-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MuXZKONm18R84Z3Eno7pr+GUOtUVLRL0tDA8M/C70e+QJj+FOD2v05uj+LfzVd7a CQvkI0VwYy0o2Qnr8uilMQ== 0000935069-07-002754.txt : 20071127 0000935069-07-002754.hdr.sgml : 20071127 20071126184730 ACCESSION NUMBER: 0000935069-07-002754 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070930 FILED AS OF DATE: 20071127 DATE AS OF CHANGE: 20071126 EFFECTIVENESS DATE: 20071127 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 071267498 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: 3RD FL CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 0000701265 S000008824 Oppenheimer Core Bond Fund C000024033 A C000024034 B C000024035 C C000024036 N C000024037 Y N-Q 1 rq285_42759nq.txt RQ285_42759NQ.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: 09/30/2007 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--6.3% - ----------------------------------------------------------------------------------------------------------------------------------- Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.311%, 11/25/35 1 $ 2,030,000 $ 2,017,872 - ----------------------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005- 1A, Cl. A2, 5.556%, 4/20/08 1,2 960,000 959,430 - ----------------------------------------------------------------------------------------------------------------------------------- Ameriquest Mortgage Securities, Inc., Home Equity Mtg. Obligations, Series 2005-R3, Cl. A3C, 5.331%, 5/25/35 1 4,639,514 4,636,978 - ----------------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.611%, 5/25/34 1 3,925,924 3,877,059 - ----------------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.231%, 5/26/36 1 3,380,000 3,348,631 - ----------------------------------------------------------------------------------------------------------------------------------- Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 5.773%, 4/15/11 1 21,500,000 21,390,432 - ----------------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates, Series 2005-D, Cl. AV2, 5.401%, 10/25/35 1 1,424,598 1,420,748 - ----------------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.231%, 5/16/36 1 4,220,000 4,190,124 - ----------------------------------------------------------------------------------------------------------------------------------- Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 5.411%, 2/25/33 1 2,048,112 2,049,578 - ----------------------------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 433,384 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2005-WF2, Asset-Backed Pass- Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 445,563 444,592 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass- Through Certificates, Series 2006-WFH3, Cl. A2, 5.231%, 10/31/36 1,3 2,300,000 2,259,881 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 5.871%, 2/25/33 1 48,808 46,268 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-11, Asset-Backed Certificates, Series 2005-11, Cl. AF2, 4.657%, 2/25/36 2,790,000 2,765,202 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 4,980,000 4,925,052 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 5.331%, 5/25/36 1 576,506 575,580 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 970,000 960,494 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 5.251%, 12/25/29 1 3,020,000 2,956,098 - ----------------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.341%, 11/25/35 1 5,840,000 5,757,263 - ----------------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.221%, 7/25/36 1 3,550,000 3,484,177 - ----------------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.181%, 5/15/36 1 901,651 897,679 - ----------------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.241%, 7/7/36 1 1,820,000 1,780,192 - ----------------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 149,887 149,791 - ----------------------------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 4,000,000 3,968,250
1 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates: Series 2005-3, Cl. A1, 5.798%, 1/20/35 1 $ 1,458,081 $ 1,423,403 Series 2006-4, Cl. A2V, 5.606%, 3/20/36 1,3 1,120,000 1,104,714 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,618,925 1,617,898 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 1,162,672 1,162,754 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,051,525 1,043,008 - ----------------------------------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 3 1,271,409 1,265,293 - ----------------------------------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 7.103%, 3/15/16 1 4,380,000 4,335,125 - ----------------------------------------------------------------------------------------------------------------------------------- NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 0.274%, 1/25/29 3 1,750,658 367,638 - ----------------------------------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006- 2, Cl. 2A2, 5.231%, 7/1/36 1 11,300,000 11,143,623 - ----------------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 151,687 151,146 - ----------------------------------------------------------------------------------------------------------------------------------- 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 1,509,909 - ----------------------------------------------------------------------------------------------------------------------------------- RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 331,636 330,172 - ----------------------------------------------------------------------------------------------------------------------------------- RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.211%, 7/25/36 1 1,079,442 1,075,607 - ----------------------------------------------------------------------------------------------------------------------------------- Specialty Underwriting & Residential Finance Trust, Home Equity Asset- Backed Obligations, Series 2005-BC3, Cl. A2B, 5.381%, 6/25/36 1 4,290,544 4,276,574 - ----------------------------------------------------------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates: Series 2006-2, Cl. A1, 5.191%, 4/25/36 1 1,914,688 1,909,015 Series 2006-BNC3, Cl. A2, 5.171%, 9/25/36 1 4,472,870 4,436,939 - ----------------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates: Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,381,888 2,021,406 Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 708,926 710,051 - ----------------------------------------------------------------------------------------------------------------------------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,045,000 1,067,279 - ----------------------------------------------------------------------------------------------------------------------------------- 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 3,488,791 ---------------- Total Asset-Backed Securities (Cost $122,113,037) 119,735,100 - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--82.4% - ----------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--56.6% - ----------------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--56.5% Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,544,707 1,608,365 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 23,722,401 22,889,438 5%, 6/15/33-8/15/33 12,021,282 11,509,930 6%, 5/15/18-3/15/33 8,111,489 8,187,407 6.50%, 4/15/18-4/15/34 7,712,859 7,922,620 7%, 7/15/21-3/15/35 13,697,740 14,212,975 8%, 4/15/16 553,688 585,354 9%, 4/14/17-5/15/25 159,355 171,049
2 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED 12.50%, 5/15/14 $ 860 $ 978 13.50%, 12/15/10 1,591 1,753 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2046, Cl. G, 6.50%, 4/15/28 3,690,143 3,819,664 Series 2410, Cl. PF, 6.733%, 2/15/32 1 5,063,622 5,174,974 Series 2423, Cl. MC, 7%, 3/15/32 3,607,094 3,764,314 Series 2453, Cl. BD, 6%, 5/15/17 1,363,498 1,401,997 Series 3094, Cl. HS, 3.291%, 6/15/34 1 1,710,894 1,743,979 Series 3138, Cl. PA, 5.50%, 2/15/27 21,225,991 21,359,842 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 31,477 31,434 Series 1590, Cl. IA, 6.80%, 10/15/23 1 5,109,673 5,216,537 Series 2006-11, Cl. PS, 5.752%, 3/25/36 1 2,811,482 2,923,247 Series 2034, Cl. Z, 6.50%, 2/15/28 42,912 44,211 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,643,371 3,749,680 Series 2053, Cl. Z, 6.50%, 4/15/28 45,363 46,852 Series 2055, Cl. ZM, 6.50%, 5/15/28 53,622 55,012 Series 2063, Cl. PG, 6.50%, 6/15/28 2,984,254 3,070,819 Series 2075, Cl. D, 6.50%, 8/15/28 580,625 599,468 Series 2080, Cl. Z, 6.50%, 8/15/28 1,573,254 1,624,021 Series 2145, Cl. MZ, 6.50%, 4/15/29 1,055,789 1,092,960 Series 2148, Cl. ZA, 6%, 4/15/29 1,123,813 1,136,257 Series 2195, Cl. LH, 6.50%, 10/15/29 2,433,502 2,471,939 Series 2326, Cl. ZP, 6.50%, 6/15/31 897,055 927,802 Series 2387, Cl. PD, 6%, 4/15/30 1,519 1,516 Series 2399, Cl. PG, 6%, 1/15/17 1,453,150 1,498,007 Series 2426, Cl. BG, 6%, 3/15/17 8,570,654 8,814,249 Series 2427, Cl. ZM, 6.50%, 3/15/32 4,702,259 4,863,209 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,675,799 4,816,667 Series 2463, Cl. F, 6.753%, 6/15/32 1 7,687,746 7,893,745 Series 2500, Cl. FD, 6.253%, 3/15/32 1 369,490 372,225 Series 2526, Cl. FE, 6.153%, 6/15/29 1 574,238 576,969 Series 2551, Cl. FD, 6.153%, 1/15/33 1 442,498 444,136 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,282,041 Series 3025, Cl. SJ, 3.658%, 8/15/35 1 1,150,600 1,193,816 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 7.411%, 6/1/26 4 697,406 173,530 Series 183, Cl. IO, 5.094%, 4/1/27 4 2,310,666 572,723 Series 184, Cl. IO, 10.695%, 12/1/26 4 1,180,864 301,094 Series 192, Cl. IO, 11.554%, 2/1/28 4 290,558 74,521 Series 200, Cl. IO, 10.597%, 1/1/29 4 349,956 91,249 Series 2003-118, Cl. S, 8.347%, 12/25/33 4 8,895,481 1,179,343 Series 2003-26, Cl. IK, 5.116%, 4/25/33 4 3,399,970 784,340 Series 2005-87, Cl. SE, (1.043)%, 10/25/35 4 22,631,518 999,679 Series 2005-87, Cl. SG, 6.514%, 10/25/35 4 17,796,513 1,140,082 Series 206, Cl. IO, (8.784)%, 12/1/29 4 377,655 104,913
3 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Series 2130, Cl. SC, (5.215)%, 3/15/29 4 $ 767,160 $ 61,266 Series 2134, Cl. SB, (0.569)%, 3/15/29 4 829,152 62,429 Series 216, Cl. IO, 11.766%, 12/1/31 4 1,385,887 346,309 Series 224, Cl. IO, 7.337%, 3/1/33 4 4,024,853 1,014,574 Series 2422, Cl. SJ, 10.794%, 1/15/32 4 3,674,331 312,636 Series 243, Cl. 6, 9.324%, 12/15/32 4 2,495,419 631,713 Series 2493, Cl. S, 3.53%, 9/15/29 4 214,558 21,136 Series 2796, Cl. SD, (6.086)%, 7/15/26 4 1,227,998 98,353 Series 2802, Cl. AS, (3.83)%, 4/15/33 4 4,218,102 247,784 Series 2920, Cl. S, (10.224)%, 1/15/35 4 4,981,681 258,920 Series 3000, Cl. SE, (11.237)%, 7/15/25 4 7,427,727 309,925 Series 3110, Cl. SL, 8.703%, 2/15/26 4 2,227,749 89,656 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 5.511%, 6/1/26 5 298,062 235,061 Series 192, Cl. PO, 6.729%, 2/1/28 5 290,558 223,443 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 5/25/18-8/25/20 80,918,786 78,105,161 5%, 12/25/17-3/25/34 198,049,316 192,546,514 5%, 10/1/21-10/1/36 6 29,127,000 28,266,659 5.50%, 12/25/18-5/25/34 162,462,250 159,765,823 5.50%, 10/1/21-10/1/36 6 103,660,000 101,680,465 6%, 5/25/20-11/25/33 59,070,848 59,471,553 6%, 10/1/21 6 19,276,000 19,532,005 6.50%, 6/25/17-11/25/31 37,024,846 38,040,095 7%, 1/25/09-4/25/34 15,474,451 16,084,950 7%, 10/1/36 6 634,000 654,407 7.50%, 2/25/08-8/25/33 12,173,899 12,779,116 8%, 8/25/17 2,178 2,197 8.50%, 7/25/32 50,799 54,620 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,776,478 1,843,451 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 21,893 22,215 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 1,084,063 1,109,619 Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 7 4,196,934 4,296,342 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 437,084 454,050 Trust 1996-35, Cl. Z, 7%, 7/25/26 162,309 168,593 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,739,774 1,805,440 Trust 1998-61, Cl. PL, 6%, 11/25/28 2,175,663 2,213,451 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 3,044,962 3,159,744 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 11,160,707 11,637,750 Trust 2001-50, Cl. NE, 6%, 8/25/30 3,272 3,255 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,708,306 2,772,904 Trust 2001-70, Cl. LR, 6%, 9/25/30 240,104 240,774 Trust 2001-74, Cl. QE, 6%, 12/25/31 11,562,710 11,740,547 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 1,884,348 1,934,801 Trust 2002-16, Cl. PG, 6%, 4/25/17 2,224,000 2,289,420
4 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2002-56, Cl. FN, 6.131%, 7/25/32 1 $ 2,019,248 $ 2,066,425 Trust 2002-9, Cl. PC, 6%, 3/25/17 8,282,662 8,509,346 Trust 2003-130, Cl. CS, 3.838%, 12/25/33 1 8,374,371 7,732,822 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,131,621 Trust 2003-21, Cl. FK, 5.531%, 3/25/33 1 37,653 37,783 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 8,075,773 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,458,472 Trust 2003-84, Cl. GC, 4.50%, 5/25/15 11,330,000 11,210,413 Trust 2003-84, Cl. PW, 3%, 6/25/22 2,011,370 1,994,125 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,603,000 2,549,351 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,386,773 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 12,330,000 11,933,599 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 9,634,799 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,404,035 Trust 2005-59, Cl. NQ, 4.047%, 5/25/35 1 3,162,416 2,953,040 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,152,802 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 8,379,142 8,417,699 Trust 2006-46, Cl. SW, 5.385%, 6/25/36 1 2,671,267 2,746,761 Trust 2006-50, Cl. KS, 5.385%, 6/25/36 1 3,772,169 3,682,037 Trust 2006-50, Cl. SA, 5.385%, 6/25/36 1 3,531,142 3,460,149 Trust 2006-50, Cl. SK, 5.385%, 6/25/36 1 2,691,313 2,701,732 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 9,494,723 9,535,222 Trust 2006-64, Cl. MD, 5.50%, 7/25/36 2,753,828 2,666,922 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 8.495%, 3/17/31 4 1,444,565 191,876 Trust 2001-65, Cl. S, 7.095%, 11/25/31 4 4,729,182 527,859 Trust 2001-81, Cl. S, 0.471%, 1/25/32 4 600,968 64,049 Trust 2002-12, Cl. SB, 9.142%, 7/25/31 4 960,002 92,649 Trust 2002-2, Cl. SW, 8.651%, 2/25/32 4 1,079,716 95,783 Trust 2002-38, Cl. IO, (5.933)%, 4/25/32 4 394,654 25,396 Trust 2002-41, Cl. S, 11.19%, 7/25/32 4 4,053,204 384,147 Trust 2002-47, Cl. NS, (0.222)%, 4/25/32 4 1,487,736 143,840 Trust 2002-5, Cl. SD, 4.888%, 2/25/32 4 720,737 68,858 Trust 2002-51, Cl. S, (0.092)%, 8/25/32 4 1,366,069 133,223 Trust 2002-52, Cl. SD, (3.283)%, 9/25/32 4 1,535,068 148,656 Trust 2002-60, Cl. SY, 14.296%, 4/25/32 4 920,994 35,552 Trust 2002-75, Cl. SA, 8.171%, 11/25/32 4 3,778,556 381,199 Trust 2002-77, Cl. IS, (0.206)%, 12/18/32 4 672,373 66,730 Trust 2002-77, Cl. SH, 1.343%, 12/18/32 4 783,294 78,591 Trust 2002-84, Cl. SA, 8.989%, 12/25/32 4 942,889 92,494 Trust 2002-89, Cl. S, 10.434%, 1/25/33 4 6,110,475 592,433 Trust 2002-9, Cl. MS, 1.083%, 3/25/32 4 49,190 4,769 Trust 2003-14, Cl. OI, 10.386%, 3/25/33 4 9,089,162 2,153,238 Trust 2003-33, Cl. SP, 9.345%, 5/25/33 4 5,713,855 727,990 Trust 2003-4, Cl. S, 7.37%, 2/25/33 4 1,831,344 215,986 Trust 2004-54, Cl. DS, (7.597)%, 11/25/30 4 310,564 20,306
5 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2005-105, Cl. S, 6.315%, 12/25/35 4 $ 9,492,731 $ 583,662 Trust 2005-19, Cl. SA, (4.863)%, 3/25/35 4 17,011,122 956,673 Trust 2005-40, Cl. SA, (5.33)%, 5/25/35 4 3,099,761 164,397 Trust 2005-6, Cl. SE, (3.427)%, 2/25/35 4 3,579,452 178,277 Trust 2005-71, Cl. SA, (1.443)%, 8/25/25 4 6,196,625 405,314 Trust 2005-83, Cl. SL, 4.825%, 10/25/35 4 12,321,442 812,736 Trust 2006-119, Cl. MS, 13.038%, 12/25/36 4 9,974,537 619,294 Trust 2006-33, Cl. SP, 10.711%, 5/25/36 4 13,819,886 1,151,892 Trust 2006-34, Cl. SK, 9.048%, 5/25/36 4 19,294,074 1,817,621 Trust 222, Cl. 2, 14.899%, 6/1/23 4 2,367,266 558,743 Trust 240, Cl. 2, 18.088%, 9/1/23 4 2,905,380 780,486 Trust 247, Cl. 2, 13.429%, 10/1/23 4 200,631 52,229 Trust 252, Cl. 2, 12.601%, 11/1/23 4 2,089,438 562,466 Trust 254, Cl. 2, 6.951%, 1/1/24 4 3,602,542 972,256 Trust 2682, Cl. TQ, 4.63%, 10/15/33 4 5,491,682 332,577 Trust 273, Cl. 2, 14.155%, 8/1/26 4 532,423 134,892 Trust 2981, Cl. BS, 3.014%, 5/15/35 4 10,108,631 500,186 Trust 301, Cl. 2, 6.416%, 4/1/29 4 1,361,098 347,025 Trust 303, Cl. IO, (3.86)%, 11/1/29 4 166,261 44,831 Trust 319, Cl. 2, 11.798%, 2/1/32 4 835,827 208,846 Trust 321, Cl. 2, 9.808%, 4/1/32 4 3,438,558 869,220 Trust 322, Cl. 2, 16.524%, 4/1/32 4 4,397,220 1,117,399 Trust 324, Cl. 2, 6.867%, 7/1/32 4 2,735,905 676,933 Trust 331, Cl. 9, 4.834%, 2/1/33 4 8,777,043 2,088,551 Trust 334, Cl. 15, 8.609%, 2/1/33 4 5,390,890 1,238,341 Trust 334, Cl. 17, 23.016%, 2/1/33 4 274,417 68,815 Trust 339, Cl. 7, 7.696%, 7/1/33 4 9,365,873 2,164,205 Trust 342, Cl. 2, 9.908%, 9/1/33 4 1,643,547 420,315 Trust 344, Cl. 2, 8.407%, 12/1/33 4 44,043,451 11,276,351 Trust 345, Cl. 9, 8.716%, 1/1/34 4 5,797,266 1,351,066 Trust 362, Cl. 12, 6.807%, 8/1/35 4 9,521,511 2,180,072 Trust 362, Cl. 13, 6.827%, 8/1/35 4 5,286,194 1,215,447 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.472%, 9/25/23 5 715,758 612,158 Trust 324, Cl. 1, 5.824%, 7/1/32 5 683,176 512,959 ---------------- 1,080,775,618 - ----------------------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.1% Government National Mortgage Assn.: 5.75%, 8/8/25-8/8/27 1 23,379 23,603 7%, 7/29/09 5,357 5,451 8.50%, 8/15/17-12/29/17 234,313 250,623 9%, 3/1/09-6/29/09 5,886 6,071 10.50%, 12/29/17-5/29/21 17,604 20,105 11%, 11/8/19 41,079 46,100 12%, 5/29/14 291 336 - -----------------------------------------------------------------------------------------------------------------------------------
6 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED CONTINUED Government National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Series 2001-21, Cl. SB, (2.435)%, 1/16/27 4 $ 1,484,420 $ 119,212 Series 2002-15, Cl. SM, (4.53)%, 2/16/32 4 1,550,873 123,576 Series 2002-41, Cl. GS, 3.755%, 6/16/32 4 1,180,479 171,287 Series 2002-76, Cl. SY, (7.283)%, 12/16/26 4 754,680 53,799 Series 2004-11, Cl. SM, (6.221)%, 1/17/30 4 253,633 18,610 Series 2006-47, Cl. SA, 14.941%, 8/16/36 4 18,224,263 1,114,040 ---------------- 1,952,813 - ----------------------------------------------------------------------------------------------------------------------------------- NON-AGENCY--25.8% - ----------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL--10.4% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.- Backed Security, Series 1997-D4, Cl. PS1, 1.789%, 4/14/29 4 14,266,295 596,440 - ----------------------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 7.546%, 11/13/29 1 800,000 800,404 - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass- Through Certificates: Series 2005-3, Cl. A2, 4.501%, 7/10/43 3,580,000 3,531,812 Series 2006-5, Cl. A2, 5.348%, 10/10/11 6,320,000 6,337,615 - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,790,992 1,817,560 - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,571,306 1,585,890 - ----------------------------------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 154,875 151,325 - ----------------------------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (6.097)%, 6/22/24 4 5,268,742 152,931 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass- Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,150,000 1,147,730 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3 7,620,000 7,593,960 - ----------------------------------------------------------------------------------------------------------------------------------- CitiMortgage Alternative Loan Trust 2006-A5, Mtg. Pass-Through Certificates, Series 2006-A5, Cl. 1A1, 5.531%, 10/25/36 1 13,586,253 13,470,976 - ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 2,770,136 2,771,066 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 873,164 874,416 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 8,258,793 8,232,799 - ----------------------------------------------------------------------------------------------------------------------------------- DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-CF2, Cl. A1B, 6.24%, 11/12/31 4,398,541 4,431,088 - ----------------------------------------------------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 4,227,273 4,220,781 - ----------------------------------------------------------------------------------------------------------------------------------- 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 3,624,721 3,631,371 - ----------------------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2003-C1, Cl. A2, 4.093%, 1/10/38 215,000 212,502 Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,833,042 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,250,000 2,240,170 - -----------------------------------------------------------------------------------------------------------------------------------
7 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass- Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 $ 2,000,000 $ 1,971,774 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 6,378,000 6,393,710 Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 3 17,310,000 17,363,143 - ----------------------------------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2005-4F, CMO, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 9,497,892 9,658,773 - ----------------------------------------------------------------------------------------------------------------------------------- JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 4,564,959 4,773,768 - ----------------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 860,000 849,876 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 3,566,000 3,541,128 Series 2006-CB14, Cl. A4, 5.481%, 12/12/44 9,430,000 9,427,086 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 4,480,000 4,562,755 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 6,640,000 6,627,938 - ----------------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 2,700,000 2,693,754 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 6,200,000 6,211,588 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 9.067%, 2/18/30 4 7,445,559 129,916 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 3 186,448 143,565 - ----------------------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,195,861 2,200,870 Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 333,433 332,398 - ----------------------------------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 11,047,697 11,089,545 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 3 182,000 195,103 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,351,377 1,356,987 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 5,700,816 5,716,230 - ----------------------------------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,210,230 6,216,176 - ----------------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, (4.514)%, 5/18/32 4 176,910,380 296,962 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,830,000 3,809,420 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,146,000 2,147,422 - ----------------------------------------------------------------------------------------------------------------------------------- WAMU, Mtg. Pass-Through Certificates: Series 2003-AR9, Cl. 2A, 4.048%, 9/25/33 1 6,410,090 6,344,905 Series 2006-AR8, Cl. 2A1, 6.134%, 8/25/36 1 19,407,222 19,550,663 ---------------- 199,239,333 - ----------------------------------------------------------------------------------------------------------------------------------- MANUFACTURED HOUSING--1.7% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass- Through Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36 1 15,023,298 15,213,816 - -----------------------------------------------------------------------------------------------------------------------------------
8 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- MANUFACTURED HOUSING CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass- Through Certificates, Series 2006-AR2, Cl. 2A5, 5.095%, 3/25/36 1 $ 17,556,342 $ 17,413,112 ---------------- 32,626,928 - ----------------------------------------------------------------------------------------------------------------------------------- MULTIFAMILY--9.5% Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 1 10,904,546 11,008,495 Series 2005-F, Cl. 2A3, 4.718%, 7/25/35 1 12,289,079 12,167,719 - ----------------------------------------------------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.81%, 10/25/36 1 6,959,931 7,007,218 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.903%, 7/25/36 1,8 5,162,902 5,240,872 - ----------------------------------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, CMO: Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 10,018,000 9,388,537 Series 2008-85CB, Cl. 2A3, 5.50%, 2/25/36 7,710,000 7,540,039 - ----------------------------------------------------------------------------------------------------------------------------------- Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A1, 5.702%, 4/25/37 1 12,550,254 12,551,379 - ----------------------------------------------------------------------------------------------------------------------------------- Countrywide Home Loans, CMO: Series 2003-46, Cl. 1A2, 4.129%, 1/19/34 1 8,990,641 9,023,985 Series 2005-HYB1, Cl. 5A1, 5.001%, 3/25/35 1 12,264,370 12,022,916 - ----------------------------------------------------------------------------------------------------------------------------------- GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates: Series 2004-J4, Cl. A7, 5.50%, 9/25/34 7,166,000 6,778,173 Series 2005-AR4, Cl. 2A1, 5.295%, 7/19/35 1 14,272,616 14,286,370 - ----------------------------------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.161%, 11/25/35 1 20,469,068 20,414,684 - ----------------------------------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 6.009%, 6/25/37 1,6 16,687,732 17,016,003 - ----------------------------------------------------------------------------------------------------------------------------------- WAMU, Mtg. Pass-Through Certificates, Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 262,773 261,932 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass- Through Certificates, Series 2004-AA, Cl. 2A, 4.995%, 12/25/34 1 4,109,208 4,072,964 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.539%, 9/25/34 1 3,381,960 3,320,571 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass- Through Certificates, Series 2005-AR2, Cl. 2A2, 4.545%, 3/25/35 1 2,703,686 2,675,658 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass- Through Certificates, Series 2005-AR4, Cl. 2A2, 4.524%, 4/25/35 1 4,229,466 4,185,435 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust: Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 2A1, 5.645%, 7/25/36 1 6,375,928 6,368,047 Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 4A1, 5.56%, 7/25/36 1 8,346,119 8,308,435 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass- Through Certificates, Series 2006-AR2. Cl. 2A6, 5.091%, 3/25/36 1 3,339,746 3,322,208 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass- Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36 1 3,775,553 3,765,078 ---------------- 180,726,718
9 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- OTHER--0.2% JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005- S2, Cl. 3A1, 6.75%, 2/25/32 1 $ 4,078,893 $ 4,126,010 - ----------------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 22.014%, 10/23/17 4 9,360 1,407 - ----------------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.476%, 10/23/17 5 13,852 12,929 ---------------- 4,140,346 - ----------------------------------------------------------------------------------------------------------------------------------- RESIDENTIAL--4.0% Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6,754,553 6,835,690 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,610,330 3,677,113 - ----------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.424%, 6/25/36 1 4,750,000 4,704,333 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 4,541,520 4,545,235 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 3,619,742 3,620,651 - ----------------------------------------------------------------------------------------------------------------------------------- WAMU, Mtg. Pass-Through Certificates: Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 1 18,542,029 18,458,006 Series 2007-HY6, Cl. 2A1, 5.704%, 6/25/37 1 11,775,886 11,677,452 - ----------------------------------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Loan, Trust, Mtg. Pass-Through Certificates, 2007-A, Cl. 1A8, 6%, 2/25/37 15,899,593 16,080,738 - ----------------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 7,176,595 6,996,356 ---------------- 76,595,574 ---------------- Total Mortgage-Backed Obligations (Cost $1,568,051,772) 1,576,057,330 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--0.3% - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 565,000 563,991 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 4.75%, 2/15/37 3,784,000 3,735,815 STRIPS, 3.862%, 2/15/13 8,9 1,520,000 1,213,845 ---------------- Total U.S. Government Obligations (Cost $5,497,627) 5,513,651 - ----------------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--19.4% - ----------------------------------------------------------------------------------------------------------------------------------- Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 6,950,000 7,089,980 - ----------------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds 10 20,390,000 17,942,384 - ----------------------------------------------------------------------------------------------------------------------------------- Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 11,900,000 12,194,644 - ----------------------------------------------------------------------------------------------------------------------------------- Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 8,720,000 8,204,447 - ----------------------------------------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 3 7,245,000 7,429,400 - ----------------------------------------------------------------------------------------------------------------------------------- Capmark Financial Group, Inc., 5.875% Nts., 5/10/12 2 4,405,000 4,015,664 - ----------------------------------------------------------------------------------------------------------------------------------- Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 5,530,000 5,444,479 - ----------------------------------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 5,130,000 5,213,655 - ----------------------------------------------------------------------------------------------------------------------------------- CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 5,029,000 4,833,840 - ----------------------------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 6,350,000 5,824,036 - ----------------------------------------------------------------------------------------------------------------------------------- Cox Enterprises, Inc., 4.375% Nts., 5/1/08 2 7,710,000 7,663,092 - ----------------------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.25% Sr. Unsec. Nts., 7/15/08 7,080,000 7,115,400 - ----------------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 6.125% Nts., 1/15/14 2,640,000 2,350,355
10 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- 8% Sr. Nts., 2/1/09 $ 4,474,000 $ 4,442,856 - ----------------------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 4,083,000 4,884,922 - ----------------------------------------------------------------------------------------------------------------------------------- Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 1,850,000 1,824,563 - ----------------------------------------------------------------------------------------------------------------------------------- Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 3,8 773,000 753,675 - ----------------------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 9,370,000 9,393,425 - ----------------------------------------------------------------------------------------------------------------------------------- El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 1,170,000 1,178,210 - ----------------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 15,830,000 16,155,671 - ----------------------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 9.80% Unsub. Nts., 12/15/08 1 530,000 559,936 - ----------------------------------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 8 6,070,000 5,970,828 - ----------------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 8 14,850,000 13,879,211 - ----------------------------------------------------------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 2,10 20,000,000 17,760,580 - ----------------------------------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 13,300,000 12,642,421 - ----------------------------------------------------------------------------------------------------------------------------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 2,8 3,070,000 3,066,110 - ----------------------------------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,3 1,535,000 1,573,375 - ----------------------------------------------------------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 5,745,000 5,782,745 - ----------------------------------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 5,150,000 5,412,331 - ----------------------------------------------------------------------------------------------------------------------------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,115,000 6,296,878 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2,015,000 2,083,712 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 8,130,000 8,335,364 - ----------------------------------------------------------------------------------------------------------------------------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 7 3,920,000 3,188,128 - ----------------------------------------------------------------------------------------------------------------------------------- MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36 1,8 15,345,000 14,639,391 - ----------------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 10,450,000 10,423,875 - ----------------------------------------------------------------------------------------------------------------------------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 7,977,000 8,438,613 - ----------------------------------------------------------------------------------------------------------------------------------- Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 85,000 107,343 - ----------------------------------------------------------------------------------------------------------------------------------- NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 6,495,000 6,715,908 - ----------------------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 8 6,175,000 6,280,444 - ----------------------------------------------------------------------------------------------------------------------------------- Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3,11 200,000 2 - ----------------------------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 2 1,206,995 1,156,872 - ----------------------------------------------------------------------------------------------------------------------------------- Popular North America, Inc., 4.70% Nts., 6/30/09 6,799,000 6,771,675 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 2 9,165,000 11,277,606 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 2 8,725,000 10,719,666 - ----------------------------------------------------------------------------------------------------------------------------------- PSEG Funding Trust I, 5.381% Nts., 11/16/07 4,170,000 4,164,054 - ----------------------------------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 4.875% Nts., 7/15/09 3,465,000 3,235,600 - ----------------------------------------------------------------------------------------------------------------------------------- Qwest Corp., 5.625% Unsec. Nts., 11/15/08 729,000 731,734 - ----------------------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 11% Disc. Nts., 5/31/09 3,11,12,13 476,601 -- - ----------------------------------------------------------------------------------------------------------------------------------- Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 7,710,000 8,689,918 - ----------------------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 3 1,525,000 1,525,000 - ----------------------------------------------------------------------------------------------------------------------------------- SLM Corp., 4% Nts., 1/15/09 6,926,000 6,676,034 - ----------------------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 5.125% Sr. Unsec. Unsub. Nts., 4/1/09 8 3,565,000 3,030,250 - ----------------------------------------------------------------------------------------------------------------------------------- TEPPCO Partners LP, 6.125% Nts., 2/1/13 3,060,000 3,085,805 - ----------------------------------------------------------------------------------------------------------------------------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 3 5,070,000 4,791,150 - ----------------------------------------------------------------------------------------------------------------------------------- TXU Energy Co. LLC: 6.125% Nts., 3/15/08 3,065,000 3,085,867 6.194% Sr. Nts., 9/16/08 1,2,8 8,820,000 8,835,320 - ----------------------------------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 3.50% Sr. Unsec. Nts., 10/15/07 3,865,000 3,845,675 3.875% Sr. Unsec. Nts., 10/15/08 1,795,000 1,750,125 - -----------------------------------------------------------------------------------------------------------------------------------
11 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 $ 2,092,000 $ 2,102,234 - ----------------------------------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 7,494,000 7,664,256 - ----------------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), Credit Linked Certificate Trust, 6.75% Nts., 4/15/09 3 10,190,000 10,291,900 ---------------- Total Corporate Bonds and Notes (Cost $375,837,058) 370,542,634 SHARES - ----------------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.0% - ----------------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. (Cost $9) 181 6,382 UNITS - ----------------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% - ----------------------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 3,12 150 -- - ----------------------------------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 12 2,028 71 ---------------- Total Rights, Warrants and Certificates (Cost $5,577) 71 SHARES - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENTS IN AFFILIATED COMPANIES--0.3% - ----------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.37% 14,15 (Cost $4,992,838) 4,992,838 4,992,838 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) (COST $2,076,497,918) 2,076,848,006 - ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--1.6% 16 - ----------------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED FLOATING NOTE--0.1% Whitehawk CDO Funding Corp., 5.74%, 12/17/07 $ 3,000,000 3,000,000 - ----------------------------------------------------------------------------------------------------------------------------------- FUNDING AGREEMENT/GUARANTEED INVESTMENT CONTRACT--0.1% Protective Life Insurance Co., 5.48%, 10/29/07 2,000,000 2,000,000 - ----------------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--1.2% Undivided interest of 2.31% in joint repurchase agreement (Principal Amount/Value $1,000,000,000, with a maturity value of $1,000,425,000) with Bank of America NA, 5.10%, dated 9/28/07, to be repurchased at $23,088,795 on 10/1/07, collateralized by U.S. Agency Mortgages, 5%- 5.50%, 5/1/33-6/1/35, with a value of $1,020,000,000 23,078,986 23,078,986 - ----------------------------------------------------------------------------------------------------------------------------------- MEDIUM-TERM FLOATING NOTE--0.2% Five Finance, Inc., 4.88%, 10/1/07 2,999,855 2,999,855 ---------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $31,078,841) 31,078,841 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $2,107,576,759) 110.3% 2,107,926,847 - ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (10.3) (196,427,400) ------------------------------------- NET ASSETS 100.0% $ 1,911,499,447 =====================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Represents the current interest rate for a variable or increasing rate security. 12 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 2. 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 $65,454,340 or 3.42% of the Fund's net assets as of September 30, 2007. 3. Illiquid security. The aggregate value of illiquid securities as of September 30, 2007 was $56,657,799, which represents 2.96% of the Fund's net assets. See accompanying Notes. 4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $53,751,097 or 2.81% of the Fund's net assets as of September 30, 2007. 5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,596,550 or 0.08% of the Fund's net assets as of September 30, 2007. 6. When-issued security or forward commitment to be delivered and settled after September 30, 2007. 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 $4,574,386. See accompanying Notes. 8. Partial or fully-loaned security. See accompanying Notes. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. 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. 11. Issue is in default. See accompanying Notes. 12. Non-income producing security. 13. Interest or dividend is paid-in-kind, when applicable. 14. Rate shown is the 7-day yield as of September 30, 2007. 15. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 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 SEPTEMBER 30, 2007 - ------------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 67,486,873 848,041,228 910,535,263 4,992,838
DIVIDEND VALUE INCOME - ------------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E $ 4,992,838 $ 4,197,038
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- 13 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of September 30, 2007, the Fund had purchased $189,051,142 of securities issued on a when-issued basis or forward commitment and sold $21,380,483 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of September 30, 2007, securities with an aggregate market value of $2, representing less than 0.005% of the Fund's net assets, were in default. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") 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, if applicable. 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. 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. 14 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 September 30, 2007, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS SEPTEMBER 30, 2007 (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 12/19/07 2,199 $ 244,844,906 $ 314,910 --------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/31/07 1,702 352,393,781 (1,412,144) U.S. Treasury Nts., 5 yr. 12/31/07 136 14,556,250 (109,655) U.S. Treasury Nts., 10 yr. 12/19/07 583 63,710,969 (65,660) --------------- (1,587,459) --------------- $ (1,272,549) ===============
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, 15 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 gain (loss) 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 primarily quotations from counterparties and brokers. 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 September 30, 2007 is as follows:
BUY/SELL NOTIONAL CREDIT AMOUNT PAY/RECEIVE TERMINATION PREMIUM COUNTERPARTY REFERENCE ENTITY PROTECTION (000s) FIXED RATE DATES PAID/(RECEIVED) VALUE - ------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: Beazer Homes USA, Inc. Sell $ 1,690 2.1000% 6/20/08 $ - $ (122,469) Capmark Financial Group, Inc. Sell 3,950 1.0000 6/20/12 - (344,043) Countrywide Home Loans, Inc. Sell 5,980 0.7500 9/20/08 - (235,138) Lear Corp. Sell 6,900 1.0000 6/20/08 - 18,544 Lehman Brothers Holdings, Inc. Sell 8,735 0.4900 9/20/10 - (61,264) Merrill Lynch & Co., Inc. Sell 18,610 0.6800 9/20/08 - 63,038 Toys "R" Us, Inc. Sell 4,370 1.4500 9/20/08 - (55,213) - ------------------------------------------------------------------------------------------------------------------------- Credit Suisse International: ArvinMeritor, Inc. Sell 6,980 1.5500 9/20/08 - 9,415 Belo Corp. Buy 12,545 0.9000 6/20/13 - 198,506 CDX.NA.HY.8 Index Sell 19,165 2.7500 6/20/12 107,936 (515,610) CDX.NA.HY.8 Index Sell 8,095 2.7500 6/20/12 65,378 (237,574) CDX.NA.HY.8 Index Buy 8,095 2.7500 6/20/14 116,759 248,241 CDX.NA.HY.8 Index Sell 3,900 2.7500 6/20/12 (311,973) (82,958)
16 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- CDX.NA.HY.8-V1 Index Buy 19,165 2.7500 6/20/14 347,233 516,913 Freescale Semiconductor, Inc. Sell 4,100 0.7500 3/20/08 - (25,526) Freescale Semiconductor, Inc. Sell 3,600 0.6000 3/20/08 - (25,089) Intelsat Ltd. Sell 4,600 3.4500 9/20/08 - 6,604 Quebecor World, Inc. Sell 5,125 2.6000 9/20/08 - 42,575 Rite Aid Corp. Sell 6,565 0.8750 6/20/08 - (75,051) Saks, Inc. Sell 7,380 2.0000 9/20/08 - 62,458 The Goodyear Tire & Rubber Co. Sell 7,205 1.5500 9/20/08 - 73,554 Univision Communications, Inc. Sell 1,840 0.7500 3/20/08 - (4,502) - ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: ABX.HE.AA.06-2 Index Sell 2,000 0.1700 5/25/46 (239,981) (210,056) Allied Waste North America, Inc. Sell 3,020 2.0000 9/20/09 - 22,083 Allied Waste North America, Inc. Sell 1,830 2.0000 9/20/09 - 13,382 CDX North America High Yield Index Sell 11,650 2.7500 6/20/12 107,763 (359,904) CDX.NA.HY.8 Index Sell 4,130 2.7500 6/20/12 (284,282) (89,386) CDX.NA.HY.8 Index Sell 3,885 2.7500 6/20/12 (337,186) (84,083) CDX.NA.HY.8 Index Sell 3,885 2.7500 6/20/12 (235,204) (84,083) CDX.NA.HY.8 Index Sell 1,995 2.7500 6/20/12 (160,528) (43,178) CDX.NA.HY.8 Index Sell 19,275 2.7500 6/20/12 135,594 (552,765) CDX.NA.HY.8 Index Buy 19,275 2.7500 6/20/14 298,093 601,852 CDX.NA.HY.8 Index Sell 19,195 2.7500 6/20/12 121,568 (537,007) CDX.NA.HY.8 Index Buy 19,195 2.7500 6/20/14 322,316 573,894 CDX.NA.HY.8 Index Sell 19,160 2.7500 6/20/12 91,542 (506,224) CDX.NA.HY.8 Index Buy 19,160 2.7500 6/20/14 375,483 519,093 CDX.NA.HY.8 Index Buy 11,650 2.7500 6/20/14 154,363 389,573 Centex Corp. Sell 1,765 1.5500 9/20/09 - (56,173)
17 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Countrywide Home Loans, Inc. Sell 5,180 3.2500 9/20/08 - (84,388) Dillard's, Inc. Sell 2,055 0.7500 9/20/08 - (21,653) Eastman Kodak Co. Sell 4,550 1.0000 12/20/08 - 45,047 Georgia-Pacific Corp. Sell 7,075 1.7500 9/20/08 - 80,763 Intelsat Ltd. Sell 1,830 2.8500 9/20/08 - 8,199 Lehman Brothers Holdings, Inc. Sell 9,920 1.4100 9/20/08 - 57,786 Levi Strauss & Co. Sell 3,920 1.0000 9/20/08 - 9,506 Levi Strauss & Co. Sell 2,965 0.9000 9/20/08 - 4,256 MBIA, Inc. Sell 4,350 0.6000 9/20/08 - (41,822) MBIA, Inc. Sell 4,340 0.5200 9/20/08 - (44,964) Owens-Illinois, Inc. Sell 3,880 1.2500 9/20/08 - 22,758 Tenet Healthcare Corp. Sell 6,900 1.6000 3/20/09 - (279,296) The Bear Stearns Cos., Inc. Sell 18,130 2.3500 9/20/08 - 235,972 - ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 730 0.1700 5/25/46 (60,146) (72,990) Amkor Technology, Inc. Sell 620 2.6500 9/20/08 - 6,141 Capmark Financial Group, Inc. Sell 4,595 0.9500 6/20/12 - (446,748) Citigroup, Inc. Sell 6,105 1.2500 9/20/08 - (63,734) Dole Food Co., Inc. Sell 7,090 3.8800 9/20/08 - 15,588 First Data Corp. Sell 4,365 1.1500 9/20/08 - (60,385) K. Hovnanian Enterprises, Inc. Sell 3,185 6.7500 9/20/08 - (89,273) Pulte Homes, Inc. Sell 7,100 2.7500 9/20/09 - (232,859) Quebecor World, Inc. Sell 2,130 3.0000 9/20/08 - 19,926 Sara Lee Corp. Buy 5,975 0.4190 9/20/12 - (36,053) Smurfit-Stone Container Enterprises, Inc. Sell 7,175 1.4500 9/20/08 - 31,710 Standard Pacific Corp. Sell 3,865 6.6250 9/20/08 - (251,247) - ------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special
18 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Financing, Inc.: ABX.HE.AA.06-2 Index Sell 990 0.1700 5/25/46 (242,494) (107,864) D.R. Horton Inc. Sell 7,430 4.2000 12/20/08 - (4,321) Morgan Stanley Sell 18,645 0.6400 9/20/08 - 55,450 Nortel Networks Corp. Sell 1,135 1.8500 9/20/08 - 1,619 - ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc: ABX.HE.AA.06-2 Index Sell 1,240 0.1700 5/25/46 (123,994) (135,102) ABX.HE.AA.06-2 Index Sell 600 0.1700 5/25/46 (47,935) (65,372) Beazer Homes USA, Inc. Sell 4,840 2.1500 6/20/08 - (565,964) CDX.NA.HY.8 Index Sell 4,090 2.7500 6/20/12 (267,441) (83,580) CDX.NA.HY.8 Index Buy 20,160 2.7500 6/20/14 267,120 577,482 CDX.NA.HY.8 Index Sell 20,160 2.7500 6/20/12 186,480 (598,453) CDX.NA.HY.8 Index Sell 19,525 2.7500 6/20/12 158,505 (557,502) CDX.NA.HY.8 Index Buy 19,525 2.7500 6/20/14 280,807 537,191 Clear Channel Communications, Inc. Sell 450 6.3000 9/20/12 - 34,818 Countrywide Home Loans, Inc. Sell 4,080 0.7500 9/20/08 - (143,529) Countrywide Home Loans, Inc. Sell 11,880 0.4200 6/20/09 - (669,090) Dow Jones CDX.NA.IG.HVOL.7 Index Sell 17,000 0.7500 12/20/11 (64,344) (356,046) El Paso Corp. Sell 7,740 0.5200 3/20/10 - (73,823) First Data Corp. Sell 2,675 1.3500 9/20/08 - (22,886) Ford Motor Co. Sell 6,445 7.1500 12/20/16 - 378,623 Ford Motor Co. Sell 3,065 7.0500 12/20/16 - 164,343 General Motors Corp. Sell 3,440 5.7500 12/20/16 - 148,064 General Motors Corp. Buy 3,440 3.9500 12/20/08 - (20,261) General Motors Corp. Sell 3,250 5.8000 12/20/16 - 148,740 General Motors Corp. Buy 3,250 4.0000 12/20/08 - (21,077)
19 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Harrah's Operating Co., Inc. Sell 5,585 2.2000 9/20/08 - 29,096 Inco Ltd. Buy 3,670 0.6300 3/20/17 - (21,022) Inco Ltd. Buy 3,660 0.7000 3/20/17 - (39,965) J.C. Penney Co., Inc. Sell 4,665 1.0700 12/20/17 - (14,072) K. Hovnanian Enterprises, Inc. Sell 1,950 1.8500 6/20/08 - (96,301) K. Hovnanian Enterprises, Inc. Sell 1,950 1.8500 6/20/08 - (96,301) Kohl's Corp. Buy 6,995 0.6600 12/20/17 - (129) Lennar Corp. Sell 7,820 2.9000 12/20/08 - (63,125) Residential Capital LLC Sell 10,585 6.1200 9/20/08 - (538,200) Sara Lee Corp. Buy 7,680 0.4180 9/20/12 - (68,045) The Kroger Co. Buy 5,740 0.4775 6/20/12 - (46,681) Toys "R" Us, Inc. Sell 2,605 2.5500 9/20/08 - (17,118) Tribune Co. Sell 4,225 1.0000 6/20/08 - (189,153) Vale Overseas Ltd. Sell 3,670 1.1000 3/20/17 - 15,028 Vale Overseas Ltd. Sell 3,660 1.1700 3/20/17 - 33,281 ------------------------------ $ 761,432 $(4,626,578) ==============================
INTEREST RATE SWAP CONTRACTS An interest rate swap is an agreement under which a set of future cash flows is exchanged between two counterparties. Interest rate swaps involve the exchange of rights to receive or commitments to pay interest. One cash flow stream will typically be a floating rate payment based upon a specified index while the other is typically a fixed rate. 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. Interest rate swaps are marked to market daily using primarily quotations from counterparties, and brokers. 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 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. Swap agreements entail both interest rate risk and credit risk. There is a risk, based on movements of interest rates in the future, the payments made by the Fund under a swap agreement will be greater than the payments it received. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual interest payments that the Fund has not yet received. The Manager will monitor the creditworthiness of counterparties to the Fund's interest rate swap transactions on an ongoing basis. As of September 30, 2007, the Fund had entered into the following interest rate swap agreements: 20 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE - -------------------------------------------------------------------------------------------- Three- Credit Suisse Month USD International $ 19,780,000 BBA LIBOR 5.428% 8/7/17 $ 354,257 - -------------------------------------------------------------------------------------------- Three- Month USD Deutsche Bank AG 16,700,000 BBA LIBOR 5.445 8/8/17 314,395 --------- $ 668,652 =========
Index abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate 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 primarily quotations from counterparties and brokers. 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 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 September 30, 2007, the Fund had entered into the following total return swap agreements:
NOTIONAL RECEIVED BY THE FUND TERMINATION COUNTERPARTY AMOUNT PAID BY THE FUND DATES VALUE - --------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus $ 23,200,000 CMBS AAA 8.5+ Index 27.5 basis points 11/1/07 $ 160,000 If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index minus 19,020,000 CMBS AAA 8.5+ Index 45 basis points 2/1/08 119,681 If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus 60 56,660,000 CMBS AAA 8.5+ Index basis points 2/1/08 406,105
21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus 25 5,100,000 CMBS AAA 8.5+ Index basis points 2/1/08 35,066 - --------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus 17,880,000 CMBS AAA 8.5+ Index 32.5 basis points 11/1/07 121,454 If negative, the If positive, the Total absolute value of the Return of the Lehman Lehman Brothers U.S. Brothers U.S. CMBS 23,460,000 CMBS AAA 8.5+ Index AAA 8.5+ Index 2/1/08 (153,031) If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus 20,687,000 CMBS AAA 8.5+ Index 60 basis points 2/1/08 141,267 If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index minus 10,540,000 CMBS AAA 8.5+ Index 25 basis points 3/1/08 67,218 - --------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+Index plus 5,000,000 CMBS AAA 8.5+ Index 25 basis points 10/31/07 34,123 If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+Index plus 2,500,000 CMBS AAA 8.5+ Index 110 basis points 1/31/08 18,714 - --------------------------------------------------------------------------------------------------------------------- If positive, the Total If negative, the Return of the Lehman absolute value of the Brothers U.S. CMBS Lehman Brothers U.S. AAA 8.5+ Index plus UBS AG 25,538,000 CMBS AAA 8.5+ Index 60 basis points 2/1/08 181,236 ------------ $ 1,131,833 ============
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities 22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- ILLIQUID SECURITIES As of September 30, 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 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 September 30, 2007, the Fund had on loan securities valued at $30,496,454, 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 $31,078,841 was received for the loans, all of which was received in cash and subsequently invested in approved investments. RECENT ACCOUNTING PRONOUNCEMENT In September 2006, 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 September 30, 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 September 30, 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 $ 2,109,463,632 Federal tax cost of other investments (181,406,604) --------------- Total federal tax cost $ 1,928,057,028 =============== Gross unrealized appreciation $ 26,773,939 Gross unrealized depreciation (32,409,366) --------------- Net unrealized depreciation $ (5,635,427) =============== 23 | 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 09/30/2007, 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: 11/14/2007 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: 11/14/2007 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 11/14/2007 EX-99.CERT 2 rq285_42759cert302.txt RQ285_42759CERT302.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: 11/14/2007 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 11/14/2007 -----END PRIVACY-ENHANCED MESSAGE-----