-----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, A8OPPSgt4kUk9CnigOwcWMTqCUJA60o+s2o0ie63V8BdTydb7GoPtwbPuE5F8K7N tq5L9fbcObg6NiRxO9I7LA== 0000935069-05-003251.txt : 20051129 0000935069-05-003251.hdr.sgml : 20051129 20051129151323 ACCESSION NUMBER: 0000935069-05-003251 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050930 FILED AS OF DATE: 20051129 DATE AS OF CHANGE: 20051129 EFFECTIVENESS DATE: 20051129 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: 051231671 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_18586nq.txt RQ285_18586NQ 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 INTEGRITY FUNDS (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: SEPTEMBER 30, 2005 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--12.2% Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 3.856%, 4/20/08 1 $ 890,000 $ 890,648 - -------------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2005-A, Cl. A2, 3.66%, 12/26/07 3,540,000 3,531,983 - -------------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.: Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,850,000 2,799,997 Series 2005-1, Cl. A2B, 3.73%, 7/16/07 1,820,000 1,818,037 - -------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-D, Cl. AF1, 2.98%, 4/25/20 603,685 600,436 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 751,765 747,850 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 2,398,109 2,390,685 - -------------------------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 143,149 142,813 Series 2004-1, Cl. 1A2, 2.427%, 6/25/19 1,013,667 1,010,727 - -------------------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 365,021 365,325 Series 2005-A, Cl. A2, 3.72%, 12/15/07 3,190,000 3,177,214 - -------------------------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 2,061,753 2,053,570 - -------------------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.: Series 2001-A6, Cl. A6, 5.65%, 6/16/08 2,580,000 2,602,810 Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 426,033 - -------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Collateralized Mtg. Obligations, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 5,404,000 5,407,378 - -------------------------------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 1,140,000 1,193,114 - -------------------------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates: Series 2002-4, Cl. A1, 4.20%, 2/25/33 1 45,508 45,926 Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 2,639,721 2,630,248 - -------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.49%, 10/6/08 654,848 655,691 Series 2004-B, Cl. A2, 2.48%, 2/8/07 356,722 356,402 Series 2004-C, Cl. A2, 2.62%, 6/8/07 2,480,190 2,471,847 Series 2005-A, Cl. A2, 3.17%, 9/8/07 2,859,692 2,851,123 Series 2005-B, Cl. A2, 3.75%, 12/8/07 5,770,000 5,758,860 - -------------------------------------------------------------------------------------------------------------------------- Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 3,350,000 3,334,808 - -------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2004-A, Cl. A2, 2.13%, 10/15/06 448,154 447,545 Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,060,000 2,037,441 Series 2005-B, Cl. A2, 3.77%, 9/15/07 2,867,161 2,863,413 - -------------------------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 501,169 500,596 - -------------------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2005-1, Cl. A2, 3.21%, 5/21/07 1,291,339 1,287,775 Series 2005-3, Cl. A2, 3.73%, 10/18/07 2,960,000 2,946,596
1 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Home Equity Obligations: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 $ 4,372,377 $ 4,390,337 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 3,070,000 3,083,431 - -------------------------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 2 1,959,352 2,002,085 - -------------------------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 5.118%, 3/15/16 1 4,070,000 4,325,699 - -------------------------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 2 1,750,658 472,678 - -------------------------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A, Cl. A2, 2.55%, 1/15/07 1,000,158 998,068 - -------------------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2005-C, Cl. A2, 3.99%, 1/15/08 5,530,000 5,517,134 - -------------------------------------------------------------------------------------------------------------------------- Onyx Acceptance Owner Trust, Automobile Receivable Obligations: Series 2002-B, Cl. A4, 4.71%, 3/15/09 1,777,274 1,778,591 Series 2005-B, Cl. A2, 4.03%, 4/15/08 2,480,000 2,474,076 - -------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 780,000 769,428 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 570,000 561,953 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1,030,000 1,021,898 - -------------------------------------------------------------------------------------------------------------------------- Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 2,350,000 2,337,372 - -------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 4,514,479 4,523,337 - -------------------------------------------------------------------------------------------------------------------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,230,000 1,256,900 - -------------------------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2004-2, Cl. A2, 2.41%, 2/15/07 853,428 852,240 Series 2004-3, Cl. A2, 2.79%, 6/15/07 1,345,910 1,342,572 - -------------------------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities: Series 2004-A, Cl. A2, 2.47%, 1/22/07 1,670,894 1,666,249 Series 2005-A, Cl. A2, 3.52%, 4/20/07 2,580,000 2,571,381 - -------------------------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 865,360 863,102 - -------------------------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 2,039,955 2,023,486 - -------------------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2004-1, Cl. A2A, 2.59%, 5/15/07 1,598,140 1,591,076 ------------------- Total Asset-Backed Securities (Cost $105,254,141) 103,769,984 - -------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--68.4% - -------------------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--55.9% - -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--55.8% Fannie Mae Whole Loan, Collateralized Mtg. Obligations Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 2,441,856 2,561,659 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 13,821,024 13,548,041 6%, 7/1/24-10/1/34 26,658,330 27,154,195 6.50%, 4/1/18-4/1/34 4,354,202 4,494,349 7%, 2/1/29-2/1/35 16,278,725 17,030,181 8%, 4/1/16 1,050,323 1,123,467 9%, 3/1/17-5/1/25 298,777 324,099
2 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED 12.50%, 4/1/14 $ 1,984 $ 2,204 13.50%, 11/1/10 4,567 5,073 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 2790, Cl. DY, 5.50%, 5/15/25 3,050,000 3,062,650 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 56,589 56,557 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2075, Cl. D, 6.50%, 8/15/28 661,738 680,955 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,428,592 1,471,768 Series 2456, Cl. BD, 6%, 3/15/30 715,039 717,759 Series 2500, Cl. FD, 4.268%, 3/15/32 1 634,196 639,262 Series 2526, Cl. FE, 4.168%, 6/15/29 1 863,153 867,728 Series 2551, Cl. FD, 4.168%, 1/15/33 1 672,262 677,512 Series 2583, Cl. KA, 5.50%, 3/15/22 2,673,852 2,684,104 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 1.44%, 6/1/26 3 1,084,942 215,836 Series 183, Cl. IO, (0.87)%, 4/1/27 3 1,672,718 329,978 Series 184, Cl. IO, 4.66%, 12/1/26 3 1,814,529 336,950 Series 192, Cl. IO, 6.744%, 2/1/28 3 430,424 78,277 Series 200, Cl. IO, 5.472%, 1/1/29 3 513,065 97,113 Series 206, Cl. IO, (16.962)%, 12/1/29 3 662,955 137,638 Series 2130, Cl. SC, 0.236%, 3/15/29 3 1,165,493 93,352 Series 2134, Cl. SB, 6.42%, 3/15/29 3 1,298,467 103,414 Series 2796, Cl. SD, 6.10%, 7/15/26 3 1,867,048 152,947 Series 2920, Cl. S, 8.859%, 1/15/35 3 7,872,594 441,883 Series 3000, Cl. SE, 29.13%, 7/15/25 3 10,242,877 495,141 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 6.712%, 6/1/26 4 460,180 393,240 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/20 5 9,074,000 8,886,849 5%, 6/1/18-7/1/18 9,363,038 9,347,769 5%, 10/1/35-11/1/35 5 62,134,000 60,807,057 5.50%, 3/1/33-1/1/34 30,598,032 30,621,781 5.50%, 10/1/20-11/1/35 5 77,115,000 77,181,571 6%, 8/1/16-11/1/32 38,187,978 39,246,559 6%, 10/1/30 2 4,866,526 4,981,346 6%, 11/1/20-11/1/35 5 35,525,000 36,268,669 6.50%, 11/1/31-1/1/34 6,498,108 6,714,328 6.50%, 10/1/34-11/1/35 5 56,052,991 57,704,924 7%, 1/1/09-11/1/17 3,722,123 3,891,818 7.50%, 2/1/08-3/1/08 25,213 25,903 8%, 8/1/17 13,764 14,278 8.50%, 7/1/32 144,848 157,546 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, Commercial Mtg. Obligations, Trust 2002-T1, Cl. A2, 7%, 11/25/31 2,677,219 2,789,792 - --------------------------------------------------------------------------------------------------------------------------
3 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 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 $ 40,961 $ 41,890 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 512,501 528,976 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 3,737,220 3,861,046 Trust 2001-70, Cl. LR, 6%, 9/25/30 789,661 797,976 Trust 2001-72, Cl. NH, 6%, 4/25/30 530,439 533,373 Trust 2001-74, Cl. PD, 6%, 5/25/30 212,276 213,229 Trust 2002-77, Cl. WF, 4.189%, 12/18/32 1 1,054,599 1,061,527 Trust 2003-10, Cl. HP, 5%, 2/25/18 3,670,000 3,658,915 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,382,297 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 8,407,861 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,074,000 1,103,500 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,417,000 2,415,959 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,170,000 1,116,839 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-38, Cl. SO, 3.181%, 4/25/32 3 574,650 39,975 Trust 2002-47, Cl. NS, 1.931%, 4/25/32 3 2,247,045 214,573 Trust 2002-51, Cl. S, 2.125%, 8/25/32 3 2,063,273 203,479 Trust 2002-77, Cl. IS, 3.876%, 12/18/32 3 979,033 97,087 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 3.22%, 6/1/23 3 3,444,704 680,278 Trust 240, Cl. 2, 4.80%, 9/1/23 3 4,025,742 770,995 Trust 252, Cl. 2, 0.124%, 11/1/23 3 2,734,895 530,276 Trust 254, Cl. 2, 3.831%, 1/1/24 3 1,356,702 268,361 Trust 273, Cl. 2, 4.363%, 7/1/26 3 797,470 153,577 Trust 301, Cl. 2, (0.647)%, 4/1/29 3 2,158,172 404,982 Trust 303, Cl. IO, (11.818)%, 11/1/29 3 279,142 57,011 Trust 319, Cl. 2, 1.476%, 2/1/32 3 838,196 175,109 Trust 321, Cl. 2, (0.89)%, 3/1/32 3 4,846,069 1,022,102 Trust 322, Cl. 2, 6.997%, 4/1/32 3 8,605,994 1,707,916 Trust 324, Cl. 2, (4.41)%, 6/1/32 3 4,339,321 873,037 Trust 329, Cl. 2, 4.937%, 1/1/33 3 3,694,213 787,491 Trust 331, Cl. 9, (13.553)%, 2/1/33 3 2,429,928 486,760 Trust 333, Cl. 2, 5.59%, 3/1/33 3 4,813,366 1,040,263 Trust 334, Cl. 17, (5.385)%, 2/1/33 3 342,163 67,471 Trust 338, Cl. 2, 3.249%, 6/1/33 3 1,447,096 312,910 Trust 346, Cl. 2, 9.30%, 12/1/33 3 21,917,749 4,681,784 Trust 350, Cl. 2, 6.07%, 2/1/34 3 10,867,172 2,316,312 Trust 2001-65, Cl. S, 18.658%, 11/25/31 3 4,780,278 439,921 Trust 2001-81, Cl. S, 4.542%, 1/25/32 3 905,119 84,286 Trust 2002-52, Cl. SD, (0.566)%, 9/25/32 3 2,564,486 249,234 Trust 2002-75, Cl. SA, 18.902%, 11/25/32 3 4,366,922 402,513 Trust 2002-77, Cl. SH, 9.375%, 12/18/32 3 1,160,020 116,020 Trust 2003-4, Cl. S, 17.135%, 2/25/33 3 2,530,657 263,619
4 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2004-54, Cl. DS, 3.602%, 11/25/30 3 $ 396,704 $ 27,337 Trust 2005-6, Cl. SE, 11.131%, 2/25/35 3 5,481,687 326,457 Trust 2005-19, Cl. SA, 9.55%, 3/25/35 3 28,273,148 1,663,567 Trust 2005-40, Cl. SA, 11.533%, 5/25/35 3 5,291,647 313,256 Trust 2005-71, Cl. SA, 22.845%, 8/25/25 3 6,574,260 374,370 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 322, Cl. 1, 5.171%, 4/1/32 4 2,998,861 2,463,158 Trust 1993-184, Cl. M, 8.229%, 9/25/23 4 963,850 825,395 --------------- 473,181,792 - -------------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.1% Government National Mortgage Assn.: 3.75%, 7/20/25-7/20/27 1 37,998 38,585 7%, 7/15/09 26,743 27,706 8%, 7/15/06-10/15/06 8,737 8,880 8.50%, 8/15/17-12/15/17 380,516 413,049 9%, 2/15/09-6/15/09 18,148 19,175 10%, 11/15/09 21,591 23,075 10.50%, 12/15/17-5/15/21 33,214 37,529 11%, 10/20/19 71,622 78,706 12%, 5/15/14 354 408 - -------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 4.769%, 1/16/27 3 2,195,946 170,854 Series 2002-15, Cl. SM, 0.751%, 2/16/32 3 2,198,652 164,888 Series 2002-76, Cl. SY, 6.007%, 12/16/26 3 881,031 72,815 Series 2004-11, Cl. SM, 0.305%, 1/17/30 3 334,530 24,572 --------------- 1,080,242 - -------------------------------------------------------------------------------------------------------------------------- NON-AGENCY--12.5% - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL--9.9% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 7.692%, 11/13/29 1 800,000 831,784 - -------------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 4.451%, 4/14/29 3 40,708,270 1,269,553 - -------------------------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2004-6, Cl. A3, 4.512%, 12/10/42 2,160,000 2,112,708 Series 2005-2, Cl. A4, 4.783%, 7/10/43 3,980,000 3,947,187 Series 2005-3, Cl. A2, 4.501%, 7/10/43 3,330,000 3,276,778 - -------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,747,773 2,768,378 - -------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,319,688 2,363,909 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 625,100 625,096 Series 2005-E, Cl. 2A2, 4.989%, 6/25/35 1 843,431 841,902 - -------------------------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 1,210,000 1,209,783 - --------------------------------------------------------------------------------------------------------------------------
5 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 6.732%, 6/22/24 3 $ 8,729,265 $ 342,941 - -------------------------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations: Series 2004-J9, Cl. 1A1, 4.01%, 10/25/34 1 1,133,135 1,134,105 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 5,689,179 5,809,422 - -------------------------------------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.67%, 4/29/39 1,6 2,690,000 2,696,725 - -------------------------------------------------------------------------------------------------------------------------- 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 1,671,955 1,735,701 - -------------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,730,000 1,711,163 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,100,000 2,104,179 Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,000,000 982,600 - -------------------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,164,879 1,200,850 Series 2004-C3, Cl. A4, 4.547%, 12/10/41 1,410,000 1,381,413 - -------------------------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 1,850,000 1,814,664 - -------------------------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates: Series 2004-C1, Cl. A1, 3.659%, 10/10/28 1,605,604 1,564,566 Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 1,100,000 1,093,481 - -------------------------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2004-12, Cl. 3A1, 4.494%, 12/25/34 1 785,100 783,059 - -------------------------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 5,000,000 5,497,466 - -------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 800,000 790,514 - -------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/40 2,520,000 2,525,080 - -------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 9.671%, 2/18/30 3 11,633,721 322,871 - -------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 235,647 203,540 - -------------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 3,377,949 3,418,411 - -------------------------------------------------------------------------------------------------------------------------- Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 3,427,696 3,416,693 - -------------------------------------------------------------------------------------------------------------------------- Mastr Seasoned Securities Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. A1, 6.50%, 8/25/32 6,462,514 6,547,338 - -------------------------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 7 2,010,000 2,100,192 - -------------------------------------------------------------------------------------------------------------------------- Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 2,348,361 2,358,929 - -------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, (2.336)%, 5/18/32 3 229,657,033 692,600 - -------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,560,000 3,550,239
6 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Series 2005-C20, Cl. A5, 5.087%, 7/15/42 $ 2,520,000 $ 2,528,947 - -------------------------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2005-AR5, Cl. A1, 4.684%, 5/25/35 1 3,371,087 3,372,839 - -------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-DD, Cl. 2 A1, 4.53%, 1/25/35 1 1,653,626 1,650,585 Series 2004-N, Cl. A10, 3.803%, 8/25/34 810,468 811,183 Series 2004-W, Cl. A2, 4.594%, 11/25/34 1 350,546 349,733 --------------- 83,739,107 - -------------------------------------------------------------------------------------------------------------------------- OTHER--1.5% Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 4,800,000 4,799,796 - -------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 3,150,000 3,142,314 - -------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, (2.22)%, 10/23/17 3 19,666 4,098 - -------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 1.93%, 10/23/17 4 29,105 26,626 - -------------------------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2005-AR8, Cl. 2AB1, 4.08%, 7/25/45 1 4,467,011 4,467,011 --------------- 12,439,845 - -------------------------------------------------------------------------------------------------------------------------- RESIDENTIAL--1.1% Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 5 7,285,735 7,399,575 - -------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,723,622 2,406,871 --------------- 9,806,446 --------------- Total Mortgage-Backed Obligations (Cost $584,729,086) 580,247,432 - -------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--15.3% - -------------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 3.58%, 1/31/07 8 9,150,000 8,641,196 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 400,000 392,826 - -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 4.125%, 7/12/10 7 12,399,000 12,209,122 6.625%, 9/15/09 7 3,435,000 3,698,609 - -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 3.01%, 6/2/06 6,600,000 6,541,821 4%, 2/28/07 905,000 900,129 4.25%, 8/15/10 7 5,300,000 5,237,015 6.625%, 9/15/09 2,870,000 3,086,849 7.25%, 5/15/30 2,180,000 2,885,470 - -------------------------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 4.65%, 6/15/35 3,718,000 3,554,077 5.375%, 11/13/08 2,000,000 2,055,698 Series A, 6.79%, 5/23/12 14,531,000 16,332,394 - -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 3.38%, 2/15/11 7,8 4,621,000 3,699,032 5.375%, 2/15/31 7 2,404,000 2,693,985 5.50%, 8/15/28 7,9 13,654,000 15,345,826
7 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- 8.875%, 8/15/17 7 $ 6,664,000 $ 9,345,740 STRIPS, 3.86%, 2/15/13 7,8 1,520,000 1,108,644 - -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 3.625%, 6/15/10 7 1,958,000 1,909,052 3.75%, 3/31/07 7 7,020,000 6,977,227 3.875%, 7/31/07-9/15/10 7 5,461,000 5,390,877 4%, 8/31/07-2/15/15 7 8,966,000 8,845,440 4.25%, 8/15/15 2,560,000 2,544,801 4.375%, 8/15/12 7 125,000 125,776 4.875%, 2/15/12 7 4,450,000 4,601,407 5%, 2/15/11 7 1,240,000 1,286,065 5.75%, 8/15/10 7 715,000 762,788 --------------- Total U.S. Government Obligations (Cost $131,120,332) 130,171,866 - -------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.5% - -------------------------------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 7 (Cost $3,868,934) 3,695,000 4,155,028 - -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--30.0% - -------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--9.2% - -------------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.3% Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,660,000 2,647,461 - -------------------------------------------------------------------------------------------------------------------------- AUTOMOBILES--2.5% DaimlerChrysler NA Holdings Corp.: 7.20% Unsec. Nts., 9/1/09 2,685,000 2,866,898 8% Nts., 6/15/10 950,000 1,052,972 - -------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co.: 5.80% Sr. Unsec. Nts., 1/12/09 3,840,000 3,585,627 6.25% Unsec. Nts., 12/8/05 1,557,000 1,558,929 7.375% Nts., 10/28/09 620,000 599,402 - -------------------------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 6.125% Unsec. Unsub. Nts., 2/1/07 7 7,800,000 7,756,585 - -------------------------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 3,960,000 3,748,401 --------------- 21,168,814 - -------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.3% Harrah's Operating Co., Inc., 5.625% Bonds, 6/1/15 6 2,170,000 2,149,127 - -------------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 1,810,000 2,052,560 - -------------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 2,740,000 2,839,325 - -------------------------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 4,154,000 4,239,523 --------------- 11,280,535 - -------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.2% Beazer Homes USA, Inc., 6.875% Sr. Nts., 7/15/15 6 1,930,000 1,881,750 - -------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 6.125% Nts., 1/15/14 7 1,660,000 1,664,598 - -------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 7 1,915,000 1,852,385 - -------------------------------------------------------------------------------------------------------------------------- KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 7 2,665,000 2,538,341 - -------------------------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 7 1,970,000 2,006,073 --------------- 9,943,147 - -------------------------------------------------------------------------------------------------------------------------- MEDIA--2.4% AOL Time Warner, Inc., 7.70% Debs., 5/1/32 2,050,000 2,434,572 - -------------------------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 3,575,000 3,852,070 - -------------------------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 4,185,000 4,095,805 - --------------------------------------------------------------------------------------------------------------------------
8 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- MEDIA CONTINUED Liberty Media Corp., 5.70% Sr. Unsec. Nts., 5/15/13 7 $ 2,000,000 $ 1,830,034 - -------------------------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 3,400,000 4,186,604 - -------------------------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 1,037,000 1,302,294 - -------------------------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 433,000 424,540 3.50% Sr. Unsec. Nts., 10/15/07 7 2,255,000 2,189,488 --------------- 20,315,407 - -------------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--1.2% Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 2,655,000 2,781,543 - -------------------------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 3,635,000 3,948,519 - -------------------------------------------------------------------------------------------------------------------------- May Department Stores Co.: 3.95% Nts., 7/15/07 1,786,000 1,761,664 7.90% Unsec. Debs., 10/15/07 1,095,000 1,152,812 --------------- 9,644,538 - -------------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.3% Gap, Inc. (The): 6.90% Nts., 9/15/07 2,095,000 2,161,732 9.55% Unsub. Nts., 12/15/08 1 507,000 570,913 --------------- 2,732,645 - -------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--2.6% - -------------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--1.3% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,465,000 2,250,382 - -------------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 2,655,000 3,078,050 - -------------------------------------------------------------------------------------------------------------------------- Kroger Co. (The), 6.80% Sr. Unsec. Nts., 4/1/11 2,935,000 3,131,510 - -------------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 11% Disc. Nts., 5/31/09 2,10 476,601 -- - -------------------------------------------------------------------------------------------------------------------------- Safeway, Inc., 7.50% Sr. Unsec. Nts., 9/15/09 2,690,000 2,897,458 --------------- 11,357,400 - -------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--1.3% Archer Daniels Midland Co., 5.375% Nts., 9/15/35 2,145,000 2,085,897 - -------------------------------------------------------------------------------------------------------------------------- ConAgra Foods, Inc., 6% Nts., 9/15/06 1,615,000 1,635,611 - -------------------------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 3,025,000 2,973,611 - -------------------------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,835,000 3,875,582 --------------- 10,570,701 - -------------------------------------------------------------------------------------------------------------------------- ENERGY--1.5% - -------------------------------------------------------------------------------------------------------------------------- OIL & GAS--1.5% Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 2,125,000 2,278,106 - -------------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 5.75% Unsec. Unsub. Nts., Series 12, 12/15/15 6,7 3,360,000 3,330,600 - -------------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 6 5,810,000 5,783,146 - -------------------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 6 1,502,375 1,421,615 --------------- 12,813,467 - -------------------------------------------------------------------------------------------------------------------------- FINANCIALS--8.4% - -------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.7% Credit Suisse First Boston, Inc. (USA), 5.50% Nts., 8/15/13 3,320,000 3,426,310 - -------------------------------------------------------------------------------------------------------------------------- JPMorgan Capital XV, 5.875% Nts., 3/15/35 2,570,000 2,524,347 --------------- 5,950,657
9 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.1% Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 $ 41,000 $ 40,918 - -------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bond 11 3,340,000 3,290,768 - -------------------------------------------------------------------------------------------------------------------------- HSBC Finance Corp., 4.75% Sr. Unsec. Nts., 7/15/13 7 4,205,000 4,110,800 - -------------------------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 216,000 231,879 - -------------------------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,680,000 1,647,998 7.75% Unsec. Sub. Nts., 5/1/10 150,000 168,210 --------------- 9,490,573 - -------------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.1% MBNA America Bank NA, 7.125% Sub. Nts., 11/15/12 515,000 579,736 - -------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.5% CIT Group, Inc.: 4.75% Sr. Nts., 8/15/08 695,000 695,653 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,325,000 1,520,859 - -------------------------------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 1,600,000 1,809,930 - -------------------------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,500,000 1,466,013 - -------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), 5.70% Sr. Unsec. Nts., 9/1/12 3,825,000 3,972,867 - -------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 7 2,030,000 2,132,208 - -------------------------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 325,000 339,264 - -------------------------------------------------------------------------------------------------------------------------- MBNA Corp., 7.50% Sr. Nts., Series F, 3/15/12 2,630,000 2,994,045 - -------------------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 4,045,000 4,029,746 - -------------------------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 1,850,000 2,006,899 - -------------------------------------------------------------------------------------------------------------------------- Telecom Italia Capital, 5.25% Nts., 10/1/15 540,000 531,639 --------------- 21,499,123 - -------------------------------------------------------------------------------------------------------------------------- INSURANCE--2.1% Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 6 635,000 627,444 - -------------------------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc., 5.875% Sr. Unsec. Bonds, 8/1/33 2,330,000 2,117,199 - -------------------------------------------------------------------------------------------------------------------------- MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 7 2,040,000 2,035,145 - -------------------------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc.: 5.90% Nts., 7/1/12 1,430,000 1,497,708 6.25% Sr. Unsec. Nts., 11/15/11 580,000 622,232 - -------------------------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 6 3,310,000 4,242,119 - -------------------------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 3,185,000 4,129,384 - -------------------------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., 3.75% Sr. Unsec. Nts., 3/15/08 2,845,000 2,767,704 --------------- 18,038,935 - -------------------------------------------------------------------------------------------------------------------------- REAL ESTATE--1.7% EOP Operating LP: 6.763% Sr. Unsec. Nts., 6/15/07 7 560,000 577,127 8.10% Unsec. Nts., 8/1/10 2,690,000 3,021,674 - -------------------------------------------------------------------------------------------------------------------------- iStar Financial, Inc., 4.875% Sr. Unsec. Nts., Series B, 1/15/09 2,645,000 2,621,626 - -------------------------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,855,000 1,893,903 - -------------------------------------------------------------------------------------------------------------------------- Simon Property Group LP: 5.45% Unsec. Nts., 3/15/13 1,335,000 1,350,975 5.625% Unsec. Unsub. Nts., 8/15/14 1,395,000 1,430,978 - -------------------------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 3,160,000 3,187,615 --------------- 14,083,898 - -------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.2% Countrywide Financial Corp., 4.50% Nts., Series A, 6/15/10 1,970,000 1,930,925
10 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.0% - -------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.0% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 $ 3,200,000 $ 3,237,354 - -------------------------------------------------------------------------------------------------------------------------- CIGNA Corp.: 7% Sr. Unsec. Nts., 1/15/11 1,340,000 1,463,354 7.40% Unsec. Nts., 5/15/07 2,745,000 2,855,936 - -------------------------------------------------------------------------------------------------------------------------- HCA, Inc., 7.125% Sr. Unsec. Nts., 6/1/06 1,375,000 1,399,606 --------------- 8,956,250 - -------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--2.0% - -------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.3% Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 2,330,000 2,577,868 - -------------------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.5% FedEx Corp., 2.65% Unsec. Nts., 4/1/07 4,220,000 4,102,570 - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.6% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 1,885,000 1,974,538 - -------------------------------------------------------------------------------------------------------------------------- Waste Management, Inc., 6.875% Sr. Unsec. Nts., 5/15/09 7 3,165,000 3,370,174 --------------- 5,344,712 - -------------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.3% Tyco International Group SA, 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 2,590,000 2,607,527 - -------------------------------------------------------------------------------------------------------------------------- MARINE--0.0% Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 6,10 108,000 115,695 - -------------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.3% Canadian National Railway Co., 4.25% Nts., 8/1/09 7 434,000 427,677 - -------------------------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 1,795,000 1,868,958 --------------- 2,296,635 - -------------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.0% - -------------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 10 200,000 113,000 - -------------------------------------------------------------------------------------------------------------------------- MATERIALS--0.0% - -------------------------------------------------------------------------------------------------------------------------- CHEMICALS--0.0% Morton International, Inc., 9.65% Credit Sensitive Nts., 6/1/20 85,000 121,193 - -------------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.0% - -------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.6% British Telecommunications plc, 8.875% Bonds, 12/15/30 1,810,000 2,462,487 - -------------------------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2,525,000 2,865,491 - -------------------------------------------------------------------------------------------------------------------------- France Telecom SA: 7.75% Sr. Unsec. Nts., 3/1/11 1 1,955,000 2,222,327 8.50% Sr. Unsec. Nts., 3/1/31 1 675,000 907,373 - -------------------------------------------------------------------------------------------------------------------------- Sprint Capital Corp., 8.75% Nts., 3/15/32 2,305,000 3,100,283 - -------------------------------------------------------------------------------------------------------------------------- Verizon Global Funding Corp., 5.85% Nts., 9/15/35 2,090,000 2,062,581 --------------- 13,620,542 - -------------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 2,555,000 3,000,091 - -------------------------------------------------------------------------------------------------------------------------- Loral Skynet Corp., 14% Sr. Sec. Nts., 7/29/15 2,12 34,000 40,460 --------------- 3,040,551
11 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------------------------- UTILITIES--3.3% - -------------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--2.8% CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 $ 2,125,000 $ 2,309,531 - -------------------------------------------------------------------------------------------------------------------------- Constellation Energy Group, Inc., 7% Unsec. Nts., 4/1/12 2,400,000 2,641,853 - -------------------------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 2,740,000 3,091,712 - -------------------------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 1,035,000 1,047,748 - -------------------------------------------------------------------------------------------------------------------------- FirstEnergy Corp.: 5.50% Sr. Unsub. Nts., Series A, 11/15/06 1,260,000 1,270,992 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,605,000 1,888,379 - -------------------------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1 1,435,000 1,528,275 - -------------------------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 3,465,000 3,620,575 - -------------------------------------------------------------------------------------------------------------------------- Portland General Electric Co., 8.125% First Mortgage Nts., 2/1/10 6 1,505,000 1,680,983 - -------------------------------------------------------------------------------------------------------------------------- PSE&G Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1,810,000 1,859,775 - -------------------------------------------------------------------------------------------------------------------------- PSE&G Power LLC, 6.875% Sr. Unsec. Nts., 4/15/06 645,000 652,788 - -------------------------------------------------------------------------------------------------------------------------- TXU Corp., 6.55% Sr. Unsec. Nts., Series R, 11/15/34 7 2,395,000 2,234,779 --------------- 23,827,390 - -------------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.5% NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 2,525,000 2,841,852 - -------------------------------------------------------------------------------------------------------------------------- Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 1,260,000 1,400,585 --------------- 4,242,437 --------------- Total Corporate Bonds and Notes (Cost $256,508,304) 255,014,332 Shares - -------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.0% Chesapeake Energy Corp. 181 6,923 - -------------------------------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 2,13,14 25 -- --------------- Total Common Stocks (Cost $109) 6,923 Units - -------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Concentric Network Corp. Wts., Exp. 12/15/07 2,13 50 -- - -------------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/1/05 2,13 300 3 - -------------------------------------------------------------------------------------------------------------------------- HF Holdings, Inc. Wts., Exp. 9/27/09 2,13 1,063 -- - -------------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 6,13 150 -- - -------------------------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 2,13 200 -- - -------------------------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 13 2,028 811 --------------- Total Rights, Warrants and Certificates (Cost $25,015) 814 - -------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $1,081,505,921) 1,073,366,379
12 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - --------------------------------------------------------------------------------
Principal Amount VALUE - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--6.4% - -------------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED FLOATING NOTE--0.6% Trust Money Market Securities, Series A-2, 3.84%, 10/17/05 15 $ 2,000,000 2,000,000 - -------------------------------------------------------------------------------------------------------------------------------- Whitehawk CDO Funding Corp., 3.94%, 12/15/05 15 3,000,000 3,000,000 --------------- 5,000,000 - -------------------------------------------------------------------------------------------------------------------------------- FUNDING AGREEMENT/GIC--0.2% Protective Life Insurance Co., 3.80%, 10/31/05 15 2,000,000 2,000,000 - -------------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--4.9% Undivided interest of 0.64% in joint repurchase agreement (Principal Amount/Value $3,300,000,000, with a maturity value of $3,301,064,250) with Nomura Securities, 3.87%, dated 9/30/05, to be repurchased at $21,150,126 on 10/3/05, collateralized by U.S. Agency Mortgages, 5%--5.50%, 9/1/20--8/1/35, with a value of $3,366,000,000 15 21,143,307 21,143,307 - -------------------------------------------------------------------------------------------------------------------------------- Undivided interest of 4.35% in joint repurchase agreement (Principal Amount/Value $460,000,000, with a maturity value of $460,149,500) with BNP Paribas Securities Corp., 3.90%, dated 9/30/05, to be repurchased at $20,006,500 on 10/3/05, collateralized by U.S. Agency Mortgages, 3.33%--7.50%, 9/1/08--9/1/44, with a value of $469,200,000 15 20,000,000 20,000,000 --------------- 41,143,307 - -------------------------------------------------------------------------------------------------------------------------------- MASTER FLOATING NOTE--0.5% Bear Stearns, 4.06%, 10/3/05 15 4,000,000 4,000,000 - -------------------------------------------------------------------------------------------------------------------------------- MEDIUM TERM FLOATING NOTE--0.2% American Express Credit Corp., 3.80%, 10/17/05 15 1,900,650 1,900,650 --------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $54,043,957) 54,043,957 - -------------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $1,135,549,878) 132.8% 1,127,410,336 - -------------------------------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (32.8) (278,609,013) ------------------------------------- Net Assets 100.0% $ 848,801,323 =====================================
13 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - -------------------------------------------------------------------------------- Footnotes to Statement of Investments 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2005 was $8,893,226, which represents 1.05% of the Fund's net assets, none of which is considered restricted. See accompanying Notes to Quarterly Statement of Investments. 3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $26,700,050 or 3.15% of the Fund's net assets as of September 30, 2005. 4. 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 $3,708,419 or 0.44% of the Fund's net assets as of September 30, 2005. 5. When-issued security or forward commitment to be delivered and settled after September 30, 2005. See accompanying Notes to Quarterly Statement of Investments. 6. 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 $23,929,204 or 2.82% of the Fund's net assets as of September 30, 2005. 7. Partial or fully-loaned security. See accompanying Notes to Quarterly Statement of Investments. 8. Zero coupon bond reflects effective yield on the date of purchase. 9. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts. The aggregate market value of such securities is $4,383,237. See accompanying Notes to Quarterly Statement of Investments. 10. Issue is in default. Non-income producing. See accompanying Notes to Quarterly Statement of Investments. 11. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. 12. Interest or dividend is paid-in-kind. 13. Non-income producing security. 14. Received as the result of issuer reorganization. 15. 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 September 30, 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 $ 1,137,923,086 =============== Gross unrealized appreciation $ 3,169,082 Gross unrealized (depreciation) (13,681,832) --------------- Net unrealized depreciation $ (10,512,750) =============== 14 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 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 may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing "bid" and "asked" prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, in the country that is identified by the portfolio pricing service, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. 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. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. 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 September 30, 2005, the Fund had purchased $326,725,794 of securities issued on a 15 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - -------------------------------------------------------------------------------- when-issued basis or forward commitment and sold $95,407,780 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 September 30, 2005, securities with an aggregate market value of $228,695, representing 0.03% of the Fund's net assets, were in default. 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. 16 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - -------------------------------------------------------------------------------- The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported 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 September 30, 2005, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS SEPTEMBER 30, 2005 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------ CONTRACTS TO PURCHASE U.S. Long Bonds 12/20/05 501 $ 57,317,531 $ (1,254,096) ---------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/30/05 706 145,358,781 923,791 U.S. Treasury Nts., 5 yr. 12/20/05 647 69,138,016 392,939 U.S. Treasury Nts., 10 yr. 12/20/05 288 31,657,500 357,138 ---------------- 1,673,868 ---------------- $ 419,772 ================
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). 17 Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2005/Unaudited - -------------------------------------------------------------------------------- As of September 30, 2005, the Fund had entered into the following total return swap agreements.
PAID BY RECEIVED BY SWAP NOTIONAL THE FUND AT RATE AS OF THE FUND AT RATE AS OF TERMINATION UNREALIZED COUNTERPARTY AMOUNT SEPT. 30, 2005 SEPT. 30, 2005 SEPT. 30, 2005 SEPT. 30, 2005 DATE DEPRECIATION - ------------------------------------------------------------------------------------------------------------------------------------ UBS AG $ 12,270,000 One -Month LIBOR 5.04893% Change of Total (1.36)%* 12/1/05 $ 166,423 minus 0.25% Return of Lehman (+ or -) Brothers CMBS Rate Received Index
*Represents an additional amount paid by the Fund at September 30, 2005. Index abbreviations are as follows: CMBS Commercial Mortgage Backed Securities LIBOR London-Interbank Offered Rate ILLIQUID OR RESTRICTED SECURITIES As of September 30, 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 15% 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. Securities that are illiquid or restricted are marked with the applicable footnote on the Statement of Investments. Information concerning restricted securities is as follows:
ACQUISITION VALUATION AS OF UNREALIZED SECURITY DATE COST SEPTEMBER 30, 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 continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower. As of September 30, 2005, the Fund had on loan securities valued at $98,491,284. Collateral of $100,762,493 was received for the loans, of which $54,043,957 was received in cash and subsequently invested in approved instruments. 18 Oppenheimer Core Bond Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of September 30, 2005, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the 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 the 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. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Integrity Funds By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: November 16, 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: November 16, 2005 By: /s/ Brian W. Wixted ------------------- Brian W. Wixted Principal Financial Officer Date: November 16, 2005 EX-99.CERT 2 rq285_18586ex302.txt RQ285_18586EX302 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 Integrity Funds; 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 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 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: November 16, 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 Integrity Funds; 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 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 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 Principal Financial Officer Date: November 16, 2005 -----END PRIVACY-ENHANCED MESSAGE-----