-----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, GgJxuq4qqVPfWZ3VsjmQPgRiJaenLZ1O25AX7hVdK0Oxn/YTyKQ8rszDg2246aAy /1Eh5DRbx7uu+EZUor//jA== 0000935069-05-001403.txt : 20050611 0000935069-05-001403.hdr.sgml : 20050611 20050527132528 ACCESSION NUMBER: 0000935069-05-001403 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050331 FILED AS OF DATE: 20050527 DATE AS OF CHANGE: 20050527 EFFECTIVENESS DATE: 20050527 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 05862839 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: 3RD FL CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 N-Q 1 rq285_15545nq.txt RQ285_15545NQ.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3420 OPPENHEIMER CORE BOND FUND (Exact name of registrant as specified in charter) 6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924 (Address of principal executive offices) (Zip code) ROBERT G. ZACK, ESQ. OPPENHEIMERFUNDS, INC. TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: DECEMBER 31 Date of reporting period: MARCH 31, 2005 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--13.0% - ------------------------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005- 1A, Cl. A2, 2.91%, 4/20/08 1,2 $ 890,000 $ 890,000 - ------------------------------------------------------------------------------------------------------------------------ Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 566,923 566,298 - ------------------------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust, Automobile Loan Certificates: Series 2004-A, Cl. A2, 1.88%, 10/25/06 2,244,000 2,238,204 Series 2005-A, Cl. A2, 3.65%, 12/26/07 3,540,000 3,535,706 - ------------------------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,850,000 2,804,544 - ------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-A, Cl. AF1, 2.03%, 6/25/19 355,124 354,454 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1 1,285,923 1,278,413 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 1 1,090,000 1,090,000 - ------------------------------------------------------------------------------------------------------------------------ Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 161,947 161,710 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 723,835 722,618 Series 2003-3, Cl. 1A2, 1.93%, 5/25/18 450,790 450,089 Series 2003-4, Cl. 1A2, 2.138%, 7/25/18 2,011,618 2,005,679 Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 570,000 566,501 - ------------------------------------------------------------------------------------------------------------------------ Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2002-A, Cl. A4, 4.24%, 9/15/08 588,855 591,760 - ------------------------------------------------------------------------------------------------------------------------ CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004- DFS, Cl. A2, 2.66%, 11/20/06 1 2,360,000 2,343,564 - ------------------------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.: Series 2001-A6, Cl. A6, 5.65%, 6/16/08 2,580,000 2,633,023 Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 422,211 - ------------------------------------------------------------------------------------------------------------------------ CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations, Series 2003-3, Cl. AF1, 2.97%, 8/25/33 2 528,425 528,768 - ------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 1 208,503 208,242 - ------------------------------------------------------------------------------------------------------------------------ Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates, Series 2002-4, Cl. A1, 3.22%, 2/25/33 2 351,314 355,423 - ------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2001-D, Cl. A4, 3.78%, 2/6/07 528,188 529,351 Series 2002-A, Cl. A4, 4.49%, 10/6/08 1,180,781 1,187,290 Series 2003-B, Cl. A2, 1.61%, 7/10/06 2,114,060 2,112,338 Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 1,159,765 1,157,416 Series 2004-C, Cl. A2, 2.62%, 6/8/07 4,240,000 4,221,581 Series 2005-A, Cl. A2, 3.17%, 9/8/07 1 3,430,000 3,419,703 - ------------------------------------------------------------------------------------------------------------------------ Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 570,000 564,341 - ------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2004-A, Cl. A2, 2.13%, 10/15/06 1,604,212 1,598,953 Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,060,000 2,041,860 - ------------------------------------------------------------------------------------------------------------------------ Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 1,904,051 1,899,059 - ------------------------------------------------------------------------------------------------------------------------
1 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-3, Cl. A2, 1.52%, 4/21/06 $ 930,460 $ 929,693 Series 2003-4, Cl. A2, 1.58%, 7/17/06 2,006,844 2,003,522 Series 2005-1, Cl. A2, 3.21%, 5/21/07 1 1,370,000 1,366,414 - ------------------------------------------------------------------------------------------------------------------------ Household Automotive Trust, Automobile Loan Certificates, Series 2003- 2, Cl. A2, 1.56%, 12/18/06 589,017 588,496 - ------------------------------------------------------------------------------------------------------------------------ Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 1 2,116,402 2,146,243 - ------------------------------------------------------------------------------------------------------------------------ M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 936,174 935,673 Series 2003-1, Cl. A2, 1.60%, 7/20/06 682,487 682,227 - ------------------------------------------------------------------------------------------------------------------------ MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 4.16%, 3/15/16 2 4,070,000 4,319,587 - ------------------------------------------------------------------------------------------------------------------------ National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 921,935 919,360 - ------------------------------------------------------------------------------------------------------------------------ NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 1 1,750,658 467,207 - ------------------------------------------------------------------------------------------------------------------------ Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A, Cl. A2, 2.55%, 1/15/07 2,020,000 2,010,444 - ------------------------------------------------------------------------------------------------------------------------ Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2002-A, Cl. A4, 4.28%, 10/16/06 385,631 386,587 - ------------------------------------------------------------------------------------------------------------------------ Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 3%, 11/25/34 1,2 1,033,315 1,034,124 - ------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1 780,000 770,716 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 570,000 563,790 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1,030,000 1,030,000 - ------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Collateralized Mtg. Obligations, Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 5,431,645 5,476,340 - ------------------------------------------------------------------------------------------------------------------------ Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,285,000 1,271,829 - ------------------------------------------------------------------------------------------------------------------------ USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2001-2, Cl. A4, 3.91%, 4/16/07 362,803 363,237 Series 2002-1, Cl. A3, 2.41%, 10/16/06 286,969 286,956 Series 2004-2, Cl. A2, 2.41%, 2/15/07 2,750,000 2,742,840 Series 2004-3, Cl. A2, 2.79%, 6/15/07 1,960,000 1,951,683 - ------------------------------------------------------------------------------------------------------------------------ Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities: Series 2004-A, Cl. A2, 2.47%, 1/22/07 2,780,000 2,764,580 Series 2005-A, Cl. A2, 3.52%, 4/20/07 2,580,000 2,577,092 - ------------------------------------------------------------------------------------------------------------------------ Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates, Series 2003-2, Cl. A2, 1.55%, 6/20/06 951,902 950,660 - ------------------------------------------------------------------------------------------------------------------------ Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,940,000 1,931,610 - ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 3,569,894 3,541,951 - ------------------------------------------------------------------------------------------------------------------------ Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2A, 1.40%, 4/15/06 914,998 914,330 Series 2004-1, Cl. A2A, 2.59%, 5/15/07 2,550,000 2,536,387 ------------------ Total Asset-Backed Securities (Cost $91,457,752) 89,942,677
2 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--68.0% - ------------------------------------------------------------------------------------------------------------------------ GOVERNMENT AGENCY--57.6% - ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED--57.4% Fannie Mae Whole Loan, Collateralized Mtg. Obligations Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 $ 3,028,929 $ 3,198,358 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 6%, 7/1/24-10/1/34 23,279,447 23,844,559 6.50%, 7/1/28-4/1/34 3,462,013 3,605,157 7%, 3/1/31-3/1/33 12,164,944 12,822,764 7%, 6/1/35 3 9,498,000 9,996,645 8%, 4/1/16 1,232,564 1,301,755 9%, 3/1/17-5/1/25 354,829 386,119 12.50%, 4/1/14 2,431 2,718 13.50%, 11/1/10 5,627 6,291 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Pass- Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 66,753 66,746 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2075, Cl. D, 6.50%, 8/15/28 793,959 824,727 Series 2500, Cl. FD, 3.31%, 3/15/32 2 806,431 809,750 Series 2526, Cl. FE, 3.21%, 6/15/29 2 1,059,736 1,065,609 Series 2550, Cl. QK, 4.50%, 4/15/22 789,016 790,631 Series 2551, Cl. FD, 3.21%, 1/15/33 2 847,393 854,265 Series 2583, Cl. KA, 5.50%, 3/15/22 4,102,846 4,152,576 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 5.864%, 6/1/26 4 1,326,617 280,570 Series 183, Cl. IO, 3.74%, 4/1/27 4 2,064,287 447,369 Series 184, Cl. IO, 8.27%, 12/1/26 4 2,166,393 441,603 Series 192, Cl. IO, 10.937%, 2/1/28 4 519,861 104,925 Series 200, Cl. IO, 10.725%, 1/1/29 4 638,358 133,038 Series 206, Cl. IO, (12.299)%, 12/1/29 4 815,654 162,006 Series 2130, Cl. SC, 14.205%, 3/15/29 4 1,430,625 114,096 Series 2134, Cl. SB, 22.508%, 3/15/29 4 1,581,713 127,660 Series 2796, Cl. SD, 21.136%, 7/15/26 4 2,232,712 196,772 Series 2920, Cl. S, 30.867%, 1/15/35 4 10,085,239 562,756 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 5.874%, 6/1/26 5 562,687 476,410 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 5%, 6/1/18-4/1/35 3 82,165,311 81,294,958 5.50%, 3/1/33-1/1/34 16,444,590 16,504,182 5.50%, 4/1/20-4/1/35 3 92,481,000 93,082,923 6%, 8/1/24-9/1/24 9,198,944 9,465,272 6%, 4/1/20-4/1/35 3 24,754,000 25,355,607 6.50%, 4/1/35 3 65,275,000 67,743,178 7%, 1/1/09-8/1/34 4,851,109 5,113,029 7%, 4/1/35 3 840,000 885,150 7.50%, 2/1/08-3/1/08 31,100 31,980 8%, 8/1/17 16,115 16,820 8.50%, 7/1/32 175,250 190,317 - ------------------------------------------------------------------------------------------------------------------------
3 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 $ 51,953 $ 53,457 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 608,204 632,140 Trust 2001-70, Cl. LR, 6%, 9/25/30 1,141,846 1,163,980 Trust 2001-72, Cl. NH, 6%, 4/25/30 887,784 898,055 Trust 2001-74, Cl. PD, 6%, 5/25/30 370,123 375,159 Trust 2002-77, Cl. WF, 3.234%, 12/18/32 2 1,336,513 1,345,614 Trust 2002-T1, Cl. A2, 7%, 11/25/31 3,251,117 3,432,975 Trust 2003-10, Cl. HP, 5%, 2/25/18 3,670,000 3,631,004 Trust 2003-81, Cl. PA, 5%, 2/25/12 413,259 413,499 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,417,000 2,399,225 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: Trust 319, Cl. 2, 3.929%, 2/1/32 4 1,050,333 235,489 Trust 2002-38, Cl. SO, 15.955%, 4/25/32 4 728,265 45,277 Trust 2002-47, Cl. NS, 12.675%, 4/25/32 4 2,804,136 257,700 Trust 2002-51, Cl. S, 12.94%, 8/25/32 4 2,574,803 236,623 Trust 2002-77, Cl. IS, 13.641%, 12/18/32 4 1,240,747 115,478 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 3.82%, 6/1/23 4 4,087,961 824,407 Trust 240, Cl. 2, 4.95%, 9/1/23 4 4,722,724 974,300 Trust 252, Cl. 2, 0.567%, 11/1/23 4 3,298,919 647,703 Trust 254, Cl. 2, 3.712%, 1/1/24 4 1,613,327 316,580 Trust 273, Cl. 2, 5.74%, 7/1/26 4 961,220 199,800 Trust 301, Cl. 2, 1.893%, 4/1/29 4 2,695,352 569,973 Trust 303, Cl. IO, (10.701)%, 11/1/29 4 346,277 75,425 Trust 321, Cl. 2, 1.25%, 3/1/32 4 6,047,514 1,390,401 Trust 324, Cl. 2, (2.58)%, 6/1/32 4 5,404,726 1,196,993 Trust 329, Cl. 2, 7.239%, 1/1/33 4 4,254,479 1,016,208 Trust 331, Cl. 9, (14.483)%, 12/1/32 4 3,042,823 666,213 Trust 333, Cl. 2, 8.24%, 3/1/33 4 5,538,845 1,336,421 Trust 334, Cl. 17, (6.605)%, 2/1/33 4 428,194 94,322 Trust 338, Cl. 2, 8.343%, 6/1/33 4 1,674,836 403,772 Trust 2001-81, Cl. S, 17.217%, 1/25/32 4 1,147,906 105,870 Trust 2002-52, Cl. SD, 7.319%, 9/25/32 4 3,250,023 292,352 Trust 2002-77, Cl. SH, 22.769%, 12/18/32 4 1,448,754 141,916 Trust 2004-54, Cl. DS, 18.428%, 11/25/30 4 499,220 38,105 Trust 2005-6, Cl. SE, 27.111%, 2/25/35 4 6,724,308 409,375 Trust 2005-19, Cl. SA, 27.69%, 3/25/35 4 36,296,120 2,098,199 Trust 2005-40, Cl. SA, 0%, 5/25/35 3,4 6,380,000 371,834 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 7.615%, 9/25/23 5 1,129,029 954,220 ------------------ 395,819,355
4 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 3.75%, 7/20/25-7/20/27 2 $ 43,974 $ 44,564 7%, 7/15/09 31,456 32,823 8%, 6/15/05-10/15/06 23,654 24,033 8.50%, 8/15/17-12/15/17 448,631 488,413 9%, 2/15/09-6/15/09 21,112 22,407 10%, 11/15/09 23,772 25,493 10.50%, 12/15/17-5/15/21 51,468 58,583 11%, 10/20/19 83,470 92,353 12%, 5/15/14 368 414 - ------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Series 2001-21, Cl. SB, 12.767%, 1/16/27 4 2,594,135 218,152 Series 2002-15, Cl. SM, 7.742%, 2/16/32 4 2,593,729 225,965 Series 2002-76, Cl. SY, 12.818%, 12/16/26 4 1,050,899 96,319 Series 2004-11, Cl. SM, 8.358%, 1/17/30 4 411,352 33,538 ------------------ 1,363,057 - ------------------------------------------------------------------------------------------------------------------------ PRIVATE--10.4% - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL--9.5% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 6.836%, 11/13/29 2 800,000 849,503 - ------------------------------------------------------------------------------------------------------------------------ Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 5.863%, 4/14/29 4 42,675,028 1,511,963 - ------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg.Pass- Through Certificates, Series 2004-6, Cl. A3, 4.512%, 12/10/42 2,160,000 2,113,022 - ------------------------------------------------------------------------------------------------------------------------ Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,627,137 3,681,501 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,026,174 3,111,285 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1,979,702 1,981,189 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 2 943,711 942,434 - ------------------------------------------------------------------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 1,210,000 1,211,241 - ------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 6.738%, 6/22/24 4 8,955,706 354,633 - ------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2004-J9, Cl. 1A1, 3.03%, 10/25/34 2 2,422,009 2,424,648 - ------------------------------------------------------------------------------------------------------------------------ DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1996-CF1, Cl. A3, 7.903%, 3/13/28 2 541,518 547,370 - ------------------------------------------------------------------------------------------------------------------------ First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 1,770,000 1,865,827 - ------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,730,000 1,716,254 Series 2005-C1, Cl. A3, 4.578%, 6/10/48 1,000,000 982,314 - ------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2004-C3, Cl. A4, 4.547%, 12/10/41 1,410,000 1,383,551 - ------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass- Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,248,656 1,307,505 - ------------------------------------------------------------------------------------------------------------------------
5 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL CONTINUED Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass- Through Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 $ 1,850,000 $ 1,822,683 - ------------------------------------------------------------------------------------------------------------------------ GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates: Series 2004-C1, Cl. A1, 3.659%, 10/10/28 1,614,255 1,570,672 Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 1,100,000 1,098,529 - ------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 04-12, Cl. 3A1, 4.513%, 12/25/34 1,2 3,477,938 3,473,741 - ------------------------------------------------------------------------------------------------------------------------ J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 5,000,000 5,589,064 - ------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 9.83%, 2/18/30 4 11,966,686 377,274 - ------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1 267,677 230,202 - ------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 4,153,262 4,249,542 - ------------------------------------------------------------------------------------------------------------------------ Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 2 3,427,696 3,417,867 - ------------------------------------------------------------------------------------------------------------------------ Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 2,010,000 2,130,408 - ------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 5.654%, 5/18/32 4 249,920,413 954,571 - ------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C16, Cl. A2, 4.38%, 10/15/41 2,800,000 2,762,479 Series 2005-C17, Cl. A2, 4.763%, 3/15/42 3,560,000 3,567,370 - ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-DD, Cl. 2 A1, 4.545%, 1/25/35 2 2,884,356 2,887,179 Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 3,554,431 3,562,280 Series 2004-W, Cl. A2, 4.623%, 11/25/34 2 1,823,610 1,822,858 ------------------ 65,500,959 - ------------------------------------------------------------------------------------------------------------------------ OTHER--0.0% Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, (7.85)%, 10/23/17 4 23,365 5,353 - ------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 2.11%, 10/23/17 5 34,580 31,474 ------------------ 36,827 - ------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL--0.9% Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 3,604,934 3,680,325 - ------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass- Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,803,708 2,461,937 ------------------ 6,142,262 ------------------ Total Mortgage-Backed Obligations (Cost $470,507,870) 468,862,460 - ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--15.1% - ------------------------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.58%, 1/31/07 6 9,150,000 8,508,045 - ------------------------------------------------------------------------------------------------------------------------
6 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE Federal Home Loan Mortgage Corp. Unsec. Nts.: 6.625%, 9/15/09 $ 6,855,000 $ 7,457,589 6.875%, 9/15/10 7,600,000 8,450,280 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 3.01%, 6/2/06 6,600,000 6,527,215 4.25%, 7/15/07 1,290,000 1,295,000 6.625%, 9/15/09 7,630,000 8,297,503 7.25%, 5/15/30 2,180,000 2,819,106 - ------------------------------------------------------------------------------------------------------------------------ Tennessee Valley Authority Bonds: 5.375%, 11/13/08 2,000,000 2,076,016 7.125%, 5/1/30 2,689,000 3,431,428 Series A, 6.79%, 5/23/12 14,531,000 16,389,123 - ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds: 4.375%, 8/15/12 125,000 125,332 5.50%, 8/15/28 7 13,954,000 15,162,989 8.875%, 8/15/17 6,664,000 9,267,392 STRIPS, 2.99%, 2/15/10 6 2,490,000 2,038,379 STRIPS, 3.38%, 2/15/11 6 4,621,000 3,603,594 STRIPS, 3.86%, 2/15/13 6 1,520,000 1,069,132 - ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Nts.: 4%, 3/15/10-2/15/15 6,715,000 6,514,676 5.75%, 8/15/10 715,000 767,508 ------------------ Total U.S. Government Obligations (Cost $105,123,474) 103,800,307 - ------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS--0.4% - ------------------------------------------------------------------------------------------------------------------------ United Mexican States Nts., 7.50%, 1/14/12 (Cost $2,389,511) 2,370,000 2,622,405 - ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES--35.4% - ------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--9.4% - ------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS--0.7% Delphi Corp., 6.55% Nts., 6/15/06 1,707,000 1,678,508 - ------------------------------------------------------------------------------------------------------------------------ Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,660,000 2,881,144 ------------------ 4,559,652 - ------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES--2.1% American Honda Finance Corp., 3.85% Nts., 11/6/08 8 1,970,000 1,927,253 - ------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler NA Holdings Corp., 7.20% Unsec. Nts., 9/1/09 2,840,000 3,060,316 - ------------------------------------------------------------------------------------------------------------------------ Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 590,000 626,034 - ------------------------------------------------------------------------------------------------------------------------ Ford Motor Credit Co., 7.375% Nts., 10/28/09 620,000 623,305 - ------------------------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp.: 7.25% Nts., 3/2/11 2,920,000 2,714,228 8% Bonds, 11/1/31 2,360,000 2,060,341 - ------------------------------------------------------------------------------------------------------------------------ Hertz Corp. (The), 6.35% Nts., 6/15/10 3,750,000 3,607,189 ------------------ 14,618,666 - ------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE--1.0% Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 1,200,000 1,281,466 - ------------------------------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 2,240,000 2,324,000 - ------------------------------------------------------------------------------------------------------------------------ Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 3,269,000 3,412,709 ------------------ 7,018,175 - ------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES--1.0% Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 1,685,000 1,794,525 - ------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc., 6.125% Nts., 1/15/14 1,660,000 1,654,140 - ------------------------------------------------------------------------------------------------------------------------ Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,535,000 1,581,586 - ------------------------------------------------------------------------------------------------------------------------
7 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES CONTINUED Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 $ 1,685,000 $ 1,815,588 ------------------ 6,845,839 - ------------------------------------------------------------------------------------------------------------------------ MEDIA--3.2% Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 3,070,000 3,311,425 - ------------------------------------------------------------------------------------------------------------------------ Cox Communications, Inc., 7.875% Unsec. Nts., 8/15/09 395,000 436,286 - ------------------------------------------------------------------------------------------------------------------------ Cox Enterprises, Inc., 7.375% Unsec. Debs., 6/15/09 8 1,740,000 1,861,537 - ------------------------------------------------------------------------------------------------------------------------ Liberty Media Corp., 5.70% Sr. Unsec. Nts., 5/15/13 1,720,000 1,623,726 - ------------------------------------------------------------------------------------------------------------------------ TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,990,000 3,752,662 - ------------------------------------------------------------------------------------------------------------------------ Time Warner Cos., Inc., 9.125% Debs., 1/15/13 3,080,000 3,811,226 - ------------------------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 1,037,000 1,319,733 - ------------------------------------------------------------------------------------------------------------------------ Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 433,000 424,415 3.50% Sr. Unsec. Nts., 10/15/07 2,255,000 2,205,521 - ------------------------------------------------------------------------------------------------------------------------ Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 3,140,000 3,195,512 ------------------ 21,942,043 - ------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL--1.1% Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 2,165,000 2,281,763 - ------------------------------------------------------------------------------------------------------------------------ J.C. Penney Co., Inc., 8% Nts., 3/1/10 3,085,000 3,100,425 - ------------------------------------------------------------------------------------------------------------------------ May Department Stores Co.: 3.95% Nts., 7/15/07 1,221,000 1,204,937 7.90% Unsec. Debs., 10/15/07 1,095,000 1,173,210 ------------------ 7,760,335 - ------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL--0.3% Gap, Inc. (The): 6.90% Nts., 9/15/07 1 1,268,000 1,329,815 9.80% Unsub. Nts., 12/15/08 2 507,000 592,556 ------------------ 1,922,371 - ------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--2.6% - ------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--1.4% Albertson's, Inc.: 8% Sr. Unsec. Debs., 5/1/31 1,440,000 1,700,292 8.70% Sr. Unsec. Debs., 5/1/30 743,000 939,995 - ------------------------------------------------------------------------------------------------------------------------ Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,275,000 1,555,420 - ------------------------------------------------------------------------------------------------------------------------ Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 2,545,000 2,726,077 - ------------------------------------------------------------------------------------------------------------------------ Real Time Data Co., 11% Disc. Nts., 5/31/09 1,9,10,11 476,601 -- - ------------------------------------------------------------------------------------------------------------------------ Safeway, Inc., 4.80% Sr. Unsec. Nts., 7/16/07 3,060,000 3,062,843 ------------------ 9,984,627 - ------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--1.2% ConAgra Foods, Inc., 6% Nts., 9/15/06 1,615,000 1,655,425 - ------------------------------------------------------------------------------------------------------------------------ General Mills, Inc., 3.875% Nts., 11/30/07 2,515,000 2,480,826 - ------------------------------------------------------------------------------------------------------------------------ Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,835,000 3,906,220 ------------------ 8,042,471 - ------------------------------------------------------------------------------------------------------------------------ ENERGY--1.1% - ------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--0.0% Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 200,000 205,750 - ------------------------------------------------------------------------------------------------------------------------ OIL & GAS--1.1% Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 1,665,000 1,769,063 - ------------------------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,880,000 2,021,731 - ------------------------------------------------------------------------------------------------------------------------
8 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ OIL & GAS CONTINUED Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 $ 1,750,000 $ 1,896,125 - ------------------------------------------------------------------------------------------------------------------------ PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 1,582,700 1,498,951 ------------------ 7,185,870 - ------------------------------------------------------------------------------------------------------------------------ FINANCIALS--10.7% - ------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS--0.5% Credit Suisse First Boston (USA), Inc., 5.50% Nts., 8/15/13 3,300,000 3,372,659 - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--0.7% Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 41,000 40,761 - ------------------------------------------------------------------------------------------------------------------------ Mellon Bank NA, 4.75% Unsec. Sub. Nts., 12/15/14 2,770,000 2,712,182 - ------------------------------------------------------------------------------------------------------------------------ National City Bank, 6.20% Sub. Nts., 12/15/11 216,000 232,730 - ------------------------------------------------------------------------------------------------------------------------ SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,680,000 1,659,548 7.75% Unsec. Sub. Nts., 5/1/10 150,000 170,551 ------------------ 4,815,772 - ------------------------------------------------------------------------------------------------------------------------ CONSUMER FINANCE--0.5% HSBC Finance Corp., 4.75% Sr. Unsec. Nts., 7/15/13 3,475,000 3,388,837 - ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES--3.4% AIG SunAmerica Global Financing II, 7.60% Sr. Sec. Nts., 6/15/05 8 1,100,000 1,109,064 - ------------------------------------------------------------------------------------------------------------------------ American Express Centurion Bank, 4.375% Nts., 7/30/09 1,155,000 1,147,043 - ------------------------------------------------------------------------------------------------------------------------ CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 2,305,000 2,669,789 - ------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 2,995,000 3,350,650 - ------------------------------------------------------------------------------------------------------------------------ Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,500,000 1,474,686 - ------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The), 5.70% Sr. Unsec. Nts., 9/1/12 3,195,000 3,294,198 - ------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 2,030,000 2,167,447 - ------------------------------------------------------------------------------------------------------------------------ Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 325,000 343,042 - ------------------------------------------------------------------------------------------------------------------------ MBNA Corp., 7.50% Sr. Nts., Series F, 3/15/12 2,630,000 2,969,654 - ------------------------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 3,415,000 3,351,505 - ------------------------------------------------------------------------------------------------------------------------ Morgan Stanley, 6.60% Nts., 4/1/12 1,610,000 1,759,914 ------------------ 23,636,992 - ------------------------------------------------------------------------------------------------------------------------ INSURANCE--3.7% Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 8 635,000 629,376 - ------------------------------------------------------------------------------------------------------------------------ Allstate Life Global Funding II, 3.50% Nts., 7/30/07 860,000 844,929 - ------------------------------------------------------------------------------------------------------------------------ AXA, 8.60% Unsec. Sub. Nts., 12/15/30 2,730,000 3,591,675 - ------------------------------------------------------------------------------------------------------------------------ Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 1,275,000 1,246,444 - ------------------------------------------------------------------------------------------------------------------------ John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 2,487,000 2,842,862 - ------------------------------------------------------------------------------------------------------------------------ Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 3/15/07 1,850,000 1,879,964 - ------------------------------------------------------------------------------------------------------------------------ Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 2,985,000 3,137,829 - ------------------------------------------------------------------------------------------------------------------------ Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 2,675,000 3,393,834 - ------------------------------------------------------------------------------------------------------------------------ Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 4,680,000 6,101,910 - ------------------------------------------------------------------------------------------------------------------------ Travelers Property Casualty Corp., 3.75% Sr. Unsec. Nts., 3/15/08 2,320,000 2,270,656 ------------------ 25,939,479 - ------------------------------------------------------------------------------------------------------------------------ REAL ESTATE--1.9% EOP Operating LP: 6.763% Sr. Unsec. Nts., 6/15/07 560,000 585,600 8.10% Unsec. Nts., 8/1/10 1,890,000 2,149,102 - ------------------------------------------------------------------------------------------------------------------------ iStar Financial, Inc.: 4.875% Sr. Unsec. Nts., Series B, 1/15/09 1,445,000 1,427,976 8.75% Sr. Unsec. Nts., 8/15/08 1,060,000 1,186,595 - ------------------------------------------------------------------------------------------------------------------------
9 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ REAL ESTATE CONTINUED Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 $ 1,625,000 $ 1,646,830 - ------------------------------------------------------------------------------------------------------------------------ Simon Property Group LP: 5.45% Unsec. Nts., 3/15/13 1,335,000 1,338,978 5.625% Unsec. Unsub. Nts., 8/15/14 1,295,000 1,303,331 - ------------------------------------------------------------------------------------------------------------------------ Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 3,160,000 3,240,255 ------------------ 12,878,667 - ------------------------------------------------------------------------------------------------------------------------ HEALTH CARE--1.8% - ------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--1.4% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 3,200,000 3,293,910 - ------------------------------------------------------------------------------------------------------------------------ CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 3,750,000 3,966,105 - ------------------------------------------------------------------------------------------------------------------------ HCA Healthcare Corp., 6.91% Sr. Sub. Nts., 6/15/05 1,066,000 1,077,989 - ------------------------------------------------------------------------------------------------------------------------ UnitedHealth Group, Inc., 4.875% Bonds, 3/15/15 853,000 835,200 ------------------ 9,173,204 - ------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS--0.4% Merck & Co., Inc., 4.726% Nts., 2/22/06 8 2,780,000 2,795,790 - ------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS--2.8% - ------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE--0.7% Boeing Capital Corp., 5.75% Sr. Nts., 2/15/07 503,000 516,756 - ------------------------------------------------------------------------------------------------------------------------ Lockheed Martin Corp., 7.65% Unsec. Unsub. Debs., 5/1/16 1,070,000 1,281,576 - ------------------------------------------------------------------------------------------------------------------------ McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 429,000 445,847 - ------------------------------------------------------------------------------------------------------------------------ Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 2,040,000 2,277,733 - ------------------------------------------------------------------------------------------------------------------------ Raytheon Co., 6.50% Unsec. Nts., 7/15/05 224,000 225,856 ------------------ 4,747,768 - ------------------------------------------------------------------------------------------------------------------------ AIR FREIGHT & LOGISTICS--0.5% FedEx Corp., 2.65% Unsec. Nts., 4/1/07 3,490,000 3,383,579 - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--0.7% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 1,570,000 1,630,838 - ------------------------------------------------------------------------------------------------------------------------ Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 1 100,000 100,875 - ------------------------------------------------------------------------------------------------------------------------ Waste Management, Inc.: 7% Sr. Nts., 7/15/28 700,000 784,741 7.125% Sr. Unsec. Nts., 10/1/07 1,890,000 2,005,800 ------------------ 4,522,254 - ------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--0.5% Tyco International Group SA: 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 2,225,000 2,264,734 6.75% Sr. Unsub. Nts., 2/15/11 1,140,000 1,236,785 ------------------ 3,501,519 - ------------------------------------------------------------------------------------------------------------------------ MARINE--0.0% Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1,9,10 300,000 250,500 - ------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL--0.4% Canadian National Railway Co., 4.25% Nts., 8/1/09 434,000 428,401 - ------------------------------------------------------------------------------------------------------------------------ CSX Corp., 6.25% Unsec. Nts., 10/15/08 2,175,000 2,290,699 ------------------ 2,719,100 - ------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY--0.0% - ------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1,9,10 200,000 105,000
10 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ MATERIALS--0.0% - ------------------------------------------------------------------------------------------------------------------------ CHEMICALS--0.0% Morton International, Inc., 9.65% Credit Sensitive Nts., 6/1/20 $ 85,000 $ 121,707 - ------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES--2.4% - ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--2.0% British Telecommunications plc, 8.625% Bonds, 12/15/30 1,520,000 2,031,431 - ------------------------------------------------------------------------------------------------------------------------ Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 1,029,000 1,131,900 - ------------------------------------------------------------------------------------------------------------------------ Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2,800,000 3,223,660 - ------------------------------------------------------------------------------------------------------------------------ France Telecom SA: 8% Sr. Unsec. Nts., 3/1/11 2 1,600,000 1,832,966 8.75% Sr. Unsec. Nts., 3/1/31 2 520,000 686,453 - ------------------------------------------------------------------------------------------------------------------------ Sprint Capital Corp.: 6% Sr. Unsec. Nts., 1/15/07 1,525,000 1,568,324 8.75% Nts., 3/15/32 1,410,000 1,834,808 - ------------------------------------------------------------------------------------------------------------------------ Telefonos de Mexico SA de CV, 4.75% Nts., 1/27/10 8 1,600,000 1,563,011 ------------------ 13,872,553 - ------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES--0.4% AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 2,350,000 2,749,115 - ------------------------------------------------------------------------------------------------------------------------ UTILITIES--4.6% - ------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES--3.7% CenterPoint Energy, Inc.: 5.875% Sr. Nts., 6/1/08 2,655,000 2,738,558 8.125% Unsec. Nts., Series B, 7/15/05 840,000 851,319 - ------------------------------------------------------------------------------------------------------------------------ Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 460,000 461,203 - ------------------------------------------------------------------------------------------------------------------------ Constellation Energy Group, 7% Unsec. Nts., 4/1/12 2,375,000 2,644,722 - ------------------------------------------------------------------------------------------------------------------------ Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 1,425,000 1,631,883 - ------------------------------------------------------------------------------------------------------------------------ DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 1,035,000 1,063,075 - ------------------------------------------------------------------------------------------------------------------------ Duke Capital LLC, 5.668% Nts., 8/15/14 1,650,000 1,662,296 - ------------------------------------------------------------------------------------------------------------------------ FirstEnergy Corp.: 5.50% Sr. Unsub. Nts., Series A, 11/15/06 1,260,000 1,281,894 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,455,000 1,653,213 - ------------------------------------------------------------------------------------------------------------------------ IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,2 1,435,000 1,571,325 - ------------------------------------------------------------------------------------------------------------------------ MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 3,975,000 4,134,409 - ------------------------------------------------------------------------------------------------------------------------ PSE&G Power LLC, 6.875% Sr. Unsec. Nts., 4/15/06 645,000 663,362 - ------------------------------------------------------------------------------------------------------------------------ PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1 1,810,000 1,868,825 - ------------------------------------------------------------------------------------------------------------------------ TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 1,795,000 2,023,863 - ------------------------------------------------------------------------------------------------------------------------ TXU Corp., 4.80% Nts., 11/15/09 8 1,480,000 1,435,239 ------------------ 25,685,186 - ------------------------------------------------------------------------------------------------------------------------ GAS UTILITIES--0.9% NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 4,230,000 4,829,353 - ------------------------------------------------------------------------------------------------------------------------ Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 1,260,000 1,419,789 ------------------ 6,249,142 ------------------ Total Corporate Bonds and Notes (Cost $243,991,015) 243,994,622 SHARES - ------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS--0.0% - ------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp. 181 3,971 - ------------------------------------------------------------------------------------------------------------------------
11 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------ Geotek Communications, Inc., Series B, Escrow Shares 1,10,12 25 $ -- ------------------ Total Common Stocks (Cost $109) 3,971 UNITS - ------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% - ------------------------------------------------------------------------------------------------------------------------ Concentric Network Corp. Wts., Exp. 12/15/07 1,10 50 -- - ------------------------------------------------------------------------------------------------------------------------ e.spire Communications, Inc. Wts., Exp. 11/1/05 1,10 300 3 - ------------------------------------------------------------------------------------------------------------------------ HF Holdings, Inc. Wts., Exp. 9/27/09 1,10 1,063 11 - ------------------------------------------------------------------------------------------------------------------------ ICG Communications, Inc. Wts., Exp. 9/15/05 1,10 1,980 -- - ------------------------------------------------------------------------------------------------------------------------ Long Distance International, Inc. Wts., Exp. 4/13/08 1,10 150 -- - ------------------------------------------------------------------------------------------------------------------------ Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,10 200 -- - ------------------------------------------------------------------------------------------------------------------------ Pathmark Stores, Inc. Wts., Exp. 9/19/10 10 2,028 365 ------------------ Total Rights, Warrants and Certificates (Cost $25,015) 379 PRINCIPAL AMOUNT - ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM NOTES--2.9% - ------------------------------------------------------------------------------------------------------------------------ Eiffel Funding LLC, 2.70%, 4/8/05 13 $ 7,000,000 6,996,325 - ------------------------------------------------------------------------------------------------------------------------ Gotham Funding Corp., 2.83%, 4/12/05 13 6,115,000 6,109,712 - ------------------------------------------------------------------------------------------------------------------------ Victory Receivables Corp., 2.80%, 4/13/05 13 6,900,000 6,893,560 ------------------ Total Short-Term Notes (Cost $19,999,597) 19,999,597 - ------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--3.8% - ------------------------------------------------------------------------------------------------------------------------ Undivided interest of 3.16% in joint repurchase agreement (Principal Amount/Value $838,272,000, with a maturity value of $838,336,035) with UBS Warburg LLC, 2.75%, dated 3/31/05, to be repurchased at $26,511,025 on 4/1/05, collateralized by Federal National Mortgage Assn., 4.50%--5%, 5/1/19--3/1/34, with a value of $857,182,684 (Cost $26,509,000) 26,509,000 26,509,000 - ------------------------------------------------------------------------------------------------------------------------ Total Investments, at Value (Excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost$960,003,343) 955,735,418 - ------------------------------------------------------------------------------------------------------------------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--5.6% - ------------------------------------------------------------------------------------------------------------------------ ASSET BACKED FLOATING NOTE--0.7% Money Market Trust Securities, Series A, 2.885%, 4/15/05 14 2,000,000 2,000,000 - ------------------------------------------------------------------------------------------------------------------------ Whitehawk CDO Funding Corp., 3.08%, 6/15/05 14 3,000,000 3,000,000 ------------------ 5,000,000 - ------------------------------------------------------------------------------------------------------------------------ FUNDING AGREEMENT/GIC--0.6% Allstate Life Insurance Co., 2.88%, 4/1/05 14 2,000,000 2,000,000 - ------------------------------------------------------------------------------------------------------------------------ Protective Life Insurance Co., 2.85%, 4/29/05 14 2,000,000 2,000,000 ------------------ 4,000,000 - ------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--3.4% Undivided interest of 4.73% in joint repurchase agreement (Principal Amount/Value $500,000,000, with a maturity value of $500,040,972) with Merrill Lynch Securities/MLPFS, 2.95%, dated 3/31/05, to be repurchased at $23,653,985 on 4/1/05, collateralized by AA Asset-Backed Securities, 0.00%-7.76%, 6/15/09-1/25/45, with a value of $525,002,014 14 23,652,047 23,652,047
12 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ MASTER FLOATING NOTES--0.6% Bear Stearns, 3.055%, 4/1/05 14 $ 4,000,000 $ 4,000,000 - ------------------------------------------------------------------------------------------------------------------------ MEDIUM-TERM FLOATING NOTE--0.3% American Express Credit Corp., 2.845%, 4/18/05 14 1,902,011 1,902,011 ------------------ Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $38,554,058) 38,554,058 - ------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $998,557,401) 144.2% 994,289,476 - ------------------------------------------------------------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (44.2) (304,596,815) ----------------------------------- NET ASSETS 100.0% $ 689,692,661 ===================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of March 31, 2005 was $28,664,619, which represents 4.16% of the Fund's net assets, none of which is considered restricted. See accompanying Notes to Quarterly Statement of Investments. 2. Represents the current interest rate for a variable or increasing rate security. 3. When-issued security or forward commitment to be delivered and settled after March 31, 2005. See accompanying Notes to Quarterly Statement of Investments. 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 $20,409,299 or 2.96% of the Fund's net assets as of March 31, 2005. 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. These securities amount to $1,462,104 or 0.21% of the Fund's net assets as of March 31, 2005. 6. Zero coupon bond reflects effective yield on the date of purchase. 7. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts with an aggregate market value of $4,237,900. See accompanying Notes to Quarterly Statement of Investments. 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 $25,158,827 or 3.65% of the Fund's net assets as of March 31, 2005. 9. Issue is in default. See accompanying Notes to Quarterly Statement of Investments. 10. Non-income producing security. 11. Interest or dividend is paid-in-kind. 12. Received as the result of issuer reorganization. 13. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $19,999,597, or 2.90% of the Fund's net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. 14. The security has been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See accompanying Notes to Quarterly Statement of Investments. FEDERAL TAX. The approximate 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 March 31, 2005 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. Federal tax cost of securities $ 999,556,186 =============== Gross unrealized appreciation $ 6,656,934 Gross unrealized depreciation (11,923,644) --------------- Net unrealized depreciation $ (5,266,710) =============== 13 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - -------------------------------------------------------------------------------- NOTES TO QUARTERLY STATEMENT OF INVESTMENTS 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. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. 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 and domestic 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 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). SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to 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 internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when issued basis or forward commitment 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 or forward commitment prior to settlement of the original purchase. As of March 31, 2005, the Fund had purchased $335,615,046 of securities on a when-issued basis or forward commitment and sold $53,391,572 of securities issued on a when-issued basis or forward commitment. 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. SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of March 31, 2005, securities with an aggregate market value of $355,500, representing 0.05% of the Fund's net assets, were in default. 14 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - -------------------------------------------------------------------------------- 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. 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 nrealized appreciation and depreciation is reported in 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 March 31, 2005, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2005 (DEPRECIATION) - ---------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 6/21/05 399 $ 44,438,625 $ (467,562) ----------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 6/30/05 836 172,960,563 481,663 U.S. Treasury Nts., 5 yr. 6/21/05 864 92,529,000 724,346 U.S. Treasury Nts., 10 yr. 6/21/05 145 15,843,516 (88,941) ----------------- 1,117,068 ----------------- $ 649,506 =================
CREDIT SWAP CONTRACTS. The Fund may enter into a credit 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 15 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - -------------------------------------------------------------------------------- exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as a notional principal amount. 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. Credit swaps are subject to credit risks (if the counterparty fails to meet its obligations). The Fund pays an annual interest fee on the notional amount in exchange for the counterparty paying in a potential credit event. During the period ended March 31, 2005, the Fund entered into transactions to hedge credit risk. Information regarding the credit swaps is as follows:
EXPIRATION NOTIONAL UNREALIZED CONTRACT DESCRIPTION DATES AMOUNT DEPRECIATION - -------------------------------------------------------------------------------------- Deutsche Bank AG, Dow Jones 3/20/10 $ 19,500,000 $ 9,427 CDX.NA.IG.3 Index Credit Bonds UBS AG, Dow Jones CDX.NA.IG.3 Index Credit Bonds 3/20/10 10,500,000 1,595 ----------------- $ 11,022 =================
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 March 31, 2005, the Fund had entered into the following total return swap agreements:
PAID BY RECEIVED BY SWAP NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED COUNTERPARTY AMOUNT MARCH 31, 2005 MARCH 31, 2005 DATE DEPRECIATION - -------------------------------------------------------------------------------------------------------------- Goldman Sachs Value of total Capital Markets return of Lehman LP $ 7,850,000 One-Month LIBOR BBA Brothers CMBS Index 4/4/05 $ 93,848
Index Abbreviations are as follows: CMBS Commercial Mortgage Backed Securities Markets LIBOR BBA London-Interbank Offered Rate British Bankers Association ILLIQUID OR RESTRICTED SECURITIES. As of March 31, 2005, investments in securities included issues that are illiquid or restricted. Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and are valued under methods approved by the Board of Trustees as reflecting fair value. A security may also 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 will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid or restricted securities. Certain restricted securities, eligible for resale to qualified institutional investors, are not subject to that limitation. Information concerning restricted securities is as follows: 16 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2005/Unaudited - --------------------------------------------------------------------------------
ACQUISITION VALUATION AS OF UNREALIZED SECURITY DATE COST MARCH 31, 2005 DEPRECIATION - --------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 $ 100 $ -- $ 100
SECURITIES LENDING. The Fund lends portfolio securities from time to time in order to earn additional income. In return, the Fund receives collateral in the form of US Treasury obligations or cash, against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the funds and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The Fund retains a portion of the interest earned from the collateral. The Fund also continues to receive interest or dividends paid on the securities loaned. As of March 31, 2005, the Fund had on loan securities valued at $57,659,014 Collateral of $58,618,924 was received for the loans, of which $38,554,058 was received in cash and subsequently invested in approved instruments. 17 | OPPENHEIMER CORE BOND FUND ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of March 31, 2005, 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 quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) Exhibits attached hereto. (Attach certifications as exhibits) SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Core Bond Fund By: /s/ John V. Murphy ---------------------------- John V. Murphy Principal Executive Officer Date: May 13, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy ---------------------------- John V. Murphy Principal Executive Officer Date: May 13, 2005 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Chief Financial Officer Date: May 13, 2005 EX-99.CERT 2 rq285_15545ex99cert.txt RQ285_15545EX99CERT.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Core 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Principal Executive Officer Date: May 13, 2005 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, BRIAN W. WIXTED, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Core 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Chief Financial Officer Date: May 13, 2005 -----END PRIVACY-ENHANCED MESSAGE-----