 2.28% 5,6 2.09% 5 2.11% 2.24% 2.40%
Expenses after payments,
waivers and/or reimbursements
and reduction to
custodian expenses 1.81% 1.96% 2.03% 2.08% 2.11% 2.24% 2.36%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 31% 7 52% 7 32% 7 89% 7,8 94% 7 87% 61%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the
fiscal period, with all dividends and distributions reinvested in additional
shares on the reinvestment date, and redemption at the net asset value
calculated on the last business day of the fiscal period. Sales charges are not
reflected in the total returns. Total returns are not annualized for periods of
less than one full year. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including all expenses of the wholly-owned subsidiary were as
follows:
Six Months Ended June 30, 2008 2.29%
Year Ended December 31, 2007 2.44%
Four Months Ended December 31, 2006 2.52%
Year Ended August 31, 2006 2.10%
6. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 2.05%
Year Ended December 31, 2007 2.20%
Four Months Ended December 31, 2006 2.28%
7. 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 $ 373,076,235 $ 296,181,810
Year Ended December 31, 2007 $ 680,590,562 $ 787,318,530
Four Months Ended December 31, 2006 $ 642,777,532 $ 686,348,366
Year Ended August 31, 2006 $ 4,236,251,723 $ 4,418,930,664
Year Ended August 31, 2005 $ 4,827,248,691 $ 4,809,916,669
8. The portfolio turnover rate including the transfer of securities to RAF Fund
Ltd. would have been 119%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F 22 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
SIX MONTHS
ENDED YEAR ENDED
JUNE 30,2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS N (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 7.43 $ 6.46 $ 7.74 $ 9.51 $ 9.08 $ 7.50 $ 6.15
- ----------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .07 2 .15 2 .07 2 .21 2 .08 2 -- .07
(loss)
Net realized and
unrealized gain (loss) 3.02 1.78 (1.14) (1.15) 2.82 1.82 1.36
-----------------------------------------------------------------------------------
Total from investment
operations 3.09 1.93 (1.07) (.94) 2.90 1.82 1.43
- ----------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to
shareholders:
Dividends from net
investment income -- (.96) (.21) (.07) (.05) -- (.08)
Distributions from net
realized gain -- -- -- (.76) (2.42) (.24) --
-----------------------------------------------------------------------------------
Total dividends and/or
distributions to -- (.96) (.21) (.83) (2.47) (.24) (.08)
shareholders
- ----------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.52 $ 7.43 $ 6.46 $ 7.74 $ 9.51 $ 9.08 $ 7.50
===================================================================================
- ----------------------------------------------------------------------------------------------------------------
TOTAL RETURN,
AT NET ASSET VALUE 3 41.59% 29.77% (13.89)% (10.22)% 44.03% 24.90% 23.63%
- ----------------------------------------------------------------------------------------------------------------
F23 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30,2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS N Continued (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 37,883 $ 22,913 $ 19,428 $ 24,106 $ 25,586 $ 8,206 $ 1,578
- ------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 28,835 $ 20,068 $ 20,724 $ 24,867 $ 14,654 $ 4,516 $ 1,001
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income (loss) 1.73% 2.17% 2.83% 2.59% 1.03% (0.17)% 0.27%
Total expenses 1.69% 5,6 1.91% 5,6 1.85% 5,6 1.71% 5 1.68% 1.84% 1.83%
Expenses after payments,
waivers and/or reimbursements
and reduction to
custodian expenses 1.44% 1.53% 1.49% 1.66% 1.68% 1.80% 1.63%
- ------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 31% 7 52% 7 32% 7 89% 7,8 94% 7 87% 61%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including all expenses of the wholly-owned subsidiary were as
follows:
Six Months Ended June 30, 2008 1.93%
Year Ended December 31, 2007 2.15%
Four Months Ended December 31, 2006 2.09%
Year Ended August 31, 2006 1.72%
6. Total expenses including indirect expenses from affiliated fund were as
follows: Six Months Ended June 30, 2008 1.69% Year Ended December 31, 2007 1.91%
Four Months Ended December 31, 2006 1.85%
Six Months Ended June 30, 2008 1.69%
Year Ended December 31, 2007 1.91%
Four Months Ended December 31, 2006 1.85%
7. 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 $ 373,076,235 $ 296,181,810
Year Ended December 31, 2007 $ 680,590,562 $ 787,318,530
Four Months Ended December 31, 2006 $ 642,777,532 $ 686,348,366
Year Ended August 31, 2006 $ 4,236,251,723 $ 4,418,930,664
Year Ended August 31, 2005 $ 4,827,248,691 $ 4,809,916,669
8. The portfolio turnover rate including the transfer of securities to RAF Fund
Ltd. would have been 119%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F24 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS Y (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 7.55 $ 6.55 $ 7.88 $ 9.63 $ 9.15 $ 7.52 $ 6.15
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .11 2 .22 2 .09 2 .29 2 .15 2 .05 .06
Net realized and
unrealized gain (loss) 3.08 1.80 (1.15) (1.18) 2.86 1.84 1.39
---------------------------------------------------------------------------------------
Total from investment
operations 3.19 2.02 (1.06) (.89) 3.01 1.89 1.45
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to shareholders:
Dividends from net
investment income -- (1.02) (.27) (.10) (.11) (.02) (.08)
Distributions from net
realized gain -- -- -- (.76) (2.42) (.24) --
---------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders -- (1.02) (.27) (.86) (2.53) (.26) (.08)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 10.74 $ 7.55 $ 6.55 $ 7.88 $ 9.63 $ 9.15 $ 7.52
=======================================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN,
AT NET ASSET VALUE 3 42.25% 30.82% (13.61)% (9.54)% 45.42% 25.84% 23.69%
- -----------------------------------------------------------------------------------------------------------------------------
F25 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, YEAR ENDED AUGUST 31,
CLASS Y Continued (UNAUDITED) 2007 2006 1 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $ 642,434 $441,305 $ 264,593 $327,949 $151,078 $ 47,387 $ 25,724
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 542,551 $346,011 $ 272,831 $255,428 $ 83,836 $ 31,449 $ 15,755
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net
assets: 4
Net investment income 2.58% 3.06% 3.67% 3.52% 1.83% 0.65% 0.83%
Total expenses 0.83% 5,6 0.86% 5,6 0.89% 5,6 0.84% 5 0.88% 0.97% 1.08%
Expenses after payments,
waivers and/or
reimbursements
and reduction
to custodian expenses 0.59% 0.62% 0.65% 0.83% 0.88% 0.97% 1.08%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 31% 7 52% 7 32% 7 89% 7,8 94% 7 87% 61%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. Per share amounts calculated based on the average shares outstanding during
the period.
3. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Total expenses including all expenses of the wholly-owned subsidiary were as
follows:
Six Months Ended June 30, 2008 1.07%
Year Ended December 31, 2007 1.10%
Four Months Ended December 31, 2006 1.13%
Year Ended August 31, 2006 0.85%
6. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended June 30, 2008 0.83%
Year Ended December 31, 2007 0.86%
Four Months Ended December 31, 2006 0.89%
7. 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 $ 373,076,235 $ 296,181,810
Year Ended December 31, 2007 $ 680,590,562 $ 787,318,530
Four Months Ended December 31, 2006 $ 642,777,532 $ 686,348,366
Year Ended August 31, 2006 $ 4,236,251,723 $ 4,418,930,664
Year Ended August 31, 2005 $ 4,827,248,691 $ 4,809,916,669
8. The portfolio turnover rate including the transfer of securities to RAF Fund
Ltd. would have been 119%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F26 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Commodity Strategy Total Return Fund (the "Fund"), is registered
under the Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund's investment objective is to seek total return.
Total return refers to the change in value of an investment in shares of the
Fund over time resulting from changes in the value of the Fund's investments and
income on those investments. The Fund's investment adviser is OppenheimerFunds,
Inc. (the "Adviser"). The Sub-Adviser is Oppenheimer Real Asset Management, Inc.
(the "Manager"), a wholly-owned subsidiary of the Adviser.
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 Fund assesses a 2% fee on the proceeds of
fund shares that are redeemed (either by selling or exchanging to another
Oppenheimer fund) within 30 days of their purchase. The fee, which is retained
by the Fund, is accounted for as an addition to paid-in capital.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
INVESTMENT IN RAF FUND LTD. The Fund may invest up to 25% of its total assets in
RAF Fund Ltd., a wholly-owned and controlled Cayman Islands subsidiary (the
"Subsidiary"), which is expected to invest primarily in commodity and financial
futures and option contracts, as well as fixed income securities and other
investments intended to serve as margin or collateral for the Subsidiary's
derivatives positions. The Fund wholly owns and controls the Subsidiary, and the
Fund and Subsidiary are both managed by the Adviser and the Manager.
The Fund does not consolidate the assets, liabilities, capital or
operations of the Subsidiary into its financial statements. Rather, the
Subsidiary is separately presented as an investment in the Fund's Statement of
Investments. Gains or losses on withdrawals of capital from the Subsidiary by
the Fund are recognized on a cost recovery basis. Unrealized appreciation or
depreciation on the Fund's investment in the Subsidiary is
F27 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
recorded in the Fund's Statement of Assets and Liabilities and the Fund's
Statement of Operations. Distributions received from the Subsidiary are recorded
as income on the ex-dividend date.
For tax purposes, the Subsidiary is an exempted Cayman investment company.
The Subsidiary has received an undertaking from the Government of the Cayman
Islands exempting it from all local income, profits and capital gains taxes
through May of 2036. No such taxes are levied in the Cayman Islands at the
present time. For U.S. income tax purposes, the Subsidiary is a Controlled
Foreign Corporation and as such is not subject to U.S. income tax. However, as a
wholly-owned Controlled Foreign Corporation, the Subsidiary's net income and
capital gain, to the extent of its earnings and profits, will be included each
year in the Fund's investment company taxable income. For the six months ended
June 30, 2008, the Subsidiary has a surplus of $306,149,190 in its taxable
earnings and profits. In addition, any in-kind capital contributions made by the
Fund to the Subsidiary will result in the Fund recognizing taxable gain to the
extent of unrealized gain, if any, on securities transferred to the Subsidiary
while any unrealized losses on securities so transferred will not be recognized
at the time of transfer.
- --------------------------------------------------------------------------------
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 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
F28 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
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.
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.
The net asset value per share of the Subsidiary is determined as of the
close of the Exchange, on each day the Exchange is open for trading. The net
asset value per share is determined by dividing the value of the Subsidiary's
net assets by the number of shares that are outstanding. The Subsidiary values
its investments in the same manner as the Fund as described above.
F29 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
STRUCTURED SECURITIES. The Fund invests in structured securities whose market
values, interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured securities are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured security is sold or matures.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase
securities on a "when-issued" basis, and may purchase or sell securities on a
"delayed delivery" basis. "When-issued" or "delayed delivery" refers to
securities whose terms and indenture are available and for which a market
exists, but which are not available for immediate delivery. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis
normally takes place within six months and possibly as long as two years or more
after the trade date. During this period, such securities do not earn interest,
are subject to market fluctuation and may increase or decrease in value prior to
their delivery. The purchase of securities on a when-issued basis may increase
the volatility of the Fund's net asset value to the extent the Fund executes
such transactions while remaining substantially fully invested. When the Fund
engages in when-issued or delayed delivery transactions, it relies on the buyer
or seller, as the case may be, to complete the transaction. Their failure to do
so may cause the Fund to lose the opportunity to obtain or dispose of the
security at a price and yield it considers advantageous. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase.
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 $ 100,515,618
Sold securities 7,850,353
- --------------------------------------------------------------------------------
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
F30 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
Statement of Investments. As a shareholder, the Fund is subject to its
proportional share of IMMF's Class E expenses, including its management fee. The
Manager will waive fees and/or reimburse Fund expenses in an amount equal to the
indirect management fees incurred through the Fund's investment in IMMF.
- --------------------------------------------------------------------------------
INVESTMENTS 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.
- --------------------------------------------------------------------------------
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
post-October losses of $19,477,840 and unused capital loss carryforwards as
follows:
EXPIRING
------------------------
2013 $ 105,781,986
2014 32,365,744
2015 219,621,438
-------------
Total $ 357,769,168
=============
As of June 30, 2008, the Fund had available for federal income tax purposes an
estimated capital loss carryforward of $47,482,720 expiring by 2016. This
estimated capital loss carryforward represents carryforward as of the end of
the last fiscal year, increased for losses deferred under tax accounting rules
to the current fiscal year and is increased or decreased 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
$329,764,288 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
F31 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
Federal tax cost of securities $ 1,627,671,707
Federal tax cost of other investments (959,957,462)
----------------
Total federal tax cost $ 667,714,245
================
Gross unrealized appreciation $ 681,243,505
Gross unrealized depreciation (22,908,683)
----------------
Net unrealized appreciation $ 658,334,822
================
- --------------------------------------------------------------------------------
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 and capital gain distributions, if any, are
declared and paid annually or at other times as deemed necessary by the Manager.
- --------------------------------------------------------------------------------
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.
F32 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, at a rate equal to the
Federal Funds Rate plus 0.50%. The "Reduction to custodian expenses" line item,
if applicable, represents earnings on cash balances maintained by the Fund
during the period. Such interest expense and other custodian fees may be paid
with these earnings.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising
in connection with the performance of their duties to the Fund. In the normal
course of business, the Fund may also enter into contracts that provide general
indemnifications. The Fund's maximum exposure under these arrangements is
unknown as this would be dependent on future claims that may be made against the
Fund. The risk of material loss from such claims is considered remote.
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED JUNE 30, 2008 YEAR ENDED DECEMBER 31, 2007
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
CLASS A
Sold 28,880,949 $ 258,691,983 31,816,627 $ 223,174,398
Dividends and/or
distributions reinvested -- -- 11,122,166 83,972,545
Redeemed (27,561,635) (240,961,494) 1 (47,665,838) (330,942,386) 2
---------------------------------------------------------------------
Net increase (decrease) 1,319,314 $ 17,730,489 (4,727,045) $ (23,795,443)
=====================================================================
F33 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES 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 B
Sold 2,532,500 $ 22,079,743 1,430,855 $ 9,847,889
Dividends and/or
distributions reinvested -- -- 989,494 7,351,942
Redeemed (2,017,732) (16,992,664) 1 (5,147,974) (35,162,762) 2
--------------------------------------------------------------------
Net increase (decrease) 514,768 $ 5,087,079 (2,727,625) $ (17,962,931)
====================================================================
- ------------------------------------------------------------------------------------------------
CLASS C
Sold 5,527,480 $ 48,572,465 4,817,114 $ 32,951,391
Dividends and/or
distributions reinvested -- -- 2,042,927 15,076,876
Redeemed (4,017,118) (34,541,069) 1 (9,981,581) (67,082,983) 2
--------------------------------------------------------------------
Net increase (decrease) 1,510,362 $ 14,031,396 (3,121,540) $ (19,054,716)
====================================================================
- ------------------------------------------------------------------------------------------------
CLASS N
Sold 1,320,614 $ 11,420,629 1,103,637 $ 7,726,646
Dividends and/or
distributions reinvested -- -- 304,353 2,270,407
Redeemed (805,724) (6,958,317) 1 (1,329,330) (9,219,259) 2
--------------------------------------------------------------------
Net increase 514,890 $ 4,462,312 78,660 $ 777,794
====================================================================
- ------------------------------------------------------------------------------------------------
CLASS Y
Sold 16,408,157 $ 140,964,147 26,467,257 $ 185,607,666
Dividends and/or
distributions reinvested -- -- 5,643,865 42,836,939
Redeemed (15,061,497) (136,593,175) 1 (14,065,867) (100,658,969) 2
--------------------------------------------------------------------
Net increase 1,346,660 $ 4,370,972 18,045,255 $ 127,785,636
====================================================================
1. Net of redemption fees of $18,895, $1,854, $4,153, $586 and $11,018 for Class
A, Class B, Class C, Class N and Class Y, respectively.
2. Net of redemption fees of $6,705, $706, $1,465, $184 and $3,180 for Class A,
Class B, Class C, Class N and Class Y, respectively.
- --------------------------------------------------------------------------------
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
then shortterm obligations and investments in IMMF, for the six months ended
June 30, 2008, were as follows:
PURCHASES SALES
-------------------------------------------------------------
Investment securities $ 419,103,926 $ 531,729,117
To Be Announced (TBA)
mortgage-related securities 373,076,235 296,181,810
F34 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Under the investment advisory agreement, the Fund pays the
Manager a management fee based on the daily net assets of the Fund at an annual
rate as shown in the following table:
FEE SCHEDULE
--------------------------
Up to $200 million 1.00%
Next $200 million 0.90
Next $200 million 0.85
Next $200 million 0.80
Over $800 million 0.75
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
SUB-ADVISER FEES. The Adviser retains the Manager to provide the day-to-day
portfolio management of the Fund. Under the Sub-Advisory Agreement, the Adviser
pays the Manager an annual fee in monthly installments, based on the average
daily net assets of the Fund at an average annual rate as shown in the following
table:
FEE SCHEDULE
---------------------------
Up to $200 million 0.500%
Next $200 million 0.450
Next $200 million 0.425
Next $200 million 0.400
Over $800 million 0.375
- --------------------------------------------------------------------------------
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 $1,336,566 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000
annually for assets of $10 million or more. The Class Y shares are subject to
the minimum fees in the event that the per account fee does not equal or exceed
the applicable minimum fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12B-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the "Distributor")
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan (the
"Plan") for Class A shares under Rule 12b-1 of the Investment Company Act of
1940. Under the Plan, the Fund reimburses the Distributor for a portion of its
costs incurred for services provided to accounts that hold Class A shares.
Reimbursement is made periodically at an annual rate of up to 0.25% of the
average annual net assets of Class A shares of the Fund. The Distributor
currently uses all of those fees to pay dealers, brokers, banks and other
financial institutions periodically for providing personal service and
maintenance
F35 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
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 $3,180,836, $4,149,688 and $416,091, respectively. Fees incurred by
the Fund under the Plans are detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
("CDSC") do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -----------------------------------------------------------------------------------------------
June 30, 2008 $306,708 $7,889 $124,570 $13,177 $1,087
- -----------------------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. The Subsidiary has entered into a
separate contract with the Adviser for the management of the Subsidiary's
portfolio. The Adviser has contractually agreed to waive the management fee it
receives from the Fund in an amount equal to the management fee paid to the
Adviser by the Subsidiary. This undertaking will continue in effect for so long
as the Fund invests in the Subsidiary, and may not be terminated by the Adviser
unless the Adviser first obtains the prior approval of the Fund's Board of
Trustees for such termination. During the six months ended June 30, 2008, the
Adviser waived $2,146,629.
F36 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class.
During the six months ended June 30, 2008, OFS waived $1,303 for Class N. This
undertaking may be amended or withdrawn at any time.
The Adviser 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 Adviser waived $36,115 for
IMMF management fees.
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. The Fund may buy and sell futures contracts that relate to broadly based
securities indices (financial futures), debt securities (interest rate futures)
and various commodities (commodity index futures). The Fund may also buy or
write put or call options on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be
valued at the final settlement price or official closing price on the principal
exchange as reported by such principal exchange at its trading session ending
at, or most recently prior to, the time when the Fund's assets are valued.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker to cover initial margin requirements on
open futures contracts and the receivable and/or payable for the daily mark to
market for variation margin are noted in the Statement of Assets and
Liabilities. The net change in unrealized appreciation (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 the Fund may be unable to enter into a closing transaction or
an offsetting position due to an illiquid market 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.
- --------------------------------------------------------------------------------
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.
F37 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. SWAP CONTRACTS Continued
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.
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract
that enables an investor to buy or sell protection against a defined-issuer
credit event. The Fund may enter into credit default swaps on a single security,
or a basket of securities.
In a credit default swap contract, the purchaser of the contract will pay
a periodic interest fee, similar to an insurance premium, on the notional amount
of the swap contract to the counterparty (the seller of the contract). If there
is a credit event (for example, bankruptcy or a failure to timely pay interest
or principal), the purchaser will exercise the contract and will receive a
payment from the seller of the contract equal to the notional value of the
credit default swap contract less the value of the underlying security. In the
event that the credit default swap is exercised due to a credit event, the
difference between the value of the underlying security and the notional amount
is recorded as realized gain (loss) and is included on the Statement of
Operations.
Risks of credit default swaps include, but are not limited to, the cost of
paying for credit protection if there are no credit events, or the cost of
selling protection (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).
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between
counterparties to exchange a set of future cash flows on the notional amount of
the contract. One cash flow is typically based on a reference interest rate or
index and the other on the total return of a reference asset such as a security,
a basket of securities, or an index. The total return includes appreciation or
depreciation on the reference asset, plus any interest or dividend payments.
F38 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
8. 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 10% 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.
- --------------------------------------------------------------------------------
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.
F39 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
F40 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
15 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
FINANCIAL STATEMENTS FOR RAF FUND LTD. (THE "SUBSIDIARY") FOR THE SIX MONTHS
ENDED JUNE 30, 2008
18 Statement of Investments
29 Statement of Assets and Liabilities
30 Statement of Operations
31 Statements of Changes in Net Assets
32 Notes to Financial Statements
17 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS June 30, 2008 / Unaudited
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--1.0%
- ------------------------------------------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust, Automobile
Asset-Backed Certificates, Series 2005-1, Cl. A4, 2.491%, 4/15/11 1 $ 3,242,065 $ 3,234,706
- ------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates,
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 443,009 444,819
- ------------------------------------------------------------------------------------------------------------
Mastr Asset-Backed Securities Trust 2006-WMC3,
Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 2.583%, 8/25/36 1 800,000 690,176
- ------------------------------------------------------------------------------------------------------------
NC Finance Trust, CMO Pass-Through Certificates,
Series 1999-I, Cl. ECFD, 5.827%, 1/25/29 1,2 239,840 31,179
- ------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 2.583%, 7/1/36 1 1,060,000 1,019,790
- ------------------------------------------------------------------------------------------------------------
Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 2.733%, 6/25/36 1 244,447 243,092
--------------
Total Asset-Backed Securities (Cost $5,841,242) 5,663,762
- ------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--61.3%
- ------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--17.2%
- ------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--17.2%
Federal Home Loan Mortgage Corp.:
4.50%, 9/15/18-10/15/18 663,228 648,641
6%, 7/15/17 604,818 619,846
6.50%, 4/15/21-8/15/32 2,550,873 2,655,567
7%, 12/1/23 2,157,656 2,282,428
8%, 4/1/16 36,322 38,611
9%, 8/1/22 5,712 6,251
- ------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2080, Cl. C, 6.50%, 8/15/28 3 530,779 554,688
Series 2080, Cl. Z, 6.50%, 8/15/28 3 394,210 414,083
Series 2116, Cl. ZA, 6%, 1/15/29 3,116,908 3,208,339
Series 2191, Cl. TZ, 7%, 10/15/29 3 1,329,250 1,411,732
Series 2341, Cl. FP, 3.371%, 7/15/31 1 257,110 257,911
Series 2427, Cl. ZM, 6.50%, 3/15/32 3 1,213,491 1,274,635
Series 2436, Cl. MC, 7%, 4/15/32 730,104 775,999
Series 2461, Cl. PZ, 6.50%, 6/15/32 3 1,171,489 1,244,426
Series 2754, Cl. PE, 5%, 2/15/34 2,179,000 2,040,634
Series 2844, Cl. PE, 5%, 8/15/34 4,926,000 4,621,464
- ------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.,Interest-Only Stripped
Mtg.-Backed Security, Series 177, Cl. IO, 10.824%, 7/1/26 4 291,001 77,623
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/25/19 3 1,132,716 1,105,247
4.50%, 7/1/22 5 2,750,000 2,658,046
5%, 12/25/17-12/1/33 3 26,714,478 26,061,705
5.50%, 4/25/34 3 1,838,706 1,823,444
5.50%, 7/1/22 5 4,490,000 4,520,168
6%, 6/25/30-11/25/32 3,319,655 3,381,069
18 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.: Continued
6%, 6/25/21-10/25/33 3 $ 10,624,613 $ 10,832,923
6.50%, 6/25/17-12/25/28 3 4,959,786 5,175,332
7%, 11/1/17 6 1,039,742 1,091,143
8.50%, 7/1/32 5,575 6,142
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 3 1,068,908 1,112,064
Trust 1999-64, Cl. TH, 7.50%, 12/25/29 3 3,488,257 3,718,755
Trust 2002-9, Cl. PC, 6%, 3/25/17 3 2,091,254 2,175,399
Trust 2003-84, Cl. PW, 3%, 6/25/22 26,715 26,656
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 90,839 96,511
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 3 3,928,338 3,998,826
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2002-60, Cl. SM, 38.567%, 8/25/32 4 662,317 60,795
Trust 2002-77, Cl. BS, 33.422%, 12/18/32 4 395,653 45,970
Trust 2002-77, Cl. JS, 33.35%, 12/18/32 4 682,960 80,428
Trust 2002-77, Cl. SA, 33.473%, 12/18/32 4 629,165 76,748
Trust 2002-90, Cl. SN, 38.565%, 8/25/32 4 340,622 31,127
Trust 2005-83, Cl. SL, 74.04%, 10/25/35 4 12,803,580 1,290,310
Trust 2005-87, Cl. SE, 99.999%, 10/25/35 4 3,518,759 234,209
Trust 294, Cl. 2, 11.708%, 2/1/28 3,4 233,623 65,693
Trust 321, Cl. 2, 10.386%, 4/1/32 3,4 1,070,836 275,604
Trust 344, Cl. 2, 12.779%, 12/1/33 4 5,673,740 1,527,950
--------------
93,605,142
- ------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.0%
Government National Mortgage Assn., 8.50%, 12/15/17 6,925 7,561
- ------------------------------------------------------------------------------------------------------------
NON-AGENCY--44.1%
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL--24.1%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2006-5, Cl. A2, 5.348%, 10/10/11 1,835,000 1,810,574
Series 2008-1, Cl. A4, 6.197%, 12/1/17 1 14,790,000 14,521,931
- ------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 639,709 641,229
- ------------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2005-12, Mtg. Pass-Through Certificates,
Series 2005-12, Cl. 12A1, 5.348%, 2/1/36 1 1,941,216 1,841,785
- ------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities, Inc.,
Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 240,945 234,968
- ------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2003-J5, Mtg. Pass-Through Certificates,
Series 2003-J5, Cl. 2A1, 5%, 7/1/08 2,965,873 2,868,977
- ------------------------------------------------------------------------------------------------------------
Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg.
Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.915%, 3/1/49 1 10,775,000 10,530,492
19 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Mtg. Pass-Through
Certificates, Series 2006-AR1, Cl. 1 A1, 4.90%, 10/25/35 1,3 $ 4,635,409 $ 4,503,040
- ------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates,
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 13,285,000 12,938,960
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-HY13, Mtg. Pass-Through
Certificates, Series 2006-HY13, Cl. 3A1, 5.978%, 1/1/47 1 16,268,899 15,404,570
- ------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust,
Mtg. Pass-Through Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 665,595 659,619
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 308,875 303,931
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 3 1,235,531 1,216,858
- ------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2003-C1, Cl. A2, 4.093%, 1/10/38 217,828 216,222
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 750,000 748,617
- ------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2006-GG8, Cl. A2, 5.479%, 11/1/39 3,718,000 3,690,645
- ------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 10,530,000 10,407,852
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 1,280,000 1,247,238
- ------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg.
Pass-Through Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 3,490,000 3,483,649
- ------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg.
Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 1,890,000 1,874,026
- ------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 86,584 86,994
- ------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 2,750,971 2,723,261
- ------------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates,
Series 2007-1, Cl. 2A1, 5.829%, 2/1/37 1,3 5,380,750 4,943,328
- ------------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-3, Mtg. Pass-Through Certificates,
Series 2007-3, Cl. 1A1, 5.658%, 6/1/37 1 14,612,080 13,701,108
- ------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg.
Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 391,000 384,825
- ------------------------------------------------------------------------------------------------------------
Wachovia Mortgage Loan Trust LLC, Mtg. Pass-Through Certificates,
Series 2007-A, Cl. 1A1, 5.996%, 3/1/37 1 2,761,722 2,725,526
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.882%, 8/1/46 1,3 4,037,045 3,910,739
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.636%, 11/1/36 1,3 4,067,680 3,872,919
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.658%, 5/1/37 1 4,228,822 3,946,432
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg.
Pass-Through Certificates, Series 2004-EE, Cl. 3A2, 4.013%, 12/1/34 1 4,522,594 4,463,742
20 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Wells Fargo Mortgage-Backed Securities 2004-U Trust, Mtg.
Pass-Through Certificates, Series 2004-U, Cl. A1, 6.313%, 10/1/34 1 $ 790,947 $ 789,147
---------------
130,693,204
- ------------------------------------------------------------------------------------------------------------
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 1,3 7,003,697 6,699,905
- ------------------------------------------------------------------------------------------------------------
MULTIFAMILY--2.2%
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through
Certificates, Series 2003-E, Cl. 2A2, 4.606%, 6/25/33 1 1,354,949 1,351,873
- ------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through
Certificates, Series 2003-46, Cl. 1A2, 4.13%, 1/19/34 1 2,541,976 2,521,878
- ------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY1, Mtg. Pass-Through
Certificates, Series 2007-HY1, Cl. 1A1, 5.694%, 4/25/37 1 5,527,654 5,163,496
- ------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 1 A3A, 5.89%, 7/25/36 1 1,994,205 1,936,586
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 2A1, 5.646%,
7/25/36 1,3 1,086,315 1,052,088
---------------
12,025,921
- ------------------------------------------------------------------------------------------------------------
RESIDENTIAL--16.6%
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through
Certificates, Series 2007-HY4, Cl. 1A1, 6.094%, 9/25/47 1 19,544,616 17,590,154
- ------------------------------------------------------------------------------------------------------------
Citigroup Commercial Mortgage Trust 2008-C7, Commercial
Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.299%, 12/1/49 1 14,305,000 14,001,743
- ------------------------------------------------------------------------------------------------------------
COMM 2007-C9 Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2007-C9, Cl. A4, 6.01%, 7/1/17 1 15,423,000 14,793,811
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 3,085,721 2,717,782
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates,
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 223,410 215,197
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-41CB, Mtg. Pass-Through Certificates,
Series 2006-41CB, Cl. 1A10, 6%, 1/1/37 2,044,518 1,921,505
- ------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 4A1, 5.347%, 11/25/35 1 5,235,047 4,952,605
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through
Certificates, Series 2006-3, Cl. 2A1, 6.073%, 10/25/36 1,3 4,745,840 4,593,383
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through
Certificates, Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 1 870,000 819,629
- ------------------------------------------------------------------------------------------------------------
RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through
Certificates,
Series 2004-QS10, Cl. A3, 2.983%, 7/25/34 1 8,371,859 7,478,767
- ------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through
Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 858,167 853,003
21 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust,
Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.046%, 9/25/33 1 $ 948,631 $ 908,186
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.611%, 11/1/36 1 7,259,239 6,858,369
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg. Pass-Through
Certificates, Series 2004-EE, Cl. 3A1, 4.013%, 12/1/34 1 1,883,974 1,859,459
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through
Certificates, Series 2004-R, Cl. 2A1, 4.365%, 9/1/34 1 2,220,376 2,161,819
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 5A6,
5.595%, 7/1/36 1,3 4,143,395 3,993,129
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A2, 5.752%, 9/1/36 1 4,585,204 4,453,737
---------------
90,172,278
---------------
Total Mortgage-Backed Obligations (Cost $332,656,715) 333,204,011
- ------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--40.2%
- ------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--5.4%
- ------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.8%
DaimlerChrysler North America Holding Corp.:
7.30% Nts., 1/15/12 2,130,000 2,256,516
3.138% Nts., Series E, 3/13/09 1 580,000 578,336
- ------------------------------------------------------------------------------------------------------------
Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08 7 1,780,000 1,789,568
---------------
4,624,420
- ------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.8%
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 2 1,105,000 1,055,275
- ------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 905,000 907,263
- ------------------------------------------------------------------------------------------------------------
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 80,000 78,000
- ------------------------------------------------------------------------------------------------------------
Whirlpool Corp., 8.60% Sr. Unsec. Unsub. Nts., 5/1/10 2,085,000 2,264,081
---------------
4,304,619
- ------------------------------------------------------------------------------------------------------------
MEDIA--2.7%
British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 260,000 268,438
- ------------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 300,000 304,491
- ------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 2,230,000 1,891,047
- ------------------------------------------------------------------------------------------------------------
Comcast Corp., 5.85% Sr. Unsec. Unsub. Nts., 1/15/10 4,810,000 4,886,051
- ------------------------------------------------------------------------------------------------------------
News America Holdings, Inc., 7.375% Sr. Unsec. Debs., 10/17/08 2,440,000 2,466,311
- ------------------------------------------------------------------------------------------------------------
Pearson Dollar Finance Two plc, 5.50% Nts., 5/6/13 7 2,335,000 2,315,286
- ------------------------------------------------------------------------------------------------------------
Time Warner Cable, Inc., 5.40% Sr. Unsec. Nts., 7/2/12 2,540,000 2,517,557
---------------
14,649,181
22 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.5%
Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 $ 975,000 $ 976,154
- ------------------------------------------------------------------------------------------------------------
J.C. Penney Co., Inc., 7.375% Unsec. Nts., 8/15/08 1,550,000 1,554,216
--------------
2,530,370
- ------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.6%
Home Depot, Inc. (The), 3.75% Sr. Unsec. Nts., 9/15/09 3,450,000 3,374,914
- ------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--2.8%
- ------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--1.6%
CVS Caremark Corp., 5.75% Sr. Unsec. Nts., 8/15/11 1,000,000 1,025,625
- ------------------------------------------------------------------------------------------------------------
CVS Corp., 4% Sr. Unsec. Nts., 9/15/09 2,500,000 2,487,273
- ------------------------------------------------------------------------------------------------------------
Kroger Co. (The), 7.25% Sr. Unsec. Nts., 6/1/09 2,150,000 2,207,783
- ------------------------------------------------------------------------------------------------------------
Safeway, Inc., 7.50% Sr. Unsec. Nts., 9/15/09 2,950,000 3,047,521
--------------
8,768,202
- ------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--1.2%
Kraft Foods, Inc., 5.625% Sr. Unsec. Nts., 11/1/11 6,600,000 6,666,073
- ------------------------------------------------------------------------------------------------------------
ENERGY--1.7%
- ------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS--1.7%
Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 2,735,000 2,872,122
- ------------------------------------------------------------------------------------------------------------
Enterprise Products Operating LP, 4.625% Sr. Unsec. Nts., Series B, 10/15/09 2,410,000 2,402,288
- ------------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP:
5.875% Sr. Unsec. Nts., 6/1/13 1,080,000 1,041,627
7.75% Sr. Unsec. Nts., 2/15/12 180,000 192,760
- ------------------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP, 7.50% Sr. Unsec. Nts., 11/1/10 1,475,000 1,551,654
- ------------------------------------------------------------------------------------------------------------
TEPPCO Partners LP, 6.125% Nts., 2/1/13 755,000 749,621
- ------------------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 435,000 425,329
--------------
9,235,401
- ------------------------------------------------------------------------------------------------------------
FINANCIALS--14.9%
- ------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--2.7%
Credit Suisse First Boston, Inc., (USA), 6.125% Nts., 11/15/11 3 2,635,000 2,708,145
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 6.875% Bonds, 1/15/11 1,550,000 1,610,334
- ------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc., 6.625% Nts., 1/18/12 2,720,000 2,694,125
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., 4.831% Nts., Series C, 10/27/08 1,340,000 1,339,341
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 4.79% Sr. Unsec. Nts., Series C, 8/4/10 3,665,000 3,565,642
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley, 6.60% Nts., 4/1/12 2,590,000 2,636,335
--------------
14,553,922
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--3.9%
Banco Popular North America, Inc., 5.65% Sr. Unsec. Nts., 4/15/09 4,300,000 4,259,193
23 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS Continued
Charter One Bank NA, 5.50% Sr. Nts., 4/26/11 3 $ 2,695,000 $ 2,727,933
- ------------------------------------------------------------------------------------------------------------
First Union National Bank, 7.80% Sub. Nts., 8/18/10 3 4,005,000 4,223,597
- ------------------------------------------------------------------------------------------------------------
Household Finance Corp., 8% Sr. Unsec. Nts., 7/15/10 660,000 690,614
- ------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 4.625% Sr. Nts., 9/15/10 3 2,680,000 2,659,627
- ------------------------------------------------------------------------------------------------------------
KeyCorp, 6.50% Sr. Unsec. Nts., Series H, 5/14/13 2,555,000 2,284,466
- ------------------------------------------------------------------------------------------------------------
National Australia Bank, 8.60% Unsec. Sub. Nts., Series A, 5/19/10 3,460,000 3,705,383
- ------------------------------------------------------------------------------------------------------------
Regions Financial Corp., 4.50% Bonds, 8/8/08 800,000 801,012
--------------
21,351,825
- ------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.7%
SLM Corp., 4% Nts., 1/15/09 4,025,000 3,976,141
- ------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--2.8%
Bank of America Corp., 4.90% Sr. Unsec. Nts., 5/1/13 3 2,490,000 2,406,550
- ------------------------------------------------------------------------------------------------------------
Bear Stearns Co., 4.55% Nts., Series B, 6/23/10 3 3,310,000 3,284,275
- ------------------------------------------------------------------------------------------------------------
Capmark Financial Group, Inc., 5.875% Sr. Unsec. Nts., 5/10/12 2,185,000 1,543,034
- ------------------------------------------------------------------------------------------------------------
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 1,875,000 1,569,253
- ------------------------------------------------------------------------------------------------------------
Citigroup, Inc., 6% Nts., 2/21/12 3 2,000,000 2,018,442
- ------------------------------------------------------------------------------------------------------------
Deutsche Bank Capital Funding Trust I, 7.872% Jr. Sub. Perpetual Bonds 7,8 4,080,000 4,107,022
--------------
14,928,576
- ------------------------------------------------------------------------------------------------------------
INSURANCE--4.1%
Allstate Life Global Funding Trust, 5.375% Nts., 4/30/13 3 2,910,000 2,902,856
- ------------------------------------------------------------------------------------------------------------
American General Finance Corp.:
5.20% Nts., Series J, 12/15/11 1,650,000 1,563,157
5.625% Nts., Series J, 8/17/11 1,015,000 992,911
- ------------------------------------------------------------------------------------------------------------
Berkshire Hathaway Finance Corp., 4.60% Sr. Nts., 5/15/13 7 1,200,000 1,198,135
- ------------------------------------------------------------------------------------------------------------
CNA Financial Corp., 6.60% Sr. Unsec. Unsub. Nts., 12/15/08 525,000 528,991
- ------------------------------------------------------------------------------------------------------------
GE Global Insurance Holding Corp., 7.50% Unsec. Nts., 6/15/10 2,915,000 3,050,548
- ------------------------------------------------------------------------------------------------------------
Genworth Financial, Inc., 5.231% Sr. Nts., 5/16/09 1,880,000 1,889,562
- ------------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. (The), 5.55%, Sr. Unsec. Nts.,
8/16/08 1,415,000 1,417,570
- ------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc., 7.125% Sr. Unsec. Nts., 6/15/09 480,000 484,937
- ------------------------------------------------------------------------------------------------------------
Metropolitan Life Global Funding I, 5.125% Sr. Sec. Nts., 4/10/13 3,7 2,360,000 2,327,262
- ------------------------------------------------------------------------------------------------------------
Monumental Global Funding II:
3.90% Nts., 6/15/09 3,7 1,275,000 1,258,990
4.375% Nts., 7/30/09 3,7 1,145,000 1,135,791
- ------------------------------------------------------------------------------------------------------------
Pricoa Global Funding I, 3.90% Nts., 12/15/08 3,7 660,000 656,987
- ------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. (The), 8.125% Sr. Unsec. Nts., 4/15/10 2,860,000 3,001,919
--------------
22,409,616
24 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS--0.7%
Liberty Property LP, 6.375% Sr. Unsec. Unsub. Nts., 8/15/12 $ 805,000 $ 789,576
- ------------------------------------------------------------------------------------------------------------
Mack-Cali Realty LP, 5.05% Sr. Unsec. Nts., 4/15/10 2,900,000 2,866,873
--------------
3,656,449
- ------------------------------------------------------------------------------------------------------------
HEALTH CARE--2.5%
- ------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.6%
Amgen, Inc., 4% Sr. Unsec. Nts., 11/18/09 2,930,000 2,934,448
- ------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.9%
Aetna, Inc., 7.875% Sr. Unsec. Nts., 3/1/11 6,200,000 6,621,650
- ------------------------------------------------------------------------------------------------------------
CIGNA Corp., 7% Sr. Unsec. Nts., 1/15/11 3,740,000 3,850,790
--------------
10,472,440
- ------------------------------------------------------------------------------------------------------------
INDUSTRIALS--2.2%
- ------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.7%
BAE Systems Holdings, Inc., 4.75% Nts., 8/15/10 7 3,480,000 3,524,213
- ------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.5%
FedEx Corp., 3.50% Sr. Unsec. Unsub. Nts., 4/1/09 2,800,000 2,791,009
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.3%
R.R. Donnelley & Sons Co., 4.95% Sr. Unsec. Nts., 5/15/10 1,725,000 1,690,034
- ------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.5%
CSX Corp., 4.875% Sr. Unsec. Nts., 11/1/09 2,910,000 2,915,136
- ------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.2%
GATX Financial Corp., 6% Nts., 11/19/08 1,045,000 1,054,780
- ------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.8%
- ------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.5%
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 2,760,000 2,821,432
- ------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.3%
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 1,590,000 1,612,503
- ------------------------------------------------------------------------------------------------------------
IT SERVICES--0.2%
Convergys Corp., 4.875% Sr. Unsec. Nts., 12/15/09 1,045,000 1,054,618
- ------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS--0.8%
Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 4,140,000 4,262,337
- ------------------------------------------------------------------------------------------------------------
MATERIALS--0.7%
- ------------------------------------------------------------------------------------------------------------
METALS & MINING--0.2%
Rio Tinto Finance USA Ltd., 2.625% Unsec. Nts., 9/30/08 1,295,000 1,291,257
- ------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.5%
International Paper Co., 4.25% Sr. Unsec. Nts., 1/15/09 2,785,000 2,776,244
- ------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--3.8%
- ------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--3.1%
British Telecommunications plc, 8.625% Nts., 12/15/10 3,140,000 3,374,034
- ------------------------------------------------------------------------------------------------------------
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 1 3,660,000 3,874,172
25 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Telecom Italia Capital SpA:
4% Sr. Unsec. Nts., 11/15/08 $ 1,445,000 $ 1,444,957
4% Unsec. Unsub. Nts., 1/15/10 1,890,000 1,865,492
- ------------------------------------------------------------------------------------------------------------
Telefonos de Mexico SAB de CV, 4.75% Sr. Unsec. Unsub. Nts., 1/27/10 3,455,000 3,479,088
- ------------------------------------------------------------------------------------------------------------
Verizon Pennsylvania, 5.65% Sr. Unsec. Unsub. Bonds, Series A, 11/15/11 2,900,000 2,923,609
---------------
16,961,352
- ------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.7%
America Movil SAB de CV, 4.125% Unsec. Unsub. Nts., 3/1/09 860,000 865,781
- ------------------------------------------------------------------------------------------------------------
Vodafone Group plc, 7.75% Unsec. Unsub. Nts., 2/15/10 2,715,000 2,838,508
---------------
3,704,289
- ------------------------------------------------------------------------------------------------------------
UTILITIES--4.4%
- ------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.3%
Appalachian Power Co., 4.40% Sr. Unsec. Bonds, Series J, 6/1/10 1,950,000 1,939,809
- ------------------------------------------------------------------------------------------------------------
FirstEnergy Corp., 6.45% Unsec. Unsub. Nts., Series B, 11/15/11 3,370,000 3,461,694
- ------------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 1,350,000 1,392,297
---------------
6,793,800
- ------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.2%
Panhandle Eastern Pipe Line Co. LLC, 4.80% Sr. Unsec. Nts., 8/15/08 1,335,000 1,334,726
- ------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES--2.9%
CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 2,660,000 2,745,870
- ------------------------------------------------------------------------------------------------------------
Dominion Resources, Inc., 5.125% Sr. Unsec. Unsub. Nts., Series D,
12/15/09 1,950,000 1,972,690
- ------------------------------------------------------------------------------------------------------------
DTE Energy Co., 6.65% Sr. Unsec. Unsub. Nts., Series A, 4/15/09 2,350,000 2,384,855
- ------------------------------------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 7.75% Sr. Unsec. Nts., Series G, 10/1/08 600,000 605,127
- ------------------------------------------------------------------------------------------------------------
NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 2,570,000 2,667,128
- ------------------------------------------------------------------------------------------------------------
Pacific Gas & Electric Co., 4.20% Unsec. Bonds, 3/1/11 975,000 967,691
- ------------------------------------------------------------------------------------------------------------
Public Service Co. of Colorado, 4.375% Sr. Sec. Mtg. Bonds, Series 14,
10/1/08 1,955,000 1,958,304
- ------------------------------------------------------------------------------------------------------------
Public Service Co. of New Mexico, 4.40% Sr. Unsec. Nts., 9/15/08 415,000 413,592
- ------------------------------------------------------------------------------------------------------------
Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 1,755,000 1,851,077
---------------
15,566,334
---------------
Total Corporate Bonds and Notes (Cost $220,150,546) 218,590,661
- ------------------------------------------------------------------------------------------------------------
SHORT-TERM NOTES--7.1%
- ------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 2%, 7/1/08 (Cost $38,656,000) 38,656,000 38,656,000
26 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
EXPIRATION STRIKE
DATE PRICE CONTRACTS VALUE
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.3%
- -----------------------------------------------------------------------------------------------------------------------
Natural Gas Futures, 7/29/08 Call 9
(Cost $1,276,510) 7/28/08 $ 13 169 $ 1,343,550
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $598,581,013) 109.9% 597,457,984
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (9.9) (53,673,333)
-----------------------------
NET ASSETS 100.0% $ 543,784,651
=============================
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 $1,086,454, which represents 0.20% of the Fund's net assets. See Note 7
of accompanying Notes.
3. 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 $117,969,785. See Note 4 of accompanying Notes.
4. 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 $3,766,457 or 0.69% 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. A sufficient amount of liquid assets has been designated to cover outstanding
written call options.
7. 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
Directors. These securities amount to $18,313,254 or 3.37% of the Fund's net
assets as of June 30, 2008.
8. 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.
9. Non-income producing security.
- --------------------------------------------------------------------------------
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).
27 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUATION INPUTS Continued
- --------------------------------------------------------------------------------
The market value of the Fund's investments was determined based on the following
inputs as of June 30, 2008:
INVESTMENTS IN OTHER FINANCIAL
SECURITIES INSTRUMENTS*
- ------------------------------------------------------------------------------------
Level 1--Quoted Prices $ 1,343,548 $(4,025,727)
Level 2--Other Significant Observable Inputs 596,114,436 --
Level 3--Significant Unobservable Inputs -- --
----------------------------------
Total $ 597,457,984 $(4,025,727)
==================================
*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.
- --------------------------------------------------------------------------------
FUTURES CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION PERCENTAGE OF
CONTRACT DESCRIPTION BUY/SELL CONTRACTS EXPIRATION DATES (DEPRECIATION) FUND NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Agriculture Buy $ 5,355,260 0.99%
Energy Buy 3,919,511 0.72
Crude Oil Buy 4,565 7/21/08-5/18/09 39,644,118 7.29
Energy Sell (6,372) 0.00
Industrial Metals Buy 714,731 0.13
Industrial Metals Sell 499,642 0.09
Livestock Buy (585,805) (0.11)
Livestock Sell 126,221 0.02
Precious Metals Buy 1,210,345 0.22
Precious Metals Sell (516,055) (0.09)
Softs Buy 868,074 0.16
---------------------------------
$ 51,229,670 9.42%
=================================
- --------------------------------------------------------------------------------
WRITTEN OPTIONS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
NUMBER OF EXERCISE EXPIRATION PREMIUMS
DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE
- -------------------------------------------------------------------------------------------------------------
Crude Oil Futures Call 40 $ 150 7/17/08 $ 82,692 $ (76,400)
Crude Oil Futures Call 40 155 7/17/08 44,702 (4,800)
Wheat Futures Call 123 1,000 7/25/08 88,871 (51,506)
Wheat Futures Call 122 1,020 7/25/08 75,833 (39,650)
-----------------------------
$ 292,098 $ (172,356)
=============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (THE "SUBSIDIARY")
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
JUNE 30, 2008
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
ASSETS
- ------------------------------------------------------------------------------------------------------------
Investments, at value (cost $598,581,013)--see accompanying statement of investments $ 597,457,984
- ------------------------------------------------------------------------------------------------------------
Cash 627,693
- ------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest 4,683,710
Investments sold (including $614,047 sold on a when-issued or delayed delivery basis) 658,748
Other 9,209
---------------
Total assets 603,437,344
- ------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $292,098)--see accompanying
statement of investments 172,356
- ------------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $7,731,838 purchased on a when-issued or
delayed delivery basis) 55,550,012
Futures margins 3,853,371
Shareholder communications 2,474
Other 74,480
Total liabilities 59,652,693
- ------------------------------------------------------------------------------------------------------------
NET ASSETS $ 543,784,651
===============
- ------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 40,000
- ------------------------------------------------------------------------------------------------------------
Additional paid-in capital 109,240,539
- ------------------------------------------------------------------------------------------------------------
Accumulated net investment income 29,319,282
- ------------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments 354,958,447
- ------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 50,226,383
---------------
NET ASSETS--APPLICABLE TO 4,000,000 SHARES OF BENEFICIAL INTEREST OUTSTANDING $ 543,784,651
===============
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, REDEMPTION PRICE PER SHARE AND OFFERING PRICE PER SHARE $ 135.95
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 2008
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
INVESTMENT INCOME
- ------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $6,662) $ 11,054,509
- ------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------
Management fees 2,148,518
- ------------------------------------------------------------------------------
Directors' compensation 7,480
- ------------------------------------------------------------------------------
Custodian fees and expenses 1,053
- ------------------------------------------------------------------------------
Other 19,965
--------------
Total expenses 2,177,016
Less reduction to custodian expenses (930)
--------------
Net expenses 2,176,086
- ------------------------------------------------------------------------------
NET INVESTMENT INCOME 8,878,423
- ------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (including premiums on options exercised) (15,407)
Closing and expiration of option contracts written 909,019
Closing and expiration of futures contracts 283,542,748
--------------
Net realized gain 284,436,360
- ------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (2,776,048)
Futures contracts 13,835,130
Option contracts written 96,098
--------------
Net change in unrealized appreciation 11,155,180
- ------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $304,469,963
==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30,2008 DECEMBER 31,
(UNAUDITED) 2007
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------------------------------
Net investment income $ 8,878,423 $ 14,572,645
- --------------------------------------------------------------------------------------------------------------
Net realized gain 284,436,360 145,259,201
- --------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation 11,155,180 45,744,599
------------------------------
Net increase in net assets resulting from operations 304,469,963 205,576,445
- --------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- --------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from beneficial interest transactions (130,000,000) (115,550,000)
- --------------------------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------------------------
Total increase 174,469,963 90,026,445
- --------------------------------------------------------------------------------------------------------------
Beginning of period 369,314,688 279,288,243
------------------------------
End of period (including accumulated net investment income of
$29,319,282 and $20,440,859, respectively) $543,784,651 $ 369,314,688
==============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
RAF Fund Ltd. (the "Fund") is organized as a Cayman Islands Company Limited by
Shares. The Fund intends to carry on the business of an investment company and
to acquire, invest in and hold by way of investment, sell and deal in
commodities and interests therein including futures contracts, options and
forward contracts, shares, stocks, call options, put options, debenture stock,
bonds, obligations, certificates of deposit, bills of exchange and securities of
all kinds. The Fund's investment manager is OppenheimerFunds, Inc. ("OFI" or
"Investment Manager"). The Sub-Adviser is Oppenheimer Real Asset Management,
Inc. ("ORAMI" or the "Subadviser"), a wholly-owned subsidiary of the Investment
Manager. As of June 30, 2008, 100% of the Fund was owned by Oppenheimer
Commodity Strategy Total Return Fund ("OCSTRF"). OFI is also the investment
adviser of OCSTRF and ORAMI is also the Subadviser of OCSTRF.
The beneficial interest of each investor in the Fund is represented by
units of participating shares. The Fund's directors may further designate
classes of participating shares and series within each class. As of June 30,
2008, the directors have not designated classes or series of outstanding
participating shares. During the six months ended, all income, profits, losses
and expenses, if any, of the Fund were allocated pro rata to all participating
shares of the Fund. Issuance of additional participating shares is at the
discretion of the Fund's directors.
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
Directors or dealers. These securities are typically classified within Level 1
or 2; however, they may be designated as Level 3 if the dealer or portfolio
pricing service values a security through an internal model with significant
unobservable market data inputs.
32 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
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 Directors (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.
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.
33 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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 $ 7,731,838
Sold securities 614,047
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of the
Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for
trading. Foreign exchange rates may be valued primarily using a reliable bank,
dealer or service authorized by the Board of Directors.
Reported net realized gains and losses from foreign currency transactions
arise from sales of portfolio securities, sales and maturities of short-term
securities, sales of foreign currencies, exchange rate fluctuations between the
trade and settlement dates on securities transactions, and the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Fund's books and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized appreciation and depreciation on the
translation of assets and liabilities denominated in foreign currencies arise
from changes in the values of assets and liabilities, including investments in
securities at fiscal period end, resulting from changes in exchange rates.
34 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
INVESTMENTS WITH OFF-BALANCE SHEET MARKET RISK. The Fund enters into financial
instrument transactions 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.
- --------------------------------------------------------------------------------
INCOME TAXES. The Fund has received an undertaking from the Government of the
Cayman Islands exempting it from all local income, profits and capital gains
taxes through May of 2036. No such taxes are levied in the Cayman Islands at the
present time. The Fund is a Controlled Foreign Corporation under U.S. tax laws
and as such is not subject to U.S. income tax. Therefore, the Fund is not
required to record a tax provision.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, if any, are declared and paid annually from the Fund's tax basis
earnings and profits. Distributions are recorded on ex-dividend date.
- --------------------------------------------------------------------------------
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 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
directors 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
35 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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. CAPITAL TRANSACTIONS
The Fund has authorized 5,000,000 participating shares of $.01 par value per
share. The Fund issued 4,000,000 participating shares for $500,000 on August 15,
2006 in conjunction with OCSTRF's initial capitalization of the Fund. All
subsequent capital contributions and withdrawals did not have participating
shares associated with the transaction.
Capital transactions were as follows:
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2008 DECEMBER 31, 2007
AMOUNT AMOUNT
--------------------------------------------------------------
Contributions $ 5,000,000 $ 25,000,000
Withdrawals (135,000,000) (140,550,000)
-----------------------------------
Net decrease $(130,000,000) $ (115,550,000)
===================================
- --------------------------------------------------------------------------------
3. EXPENSES
INVESTMENT MANAGEMENT FEES. Investment management fees paid to the Investment
Manager were in accordance with the investment advisory agreement with the Fund
which provides for a fee at an average annual rate as shown in the following
table:
FEE SCHEDULE
-----------------------------------
Up to $200 million 1.00%
Next $200 million 0.90
Next $200 million 0.85
Next $200 million 0.80
Over $800 million 0.75
36 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
SUB-ADVISER FEES. The Investment Manager retains the Sub-Adviser to provide the
day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement,
the Investment Manager pays the Sub-Adviser an annual fee in monthly
installments, based on the average daily net assets of the Fund at an average
annual rate as shown in the following table:
FEE SCHEDULE
--------------------------------------------
Up to $200 million 0.500%
Next $200 million 0.450
Next $200 million 0.425
Next $200 million 0.400
Over $800 million 0.375
The Fund shall bear all fees and expenses related to the business and affairs of
the Fund, including among others, directors' fees, audit fees, custodian fees
and expenses in connection with the purchase and sale of securities and other
Fund assets.
- --------------------------------------------------------------------------------
4. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. The Fund may buy and sell futures contracts that relate to broadly based
securities indices (financial futures), debt securities (interest rate futures)
and various commodities (commodity index futures). The Fund may also buy or
write put or call options on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be
valued at the final settlement price or official closing price on the principal
exchange as reported by such principal exchange at its trading session ending
at, or most recently prior to, the time when the Fund's assets are valued.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker to cover initial margin requirements on
open futures contracts and the receivable and/or payable for the daily mark to
market for variation margin are noted in the Statement of Assets and
Liabilities. The net change in unrealized appreciation (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 the Fund may be unable to enter into a closing transaction or
an offsetting position due to an illiquid market 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.
37 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
RAF FUND LTD. (the "SUBSIDIARY")
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security at a fixed price, upon
exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded. The difference between the premium
received or paid, and market value of the option, is recorded as unrealized
appreciation or depreciation. The net change in unrealized appreciation or
depreciation is reported in the Statement of Operations. When an option is
exercised, the cost of the security purchased or the proceeds of the security
sale are adjusted by the amount of premium received or paid. Upon the expiration
or closing of the option transaction, a gain or loss is reported in the
Statement of Operations.
Securities designated to cover outstanding call or put options are noted
in the Statement of Investments where applicable. Options written are reported
in a schedule following the Statement of Investments and as a liability in the
Statement of Assets and Liabilities.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security or commodity
increases and the option is exercised. The risk in writing a put option is that
the Fund may incur a loss if the market price of the security or commodity
decreases and the option is exercised. The risk in buying an option is that the
Fund pays a premium whether or not the option is exercised. The Fund also has
the additional risk that there may be an illiquid market where the Fund is
unable to close the contract.
Written option activity for the six months ended June 30, 2008 was as follows:
CALL OPTIONS PUT OPTIONS
------------------------ -------------------------
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------
Options outstanding as of
December 31, 2007 39 $ 27,788 -- $ --
Options written 1,187 1,042,195 2,342 480,920
Options closed or expired (815) (706,452) (1,994) (373,853)
Options exercised (86) (71,433) (348) (107,067)
----------------------------------------------------
Options outstanding as of
June 30, 2008 325 $ 292,098 -- $ --
====================================================
- --------------------------------------------------------------------------------
6. ILLIQUID SECURITIES
As of June 30, 2008, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time.
Securities that are illiquid are marked with the applicable footnote on the
Statement of Investments.
38 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND
- --------------------------------------------------------------------------------
7. FINANCIAL HIGHLIGHTS
The following represents the total return of the Fund for the six months ended
June 30, 2008. Total return was calculated based upon the daily returns of the
Fund during this period. The calculation has not been annualized for reporting
purposes:
Six Months Ended June 30, 2008 (Unaudited) 88.37%
Year Ended December 31, 2007 80.70%
Four Months Ended December 31, 2006 1 (15.18)%
Period Ended August 31, 2006 2 (2.47)%
The following represents certain financial ratios of the Fund for the periods
noted. The computation of the net investment income and total expense ratios was
based upon the daily net assets of the Fund during these periods. The
calculations have been annualized for reporting purposes:
FOUR MONTHS
SIX MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED
JUNE 30, 2008 DEC. 31, 2007 DEC. 31,2006 1 AUGUST 31, 2006 2
- -------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 3.86% 4.41% 4.47% 4.45%
Total expenses 0.95% 0.97% 0.99% 0.84%
1. The Fund changed its fiscal year end from August 31 to December 31.
2. For the period from August 15, 2006 (commencement of operations) through
August 31, 2006.
- --------------------------------------------------------------------------------
8. 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.
39 | OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN 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 Commodity Strategy Total Return Fund
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