-----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, DlZcMovKBpBvFPortCrgboo53dBiD8B0UApDe9AZ6l+c6wOlCWn00qCUCDbJJoIZ jdME1dZH8ftX8KeqoB8ZOA== 0000935069-04-000879.txt : 20040621 0000935069-04-000879.hdr.sgml : 20040621 20040621111257 ACCESSION NUMBER: 0000935069-04-000879 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20040430 FILED AS OF DATE: 20040621 EFFECTIVENESS DATE: 20040621 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER TOTAL RETURN BOND FUND CENTRAL INDEX KEY: 0001210130 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21268 FILM NUMBER: 04871888 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUSCON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 N-CSR 1 ra0535_10926.txt RA0535_10926.TXT 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 811-21268 Oppenheimer Total Return Bond Fund (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: April 30 Date of reporting period: May 1, 2003 - April 30, 2004 Item 1. Reports to Stockholders. FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED APRIL 30, 2004, FOLLOWED BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO AN APPROPRIATE BROAD-BASED MARKET INDEX. MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. For its fiscal year ended April 30, 2004, Oppenheimer Total Return Bond Fund's favorable performance was driven by several key factors. First, the portfolio's mortgage positioning--which emphasized higher-coupon mortgages throughout the period--was a strong supporter of performance. Because we believed that the market was over-penalizing higher-coupon mortgages and reflecting, or "pricing in," too strong of an expectation that refinancing rates would surge, we believed that emphasizing higher-coupon mortgages offered us an opportunity to capitalize on that discrepancy. As it turned out, our expectations were correct. While this positioning hurt us at the very beginning of the period when Treasury securities rallied, this specific mortgage exposure served us well for the bulk of the period. Another key factor driving the Fund's solid performance this period was the portfolio's credit exposure. Last year was a very strong year for credit, particularly for the lower-quality segment of the investment-grade universe. During most of the period, higher-beta, or lower-credit quality corporate bonds, performed best. Hence, our overweighted exposure to these types of bonds helped performance. Active management of the portfolio's interest rate exposure provided another boost to performance for the Fund's fiscal year. As the period began, we held less duration, or interest-rate sensitivity, than many of our peers. Since the period commenced with a substantial rally for Treasuries, this positioning hurt us quite significantly during those first few weeks. However, as the period progressed, the market experienced a widespread sell-off of Treasuries that lasted from June until August. During that time, we more than recouped our previous losses and enjoyed a strong boost to performance as a result of our lower duration. Then, from August through nearly the end of the fiscal year, we shifted to and maintained a neutral duration position versus our peers, which also worked well for us, as rates remained largely static. At the very end of the period, we believed that the market had again overblown its pessimism in terms of employment rate prospects and the ultimate recovery of the U.S. economy. In light of this, we reduced the portfolio's duration versus its peers. Soon after, rates backed up quite dramatically. This decision was a very profitable one, and helped add to performance, particularly on a relative basis. Finally, at the end of the reporting period, we adjusted our duration back to neutral versus our benchmark, seeing little opportunity to gain from a specific interest-rate positioning at that time. 9 | OPPENHEIMER TOTAL RETURN BOND FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- In terms of the portfolio's composition, we entered the period with a fairly strong overweight in corporate bonds, a posture that we had held since the Fund's inception. However, when we became convinced that the value of many corporate bonds had, in our opinion, become too rich, we began trimming our exposure and consequently, harvested gains for the Fund's portfolio. We entered 2004 still overweighted in our exposure to corporate debt, but ended the period nominally underweight our benchmark. Overall, this strategy added to performance throughout the period, as we sold off many of these holdings at very attractive levels relative to what we paid for them. Moving forward, we intend to maintain our current overweighted mortgage positioning, still favoring higher-coupon mortgages. We believe this positions the portfolio well for the months ahead, since higher-coupon mortgages typically outperform in a rising interest-rate environment. In addition, we are exploring from a risk-adjusted perspective the value offered by shorter-dated corporate bonds, which currently appear attractive from a structural standpoint. We have begun increasing our exposure to this segment of the credit markets, and will continue to do so if we perceive reasonable potential for future gains. In general, we will continue to seek a diverse mix of fixed-income securities, preserving the Fund's unique ability to serve as a viable, core bond holding for a well-diversified portfolio. COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the performance of a hypothetical $10,000 investment in each class of shares of the Fund held until April 30, 2004. In the case of Class A, B, C and N shares performance is measured from the inception of each class on February 21, 2003. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C and Class N shares, and reinvestments of all dividends and capital gains distributions. Past performance cannot guarantee future results. The Fund's performance is compared to the performance of the Citigroup Broad Investment Grade Index, a market-capitalization weighted index that includes fixed-rate Treasury, government-sponsored, corporate and mortgage securities. Index performance reflects the reinvestment of income but does not consider the effect of transaction costs, and none of the data in the graphs shows the effect of taxes. The Fund's performance reflects the effects of the Fund's business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the investments in the index. 10 | OPPENHEIMER TOTAL RETURN BOND FUND CLASS A SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Total Return Bond Fund (Class A) Citigroup Broad Investment Grade Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Value of Investment Citigroup Broad Investment Date In Fund Grade Index 02/21/2003 9,525 10,000 04/30/2003 9,633 10,079 07/31/2003 9,483 9,900 10/31/2003 9,716 10,135 01/31/2004 9,939 10,351 04/30/2004 9,888 10,268 AVERAGE ANNUAL TOTAL RETURN OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT 04/30/04 1 Year -2.23% Since Inception -0.94% Inception Date 2/21/03 THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. WITHOUT A VOLUNTARY EXPENSE LIMIT THAT CAN BE TERMINATED AT ANY TIME, FUND PERFORMANCE WOULD HAVE BEEN LOWER. SEE PAGE 15 FOR FURTHER INFORMATION. 11 | OPPENHEIMER TOTAL RETURN BOND FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- CLASS B SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Total Return Bond Fund (Class B) Citigroup Broad Investment Grade Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Value of Investment Citigroup Broad Investment Date In Fund Grade Index 02/21/2003 10,000 10,000 04/30/2003 10,097 10,079 07/31/2003 9,915 9,900 10/31/2003 10,132 10,135 01/31/2004 10,342 10,351 04/30/2004 9,868 10,268 AVERAGE ANNUAL TOTAL RETURN OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT 04/30/04 1 Year -3.27% Since Inception -1.10% Inception Date 2/21/03 12 | OPPENHEIMER TOTAL RETURN BOND FUND CLASS C SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Total Return Bond Fund (Class C) Citigroup Broad Investment Grade Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Value of Investment Citigroup Broad Investment Date In Fund Grade Index 02/21/2003 10,000 10,000 04/30/2003 10,096 10,079 07/31/2003 9,917 9,900 10/31/2003 10,122 10,135 01/31/2004 10,342 10,351 04/30/2004 10,258 10,268 AVERAGE ANNUAL TOTAL RETURN OF CLASS C SHARES OF THE FUND AT 04/30/04 1 Year 0.61% Since Inception 2.16% Inception Date 2/21/03 THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. WITHOUT A VOLUNTARY EXPENSE LIMIT THAT CAN BE TERMINATED AT ANY TIME, FUND PERFORMANCE WOULD HAVE BEEN LOWER. SEE PAGE 15 FOR FURTHER INFORMATION. 13 | OPPENHEIMER TOTAL RETURN BOND FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- CLASS N SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Total Return Bond Fund (Class N) Citigroup Broad Investment Grade Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Value of Investment Citigroup Broad Investment Date In Fund Grade Index 02/21/2003 10,000 10,000 04/30/2003 10,108 10,079 07/31/2003 9,938 9,900 10/31/2003 10,168 10,135 01/31/2004 10,391 10,351 04/30/2004 10,231 10,268 AVERAGE ANNUAL TOTAL RETURN OF CLASS N SHARES OF THE FUND AT 04/30/04 1 Year 1.21% Since Inception 1.93% Inception Date 2/21/03 THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. WITHOUT A VOLUNTARY EXPENSE LIMIT THAT CAN BE TERMINATED AT ANY TIME, FUND PERFORMANCE WOULD HAVE BEEN LOWER. SEE PAGE 15 FOR FURTHER INFORMATION. 14 | OPPENHEIMER TOTAL RETURN BOND 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. Please remember this Fund has a limited operating history. CLASS A shares of the Fund were first publicly offered on 2/21/03. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. CLASS B shares of the Fund were first publicly offered on 2/21/03. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Class B shares are subject to an annual 0.75% asset-based sales charge. CLASS C shares of the Fund were first publicly offered on 2/21/03. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. CLASS N shares of the Fund were first publicly offered on 2/21/03. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period. Class N shares are subject to an annual 0.25% asset-based sales charge. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 15 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF INVESTMENTS April 30, 2004 - --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--16.6% - ------------------------------------------------------------------------------------------------------------- Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 187,573 $ 187,545 - ------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2003-A, Cl. A2, 1.45%, 11/25/05 110,675 110,803 - ------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2003-2, Cl. A2A, 1.20%, 5/16/05 103,595 103,662 - ------------------------------------------------------------------------------------------------------------- Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 75,607 75,650 - ------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-A, Cl. AF1, 1.836%, 10/25/17 13,327 13,330 Series 2003-B, Cl. AF1, 1.64%, 2/25/18 29,286 29,274 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 292,382 292,756 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 118,632 118,686 - ------------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-3, Cl. 1A1, 1.18%, 8/25/17 1 54,366 54,391 Series 2003-4, Cl. 1A1, 1.22%, 9/25/17 1 133,950 134,033 - ------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.26%, 1/16/06 49,101 49,128 Series 2003-B, Cl. A2, 1.28%, 3/15/06 73,116 73,143 - ------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 160,000 164,290 - ------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-1, Cl. AF1, 1.94%, 1/25/33 24,275 24,280 Series 2003-2, Cl. AF1, 1.20%, 5/25/33 1 49,577 49,599 Series 2003-3, Cl. AF1, 1.22%, 8/25/33 1,2 112,098 112,152 - ------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 320,000 320,405 Series 2003-B, Cl. A2, 1.61%, 7/8/06 390,000 390,316 - ------------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/16/07 31,566 31,634 Series 2003-3, Cl. A1, 1.50%, 1/15/08 221,908 222,013 - ------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-2, Cl. A2, 1.34%, 12/21/05 136,306 136,407 Series 2003-3, Cl. A2, 1.52%, 4/21/06 360,000 360,352 Series 2003-4, Cl. A2, 1.58%, 7/17/06 330,000 330,272 - ------------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 170,000 170,051 - ------------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 190,988 192,161 Series 2003-1, Cl. A2, 1.60%, 7/20/06 280,000 280,325 - ------------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 160,000 159,850
16 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - -------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued - -------------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 $ 220,000 $ 220,378 - -------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-C, Cl. A3, 2.60%, 8/15/06 239,095 240,653 Series 2003-B, Cl. A2, 1.20%, 11/15/05 223,130 223,253 Series 2004-A, Cl. A2, 1.40%, 7/17/06 180,000 179,644 - -------------------------------------------------------------------------------------------------------------- Residential Funding Mortgage Securities II, Inc., Home Equity Loan Pass-Through Certificates, Series 2003-HS1, Cl. AI2, 1.20%, 1/25/33 1 208 208 - -------------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 56,093 56,633 Series 2003-A, Cl. A2, 1.28%, 8/15/05 117,446 117,540 Series 2003-B, Cl. A2, 1.43%, 2/15/06 240,000 240,056 - -------------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 90,698 91,166 Series 2003-1, Cl. A2, 1.22%, 4/17/06 109,464 109,512 Series 2004-1, Cl. A2, 1.43%, 9/15/06 430,000 429,172 - -------------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 271,988 271,964 Series 2003-2, Cl. A2, 1.55%, 6/20/06 190,000 190,154 - -------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2002-1, Cl. A2, 1.88%, 6/15/05 92,350 92,499 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 340,000 340,176 ----------- Total Asset-Backed Securities (Cost $6,987,981) 6,989,516 - -------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--66.0% - -------------------------------------------------------------------------------------------------------------- Government Agency--63.6% - -------------------------------------------------------------------------------------------------------------- HLMC/FNMA/Sponsored--63.4% Fannie Mae Whole Loan, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 2003-W6, Cl. 2A1, 2.232%, 9/25/42 254,110 254,212 - -------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 5/15/34 3 757,000 734,054 5.50%, 1/1/34 109,588 109,545 7%, 9/1/33-11/1/33 428,698 453,779 7%, 5/1/34 3 3,429,000 3,621,881 - -------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 95,026 96,679 Series 2055, Cl. ZM, 6.50%, 5/15/28 159,195 168,227 Series 2080, Cl. Z, 6.50%, 8/15/28 105,747 110,837 Series 2102, Cl. VA, 6%, 10/15/09 77,851 78,344 Series 2387, Cl. PD, 6%, 4/15/30 241,000 249,370 Series 2466, Cl. PD, 6%, 4/15/30 189,478 194,721 Series 2491, Cl. PE, 6%, 12/15/27 136,891 138,038 Series 2498, Cl. PC, 5.50%, 10/15/14 39,192 40,166 Series 2500, Cl. FD, 1.60%, 3/15/32 1 62,348 62,676
17 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - --------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued Series 2526, Cl. FE, 1.50%, 6/15/29 1 $ 54,685 $ 54,935 Series 2551, Cl. FD, 1.50%, 1/15/33 1 47,509 47,729 Series 2551, Cl. TA, 4.50%, 2/15/18 268,989 270,684 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 3.269%, 6/1/26 4 102,380 20,369 Series 177, Cl. B, 0.699%, 7/1/26 4 178,648 38,168 Series 183, Cl. IO, 2.394%, 4/1/27 4 171,920 35,257 Series 184, Cl. IO, 4.624%, 12/1/26 4 166,591 33,670 Series 192, Cl. IO, 10.245%, 2/1/28 4 49,233 10,445 Series 200, Cl. IO, 8.687%, 1/1/29 4 58,292 11,896 Series 2130, Cl. SC, 38.228%, 3/15/29 4 133,890 14,120 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 5.905%, 6/1/26 5 50,292 43,006 Series 177, Cl. PO, 5.781%, 7/1/26 5 178,648 150,950 Series 199, Cl. PO, 5.38%, 8/1/28 5 101,663 84,689 Series 203, Cl. PO, 5.077%, 6/1/29 5 60,990 50,515 Series 217, Cl. PO, 6.955%, 2/1/32 5 64,136 53,170 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations: Series H006, Cl. A1, 1.724%, 4/15/08 9,362 9,349 Series T-42, Cl. A2, 5.50%, 2/25/42 15,256 15,385 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 5%, 5/1/34 3 1,854,000 1,796,641 5.50%, 7/1/33-12/1/34 1,193,051 1,191,559 5.50%, 6/18/19-5/13/34 3 5,755,000 5,787,279 6.50%, 10/1/30 62,846 65,515 6.50%, 5/25/34 3 3,792,000 3,947,237 7%, 7/1/32-11/1/33 657,908 699,930 7%, 5/25/34 3 4,030,000 4,261,725 8.50%, 7/1/32 15,959 17,246 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1998-63, Cl. PG, 6%, 3/25/27 85,469 86,982 Trust 2001-50, Cl. NE, 6%, 8/25/30 143,417 148,594 Trust 2001-70, Cl. LR, 6%, 9/25/30 128,087 133,971 Trust 2001-70, Cl. PD, 6%, 3/25/29 140,000 143,217 Trust 2001-72, Cl. NH, 6%, 4/25/30 114,243 118,189 Trust 2001-74, Cl. PD, 6%, 5/25/30 50,000 52,047 Trust 2002-50, Cl. PD, 6%, 9/25/27 110,000 113,687 Trust 2002-73, Cl. PA, 5%, 1/25/17 79,700 80,037 Trust 2002-77, Cl. WF, 1.50%, 12/18/32 1 78,200 78,482 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 185,298 187,595 Trust 2003-21, Cl. FK, 1.50%, 3/25/33 1 136,882 137,336 Trust 2003-81, Cl. PA, 5%, 2/25/12 62,681 63,812
18 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - ---------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates Interest-Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 29.85%, 4/25/32 4 $ 242,601 $ 26,311 Trust 2002-51, Cl. S, 29.849%, 8/25/32 4 222,782 23,802 - ---------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2002-52, Cl. SD, 21.759%, 9/25/32 4 301,712 32,548 Trust 2002-9, Cl. MS, 31.233%, 3/25/32 4 157,830 16,395 Trust 222, Cl. 2, 2.692%, 6/1/23 4 216,684 46,495 Trust 240, Cl. 2, 2.128%, 9/1/23 4 489,724 108,411 Trust 252, Cl. 2, (2.05)%, 11/1/23 4 249,445 55,414 Trust 254, Cl. 2, 1.453%, 1/1/24 4 126,900 26,595 Trust 273, Cl. 2, 3.541%, 7/1/26 4 73,967 15,112 Trust 342, Cl. 2, 4.788%, 9/1/33 4 124,296 29,632 ------------ 26,748,662 - ---------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2002-15, Cl. SM, 31.376%, 2/16/32 4 403,472 38,776 Series 2002-76, Cl. SY, 31.715%, 12/16/26 4 465,155 43,085 Series 2004-11, Cl. SM, 32.747%, 1/17/30 4 193,003 19,251 ------------ 101,112 - ---------------------------------------------------------------------------------------------------------------- PRIVATE--2.4% - ---------------------------------------------------------------------------------------------------------------- COMMERCIAL--2.2% Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 254,481 251,221 - ---------------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 110,000 120,475 - ---------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 213,484 - ---------------------------------------------------------------------------------------------------------------- J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2003-ML1A, Cl. A1, 3.972%, 3/12/39 154,703 153,117 - ---------------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 206,051 ------------ 944,348 - ---------------------------------------------------------------------------------------------------------------- OTHER--0.2% CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 90,000 90,074 ------------ Total Mortgage-Backed Obligations (Cost $27,943,094) 27,884,196
19 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - --------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--25.1% - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.75%, 8/15/06 $ 370,000 $ 370,888 4.50%, 1/15/13 455,000 443,721 4.875%, 11/15/13 340,000 337,532 5.50%, 7/15/06 6 1,435,000 1,523,713 6.875%, 9/15/10 300,000 341,370 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 1,150,000 1,185,268 5.50%, 2/15/06 550,000 580,148 6%, 5/15/11 80,000 87,000 7.25%, 5/15/30 200,000 239,779 - --------------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 5.375%, 11/13/08 110,000 117,093 Series C, 4.75%, 8/1/13 145,000 143,856 Series C, 6%, 3/15/13 140,000 152,148 - --------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 417,000 422,604 5.50%, 8/15/28 165,000 167,701 6.875%, 8/15/25 1,310,000 1,563,557 STRIPS, 1.30%, 2/15/11 7 555,000 417,810 STRIPS, 3.63%, 2/15/13 7 1,389,000 925,999 - --------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 3%, 2/15/08 1,000,000 993,165 4%, 2/15/14 374,000 359,391 5.75%, 8/15/10 202,000 222,090 ------------ Total U.S. Government Obligations (Cost $10,938,372) 10,594,833 - --------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.2% - --------------------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 (Cost $82,908) 75,000 81,938 - --------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--20.4% - --------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--6.3% - --------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.4% Delphi Corp., 6.55% Nts., 6/15/06 80,000 84,908 - --------------------------------------------------------------------------------------------------------------- Lear Corp., 7.96% Sr. Unsec. Nts., Series B, 5/15/05 67,000 70,853 ------------ 155,761 - --------------------------------------------------------------------------------------------------------------- AUTOMOBILES--2.2% American Honda Finance Corp., 3.85% Nts., 11/6/08 50,000 49,754 - --------------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 175,000 177,682 - --------------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 55,000 61,860 - --------------------------------------------------------------------------------------------------------------- Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 105,000 116,907 - --------------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 6.875% Unsec. Unsub. Nts., 8/28/12 310,000 323,735 - --------------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 15,000 16,269
20 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------- AUTOMOBILES Continued Hertz Corp. (The): 7.625% Sr. Nts., 6/1/12 $ 100,000 $ 107,005 7.625% Sr. Unsec. Nts., 8/15/07 75,000 81,431 ------------ 934,643 - ------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.9% Caesars Entertainment, Inc., 7% Sr. Unsec. Sub. Nts., 7/15/04 75,000 75,844 - ------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 75,000 82,688 - ------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 195,000 215,319 ------------ 373,851 - ------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.8% Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 90,000 97,875 - ------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 85,000 95,200 - ------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 8.375% Sr. Nts., 8/15/04 35,000 35,439 - ------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 90,000 99,900 ------------ 328,414 - ------------------------------------------------------------------------------------------------- MEDIA--1.4% Liberty Media Corp., 3.50% Nts., 9/25/06 90,000 90,225 - ------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 220,000 281,256 - ------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 90,000 111,198 - ------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 4.875% Nts., 7/2/04 100,000 100,579 ------------ 583,258 - ------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.4% J.C. Penney Co., Inc., 7.60% Nts., 4/1/07 150,000 165,375 - ------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.2% Gap, Inc. (The), 6.90% Nts., 9/15/07 80,000 88,400 - ------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.7% - ------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--1.1% Food Lion, Inc., 7.55% Nts., 4/15/07 125,000 135,806 - ------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 135,000 152,173 - ------------------------------------------------------------------------------------------------- Safeway, Inc.: 2.50% Nts., 11/1/05 45,000 45,014 3.80% Sr. Unsec. Nts., 8/15/05 150,000 152,472 ----------- 485,465 - ------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.6% Kraft Foods, Inc., 5.25% Nts., 6/1/07 230,000 241,854
21 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - --------------------------------------------------------------------------------------------------------- ENERGY--0.3% - --------------------------------------------------------------------------------------------------------- OIL & GAS--0.3% Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 $ 60,000 $ 69,000 - --------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 65,000 62,526 ------------ 131,526 - --------------------------------------------------------------------------------------------------------- FINANCIALS--2.9% - --------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.0% Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 15,000 16,887 - --------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.8% CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 75,000 86,738 - --------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 50,000 49,395 - --------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., Series C, 1/15/09 105,000 104,869 - --------------------------------------------------------------------------------------------------------- Morgan Stanley Dean Witter & Co., 6.60% Nts., 4/1/12 70,000 77,169 ------------ 318,171 - --------------------------------------------------------------------------------------------------------- INSURANCE--1.5% AXA, 8.60% Unsec. Sub. Nts., 12/15/30 90,000 112,190 - --------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 50,000 49,436 - --------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 140,000 163,756 - --------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 105,000 128,546 - --------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 145,000 176,345 ------------ 630,273 - --------------------------------------------------------------------------------------------------------- REAL ESTATE--0.6% EOP Operating LP, 6.763% Sr. Unsec. Nts., 6/15/07 98,000 107,150 - --------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.80% Unsec. Unsub. Nts., 5/1/04 55,000 55,000 - --------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 100,000 106,838 ------------ 268,988 - --------------------------------------------------------------------------------------------------------- HEALTH CARE--1.3% - --------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.3% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 190,000 206,109 - --------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 225,000 249,005 - --------------------------------------------------------------------------------------------------------- Health Net, Inc., 8.375% Sr. Unsec. Unsub. Nts., 4/15/11 75,000 88,656 ------------ 543,770 - --------------------------------------------------------------------------------------------------------- INDUSTRIALS--2.1% - --------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.6% Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 29,000 30,611 - --------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 75,000 84,443 - --------------------------------------------------------------------------------------------------------- Raytheon Co., 6.50% Unsec. Nts., 7/15/05 120,000 125,862 ------------ 240,916
22 | OPPENHEIMER TOTAL RETURN BOND FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - -------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.5% FedEx Corp., 2.65% Nts., 4/1/07 8 $ 215,000 $ 210,409 - -------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.4% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 85,000 94,775 - -------------------------------------------------------------------------------------------------------- Waste Management, Inc., 7% Sr. Nts., 7/15/28 70,000 73,920 ------------ 168,695 - -------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.4% Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 8 75,000 72,407 - -------------------------------------------------------------------------------------------------------- Tyco International Group SA: 5.875% Unsec. Unsub. Nts., 11/1/04 21,000 21,416 6.75% Sr. Unsub. Nts., 2/15/11 61,000 65,875 ------------ 159,698 - -------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.2% CSX Corp., 6.25% Unsec. Nts., 10/15/08 85,000 91,763 - -------------------------------------------------------------------------------------------------------- MATERIALS--0.3% - -------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 130,000 133,987 - -------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.1% - -------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.7% British Telecommunications plc, 7.875% Nts., 12/15/05 120,000 129,929 - -------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 34,000 35,829 - -------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 125,000 147,877 - -------------------------------------------------------------------------------------------------------- France Telecom SA: 9% Sr. Unsec. Nts., 3/1/11 50,000 59,188 9.50% Sr. Unsec. Nts., 3/1/31 1 55,000 70,739 - -------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 7.125% Sr. Unsec. Nts., 1/30/06 100,000 107,318 8.75% Nts., 3/15/32 80,000 95,840 - -------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 8.25% Sr. Unsec. Nts., 1/26/06 75,000 81,545 ------------ 728,265 - -------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 140,000 155,567 - -------------------------------------------------------------------------------------------------------- UTILITIES--3.4% - -------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--2.8% CenterPoint Energy, Inc.: 5.875% Nts., 6/1/08 105,000 107,031 8.125% Unsec. Nts., Series B, 7/15/05 50,000 53,066 - -------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 26,000 26,788 - -------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 80,000 93,814
23 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES Continued DTE Energy Co.: 6% Sr. Unsec. Unsub. Nts., 6/1/04 $ 40,000 $ 40,127 6.375% Sr. Nts., 4/15/33 85,000 81,203 6.45% Sr. Unsub. Nts., 6/1/06 100,000 106,287 - ------------------------------------------------------------------------------------------------------------------- Edison International, Inc., 6.875% Unsec. Nts., 9/15/04 9,000 9,169 - ------------------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 195,000 203,590 - ------------------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 130,000 134,600 - ------------------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 55,000 55,866 - ------------------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 95,000 99,750 - ------------------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 65,000 73,450 - ------------------------------------------------------------------------------------------------------------------- TXU Corp., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 80,000 85,900 ------------- 1,170,641 - ------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.6% Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 90,000 97,027 - ------------------------------------------------------------------------------------------------------------------- NiSource Finance Corp.: 3.20% Nts., 11/1/06 30,000 30,023 7.875% Sr. Unsec. Nts., 11/15/10 125,000 145,702 ------------- 272,752 ------------- Total Corporate Bonds and Notes (Cost $8,599,298) 8,599,329 - ------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--1.1% - ------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, TRAC-X NA High Yield T2 Credit Linked Nts., 6.05%, 3/25/09 8 (Cost $460,000) 460,000 453,100 - ------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--19.3% 9 - ------------------------------------------------------------------------------------------------------------------- Undivided interest of 1.47% in joint repurchase agreement (Principal Amount/ Market Value $554,815,000, with a maturity value of $554,860,310) with PaineWebber, Inc., 0.98%, dated 4/30/04, to be repurchased at $8,144,665 on 5/3/04, collateralized by Federal National Mortgage Assn., 5.50%--6.50%, 7/1/32--11/1/33, with a value of $566,733,053 (Cost $8,144,000) 8,144,000 8,144,000 - ------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $63,155,653) 148.7% 62,746,912 - ------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (48.7) (20,554,327) --------------------------------- NET ASSETS 100.0% $ 42,192,585 =================================
24 | OPPENHEIMER TOTAL RETURN BOND FUND FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Represents the current interest rate for a variable or increasing rate security. 2. Identifies issues considered to be illiquid. See Note 8 of Notes to Financial Statements. 3. When-issued security to be delivered and settled after April 30, 2004. See Note 1 of Notes to Financial Statements. 4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $645,752 or 1.53% of the Fund's net assets as of April 30, 2004. 5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. 6. Securities with an aggregate market value of $212,364 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 7. Zero coupon bond reflects effective yield on the date of purchase. 8. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,267,089 or 3% of the Fund's net assets as of April 30, 2004. 9. The Fund may have elements of risk due to concentrated investments. Such concentrations may subject the Fund to additional risks. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 25 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2004 - -------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- ASSETS - ----------------------------------------------------------------------------------------------------------------- Investments, at value (including cost and market value of $8,144,000 in repurchase agreements) (cost $63,155,653)--see accompanying statement of investments $ 62,746,912 - ----------------------------------------------------------------------------------------------------------------- Receivables and other assets: Investments sold (including $4,216,833 sold on a when-issued basis) 4,326,980 Interest, dividends and principal paydowns 372,551 Shares of beneficial interest sold 77,188 Other 4,702 ------------- Total assets 67,528,333 - ----------------------------------------------------------------------------------------------------------------- LIABILITIES - ----------------------------------------------------------------------------------------------------------------- Bank overdraft 259,454 - ----------------------------------------------------------------------------------------------------------------- Unrealized depreciation on swap contracts 24,851 - ----------------------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $24,536,911 purchased on a when-issued basis) 24,948,130 Dividends 50,917 Shareholder communications 19,479 Distribution and service plan fees 3,071 Transfer and shareholder servicing agent fees 2,689 Futures margins 1,411 Trustees' compensation 915 Shares of beneficial interest redeemed 122 Other 24,709 ------------- Total liabilities 25,335,748 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS $ 42,192,585 ============= - ----------------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS - ----------------------------------------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 4,221 - ----------------------------------------------------------------------------------------------------------------- Additional paid-in capital 42,387,455 - ----------------------------------------------------------------------------------------------------------------- Accumulated net investment income 7,543 - ----------------------------------------------------------------------------------------------------------------- Accumulated net realized gain on investments and foreign currency transactions 262,087 - ----------------------------------------------------------------------------------------------------------------- Net unrealized depreciation on investments (468,721) ------------- NET ASSETS $ 42,192,585 =============
26 | OPPENHEIMER TOTAL RETURN BOND FUND - ----------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE - ----------------------------------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $35,522,245 and 3,553,809 shares of beneficial interest outstanding) $10.00 Maximum offering price per share (net asset value plus sales charge of 4.75% offfering price) $10.50 - ----------------------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $2,896,024 and 289,732 shares of beneficial interest outstanding) $10.00 - ----------------------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $2,942,851 and 294,497 shares of beneficial interest outstanding) $ 9.99 - ----------------------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $831,465 and 83,162 shares of beneficial interest outstanding) $10.00
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 27 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENT OF OPERATIONS For the Year Ended April 30, 2004 - -------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------- INVESTMENT INCOME - ----------------------------------------------------------------------------------------- Interest $ 1,028,492 - ----------------------------------------------------------------------------------------- Fee income 231,558 - ----------------------------------------------------------------------------------------- Dividends 47,030 ------------ Total investment income 1,307,080 - ----------------------------------------------------------------------------------------- EXPENSES - ----------------------------------------------------------------------------------------- Management fees 185,574 - ----------------------------------------------------------------------------------------- Distribution and service plan fees: Class A 7,454 Class B 24,421 Class C 16,745 Class N 1,922 - ----------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 12,698 Class B 9,362 Class C 5,010 Class N 365 - ----------------------------------------------------------------------------------------- Shareholder communications: Class A 23,030 Class B 4,593 Class C 2,801 Class N 343 - ----------------------------------------------------------------------------------------- Legal, auditing and other professional fees 38,161 - ----------------------------------------------------------------------------------------- Trustees' compensation 9,700 - ----------------------------------------------------------------------------------------- Custodian fees and expenses 1,184 - ----------------------------------------------------------------------------------------- Other 7,374 ------------ Total expenses 350,737 Less reduction to custodian expenses (343) Less voluntary reimbursement of expenses: Class A (16,812) Class B (12,693) Class C (7,815) Class N (721) Less voluntary waiver of transfer and shareholder servicing agent fees: Class A (36) Class B (853) Class C (3) ------------ Net expenses 311,461 - ----------------------------------------------------------------------------------------- NET INVESTMENT INCOME 995,619
28 | OPPENHEIMER TOTAL RETURN BOND FUND - -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) - -------------------------------------------------------------------------------- Net realized gain (loss) on: Investments $ 284,411 Closing of futures contracts 242,515 Foreign currency transactions (183) ---------- Net realized gain 526,743 - -------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments (672,382) Futures contracts 1,880 Swap contracts (24,851) ---------- Net change in unrealized depreciation (695,353) - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 827,009 ========== SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 29 | OPPENHEIMER TOTAL RETURN BOND FUND STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
YEAR ENDED APRIL 30, 2004 2003 1 - ----------------------------------------------------------------------------------------------------------------- OPERATIONS - ----------------------------------------------------------------------------------------------------------------- Net investment income $ 995,619 $ 87,633 - ----------------------------------------------------------------------------------------------------------------- Net realized gain (loss) 526,743 (718) - ----------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) (695,353) 226,632 -------------------------------- Net increase in net assets resulting from operations 827,009 313,547 - ----------------------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS - ----------------------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (937,199) (87,071) Class B (49,017) (550) Class C (34,611) (143) Class N (9,716) (16) - ----------------------------------------------------------------------------------------------------------------- Distributions from net realized gain: Class A (179,397) -- Class B (14,472) -- Class C (10,826) -- Class N (2,729) -- - ----------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS - ----------------------------------------------------------------------------------------------------------------- Net increase in net assets resulting from beneficial interest transactions: Class A 8,253,430 27,282,368 Class B 2,136,318 790,499 Class C 2,587,144 383,530 Class N 821,065 20,422 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS - ----------------------------------------------------------------------------------------------------------------- Total increase 13,386,999 28,702,586 - ----------------------------------------------------------------------------------------------------------------- Beginning of period 28,805,586 103,000 2 -------------------------------- End of period (including accumulated net investment income of $7,543 and $9,712, respectively) $ 42,192,585 $ 28,805,586 ================================
1. For the period from February 21, 2003 (commencement of operations) to April 30, 2003. 2. Reflects the value of the Manager's initial seed money investment on February 6, 2003. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 30 | OPPENHEIMER TOTAL RETURN BOND FUND FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
CLASS A CLASS B YEAR ENDED APRIL 30 2004 2003 1 2004 2003 1 - ----------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - ----------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.08 $ 10.00 $10.08 $10.00 - ----------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .28 .03 .19 .02 Net realized and unrealized gain (loss) (.02) .08 (.02) .08 --------------------------------------------------- Total from investment operations .26 .11 .17 .10 - ----------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.29) (.03) (.20) (.02) Distributions from net realized gain (.05) -- (.05) -- --------------------------------------------------- Total dividends and/or distributions to shareholders (.34) (.03) (.25) (.02) - ----------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 10.00 $ 10.08 $10.00 $10.08 =================================================== - ----------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 2.64% 1.14% 1.69% 0.97% - ----------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ----------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $35,522 $27,598 $2,896 $ 798 - ----------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $32,578 $26,027 $2,444 $ 340 - ----------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 2.78% 1.77% 1.91% 0.85% Total expenses 0.79% 1.29% 2.20% 2.36% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses 0.73% 0.90% 1.65% 1.65% - ----------------------------------------------------------------------------------------------------------- Portfolio turnover rate 131% 4 77% 131% 4 77%
1. For the period from February 21, 2003 (commencement of operations) to April 30, 2003. 2. Assumes an investment at net asset value on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. The Portfolio Turnover excludes purchase transactions and sales transactions of To Be Announced (TBA) mortgage-related securities of $198,777,129 and $189,672,219, respectively. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 31 | OPPENHEIMER TOTAL RETURN BOND FUND FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
CLASS C CLASS N YEAR ENDED APRIL 30 2004 2003 1 2004 2003 1 - ------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA - ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $10.08 $10.00 $10.08 $10.00 - ------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .19 .02 .24 .03 Net realized and unrealized gain (loss) (.03) .08 (.02) .08 ------------------------------------------------- Total from investment operations .16 .10 .22 .11 - ------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.20) (.02) (.25) (.03) Distributions from net realized gain (.05) -- (.05) -- ------------------------------------------------- Total dividends and/or distributions to shareholders (.25) (.02) (.30) (.03) - ------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 9.99 $10.08 $10.00 $10.08 ================================================= - ------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 2 1.60% 0.96% 2.20% 1.08% - ------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA - ------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $2,943 $ 388 $ 831 $ 22 - ------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $1,679 $ 126 $ 386 $ 6 - ------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 3 Net investment income 1.95% 0.59% 2.40% 1.50% Total expenses 2.12% 2.28% 1.34% 2.63% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses 1.65% 1.65% 1.15% 1.15% - ------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 131% 4 77% 131% 4 77%
1. For the period from February 21, 2003 (commencement of operations) to April 30, 2003. 2. Assumes an investment at net asset value on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. The Portfolio Turnover excludes purchase transactions and sales transactions of To Be Announced (TBA) mortgage-related securities of $198,777,129 and $189,672,219, respectively. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 32 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Total Return Bond Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek to maximize total return through both capital appreciation and income. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C and Class N shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. As of April 30, 2004, the Manager owned 70% of the Fund's shares. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. 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 by minor amounts due to each class having its own expenses directly attributable to that class. Classes A, B, C and N have separate distribution and/or service plans. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. - -------------------------------------------------------------------------------- SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing bid and asked prices, and if not, at the closing bid price. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign 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 their respective foreign exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). - -------------------------------------------------------------------------------- STRUCTURED NOTES. The Fund invests in structured notes whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign 33 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured notes are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying financial statements. The Fund records a realized gain or loss when a structured note is sold or matures. As of April 30, 2004, the market value of these securities comprised 1.1% of the Fund's net assets and resulted in unrealized cumulative losses of $6,900. - -------------------------------------------------------------------------------- SECURITIES ON A WHEN-ISSUED (OR FORWARD COMMITMENT) BASIS. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis can take place ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond 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 Fund maintains segregated assets with a market value equal to or greater than the amount of its purchase commitments. As of April 30, 2004, the value of the segregated assets was $20,523,370. The purchase of securities on a when-issued (or forward commitment) 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. The Fund may also sell securities that it purchased on a when-issued basis prior to settlement of the original purchase. As of April 30, 2004, the Fund had purchased $24,536,911 of securities on a when-issued basis and sold $4,216,833 of securities issued on a when-issued basis. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. 34 | OPPENHEIMER TOTAL RETURN BOND FUND - -------------------------------------------------------------------------------- FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations. - -------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. - -------------------------------------------------------------------------------- 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. 35 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued The tax components of capital shown in the table below represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes. NET UNREALIZED DEPRECIATION BASED ON COST OF SECURITIES AND UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME INCOME GAIN CARRYFORWARD 1 TAX PURPOSES ---------------------------------------------------------------------- $265,133 $53,656 $78,136 $433,591 1. As of April 30, 2004, the Fund had $78,136 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2013. 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. Accordingly, the following amounts have been reclassified for April 30, 2004. Net assets of the Fund were unaffected by the reclassifications. REDUCTION TO REDUCTION TO ACCUMULATED NET INCREASE TO ACCUMULATED NET REALIZED GAIN ON PAID-IN CAPITAL INVESTMENT LOSS INVESTMENTS 2 ------------------------------------------------------------------ $23,759 $32,755 $56,514 2. $23,759, including $4,310 of long-term capital gain, was distributed in connection with Fund share redemptions. The tax character of distributions paid during the years ended April 30, 2004 and April 30, 2003 was as follows: YEAR ENDED PERIOD ENDED APRIL 30, 2004 APRIL 30, 2003 3 ------------------------------------------------------------------ Distributions paid from: Ordinary income $1,099,958 $ 87,780 Long-term capital gain 138,009 -- -------------------------------- Total $1,237,967 $ 87,780 ================================ 3. For the period from February 21, 2003 (commencement of operations) to April 30, 2003. 36 | OPPENHEIMER TOTAL RETURN BOND FUND The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of April 30, 2004 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities $ 63,155,653 Federal tax cost of other investments 4,522,265 ------------ Total federal tax cost $ 67,677,918 ============ Gross unrealized appreciation $ 192,927 Gross unrealized depreciation (626,518) ------------ Net unrealized depreciation $ (433,591) ============ - -------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually. - -------------------------------------------------------------------------------- INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, which includes accretion of discount and amortization of premium, is accrued as earned. - -------------------------------------------------------------------------------- EXPENSE OFFSET ARRANGEMENT. The reduction of custodian fees, if applicable, represents earnings on cash balances maintained by the Fund. - -------------------------------------------------------------------------------- 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. - -------------------------------------------------------------------------------- OTHER. The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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 income and expenses during the reporting period. Actual results could differ from those estimates. In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 37 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
YEAR ENDED APRIL 30, 2004 PERIOD ENDED APRIL 30, 2003 1,2 SHARES AMOUNT SHARES AMOUNT - -------------------------------------------------------------------------------------------------------- CLASS A Sold 1,097,321 $ 11,099,906 2,736,090 $ 27,361,875 Dividends and/or distributions reinvested 23,011 231,801 275 2,768 Redeemed (304,660) (3,078,277) (8,228) (82,275) ----------------------------------------------------------------------- Net increase 815,672 $ 8,253,430 2,728,137 $ 27,282,368 ======================================================================= - -------------------------------------------------------------------------------------------------------- CLASS B Sold 338,504 $ 3,425,891 88,955 $ 888,971 Dividends and/or distributions reinvested 5,465 55,025 36 365 Redeemed (133,432) (1,344,598) (9,896) (98,837) ----------------------------------------------------------------------- Net increase 210,537 $ 2,136,318 79,095 $ 790,499 ======================================================================= - -------------------------------------------------------------------------------------------------------- CLASS C Sold 299,731 $ 3,028,348 39,178 $ 391,527 Dividends and/or distributions reinvested 4,441 44,736 10 103 Redeemed (48,158) (485,940) (805) (8,100) ----------------------------------------------------------------------- Net increase 256,014 $ 2,587,144 38,383 $ 383,530 ======================================================================= - -------------------------------------------------------------------------------------------------------- CLASS N Sold 97,335 $ 983,787 2,032 $ 20,408 Dividends and/or distributions reinvested 1,242 12,515 1 14 Redeemed (17,548) (175,237) -- -- ----------------------------------------------------------------------- Net increase 81,029 $ 821,065 2,033 $ 20,422 =======================================================================
1. For the period from February 21, 2003 (commencement of operations) to April 30, 2003. 2. The Fund sold 10,000 shares of Class A and 100 shares of Class B, Class C and Class N to the Manager upon seeding of the Fund on February 6, 2003. - -------------------------------------------------------------------------------- 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, other than U.S. government obligations and short-term obligations, for the year ended April 30, 2004, were $24,800,241 and $15,884,487, respectively. There were purchases of $21,744,828 and sales of $21,337,048 of U.S. government and government agency obligations for the year ended April 30, 2004. 38 | OPPENHEIMER TOTAL RETURN BOND FUND - -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee at an annual rate of 0.50% of the first $250 million of average annual net assets of the Fund, 0.475% of the next $500 million, and 0.45% of average annual net assets in excess of $750 million. The Manager has voluntarily agreed to waive management fees and/or reimburse expenses such that "Total Annual Operating Expenses" will not exceed 0.90% for Class A shares, 1.65% for Class B shares, 1.65% for Class C shares and 1.15% for Class N shares, respectively. The voluntary waiver described above may be amended or withdrawn at any time. For the year ended April 30, 2004, management fees in the amount of $38,041 were voluntarily waived by the Manager. - -------------------------------------------------------------------------------- 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 year ended April 30, 2004, the Fund paid $24,144 to OFS for services to the Fund. OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class. This undertaking may be amended or withdrawn at any time. - -------------------------------------------------------------------------------- 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 for Class A shares. It reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made quarterly 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 quarterly for providing personal services 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 years. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations. - -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund has adopted Distribution and Service Plans for Class B, Class C and Class N shares 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% per year on Class B shares and on Class C shares and 0.25% per year on Class N shares. The Distributor also receives a service fee of up to 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold 39 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued prior to the effective date of such termination. The Distributor's aggregate uncompensated expenses under the plan at April 30, 2004 for Class B, Class C and Class N shares were $96,691, $41,757 and $16,201, respectively. Fees incurred by the Fund under the plans are detailed in the Statement of Operations. - -------------------------------------------------------------------------------- SALES CHARGES. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR - ------------------------------------------------------------------------------------------------------------------------- April 30, 2004 $35,933 $493 $6,156 $928 $927
- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing foreign currency exchange rates. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations with the change in unrealized appreciation or depreciation. The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. As of April 30, 2004, the Fund had no outstanding foreign currency contracts. 40 | OPPENHEIMER TOTAL RETURN BOND FUND - -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported on the Statement of Operations. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of April 30, 2004, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS APRIL 30, 2004 (DEPRECIATION) - ------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 6/21/04 4 $ 428,375 $ (8,953) U.S. Treasury Nts., 10 yr. 6/21/04 33 3,646,500 (115,540) --------- (124,493) --------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 6/30/04 27 5,738,766 39,704 U.S. Treasury Nts., 5 yr. 6/21/04 26 2,858,375 49,660 --------- 89,364 --------- $(35,129) =========
41 | OPPENHEIMER TOTAL RETURN BOND FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 7. TOTAL RETURN SWAP CONTRACTS The Fund may enter into a total return swap transaction to maintain a total return on a particular investment, or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of April 30, 2004, the Fund had entered into the following total return swap agreements:
PAID BY RECEIVED BY NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED SWAP COUNTERPARTY AMOUNT APRIL 30, 2004 APRIL 30, 2004 DATE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------- One-Month Value of LIBOR total return of less 50 Lehman Brothers Deutsche Bank AG $726,263 basis points CMBS Index 6/30/04 $24,851
Index abbreviations are noted below: CMBS Commercial Mortgage Backed Securities Markets - -------------------------------------------------------------------------------- 8. ILLIQUID SECURITIES As of April 30, 2004, investments in securities included issues that are illiquid. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund intends to invest no more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. The aggregate value of illiquid securities subject to this limitation as of April 30, 2004 was $112,152, which represents 0.27% of the Fund's net assets. - -------------------------------------------------------------------------------- 9. BORROWING AND LENDING ARRANGEMENTS The Fund entered into an "interfund borrowing and lending arrangement" with other funds in the Oppenheimer funds complex, to allow funds to borrow for liquidity purposes. The arrangement was initiated pursuant to exemptive relief granted by the Securities and Exchange Commission (the SEC) to allow these affiliated funds to lend money to, and borrow money from, each other, in an attempt to reduce borrowing costs below those of bank loan facilities. The SEC's order requires the Fund's Board of Trustees to adopt operating policies and procedures to administer interfund borrowing and lending. Under the arrangement the Fund may lend money to other Oppenheimer funds and may borrow from other Oppenheimer funds at a rate set by the Fund's Board of Trustees, based upon a recommendation by the Manager. The Fund's borrowings, if any, are subject to asset coverage requirements under the Investment Company Act and the provisions of the SEC order and other applicable regulations. If the Fund borrows money, there is a risk that the loan could be called on one day's notice, in which case the Fund might 42 | OPPENHEIMER TOTAL RETURN BOND FUND have to borrow from a bank at higher rates if a loan were not available from another Oppenheimer fund. If the Fund lends money to another fund, it will be subject to the risk that the other fund might not repay the loan in a timely manner, or at all. The Fund had no interfund borrowings or loans outstanding during the year ended or at April 30, 2004. 43 | OPPENHEIMER TOTAL RETURN BOND FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF OPPENHEIMER TOTAL RETURN BOND FUND We have audited the accompanying statement of assets and liabilities of Oppenheimer Total Return Bond Fund (the "Fund"), including the statement of investments, as of April 30, 2004, and the related statement of operations for the year then ended and the statements of changes in net assets and the financial highlights for the year then ended and for the period from February 21, 2003 (commencement of operations) to April 30, 2003. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2004, by correspondence with the custodian and others. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Total Return Bond Fund at April 30, 2004, the results of its operations for the year then ended and the changes in its net assets and the financial highlights for the year then ended and for the period from February 21, 2003 to April 30, 2003 in conformity with U.S. generally accepted accounting principles. /s/ Ernst & Young LLP New York, New York June 4, 2004 44 | OPPENHEIMER TOTAL RETURN BOND FUND FEDERAL INCOME TAX INFORMATION Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- In early 2005, if applicable, shareholders of record will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 2004. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends and distributions of $0.0891, $0.0819, $0.0819 and $0.0862 per share were paid to Class A, Class B, Class C and Class N shareholders, respectively, on December 30, 2003, of which $0.0355 was designated as a "capital gain distribution" for federal income tax purposes. Whether received in stock or in cash, the capital gain distribution should be treated by shareholders as a gain from the sale of the capital assets held for more than one year (long-term capital gains). None of the dividends paid by the Fund during the year ended April 30, 2004 are eligible for the corporate dividend-received deduction. Dividends, if any, paid by the Fund during the fiscal year ended April 30, 2004 which are not designated as capital gain distribution, may be eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. In early 2005, shareholders of record will receive information regarding the percentage of distributions that are eligible for lower individual income tax rates. The amount will be the maximum amount allowed. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 45 | OPPENHEIMER TOTAL RETURN BOND FUND PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES 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 1.800.225.5677, (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 will be required to file new 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 first such filing is due no later than August 31, 2004, for the twelve months ended June 30, 2004. Once filed, the Fund's Form N-PX filing will be available (i) without charge, upon request, by calling the Fund toll-free at 1.800.225.5677, and (ii) on the SEC's website at www.sec.gov. 46 | OPPENHEIMER TOTAL RETURN BOND FUND TRUSTEES AND OFFICERS Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- NAME, POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS; FUND, LENGTH OF SERVICE, AGE OTHER TRUSTEESHIPS/DIRECTORSHIPS HELD BY TRUSTEE; NUMBER OF PORTFOLIOS IN FUND COMPLEX CURRENTLY OVERSEEN BY TRUSTEE INDEPENDENT THE ADDRESS OF EACH TRUSTEE AND INTERESTED TRUSTEES TRUSTEE IN THE CHARTS BELOW IS 6803 S. TUCSON WAY, CENTENNIAL, CO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. RONALD J. ABDOW, Chairman (since 1959) of Abdow Corporation Trustee (since 2003) (operator of restaurants); Trustee of the Age: 72 following real estate businesses (owners and operators of restaurants): G&R Realty Co. (since 1978), G&R Trust Co. (since 1973), Abdow Partnership (since 1975), Auburn Associates (since 1983); Hazard Associates (since 1985); Trustee of MML Series Investment Fund (since 1993) and of MassMutual Institutional Funds (MMIF) (since 1994) (open-end investment companies); Trustee (since 1987) of Bay State Health System (health services); Chairman (since 1996) of Western Mass Development Corp. (non-profit land development); Chairman (since 1991) of American International College (non-profit college). Oversees 10 portfolios in the OppenheimerFunds complex. JOSEPH M. WIKLER, Self-employed as an investment consultant; a Trustee (since 2003) director (since 1996) of Lakes Environmental Age: 63 Association, and Medintec (since 1992) and Cathco (since 1995) (medical device companies); a member of the investment committee of the Associated Jewish Charities of Baltimore (since 1994); formerly a director of Fortis/Hartford mutual funds (1994 - December 2001). Oversees 10 portfolios in the OppenheimerFunds complex. PETER I. WOLD, President of Wold Properties, Inc. (an oil and Trustee (since 2003) gas exploration and production company); Vice Age: 56 President, Secretary and Treasurer of Wold Trona Company, Inc. (soda ash processing and production); Vice President of Wold Talc Company, Inc. (talc mining); Managing Member, Hole-in-the-Wall Ranch (cattle ranching); formerly Director and Chairman of the Board, Denver Branch of the Federal Reserve Bank of Kansas City (1993 - 1999) and Director of PacifiCorp. (1995 - 1999), an electric utility. Oversees 10 portfolios in the OppenheimerFunds complex. - -------------------------------------------------------------------------------- INTERESTED TRUSTEE EUSTIS WALCOTT, Principal with Ardsley Associates (since 2000) Trustee (since 2003) (consulting firm); Director (since October 2000) Age: 66 of Cornerstone Real Estate Advisors (real estate equity investment management services) and MML Investors Services (individual retirement, insurance, investment, and life event planning products and services company) (both affiliates of the Manager); Trustee of OFI Trust Company (since 2001) (also an affiliate of the Manager); formerly Trustee of the American International College (1995 - December 2003); Senior Vice President, MassMutual Financial Group (May 1990 - July 2000). Oversees 10 portfolios in the Oppenheimer Funds complex. 47 | OPPENHEIMER TOTAL RETURN BOND FUND TRUSTEES AND OFFICERS Unaudited / Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IN THE CHART BELOW IS AND OFFICER TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, NEW YORK, NY 10281-1008. MR. MURPHY SERVES FOR AN INDEFINITE TERM, UNTIL HIS RESIGNATION, DEATH OR REMOVAL. JOHN V. MURPHY, Chairman, Chief Executive Officer and director President, Trustee and (since June 2001) and President (since September Chairman of the Board, 2000) of the Manager; President and a director or Trustee (since 2003) trustee of other Oppenheimer funds; President and Age: 54 a director (since July 2001) of Oppenheimer Acquisition Corp. (the Manager's parent holding company) and of Oppenheimer Partnership Holdings, Inc. (a holding company subsidiary of the Manager); a director (since November 2001) of OppenheimerFunds Distributor, Inc. (a subsidiary of the Manager); Chairman and a director (since July 2001) of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager); President and a director (since July 2001) of OppenheimerFunds Legacy Program (a charitable trust program established by the Manager); a director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 1, 2001) and a director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President (since February 1997) of Massachusetts Mutual Life Insurance Company (the Manager's parent company); a director (since June 1995) of DLB Acquisition Corporation (a holding company that owns the shares of David L. Babson & Company, Inc.); a member of the Investment Company Institute's Board of Governors (elected to serve from October 3, 2003 through September 30, 2006). Formerly, Chief Operating Officer (September 2000-June 2001) of the Manager; President and trustee (November 1999-November 2001) of MML Series Investment Fund and MassMutual Institutional Funds (open-end investment companies); a director (September 1999-August 2000) of C.M. Life Insurance Company; President, Chief Executive Officer and director (September 1999-August 2000) of MML Bay State Life Insurance Company; a director (June 1989-June 1998) of Emerald Isle Bancorp and Hibernia Savings Bank (a wholly-owned subsidiary of Emerald Isle Bancorp). Oversees 73 portfolios as Trustee/ Director and 10 portfolios as Officer in the OppenheimerFunds complex. - -------------------------------------------------------------------------------- OFFICERS THE ADDRESS OF THE OFFICERS IN THE CHART BELOW IS AS FOLLOWS: FOR MESSRS. MANIOUDAKIS AND ZACK, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, NEW YORK, NY 10281-1008, FOR MR. WIXTED, 6803 S. TUCSON WAY, CENTENNIAL, CO 80112-3924. EACH OFFICER SERVES FOR AN ANNUAL TERM OR UNTIL HIS OR HER EARLIER RESIGNATION, DEATH OR REMOVAL. ANGELO MANIOUDAKIS, Senior Vice President of the Manager (since April Vice President (since 2003) 2002), of HarbourView Asset Management Age: 37 Corporation (since April, 2002 and of OFI Institutional Asset Management, Inc. (since June 2002); an officer of 14 portfolios in the OppenheimerFunds complex. Formerly Executive Director and portfolio manager for Miller, Anderson & Sherrerd, a division of Morgan Stanley Investment Management (August 1993-April 2002). 48 | OPPENHEIMER TOTAL RETURN BOND FUND BRIAN W. WIXTED, Senior Vice President and Treasurer (since March Treasurer, Principal Financial 1999) of the Manager; Treasurer of HarbourView and Accounting Officer Asset Management Corporation, Shareholder (since 2003) Financial Services, Inc., Shareholder Services, Age: 44 Inc., Oppenheimer Real Asset Management Corporation, and Oppenheimer Partnership Holdings, Inc. (since March 1999), of OFI Private Investments, Inc. (since March 2000), of OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), of OFI Institutional Asset Management, Inc. (since November 2000), and of OppenheimerFunds Legacy Program (a Colorado non-profit corporation) (since June 2003); Treasurer and Chief Financial Officer (since May 2000) of OFI Trust Company (a trust company subsidiary of the Manager); Assistant Treasurer (since March 1999) of Oppenheimer Acquisition Corp. Formerly Assistant Treasurer of Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief Operating Officer (March 1995-March 1999) at Bankers Trust Company-Mutual Fund Services Division. An officer of 83 portfolios in the OppenheimerFunds complex. ROBERT G. ZACK, Executive Vice President (since January 2004) Secretary (since 2003) and General Counsel (since February 2002) of the Age: 55 Manager; General Counsel and a director (since November 2001) of the Distributor; General Counsel (since November 2001) of Centennial Asset Management Corporation; Senior Vice President and General Counsel (since November 2001) of HarbourView Asset Management Corporation; Secretary and General Counsel (since November 2001) of Oppenheimer Acquisition Corp.; Assistant Secretary and a director (since October 1997) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and a director (since November 2001) of Oppenheimer Partnership Holdings, Inc.; a director (since November 2001) of Oppenheimer Real Asset Management, Inc.; Senior Vice President, General Counsel and a director (since November 2001) of Shareholder Financial Services, Inc., Shareholder Services, Inc., OFI Private Investments, Inc. and OFI Trust Company; Vice President (since November 2001) of OppenheimerFunds Legacy Program; Senior Vice President and General Counsel (since November 2001) of OFI Institutional Asset Management, Inc.; a director (since June 2003) of OppenheimerFunds (Asia) Limited. Formerly Senior Vice President (May 1985-December 2003), Acting General Counsel (November 2001-February 2002) and Associate General Counsel (May 1981-October 2001) of the Manager; Assistant Secretary of Shareholder Services, Inc. (May 1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November 2001); and OppenheimerFunds International Ltd. (October 1997-November 2001). An officer of 83 portfolios in the OppenheimerFunds complex. THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION ABOUT THE FUND'S TRUSTEES AND IS AVAILABLE WITHOUT CHARGE UPON REQUEST. 49 | OPPENHEIMER TOTAL RETURN BOND FUND Item 2. Code of Ethics The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. Item 3. Audit Committee Financial Expert The Board of Trustees of the registrant has determined that Joseph M. Wikler, the Chairman of the Board's Audit Committee, possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an "audit committee financial expert," and has designated Mr. Wikler as the Audit Committee's financial expert. Mr. Wikler is an "independent" Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. Item 4. Principal Accountant Fees and Services (a) Audit Fees The principal accountant for the audit of the registrant's annual financial statements was engaged to provide $18,250 in fiscal 2004 and $17,500 in fiscal 2003. (b) Audit-Related Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such fees would include, among others: due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews and consultation concerning financial accounting and reporting standards. (c) Tax Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such fees would include, among others: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities. (d) All Other Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such fees would include services provided to the registrant's Board of Trustees with respect to analysis of the registrant's expenses and consultations with management with respect to its due diligence review process surrounding investments. (e) (1) During its regularly scheduled periodic meetings, the registrant's audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. Pre-approval of non-audit services is waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. (2) 100% (f) Not applicable as less than 50%. (g) The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant and the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. (h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal account's independence. No such services were rendered. Item 5. Not applicable Item 6. Schedule of Investments Not applicable Item 7. Not applicable Item 8. Not applicable Item 9. Submission of Matters to a Vote of Security Holders The Board is responsible for approving nominees for election as trustees. To assist in this task, the Board has designated the Audit Committee as the nominating committee for the Board. It reviews and recommends nominees to the Board. The Committee is comprised entirely of disinterested trustees as defined in Section 2(a)(19) of the Investment Company Act of 1940. The Audit Committee charter describes the responsibilities of the Committee in nominating candidates for election as independent Trustees of the Registrant. The Registrant's Board has adopted a written charter for the Committee. A current copy of the Audit Committee charter is available to shareholders on the OppenheimerFunds website at www.oppenheimerfunds.com. Under the current policy, if the Board determines that a vacancy exists or is likely to exist on the Board, the Audit Committee of the Board will consider candidates for Board membership including recommended by Registrant shareholders. The Audit Committee will consider nominees recommended by independent Board members or recommended by any other Board members including Board members affiliated with the Registrant's investment advisors. The Committee may, upon Board approval, retain an executive search firm to assist in screening potential candidates. Upon Board approval, the Audit Committee may also use the services of legal, financial, or other external counsel that it deems necessary or desirable in the screening process. Shareholders wishing to submit a nominee for election to the Board may do so by mailing their submission to the offices of OppenheimerFunds, Inc., 6803 South Tucson Way, Centennial, CO 80112, to the attention of the Board of Trustees of the named Registrant, c/o the Secretary of the Registrant. The Committee's process for identifying and evaluating nominees for trustees includes a number of factors. In screening candidates for board membership, whether the candidate is suggested by Board members, shareholders or others, the Committee considers the candidate's professional experience, soundness of judgment, integrity, ability to make independent, analytical inquiries, collegiality, willingness and ability to devote the time required to perform Board activities adequately, ability to represent the interests of all shareholders of the Registrant, and diversity relative to the board's composition. Candidates are expected to provide a mix of attributes, experience, perspective and skills necessary to effectively advance the interests of shareholders. Item 10. Controls and Procedures (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-2(c) under the Investment Company Act of 1940 (17 CFR 270.30a-2(c)) as of April 30, 2004, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by 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. (b) There have been no significant changes in registrant's internal controls over financial reporting that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 11. Exhibits. (a) Exhibit attached hereto. (Attach code of ethics as exhibit) (b) Exhibits attached hereto. (Attach certifications as exhibits) EX-99.CODE ETH 2 ex99_code-535.txt EX99_CODE-535.TXT EX-99.CODE ETH CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS OF THE OPPENHEIMER FUNDS AND OF OPPENHEIMERFUNDS, INC. This Code of Ethics for Principal Executive and Senior Financial Officers (referred to in this document as the "Code") has been adopted by each of the investment companies for which OppenheimerFunds, Inc. or one of its subsidiaries or affiliates (referred to collectively in this document as "OFI") acts as investment adviser (individually, a "Fund" and collectively, the "Funds"), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406. This Code applies to each Fund's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions ("Covered Officers"). A listing of positions currently within the ambit of Covered Officers is attached as Exhibit A.(1) 1. Purpose of the Code This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and promote: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission ("SEC") and in other public communications made by the Fund; o compliance with applicable governmental laws, rules and regulations; o the prompt internal reporting of violations of this Code to the Code Administrator identified below; and o accountability for adherence to this Code. In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Fund's financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Funds' business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. - ---------------------------- 1 The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by the Oppenheimer Funds dated May 15, 2002, under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFI's fiduciary duties to each Fund, the Covered Officers will, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds. 2. Prohibitions The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest in personal and professional relationships. No Covered Officer may use information concerning the business and affairs of a Fund, including the investment intentions of a Fund, or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders. No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders. No Covered Officer shall intentionally for any reason take any action or fail to take any action in connection with his or her official acts on behalf of a Fund that causes the Fund to violate applicable laws, rules and regulations. No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund: (i) employ any device, scheme or artifice to defraud a Fund or its shareholders; (ii) intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; (iii) engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; (iv) engage in any manipulative practice with respect to any Fund; (v) use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders; (vi) intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; (vii) intentionally mislead or omit to provide material information to the Fund's independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters; (viii) fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; (ix) retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or (x) fails to acknowledge or certify compliance with this Code if requested to do so. 3. Reports of Conflicts of Interests If a Covered Officer becomes aware of a conflict of interest under this Code or, to the Covered Officer's reasonable belief, the appearance of one, he or she must immediately report the matter to the Code's Administrator. If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to the OFI's Chief Executive Officer. Upon receipt of a report of a conflict, the Code Administrator will take prompt steps to determine whether a conflict of interest exists. If the Code Administrator determines that an actual conflict of interest exists, the Code Administrator will take steps to resolve the conflict. If the Code Administrator determines that the appearance of a conflict exists, the Code Administrator will take appropriate steps to remedy such appearance. If the Code Administrator determines that no conflict or appearance of a conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the Fund's Board of Trustees/Directors. 4. Waivers Any Covered Officer requesting a waiver of any of the provisions of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon, which shall be binding. The Code Administrator may in reviewing such request, consult at his discretion with legal counsel to OFI or to the Fund. In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed waiver: : (i) is prohibited by this Code; (ii) is consistent with honest and ethical conduct; and (iii) will result in a conflict of interest between the Covered Officer's personal and professional obligations to a Fund. In lieu of determining whether to grant a waiver, the Code Administrator in his or her discretion may refer the matter to the appropriate Fund's Board of Trustees/Directors. 5. Reporting Requirements (a) Each Covered Officer shall, upon becoming subject to this Code, be provided with a copy of this Code and shall affirm in writing that he or she has received, read, understands and shall adhere to this Code. (b) At least annually, all Covered Officers shall be provided with a copy of this Code and shall certify that they have read and understand this Code and recognize that they are subject thereto. (c) At least annually, all Covered Officers shall certify that they have complied with the requirements of this Code and that they have disclosed or reported any violations of this Code to the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser. (d) The Code Administrator shall submit a quarterly report to the Board of Trustees/Directors of each Fund containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; (iv) interpretations issued under the Code by the Code Administrator; and (v) any other significant information arising under the Code including any proposed amendments. (e) Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code. (f) Any changes to or waivers of this Code, including "implicit" waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Code Administrator or his or her designee as provided by applicable SEC rules.(2) 6. Annual Renewal At least annually, the Board of Trustees/Directors of each Fund shall review the Code and determine whether any amendments (including any amendments that may be recommended by OFI or the Fund's legal counsel) are necessary or desirable, and shall consider whether to renew and/or amend the Code. 7. Sanctions Any violation of this Code of Ethics shall be subject to the imposition of such sanctions by OFI as may be deemed appropriate under the circumstances to achieve the purposes of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of OFI. 8. Administration and Construction (a) The administration of this Code of Ethics shall be the responsibility of OFI's General Counsel or his designee as the "Code Administrator" of this Code, acting under the terms of this Code and the oversight of the Trustees/Directors of the Funds. (b) The duties of such Code Administrator will include: (i) Continuous maintenance of a current list of the names of all Covered Officers; (ii) Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder; (iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; (v) Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, to the Chief Executive Officer of OFI and to the Trustees/Directors of the affected Fund(s) or any committee appointed by them to deal with such information; and (vi) Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. (c) In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with legal counsel, who may include legal counsel to the applicable Funds, and such other persons as the Administrator shall deem necessary or desirable. The Code Administrator shall be protected from any liability hereunder or under any applicable law, rule or regulation, for decisions made in good faith based upon his or her reasonable judgment. - --------------------- 2 An "implicit waiver" is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, an executive officer of the Fund or OFI. 9. Required Records The Administrator shall maintain and cause to be maintained in an easily accessible place, the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of OFI in which the applicable event or report occurred): (a) A copy of any Code which has been in effect during the period; (b) A record of any violation of any such Code and of any action taken as a result of such violation, during the period; (c) A copy of each annual report pursuant to the Code made by a Covered Officer during the period; (d) A copy of each report made by the Code Administrator pursuant to this Code during the period; (e) A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; (f) A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and (g) A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision. 10. Amendments and Modifications This Code may not be amended or modified except by an amendment in writing which is approved or ratified by OFI and by a majority vote of the Independent Trustees/Directors of each of the applicable Funds. 11. Confidentiality. This Code is identified for the internal use of the Funds and OFI. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trustees/Directors of the affected Fund(s) and their counsel, the independent auditors of the affected Funds and/or OFI, and to OFI, except as such disclosure may be required pursuant to applicable judicial or regulatory process. Dated as of: June 25, 2003 Adopted by Board I of the Oppenheimer Funds June 13, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board II of the Oppenheimer/Centennial Funds June 24, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board III of the Oppenheimer Funds June 9, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board IV of the Oppenheimer Funds May 21, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by the Boards of Directors of OppenheimerFunds, Inc. and its subsidiaries and affiliates that act as investment adviser to the Oppenheimer or Centennial funds June 1, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Senior Vice President and General Counsel Exhibit A Positions Covered by this Code of Ethics for Senior Officers Each Oppenheimer or Centennial fund Principal Executive Officer Principal Financial Officer Treasurer Assistant Treasurer Personnel of OFI who by virtue of their jobs perform critical financial and accounting functions for OFI on behalf of a Fund, including: Treasurer Senior Vice President/Fund Accounting Vice President/Fund Accounting EX-99.CERT 3 ex99_302cert-535.txt EX99_302CERT-535.TXT 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 Total Return Bond 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 officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) 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) 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 c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. 5. The registrant's other certifying officers 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 controls 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: 6/15/04 /s/John V. Murphy ---------------------------- John V. Murphy Chief 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 Total Return Bond 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 officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) 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) 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 c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. 5. The registrant's other certifying officers 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 controls 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: 6/15/04 /s/Brian W. Wixted ---------------------------- Brian W. Wixted Chief Financial Officer EX-99.906 4 ex99_906cert-535.txt EX99_906CERT-535.TXT 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, Chief Executive Officer, and Brian W. Wixted, Chief -------------- ---------------- Financial Officer, of Oppenheimer Total Return Bond Fund (the "Registrant"), each certify to the best of his or her knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended April 30, 2004 (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. ss. 1350 and is not being filed as part of the Form N-CSR filed with the Commission. Chief Executive Officer Chief Financial Officer Oppenheimer Total Return Bond Fund Oppenheimer Total Return Bond Fund /s/John V. Murphy /s/Brian W. Wixted - ---------------------------- ---------------------------- John V. Murphy Brian W. Wixted Date: 6/15/04 Date: 6/15/04 -----END PRIVACY-ENHANCED MESSAGE-----