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 811-21916
---------
Oppenheimer SMA Core Bond Fund
------------------------------
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
------------------------------------------------------
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
---------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
--------------
Date of fiscal year end: December 31
-----------
Date of reporting period: 06/30/2008
----------
ITEM 1. REPORTS TO STOCKHOLDERS.
JUNE 30, 2008
- --------------------------------------------------------------------------------
Oppenheimer Management
SMA Core Bond Commentaries
Fund and
Semiannual
Report
- --------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- TOP TEN INDUSTRIES
- ---------------------------------------------------------------------
Diversified Financial Services 4.4%
- ---------------------------------------------------------------------
Commercial Banks 4.0
- ---------------------------------------------------------------------
Insurance 3.1
- ---------------------------------------------------------------------
Capital Markets 3.0
- ---------------------------------------------------------------------
Media 2.2
- ---------------------------------------------------------------------
Hotels, Restaurants & Leisure 1.6
- ---------------------------------------------------------------------
Automobiles 1.3
- ---------------------------------------------------------------------
Diversified Telecommunication Services 0.9
- ---------------------------------------------------------------------
Oil, Gas & Consumable Fuels 0.9
- ---------------------------------------------------------------------
Multiline Retail 0.8
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2008, and are based on net assets.
CREDIT ALLOCATION
- ----------------------------------------------------------------------
Agency 29.8%
- ----------------------------------------------------------------------
AAA 34.9
- ----------------------------------------------------------------------
AA 2.7
- ----------------------------------------------------------------------
A 7.8
- ----------------------------------------------------------------------
BBB 5.8
- ----------------------------------------------------------------------
BB 3.6
- ----------------------------------------------------------------------
Not Rated 14.5
- ----------------------------------------------------------------------
Other Securities 0.9
Portfolio holdings and allocations are subject to change. Percentages are as of
June 30, 2008, and are based on the total market value of investments. Average
credit quality and ratings include securities rated by a national rating
organization. As of that date, no securities held by the Fund were rated lower
than BB.
10 | OPPENHEIMER SMA CORE BOND FUND
NOTES
- --------------------------------------------------------------------------------
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 CONTACTING YOUR ADVISER OR THE "WRAP-FREE" PROGRAM SPONSOR.
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.
Shares of the Fund commenced operations on 7/23/07.
An explanation of the calculation of performance is in the Fund's
Statement of Additional Information.
11 | OPPENHEIMER SMA CORE BOND FUND
FUND EXPENSES
- --------------------------------------------------------------------------------
FUND EXPENSES As a shareholder of the Fund, you incur two types of costs
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.
As a shareholder of the Fund, you incur 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, 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, and an
assumed rate of return of 5% per year 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 with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
12 | OPPENHEIMER SMA CORE BOND FUND
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such
as front-end or contingent deferred sales charges (loads), or a $12.00 fee
imposed annually on accounts valued at less than $500.00 (subject to
exceptions described in 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
- ------------------------------------------------------------------------------------------
$ 1,000.00 $ 991.50 $ 0.00
HYPOTHETICAL
(5% return before expenses)
- ------------------------------------------------------------------------------------------
1,000.00 1,024.86 0.00
Expenses are equal to the Fund's annualized expense ratio, multiplied by the
average account value over the period, multiplied by 182/366 (to reflect the
one-half year period). The annualized expense ratio, excluding indirect expenses
from affiliated fund, based on the 6-month period ended June 30, 2008 is as
follows:
EXPENSE RATIO
- -------------
0.00%
The expense ratio reflects reduction to custodian expenses and voluntary waivers
or reimbursements of expenses by the Fund's Manager that can be terminated at
any time, without advance notice. The "Financial Highlights" table in the Fund's
financial statements, included in this report, also show the gross expense
ratio, without such waivers or reimbursements and reduction to custodian
expenses, if applicable.
13 | OPPENHEIMER SMA CORE BOND FUND
THIS PAGE INTENTIONALLY LEFT BLANK.
14 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS June 30, 2008 / Unaudited
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--3.9%
- -----------------------------------------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust, Automobile Asset-Backed
Certificates, Series 2005-1, Cl. A4, 2.491%, 4/15/11 1 $ 252,628 $ 252,055
- -----------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed
Pass-Through Certificates, Series 2006-WFH4, Cl. A1, 2.533%, 11/25/36 1 54,975 54,284
- -----------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Asset-Backed Certificates,
Series 2005-11, Cl. AF2, 4.657%, 2/25/36 29,778 29,741
- -----------------------------------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.,
Series 2007-3, Cl. A3, 2.821%, 6/15/12 1 260,000 259,348
- -----------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable
Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 40,985 41,115
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2006-WMC1, Mtg. Asset-Backed
Certificates, Series 2006-WMC1, Cl. A2B, 2.623%, 1/25/37 1 36,199 35,986
- -----------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 2.583%, 7/1/36 1 130,000 125,069
- -----------------------------------------------------------------------------------------------------------
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-KS7, Cl. A2, 2.583%, 9/25/36 1 130,000 125,773
- -----------------------------------------------------------------------------------------------------------
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-BNC3, Cl. A2, 2.523%, 9/25/36 1 39,556 38,956
---------------
Total Asset-Backed Securities (Cost $ 963,476) 962,327
- -----------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--90.2%
- -----------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--52.7%
- -----------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--52.7%
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2351, Cl. PZ, 6.50%, 8/15/31 560,636 596,951
Series 2538, Cl. F, 3.071%, 12/15/32 1,2 174,370 174,995
Series 2592, Cl. F, 3.221%, 12/15/32 1 202,995 203,598
Series 2691, Cl. MG, 4.50%, 10/15/33 310,000 284,431
Series 2750, Cl. XG, 5%, 2/1/34 200,000 188,275
Series 2754, Cl. PE, 5%, 2/15/34 276,000 258,474
Series 2844, Cl. PE, 5%, 8/15/34 211,000 197,956
Series 2890, Cl. PE, 5%, 11/1/34 200,000 187,338
Series 2936, Cl. PE, 5%, 2/1/35 262,000 245,025
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 2989, Cl. TS, 56.477%, 6/15/25 3 844,358 99,292
- -----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/25/19 719,711 702,258
4.50%, 7/1/22 4 590,000 570,272
5%, 3/25/18-9/1/33 1,471,703 1,461,586
5%, 9/25/33 2 448,328 432,575
5%, 7/1/22-7/1/37 4 1,321,000 1,274,184
5.50%, 5/1/34-9/1/36 1,362,462 1,351,152
5.50%, 7/1/22-7/1/37 4 1,926,000 1,902,802
F1 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn.: Continued
6%, 12/1/33 $ 956,799 $ 970,983
6%, 7/1/22 4 460,000 471,572
- -----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 2001-74, Cl. QE, 6%, 12/25/31 443,250 456,056
Trust 2003-130, Cl. CS, 9.135%, 12/25/33 1 111,537 107,662
Trust 2005-59, Cl. NQ, 10.669%, 5/25/35 1 111,258 107,391
- -----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2002-60, Cl. SM, 38.567%, 8/25/32 3 59,840 5,493
Trust 2002-7, Cl. SK, 41.226%, 1/25/32 3 23,096 2,378
Trust 2002-77, Cl. BS, 33.422%, 12/18/32 3 36,086 4,193
Trust 2002-77, Cl. JS, 33.35%, 12/18/32 3 62,087 7,312
Trust 2002-77, Cl. SA, 33.473%, 12/18/32 3 57,709 7,040
Trust 2002-90, Cl. SN, 38.565%, 8/25/32 3 30,966 2,830
Trust 2002-90, Cl. SY, 41.146%, 9/25/32 3 15,002 1,476
Trust 2003-26, Cl. XS, 55.375%, 3/25/23 3 980,571 98,777
Trust 2003-52, Cl. NS, 45.309%, 6/25/23 3 350,258 37,059
Trust 2006-43, Cl. SJ, 50.991%, 6/25/36 3 479,931 45,945
Trust 2543, Cl. UB, 95.478%, 11/15/21 3 546,218 41,258
Trust 339, Cl. 12, 7.81%, 7/1/33 3 74,079 18,710
Trust 342, Cl. 2, 9.286%, 9/1/33 3 578,695 155,667
Trust 343, Cl. 13, 8.358%, 9/1/33 3 60,806 15,293
Trust 351, Cl. 9, 5.067%, 10/1/34 3 665,828 161,186
Trust 354, Cl. 2, 9.574%, 11/1/34 3 227,845 58,916
Trust 364, Cl. 16, 9.622%, 9/1/35 3 76,601 19,125
---------------
12,927,486
- -----------------------------------------------------------------------------------------------------------
NON-AGENCY--37.5%
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL--14.2%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 240,000 220,006
- -----------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B,
5.205%, 12/11/49 260,000 253,228
- -----------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Series 2006-A5, Cl. 1A1, 2.883%, 10/25/36 1 175,926 150,043
Series 2006-A5, Cl. 1A13, 2.933%, 10/25/36 1 84,139 70,317
- -----------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.512%, 2/15/39 160,000 160,139
- -----------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2006-8, Asset-Backed Certificates,
Series 2006-8, Cl. 2A1, 2.513%, 1/25/46 1 33,080 32,827
- -----------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-HY13, Mtg. Pass-Through Certificates,
Series 2006-HY13, Cl. 3A1, 5.978%, 1/1/47 1 87,339 82,699
F2 | OPPENHEIMER SMA CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
First Horizon Alternative Mortgage Securities Trust 2004-FA2,
Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 $ 45,682 $ 40,444
- -----------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 330,000 323,132
- -----------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg.
Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 70,000 66,316
- -----------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 60,000 56,043
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 250,000 247,100
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 330,000 321,554
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 220,000 220,689
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg.
Pass-Through Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 50,000 49,909
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg.
Pass-Through Certificates:
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 140,000 138,817
Series 2006-C1, Cl. AM, 5.217%, 2/11/31 1 140,000 126,740
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg.
Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 30,000 29,361
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9,
Commercial Mtg. Pass-Through Certificates, Series 2007-9,
Cl. A4, 5.70%, 9/1/17 160,000 151,188
- -----------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-3, Mtg. Pass-Through Certificates,
Series 2007-3, Cl. 1A1, 5.658%, 6/1/37 1 227,602 213,413
- -----------------------------------------------------------------------------------------------------------
Wachovia Mortgage Loan Trust LLC, Mtg. Pass-Through Certificates,
Series 2007-A, Cl. 1A1, 5.996%, 3/1/37 1 35,498 35,032
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A4,
5.882%, 8/1/46 1 228,385 221,240
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.714%, 2/25/37 1,5 49,688 27,328
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.665%, 3/1/37 1 127,257 92,535
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.636%, 11/1/36 1 48,521 46,198
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.658%, 5/1/37 1 51,258 47,836
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-EE Trust,
Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A2, 4.013%, 12/1/34 1 63,327 62,503
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-U Trust,
Mtg. Pass-Through Certificates, Series 2004-U, Cl. A1, 6.313%, 10/1/34 1 11,018 10,993
---------------
3,497,630
F3 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
MANUFACTURED HOUSING--1.6%
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/36 1 $ 184,869 $ 176,850
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR2, Cl. 2A5, 5.106%, 3/25/36 1 218,285 211,616
-------------
388,466
- -----------------------------------------------------------------------------------------------------------
MULTIFAMILY--8.9%
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates:
Series 2003-E, Cl. 2A2, 4.606%, 6/25/33 1 105,370 105,131
Series 2005-F, Cl. 2A3, 4.713%, 7/25/35 1 158,309 153,473
- -----------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates,
Series 2006-4, Cl. 2A1, 5.794%, 10/25/36 1 85,547 75,973
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through
Certificates, Series 2003-46, Cl. 1A2, 4.13%, 1/19/34 1 104,202 103,378
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through
Certificates, Series 2005-HYB1, Cl. 1A2, 4.995%, 3/25/35 1 147,537 140,160
- -----------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY1, Mtg. Pass-Through
Certificates, Series 2007-HY1, Cl. 1A1, 5.694%, 4/25/37 1 239,973 224,164
- -----------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 1 A3A, 5.89%, 7/25/36 1 76,406 74,199
- -----------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through
Certificates, Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 140,000 120,332
- -----------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through
Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 110,000 98,622
- -----------------------------------------------------------------------------------------------------------
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates:
Series 2004-J4, Cl. A7, 5.50%, 9/25/34 100,000 90,296
Series 2005-AR4, Cl. 2A1, 5.297%, 7/19/35 1 159,493 137,792
- -----------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 3A1, 5.149%, 11/25/35 1 258,809 247,105
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through
Certificates, Series 2007-2, Cl. 2A1, 5.995%, 6/25/37 1 191,021 183,652
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through
Certificates, Series 2004-AA, Cl. 2A, 4.993%, 12/25/34 1 50,375 49,015
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through
Certificates, Series 2004-S, Cl. A1, 3.541%, 9/25/34 1 41,480 39,503
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass-Through
Certificates, Series 2005-AR2, Cl. 2A2, 4.542%, 3/25/35 1 30,754 29,737
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass-Through
Certificates, Series 2005-AR4, Cl. 2A2, 4.526%, 4/25/35 1 50,642 48,506
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust,
Mtg. Pass-Through Certificates:
Series 2006-AR10, Cl. 2A1, 5.646%, 7/25/36 1 79,876 77,359
Series 2006-AR10, Cl. 4A1, 5.561%, 7/25/36 1 110,189 106,743
F4 | OPPENHEIMER SMA CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
MULTIFAMILY Continued
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR2, Cl. 2A6, 5.106%, 3/25/36 1 $ 45,162 $ 41,933
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/36 1 46,418
44,729
-----------------
2,191,802
- ------------------------------------------------------------------------------------------------------------
RESIDENTIAL--12.8%
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through
Certificates, Series 2007-4, Cl. A4, 5.936%, 7/1/17 1 110,000 104,973
- ------------------------------------------------------------------------------------------------------------
Bank of America Alternative Loan Trust, Mtg. Pass-Through Certificates,
Series 2003-1, Cl. A6, 6%, 2/1/33 78,732 78,020
- ------------------------------------------------------------------------------------------------------------
Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through
Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 60,000 55,102
- ------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through
Certificates, Series 2007-HY4, Cl. 1A1, 6.094%, 9/25/47 1 235,259 211,733
- ------------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 79,712 76,517
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates,
Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 89,704 84,123
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates,
Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 71,569 65,154
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates,
Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 140,000 119,602
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates,
Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 81,092 71,867
- ------------------------------------------------------------------------------------------------------------
CWALT Alternative Loan Trust 2006-41CB, Mtg. Pass-Through Certificates,
Series 2006-41CB, Cl. 1A10, 6%, 1/1/37 244,711 229,987
- ------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates,
Series 2007-AR1, Cl. 4A1, 5.832%, 3/1/37 1,5 126,283 114,462
- ------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through
Certificates, Series 2007-C7, Cl. A3, 5.866%, 9/11/45 250,000 239,030
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed
Certificates, Series 2005-A1, Cl.2 A1, 4.516%, 12/25/34 1 27,620 27,043
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates,
Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 1 70,000 65,947
- ------------------------------------------------------------------------------------------------------------
RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2004-QS10, Cl. A3, 2.983%, 7/25/34 1 42,918 38,340
- ------------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates,
Series 2007-S1, Cl. 3A1, 5.009%, 8/1/22 1 247,891 240,249
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through
Certificates, Series 2003-AR9, Cl. 2A, 4.046%, 9/25/33 1 73,745 70,601
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through
Certificates, Series 2005-AR14, Cl. 1A1, 5.053%, 12/1/35 1 138,530 134,970
F5 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1,
5.75%, 10/25/36 1 $ 227,059 $ 210,696
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.13%, 8/25/36 1 220,057 216,026
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.611%, 11/1/36 1 38,040 35,939
- ------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.698%, 6/25/37 1 152,736 141,796
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2003-6 Trust,
Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 82,792 80,081
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-EE Trust,
Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A1, 4.013%, 12/1/34 1 26,386 26,043
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R Trust,
Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.365%, 9/1/34 1 20,231 19,698
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust,
Mtg. Pass-Through Certificates:
Series 2006-AR10, Cl. 5A3, 5.595%, 7/1/36 1 41,243 40,312
Series 2006-AR10, Cl. 5A6, 5.595%, 7/1/36 1 213,496 205,753
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A5, 5.752%, 9/1/36 1,5 93,987 71,430
- ------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.54%, 4/1/36 1,5 99,644 65,765
-----------------
3,141,259
-----------------
Total Mortgage-Backed Obligations (Cost $ 22,158,706) 22,146,643
- ------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--23.7%
- ------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--5.9%
- ------------------------------------------------------------------------------------------------------------
AUTOMOBILES--1.3%
Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 230,000 200,664
- ------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8% Bonds, 11/1/31 190,000 123,952
-----------------
324,616
- ------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--1.6%
- ------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 300,000 296,625
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 100,000 92,000
-----------------
388,625
F6 | OPPENHEIMER SMA CORE BOND FUND
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
MEDIA--2.2%
Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 5 $ 160,000 $ 161,590
- ------------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 55,000 55,823
- ------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 80,000 67,840
- ------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.25% Sr. Unsec. Nts., 7/15/08 100,000 100,250
- ------------------------------------------------------------------------------------------------------------
Tribune Co., 5.50% Nts., Series E, 10/6/08 150,000 147,375
-----------------
532,878
- ------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.8%
Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 5 80,000 80,100
- ------------------------------------------------------------------------------------------------------------
Macy's Retail Holdings, Inc., 4.80% Sr. Nts., 7/15/09 123,000 120,572
-----------------
200,672
- ------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--0.5%
- ------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.5%
- ------------------------------------------------------------------------------------------------------------
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 100,000 102,967
- ------------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 15,000 17,723
-----------------
120,690
- ------------------------------------------------------------------------------------------------------------
ENERGY--0.9%
- ------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS--0.9%
- ------------------------------------------------------------------------------------------------------------
Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 45,000 43,009
- ------------------------------------------------------------------------------------------------------------
Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 25,000 25,238
- ------------------------------------------------------------------------------------------------------------
TEPPCO Partners LP, 6.125% Nts., 2/1/13 30,000 29,786
- ------------------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 120,000 117,332
-----------------
215,365
- ------------------------------------------------------------------------------------------------------------
FINANCIALS--15.0%
- ------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--3.0%
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 215,000 182,998
- ------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38 270,000 251,436
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 310,000 291,748
-----------------
726,182
- ------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--4.0%
- ------------------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bonds 6 340,000 280,898
- ------------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 6,7 400,000 280,660
- ------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 340,000 273,163
- ------------------------------------------------------------------------------------------------------------
Popular North America, Inc.:
3.875% Sr. Bonds, Series E, 10/1/08 90,000 89,816
4.70% Nts., 6/30/09 60,000 59,280
-----------------
983,817
F7 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.5%
SLM Corp.:
3.95% Nts., Series A, 8/15/08 $ 10,000 $ 9,933
4% Nts., 1/15/09 115,000 113,604
---------------
123,537
- --------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--4.4%
- --------------------------------------------------------------------------------------------
Bank of America Corp.:
8% Unsec. Perpetual Bonds, Series K 6 180,000 169,063
8.125% Perpetual Bonds, Series M 6 30,000 28,395
- --------------------------------------------------------------------------------------------
Capmark Financial Group, Inc.:
3.366% Sr. Unsec. Nts., 5/10/10 1 75,000 57,844
5.875% Sr. Unsec. Nts., 5/10/12 200,000 141,239
- --------------------------------------------------------------------------------------------
Citigroup, Inc.:
8.30% Jr. Sub. Bonds, 12/21/57 1 250,000 237,130
8.40% Perpetual Bonds, Series E 6 105,000 99,945
- --------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1 6 210,000 197,490
- --------------------------------------------------------------------------------------------
Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 150,000 151,678
---------------
1,082,784
- --------------------------------------------------------------------------------------------
INSURANCE--3.1%
- --------------------------------------------------------------------------------------------
Axa SA, 6.379% Sub. Perpetual Bonds 6,7 300,000 241,776
- --------------------------------------------------------------------------------------------
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 1 270,000 236,939
- --------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 7
100,000 116,562
- --------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 7
150,000 164,610
---------------
759,887
- --------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.2%
- --------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.2%
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 60,000 60,849
- --------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--0.9%
- --------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--0.9%
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 225,000 230,621
- --------------------------------------------------------------------------------------------
UTILITIES--0.3%
- --------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.3%
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10
50,000 51,270
- --------------------------------------------------------------------------------------------
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 25,000 25,783
---------------
77,053
---------------
Total Corporate Bonds and Notes (Cost $ 6,202,395) 5,827,576
F8 | OPPENHEIMER SMA CORE BOND FUND
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANY--1.1%
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 2.69% 8,9
(Cost $260,747) 260,747 $ 260,747
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $29,585,324) 118.9% 29,197,293
- --------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (18.9) (4,639,097)
---------------------------------
NET ASSETS 100.0% $ 24,558,196
=================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Represents the current interest rate for a variable or increasing
rate security.
2. 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 $607,570. See Note 5 of accompanying Notes.
3. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $781,950 or 3.18% of the Fund's net assets as
of June 30, 2008.
4. When-issued security or delayed delivery to be delivered and settled after
June 30, 2008. See Note 1 of accompanying Notes.
5. Illiquid security. The aggregate value of illiquid securities as of June 30,
2008 was $520,675, which represents 2.12% of the Fund's net assets. See Note 7
of accompanying Notes.
6. 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.
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 $803,608 or 3.27% of the Fund's net assets
as of June 30, 2008.
8. 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 2,086,864 7,696,004 9,522,121 260,747
DIVIDEND
VALUE INCOME
- ---------------------------------------------------------------------------------------------------------
Oppenheimer Institutional
Money Market Fund, Cl. E $ 260,747 $ 24,993
9. Rate shown is the 7-day yield as of June 30, 2008.
F9 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
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 $ 260,747 $ (6,203)
Level 2--Other Significant Observable Inputs 28,223,952 (551,504)
Level 3--Significant Unobservable Inputs 712,594 --
----------------------------------
Total $ 29,197,293 $ (557,707)
==================================
*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 Buy 9 9/19/08 $ 1,040,344 $ 15,829
U.S. Treasury Nts., 2 yr. Sell 16 9/30/08 3,379,250 (7,222)
U.S. Treasury Nts., 5 yr. Sell 22 9/30/08 2,432,203 9,002
U.S. Treasury Nts., 10 yr. Sell 14 9/19/08 1,594,906 (14,304)
-------------------
$ 3,305
===================
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PAY/ PREMIUM
SWAP REFERENCE CREDIT AMOUNT RECEIVE TERMINAT RECEIVED/
COUNTERPARTY ENTITY PROTECTION (000S) FIXED RATE DATE (PAID) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
Dillard's, Inc. Sell $ 45 1.900% 12/20/08 $ -- $ (434)
HCP, Inc. Sell 60 4.600 3/20/09 -- 61
iStar Financial, Inc. Sell 70 4.400 12/20/12 -- (5,793)
Kohl's Corp. Sell 40 0.900 6/20/13 -- (528)
Kohl's Corp. Buy 40 1.040 6/20/18 -- 842
Kohl's Corp. Sell 35 1.080 6/20/13 -- (187)
Kohl's Corp. Buy 35 1.180 6/20/18 -- 375
F10 | OPPENHEIMER SMA CORE BOND FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PAY/ PREMIUM
SWAP REFERENCE CREDIT AMOUNT RECEIVE TERMINATION RECEIVED/
COUNTERPARTY ENTITY PROTECTION (000S) FIXED RATE DATE (PAID) VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
Continued
Merrill Lynch & Co., Inc. Sell $ 255 0.680% 9/20/08 $ -- $ 37
Morgan Stanley Sell 230 2.150 9/20/08 -- 848
Six Flags, Inc. Sell 65 8.250 12/20/08 -- (4,779)
XL Capital Ltd. Sell 85 3.550 9/20/09 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
ArvinMeritor, Inc. Sell 105 2.750 9/20/08 -- (890)
CenturyTel, Inc. Buy 50 1.230 9/20/13 -- 1,059
Intelsat Ltd. Sell 65 3.450 9/20/08 -- 259
iStar Financial, Inc. Sell 25 4.000 12/20/12 -- (2,396)
iStar Financial, Inc. Sell 25 12.000 3/20/09 -- 920
Morgan Stanley Sell 245 2.150 9/20/08 -- 904
Pulte Homes, Inc. Sell 150 3.450 9/20/09 -- (440)
Rite Aid Corp. Sell 30 7.500 3/20/09 -- 379
Saks, Inc. Sell 105 2.000 9/20/08 -- 107
Sprint Nextel Corp. Sell 370 2.550 3/20/09 -- (2,836)
The Bear Stearns Cos., Inc. Sell 115 2.088 12/20/08 -- 50
The Goodyear Tire &
Rubber Co. Sell 100 1.550 9/20/08 -- 10
TXU Corp. Sell 20 5.910 12/20/12 -- (133)
TXU Corp. Sell 20 6.050 12/20/12 -- (39)
TXU Corp. Sell 25 6.000 12/20/12 -- (91)
Univision
Communications, Inc. Sell 5 14.600 3/20/09 -- 275
Vale Overseas Ltd. Sell 125 1.270 8/20/17 -- (1,153)
Vornado Realty LP Sell 40 3.600 3/20/09 -- 946
Wachovia Corp. Sell 80 1.000 3/20/09 -- 5
Washington Mutual, Inc. Sell 45 6.500 12/20/08 -- (186)
Washington Mutual, Inc. Sell 150 6.800 6/20/09 -- (1,345)
- ---------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
ABX.HE.AA.06-2 Index Sell 30 0.170 5/25/46 3,600 (23,891)
Ambac Assurance Corp. Sell 50 8.450 12/20/08 -- (4,255)
Ambac Assurance Corp. Sell 100 4.550 9/20/08 -- (7,813)
Ambac Assurance Corp. Sell 80 4.550 9/20/08 -- (6,250)
American International
Group, Inc. Sell 255 1.650 3/20/09 -- 65
CDX.NA.IG.10 Index Buy 420 1.550 6/20/13 9,319 (2,314)
Cemex Sell 40 2.000 3/20/09 -- 9
Centex Corp. Sell 100 1.550 9/20/09 -- (2,561)
CenturyTel, Inc. Buy 85 1.230 9/20/13 -- 1,801
Citigroup, Inc. Sell 150 1.200 9/20/08 -- (4,639)
Countrywide Home
Loans, Inc. Sell 65 3.250 9/20/08 -- (400)
F11 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PAY/ PREMIUM
SWAP REFERENCE CREDIT AMOUNT RECEIVE TERMINATION RECEIVED/
COUNTERPARTY ENTITY PROTECTION (000S) FIXED RATE DATE (PAID) VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Continued
CVRD Inco Ltd. Buy $ 125 0.660% 9/20/17 $ -- $ 2,417
Georgia-Pacific Corp. Sell 100 1.750 9/20/08 -- (405)
Intelsat Ltd. Sell 25 2.850 9/20/08 -- 62
iStar Financial, Inc. Sell 70 3.000 12/20/08 -- (2,328)
iStar Financial, Inc. Sell 10 4.320 12/20/12 -- (854)
iStar Financial, Inc. Sell 60 12.000 3/20/09 -- 2,209
iStar Financial, Inc. Sell 120 2.925 12/20/08 -- (4,034)
Jones Apparel Group, Inc. Sell 40 2.720 6/20/13 -- (786)
Jones Apparel Group, Inc. Buy 40 2.635 6/20/18 -- 1,208
Kohl's Corp. Sell 40 1.180 6/20/13 -- (39)
Kohl's Corp. Buy 40 1.300 6/20/18 -- 74
Lehman Brothers
Holdings, Inc. Sell 130 1.410 9/20/08 -- (1,539)
Liz Claiborne, Inc. Sell 150 3.250 6/20/09 -- 93
MBIA, Inc. Sell 125 1.300 9/20/08 -- (10,088)
MBIA Insurance Corp. Sell 185 8.850 12/20/08 -- (32,408)
Owens-Illinois, Inc. Sell 55 1.250 9/20/08 -- 13
Prudential Financial, Inc. Sell 95 2.050 6/20/09 -- (36)
The Bear Stearns Cos., Inc. Sell 255 2.350 9/20/08 -- (252)
TXU Corp. Sell 190 2.550 9/20/08 -- (760)
Vornado Realty LP Sell 80 3.875 6/20/09 -- 2,059
Wachovia Corp. Sell 175 1.000 3/20/09 -- 12
Washington Mutual, Inc. Sell 80 4.500 12/20/08 -- (1,112)
Washington Mutual, Inc. Sell 15 4.500 12/20/08 -- (209)
XL Capital Ltd. Sell 100 3.550 9/20/09 -- (319)
- ---------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP R.H. Donnelley Corp. Sell 85 9.000 3/20/09 -- 1,994
- ---------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
ABX.HE.AA.06-2 Index Sell 90 0.170 5/25/46 58,268 (71,762)
Ambac Assurance Corp. Sell 45 8.500 12/20/08 -- (3,820)
Ambac Assurance Corp. Sell 40 4.650 9/20/08 -- (3,116)
Cemex, Sociedad Anonima
Bursatil De Capital Variable Sell 80 1.950 3/20/09 -- (12)
Centex Corp. Sell 55 3.750 6/20/09 -- 42
CenturyTel, Inc. Buy 40 1.230 9/20/13 -- 847
Dole Food Co., Inc. Sell 100 3.450 9/20/08 -- (779)
D.R. Horton, Inc. Sell 190 4.200 12/20/08 -- 268
Eastman Kodak Co. Sell 250 2.950 6/20/13 -- (9,536)
Eastman Kodak Co. Buy 250 3.100 6/20/18 -- 14,835
General Mills, Inc. Sell 190 0.400 12/20/12 -- 21
Genworth Financial, Inc. Sell 120 3.250 3/20/09 -- 156
F12 | OPPENHEIMER SMA CORE BOND FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PAY/ PREMIUM
SWAP REFERENCE CREDIT AMOUNT RECEIVE TERMINATION RECEIVED/
COUNTERPARTY ENTITY PROTECTION (000S) FIXED RATE DATE (PAID) VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.: Continued
Harrah's Operating Co., Inc. Sell $ 150 5.000% 3/20/10 $ 7,500 $ (12,127)
K. Hovnanian Enterprises, Inc. Sell 100 7.500 9/20/08 -- 78
Levi Strauss & Co. Sell 100 1.600 9/20/08 -- 158
Limited Brands, Inc. Sell 40 2.900 6/20/13 -- (15)
Limited Brands, Inc. Buy 40 2.930 6/20/18 -- (1,962)
Liz Claiborne, Inc. Sell 20 2.750 6/20/13 -- (290)
Liz Claiborne, Inc. Buy 20 2.600 6/20/18 -- 690
Liz Claiborne, Inc. Sell 60 3.150 6/20/13 -- 103
Liz Claiborne, Inc. Buy 60 2.920 6/20/18 -- 824
Macy's, Inc. Sell 75 2.610 6/20/13 -- 1,980
Macy's, Inc. Buy 75 2.540 6/20/18 -- (974)
Macy's, Inc. Sell 40 2.570 6/20/13 -- 988
Macy's, Inc. Buy 40 2.500 6/20/18 -- (410)
Merrill Lynch & Co., Inc. Sell 45 3.000 9/20/08 -- 271
Morgan Stanley Sell 255 0.640 9/20/08 -- (35)
Prudential Financial, Inc. Sell 95 2.100 6/20/09 -- 10
R.H. Donnelley Corp. Sell 15 5.000 3/20/09 1,500 (578)
Rite Aid Corp. Sell 100 3.250 9/20/08 -- (1,567)
Saks, Inc. Sell 100 1.700 9/20/08 -- 26
Sprint Nextel Corp. Buy 190 3.210 9/20/18 -- 205
Sprint Nextel Corp. Sell 445 3.650 6/20/11 -- 105
Tenet Healthcare Corp. Sell 100 4.900 3/20/09 -- 1,445
The Hartford Financial Services
Group, Inc. Sell 40 2.350 3/20/09 -- 398
The Hartford Financial Services
Group, Inc. Sell 40 2.350 3/20/09 -- 398
Toys "R" Us, Inc. Sell 100 3.250 9/20/08 -- (1,148)
Toys "R" Us, Inc. Sell 25 8.610 3/20/09 -- 692
Toys "R" Us, Inc. Sell 10 8.610 3/20/09 -- 277
Univision Communications, Inc. Sell 15 3.000 12/20/08 -- (543)
Univision Communications, Inc. Sell 140 3.000 12/20/08 -- (5,070)
Washington Mutual, Inc. Sell 45 6.800 6/20/09 -- (403)
Washington Mutual, Inc. Sell 35 4.400 12/20/08 -- (504)
- ---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.:
ABX.HE.AA.06-2 Index Sell 40 0.170 5/25/46 4,000 (31,894)
Countrywide Home
Loans, Inc. Sell 315 0.750 9/20/08 -- (3,913)
First Data Corp. Sell 105 3.600 9/20/08 -- 83
F13 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS: Continued
- --------------------------------------------------------------------------------
BUY/SELL NOTIONAL PAY/ PREMIUM
SWAP REFERENCE CREDIT AMOUNT RECEIVE TERMINATION RECEIVED/
COUNTERPARTY ENTITY PROTECTION (000S) FIXED RATE DATE (PAID) VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.: Continued
Ford Motor Co. Sell $ 190 6.050% 12/20/17 $ -- $ (46,002)
General Motors Corp. Sell 130 5.050 12/20/17 -- (42,428)
Harrah's Operating Co., Inc. Sell 190 2.200 9/20/08 -- (1,913)
J.C. Penney Co., Inc. Sell 70 1.300 12/20/17 -- (2,139)
J.C. Penney Co., Inc. Sell 60 1.070 12/20/17 -- (2,789)
Jones Apparel Group, Inc. Sell 80 3.200 6/20/13 -- (22)
Jones Apparel Group, Inc. Buy 80 2.970 6/20/18 -- 675
Kohl's Corp. Buy 90 0.660 12/20/17 -- 2,352
Kohl's Corp. Buy 105 0.870 12/20/17 -- 1,137
Lehman Brothers
Holdings, Inc. Sell 125 0.700 9/20/10 -- (5,842)
Lennar Corp. Sell 190 2.900 12/20/08 -- (3,438)
Liz Claiborne, Inc. Sell 75 3.100 6/20/13 -- (23)
Liz Claiborne, Inc. Buy 75 2.900 6/20/18 -- 1,127
Merrill Lynch & Co., Inc. Sell 220 3.000 9/20/08 -- 1,325
Merrill Lynch & Co., Inc. Sell 90 3.250 9/20/08 -- 599
Residential Capital LLC Sell 150 6.120 9/20/08 -- (2,660)
Sara Lee Corp. Buy 190 0.418 9/20/12 -- 397
The Hartford Financial
Services Group, Inc. Sell 40 2.400 3/20/09 -- 412
------------------------
$ 84,187 $ (334,219)
========================
- --------------------------------------------------------------------------------
INTEREST RATE SWAPS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ---------------------------------------------------------------------------------------------------------------
Three-
Month USD
Credit Suisse International $280,000 BBA LIBOR 5.428% 8/7/17 $ 20,063
- ---------------------------------------------------------------------------------------------------------------
Three-
Month USD
Deutsche Bank AG 230,000 BBA LIBOR 5.445 8/8/17 16,778
----------
$ 36,841
==========
Abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
F14 | OPPENHEIMER SMA CORE BOND FUND
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS AS OF JUNE 30, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------------
Deutsche Bank
AG
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 15
$ 1,100,000 8.5+ Index basis points 8/1/08 $(43,339)
- -------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
If positive, the If negative, the
Total Return of Total Return of
the Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
600,000 8.5+ Index 8.5+ Index 3/1/09 (23,514)
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 200
380,000 8.5+ Index basis points 3/1/09 (9,250)
- -------------------------------------------------------------------------------------------------------------
Lehman Brothers
Holdings, Inc.:
If negative, the
If positive, the Total Return of
Total Return of the Lehman
the Lehman Brothers U.S.
Brothers U.S. CMBS AAA Index
CMBS AAA plus 25
400,000 Index basis points 2/1/09 (8,255)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ Index plus
240,000 8.5+ Index 250 basis points 3/1/09 (9,042)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ Index minus
360,000 8.5+ Index 35 basis points 12/1/08 (14,304)
F15 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- --------------------------------------------------------------------------------------------------------------------------
Morgan Stanley: If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ Index minus
$ 360,000 8.5+ Index 30 basis points 8/1/08 $ (14,155)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ Index plus
200,000 8.5+ Index 150 basis points 8/1/08 (7,265)
If positive, the
Total Return of If negative, the
the Lehman Total Return of the
Brothers U.S. Lehman Brothers
CMBS AAA 8.5+ U.S. CMBS AAA
1,150,000 Index 8.5+ Index 8/1/08 (44,644)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
400,000 CMBS AAA Index Index 2/1/09 (7,150)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
800,000 CMBS AAA Index Index 3/1/09 (13,973)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ 8.5+ Index plus
350,000 Index 250 basis points 3/1/09 (5,680)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ 8.5+ Index plus 350
570,000 Index basis points 3/1/09 (5,019)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ 8.5+ Index minus
990,000 Index 50 basis points 12/1/08 (38,602)
If positive, the If negative, the
Total Return of Total Return of the
the Lehman Lehman Brothers
Brothers U.S. U.S. CMBS AAA
CMBS AAA 8.5+ 8.5+ Index minus
250,000 Index 65 basis points 12/1/08 (9,934)
------------
$ (254,126)
============
Abbreviation is as follows:
CMBS Commercial Mortgage Backed Securities
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F16 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
June 30, 2008
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $29,324,577) $ 28,936,546
Affiliated companies (cost $260,747) 260,747
---------------
29,197,293
- --------------------------------------------------------------------------------------------------
Cash 58,229
- --------------------------------------------------------------------------------------------------
Swaps, at value (premiums received $10,819) 85,966
- --------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest and dividends 182,758
Investments sold 13,993
Other 867
---------------
Total assets 29,539,106
- --------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------
Swaps, at value (premiums received $73,368) 637,470
- --------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased on a when-issued or delayed delivery basis 4,186,762
Dividends 137,931
Futures margins 6,203
Trustees' compensation 269
Other 12,275
---------------
Total liabilities 4,980,910
- --------------------------------------------------------------------------------------------------
NET ASSETS $ 24,558,196
===============
- --------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 2,514
- --------------------------------------------------------------------------------------------------
Additional paid-in capital 25,134,989
- --------------------------------------------------------------------------------------------------
Accumulated net investment income 93,525
- --------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments 179,211
- --------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (852,043)
---------------
NET ASSETS--applicable to 2,513,728 shares of beneficial interest outstanding $ 24,558,196
===============
- --------------------------------------------------------------------------------------------------
NET ASSET VALUE, REDEMPTION PRICE PER SHARE AND OFFERING PRICE PER SHARE $ 9.77
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
F17 | OPPENHEIMER SMA CORE BOND FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended June 30, 2008
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------
Interest $ 737,415
- --------------------------------------------------------------------------------------------------
Fee income 26,130
- --------------------------------------------------------------------------------------------------
Dividends from affiliated companies 24,993
---------------
Total investment income 788,538
- --------------------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------------------
Management fees 43,340
- --------------------------------------------------------------------------------------------------
Legal, auditing and other professional fees 27,246
- --------------------------------------------------------------------------------------------------
Shareholder communications 8,468
- --------------------------------------------------------------------------------------------------
Trustees' compensation 264
- --------------------------------------------------------------------------------------------------
Custodian fees and expenses 148
- --------------------------------------------------------------------------------------------------
Other 2,165
---------------
Total expenses 81,631
Less reduction to custodian expenses (122)
Less waivers and reimbursements of expenses (81,245)
---------------
Net expenses 264
- --------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 788,274
- --------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments from unaffiliated companies 1,278
Closing and expiration of futures contracts (64,695)
Short positions (2,056)
Swap contracts 184,055
---------------
Net realized gain 118,582
- --------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (742,441)
Futures contracts 25,133
Short positions 2,331
Swap contracts (410,554)
---------------
Net change in unrealized depreciation (1,125,531)
- --------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (218,675)
===============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F18 | OPPENHEIMER SMA CORE BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2008 DECEMBER 31,
(UNAUDITED) 20071
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------
Net investment income $ 788,274 $ 641,850
- -------------------------------------------------------------------------------------------------------
Net realized gain 118,582 234,160
- -------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) (1,125,531) 273,488
------------------------------------
Net increase (decrease) in net assets resulting from operations (218,675) 1,149,498
- -------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------
Dividends from net investment income (787,784) (642,334)
- -------------------------------------------------------------------------------------------------------
Distributions from net realized gain -- (80,012)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- -------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from beneficial interest
transactions -- 25,037,503
- -------------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------------
Total increase (decrease) (1,006,459) 25,464,655
- -------------------------------------------------------------------------------------------------------
Beginning of period 25,564,655 100,000 2
------------------------------------
End of period (including accumulated net investment income of
$93,525 and $93,035, respectively) $ 24,558,196 $ 25,564,655
====================================
1. For the period from July 23, 2007 (commencement of operations) to December
31, 2007.
2. Reflects the value of the Manager's initial seed money investment on May 14,
2007.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F19 | OPPENHEIMER SMA CORE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS PERIOD
ENDED ENDED
JUNE 30, 2008 DEC. 31,
(UNAUDITED) 20071
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.17 $ 10.00
- ---------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income 2 .31 .26
Net realized and unrealized gain (loss) (.40) .20
-----------------------------------
Total from investment operations (.09) .46
- ---------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.31) (.26)
Distributions from net realized gain -- (.03)
Total dividends and/or distributions to shareholders (.31) (.29)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.77 $ 10.17
==================================
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 3 (0.85)% 4.61%
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 24,558 $ 25,565
- ---------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 24,897 $ 25,034
- ---------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 4
Net investment income 6.37% 5.78%
Total expenses 0.66% 0.77%
Expenses after payments, waivers and/or reimbursements and reduction to
custodian expenses 0.00% 5 0.00% 5
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 6 32% 48%
1. For the period from July 23, 2007 (commencement of operations) to December
31, 2007.
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 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. Less than 0.005%.
6. 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 $17,499,610 $ 13,520,130
Period Ended December 31, 2007 $21,170,290 $ 20,971,756
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
F20 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer SMA Core Bond Fund (the "Fund") is a registered investment company
organized as a Massachusetts Business Trust. The Fund is registered as an
open-end management investment company under the Investment Company Act of 1940,
as amended. The Fund's primary objective is to seek total return by investing
mainly in debt instruments. The Fund's investment adviser is OppenheimerFunds,
Inc. (the "Manager").
Shares of the Fund may be purchased only by or on behalf of separately
managed account clients ("wrap-fee" accounts) who have retained OFI Private
Investments Inc. or certain of its affiliates (individually or collectively
referred to as "OFI PI"), to manage their accounts pursuant to an investment
management agreement with OFI PI and/or a managed account program sponsor as
part of a "wrap-fee" program. As of June 30, 2008, 100% of the shares were owned
by the Manager and its affiliates.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB
Statement of Financial Accounting Standards No. 157, FAIR VALUE MEASUREMENTS,
establishes a hierarchy for measuring fair value of assets and liabilities. As
required by the standard, each investment asset or liability of the Fund is
assigned a level at measurement date based on the significance and source of the
inputs to its valuation. Quoted prices in active markets for identical
securities are classified as "Level 1", inputs other than quoted prices for an
asset that are observable are classified as "Level 2" and unobservable inputs,
including the Manager's judgment about the assumptions that a market participant
would use in pricing an asset or liability are classified as "Level 3". The
inputs used for valuing securities are not necessarily an indication of the
risks associated with investing in those securities. A table summarizing the
Fund's investments under these levels of classification is included following
the Statement of Investments.
Securities are valued using quoted market prices, when available, as
supplied primarily either by portfolio pricing services approved by the Board of
Trustees or dealers. These securities are typically classified within Level 1 or
2; however, they may be designated as Level 3 if the dealer or portfolio pricing
service values a security through an internal model with significant
unobservable market data inputs.
Securities traded on a registered U.S. securities exchange are valued
based on the last sale price of the security reported on the principal exchange
on which traded, prior to the time when the Fund's assets are valued. Securities
whose principal exchange is NASDAQ(R) are valued based on the official closing
prices reported by NASDAQ prior to the time when the Fund's assets are valued.
In the absence of a sale, the security is valued at the last sale price on the
prior trading day, if it is within the spread of the current day's closing "bid"
and "asked" prices, and if not, at the current day's closing bid price. A
foreign
F21 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
- --------------------------------------------------------------------------------
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
F22 | OPPENHEIMER SMA CORE BOND FUND
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 $4,186,762
The Fund may enter into "forward roll" transactions with respect to
mortgage-related securities. In this type of transaction, the Fund sells a
mortgage-related security to a buyer and simultaneously agrees to repurchase a
similar security (same type, coupon and maturity) at a later date at a set
price. During the period between the sale and the repurchase, the Fund will not
be entitled to receive interest and principal payments on the securities that
have been sold. The Fund records the incremental difference between the forward
purchase and sale of each forward roll as realized gain (loss) on investments or
as fee income in the case of such transactions that have an associated fee in
lieu of a difference in the forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk. To assure its
future payment of the purchase price, the Fund maintains internally designated
assets with a market value equal to or greater than the payment obligation under
the roll.
- --------------------------------------------------------------------------------
SECURITIES SOLD SHORT. The Fund may short sell when-issued securities for future
settlement. The value of the open short position is recorded as a liability, and
the Fund records an unrealized gain or loss for the value of the open short
position. The Fund records a realized gain or loss when the short position is
closed out.
- --------------------------------------------------------------------------------
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
F23 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
under the Investment Company Act of 1940, as amended. The Manager is also the
investment adviser of IMMF. The Fund's investment in IMMF is included in the
Statement of Investments. As a shareholder, the Fund is subject to its
proportional share of IMMF's Class E expenses, including its management fee.
- --------------------------------------------------------------------------------
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 straddle losses of $3,417.
As of June 30, 2008, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of zero. 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 $3,417 of capital loss
carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
F24 | OPPENHEIMER SMA CORE BOND 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 $ 29,585,324
Federal tax cost of other investments (6,453,508)
--------------
Total federal tax cost $ 23,131,816
==============
Gross unrealized appreciation $ 485,224
Gross unrealized depreciation (1,337,267)
--------------
Net unrealized depreciation $ (852,043)
==============
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a compensation
deferral plan for independent trustees that enables trustees to elect to defer
receipt of all or a portion of the annual compensation they are entitled to
receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of trustees' fees under the plan
will not affect the net assets of the Fund, and will not materially affect the
Fund's assets, liabilities or net investment income per share. Amounts will be
deferred until distributed in accordance to the compensation deferral plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations and
may differ from U.S. generally accepted accounting principles, are recorded on
the ex-dividend date. Income distributions, if any, are declared daily and paid
monthly. Capital gain distributions, if any, are declared and paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income is recognized on an accrual basis. Discount and
premium, which are included in interest income on the Statement of Operations,
are amortized or accreted daily.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed
F25 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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. Transactions in shares of beneficial interest were as
follows:
SIX MONTHS ENDED JUNE 30, 2008 PERIOD ENDED DECEMBER 31, 2007 1,2
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------
Sold -- $ -- 2,503,728 $ 25,037,500
Dividends and/or
distributions reinvested 118 1,164 104 1,055
Redeemed (118) (1,164) (104) (1,052)
----------------------------------------------------------------------
Net increase -- $ -- 2,503,728 $ 25,037,503
======================================================================
1. For the period from July 23, 2007 (commencement of operations) to December
31, 2007.
2. The Fund sold 10,000 shares at a value of $100,000 to the Manager upon
seeding of the Fund on May 14, 2007.
F26 | OPPENHEIMER SMA CORE BOND FUND
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations and investments in IMMF, for the six months ended
June 30, 2008, were as follows:
PURCHASES SALES
------------------------------------------------------------------------
Investment securities $ 5,721,453 $ 5,285,666
U.S. government and
government agency obligations -- 91,953
To Be Announced (TBA)
mortgage-related securities 17,499,610 13,520,130
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. The Manager has contractually agreed to waive the entire amount
of its advisory fee, which is 0.35% of the average net assets, and the Fund does
not pay any other fee for the Manager's services. A portion of the "wrap-fee"
that investors pay to the "wrap-fee" program sponsor may be attributed to the
management of the Fund.
- --------------------------------------------------------------------------------
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 no fees to OFS for services to the Fund.
- --------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. The Manager has contractually agreed to
waive all Management Fees and pay or reimburse all expenses of the Fund, except
extraordinary expenses, transfer agent fees and fees paid to the independent
Trustees. This agreement has no fixed term. Investors should be aware that even
though the Fund does not pay any fees or expenses to the Manager, investors will
pay a "wrap fee" to their program sponsor. During the six months ended June 30,
2008, the Manager waived management fees in the amount of $43,340. During the
six months ended June 30, 2008, the Manager reimbursed expenses in the amount of
$37,905.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class. This
undertaking may be amended or withdrawn at any time.
The Manager will waive fees and/or reimburse Fund expenses in an amount
equal to the indirect management fees incurred through the Fund's investment in
IMMF.
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
financial instrument at a negotiated price on a stipulated future date. The Fund
may buy and sell futures contracts and may also buy or write put or call options
on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be
valued at the final settlement price or official closing price on the principal
exchange as reported by such principal exchange at its trading session ending
at, or most recently prior to, the time when the Fund's assets are valued.
F27 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS Continued
Upon entering into a futures contract, the Fund is required to deposit either
cash or securities (initial margin) in an amount equal to a certain percentage
of the contract value. Subsequent payments (variation margin) are made or
received by the Fund each day. The variation margin payments are equal to the
daily changes in the contract value and are recorded as unrealized gains and
losses.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker to cover initial margin requirements on
open futures contracts and the receivable and/or payable for the daily mark to
market for the variation margin are noted in the Statement of Assets and
Liabilities. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations. Realized gains (losses) are reported in
the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market where the Fund is unable to
liquidate the contract or enter into an offsetting position and, if used for
hedging purposes, the risk that the price of the contract will correlate
imperfectly with the prices of the Fund's securities.
- --------------------------------------------------------------------------------
6. SWAP CONTRACTS
The Fund may enter into swap contract agreements with a counterparty to exchange
a series of cash flows based on either specified reference rates, or the
occurrence of a credit event, over a specified period. Such contracts may
include interest rate, equity, debt, index, total return, credit and currency
swaps.
Swaps are marked to market daily using primarily quotations from pricing
services, counterparties and brokers. Swap contracts are reported on a schedule
following the Statement of Investments. The value of the contracts is separately
disclosed on the Statement of Assets and Liabilities. The unrealized
appreciation (depreciation) related to the change in the valuation of the
notional amount of the swap is combined with the accrued interest due to (owed
by) the Fund at termination or settlement. The net change in this amount during
the period is included on the Statement of Operations. The Fund also records any
periodic payments received from (paid to) the counterparty, including at
termination, under such contracts as realized gain (loss) on the Statement of
Operations.
Risks of entering into swap contracts include credit, market and liquidity
risk. Credit risk arises from the possibility that the counterparty will
default. If the counter-party 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.
F28 | OPPENHEIMER SMA CORE BOND FUND
- --------------------------------------------------------------------------------
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).
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between
counter-parties to exchange periodic interest payments on the notional amount of
the contract. One cash flow stream will typically be a floating rate payment
based upon a specified index while the other is typically a fixed rate.
Interest rate swap agreements include interest rate risk. There is a risk,
based on future movements of interest rates where the payments made by the Fund
under a swap agreement will be greater than the payments it received.
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between
counter-parties to exchange a set of future cash flows on the notional amount of
the contract. One cash flow is typically based on a reference interest rate or
index and the other on the total return of a reference asset such as a security,
a basket of securities, or an index. The total return includes appreciation or
depreciation on the reference asset, plus any interest or dividend payments.
- --------------------------------------------------------------------------------
7. ILLIQUID SECURITIES
As of June 30, 2008, investments in securities included issues that are
illiquid. Investments may be illiquid because they do not have an active trading
market, making it difficult to value them or dispose of them promptly at an
acceptable price. The Fund will not invest more than 15% of its net assets
(determined at the time of purchase and reviewed periodically) in illiquid
securities. Securities that are illiquid are marked with an applicable footnote
on the Statement of Investments.
F29 | OPPENHEIMER SMA CORE BOND FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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.
F30 | OPPENHEIMER SMA CORE BOND 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 SMA CORE BOND FUND
ITEM 2. CODE OF ETHICS.
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semiannual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In evaluating trustee nominees, the Committee
considers, among other things, an individual's background, skills, and
experience; whether the individual is
an "interested person" as defined in the Investment Company Act of 1940;
and whether the individual would be deemed an "audit committee financial
expert" within the meaning of applicable SEC rules. The Committee also
considers whether the individual's background, skills, and experience will
complement the background, skills, and experience of other nominees and
will contribute to the Board. There are no differences in the manner in
which the Committee evaluates nominees for trustees based on whether the
nominee is recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where required, to
shareholders. Recommendations for trustee nominees should, at a minimum,
be accompanied by the following:
- the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
- a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
- any other information that the Funds would be required to include in
a proxy statement concerning the person if he or she was nominated;
and
- the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 06/30/2008, the registrant's principal executive officer and
principal financial officer found the registrant's disclosure controls and
procedures to provide reasonable assurances that information required to be
disclosed by the registrant in the reports that it files under the Securities
Exchange Act of 1934 (a) is accumulated and communicated to registrant's
management, including its principal executive officer and principal financial
officer, to allow timely decisions regarding required disclosure, and (b) is
recorded, processed, summarized and reported, within the time periods specified
in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a) (1) Not applicable to semiannual reports.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer SMA Core Bond 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