N-Q 1 rq285_39482nq.txt RQ285_39482NQ.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3420 -------- OPPENHEIMER 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: MARCH 31, 2007 -------------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--6.8% ------------------------------------------------------------------------------------------------------------------------------------ Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.50%, 11/25/35 1 $ 2,030,000 $ 2,031,787 ------------------------------------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.38%, 4/20/08 1 960,000 960,434 ------------------------------------------------------------------------------------------------------------------------------------ Ameriquest Mortgage Securities, Inc., Home Equity Mtg. Obligations, Series 2006-R2, Cl. A2A, 5.38%, 3/25/36 1 38,994 39,020 ------------------------------------------------------------------------------------------------------------------------------------ Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.80%, 5/25/34 1 5,920,186 5,942,996 ------------------------------------------------------------------------------------------------------------------------------------ Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.42%, 5/26/36 1 3,380,000 3,378,882 ------------------------------------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 3,070,000 3,047,949 ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2005-A, Asset-Backed Certificates, Series 2005-A, Cl. AF3, 4.14%, 3/25/28 2,360,750 2,351,808 ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates: Series 2005-D, Cl. AF1, 5.04%, 10/25/35 308,140 307,150 Series 2005-D, Cl. AV2, 5.59%, 10/25/35 1 3,552,636 3,555,451 ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.42%, 5/16/36 1 4,220,000 4,220,973 ------------------------------------------------------------------------------------------------------------------------------------ Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 5.60%, 2/25/33 1 2,190,314 2,191,678 ------------------------------------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 449,711 ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust 2005-WF2, Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 1,858,824 1,846,460 ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 5.42%, 10/31/36 1,2 2,300,000 2,298,563 ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 6.06%, 2/25/33 1 48,808 48,853 ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-10, Asset-Backed Certificates, Series 2005-10, Cl. AF1, 5.48%, 2/25/36 1 186,011 186,140 ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 4,980,000 4,965,182 ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 5.52%, 5/25/36 1 1,148,783 1,149,565 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 970,000 966,960 ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 5.44%, 12/25/29 1 3,020,000 3,019,312 ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.53%, 11/25/35 1 5,840,000 5,845,234 ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.41%, 7/25/36 1 3,550,000 3,550,022 ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.37%, 5/15/36 1 1,385,368 1,386,292 ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36 1 1,820,000 1,820,423
1 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 $ 1,420,585 $ 1,414,360 ------------------------------------------------------------------------------------------------------------------------------------ Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates: Series 2005-3, Cl. A1, 5.58%, 1/20/35 1 1,705,277 1,705,598 Series 2006-4, Cl. A2V, 5.43%, 3/20/36 1,2 1,120,000 1,119,774 ------------------------------------------------------------------------------------------------------------------------------------ Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,898,878 1,887,706 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 1,697,053 1,690,824 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,519,427 1,513,875 ------------------------------------------------------------------------------------------------------------------------------------ Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 2 1,454,066 1,462,237 ------------------------------------------------------------------------------------------------------------------------------------ MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.67%, 3/15/16 1 4,380,000 4,617,109 ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series 2005-WMC6, Cl. A2B, 5.58%, 7/25/35 1 2,050,000 2,053,015 ------------------------------------------------------------------------------------------------------------------------------------ NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 0.64%, 1/25/29 2 1,750,658 367,638 ------------------------------------------------------------------------------------------------------------------------------------ Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.42%, 7/1/36 1 5,940,000 5,940,371 ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 1,064,536 1,058,166 ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,520,000 1,526,159 ------------------------------------------------------------------------------------------------------------------------------------ RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 1,314,832 1,307,010 ------------------------------------------------------------------------------------------------------------------------------------ RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.40%, 7/25/36 1 1,596,055 1,597,048 ------------------------------------------------------------------------------------------------------------------------------------ Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 5.57%, 6/25/36 1 9,910,000 9,930,782 ------------------------------------------------------------------------------------------------------------------------------------ Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.38%, 4/25/36 1 3,478,770 3,480,106 ------------------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Mtg. Pass-Through Certificates: Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,484,434 2,208,660 Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 47,654 47,518 Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,977,133 1,973,804 ------------------------------------------------------------------------------------------------------------------------------------ Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,160,000 1,184,488 ------------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.42%, 7/25/36 1 3,530,000 3,529,280 --------------- Total Asset-Backed Securities (Cost $108,392,406) 107,176,373 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--71.3% ------------------------------------------------------------------------------------------------------------------------------------ GOVERNMENT AGENCY--62.0% ------------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED--61.8% Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,758,097 1,819,044 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 25,493,554 24,742,430 5%, 6/1/33-8/1/33 12,703,158 12,313,411
2 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED 6%, 5/1/18-10/1/29 $ 6,434,879 $ 6,541,264 6.50%, 4/1/18-4/1/34 8,928,172 9,173,592 7%, 7/1/21-3/1/35 15,447,478 16,041,348 8%, 4/1/16 626,608 660,951 9%, 3/1/17-5/1/25 186,039 199,096 12.50%, 4/1/14 986 1,104 13.50%, 11/1/10 2,014 2,223 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2046, Cl. G, 6.50%, 4/15/28 355,538 365,409 Series 2410, Cl. PF, 6.30%, 2/15/32 1 5,606,319 5,743,256 Series 2423, Cl. MC, 7%, 3/15/32 4,039,499 4,186,560 Series 2453, Cl. BD, 6%, 5/15/17 1,525,462 1,555,125 Series 3138, Cl. PA, 5.50%, 2/15/27 23,516,255 23,607,223 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1590, Cl. IA, 6.425%, 10/15/23 1 5,543,357 5,712,510 Series 2006-11, Cl. PS, 5.06%, 3/25/36 1 2,495,286 2,502,478 Series 2034, Cl. Z, 6.50%, 2/15/28 46,315 47,557 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,970,770 4,092,055 Series 2053, Cl. Z, 6.50%, 4/15/28 50,260 51,531 Series 2055, Cl. ZM, 6.50%, 5/15/28 59,367 60,535 Series 2063, Cl. PG, 6.50%, 6/15/28 3,333,132 3,408,422 Series 2075, Cl. D, 6.50%, 8/15/28 626,077 641,766 Series 2080, Cl. Z, 6.50%, 8/15/28 1,718,308 1,761,386 Series 2145, Cl. MZ, 6.50%, 4/15/29 1,163,322 1,195,052 Series 2195, Cl. LH, 6.50%, 10/15/29 2,740,726 2,812,586 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,004,462 1,030,968 Series 2387, Cl. PD, 6%, 4/15/30 14,589 14,599 Series 2399, Cl. PG, 6%, 1/15/17 1,627,672 1,662,728 Series 2427, Cl. ZM, 6.50%, 3/15/32 5,244,355 5,397,458 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,526,676 4,751,059 Series 2500, Cl. FD, 5.82%, 3/15/32 1 414,767 418,967 Series 2526, Cl. FE, 5.72%, 6/15/29 1 626,179 632,050 Series 2551, Cl. FD, 5.72%, 1/15/33 1 487,801 492,517 Series 2583, Cl. KA, 5.50%, 3/15/22 302,487 302,060 Series 3025, Cl. SJ, 5.243%, 8/15/35 1 1,229,049 1,250,920 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Pass-Through Participation Certificates, Series 151, Cl. F,9%,5/15/21 36,115 36,024 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 12.684%, 6/1/26 3 786,221 172,635 Series 183, Cl. IO, 9.592%, 4/1/27 3 1,190,719 272,934 Series 184, Cl. IO, 15.409%, 12/1/26 3 1,301,826 289,566 Series 192, Cl. IO, 13.896%, 2/1/28 3 322,355 76,588 Series 200, Cl. IO, 12.242%, 1/1/29 3 380,353 84,860 Series 2003-118, Cl. S, 8.776%, 12/25/33 3 7,497,084 894,129 Series 2003-26, Cl. IO, 7.763%, 4/25/33 3 3,863,809 904,352 Series 2005-87, Cl. SG, 9.456%, 10/25/35 3 16,597,841 989,967 Series 206, Cl. IO, (8.465)%, 12/1/29 3 416,421 99,022
3 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Series 2130, Cl. SC, (2.476)%, 3/15/29 3 $ 855,333 $ 67,089 Series 2134, Cl. SB, 1.039%, 3/15/29 3 898,993 67,300 Series 216, Cl. IO, 12.223%, 12/1/31 3 1,500,608 323,529 Series 224, Cl. IO, 7.682%, 3/1/33 3 4,337,386 972,975 Series 2422, Cl. SJ, 15.667%, 1/15/32 3 4,021,621 354,092 Series 243, Cl. 6, 26.368%, 12/15/32 3 2,714,297 615,663 Series 2796, Cl. SD, 0.708%, 7/15/26 3 1,364,061 115,841 Series 2802, Cl. AS, 1.619%, 4/15/33 3 4,694,052 277,816 Series 2920, Cl. S, (4.15)%, 1/15/35 3 5,552,542 262,967 Series 3000, Cl. SE, (3.94)%, 7/15/25 3 8,158,195 316,775 Series 3110, Cl. SL, 4.408%, 2/15/26 3 2,418,599 85,678 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.595%, 6/1/26 4 336,020 274,434 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 4.50%, 5/1/18-8/1/20 77,173,517 74,873,197 5%, 12/1/17-11/1/33 134,149,758 131,158,306 5%, 12/1/17-4/1/37 5 83,010,619 81,918,977 5.50%, 3/1/33-1/1/34 39,678,295 39,365,591 5.50%, 4/1/22-4/1/37 5 111,221,000 110,287,345 6%, 8/1/29-11/1/33 55,713,045 56,362,541 6%, 4/1/22-4/1/37 5 63,444,000 64,361,603 6.50%, 6/1/17-11/1/31 34,767,886 35,759,734 6.50%, 4/1/37 5 23,867,000 24,351,787 7%, 1/1/09-4/1/34 17,471,988 18,143,065 7%, 4/1/36 5 634,000 654,010 7.50%, 2/1/08-8/1/33 13,704,663 14,378,489 8%, 8/1/17 3,487 3,523 8.50%, 7/1/32 72,581 78,254 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,961,730 2,024,288 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 26,086 26,399 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 1,197,186 1,218,950 Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 4,539,220 4,657,232 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 481,144 495,118 Trust 1996-35, Cl. Z, 7%, 7/25/26 175,677 181,430 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,500,016 1,548,576 Trust 1998-61, Cl. PL, 6%, 11/25/28 2,400,980 2,444,784 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 3,330,000 3,437,734 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 12,207,716 12,899,733 Trust 2001-50, Cl. NE, 6%, 8/25/30 9,282 9,298 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,978,085 3,050,976 Trust 2001-70, Cl. LR, 6%, 9/25/30 345,133 345,167 Trust 2001-72, Cl. NH, 6%, 4/25/30 38,512 38,422 Trust 2001-74, Cl. PD, 6%, 5/25/30 30,459 30,374 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,086,343 2,160,842 Trust 2002-56, Cl. FN, 6.32%, 7/25/32 1 2,213,003 2,272,457 Trust 2002-9, Cl. PC, 6%, 3/25/17 9,283,733 9,458,393 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,199,485
4 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Trust 2003-21, Cl. FK, 5.72%, 3/25/33 1 $ 41,044 $ 41,446 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 8,172,978 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,476,324 Trust 2003-84, Cl. PW, 3%, 6/25/22 3,638,437 3,587,272 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,603,000 2,561,509 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,371,918 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 11,700,000 11,445,765 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 9,759,140 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,443,824 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,176,079 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 9,220,000 9,244,305 Trust 2006-46, Cl. SW, 4.693%, 6/25/36 1 2,711,926 2,668,706 Trust 2006-50, Cl. KS, 4.693%, 6/25/36 1 4,028,624 3,932,353 Trust 2006-50, Cl. SA, 4.693%, 6/25/36 1 3,036,448 2,963,496 Trust 2006-50, Cl. SK, 4.693%, 6/25/36 1 2,902,358 2,824,906 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 10,811,468 10,835,095 Trust 2006-64, Cl. MD, 5.50%, 7/25/36 2,091,828 2,056,864 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 4.923%, 3/17/31 3 1,614,066 181,252 Trust 2001-65, Cl. S, 8.592%, 11/25/31 3 3,786,955 379,964 Trust 2001-81, Cl. S, 0.071%, 1/25/32 3 667,582 65,044 Trust 2002-38, Cl. IO, (5.002)%, 4/25/32 3 446,749 25,905 Trust 2002-41, Cl. S, 10.937%, 7/25/32 3 4,403,388 421,822 Trust 2002-47, Cl. NS, (0.953)%, 4/25/32 3 1,634,879 154,169 Trust 2002-51, Cl. S, (0.82)%, 8/25/32 3 1,501,180 141,530 Trust 2002-52, Cl. SD, (3.384)%, 9/25/32 3 1,737,700 146,068 Trust 2002-60, Cl. SY, 14.059%, 4/25/32 3 994,299 35,249 Trust 2002-75, Cl. SA, 9.621%, 11/25/32 3 3,274,950 343,571 Trust 2002-77, Cl. IS, (0.123)%, 12/18/32 3 761,128 69,481 Trust 2002-77, Cl. SH, 0.61%, 12/18/32 3 857,384 84,377 Trust 2002-84, Cl. SA, 8.229%, 12/25/32 3 226,158 23,371 Trust 2002-89, Cl. S, 10.958%, 1/25/33 3 6,818,827 641,892 Trust 2002-9, Cl. MS, (0.318)%, 3/25/32 3 53,949 5,280 Trust 2003-33, Cl. SP, 9.60%, 5/25/33 3 5,171,888 654,067 Trust 2003-4, Cl. S, 7.133%, 2/25/33 3 1,994,792 232,501 Trust 2004-54, Cl. DS, (7.026)%, 11/25/30 3 340,121 20,624 Trust 2005-105, Cl. S, 8.513%, 12/25/35 3 10,324,247 611,905 Trust 2005-19, Cl. SA, (4.006)%, 3/25/35 3 19,028,881 987,496 Trust 2005-40, Cl. SA, (4.20)%, 5/25/35 3 3,503,274 171,879 Trust 2005-6, Cl. SE, (3.368)%, 2/25/35 3 3,939,994 201,981 Trust 2005-71, Cl. SA, 3.228%, 8/25/25 3 5,166,091 301,926 Trust 2005-83, Cl. SL, 7.325%, 10/25/35 3 13,446,224 773,085 Trust 2006-119, Cl. MS, 8.214%, 12/25/36 3 9,041,015 540,695 Trust 2006-33, Cl. SP, 12.46%, 5/25/36 3 14,731,070 1,268,827 Trust 2006-34, Cl. SK, 12.011%, 5/25/36 3 20,649,787 1,762,581 Trust 222, Cl. 2, 12.228%, 6/1/23 3 2,605,899 579,716
5 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Trust 240, Cl. 2, 14.845%, 9/1/23 3 $ 3,159,295 $ 733,440 Trust 247, Cl. 2, 14.312%, 10/1/23 3 225,178 58,623 Trust 252, Cl. 2, 10.222%, 11/1/23 3 2,301,347 547,741 Trust 254, Cl. 2, 4.934%, 1/1/24 3 3,943,819 939,858 Trust 2682, Cl. TQ, 12.706%, 10/15/33 3 6,103,075 357,308 Trust 273, Cl. 2, 11.392%, 8/1/26 3 581,230 128,036 Trust 2981, Cl. BS, 12.391%, 5/15/35 3 11,525,449 592,791 Trust 301, Cl. 2, 4.10%, 4/1/29 3 1,489,841 338,424 Trust 303, Cl. IO, (4.636)%, 11/1/29 3 185,919 45,533 Trust 319, Cl. 2, 10.075%, 2/1/32 3 618,551 145,649 Trust 321, Cl. 2, 7.719%, 4/1/32 3 3,778,648 890,373 Trust 322, Cl. 2, 14.527%, 4/1/32 3 4,747,207 1,074,577 Trust 324, Cl. 2, 4.668%, 7/1/32 3 2,998,426 701,830 Trust 329, Cl. 2, 8.782%, 1/1/33 3 3,149,488 722,894 Trust 331, Cl. 9, 4.039%, 2/1/33 3 6,960,931 1,599,682 Trust 334, Cl. 17, 23.809%, 2/1/33 3 304,202 74,591 Trust 342, Cl. 2, 9.091%, 9/1/33 3 4,043,556 931,231 Trust 344, Cl. 2, 5.631%, 12/1/33 3 22,933,487 5,263,268 Trust 346, Cl. 2, 11.829%, 12/1/33 3 9,737,878 2,223,897 Trust 350, Cl. 2, 10.052%, 3/1/34 3 19,699,642 4,501,564 Trust 362, Cl. 12, 5.572%, 8/1/35 3 10,324,438 2,300,298 Trust 362, Cl. 13, 5.607%, 8/1/35 3 5,735,179 1,261,658 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 6.034%, 9/25/23 4 772,796 627,008 --------------- 971,390,068 ------------------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 5.75%, 7/20/25-7/20/27 1 26,985 27,290 7%, 7/15/09 8,342 8,464 8.50%, 8/15/17-12/15/17 265,169 282,139 9%, 2/15/09-6/15/09 9,448 9,743 10.50%, 12/15/17-5/15/21 18,182 20,389 11%, 10/20/19 48,487 53,617 12%, 5/15/14 308 351 ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (3.718)%, 1/16/27 3 1,662,813 118,335 Series 2002-15, Cl. SM, (6.79)%, 2/16/32 3 1,659,006 118,637 Series 2002-41, Cl. GS, 3.728%, 6/16/32 3 1,323,679 167,649 Series 2002-76, Cl. SY, (3.659)%, 12/16/26 3 822,653 69,028 Series 2004-11, Cl. SM, (6.607)%, 1/17/30 3 286,659 20,942 Series 2006-47, Cl. SA, 14.663%, 8/16/36 3 20,234,562 1,238,600 --------------- 2,135,184
6 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ NON-AGENCY--9.3% ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL--8.3% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 1.788%, 4/14/29 3 $ 14,868,307 $ 682,724 ------------------------------------------------------------------------------------------------------------------------------------ Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 6.707%, 11/13/29 1 800,000 808,576 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2005-3, Cl. A2, 4.501%, 7/10/43 3,580,000 3,516,801 Series 2006-5, Cl. A2, 5.348%, 10/10/11 6,320,000 6,363,722 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,948,151 1,983,659 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,737,331 1,755,790 Series 2005-E, Cl. 2A2, 4.972%, 6/25/35 1 109,806 109,718 ------------------------------------------------------------------------------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 185,180 180,061 ------------------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 6.661%, 6/22/24 3 7,583,837 298,984 ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,150,000 1,146,835 ------------------------------------------------------------------------------------------------------------------------------------ Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 7,620,000 7,658,100 ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 4,471,484 4,459,538 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 1,490,815 1,492,114 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 8,008,955 8,024,349 ------------------------------------------------------------------------------------------------------------------------------------ DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-CF2, Class A1B, 6.24%, 11/12/31 4,502,353 4,552,278 ------------------------------------------------------------------------------------------------------------------------------------ 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 3,866,212 3,899,670 ------------------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 211,355 Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,824,090 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,250,000 2,234,348 ------------------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 343,859 343,862 ------------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 2,000,000 1,962,678 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 6,378,000 6,383,999 Series 2007-GG9, Cl. A2, 5.381%, 7/10/12 2 5,600,000 5,645,963 ------------------------------------------------------------------------------------------------------------------------------------ JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 4,627,638 4,875,394 ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 860,000 846,826 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 3,566,000 3,530,194 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 6,640,000 6,653,479
7 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL CONTINUED LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 $ 2,700,000 $ 2,687,431 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 6,200,000 6,247,711 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 8.858%, 2/18/30 3 9,453,035 174,083 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 198,748 154,030 ------------------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,458,094 2,457,702 Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 1,483,661 1,471,277 ------------------------------------------------------------------------------------------------------------------------------------ Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 8,561,277 8,639,600 ------------------------------------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 193,773 ------------------------------------------------------------------------------------------------------------------------------------ RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,600,034 1,600,424 ------------------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 5,877,091 5,865,089 ------------------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 5,601,417 5,588,576 ------------------------------------------------------------------------------------------------------------------------------------ Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,973,830 6,955,919 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, (4.763)%, 5/18/32 3 190,142,138 466,704 ------------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,830,000 3,795,742 ------------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,146,000 2,154,827 --------------- 129,897,995 ------------------------------------------------------------------------------------------------------------------------------------ MULTIFAMILY--0.1% WAMU Mortgage Pass-Through Certificates Series 2005-AR8 Trust, Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 1,000,284 1,000,877 ------------------------------------------------------------------------------------------------------------------------------------ OTHER--0.1% JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.716%, 2/25/32 1 2,562,231 2,594,709 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 20.173%, 10/23/17 3 11,478 2,006 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 1.50%, 10/23/17 4 16,987 15,523 --------------- 2,612,238 ------------------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL--0.8% Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 8,046,047 8,156,680 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 4,140,800 4,228,041 ------------------------------------------------------------------------------------------------------------------------------------ WAMU Mortgage Pass-Through Certificates Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 1 837,097 836,418 --------------- 13,221,139 --------------- Total Mortgage-Backed Obligations (Cost $1,118,263,141) 1,120,257,501
8 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--3.3% ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 $ 565,000 $ 559,235 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts., 4%, 8/17/07 1,025,000 1,020,321 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts., 6%, 5/15/11 6,7 6,400,000 6,679,322 ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds: 4.50%, 2/15/36 6 4,048,000 3,817,774 8.875%, 8/15/17 3,464,000 4,633,100 STRIPS, 3.862%, 2/15/13 6,8 1,520,000 1,168,582 ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Nts.: 3.875%, 2/15/13 6 6,116,000 5,909,346 4.625%, 2/29/12-2/15/17 6 12,623,000 12,658,561 4.75%, 2/28/09-1/31/12 6 15,660,000 15,778,983 --------------- Total U.S. Government Obligations (Cost $52,307,910) 52,225,224 ------------------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES--29.4% ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--12.1% ------------------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES--1.8% DaimlerChrysler North America Holding Corp.: 5.69% Nts., Series E, 3/13/09 1,6 2,880,000 2,886,598 7.30% Nts., 1/15/12 5,125,000 5,537,711 ------------------------------------------------------------------------------------------------------------------------------------ Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 6,9 11,505,000 12,127,513 ------------------------------------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp., 8% Bonds, 11/1/31 6 4,210,000 4,526,302 ------------------------------------------------------------------------------------------------------------------------------------ Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 9 3,070,000 3,067,857 --------------- 28,145,981 ------------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE--2.2% Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 2 7,245,000 7,575,176 ------------------------------------------------------------------------------------------------------------------------------------ Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 2 4,735,000 5,119,719 ------------------------------------------------------------------------------------------------------------------------------------ Hyatt Equities LLC, 6.875% Nts., 6/15/07 9 5,670,000 5,679,979 ------------------------------------------------------------------------------------------------------------------------------------ MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 8,930,000 8,985,813 ------------------------------------------------------------------------------------------------------------------------------------ Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 1,525,000 1,539,733 ------------------------------------------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 1,100,000 1,100,870 ------------------------------------------------------------------------------------------------------------------------------------ Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 3,523,000 3,870,526 --------------- 33,871,816 ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES--2.4% Beazer Homes USA, Inc., 6.875% Sr. Unsec. Nts., 7/15/15 6 2,870,000 2,575,825 ------------------------------------------------------------------------------------------------------------------------------------ Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 1,475,000 1,478,006 ------------------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 3,730,000 3,592,273 6.125% Nts., 1/15/14 2,640,000 2,594,164 8% Sr. Nts., 2/1/09 3,594,000 3,728,955 ------------------------------------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 638,000 574,200 ------------------------------------------------------------------------------------------------------------------------------------ KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 6,325,000 5,685,751 ------------------------------------------------------------------------------------------------------------------------------------ Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,115,000 6,353,760 ------------------------------------------------------------------------------------------------------------------------------------ Pulte Homes, Inc., 4.875% Nts., 7/15/09 10,490,000 10,342,196 --------------- 36,925,130 ------------------------------------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS--0.0% Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 738,000 719,550
9 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ MEDIA--4.5% Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 $ 4,620,000 $ 4,792,026 ------------------------------------------------------------------------------------------------------------------------------------ British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 3,891,000 4,139,448 ------------------------------------------------------------------------------------------------------------------------------------ Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 5,130,000 5,317,245 ------------------------------------------------------------------------------------------------------------------------------------ Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 4,150,000 4,133,525 ------------------------------------------------------------------------------------------------------------------------------------ Comcast Corp., 6.45% Unsec. Nts., 3/15/37 7,070,000 7,101,476 ------------------------------------------------------------------------------------------------------------------------------------ Cox Enterprises, Inc., 4.375% Nts., 5/1/08 9 7,210,000 7,099,269 ------------------------------------------------------------------------------------------------------------------------------------ CSC Holdings, Inc., 7.25% Sr. Unsec. Nts., 7/15/08 2,509,000 2,556,044 ------------------------------------------------------------------------------------------------------------------------------------ EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 9,370,000 9,405,138 ------------------------------------------------------------------------------------------------------------------------------------ Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2,015,000 2,124,012 ------------------------------------------------------------------------------------------------------------------------------------ Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 6,460,000 6,793,833 ------------------------------------------------------------------------------------------------------------------------------------ Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 2,610,000 2,524,235 ------------------------------------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 3,035,000 3,699,941 ------------------------------------------------------------------------------------------------------------------------------------ Tribune Co., 5.50% Nts., Series E, 10/6/08 5,070,000 5,060,063 ------------------------------------------------------------------------------------------------------------------------------------ Univision Communications, Inc.: 3.50% Sr. Unsec. Nts., 10/15/07 3,865,000 3,826,350 3.875% Sr. Unsec. Nts., 10/15/08 1,795,000 1,745,638 --------------- 70,318,243 ------------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL--0.4% Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 2 1,850,000 1,875,438 ------------------------------------------------------------------------------------------------------------------------------------ J.C. Penney Co., Inc., 9% Nts., 8/1/12 1,780,000 2,052,020 ------------------------------------------------------------------------------------------------------------------------------------ May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 2,515,000 2,542,071 --------------- 6,469,529 ------------------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL--0.8% Gap, Inc. (The): 6.90% Nts., 9/15/07 6,700,000 6,772,025 9.445% Unsub. Nts., 12/15/08 1 530,000 566,841 ------------------------------------------------------------------------------------------------------------------------------------ Limited Brands, Inc., 6.125% Sr. Unsec. Nts., 12/1/12 5,720,000 5,817,692 --------------- 13,156,558 ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--2.1% ------------------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--1.5% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 4,960,000 5,079,928 ------------------------------------------------------------------------------------------------------------------------------------ Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 4,420,000 5,332,823 ------------------------------------------------------------------------------------------------------------------------------------ Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 5,745,000 5,734,613 ------------------------------------------------------------------------------------------------------------------------------------ Real Time Data Co., 11% Disc. Nts., 5/31/09 2,10,11,12, 476,601 -- ------------------------------------------------------------------------------------------------------------------------------------ Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 6,880,000 7,154,230 --------------- 23,301,594 ------------------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.4% Earthgrains Co. (The), 6.50% Nts., 4/15/09 2,275,000 2,319,226 ------------------------------------------------------------------------------------------------------------------------------------ Heinz (H.J.) Co., 6.428% Bonds, 12/1/08 9 970,000 987,147 ------------------------------------------------------------------------------------------------------------------------------------ Sara Lee Corp., 2.75% Unsec. Nts., 6/15/08 2,695,000 2,612,010 --------------- 5,918,383 ------------------------------------------------------------------------------------------------------------------------------------ TOBACCO--0.2% Reynolds American, Inc., 6.50% Sr. Sec. Nts., 6/1/07 3,938,000 3,946,160 ------------------------------------------------------------------------------------------------------------------------------------ ENERGY--3.2% ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS--3.2% El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 1,170,000 1,184,625 ------------------------------------------------------------------------------------------------------------------------------------ Enbridge Energy Partners LP, 5.95% Sr. Unsec. Nts., Series B, 6/1/33 6 1,710,000 1,603,275 ------------------------------------------------------------------------------------------------------------------------------------ Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 2,480,000 2,661,801
10 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS CONTINUED Kaneb Pipe Line Operating Partnership LP: 5.875% Sr. Unsec. Nts., 6/1/13 $ 5,745,000 $ 5,827,199 7.75% Sr. Unsec. Nts., 2/15/12 620,000 678,353 ------------------------------------------------------------------------------------------------------------------------------------ Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 5,450,000 5,905,037 ------------------------------------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 10,965,000 11,458,425 ------------------------------------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 9 4,472,000 4,427,128 ------------------------------------------------------------------------------------------------------------------------------------ PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 9 1,298,158 1,225,506 ------------------------------------------------------------------------------------------------------------------------------------ TEPPCO Partners LP: 6.125% Nts., 2/1/13 3,060,000 3,124,159 7.625% Sr. Unsec. Nts., 2/15/12 2,335,000 2,521,828 ------------------------------------------------------------------------------------------------------------------------------------ Williams Cos., Inc. (The), Credit Linked Certificate Trust, 6.75% Nts., 4/15/09 2 8,850,000 9,071,250 --------------- 49,688,586 ------------------------------------------------------------------------------------------------------------------------------------ FINANCIALS--6.0% ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS--0.5% Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 6 7,685,000 7,615,758 ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--2.7% Barclays Bank plc, 6.278% Perpetual Bonds 13 13,120,000 12,634,166 ------------------------------------------------------------------------------------------------------------------------------------ HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 9,13 12,800,000 12,548,096 ------------------------------------------------------------------------------------------------------------------------------------ HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 9,800,000 9,744,120 ------------------------------------------------------------------------------------------------------------------------------------ Popular North America, Inc., 4.70% Nts., 6/30/09 6,799,000 6,715,522 --------------- 41,641,904 ------------------------------------------------------------------------------------------------------------------------------------ INSURANCE--2.0% Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 3,967,000 3,635,010 7.125% Sr. Unsec. Nts., 6/15/09 3,370,000 3,497,174 ------------------------------------------------------------------------------------------------------------------------------------ MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 3,920,000 3,766,066 ------------------------------------------------------------------------------------------------------------------------------------ Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 9 8,875,000 11,200,960 ------------------------------------------------------------------------------------------------------------------------------------ Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 7,395,000 9,268,227 --------------- 31,367,437 ------------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE--0.8% iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 6,920,000 6,795,523 ------------------------------------------------------------------------------------------------------------------------------------ Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 6,365,000 6,362,734 --------------- 13,158,257 ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE--0.2% ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--0.2% HCA, Inc., 8.75% Sr. Nts., 9/1/10 3,445,000 3,621,556 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS--0.5% ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--0.4% Textron Financial Corp., 6% Jr. Unsec. Sub. Nts., 2/15/67 1,6,9 5,430,000 5,459,626 ------------------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL--0.1% Ryder System, Inc., 5.95% Nts., 5/2/11 1,760,000 1,793,950 ------------------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY--0.8% ------------------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 10,11 200,000 2 ------------------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS--0.1% NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 645,000 663,949
11 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ OFFICE ELECTRONICS--0.7% Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 $ 10,335,000 $ 11,135,311 ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS--0.0% ------------------------------------------------------------------------------------------------------------------------------------ CHEMICALS--0.0% Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 85,000 107,236 ------------------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES--1.4% ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--1.4% Qwest Corp., 5.625% Unsec. Nts., 11/15/08 2 729,000 732,645 ------------------------------------------------------------------------------------------------------------------------------------ Telecom Italia Capital SpA, 4% Unsec. Unsub. Nts., 1/15/10 9,410,000 9,097,183 ------------------------------------------------------------------------------------------------------------------------------------ Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 6,346,000 6,299,516 ------------------------------------------------------------------------------------------------------------------------------------ Telus Corp., 8% Nts., 6/1/11 6,070,000 6,653,922 --------------- 22,783,266 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES--3.2% ------------------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES--1.6% Duke Energy Field Services Corp., 6.875% Sr. Unsec. Nts., 2/1/11 4,877,000 5,136,905 ------------------------------------------------------------------------------------------------------------------------------------ FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 2,362,000 2,691,501 ------------------------------------------------------------------------------------------------------------------------------------ Mission Energy Holding Co., 13.50% Sr. Sec. Nts., 7/15/08 6,905,000 7,560,975 ------------------------------------------------------------------------------------------------------------------------------------ Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 4,312,000 4,542,783 ------------------------------------------------------------------------------------------------------------------------------------ Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 5,640,000 5,873,660 --------------- 25,805,824 ------------------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS--0.9% IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,535,000 1,592,563 ------------------------------------------------------------------------------------------------------------------------------------ TXU Energy Co., 6.125% Nts., 3/15/08 3,065,000 3,086,740 ------------------------------------------------------------------------------------------------------------------------------------ TXU Energy Co. LLC, 5.85% Sr. Nts., 9/16/08 1,2,6 8,820,000 8,822,937 --------------- 13,502,240 ------------------------------------------------------------------------------------------------------------------------------------ MULTI-UTILITIES & UNREGULATED POWER--0.7% CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 6,787,000 7,169,637 ------------------------------------------------------------------------------------------------------------------------------------ PSEG Funding Trust I, 5.381% Nts., 11/16/07 4,170,000 4,166,920 --------------- 11,336,557 --------------- Total Corporate Bonds and Notes (Cost $458,672,983) 462,454,403 SHARES ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS--0.0% ------------------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp. 181 5,589 ------------------------------------------------------------------------------------------------------------------------------------ Loral Space & Communications Ltd. 10 2,169 110,359 --------------- Total Common Stocks (Cost $64,648) 115,948 UNITS ------------------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% ------------------------------------------------------------------------------------------------------------------------------------ Long Distance International, Inc. Wts., Exp. 4/13/08 2,10 150 -- ------------------------------------------------------------------------------------------------------------------------------------ Pathmark Stores, Inc. Wts., Exp. 9/19/10 10 2,028 122 --------------- Total Rights, Warrants and Certificates (Cost $5,577) 122 SHARES ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENTS IN AFFILIATED COMPANIES--6.9% ------------------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% 14,15 (Cost $108,183,535) 108,183,535 108,183,535 Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $1,845,890,200) 1,850,413,106 ------------------------------------------------------------------------------------------------------------------------------------
12 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--3.5% 16 ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED FLOATING NOTE--0.2% Whitehawk CDO Funding Corp., 5.40%, 6/15/07 $ 3,000,000 $ 3,000,000 ------------------------------------------------------------------------------------------------------------------------------------ FUNDING AGREEMENT/GUARANTEED INVESTMENT CONTRACT--0.2% Protective Life Insurance Co., 5.48%, 4/30/07 2,000,000 2,000,000 ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--2.8% Undivided interest of 0.20% in joint repurchase agreement (Principal Amount/Value $1,500,000,000 with a maturity value of $1,500,684,688) with Barclays Capital, 5.4775%, dated 3/30/07, to be repurchased at $3,001,369 on 4/2/07, collateralized by Private Label CMOs, 0.00%, 5/25/35-2/25/47, with a value of $1,575,000,000 3,000,000 3,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 0.67% in joint repurchase agreement (Principal Amount/Value $750,000,000 with a maturity value of $750,342,344) with Barclays Capital, 5.4775%, dated 3/30/07, to be repurchased at $5,002,282 on 4/2/07, collateralized by AAA Asset-Backed Securities, 0.00%, 9/15/10-11/25/46, with a value of $772,500,000 5,000,000 5,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 0.75% in joint repurchase agreement (Principal Amount/Value $3,500,000,000, with a maturity value of $3,501,591,771) with Bank of America NA, 5.4575%, dated 3/30/07, to be repurchased at $26,385,527 on 4/2/07, collateralized by U.S. Agency Mortgages, 5%-5.50%, 9/1/33-6/1/35, with a value of $3,570,000,000 26,373,533 26,373,533 ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 2% in joint repurchase agreement (Principal Amount/Value $500,000,000, with a maturity value of $500,228,229) with Credit Suisse First Boston LLC, 5.4775%, dated 3/30/07, to be repurchased at $10,004,565 on 4/2/07, collateralized by Private Label CMOs, 0.00%-6.50%, 5/15/16-11/14/42, with a value of $525,000,050 10,000,000 10,000,000 --------------- 44,373,533 ------------------------------------------------------------------------------------------------------------------------------------ MEDIUM-TERM FLOATING NOTE--0.2% Five Finance, Inc., 5.38%, 4/2/07 2,999,712 2,999,712 ------------------------------------------------------------------------------------------------------------------------------------ YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.1% Natexis Banques Populaires NY, 5.34%, 4/2/07 2,000,000 2,000,000 --------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $54,373,245) 54,373,245 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $1,900,263,445) 121.2% 1,904,786,351 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (21.2) (333,642,151) ------------------------------------- NET ASSETS 100.0% $ 1,571,144,200 =====================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid security. The aggregate value of illiquid securities as of March 31, 2007 was $44,245,370, which represents 2.82% of the Fund's net assets. See accompanying Notes. 3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $46,860,994 or 2.98% of the Fund's net assets as of March 31, 2007. 13 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- 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 $916,965 or 0.06% of the Fund's net assets as of March 31, 2007. 5. When-issued security or forward commitment to be delivered and settled after March 31, 2007. See accompanying Notes. 6. Partial or fully-loaned security. See accompanying Notes. 7. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $4,211,087. See accompanying Notes. 8. Zero coupon bond reflects effective yield on the date of purchase. 9. 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 $63,823,081 or 4.06% of the Fund's net assets as of March 31, 2007. 10. Non-income producing security. 11. Issue is in default. See accompanying Notes. 12. Interest or dividend is paid-in-kind, when applicable. 13. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 14. Rate shown is the 7-day yield as of March 31, 2007. 15. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2007 by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment advisor. Transactions during the period in which the issuer was an affiliate are as follows
SHARES GROSS GROSS SHARES DECEMBER 31, 2006 ADDITIONS REDUCTIONS MARCH 31, 2007 -------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% 67,486,873 243,206,605 202,509,943 108,183,535
DIVIDEND VALUE INCOME -------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% $ 108,183,535 $ 1,187,420
16. The security/securities have 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. NOTES TO 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(R) 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, as 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. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. 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. Investments in open-end registered investment companies (including affiliated funds) are valued at that fund's net asset value. 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 take place generally at least ten days or more after the trade date. Normally the 14 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2007, the Fund had purchased $310,925,998 of securities issued on a when-issued basis or forward commitment and sold $28,830,321 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of March 31, 2007, securities with an aggregate market value of $2, representing less than 0.01% of the Fund's net assets, were in default. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars 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. Foreign exchange rates may be valued primarily using dealer supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") which seeks current income and stability of principal. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment advisor of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 15 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities in the annual and semiannual reports. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities in the annual and semiannual reports. 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 in the annual and semiannual reports 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 in the annual and semiannual reports at the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of March 31, 2007, the Fund had outstanding futures contracts as follows:
EXPIRATION NUMBER OF VALUATION AS OF UNREALIZED CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2007 DEPRECIATION ------------------------------------------------------------------------------------ CONTRACTS TO PURCHASE U.S. Treasury Nts., 10 yr. 6/20/07 402 $ 43,466,250 $ 192,706 U.S. Treasury Nts., 30 yr. 6/20/07 1,693 188,346,250 926,672 ------------ 1,119,378 ------------ CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 6/29/07 1,406 288,076,219 443,013 U.S. Treasury Nts., 5 yr. 6/29/07 775 81,992,578 360,709 ------------ 803,722 ------------ $ 1,923,100 ============
16 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- CREDIT DEFAULT SWAP CONTRACTS A credit default swap is a bilateral contract that enables an investor to buy or sell protection against a defined-issuer credit event. The Fund may enter into credit default swaps to hedge an existing position or to obtain exposure to a security or market by purchasing or selling credit protection. The Fund may enter into credit default swaps on a single security, or a basket of securities. In a credit default swap contract, the purchaser of the contract will pay a periodic interest fee, similar to an insurance premium, on the notional amount of the swap contract to the counterparty (the seller of the contract). If there is a credit event (for example, bankruptcy or a failure to timely pay interest or principal), the purchaser will exercise the contract and will receive a payment from the seller of the contract equal to the notional value of the credit default swap contract less the value of the underlying security. The periodic interest fees are accrued daily as a component of unrealized appreciation (depreciation) and are recorded as realized loss (gain) upon payment. In the event that the credit default swap is exercised due to a credit event, the difference between the value of the underlying security and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers and the value of the contracts is separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, pricing transparency when assessing the cost of a credit default swap, counterparty risk, adverse pricing when purchasing bonds to satisfy its delivery obligation, and the need to fund the delivery obligation (either cash or defaulted securities depending on whether the Fund is the purchaser or seller of the credit default swap contract, respectively). Information regarding such credit default swaps as of March 31, 2007 is as follows:
NOTIONAL BUY/SELL CREDIT AMOUNT PAY/RECEIVE TERMINATION PREMIUM COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATES PAID/(RECEIVED) VALUE ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc.: Dow Jones CDX North America Crossover Index Buy $ 9,175 1.650% 12/20/11 $ (172,194) $ (78,006) Dow Jones CDX North America Crossover Index Buy 7,340 1.650 12/20/11 (140,800) (62,402) Dow Jones CDX North America Crossover Index Buy 9,170 1.650 12/20/11 (145,171) (77,963) Ford Motor Credit Co. Sell 9,525 0.500 6/20/07 -- (3,785) Freescale Semiconductor, Inc. Sell 3,600 0.600 3/20/08 -- (15,463) Freescale Semiconductor, Inc. Sell 4,100 0.750 3/20/08 -- (11,688) Univision Communications, Inc. Sell 1,840 0.750 3/20/08 -- (120) ------------------------------------------------------------------------------------------------------------------------------------
17 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- Deutsche Bank AG: Abitibi-Consolidated Co. of Canada Sell 4,860 1.520 9/20/07 -- 16,009 Allied Waste North America, Inc. Sell 1,830 2.000 9/20/09 -- 37,860 Allied Waste North America, Inc. Sell 3,020 2.000 9/20/09 -- 62,479 Bombardier, Inc. Sell 1,550 0.900 9/20/07 -- 3,356 Dow Jones CDX North America Crossover Index Buy 9,170 1.650 12/20/11 (147,115) (130,078) Eastman Kodak Co. Sell 4,550 1.000 12/20/08 -- 43,285 GMAC LLC Sell 2,480 2.300 6/20/07 -- 8,844 J.C. Penney Co., Inc. Buy 2,065 0.580 3/20/12 -- (8,440) Weyerhaeuser Co. Buy 5,950 0.580 9/20/11 -- (30,014) ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: Arrow Electronics, Inc. Buy 5,950 0.790 9/20/11 -- (74,972) Arrow Electronics, Inc. Buy 2,950 0.770 9/20/11 -- (34,790) ArvinMeritor, Inc. Sell 1,720 1.050 9/20/07 -- 2,947 ArvinMeritor, Inc. Sell 1,410 1.100 9/20/07 -- 2,770 ArvinMeritor, Inc. Sell 185 1.200 9/20/07 -- 456 Belo Corp. Buy 3,100 0.650 6/20/11 -- (27,321) Belo Corp. Buy 1,730 0.670 6/20/11 -- (16,574) Belo Corp. Buy 3,440 0.675 6/20/11 -- (33,617) Bombardier, Inc. Sell 1,720 1.000 9/20/07 -- 6,453 Bombardier, Inc. Sell 1,715 1.050 9/20/07 -- 6,866 CDX.NA.IG H VOL.7 Sell 17,000 0.750 12/20/11 (64,344) (68,327) Dow Jones CDX North America Crossover Index Buy 9,170 1.650 12/20/11 (152,809) (85,706) El Paso Corp. Sell 7,740 0.520 3/20/10 -- 706 Ford Motor Co. Buy 3,065 5.300 12/20/08 -- (105,698) Ford Motor Co. Buy 6,445 5.400 12/20/08 -- (232,793) Ford Motor Co. Sell 3,065 7.050 12/20/16 -- 5,312 Ford Motor Co. Sell 6,445 7.150 12/20/16 -- 42,455 General Motors Corp. Buy 3,250 4.000 12/20/08 -- (84,629) General Motors Corp. Buy 3,440 3.950 12/20/08 -- (86,740) General Motors Corp. Sell 3,250 5.800 12/20/16 -- 87,866 General Motors Corp. Sell 3,440 5.750 12/20/16 -- 83,625
18 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- GMAC LLC Sell 3,380 3.150 6/20/07 -- 20,970 Hyundai Motor Manufacturing Alabama LLC Sell 2,500 0.400 6/20/07 -- 1,072 Inco Ltd. Buy 3,670 0.630 3/20/17 -- (20,590) Inco Ltd. Buy 3,660 0.700 3/20/17 -- (21,276) International Paper Co. Buy 6,600 0.409 12/20/11 -- 6,603 J.C. Penney Co., Inc. Sell 5,950 0.610 6/20/13 -- (7,469) Vale Overseas Ltd. Sell 3,670 1.100 3/20/17 -- 32,822 Vale Overseas Ltd. Sell 3,660 1.170 3/20/17 -- 52,071 ---------------------------- $ (822,433) $(793,634) ============================
TOTAL RETURN SWAP CONTRACTS A total return swap is an agreement under which a set of future cash flows is exchanged between two counterparties. One cash flow stream will typically be based on a reference interest rate or index and the other on the total return of a reference asset such as a security, a basket of securities, or an index. The total return includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Payments under the swap are based on an agreed upon principal amount but since this principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers and the value of the contracts is separately disclosed on the Statement of Asset and Liabliliies in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the agreement or unfavorable changes occur in the reference asset). As of March 31, 2007, the Fund had entered into the following total return swap agreements:
SWAP NOTIONAL TERMINATION COUNTERPARTY AMOUNT (000S) PAID BY THE FUND RECEIVED BY THE FUND DATE VALUE ------------------------------------------------------------------------------------------------------------------------------- If positive, the absolute If negative, the absolute value of Lehman Brothers U.S. Goldman Sachs Capital value of Lehman Brothers U.S. CMBS Index: Aggregate AAA plus Markets 14,870 CMBS Index: Aggregate AAA. 15 basis points. 9/1/07 $ 6,642
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities ILLIQUID SECURITIES As of March 31, 2007, investments in securities included issues that are illiquid. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with the applicable footnote on the Statement of Investments. 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 securities, letters of credit 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 19 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS MARCH 31, 2007 / UNAUDITED -------------------------------------------------------------------------------- close of business each day. If the Fund is undercollateralized at the close of business due to an increase in market value of securities on loan, additional collateral is requested from the borrowing counterparty and is delivered to the Fund on the next business day. Cash collateral may be invested in approved investments and the Fund bears the risk of any loss in value of these investments. The Fund retains a portion of the interest earned from the collateral. 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. 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 March 31, 2007, the Fund had on loan securities valued at $68,151,295, which are included in the Statement of Assets and Liabilities in the annual and semiannual reports as "Investments, at value" and, when applicable, as "Receivable for Investments sold." Collateral of $54,373,245 was received for the loans, all of which was received in cash and subsequently invested in approved investments. In addition, collateral of $15,288,790 was also received in the form of securities. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of March 31, 2007, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2007 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 $ 1,901,163,940 Federal tax cost of other investments (136,333,196) ---------------- Total federal tax cost $ 1,764,830,744 ================ Gross unrealized appreciation $ 13,617,466 Gross unrealized depreciation (12,705,147) ---------------- Net unrealized appreciation $ 912,319 ================ 20 | 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 March 31, 2007, 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: May 14, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: May 14, 2007 By: /s/ Brian W. Wixted ------------------- Brian W. Wixted Principal Financial Officer Date: May 14, 2007