-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, VCHqu2M45BgR3BdXSPfxKm9aBgAHwWEyXCZ9qz3vLKV9JxZvB8CPdT7IPmxnITzm GBXxhK6geLa+zM0dYuTNsQ== 0000935069-09-000833.txt : 20090325 0000935069-09-000833.hdr.sgml : 20090325 20090325144915 ACCESSION NUMBER: 0000935069-09-000833 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20081231 FILED AS OF DATE: 20090325 DATE AS OF CHANGE: 20090325 EFFECTIVENESS DATE: 20090325 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER SENIOR FLOATING RATE FUND CENTRAL INDEX KEY: 0001087774 IRS NUMBER: 911986511 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-09373 FILM NUMBER: 09703794 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 N-CSRS 1 rs291_51661ncsrs.txt RS291_51661NCSRS 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 811-09373 --------- Oppenheimer Senior Floating Rate 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: July 31 ------- Date of reporting period: 01/31/2009 ---------- ITEM 1. REPORTS TO STOCKHOLDERS. JANUARY 31, 2009 Oppenheimer Senior Floating Rate Fund Management Commentaries and Semiannual Report (GRAPHIC) MANAGEMENT COMMENTARIES An Interview with Your Fund's Managers Listing of Top Holdings SEMIANNUAL REPORT Listing of Investments Financial Statements (OppenheimerFunds(R) LOGO) The Right Way to Invest TOP HOLDINGS AND ALLOCATIONS TOP TEN CORPORATE LOAN INDUSTRIES Media 18.1% Health Care Providers & Services 10.3 Commercial Services & Supplies 7.8 Electric Utilities 7.0 Aerospace & Defense 6.0 Oil, Gas & Consumable Fuels 4.4 Hotels, Restaurants & Leisure 3.8 Diversified Telecommunication Services 3.3 Automobiles 3.3 Chemicals 2.5
Portfolio holdings and allocations are subject to change. Percentages are as of January 31, 2009, and are based on net assets. TOP FIVE CORPORATE LOANS BY ISSUERS Charter Communications Holdings LLC 2.6% Dole Foods Co. 2.3 Chrysler LLC 1.9 Western Refining, Inc. 1.9 United Air Lines, Inc. 1.8
Portfolio holdings and allocations are subject to change. Percentages are as of January 31, 2009, and are based on the total market value of corporate loans. For more current information on Fund holdings, please visit www.oppenheimerfunds.com. CREDIT ALLOCATION BBB 0.5% BB 38.4 B 40.6 CCC 3.9 CC 0.1 Not Rated 7.3 Other Securities 9.2
Portfolio holdings and allocations are subject to change. Percentages are as of January 31, 2009, and are dollar-weighted based on the total market value of investments. Securities rated by any rating organization are included in the equivalent Standard & Poor's rating category. The allocation includes rated securities and those not rated by a national rating organization but to which the ratings above have been assigned by the Manager for internal purposes as being comparable, in the Manager's judgment, to securities rated by a rating agency in the same category. 9 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT www.oppenheimerfunds.com. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. The Fund's investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. OPPENHEIMER SENIOR FLOATING RATE FUND IS A CONTINUOUSLY OFFERED CLOSED-END FUND WHOSE SHARES ARE NOT LISTED ON ANY STOCK EXCHANGE OR NATIONAL QUOTATION SERVICE. THE FUND'S SHARES ARE NOT REDEEMABLE FOR CASH DAILY BUT THE FUND SEEKS TO PROVIDE A DEGREE OF LIQUIDITY TO SHAREHOLDER BY MAKING QUARTERLY OFFERS TO REPURCHASE A PORTION OF THE FUND'S SHARES. HOWEVER, THERE CAN BE NO ASSURANCE THAT THE FUND WILL BE ABLE TO REPURCHASE ALL SHARES TENDERED IN A PARTICULAR REPURCHASE OFFER. SHARES OF THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF ANY BANK, ARE NOT GUARANTEED BY ANY BANK, ARE NOT INSURED BY THE FDIC OR ANY OTHER AGENCY, AND INVOLVE INVESTMENT RISKS, INCLUDING THE POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED. SHARES OF THE FUND WILL FLUCTUATE AND THE FUND IS NOT A MONEY MARKET FUND. THE FUND IS NOT INTENDED AS AN INVESTOR'S ONLY INVESTMENT, BUT TO COMPLEMENT OTHER HOLDINGS. 10 | OPPENHEIMER SENIOR FLOATING RATE FUND CLASS A shares of the Fund were first publicly offered on 9/8/99. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 3.50%. CLASS B shares of the Fund were first publicly offered on 9/8/99. Unless otherwise noted, Class B total returns are shown net of the applicable early withdrawal charge of 3% (one-year) and 1% (five-year). Because Class B shares convert to Class A shares 72 months after purchase, the "since inception" return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.50% asset-based sales charge. CLASS C shares of the Fund were first publicly offered on 9/8/99. Unless otherwise noted, Class C shares are shown net of the applicable 1% early withdrawal charge for the one-year period. Class C shares are subject to an annual 0.50% asset-based sales charge. CLASS Y shares of the Fund were first publicly offered on 11/28/05. Class Y shares are offered only to certain institutional investors under a special agreement with the Distributor, and to present or former officers, directors, trustees or employees (and their eligible family members) of the Fund, the Manager, its affiliates, its parent company and the subsidiaries of its parent company, and retirement plans established for the benefit of such individuals. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 11 | OPPENHEIMER SENIOR FLOATING RATE FUND FUND EXPENSES FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended January 31, 2009. ACTUAL EXPENSES. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in the Statement of Additional Information). Therefore, the 12 | OPPENHEIMER SENIOR FLOATING RATE FUND "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 AUGUST 1, 2008 JANUARY 31, 2009 JANUARY 31, 2009 - ------ -------------- ---------------- ---------------- Class A $1,000.00 $ 753.00 $ 6.97 Class B 1,000.00 750.60 9.68 Class C 1,000.00 751.10 9.10 Class Y 1,000.00 754.60 6.39 HYPOTHETICAL (5% return before expenses) Class A 1,000.00 1,017.29 8.01 Class B 1,000.00 1,014.22 11.13 Class C 1,000.00 1,014.87 10.46 Class Y 1,000.00 1,017.95 7.35
Expenses are equal to the Fund's annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended January 31, 2009 are as follows:
CLASS EXPENSE RATIOS - ----- -------------- Class A 1.57% Class B 2.18 Class C 2.05 Class Y 1.44
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund's Manager that can be terminated at any time, without advance notice. The "Financial Highlights" tables in the Fund's financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable. 13 | OPPENHEIMER SENIOR FLOATING RATE FUND THIS PAGE INTENTIONALLY LEFT BLANK. 14 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS January 31, 2009 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE LOANS--95.1% CONSUMER DISCRETIONARY--27.7% AUTO COMPONENTS--1.3% Allison Transmission, Inc., Sr. Sec. Credit Facilities Term Loan, 3.14%-3.18%, 8/7/14(1, 2) $ 2,000,000 $ 1,307,857 Dana Corp., Sr. Sec. Credit Facilities Term Loan, 7.25%, 1/31/15(1, 2) 6,524,571 2,892,558 Federal Mogul Corp., Sr. Sec. Credit Facilities Term Loan: Tranche B, 2.268%-2.388%, 12/29/14(1, 2) 11,536,718 5,537,624 Tranche C, 2.298%-3.328%, 12/28/15(1, 2) 3,354,241 1,610,035 Mark IV Industries, Inc./Dayco Products LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.97%-8.48%, 6/21/11(1, 2) 12,055,175 4,068,621 -------------- 15,416,695 -------------- AUTOMOBILES--3.3% Chrysler LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B1, 4%-6.20%, 8/3/13(1, 2) 83,020,987 21,881,925 Ford Motor Co., Sr. Sec. Credit Facilities Term Loan, Tranche B, 5%, 12/16/13(1) 46,632,471 16,991,707 -------------- 38,873,632 -------------- HOTELS, RESTAURANTS & LEISURE--3.8% BLB Wembley plc, Sr. Sec. Credit Facilities 1st Lien Term Loan, 7/18/11(3, 4) 7,875,682 3,124,023 BLB Wembley plc, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7/25/13(3, 4) 8,000,000 720,000 Cannery Casino Resorts LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.603%, 5/4/13(1, 3) 4,740,613 4,402,844 Cannery Casino Resorts LLC, Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.636%-2.698%, 5/4/13(1, 3) 6,276,022 5,828,855 Golden Nugget, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche 2L, 3.67%, 12/31/14(1, 3) 13,000,000 1,755,000 Las Vegas Sands Corp., Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.16%, 5/8/14(1, 2) 1,437,278 710,439 Quiznos Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.75%, 5/5/13(1, 2) 5,969,388 3,359,912 Quiznos Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7.218%, 11/5/13(1) 12,000,000 4,830,000 Turtle Bay Resort, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 12%, 9/13/10(3, 4, 5) 1,930,402 779,882 Venetian Macao Ltd., Sr. Sec. Credit Facilities Term Loan: Tranche B Add-On, 2.66%, 5/25/13(1, 2) 706,244 409,300 Tranche B, 2.66%, 5/25/13(1, 2) 1,914,540 1,109,562
F1 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- HOTELS, RESTAURANTS & LEISURE Continued Venetian Macao Ltd., Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.66%, 5/25/11(1, 2) $ 8,779,557 $ 5,088,148 Wimar OpCo LLC/Tropicana Entertainment Co., Sr. Sec. Credit Facilities 1st Lien Term Loan, 1/3/12(2, 4) 21,159,256 6,241,980 Yonkers Raceway, Sr. Sec. Credit Facilities Term Loan, 10.50%, 8/15/11(1, 3) 7,974,013 6,857,651 -------------- 45,217,596 -------------- HOUSEHOLD DURABLES--0.4% Sleep Innovations, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4/3/14(3, 4, 5) 10,098,000 1,100,683 Sleep Innovations, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10/3/14(3, 4, 5) 3,000,000 85,500 Springs Window Fashions Division, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.25%, 12/30/12(1) 5,873,888 3,543,911 -------------- 4,730,094 -------------- MEDIA--18.1% AMC Entertainment, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.139%, 1/26/13(1, 2) 15,973,481 14,129,870 Advanstar Communications, Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.709%, 5/15/14(1, 2) 19,700,000 8,372,500 Alpha Media Group, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.718%, 8/14/14(1, 3) 15,489,573 10,068,222 Cequel Communications LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7.693%, 5/5/14(1) 6,500,000 2,970,500 Cequel Communications LLC, Sr. Sec. Credit Facilities Term Loan, 2.429%-4.235%, 11/5/13(1, 2) 9,308,761 7,465,291 Charter Communications Operation LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.18%-4.29%, 3/5/14(1, 2) 20,117,833 15,440,437 Charter Communications Operation LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, 3.959%, 9/1/14(1, 3) 17,000,000 9,826,000 Charter Communications, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche T2 Add-On, 8.50%, 3/6/14(1) 4,962,500 4,258,103 Cinram International, Inc., Sr. Sec. Credit Facilities Term Loan, 4.706%, 5/6/11(1, 2) 21,589,251 13,421,324 Citadel Broadcasting Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.16%-2.19%, 6/12/14(1, 2) 35,000,000 14,875,000 Hit Entertainment, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.71%, 8/5/12(1, 3) 7,238,186 3,275,279 Live Nation, Inc./SFX Entertainment, Inc., Sr. Sec. Credit Facilities Term Loan, 3.66%-4.71%, 6/21/13(1, 3) 6,380,345 4,689,554
F2 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL AMOUNT VALUE ------------ -------------- MEDIA Continued Mediacom Communications Corp./MCC Iowa LLC, Sr. Sec. Credit Facilities Term Loan, Tranche E, 6.50%, 1/3/16(1, 2) $ 5,572,000 $ 5,200,532 Mediacom LLC, Sr. Sec. Credit Facilities Term Loan, Tranche A, 1.56%, 9/30/12(1, 3) 9,000,000 7,785,000 Merrill Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.696%, 11/15/13(1) 28,250,000 8,475,000 Metro-Goldwyn-Mayer Studios, Inc., Sr. Sec. Credit Facilities Term Loan: Tranche B Add-On, 4.709%, 4/8/12(1, 2) 8,351,250 3,849,926 Tranche B, 3.659%-4.709%, 4/8/12(1) 20,401,515 9,405,098 Newport Television LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 8%, 9/14/16(1, 2) 7,512,490 3,230,371 Newport Television LLC/High Plains Broadcasting Operating Co. LLC, Sr. Sec. Credit Facilities Term Loan, 8%, 9/14/16(1, 2) 1,987,510 854,629 Paxson Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.344%, 1/15/12(1, 3) 22,364,810 8,834,100 Penton Media, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.659%-3.424%, 2/1/13(1, 2) 24,877,727 10,075,479 San Juan Cable & Construction, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.21%, 10/31/12(1) 9,930,587 6,603,840 Star Tribune Co., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3/5/14(3, 4) 10,465,199 1,873,271 Tribune Increment Co., Sr. Sec. Credit Facilities Term Loan, Tranche B, 6.50%, 6/4/14(4) 4,962,375 1,097,925 Univision Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.659%, 9/29/14(1, 2) 5,566,762 2,960,326 Univision Communications, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 2.909%, 3/30/09(1, 3) 9,158,713 8,013,874 Young Broadcasting, Inc., Sr. Sec. Credit Facilities Term Loan, 11/3/12(2, 4) 35,499,313 14,170,153 Zuffa LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.438%, 6/18/15(1, 2) 19,459,814 14,254,314 -------------- 215,475,918 -------------- MULTILINE RETAIL--0.5% General Growth Properties, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche A, 1.25%-1.66%, 2/24/10(1, 2) 23,402,011 6,708,584 SPECIALTY RETAIL--0.3% BCBG Max Azria Group, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 8.50%-8.758%, 8/10/11(1) 3,992,634 1,696,869 Burlington Coat Factory Warehouse Corp., Sr. Sec. Credit Facilities Term Loan, 4.45%, 5/28/13(1) 4,922,626 2,225,952 -------------- 3,922,821 --------------
F3 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- CONSUMER STAPLES--1.5% FOOD PRODUCTS--0.8% Dole Food Co., Inc., Sr. Sec. Credit Facilities Term Loan: Tranche B, 2.375%-4.25%, 4/12/13(1, 2) $ 404,522 $ 338,064 Tranche C, 2.50%-4.25%, 4/12/13(1, 2) 4,863,003 4,064,081 Pinnacle Foods Finance LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.198%, 4/2/14(1, 2) 5,944,610 4,691,290 -------------- 9,093,435 -------------- PERSONAL PRODUCTS--0.7% Levlad Natural Products Group LLC, Sr. Sec. Credit Facilities Term Loan, 3.709%-4.446%, 3/8/14(1, 2) 28,352,378 8,552,976 ENERGY--6.4% ENERGY EQUIPMENT & SERVICES--2.0% Antero Resources Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 5.94%, 4/10/14(1, 2) 15,000,000 8,025,000 Beryl Oil & Gas LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.996%, 7/14/11(1, 2) 5,614,214 4,294,874 Global Geophysical Services, Inc., Sr. Sec. Credit Facilities Term Loan, 6.209%, 12/10/14(1, 2) 12,870,000 11,647,350 -------------- 23,967,224 -------------- OIL, GAS & CONSUMABLE FUELS--4.4% ATP Oil & Gas Corp., Sr. Sec. Credit Facilities Term Loan: Tranche B1, 8.50%, 1/1/14(1, 2) 10,605,795 6,174,090 Tranche B2, 8.50%, 7/1/10(1, 2) 3,316,640 1,930,759 Coleto Creek Power LP, Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.209%, 6/28/13(1, 2) 18,552,553 13,265,075 Pine Praire, Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.91%, 12/31/13(1, 3) 3,207,609 2,630,239 Pine Praire, Sr. Sec. Credit Facilities Term Loan, 2.91%, 12/31/13(1, 2) 7,711,738 6,323,625 Western Refining Inc., Sr. Sec. Credit Facilities Term Loan, 9.25%, 2/8/14(1, 2) 38,730,490 21,737,487 -------------- 52,061,275 -------------- FINANCIALS--0.9% CAPITAL MARKETS--0.4% Nuveen Investments, Inc., Sr. Sec. Credit Facilities Term Loan, 3.401%-4.466%, 11/1/14(1, 2) 8,823,300 4,257,242 INSURANCE--0.5% Swett & Crawford Group, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.584%-2.659%, 4/3/14(1, 2) 10,757,879 6,078,201
F4 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL AMOUNT VALUE ------------ -------------- HEALTH CARE--14.0% HEALTH CARE EQUIPMENT & SUPPLIES--1.7% CCS Medical Equipment & Uniforms, Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.71%, 9/30/12(1) $ 18,015,050 $ 9,007,525 Carestream Health, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.409%-3.174%, 4/30/13(1, 2) 3,038,572 2,375,151 Carestream Health, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.424%-7.446%, 9/26/13(1, 3) 5,000,000 1,556,250 dj Orthopedics, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.409%-4.459%, 10/31/14(1, 2) 9,900,001 8,068,500 -------------- 21,007,426 -------------- HEALTH CARE PROVIDERS & SERVICES--10.3% Aveta Holdings, Inc., Sr. Sec. Credit Facilities Term Loan: Tranche MMM, 5.91%, 8/22/11(1, 2) 6,499,994 5,048,331 Tranche NAMM, 5.91%, 7/27/11(1) 1,739,974 1,351,381 Tranche NAMM, 5.91%, 8/22/11(1, 2) 965,605 749,953 Tranche PHMC, 5.91%, 8/22/11(1, 2) 5,326,894 4,137,223 Capella Healthcare, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.656%, 2/14/15(1, 3) 6,352,000 5,240,400 Community Health Systems, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.439%-4.446%, 7/2/14(1, 2) 11,581,891 9,848,950 Community Health Systems, Inc., Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.72%-3.404%, 7/2/14(1, 2) 592,337 503,709 Genoa Healthcare LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 6%, 8/10/12(1, 3) 6,831,326 5,260,121 Genoa Healthcare LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10.75%, 2/10/13(1, 3) 1,000,000 575,000 HCA, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.709%, 11/18/13(1, 2) 16,689,968 13,846,982 HVHC, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.71%, 8/1/13(1, 2) 4,392,968 3,755,987 Health Management Associates, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.209%, 2/28/14(1, 2) 7,375,508 5,294,560 HealthCare Partners, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.159%, 10/31/13(1, 2, 3) 1,515,907 1,296,101 HealthSouth Corp., Sr. Sec. Credit Facilities Term Loan, 2.84%-4.69%, 3/10/13(1) 10,953,942 9,630,344 Healthways, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.959%, 11/15/13(1, 3) 8,624,000 7,589,120 Manor Care, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.834%-2.909%, 10/18/14(1, 2) 6,894,810 4,843,604 MultiPlan, Inc., Sr. Sec. Credit Facilities Term Loan: Tranche B, 2.938%, 4/15/13(1) 3,232,930 2,462,416 Tranche C, 2.938%, 4/12/13(1, 2) 6,428,166 4,896,122
F5 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- HEALTH CARE PROVIDERS & SERVICES Continued Prospect Medical Group, Sr. Sec. Credit Facilities Term Loan, Tranche B, 11%, 8/1/14(1, 3) $ 6,756,024 $ 4,729,217 Quintiles Transnational Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.459%, 3/31/13(1, 2) 8,502,958 7,355,059 Rural/Metro Corp., Sr. Sec. Credit Facilities Letter of Credit Term Loan, 3.94%, 3/4/11(1, 3) 547,642 469,603 Rural/Metro Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B, 6.006%-6.324%, 3/4/11(1, 3) 4,636,936 3,976,172 SouthernCare, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 11.557%, 12/10/10(1, 3) 10,846,315 7,863,578 Triumph HealthCare LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.334%-4.174%, 7/28/13(1, 2) 10,263,979 7,749,304 Warner Chilcott plc, Sr. Sec. Credit Facilities Term Loan: Tranche B, 3.459%, 1/4/12(1) 3,952,092 3,546,014 Tranche C, 3.459%, 1/4/12(1) 564,905 506,86 -------------- 122,526,112 -------------- PHARMACEUTICALS--2.0% Royalty Pharma, Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.709%, 4/16/13(1, 2) 5,785,517 5,346,783 Stiefel Laboratories, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.41%, 12/28/13(1, 3) 5,843,652 4,879,450 Stiefel Laboratories, Inc., Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 3.41%, 12/28/13(1, 3) 4,469,649 3,732,157 Talecris Biotherapeutics, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.64%, 12/6/13(1, 3) 10,692,696 9,663,523 -------------- 23,621,913 -------------- INDUSTRIALS--22.3% AEROSPACE & DEFENSE--6.0% AM General LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.334%-5.153%, 9/30/13(1, 2) 18,264,819 14,520,532 American Airlines, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B2, 12/17/10(1, 6) 3,000,000 2,445,000 DeCrane Aircraft Holdings, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.18%, 2/21/13(1, 2) 17,507,882 11,467,663 DeCrane Aircraft Holdings, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.413%, 2/21/14(1, 3) 5,000,000 2,500,000 Gencorp, Inc., Sr. Sec. Credit Facilities Prefunded Letter of Credit Term Loan, 2.66%, 3/21/13(1, 3) 6,324,611 4,585,343 Gencorp, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.45%, 3/21/13(1, 3) 3,489,029 2,529,546
F6 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL AMOUNT VALUE ------------ -------------- AEROSPACE & DEFENSE Continued IAP Worldwide Services, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 7.875%, 12/30/12(1) $ 19,867,963 $ 10,761,820 IAP Worldwide Services, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.925%, 6/30/13(1, 3) 8,249,092 2,887,182 United Air Lines, Inc., Sr. Sec. Credit Facilities Term Loan, 2.375%-7.313%, 2/3/14(1, 2) 37,411,503 20,015,154 -------------- 71,712,240 -------------- AIR FREIGHT & LOGISTICS--1.2% Evergreen International Aviation, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 9%, 10/31/11(1, 2) 22,734,077 13,299,435 Evergreen International Aviation, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 16.80%, 4/30/13(1, 3) 3,033,233 1,364,955 -------------- 14,664,390 -------------- BUILDING PRODUCTS--0.8% Champion Opco LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.856%, 5/11/13(1, 3) 2,193,750 850,078 Custom Building Products, Sr. Sec. Credit Facilities 1st Lien Term Loan, 7.869%-8%, 10/20/11(1) 3,210,433 2,219,212 Custom Building Products, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10.75%, 4/20/12(1, 3) 1,000,000 593,750 PGT Industries, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.148%, 2/14/12(1) 5,438,477 3,263,086 United Subcontractors, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 5.13%-5.467%, 12/27/12(1, 3) 11,812,133 2,953,034 -------------- 9,879,160 -------------- COMMERCIAL SERVICES & SUPPLIES--7.8% Allied Security Holdings LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 6.639%, 1/29/15(1, 2) 13,464,186 11,983,125 Asurion Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.386%-5.706%, 7/2/14(1, 2) 10,015,000 7,310,949 Bright Horizons LP, Sr. Sec. Credit Facilities Term Loan, Tranche B, 6.148%-7.50%, 5/21/15(1, 2) 9,949,999 6,803,312 First Data Corp., Sr. Sec. Credit Facilities Term Loan: Tranche B-2, 3.139%-3.159%, 9/24/14(1, 2) 3,462,356 2,202,924 Tranche B-3, 3.139%-3.159%, 9/24/14(1, 2) 7,443,467 4,745,210 NES Rentals Holdings, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.125%, 6/22/13(1, 3) 10,942,841 5,471,420 New Holdings I LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.886%-4.888%, 5/18/14(1, 2) 12,941,652 8,110,105
F7 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- COMMERCIAL SERVICES & SUPPLIES Continued Norwood Promotional Products, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche A, 8.624%, 8/16/09(1) $ 25,794,461 $ 19,926,237 U.S. Investigations Services, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.275%, 2/21/15(1, 2) 9,924,433 7,845,264 West Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B3, 2.731%-2.811%, 10/24/13(1, 2) 13,547,317 9,737,134 Workflow Management, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 7.794%, 10/17/10(1, 2) 15,308,437 8,993,707 -------------- 93,129,387 -------------- ELECTRICAL EQUIPMENT--0.5% Freescale Semiconductor, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.931%, 11/29/13(1, 2) 10,413,956 5,389,222 INDUSTRIAL CONGLOMERATES--2.3% Hillman Group, Inc. (The), Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.356%-4.125%, 3/31/11(1, 3) 12,763,087 11,351,171 Precision Partners, Inc., Sr. Sec. Credit Facilities Term Loan, 8.607%, 10/1/13(1, 2) 25,977,351 15,326,637 -------------- 26,677,808 -------------- MACHINERY--1.4% BOC Edwards, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.409%, 5/31/14(1, 2) 15,743,910 9,997,383 Veyance Technologies, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.93%, 7/2/14(1, 2) 11,579,811 5,751,310 Veyance Technologies, Inc., Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 2.93%, 7/2/14(1, 2, 3) 1,360,707 675,818 -------------- 16,424,511 -------------- ROAD & RAIL--2.3% RailAmerica, Inc. (Canadian), Sr. Sec. Credit Facilities Term Loan, 5.44%, 8/14/09(1, 2) 936,320 856,733 RailAmerica, Inc., Sr. Sec. Credit Facilities Term Loan, 5.44%, 8/14/09(1, 2) 14,463,680 13,234,267 U.S. Xpress Enterprises, Inc., Sr. Sec. Credit Facilities Term Loan, 4.334%-4.436%, 10/12/14(1, 2) 20,924,689 13,705,671 -------------- 27,796,671 -------------- INFORMATION TECHNOLOGY--4.0% INTERNET SOFTWARE & SERVICES--0.2% Dealer Computer Services, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 5.909%, 11/1/13(1, 3) 8,000,000 2,700,000
F8 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL AMOUNT VALUE ------------ -------------- IT SERVICES--1.4% Apptis, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.66%-4.71%, 12/20/12(1, 2) $ 10,392,308 $ 7,014,808 Caritor, Inc., Sr. Sec. Credit Facilities Letter of Credit Term Loan, 2.66%, 5/17/13(1, 2) 140,515 49,180 Caritor, Inc., Sr. Sec. Credit Facilities Term Loan, 2.66%, 5/17/13(1, 2) 28,991,798 10,147,129 -------------- 17,211,117 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.3% Flextronics International Ltd., Sr. Sec. Credit Facilities Term Loan, Delayed Draw: Tranche A1, 3.344%, 10/1/14(1, 2) 867,311 568,089 Tranche A2, 2.659%, 10/1/14(1, 2) 448,838 293,989 Tranche A3, 2.659%, 10/1/14(1, 2) 523,644 342,987 Flextronics International Ltd., Sr. Sec. Credit Facilities Term Loan, 3.344%-3.685%, 10/1/14(1, 2) 3,018,241 2,072,527 -------------- 3,277,592 -------------- SOFTWARE--2.1% Kronos, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.709%, 5/9/14(1, 2) 8,739,820 6,096,024 Nuance Communications, Inc., Sr. Sec. Credit Facilities Incremental Term Loan, Tranche B2, 2.41%, 3/31/13(1, 2) 7,022,469 5,811,093 Nuance Communications, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.41%, 3/31/13(1) 650,086 537,946 Verint Systems, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.59%, 5/9/14(1, 2) 21,115,385 12,458,077 -------------- 24,903,140 -------------- MATERIALS--7.1% CHEMICALS--2.5% Brenntag AG, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 5.501%, 6/30/15(1, 3) 1,000,000 596,250 Cristal Inorganic Chemicals Ltd., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.709%, 5/15/14(1, 3) 4,487,584 2,984,243 Hexion Specialty Chemicals, Inc., Sr. Sec. Credit Facilities Term Loan: Tranche C-1, 3.688%, 5/5/13(1, 2) 5,603,038 2,381,291 Tranche C-2, 3.75%, 5/5/13(1, 2) 1,141,609 485,184 Tranche C-4, 5.50%, 5/5/13(1, 2) 6,310,223 2,492,538 Tranche C-5, 3.75%, 5/3/13(1, 2) 1,477,500 568,838 Huntsman International LLC, Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.161%, 8/16/12(1, 2) 6,550,487 4,653,918 Lucite International Holdings LLC, Sr. Sec. Credit Facilities Term Loan, Delayed Draw, 3.43%, 7/19/13(1, 3) 1,894,725 1,705,253
F9 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- CHEMICALS Continued Lucite International Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 3.43%, 7/7/13(1, 3) $ 3,888,161 $ 3,499,345 Solutia, Inc., Sr. Sec. Credit Facilities Term Loan, 8.50%, 1/23/15(1, 2) 9,424,900 6,311,742 Univar USA OPCO, Sr. Sec. Credit Facilities Term Loan, Tranche B, 4.459%, 10/10/14(1, 2) 4,162,962 2,305,240 Wellman, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 2/10/09(3, 4) 16,822,427 2,228,972 -------------- 30,212,814 -------------- CONTAINERS & PACKAGING--1.6% Consolidated Container Co., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 5.829%-5.906%, 9/28/14(1, 3) 24,200,000 6,307,125 Consolidated Container Co., Sr. Sec. Credit Facilities Property, Plant & Equipment Term Loan, 2.579%, 3/23/14(1, 2) 3,855,190 2,340,101 Graham Packaging Co. LP, Sr. Sec. Credit Facilities Term Loan, Tranche B, 2.688%-6.313%, 10/18/11(1, 2) 13,200,403 10,655,656 -------------- 19,302,882 -------------- METALS & MINING--1.3% Aleris International, Inc., Sr. Sec. Credit Facilities Term Loan, 2.375%, 12/19/13(1, 2) 8,247,978 3,028,188 Murray Energy Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.938%, 1/28/10(1) 13,409,043 11,934,048 -------------- 14,962,236 -------------- PAPER & FOREST PRODUCTS--1.7% Abitibi-Consolidated Co. of Canada/Abitibi-Consolidated, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 11.50%, 3/31/09(1, 2) 26,544,068 19,543,070 TELECOMMUNICATION SERVICES--4.2% DIVERSIFIED TELECOMMUNICATION SERVICES--3.3% FairPoint Communications, Inc., Sr. Sec. Credit Facilities Term Loan: Tranche A, 2.938%, 3/31/14(1, 2) 4,000,000 2,493,332 Tranche B, 5.75%, 3/31/15(1, 2) 3,880,000 2,429,850 Hawaiian Telcom Communications, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche C, 4.672%, 6/1/14(1) 11,000,000 4,816,427 IPC Systems, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B1, 3.709%, 5/31/14(1, 2) 28,526,708 16,188,907 ITC DeltaCom Communications, Inc., Sr. Sec. Credit Facilities Term Loan, Tranche B, 5.459%, 7/12/13(1) 22,275,000 13,605,570 -------------- 39,534,086 -------------- WIRELESS TELECOMMUNICATION SERVICES--0.9% Telesat Canada, Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.91%-5.20%, 10/23/14(1, 2) 11,676,083 9,449,290
F10 | OPPENHEIMER SENIOR FLOATING RATE FUND
PRINCIPAL AMOUNT VALUE ------------ -------------- WIRELESS TELECOMMUNICATION SERVICES Continued Telesat Canada, Sr. Sec. Credit Facilities Term Loan, Delayed Draw, Tranche B, 4.46%, 10/23/14(1, 2) $ 1,406,780 $ 1,138,487 -------------- 10,587,777 -------------- UTILITIES--7.0% ELECTRIC UTILITIES--7.0% Bosque Power Co. LLC, Sr. Sec. Credit Facilities Term Loan, 7.025%, 1/16/15(1, 2) 15,163,106 10,159,281 Calpine Construction Finance Co. LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, 9.762%, 8/26/09(1) 18,180,058 18,028,563 Guadalupe Power Plant, Inc., Sr. Sec. Credit Facilities Term Loan, 4%, 12/31/09(1, 3) 5,866,328 5,631,674 Kelson Energy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.71%, 3/8/13(1, 2) 3,303,954 2,564,694 La Paloma Generating Co. LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 4.959%, 8/16/13(1) 11,000,000 6,751,250 Liberty Electric Power LLC, Sr. Sec. Credit Facilities Term Loan, 4.459%, 10/30/14(1, 2) 25,202,902 18,902,177 MACH Gen LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 5.636%, 2/15/15(1, 3) 3,159,713 1,955,072 MACH Gen LLC, Sr. Sec. Credit Facilities Letter of Credit Term Loan, 3.468%, 2/22/14(1, 2) 1,028,881 766,517 Texas Competitive Electric Holdings Co. LLC, Sr. Sec. Credit Facilities Term Loan: Tranche B1, 3.906%-3.909%, 10/10/14(1, 2) 4,962,312 3,476,377 Tranche B3, 3.906%-3.909%, 10/10/14(1, 2) 13,852,187 9,689,605 USPF Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 2.083%, 4/11/14(1, 3) 6,461,676 5,137,032 -------------- 83,062,242 -------------- Total Corporate Loans (Cost $1,794,921,657) 1,132,481,489 -------------- LOAN PARTICIPATIONS--1.8% Riverside Energy Center LLC/Rocky Mountain Energy Center LLC, Sr. Sec. Credit Facilities Term Loan, 5.424%, 6/24/11(1, 3) 14,885,113 13,024,472 Rocky Mountain Energy Corp., Sr. Sec. Credit Facilities Letter of Credit Term Loan, 5.424%, 6/24/11(1, 3) 1,302,334 1,139,543 Rocky Mountain Energy Corp., Sr. Sec. Credit Facilities Term Loan, 5.424%, 6/24/11(1, 3) 6,817,822 5,965,595 Rural/Metro Corp., Sr. Sec. Credit Facilities Letter of Credit Term Loan, 3.94%, 3/4/11(1, 3) 1,647,059 1,412,353 -------------- Total Loan Participations (Cost $24,594,774) 21,541,963 --------------
F11 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF INVESTMENTS Unaudited / Continued
PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE BONDS AND NOTES--2.0% Cognis GmbH, 3.996% Sr. Sec. Bonds, 9/15/13(1, 3) $ 1,450,000 $ 841,000 Dole Food Co., Inc., 8.625% Sr. Nts., 5/1/09(2) 23,399,000 22,170,553 LightPoint CLO Ltd. VII, 6.149% Collateralized Loan Obligations, Sub. Deferrable Nts., Series 2007-7A, Cl. D, 5/15/21(1, 3) 4,500,000 180,000 Paxson Communications Corp., 7.344% Sr. Sec. Nts., 1/15/13(1, 7) 5,418,723 270,936 -------------- Total Corporate Bonds and Notes (Cost $34,246,022) 23,462,489 --------------
SHARES ------------ INVESTMENT COMPANY--8.7% Oppenheimer Institutional Money Market Fund, Cl. E, 1.08%(8, 9) (Cost $103,613,003) 103,613,003 103,613,003 TOTAL INVESTMENTS, AT VALUE (COST $1,957,375,456) 107.6% 1,281,098,944 LIABILITIES IN EXCESS OF OTHER ASSETS (7.6) (90,978,775) ------------ -------------- NET ASSETS 100.0% $1,190,120,169 ============ ==============
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 has been segregated for collateral to cover borrowings. See Note 7 of accompanying Notes. (3.) Illiquid security. The aggregate value of illiquid securities as of January 31, 2009 was $229,550,895, which represents 19.29% of the Fund's net assets. See Note 6 of accompanying Notes. (4.) Issue is in default. See Note 1 of accompanying Notes. (5.) Non-income producing security. (6.) This Senior Loan will settle after January 31, 2009, at which time the interest rate will be determined. (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 $270,936 or 0.02% of the Fund's net assets as of January 31, 2009. (8.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended January 31, 2009, 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 SHARES GROSS GROSS JANUARY 31, JULY 31, 2008 ADDITIONS REDUCTIONS 2009 ------------- ------------- ------------- ----------- Oppenheimer Institutional Money Market Fund, Cl. E 214,566,851 1,123,428,125 1,234,381,973 103,613,003
VALUE INCOME ------------ ---------- Oppenheimer Institutional Money Market Fund, Cl. E $103,613,003 $1,551,273
(9.) Rate shown is the 7-day yield as of January 31, 2009. F12 | OPPENHEIMER SENIOR FLOATING RATE FUND 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 January 31, 2009:
INVESTMENTS IN OTHER FINANCIAL VALUATION DESCRIPTION SECURITIES INSTRUMENTS* - --------------------- -------------- --------------- Level 1--Quoted Prices $ 103,613,003 $-- Level 2--Other Significant Observable Inputs 1,176,644,941 -- Level 3--Significant Unobservable Inputs 841,000 -- -------------- --- Total $1,281,098,944 $-- ============== ===
* 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 written 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. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F13 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited January 31, 2009 ASSETS Investments, at value--see accompanying statement of investments: Unaffiliated companies (cost $1,853,762,453) $1,177,485,941 Affiliated companies (cost $103,613,003) 103,613,003 -------------- 1,281,098,944 -------------- Cash 3,890,507 Receivables and other assets: Investments sold 36,203,075 Interest, dividends and principal paydowns 10,763,614 Other 5,277,482 -------------- Total assets 1,337,233,622 -------------- LIABILITIES Payables and other liabilities: Shares of beneficial interest redeemed 111,834,151 Investments purchased 33,650,640 Dividends 542,964 Shareholder communications 163,485 Transfer and shareholder servicing agent fees 135,724 Distribution and service plan fees 103,960 Interest expense on borrowings 47,344 Trustees' compensation 6,048 Other 629,137 -------------- Total liabilities 147,113,453 -------------- NET ASSETS $1,190,120,169 ============== COMPOSITION OF NET ASSETS Par value of shares of beneficial interest $ 203,042 Additional paid-in capital 2,230,856,014 Accumulated net investment loss (22,498,646) Accumulated net realized loss on investments (342,163,729) Net unrealized depreciation on investments (676,276,512) -------------- NET ASSETS $1,190,120,169 ==============
F14 | OPPENHEIMER SENIOR FLOATING RATE FUND NET ASSET VALUE PER SHARE Class A Shares: Net asset value and redemption price per share (based on net assets of $513,038,561 and 87,571,273 shares of beneficial interest outstanding) $5.86 Maximum offering price per share (net asset value plus sales charge of 3.50% of offering price) $6.07 Class B Shares: Net asset value, redemption price (excludes applicable early withdrawal charge) and offering price per share (based on net assets of $88,606,673 and 15,120,206 shares of beneficial interest outstanding) $5.86 Class C Shares: Net asset value, redemption price (excludes applicable early withdrawal charge) and offering price per share (based on net assets of $580,957,287 and 99,065,538 shares of beneficial interest outstanding) $5.86 Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $7,517,648 and 1,285,405 shares of beneficial interest outstanding) $5.85
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F15 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF OPERATIONS Unaudited For the Six Months Ended January 31, 2009 INVESTMENT INCOME Interest $ 77,014,181 Dividends from affiliated companies 1,551,273 Other income 639,989 ------------- Total investment income 79,205,443 ------------- EXPENSES Management fees 5,304,897 Distribution and service plan fees: Class A 882,509 Class B 451,808 Class C 2,982,921 Transfer and shareholder servicing agent fees: Class A 478,884 Class B 134,972 Class C 490,747 Class Y 6,033 Shareholder communications: Class A 71,912 Class B 28,390 Class C 75,372 Class Y 131 Borrowing fees 3,521,442 Interest expense 982,369 Custodian fees and expenses 248,079 Trustees' compensation 24,282 Other 18,150 ------------- Total expenses 15,702,898 Less waivers and reimbursements of expenses (653,796) ------------- Net expenses 15,049,102 ------------- NET INVESTMENT INCOME 64,156,341 ============= REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Investments (91,034,560) Swap contracts 13,230,556 ------------- Net realized loss (77,804,004) ------------- Net change in unrealized depreciation on investments (457,304,625) ------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(470,952,288) =============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F16 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS YEAR ENDED ENDED JANUARY 31, 2009 JULY 31, (UNAUDITED) 2008 ---------------- --------------- OPERATIONS Net investment income $ 64,156,341 $ 188,560,668 Net realized loss (77,804,004) (205,181,855) Net change in unrealized depreciation (457,304,625) (55,822,438) -------------- --------------- Net decrease in net assets resulting from operations (470,952,288) (72,443,625) -------------- --------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income: Class A (38,226,486) (83,437,263) Class B (6,158,694) (12,962,980) Class C (41,013,960) (89,596,911) Class Y (395,251) (1,637,663) -------------- --------------- (85,794,391) (187,634,817) -------------- --------------- BENEFICIAL INTEREST TRANSACTIONS Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A (101,534,831) (493,999,831) Class B (20,135,508) (78,548,934) Class C (123,462,486) (565,763,057) Class Y 4,138,489 (52,982,600) -------------- --------------- (240,994,336) (1,191,294,422) -------------- --------------- NET ASSETS Total decrease (797,741,015) (1,451,372,864) -------------- --------------- Beginning of period 1,987,861,184 3,439,234,048 -------------- --------------- End of period (including accumulated net investment loss of $22,498,646 and $860,596, respectively) $1,190,120,169 $ 1,987,861,184 ============== ===============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F17 | OPPENHEIMER SENIOR FLOATING RATE FUND STATEMENT OF CASH FLOWS Unaudited For the Six Months Ended January 31, 2009 CASH FLOWS FROM OPERATING ACTIVITIES Net decrease in net assets from operations $(470,952,288) Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: Purchase of investment securities (336,435,664) Proceeds from disposition of investment securities 501,185,431 Short-term investment securities, net 136,799,013 Premium amortization 131,216 Discount accretion (7,809,198) Net realized loss on investments 77,804,004 Net change in unrealized depreciation on investments 457,304,625 Decrease in interest receivable 2,481,049 Decrease in receivable for securities sold 19,180,154 Increase in other assets (5,183,461) Decrease in payable for securities purchased (5,409,669) Decrease in payable for accrued expenses (1,162,102) ------------- Net cash provided by operating activities 367,933,110 ------------- CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from bank borrowings 500,000,000 Payments on bank borrowings (500,000,000) Proceeds from shares sold 54,384,471 Payments on shares redeemed (388,880,754) Cash distributions paid (36,566,543) ------------- Net cash used in financing activities (371,062,826) ------------- Net decrease in cash (3,129,716) Cash, beginning balance 7,020,223 ------------- Cash, ending balance $ 3,890,507 =============
Supplemental disclosure of cash flow information: Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $49,059,933 Cash paid for interest on bank borrowings--$935,025 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F18 | OPPENHEIMER SENIOR FLOATING RATE FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED JULY 31, JANUARY 31, 2009 ------------------------------------------------------------------ CLASS A (UNAUDITED) 2008 2007 2006 2005 2004 - ------- ---------------- ---------- ---------- ---------- ---------- -------- PER SHARE OPERATING DATA Net asset value, beginning of period $ 8.27 $ 9.11 $ 9.54 $ 9.54 $ 9.56 $ 9.24 Income (loss) from investment operations: Net investment income .29(1) .62(1) .69(1) .66(1) .53(1) .49 Net realized and unrealized gain (loss) (2.31) (.85) (.42) -- (.02) .30 -------- ---------- ---------- ---------- ---------- -------- Total from investment operations (2.02) (.23) .27 .66 .51 .79 -------- ---------- ---------- ---------- ---------- -------- Dividends and/or distributions to shareholders: Dividends from net investment income (.39) (.61) (.70) (.66) (.53) (.47) Net asset value, end of period $ 5.86 $ 8.27 $ 9.11 $ 9.54 $ 9.54 $ 9.56 ======== ========== ========== ========== ========== ======== TOTAL RETURN, AT NET ASSET VALUE(2) (24.70)% (2.68)% 2.75% 7.10% 5.45% 8.78% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in thousands) $513,038 $ 855,905 $1,460,069 $1,513,036 $1,038,746 $376,001 Average net assets (in thousands) $699,254 $1,179,865 $1,687,143 $1,292,028 $ 776,029 $146,224 Ratios to average net assets:(3) Net investment income 8.17% 7.11% 7.26% 6.88% 5.63% 5.56% Total expenses 1.65%(4) 1.16%(4) 1.07%(4) 1.11% 1.09% 1.19% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 1.57% 1.05% 0.97% 0.97% 0.89% 0.99% Portfolio turnover rate 23% 50% 105% 104% 114% 155%
(1.) Per share amounts calculated based on the average shares outstanding during the period. (2.) Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and repurchase at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. (3.) Annualized for periods less than one full year. (4.) Total expenses including indirect expenses from affiliated fund were as follows: Six Months Ended January 31, 2009 1.66% Year Ended July 31, 2008 1.17% Year Ended July 31, 2007 1.07%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F19 | OPPENHEIMER SENIOR FLOATING RATE FUND FINANCIAL HIGHLIGHTS Continued
SIX MONTHS ENDED YEAR ENDED JULY 31, JANUARY 31, 2009 ---------------------------------------------------------- CLASS B (UNAUDITED) 2008 2007 2006 2005 2004 - ------- ---------------- -------- -------- -------- -------- -------- PER SHARE OPERATING DATA Net asset value, beginning of period $ 8.27 $ 9.12 $ 9.54 $ 9.54 $ 9.56 $ 9.24 Income (loss) from investment operations: Net investment income .27(1) .57(1) .64(1) .60(1) .48(1) .46 Net realized and unrealized gain (loss) (2.31) (.87) (.42) -- (.02) .28 -------- -------- -------- -------- -------- -------- Total from investment operations (2.04) (.30) .22 .60 .46 .74 -------- -------- -------- -------- -------- -------- Dividends and/or distributions to shareholders: Dividends from net investment income (.37) (.55) (.64) (.60) (.48) (.42) -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 5.86 $ 8.27 $9.12 $ 9.54 $ 9.54 $ 9.56 ======== ======== ======== ======== ======== ======== TOTAL RETURN, AT NET ASSET VALUE(2) (24.94)% (3.37)% 2.27% 6.49% 4.86% 8.18% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in thousands) $ 88,607 $149,858 $247,726 $318,312 $344,337 $277,043 Average net assets (in thousands) $119,426 $201,066 $295,655 $334,997 $327,996 $201,260 Ratios to average net assets:(3) Net investment income 7.56% 6.48% 6.71% 6.27% 5.06% 5.04% Total expenses 2.26%(4) 1.76%(4) 1.65%(4) 1.68% 1.66% 1.76% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 2.18% 1.65% 1.55% 1.54% 1.46% 1.56% Portfolio turnover rate 23% 50% 105% 104% 114% 155%
(1.) Per share amounts calculated based on the average shares outstanding during the period. (2.) Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and repurchase at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. (3.) Annualized for periods less than one full year. (4.) Total expenses including indirect expenses from affiliated fund were as follows: Six Months Ended January 31, 2009 2.27% Year Ended July 31, 2008 1.77% Year Ended July 31, 2007 1.65%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F20 | OPPENHEIMER SENIOR FLOATING RATE FUND
SIX MONTHS ENDED YEAR ENDED JULY 31, JANUARY 31, 2009 -------------------------------------------------------------------- CLASS C (UNAUDITED) 2008 2007 2006 2005 2004 - ------- ---------------- ---------- ---------- ---------- ---------- -------- PER SHARE OPERATING DATA Net asset value, beginning of period $ 8.27 $ 9.12 $ 9.55 $ 9.55 $ 9.57 $ 9.25 Income (loss) from investment operations: Net investment income .27(1) .58(1) .64(1) .61(1) .48(1) .45 Net realized and unrealized gain (loss) (2.31) (.87) (.42) -- (.02) .29 -------- ---------- ---------- ---------- ---------- -------- Total from investment operations (2.04) (.29) .22 .61 .46 .74 -------- ---------- ---------- ---------- ---------- -------- Dividends and/or distributions to shareholders: Dividends from net investment income (.37) (.56) (.65) (.61) (.48) (.42) -------- ---------- ---------- ---------- ---------- -------- Net asset value, end of period $ 5.86 $ 8.27 $ 9.12 $ 9.55 $ 9.55 $ 9.57 ======== ========== ========== ========== ========== ======== TOTAL RETURN, AT NET ASSET VALUE(2) (24.89)% (3.28)% 2.24% 6.56% 4.92% 8.21% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in thousands) $580,957 $ 976,602 $1,672,484 $1,686,272 $1,350,656 $615,744 Average net assets (in thousands) $788,539 $1,365,398 $1,843,725 $1,542,199 $1,065,783 $346,347 Ratios to average net assets:(3) Net investment income 7.68% 6.60% 6.76% 6.36% 5.11% 5.05% Total expenses 2.13%(4) 1.68%(4) 1.58%(4) 1.61 1.60% 1.71% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 2.05% 1.57% 1.48% 1.47% 1.40% 1.51% Portfolio turnover rate 23% 50% 105% 104% 114% 155%
(1.) Per share amounts calculated based on the average shares outstanding during the period. (2.) Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and repurchase at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. (3.) Annualized for periods less than one full year. (4.) Total expenses including indirect expenses from affiliated fund were as follows: Six Months Ended January 31, 2009 2.14% Year Ended July 31, 2008 1.69% Year Ended July 31, 2007 1.58%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F21 | OPPENHEIMER SENIOR FLOATING RATE FUND FINANCIAL HIGHLIGHTS Continued
SIX MONTHS ENDED YEAR ENDED JULY 31, JANUARY 31, 2009 --------------------------------- CLASS Y (UNAUDITED) 2008 2007 2006(1) - ------- ---------------- ------- ------- ------- PER SHARE OPERATING DATA Net asset value, beginning of period $ 8.25 $ 9.11 $ 9.54 $9.54 Income (loss) from investment operations: Net investment income(2) .29 .69 .69 .47 Net realized and unrealized gain (loss) (2.29) (.93) (.39) -- ------- ------- ------- ----- Total from investment operations (2.00) (.24) .30 .47 ------- ------- ------- ----- Dividends and/or distributions to shareholders: Dividends from net investment income (.40) (.62) (.73) (.47) ------- ------- ------- ----- Net asset value, end of period $ 5.85 $ 8.25 $ 9.11 $9.54 ======= ======= ======= ===== TOTAL RETURN, AT NET ASSET VALUE(3) (24.54)% (2.78)% 3.14% 5.04% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in thousands) $ 7,518 $ 5,496 $58,955 $ 1 Average net assets (in thousands) $ 6,236 $21,397 $11,372 $ 1 Ratios to average net assets:(4) Net investment income 8.62% 7.69% 7.34% 7.33% Total expenses 1.51%(5) 0.87%(5) 0.82%(5) 0.96% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 1.44% 0.76% 0.72% 0.85% Portfolio turnover rate 23% 50% 105% 104%
(1.) For the period from November 28, 2005 (inception of offering) to July 31, 2006. (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 repurchase at the net asset value calculated on the last business day of the fiscal period. 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.) Total expenses including indirect expenses from affiliated fund were as follows: Six Months Ended January 31, 2009 1.52% Year Ended July 31, 2008 0.88% Year Ended July 31, 2007 0.82%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. F22 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Senior Floating Rate Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The Fund seeks as high a level of current income and preservation of capital as is consistent with investing primarily in senior floating rate loans and other debt securities. The Fund's investment adviser is OppenheimerFunds, Inc. (the "Manager"). The Fund offers Class A, Class B, Class C and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B and Class C shares are sold without an initial sales charge but may be subject to an early withdrawal charge ("EWC"). Class Y shares are sold to certain institutional investors without either a front-end sales charge or a EWC, however, the institutional investor may impose charges on those accounts. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B and C shares have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares 72 months after the end of the month in which you purchase them. 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. F23 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 1. SIGNIFICANT ACCOUNTING POLICIES Continued Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2. In the absence of a readily available quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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. F24 | OPPENHEIMER SENIOR FLOATING RATE FUND 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 purchases and sells interests in Senior Loans and other portfolio securities on a "when issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose 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. SENIOR LOANS. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus borrowings for investment purposes) in floating rate Senior Loans made to U.S. and foreign borrowers that are corporations, partnerships or other business entities. The Fund will do so either as an original lender or as a purchaser of a loan assignment or a participation interest in a loan. While most of these loans will be collateralized, the Fund can also under normal market conditions invest up to 10% of its net assets (plus borrowings for investment purposes) in uncollateralized floating rate Senior Loans. Senior Loans are often issued in connection with recapitalizations, acquisitions, leveraged buyouts, and refinancing of borrowers. The Senior Loans pay interest at rates that float above (or are adjusted periodically based on) a benchmark that reflects current interest rates. Senior Loans generally are not listed on any national securities exchange or automated quotation system and no active trading market exists for many Senior Loans. As a result, many Senior Loans are illiquid, meaning the Fund may not be able to value them accurately or to sell them quickly at a fair price. To the extent that a secondary market does exist for certain Senior Loans, the market may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. As of January 31, 2009, securities with an aggregate market value of $1,154,023,452, representing 96.97% of the Fund's net assets were comprised of Senior Loans, of which $228,529,895 representing 19.20% of the Fund's net assets, were illiquid. F25 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 1. SIGNIFICANT ACCOUNTING POLICIES Continued SECURITY CREDIT RISK. Senior loans are subject to credit risk. Credit risk relates to the ability of the borrower under a senior loan to make interest and principal payments as they become due. The Fund's investments in senior loans are subject to risk of default. As of January 31, 2009, securities with an aggregate market value of $31,422,389, representing 2.64% of the Fund's net assets, were in default. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 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 July 31, 2008, the Fund did not utilize any capital loss carry-forward to offset capital gains realized in that fiscal year. As of July 31, 2008, the Fund had available for federal income tax purposes post-October losses of $159,781,502 and unused capital loss carryforwards as follows:
EXPIRING - -------- 2010 $10,765,372 2011 26,003,298 2014 4,679,034 2015 6,897,861 2016 50,471,975 ----------- Total $98,817,540 ===========
F26 | OPPENHEIMER SENIOR FLOATING RATE FUND As of January 31, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $336,403,046 expiring by 2017. 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 January 31, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of January 31, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities $1,966,835,587 ============== Gross unrealized appreciation $ 900,353 Gross unrealized depreciation (686,636,996) -------------- Net unrealized depreciation $ (685,736,643) ==============
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. F27 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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. 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 Each quarter the Fund intends to make a "Repurchase Offer" to repurchase a portion of the Fund's outstanding shares from shareholders. The Repurchase Offers are designed to provide some liquidity for Fund investors who wish to sell some or all of their shares. The Fund has adopted the following fundamental policies concerning periodic repurchase offers: - The Fund will make periodic Repurchase Offers, pursuant to Rule 23c-3 under the Investment Company Act of 1940 (as that rule may be amended from time to time). - Repurchase offers shall be made at periodic intervals of three months between repurchase request deadlines. The deadlines will be at the time on a regular business day (normally the last regular business day) in the months of January, April, July and October to be determined by the Fund's Board of Trustees. - The repurchase pricing date for a particular Repurchase Offer shall be not more than 14 days after the repurchase request deadline for the repurchase offer. If that day is not a regular business day, then the repurchase pricing date will be the following business day. F28 | OPPENHEIMER SENIOR FLOATING RATE FUND Each quarter, the Fund's Board will determine the number of shares that the Fund will offer to repurchase in a particular Repurchase Offer. The Repurchase Offer amount will be at least 5% but not more than 25% of the total number of shares of all classes of the Fund (in the aggregate) outstanding on the repurchase request deadline. If shareholders tender more than the Repurchase Offer amount for a particular Repurchase Offer, the Fund may repurchase up to an additional 2% of the shares outstanding on the repurchase request deadline. For the six months ended January 31, 2009, the Fund extended two Repurchase Offers:
PERCENTAGE OF AMOUNT OF REPURCHASE OUTSTANDING SHARES SHARES THE NUMBER OF REQUEST THE FUND OFFERED FUND OFFERED SHARES TENDERED DEADLINES TO REPURCHASE TO REPURCHASE (ALL CLASSES) - ---------------- ------------------ ------------- --------------- January 31, 2009 25% 50,760,606 19,458,997 October 31, 2008 25 53,470,898 32,460,440
The Fund is authorized to issue an unlimited number of shares of each class and at the date of this report has registered 903,615,584 shares, par value $0.001 each. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED JANUARY 31, 2009 YEAR ENDED JULY 31, 2008 --------------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- ------------- ----------- ------------- CLASS A Sold 4,451,584 $ 32,253,955 18,699,923 $ 165,087,834 Dividends and/or distributions reinvested 3,260,540 20,898,882 5,377,747 47,058,278 Repurchased (23,695,285) (154,687,668) (80,733,823) (706,145,943) ----------- ------------- ----------- ------------- Net decrease (15,983,161) $(101,534,831) (56,656,153) $(493,999,831) =========== ============= =========== ============= CLASS B Sold 257,437 $ 1,802,312 1,321,372 $ 11,645,785 Dividends and/or distributions reinvested 657,474 4,209,815 1,021,712 8,931,096 Repurchased (3,922,107) (26,147,635) (11,386,852) (99,125,815) ----------- ------------- ----------- ------------- Net decrease (3,007,196) $ (20,135,508) (9,043,768) $ (78,548,934) =========== ============= =========== ============= CLASS C Sold 2,210,338 $ 15,351,919 11,994,062 $ 106,635,301 Dividends and/or distributions reinvested 3,720,022 23,853,460 6,165,709 54,027,718 Repurchased (24,906,763) (162,667,865) (83,414,228) (726,426,076) ----------- ------------- ----------- ------------- Net decrease (18,976,403) $(123,462,486) (65,254,457) $(565,763,057) =========== ============= =========== ============= CLASS Y Sold 747,637 $ 4,976,285 844,888 $ 7,405,482 Dividends and/or distributions reinvested 15,365 97,776 144,647 1,308,214 Repurchased (143,523) (935,572) (6,796,675) (61,696,296) ----------- ------------- ----------- ------------- Net increase (decrease) 619,479 $ 4,138,489 (5,807,140) $ (52,982,600) =========== ============= =========== =============
F29 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 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 Oppenheimer Institutional Money Market Fund and OFI Liquid Assets Fund, LLC, for the six months ended January 31, 2009, were as follows:
PURCHASES SALES ------------ ------------ Investment securities $336,435,664 $501,185,431
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
FEE SCHEDULE - ------------ Up to $200 million 0.75% Next $200 million 0.72 Next $200 million 0.69 Next $200 million 0.66 Over $800 million 0.60
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 January 31, 2009, the Fund paid $1,174,020 to OFS for services to the Fund. Additionally, Class Y shares are subject to minimum fees of $10,000 annually for assets of $10 million or more. The Class Y shares are subject to the minimum fees in the event that the per account fee does not equal or exceed the applicable minimum fees. OFS may voluntarily waive the minimum fees. DISTRIBUTION AND SERVICE PLAN (12B-1) FEES. Under its General Distributor's Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the "Distributor") acts as the Fund's principal underwriter in the continuous public offering of the Fund's classes of shares. SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan (the "Plan") for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the average annual net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations. F30 | OPPENHEIMER SENIOR FLOATING RATE FUND DISTRIBUTION AND SERVICE PLANS FOR CLASS B AND CLASS C SHARES. The Fund has adopted Distribution and Service Plans (the "Plans") for Class B and Class C shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares. The Board of Trustees has currently set that fee rate at 0.50% of average annual net assets of the respective class per year under each plan but may increase it up to 0.75% in the future. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B or Class C plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. The Distributor's aggregate uncompensated expenses under the Plans at December 31, 2008 for Class B and Class C shares were $6,894,606 and $40,836,375, respectively. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations. SALES CHARGES. Front-end sales charges and early withdrawal charges ("EWC") do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the EWC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
CLASS A CLASS B CLASS C CLASS A EARLY EARLY EARLY FRONT-END WITHDRAWAL WITHDRAWAL WITHDRAWAL SALES CHARGES CHARGES CHARGES CHARGES SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR - ---------------- ------------- ----------- ----------- ----------- January 31, 2009 $22,480 $15,344 $121,567 $26,060
WAIVERS AND REIMBURSEMENTS OF EXPENSES. From January 1, 2006 until November 30, 2008, the Manager voluntarily agreed to reduce its management fees by 0.10% of average annual net assets. As a result of this agreement, the Fund was reimbursed $595,657 for the six months ended January 31, 2009. Effective December 1, 2008, the Manager terminated this voluntary waiver. OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class. This undertaking may be amended or withdrawn at any time. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. During the six months ended January 31, 2009, the Manager waived $58,139 for IMMF management fees. F31 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 5. SWAP CONTRACTS The Fund may enter into privately negotiated agreements with a counterparty to exchange or "swap" payments at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the "notional" amount of the asset or non-asset reference to which the contract relates. As derivative contracts, swaps typically do not have an associated cost at contract inception. At initiation, contract terms are typically set at market value such that the value of the swap is $0. If a counterparty specifies terms that would result in the contract having a value other than $0 at initiation, one counter-party will pay the other an upfront payment to equalize the contract. Subsequent changes in market value are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. Contract types may include credit default, interest rate, total return, and currency swaps. Swaps are marked to market daily using quotations primarily from pricing services, counterparties or 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) is comprised of the change in the valuation of the swap 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. Any payment received or paid to initiate a contract is recorded as a cost of the swap in the Statement of Assets and Liabilities and as a component of unrealized gain or loss on the Statement of Operations until contract termination; upon contract termination, this amount is recorded as realized gain or loss on the Statement of Operations. Excluding amounts paid at contract initiation as described above, the Fund also records any periodic payments received from (paid to) the counterparty, including at termination, 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 fails to make a payment when due or otherwise defaults under the terms of the contract. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. Market risk is the risk that the value of the contract will depreciate due to unfavorable changes in the performance of the asset or non-asset reference. Liquidity risk is the risk that the Fund may be unable to close the contract prior to its termination. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). F32 | OPPENHEIMER SENIOR FLOATING RATE FUND The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations. Risks of credit default swaps include credit, market and liquidity risk. Additional risks 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 when a credit event occurs (paying the notional amount to the protection buyer); and pricing transparency when assessing the value of a credit default swap. As of the period end, the Fund has sold credit protection through credit default swaps to gain exposure to the credit risk of individual securities and/or indexes that are either unavailable or considered to be less attractive in the bond market. As of January 31, 2009, the Fund had no such credit default swaps outstanding. 6. ILLIQUID SECURITIES As of January 31, 2009, 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. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments. 7. BORROWINGS The Fund can borrow money from banks in an amount up to one third its total assets (including the amount borrowed) less all liabilities and indebtedness other than borrowings. The Fund may borrow if necessary to obtain short-term credit to allow it to repurchase F33 | OPPENHEIMER SENIOR FLOATING RATE FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued 7. BORROWINGS Continued shares during Repurchase Offers, to manage cash flows, and to fund additional purchase commitments under Senior Loans. The Fund may also borrow to acquire additional investments (a technique known as "leverage"). The use of leverage will subject the Fund to greater costs than funds that do not borrow for leverage, and may also make the Fund's share price more sensitive to interest changes. Expenses incurred by the Fund with respect to interest on borrowings and commitment fees are disclosed separately or as other expenses on the Statement of Operations. The Fund entered into a Revolving Credit and Security Agreement (the "Agreement") with a conduit lender and a bank which enables it to participate with certain other Oppenheimer funds in a committed, secured borrowing facility that permits borrowings of up to $3.0 billion, collectively. To secure the loan, the Fund pledges investment securities in accordance with the terms of the Agreement. Interest is charged to the Fund, based on its borrowings, at current commercial paper issuance rates (1.3014% as of January 31, 2009). The Fund pays additional fees annually to its lender on its outstanding borrowings to manage and administer the facility and is allocated its pro-rata share of an annual commitment fee on the amount of the unused portion of the total facility size. Total fees and interest that are included in expenses on the Fund's Statement of Operations related to its participation in the borrowing facility during the six months ended January 31, 2009 equal 0.55% of the Fund's average net assets on an annualized basis. The Fund has the right to prepay such loans and terminate its participation in the conduit loan facility at any time upon prior notification. Details of the borrowings for the six months ended January 31, 2009 are as follows: Average Daily Loan Balance $54,114,130 Average Daily Interest Rate 3.323% Fees Paid $ 8,519,348 Interest Paid $ 935,025
As of January 31, 2009, the Fund had no borrowings outstanding. 8. RECENT ACCOUNTING PRONOUNCEMENT In March 2008, the Financial Accounting Standards Board ("FASB") issued Statement on 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 and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of SFAS No. 161 and its impact on the Fund's financial statements and related disclosures. F34 | OPPENHEIMER SENIOR FLOATING RATE FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited Each year, the Board of Trustees (the "Board"), including a majority of the independent Trustees, is required to determine whether to renew the Fund's investment advisory agreement (the "Agreement"). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Manager provide, such information as may be reasonably necessary to evaluate the terms of the Agreement. The Board employs an independent consultant to prepare a report that provides information, including comparative information, the Board requests for that purpose. In addition, the Board receives information throughout the year regarding Fund services, fees, expenses and performance. The Manager and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Manager's services, (ii) the investment performance of the Fund and the Manager, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Manager and its affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Manager from its relationship with the Fund. The Board was aware that there are alternatives to retaining the Manager. Outlined below is a summary of the principal information considered by the Board as well as the Board's conclusions. NATURE, QUALITY AND EXTENT OF SERVICES. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Manager's key personnel who provide such services. The Manager's duties include providing the Fund with the services of the portfolio managers and the Manager's investment team, who provide research, analysis and other advisory services in regard to the Fund's investments; securities trading services; oversight of third party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund's investment restrictions. The Manager is responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund's operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of the Fund's shares. The Manager also provides the Fund with office space, facilities and equipment. 15 | OPPENHEIMER SENIOR FLOATING RATE FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited / Continued The Board also considered the quality of the services provided and the quality of the Manager's resources that are available to the Fund. The Board took account of the fact that the Manager has had over forty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Manager's advisory, administrative, accounting, legal and compliance services, and information the Board has received regarding the experience and professional qualifications of the Manager's key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Joseph Welsh and Margaret Hui, the portfolio managers for the Fund, and the Manager's investment team and analysts. The Board members also considered the totality of their experiences with the Manager as Directors or Trustees of the Fund and other funds advised by the Manager. The Board considered information regarding the quality of services provided by affiliates of the Manager, which its members have become knowledgeable about in connection with the renewal of the Fund's service agreements. The Board concluded that in light of the Manager's experience, reputation, personnel, operations and resources, the Fund benefits from the services provided under the Agreement. INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. Throughout the year, the Manager provided information on the investment performance of the Fund and the Manager, including comparative performance information. The Board also reviewed information, prepared by the Manager and by the independent consultant, comparing the Fund's historical performance to relevant market indices and to the performance of other closed-end loan participation funds advised by other investment advisers. The Board considered that the Fund outperformed its performance universe median during the one-, three-, since inception, though it underperformed its performance universe median during the five-year period. COSTS OF SERVICES BY THE MANAGER. The Board reviewed the fees paid to the Manager and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Manager. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and loan participation funds with comparable asset levels and distribution features. The Board considered that the Fund's actual management fees and total expenses were lower than its expense group median. The Board considered that the Manager voluntarily undertook to waive 10 basis points of its management fee. 16 | OPPENHEIMER SENIOR FLOATING RATE FUND ECONOMIES OF SCALE AND PROFITS REALIZED BY THE MANAGER. The Board considered information regarding the Manager's costs in serving as the Fund's investment adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Manager's profitability from its relationship with the Fund. The Board reviewed whether the Manager may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund's assets grow. OTHER BENEFITS TO THE MANAGER. In addition to considering the profits realized by the Manager, the Board considered information that was provided regarding the direct and indirect benefits the Manager receives as a result of its relationship with the Fund, including compensation paid to the Manager's affiliates. The Board also considered that the Manager must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund and that maintaining the financial viability of the Manager is important in order for the Manager to continue to provide significant services to the Fund and its shareholders. CONCLUSIONS. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees' counsel are independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules. Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreement for another year. In arriving at this decision, the Board did not single out any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreement, including the management fee, in light of all of the surrounding circumstances. 17 | OPPENHEIMER SENIOR FLOATING RATE 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. HOUSEHOLDING--DELIVERY OF SHAREHOLDER DOCUMENTS This is to inform you about OppenheimerFunds' "householding" policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund's prospectus, annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements. Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus, reports and privacy policy within 30 days of receiving your request to stop householding. 18 | OPPENHEIMER SENIOR FLOATING RATE 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. a) Not applicable. b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to semiannual reports. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to semiannual reports. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. [insert table] for 6-months 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 01/31/2009, 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 Senior Floating Rate Fund By: /s/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: 03/12/2009 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: 03/12/2009 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 03/12/2009 EX-99.906CERT 2 rs291_51661cert906.txt RS291_51661CERT906 EX-99.906CERT Section 906 Certifications CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 John V. Murphy, Principal Executive Officer, and Brian W. Wixted, Principal Financial Officer, of Oppenheimer Senior Floating Rate Fund (the "Registrant"), each certify to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended 01/31/2009 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR filed with the Commission. Principal Executive Officer Principal Financial Officer Oppenheimer Senior Floating Rate Fund Oppenheimer Senior Floating Rate Fund /s/ John V. Murphy /s/ Brian W. Wixted - -------------------------------------- ------------------------------------- John V. Murphy Brian W. Wixted Date: 03/12/2009 Date: 03/12/2009 EX-99.CERT 3 rs291_51661cert302.txt RS291_51661CERT302 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-CSR of Oppenheimer Senior Floating Rate Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 03/12/2009 /s/ John V. Murphy - --------------------------- John V. Murphy Principal Executive Officer Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-CSR of Oppenheimer Senior Floating Rate Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 03/12/2009 /s/ Brian W. Wixted - --------------------------- Brian W. Wixted Principal Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----