-----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, CqwEi9tZ22QYIAZnKI3AODMD8YRR+5PuHUiJWict4c5rnq26PkhUg8sUE6ce15R/ apUWo53sKHsbZqbQYId3TA== 0000935069-08-001348.txt : 20080530 0000935069-08-001348.hdr.sgml : 20080530 20080530165816 ACCESSION NUMBER: 0000935069-08-001348 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20080331 FILED AS OF DATE: 20080530 DATE AS OF CHANGE: 20080530 EFFECTIVENESS DATE: 20080530 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: 08871369 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_46587nq.txt RQ285_46587NQ.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: 03/31/2008 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ----------- ------------ ASSET-BACKED SECURITIES -- 4.4% Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 2.779%, 11/25/35(1) $ 1,223,673 $ 1,201,978 Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 2.596%, 4/20/09(1,2) 160,000 159,686 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 3.079%, 5/25/34(1) 3,925,924 3,453,784 Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 2.699%, 5/26/36(1) 3,380,000 3,197,198 Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 2.838%, 4/15/11(1) 21,500,000 21,363,767 Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates, Series 2005-D, Cl. AV2, 2.869%, 10/25/35(1) 660,774 658,770 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 2.699%, 5/16/36(1) 4,116,220 3,985,172 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 3.159%, 2/25/33(1) 1,458,771 1,437,044 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 394,690 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 2.699%, 10/31/36(1) 2,300,000 2,084,535 CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 3.339%, 2/25/33(1) 48,808 44,951 CWABS Asset-Backed Certificates Trust 2005-11, Asset-Backed Certificates, Series 2005-11, Cl. AF2, 4.657%, 2/25/36 2,790,000 2,776,445 CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(1) 4,980,000 4,740,751 CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 2.799%, 5/25/36(1) 229,495 227,894 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(1) 970,000 934,547 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 2.719%, 12/25/29 (1) 3,020,000 2,605,654 First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 2.809%, 11/25/35(1) 3,224,647 3,187,933 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 2.689%, 7/25/36(1) 3,550,000 3,256,327 First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 2.649%, 5/15/36(1) 395,178 390,933 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 2.709%, 7/7/36(1) 1,820,000 1,676,293 Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 3,578,551 3,592,493
1 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------ HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 2.796%, 1/20/35(1) $ 1,324,074 $ 1,114,504 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 2.646%, 3/20/36(1) 1,120,000 993,273 Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,473,721 1,471,034 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35(1) 836,360 840,335 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 801,705 808,190 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(3) 1,079,860 1,052,788 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 4.168%, 3/15/16(1) 4,380,000 3,450,087 NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.249%, 1/25/29 (1),(3) 1,750,658 227,586 Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 2.699%, 7/1/36(1) 11,300,000 10,480,322 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 1,516,210 RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 2.679%, 7/25/36(1) 656,169 644,303 Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 2.849%, 6/25/36(1) 2,378,347 2,348,910 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates: Series 2006-2, Cl. A1, 2.659%, 4/25/36(1) 391,135 388,931 Series 2006-BNC3, Cl. A2, 2.639%, 9/25/36(1) 3,488,521 3,374,991 Structured Asset Securities Corp., Mtg. Pass-Through Certificates: Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,282,986 1,574,244 Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 170,428 170,648 Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,045,000 1,071,585 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 2.699%, 7/25/36(1) 3,530,000 3,350,951 ------------ Total Asset-Backed Securities (Cost $102,946,596) 96,249,737 ------------ MORTGAGE-BACKED OBLIGATIONS -- 91.6% GOVERNMENT AGENCY -- 59.0% FHLMC/FNMA/SPONSORED -- 58.9% Fannie Mae Trust 2004-W9, Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,404,343 1,535,119 Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 22,174,551 22,143,544 5%, 6/15/33-8/15/33 11,510,440 11,432,936 5.50%, 5/1/34 9,791,489 9,913,413 6%, 5/15/18-3/15/33 9,298,850 9,607,685 6.50%, 4/15/18-4/1/34 6,879,759 7,212,234
2 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------ FHLMC/FNMA/SPONSORED CONTINUED 7%, 7/15/21-3/15/35 $ 12,788,679 $ 13,549,849 8%, 4/1/16 511,496 544,735 9%, 4/14/17-5/1/25 144,255 158,430 12.50%, 5/15/14 761 906 13.50%, 12/15/10 1,141 1,283 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 30,038 30,019 Series 1590, Cl. IA, 3.925%, 10/15/23(1) 4,750,250 4,836,199 Series 2006-11, Cl. PS, 15.01%, 3/25/36(1) 2,650,763 3,132,689 Series 2034, Cl. Z, 6.50%, 2/15/28 38,588 40,550 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,446,527 3,614,568 Series 2046, Cl. G, 6.50%, 4/15/28 3,517,726 3,696,250 Series 2053, Cl. Z, 6.50%, 4/15/28 41,643 43,705 Series 2055, Cl. ZM, 6.50%, 5/15/28 49,725 51,792 Series 2063, Cl. PG, 6.50%, 6/15/28 2,745,134 2,873,045 Series 2075, Cl. D, 6.50%, 8/15/28 620,920 651,830 Series 2080, Cl. Z, 6.50%, 8/15/28 1,479,420 1,553,141 Series 2145, Cl. MZ, 6.50%, 4/15/29 967,972 1,016,919 Series 2148, Cl. ZA, 6%, 4/15/29 1,984,971 2,053,899 Series 2195, Cl. LH, 6.50%, 10/15/29 2,285,481 2,430,517 Series 2326, Cl. ZP, 6.50%, 6/15/31 846,505 890,332 Series 2341, Cl. FP, 3.718%, 7/15/31(1) 1,445,807 1,455,786 Series 2399, Cl. PG, 6%, 1/15/17 1,292,676 1,365,163 Series 2410, Cl. PF, 3.798%, 2/15/32(1) 4,653,985 4,619,019 Series 2423, Cl. MC, 7%, 3/15/32 3,229,507 3,415,924 Series 2426, Cl. BG, 6%, 3/15/17 7,753,084 8,170,667 Series 2427, Cl. ZM, 6.50%, 3/15/32 4,370,015 4,604,770 Series 2453, Cl. BD, 6%, 5/15/17 1,218,682 1,284,021 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,829,835 5,105,076 Series 2463, Cl. F, 3.818%, 6/15/32(1) 7,085,463 7,071,121 Series 2500, Cl. FD, 3.318%, 3/15/32(1) 344,797 347,244 Series 2526, Cl. FE, 3.218%, 6/15/29(1) 547,134 549,496 Series 2551, Cl. FD, 3.218%, 1/15/33(1) 1,128,072 1,101,281 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,539,190 Series 2681, Cl. B, 5%, 9/15/23 3,233,000 3,101,913 Series 2764, Cl. UG, 5%, 3/15/34 8,661,000 8,150,780 Series 3025, Cl. SJ, 14.419%, 8/15/35(1) 1,074,623 1,299,560 Series 3094, Cl. HS, 14.052%, 6/15/34(1) 1,612,531 1,925,233 Series 3138, Cl. PA, 5.50%, 2/15/27 18,480,039 18,953,586 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.934%, 6/1/26(5) 646,884 137,062 Series 183, Cl. IO, 10.602%, 4/1/27(5) 2,145,566 438,631 Series 184, Cl. IO, 16.524%, 12/1/26(5) 1,123,127 224,516 Series 192, Cl. IO, 13.072%, 2/1/28(5) 276,412 61,108 Series 200, Cl. IO, 12.188%, 1/1/29(5) 333,846 70,262 Series 2003-26, Cl. IK, 12.185%, 4/25/33(5) 3,187,694 537,775 Series 206, Cl. IO, (8.415)%, 12/1/29(5) 345,192 76,022 Series 2129, Cl. S, 24.706%, 2/15/29(5) 1,540,357 178,156
3 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------- ------------- FHLMC/FNMA/SPONSORED CONTINUED Series 2130, Cl. SC, 21.787%, 3/15/29(5) $ 720,475 $ 72,465 Series 2134, Cl. SB, 33.392%, 3/15/29(5) 763,113 78,134 Series 2155, Cl. SE, 24.208%, 5/15/29(5) 1,926,511 211,436 Series 216, Cl. IO, 11.875%, 12/1/31(5) 1,304,585 306,298 Series 224, Cl. IO, 8.462%, 3/1/33(5) 3,793,744 833,374 Series 2422, Cl. SJ, 55.662%, 1/15/32(5) 3,432,874 367,115 Series 243, Cl. 6, 15.055%, 12/15/32(5) 2,339,912 444,699 Series 2493, Cl. S, 46.481%, 9/15/29(5) 200,243 23,319 Series 2517, Cl. GS, 27.943%, 2/15/32(5) 1,028,750 124,445 Series 2796, Cl. SD, 31.071%, 7/15/26(5) 1,155,033 119,225 Series 2802, Cl. AS, 64.495%, 4/15/33(5) 3,821,957 317,493 Series 2920, Cl. S, 35.536%, 1/15/35(5) 4,540,043 333,315 Series 3000, Cl. SE, 57.608%, 7/15/25(5) 6,835,744 577,184 Series 3110, Cl. SL, 88.749%, 2/15/26(5) 2,080,374 179,213 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.721%, 6/1/26(6) 270,027 231,086 Series 192, Cl. PO, 6.336%, 2/1/28(6) 269,423 220,880 Federal National Mortgage Assn.: 4.50%, 6/25/18-8/1/20 40,731,513 40,712,337 4.50%, 4/1/21(7) 49,135,000 48,873,995 5%, 12/1/17-9/25/33 126,678,696 128,007,336 5%, 4/1/23-4/1/38(7) 134,127,000 133,602,331 5.50%, 12/25/18-1/25/34 79,414,581 80,449,235 5.50%, 4/1/23-4/1/38(7) 166,511,000 168,282,854 5.50%, 12/25/32(8) 54,145,543 54,876,958 6%, 5/25/20-12/1/33 49,489,886 51,021,693 6%, 4/1/21(7) 19,276,000 19,839,225 6%, 3/1/33-11/1/33(8) 22,005,139 22,683,644 6.50%, 6/25/17-11/25/31 33,574,052 35,197,584 6.50%, 4/1/37(7) 44,334,000 45,920,315 7%, 1/25/09-4/1/34 13,968,589 14,810,208 7%, 4/1/37(7) 635,000 666,552 7.50%, 1/1/33-8/25/33 11,210,657 12,137,225 8%, 8/25/17 438 442 8.50%, 7/1/32 50,344 55,519 Federal National Mortgage Assn. Grantor Trust, Gtd. Trust Mtg. Pass-Through Certificates, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,696,846 1,700,878 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 19,108 20,111 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 983,245 1,025,423 Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23(8) 3,858,230 4,093,623 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 467,532 490,006 Trust 1996-35, Cl. Z, 7%, 7/25/26 237,088 253,104 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,599,200 1,670,858 Trust 1998-61, Cl. PL, 6%, 11/25/28 2,362,383 2,448,609
4 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ----------- ----------- FHLMC/FNMA/SPONSORED CONTINUED Trust 1999-54, Cl. LH, 6.50%, 11/25/29 $ 2,793,950 $ 2,907,059 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 10,164,143 10,732,733 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,538,051 2,704,578 Trust 2001-70, Cl. LR, 6%, 9/25/30 152,637 153,447 Trust 2001-74, Cl. QE, 6%, 12/25/31 10,770,269 11,144,279 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,058,908 2,174,593 Trust 2002-16, Cl. PG, 6%, 4/25/17 2,224,000 2,343,221 Trust 2002-2, Cl. UC, 6%, 2/25/17 1,362,378 1,425,052 Trust 2002-56, Cl. FN, 3.606%, 7/25/328(1) 1,857,222 1,842,370 Trust 2002-9, Cl. PC, 6%, 3/25/17 7,427,312 7,817,712 Trust 2003-130, Cl. CS, 8.888%, 12/25/33(1) 7,863,998 8,193,544 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,494,987 Trust 2003-21, Cl. FK, 3.006%, 3/25/33(1) 700,382 682,334 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 8,509,390 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,546,595 Trust 2003-84, Cl. GC, 4.50%, 5/25/15 11,330,000 11,469,276 Trust 2003-84, Cl. PW, 3%, 6/25/22 711,223 709,453 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,765,485 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,525,289 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 12,573,000 12,982,466 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 10,221,632 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,490,899 Trust 2005-59, Cl. NQ, 10.359%, 5/25/35(1) 2,956,341 3,226,269 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,238,365 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 7,149,971 7,318,589 Trust 2006-46, Cl. SW, 14.643%, 6/25/36(1) 2,522,593 2,980,121 Trust 2006-50, Cl. KS, 14.644%, 6/25/36(1) 3,563,002 4,045,271 Trust 2006-50, Cl. SK, 14.644%, 6/25/36(1) 2,526,623 2,886,383 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 8,131,924 8,321,001 Trust 2006-64, Cl. MD, 5.50%, 7/25/36 2,753,828 2,758,579 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 42.419%, 3/17/31(5) 1,291,500 178,716 Trust 2001-61, Cl. SE, 27.039%, 11/18/31(5) 1,811,310 188,868 Trust 2001-65, Cl. S, 35.417%, 11/25/31(5) 4,441,591 498,172 Trust 2001-81, Cl. S, 19.85%, 1/25/32(5) 553,708 57,029 Trust 2002-12, Cl. SB, 44.235%, 7/25/31(5) 884,509 96,564 Trust 2002-2, Cl. SW, 45.919%, 2/25/32(5) 995,125 106,243 Trust 2002-38, Cl. IO, 26.769%, 4/25/32(5) 365,837 31,468 Trust 2002-41, Cl. S, 48.373%, 7/25/32(5) 3,782,056 432,603 Trust 2002-47, Cl. NS, 20.632%, 4/25/32(5) 1,407,599 150,403 Trust 2002-5, Cl. SD, 37.311%, 2/25/32(5) 648,356 72,800 Trust 2002-51, Cl. S, 20.892%, 8/25/32(5) 1,292,446 140,055 Trust 2002-52, Cl. SD, 19.624%, 9/25/32(5) 1,457,939 163,379 Trust 2002-60, Cl. SY, 18.827%, 4/25/32(5) 5,753,816 154,055 Trust 2002-75, Cl. SA, 36.791%, 11/25/32(5) 3,517,837 363,754 Trust 2002-77, Cl. IS, 24.942%, 12/18/32(5) 623,277 66,287 Trust 2002-77, Cl. SH, 25.14%, 12/18/32(5) 729,435 87,085 Trust 2002-84, Cl. SA, 38.677%, 12/25/32(5) 881,184 96,687
5 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ----------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2002-89, Cl. S, 46.645%, 1/25/33(5) $ 5,566,599 $ 604,466 Trust 2002-9, Cl. MS, 22.305%, 3/25/32(5) 45,337 5,020 Trust 2002-96, Cl. SK, 25.59%, 4/25/32(5) 204,808 26,582 Trust 2003-117, Cl. KS, 33.065%, 8/25/33(5) 32,143,169 2,794,026 Trust 2003-118, Cl. S, 33.882%, 12/25/33(5) 8,448,438 1,221,179 Trust 2003-14, Cl. OI, 10.882%, 3/25/33(5) 8,205,182 1,653,704 Trust 2003-33, Cl. SP, 37.82%, 5/25/33(5) 5,388,431 675,025 Trust 2003-4, Cl. S, 32.519%, 2/25/33(5) 1,718,321 199,405 Trust 2003-52, Cl. NS, 37.953%, 6/25/23(5) 27,516,873 3,024,344 Trust 2004-54, Cl. DS, 24.897%, 11/25/30(5) 318,010 30,497 Trust 2005-105, Cl. S, 68.168%, 12/25/35(5) 8,897,025 811,611 Trust 2005-19, Cl. SA, 36.093%, 3/25/35(5) 16,019,563 1,362,534 Trust 2005-40, Cl. SA, 36.103%, 5/25/35(5) 2,837,470 236,811 Trust 2005-6, Cl. SE, 42.619%, 2/25/35(5) 3,424,132 274,605 Trust 2005-71, Cl. SA, 49.239%, 8/25/25(5) 5,680,607 566,590 Trust 2005-83, Cl. SL, 61.969%, 10/25/35(5) 11,489,661 1,024,920 Trust 2005-87, Cl. SE, 96.767%, 10/25/35(5) 21,142,875 1,520,870 Trust 2005-87, Cl. SG, 67.109%, 10/25/35(5) 16,625,904 1,422,196 Trust 2006-119, Cl. MS, 62.474%, 12/25/36(5) 9,310,852 837,918 Trust 2006-33, Cl. SP, 53.593%, 5/25/36(5) 13,120,895 1,497,761 Trust 2006-34, Cl. SK, 53.922%, 5/25/36(5) 18,343,838 2,091,706 Trust 222, Cl. 2, 17.535%, 6/1/23(5) 2,271,259 490,189 Trust 240, Cl. 2, 20.553%, 9/1/23(5) 2,692,267 660,751 Trust 247, Cl. 2, 15.699%, 10/1/23(5) 184,063 44,350 Trust 252, Cl. 2, 15.479%, 11/1/23(5) 1,940,359 484,171 Trust 254, Cl. 2, 9.806%, 1/1/24(5) 3,371,339 834,738 Trust 2682, Cl. TQ, 72.017%, 10/15/33(5) 5,076,290 424,705 Trust 273, Cl. 2, 15.472%, 8/1/26(5) 503,778 122,969 Trust 2981, Cl. BS, 83.417%, 5/15/35(5) 9,518,539 783,384 Trust 301, Cl. 2, 5.866%, 4/1/29(5) 1,267,509 268,419 Trust 303, Cl. IO, (2.768)%, 11/1/29(5) 152,470 37,760 Trust 319, Cl. 2, 10.872%, 2/1/32(5) 770,344 161,361 Trust 321, Cl. 2, 8.93%, 4/1/32(5) 3,176,020 680,658 Trust 322, Cl. 2, 16.106%, 4/1/32(5) 4,093,813 892,842 Trust 324, Cl. 2, 5.832%, 7/1/32(5) 2,516,373 566,430 Trust 331, Cl. 9, 11.439%, 2/1/33(5) 8,126,667 1,416,246 Trust 334, Cl. 14, 14.422%, 2/1/33(5) 7,225,090 1,332,516 Trust 334, Cl. 15, 8.659%, 2/1/33(5) 4,944,865 910,190 Trust 334, Cl. 17, 22.341%, 2/1/33(5) 277,170 51,961 Trust 339, Cl. 7, 10.002%, 7/1/33(5) 9,572,307 2,032,315 Trust 342, Cl. 2, 8.88%, 9/1/33(5) 1,532,320 340,353 Trust 344, Cl. 2, 5.743%, 12/1/33(5) 41,112,894 9,126,315 Trust 345, Cl. 9, 11.109%, 1/1/34(5) 5,502,530 1,157,493 Trust 354, Cl. 2, 7.61%, 11/1/34(5) 13,307,118 2,904,522 Trust 362, Cl. 12, 11.023%, 8/1/35(5) 8,918,395 1,750,089
6 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ----------- -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 362, Cl. 13, 11.028%, 8/1/35(5) $ 4,951,507 $ 974,541 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.094%, 9/25/23(6) 675,988 577,627 Trust 324, Cl. 1, 6.144%, 7/1/32(6) 628,357 510,604 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,206,245 1,175,693 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 5,269,795 5,060,266 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.039%, 9/25/33(1) 6,044,930 5,750,613 WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.131%, 8/25/36(1) 18,110,501 17,567,460 -------------- 1,283,547,138 -------------- GNMA/GUARANTEED -- 0.1% Government National Mortgage Assn.: 5.625%, 8/8/25-8/8/27(1) 21,674 21,841 7%, 7/29/09 3,233 3,310 8.50%, 8/1/17-12/15/17 219,989 240,601 9%, 3/29/09-6/29/09 3,514 3,644 10.50%, 12/29/17-5/29/21 16,995 20,515 11%, 11/8/19 33,270 39,176 12%, 5/29/14 273 330 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 33.223%, 1/16/27(5) 1,357,713 144,913 Series 2002-15, Cl. SM, 27.192%, 2/16/32(5) 1,561,636 171,836 Series 2002-41, Cl. GS, 35.891%, 6/16/32(5) 1,075,449 166,072 Series 2002-76, Cl. SY, 28.891%, 12/16/26(5) 700,196 82,501 Series 2002-78, Cl. S, 17.172%, 11/16/32(5) 663,477 76,427 Series 2004-11, Cl. SM, 17.789%, 1/17/30(5) 255,603 33,816 Series 2006-47, Cl. SA, 75.786%, 8/16/36(5) 16,781,123 1,612,819 -------------- 2,617,801 -------------- NON-AGENCY -- 32.6% COMMERCIAL -- 14.7% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 2.881%, 4/14/29(5) 13,644,581 498,596 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2005-3, Cl. A2, 4.501%, 7/10/43 3,580,000 3,524,137 Series 2006-1, Cl. AM, 5.421%, 9/1/45(1) 20,850,000 19,099,048 Series 2006-5, Cl. A2, 5.348%, 10/10/11 6,320,000 6,213,444 Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,647,707 1,601,700 Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,501,144 1,541,914
7 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------ COMMERCIAL CONTINUED Bear Stearns Commercial Mortgage Securities Trust 2007-PW18, Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2, 5.613%, 6/1/50 $ 17,675,000 $ 17,275,833 Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2003-T10, Cl. A1, 4%, 3/13/40 136,332 132,255 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (7.163)%, 6/22/24(5) 4,336,728 117,463 Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 880,694 887,017 Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 7,620,000 7,426,821 CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 2006-A5, Cl. 1A1, 3.006%, 10/25/36(1) 12,983,416 10,677,107 Series 2006-A5, Cl. 1A13, 3.056%, 10/25/36(1) 6,808,377 4,989,424 Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,904,284 1,886,421 Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 666,111 656,461 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 8,039,924 7,734,104 DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-CF2, Cl. A1B, 6.24%, 11/12/31 3,029,757 3,035,948 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 3,449,903 3,117,719 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 3,833,107 3,718,868 First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 763,432 761,435 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2003-C1, Cl. A2, 4.093%, 1/10/38 129,218 127,554 Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,835,524 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,250,000 2,231,545 Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 2,000,000 1,974,192 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 13,098,000 13,029,076 Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 17,310,000 16,975,249 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A2, 5.479%, 11/10/39 10,380,000 10,270,320 GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 9,022,421 8,665,827 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 860,000 847,520
8 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------- ------------ COMMERCIAL CONTINUED Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 $ 3,566,000 $ 3,524,454 Series 2007-LD11, Cl. A2, 5.804%, 6/15/49(1) 5,450,000 5,421,738 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 12,980,000 12,861,882 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 23,552,000 22,974,792 JPMorgan Chase Commercial Mortgage Securities Trust 2005-LDP2, Commercial Mtg. Pass-Through Certificates, Series 2005-LDP2, Cl. AM, 4.78%, 7/1/42 8,810,000 8,258,416 JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 4,369,832 4,508,792 LB-UBS Commercial Mortgage Trust 2005-C5, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 2,700,000 2,683,183 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: Series 2006-C1, Cl. A2, 5.084%, 2/11/31 12,040,000 11,881,497 Series 2006-C1, Cl. AM, 5.217%, 2/11/31(1) 11,760,000 10,633,998 LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 13,940,000 13,655,044 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.732%, 2/18/30(5) 3,347,458 104,232 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24(3) 177,173 132,880 Mastr Alternative Loan Trust, CMO Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,066,821 1,906,356 Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 3.049%, 10/25/36(1) 20,994,486 19,222,194 Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.613%, 5/1/39(1) 6,100,000 6,084,069 Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,620,040 1,623,588 Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 182,000 188,530 Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 5,373,549 5,336,499 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, (1.321)%, 5/18/32(5) 164,052,999 243,537 Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,769,316 3,744,032 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 2,104,575 WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg, Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.884%, 8/1/46(1) 21,026,572 20,189,571
9 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------- COMMERCIAL CONTINUED Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.835%, 10/1/34(1) $ 11,187,793 $ 11,242,218 ------------- 319,378,599 ------------- MANUFACTURED HOUSING -- 1.3% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36(1) 14,150,920 13,340,811 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.109%, 3/25/36(1) 16,658,982 15,977,142 ------------- 29,317,953 ------------- MULTIFAMILY -- 8.0% Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates: Series 2003-E, Cl. 2A2, 4.35%, 6/25/33(1) 9,171,256 9,155,675 Series 2005-F, Cl. 2A3, 4.716%, 7/25/35(1) 11,840,018 11,610,699 Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.795%, 10/25/36(1) 6,499,568 5,854,944 Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 1 A3A, 5.888%, 7/25/36(1) 4,921,322 4,735,565 Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl.2A4, 5.75%, 1/25/35 10,018,000 8,556,367 Countrywide Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl.2A3, 5.50%, 2/25/36 7,710,000 6,854,239 Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates: Series 2003-46, Cl. 1A2, 4.124%, 1/19/34(1) 8,267,319 8,397,301 Series 2005-HYB1, Cl. 5A1, 4.995%, 3/25/351 11,866,773 11,406,935 Series 2007-HY1, Cl. 1A1, 5.691%, 4/25/37(1) 11,919,745 11,296,946 GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates: Series 2004-J4, Cl. A7, 5.50%, 9/25/34 7,166,000 6,312,768 Series 2005-AR4, Cl. 2A1, 5.295%, 7/19/35(1) 13,037,205 11,190,701 GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.149%, 11/25/35(1) 19,463,766 18,714,104 Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 6.002%, 6/25/37(1) 15,884,299 15,063,159 Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.996%, 12/25/34(1) 3,919,937 3,689,752 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.541%, 9/25/34(1) 3,264,708 3,103,763 Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.541%, 3/25/35(1) 2,534,482 2,463,835
10 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------- MULTIFAMILY CONTINUED Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.523%, 4/25/35(1) $ 3,992,665 $ 3,733,150 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 2A1, 5.65%, 7/25/36(1) 6,059,779 5,812,761 Series 2006-AR10, Cl. 4A1, 5.561%, 7/25/36(1) 7,973,466 7,648,310 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates: Series 2006-AR2, Cl. 2A3, 5.10%, 3/1/36(1) 12,530,714 12,017,840 Series 2006-AR2, Cl. 2A6, 5.109%, 3/25/36(1) 3,169,041 2,958,369 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36(1) 3,551,824 3,400,762 ------------- 173,977,945 ------------- OTHER -- 0.2% JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.761%, 2/25/32(1) 3,945,379 3,894,608 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 69.66%, 10/23/17(5) 7,453 1,016 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 0.982%, 10/23/17(6) 11,030 10,709 ------------- 3,906,333 ------------- RESIDENTIAL -- 8.4% Bank of America Alternative Loan Trust, Mtg. Pass-Through Certificates, Series 2003-1, Cl. A6, 6%, 2/1/33 7,070,272 6,477,733 Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 4,500,000 4,145,099 CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment Conduit Pass-ThroughCertificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 7,115,299 7,050,981 Countrywide Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl.1A1, 6%, 11/1/34 8,474,493 6,998,794 Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl.3A1, 6%, 1/1/35 6,706,369 6,009,030 Countrywide Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 9,396,000 8,428,528 Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 7,486,271 6,701,387 Countrywide Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6,239,780 5,533,775 Countrywide Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,295,590 3,174,985 GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1, 5.834%, 3/1/37(1) 11,417,714 10,510,725 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed Certificates, Series 2005-A1, Cl.2A1, 4.516%, 12/25/34(1) 2,615,121 2,488,970
11 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ --------------- RESIDENTIAL CONTINUED Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.426%, 6/25/36(1) $ 4,750,000 $ 4,402,856 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 3,606,771 3,583,223 RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 2,494,537 2,496,899 STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.007%, 8/1/22(1) 19,221,041 18,231,349 WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A1, 5.056%, 12/1/35(1) 12,447,018 12,112,946 WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36(1) 17,688,912 16,532,599 WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.699%, 6/25/37(1) 12,074,965 10,979,465 Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 15,367,855 15,127,568 Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 6,583,182 6,337,863 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.943%, 10/1/35(1) 8,481,254 8,601,921 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 5A3, 5.597%, 7/1/36(1) 3,903,307 3,784,521 Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A5, 5.76%, 9/1/36(1) 8,490,150 7,216,627 Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.537%, 4/1/36(1) 7,833,648 5,875,236 --------------- 182,803,080 --------------- Total Mortgage-Backed Obligations (Cost $1,988,218,087) 1,995,548,849 --------------- U.S. GOVERNMENT OBLIGATIONS -- 0.1% U.S. Treasury Bonds, STRIPS, 3.862%, 2/15/13(9,10) (Cost $1,261,600) 1,520,000 1,343,467 CORPORATE BONDS AND NOTES -- 20.4% CONSUMER DISCRETIONARY -- 6.6% AUTOMOBILES -- 1.1% Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08(2) 1,780,000 1,781,668 Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 15,830,000 14,116,735 General Motors Acceptance Corp., 8% Bonds, 11/1/31 7,415,000 5,325,594 Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08(2) 3,145,000 3,178,287 --------------- 24,402,284 ---------------
12 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------ HOTELS, RESTAURANTS & LEISURE -- 0.7% MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 $ 13,840,000 $ 13,805,400 Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10(10) 1,400,000 1,319,500 ------------ 15,124,900 ------------ HOUSEHOLD DURABLES -- 1.1% Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 6,760,000 6,356,529 D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 5,694,000 5,622,825 Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,355,000 6,132,575 Pulte Homes, Inc., 4.875% Nts., 7/15/09 6,385,000 6,065,750 ------------ 24,177,679 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 4,675,000 4,675,000 MEDIA -- 3.3% Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08(3) 14,175,000 14,333,150 Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 5,130,000 5,295,545 Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 6,350,000 5,607,501 Cox Enterprises, Inc., 4.375% Nts., 5/1/08(2) 10,245,000 10,248,647 CSC Holdings, Inc., 7.25% Sr. Unsec. Nts., 7/15/08 7,080,000 7,097,700 EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 9,370,000 9,346,575 Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2,625,000 2,648,415 Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 9,495,000 9,565,453 Tribune Co., 5.50% Nts., Series E, 10/6/08(3) 5,370,000 4,859,850 Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 1,795,000 1,756,856 ------------ 70,759,692 ------------ MULTILINE RETAIL -- 0.2% Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 4,070,000 4,080,175 SPECIALTY RETAIL -- 0.0% Gap, Inc. (The), 10.05% Unsub. Nts., 12/15/08(1) 546,000 562,380 CONSUMER STAPLES -- 0.8% FOOD & STAPLES RETAILING -- 0.7% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 6,950,000 6,661,255 Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 6,668,000 8,046,562 Real Time Data Co., 11% Disc. Nts., 5/31/09 (3),(11),(12) 476,601 -- ------------ 14,707,817 ------------ HOUSEHOLD PRODUCTS -- 0.1% Clorox Co. (The), 5% Sr. Unsec. Nts., 3/1/13 1,655,000 1,663,158 ENERGY -- 1.3% ENERGY EQUIPMENT & SERVICES -- 0.1% Weatherford International Ltd., 5.15% Nts., 3/15/13 2,080,000 2,084,957 OIL, GAS & CONSUMABLE FUELS -- 1.2% Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 6,160,000 6,072,818 Canadian National Resources Ltd., 5.90% Nts., 2/1/18 2,010,000 2,061,028 El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 1,170,000 1,178,322 Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 2,310,000 2,324,308 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 6,075,000 6,219,366
13 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------ ------------ OIL, GAS & CONSUMABLE FUELS CONTINUED PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(2) $ 1,113,803 $ 1,145,483 TEPPCO Partners LP, 6.125% Nts., 2/1/13 3,060,000 3,102,984 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 4,347,000 4,507,252 ------------ 26,611,561 ------------ FINANCIALS -- 9.6% CAPITAL MARKETS -- 1.4% Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34(10) 18,850,000 16,369,924 Lehman Brothers Holdings, Inc., 6.75% Unsec. Sub. Nts., 12/28/17 15,730,000 15,158,513 ------------ 31,528,437 ------------ COMMERCIAL BANKS -- 3.8% Barclays Bank plc, 6.278% Perpetual Bonds(13) 29,600,000 23,691,840 HBOS plc, 6.413% Sub. Perpetual Bonds, Series A(2),(13) 32,400,000 23,270,522 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(1) 29,980,000 24,354,553 Popular North America, Inc.: 3.875% Sr. Bonds, Series E, 10/1/08 5,450,000 5,430,980 4.70% Nts., 6/30/09(10) 6,799,000 6,817,310 ------------ 83,565,205 ------------ CONSUMER FINANCE -- 0.4% SLM Corp.: 3.95% Nts., Series A, 8/15/08(10) 1,780,000 1,757,017 4% Nts., 1/15/09 6,926,000 6,237,999 ------------ 7,995,016 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.8% Bank of America Corp., 8% Unsec. Perpetual Nts., Series K(13) 16,140,000 16,191,971 Capmark Financial Group, Inc.: 3.746% Sr. Unsec. Nts., 5/10/10 (1),(2) 3,920,000 2,598,019 5.875% Nts., 5/10/12 (2) 8,600,000 5,454,989 CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 5,029,000 4,131,067 Citigroup, Inc., 8.30% Jr. Sub. Bonds, 12/21/57(1) 10,425,000 10,302,736 ------------ 38,678,782 ------------ INSURANCE -- 1.8% MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34(8) 4,160,000 2,611,282 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66(1) 19,345,000 15,419,706 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(2) 9,470,000 11,797,906 Prudential Insurance Co. of America, 8.30% Nts., 7/1/25(2) 8,725,000 9,749,708 ------------ 39,578,602 ------------ THRIFTS & MORTGAGE FINANCE -- 0.4% Countrywide Home Loans, Inc., 3.25% Nts., Series L, 5/21/08(10) 7,775,000 7,625,191 INFORMATION TECHNOLOGY -- 0.3% COMMUNICATIONS EQUIPMENT -- 0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07(3),(11) 200,000 2
14 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008/Unaudited
PRINCIPAL AMOUNT VALUE ------------- --------------- COMPUTERS & PERIPHERALS -- 0.3% NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 $ 6,495,000 $ 6,686,011 MATERIALS -- 0.0% CHEMICALS -- 0.0% Morton International, Inc., 9.75% Credit Sensitive Nts., 6/1/20(1) 85,000 114,937 TELECOMMUNICATION SERVICES -- 1.0% DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% Qwest Corp.: 5.625% Unsec. Nts., 11/15/08(3) 729,000 729,000 8.875% Unsec. Unsub. Nts., 3/15/12 20,475,000 20,986,875 --------------- 21,715,875 --------------- UTILITIES -- 0.8% ELECTRIC UTILITIES -- 0.7% Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 7,977,000 8,550,411 Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 7,494,000 7,859,117 --------------- 16,409,528 --------------- ENERGY TRADERS -- 0.1% IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08(1),(3) 1,535,000 1,561,863 --------------- Total Corporate Bonds and Notes (Cost $474,055,107) 444,309,052 ---------------
SHARES ------ COMMON STOCKS -- 0.0% Chesapeake Energy Corp. (Cost $9) 181 8,353
UNITS ------ RIGHTS, WARRANTS AND CERTIFICATES -- 0.0% Long Distance International, Inc. Wts., Exp. 4/13/08(3),(14) 150 -- Pathmark Stores, Inc. Wts., Exp. 9/19/10(3),(14) 2,028 71 -- Total Rights, Warrants and Certificates (Cost $5,577) 71
SHARES ---------- INVESTMENT COMPANY -- 2.3% Oppenheimer Institutional Money Market Fund, Cl. E, 3.29% (15),(16) (Cost $50,639,574) 50,639,574 50,639,574 TOTAL INVESTMENTS, AT VALUE (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) (COST $2,617,126,550) 2,588,099,103
PRINCIPAL AMOUNT ------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED -- 0.6% (4) Protective Life Insurance Co., 3.46%, 4/29/08 $ 2,000,000 2,000,000 Undivided interest of 0.10% in joint repurchase agreement (Principal Amount/Value $7,000,000,000 with a maturity value of $7,000,486,111) with Barclays Capital, 2.50%, dated 3/31/08, to be repurchased at $7,163,202 on 4/1/08, collateralized by U.S. Agency Mortgages, 0%-6.40%, 3/1/28-3/1/38, with a value of $7,140,000,000 7,162,705 7,162,705
15 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31,2008 / Unaudited
PRINCIPAL AMOUNT VALUE ----------- --------------- Whitehawk CDO Funding Corp., 2.85%, 6/16/08 $ 3,000,000 $ 3,000,000 --------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $12,162,705) 12,162,705 TOTAL INVESTMENTS, AT VALUE (COST $2,629,289,255) 119.4% 2,600,261,808 ----------- --------------- LIABILITIES IN EXCESS OF OTHER ASSETS (19.4) (422,766,202) ----------- --------------- NET ASSETS 100.0% $ 2,177,495,606 =========== ===============
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Represents the current interest rate for a variable or increasing rate security. 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 $69,384,915 or 3.19% of the Fund's net assets as of March 31, 2008. 3. Illiquid security. The aggregate value of illiquid securities as of March 31, 2008 was $22,897,190, which represents 1.05% of the Fund's net assets. See accompanying Notes. 4. 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. 5. 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 $62,179,681 or 2.86% of the Fund's net assets as of March 31, 2008. 6. 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 $1,550,906 or 0.07% of the Fund's net assets as of March 31, 2008. 7. When-issued security or delayed delivery to be delivered and settled after March 31, 2008. See accompanying Notes. 8. 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 $6,007,733. See accompanying Notes. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. Partial or fully-loaned security. See accompanying Notes. 11. Issue is in default. See accompanying Notes. 12. Interest or dividend is paid-in-kind, when applicable. 13. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 14. Non-income producing security. 15. Rate shown is the 7-day yield as of March 31, 2008. 16. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2008, 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 adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2007 ADDITIONS REDUCTIONS MARCH 31, 2008 ----------------- ----------- ----------- -------------- Oppenheimer Institutional Money Market Fund, Cl. E 52,911,646 325,111,167 327,383,239 50,639,574
DIVIDEND VALUE INCOME ------------ --------- Oppenheimer Institutional Money Market Fund, Cl. E $ 50,639,574 $ 393,808
VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 16 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31,2008 / Unaudited 1) Level 1 - quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2 - inputs other than quoted prices that are observable for the asset (such as quoted prices for similar assets and market-corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3 - unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The market value of the Fund's investments was determined based on the following inputs as of March 31, 2008:
INVESTMENTS IN OTHER FINANCIAL VALUATION INPUTS SECURITIES INSTRUMENTS* - ----------------------------------------------------- ---------------- --------------- Level 1 - Quoted Prices $ 50,647,927 $ 243,267 Level 2 - Other Significant Observable Inputs 2,546,613,810 (2,004,520) Level 3 - Significant Unobservable Inputs 3,000,071 -- ---------------- --------------- TOTAL $ 2,600,261,808 $ (1,761,253) ================ ===============
* Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts, futures and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Options and swaps are reported at their market value at measurement date, which may include premiums received or paid. See the accompanying Notes for further discussion of the methods used in determining value of the Fund's investments, and a summary of changes to the valuation techniques, if any, during the reporting period. FUTURES CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) - ---------------------------- -------- --------- ---------- ------------- -------------- U.S. Long Bonds Buy 1738 6/19/08 $ 206,468,969 $ 3,117,184 U.S. Treasury Nts., 2 yr. Sell 2068 6/30/08 443,909,125 (1,876,563) U.S. Treasury Nts., 5 yr. Sell 893 6/30/08 102,011,297 (967,357) U.S. Treasury Nts., 10 yr. Sell 718 6/19/08 85,408,344 (29,997) -------------- $ 243,267 ==============
CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
BUY/SELL NOTIONAL CREDIT AMOUNT PAY/RECEIVE TERMINATION PREMIUM SWAP COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATE PAID/(RECEIVED) VALUE - ------------------- ------------------------------ ---------- -------- ----------- ----------- --------------- ------------ Barclays Bank plc: American International Group, Inc. Sell $ 22,690 1.850% 9/20/08 $ - $ - Beazer Homes USA, Inc. Sell 1,690 2.100 6/20/08 - (36,747) Capmark Financial Group, Inc. Sell 3,950 1.000 6/20/12 - (1,490,011) CDX.NA.IG.9 Index Sell 38,560 0.600 12/20/12 (240,958) (1,426,366) Countrywide Home Loans, Inc. Sell 5,980 0.750 9/20/08 - (158,016)
17 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31,2008 / Unaudited Dillard's, Inc. Sell 3,610 1.900 12/20/08 - (37,252) General Mills, Inc. Sell 3,390 0.400 12/20/12 - 417 HCP, Inc. Sell 5,350 4.600 3/20/09 - 5,056 iStar Financial, Inc. Sell 5,555 4.400 12/20/12 - (739,198) Lehman Brothers Holdings, Inc. Sell 8,735 0.490 9/20/10 - (534,556) Merrill Lynch & Co., Inc. Sell 18,610 0.680 9/20/08 - 2,084 Morgan Stanley Sell 20,305 2.150 9/20/08 - 134,500 Six Flags, Inc. Sell 4,885 8.250 12/20/08 - (657,892) The Bear Stearns Cos., Inc. Sell 485 14.000 9/20/08 - 26,937 Toys "R" Us, Inc. Sell 4,370 1.450 9/20/08 - (149,423) Credit Suisse International: ArvinMeritor, Inc. Sell 6,980 1.550 9/20/08 - (172,636) CenturyTel, Inc. Buy 3,090 1.300 3/20/13 - 78,931 CenturyTel, Inc. Buy 1,635 1.740 3/20/13 - 10,425 Intelsat Ltd. Sell 4,600 3.450 9/20/08 - (95,648) iStar Financial, Inc. Sell 340 6.350 3/20/09 - (22,124) iStar Financial, Inc. Sell 2,540 12.000 3/20/09 - (36,645) iStar Financial, Inc. Sell 1,255 4.000 12/20/12 - (167,002) Morgan Stanley Sell 21,825 2.150 9/20/08 - 144,569 Rite Aid Corp. Sell 6,565 0.875 6/20/08 - (140,084) Rite Aid Corp. Sell 2,890 7.500 3/20/09 - (40,027) Saks, Inc. Sell 7,380 2.000 9/20/08 - 11,491 Sprint Nextel Corp. Sell 15,630 6.300 3/20/09 - 30,307 The Goodyear Tire & Rubber Co. Sell 7,205 1.550 9/20/08 - (1,700) TXU Corp. Sell 1,680 5.910 12/20/12 - (76,497) TXU Corp. Sell 1,620 6.050 12/20/12 - (65,971) TXU Corp. Sell 1,685 6.000 12/20/12 - (71,513) Univision Communications, Inc. Sell 585 14.600 3/20/09 - 6,212 Vornado Realty LP Sell 3,520 3.600 3/20/09 - (6,026) Wachovia Corp. Sell 6,920 1.000 3/20/09 - 111 Deutsche Bank AG:
18 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31,2008 / Unaudited Ambac Assurance Corp. Sell 6,765 4.550 9/20/08 - (160,648) Ambac Assurance Corp. Sell 8,370 4.550 9/20/08 - (198,762) ABX.HE.AA.06-2 Index Sell 2,000 0.170 5/25/46 (239,981) (1,161,773) Allied Waste North America, Inc. Sell 1,830 2.000 9/20/09 - (11,648) Allied Waste North America, Inc. Sell 3,020 2.000 9/20/09 - (19,222) CDX.NA.IG.9 Index Sell 46,500 0.600 12/20/12 (469,803) (1,896,082) Cemex Sell 3,635 2.000 3/20/09 - 487 Centex Corp. Sell 1,765 1.550 9/20/09 - (104,850) CenturyTel, Inc. Buy 3,040 1.300 3/20/13 - 77,654 CenturyTel, Inc. Buy 4,970 1.980 3/20/13 - (20,273) Cit Group Inc. Sell 850 5.000 12/20/08 - (66,224) Cit Group Inc. Sell 2,040 5.000 3/20/09 (234,600) (196,050) Countrywide Home Loans, Inc. Sell 5,180 3.250 9/20/08 - (72,826) Dillard's, Inc. Sell 2,055 0.750 9/20/08 - (42,144) Georgia-Pacific Corp. Sell 7,075 1.750 9/20/08 - (64,184) Intelsat Ltd. Sell 1,830 2.850 9/20/08 - (43,448) iStar Financial, Inc. Sell 5,320 3.000 12/20/08 - (413,401) iStar Financial, Inc. Sell 880 4.320 12/20/12 - (117,101) iStar Financial, Inc. Sell 320 4.500 12/20/12 - (42,582) iStar Financial, Inc. Sell 9,140 2.925 12/20/08 - (714,995) iStar Financial, Inc. Sell 6,245 12.000 3/20/09 - (90,097) Lehman Brothers Holdings, Inc. Sell 9,920 1.410 9/20/08 - (252,206) Lehman Brothers Holdings, Inc. Sell 4,270 2.070 3/20/09 - (113,612) Levi Strauss & Co. Sell 2,965 0.900 9/20/08 - (1,998) Levi Strauss & Co. Sell 3,920 1.000 9/20/08 - (662) MBIA, Inc. Sell 2,670 4.900 12/20/12 - (346,523) MBIA, Inc. Sell 4,340 0.520 9/20/08 - (303,882) MBIA, Inc. Sell 4,350 0.600 9/20/08 - (302,895) Merrill Lynch & Co., Inc. Sell 3,610 1.850 6/20/08 - 11,314 Merrill Lynch & Co., Inc. Sell 3,600 1.650 9/20/08 - 18,050 Owens-Illinois, Inc. Sell 3,880 1.250 9/20/08 - 563
19 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31,2008 / Unaudited Prudential Financial, Inc. Sell 10,750 2.050 6/20/09 - (10,277) Tenet Healthcare Corp. Sell 6,900 1.600 3/20/09 - (87,906) The Bear Stearns Cos., Inc. Sell 18,130 2.350 9/20/08 - (50,855) The Bear Stearns Cos., Inc. Sell 1,600 2.750 9/20/08 - (1,283) Vornado Realty LP Sell 7,180 3.875 6/20/09 - 7,187 Wachovia Corp. Sell 15,690 1.000 3/20/09 - 258 Washington Mutual, Inc. Sell 5,895 4.500 12/20/08 - (124,809) Washington Mutual, Inc. Sell 1,195 4.500 12/20/08 - (25,301) Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 2,680 0.170 5/25/46 (1,058,537) (1,554,324) ABX.HE.AA.06-2 Index Sell 730 0.170 5/25/46 (60,146) (423,379) Amkor Technology, Inc. Sell 620 2.650 9/20/08 - 795 Capmark Financial Group, Inc. Sell 4,595 0.950 6/20/12 - (1,738,826) Citigroup, Inc. Sell 6,105 1.250 9/20/08 - (399,395) Dole Food Co., Inc. Sell 7,090 3.880 9/20/08 - (298,680) D.R. Horton, Inc. Sell 2,490 4.210 12/20/08 - 4,442 First Data Corp. Sell 4,365 1.150 9/20/08 - (44,575) First Data Corp. Sell 1,890 4.700 3/20/09 - (9,533) General Mills, Inc. Sell 6,860 0.380 12/20/12 - (5,220) iStar Financial, Inc. Sell 1,445 3.950 12/20/12 - (192,285) K. Hovnanian Enterprises, Inc. Sell 3,185 6.750 9/20/08 - (124,613) Merrill Lynch & Co., Inc. Sell 8,170 1.850 6/20/08 - 25,605 Morgan Stanley Sell 4,190 1.500 9/20/08 - 16,236 Pulte Homes, Inc. Sell 7,100 2.750 9/20/09 - (96,262) R.H. Donnelley Corp. Sell 7,680 9.000 3/20/09 - (265,974) Sara Lee Corp. Buy 5,975 0.419 9/20/12 - 164,952 Six Flags, Inc. Sell 315 10.850 12/20/08 - (37,222) Smurfit-Stone Container Enterprises, Inc. Sell 7,175 1.450 9/20/08 - (215) Sprint Nextel Corp. Sell 5,620 6.300 3/20/09 - 10,897 Univision Communications, Inc. Sell 1,590 5.000 6/20/09 (159,000) (14,603)
20 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited Lehman Brothers Special Financing, Inc.: ABX.HE.AA.06-2 Index Sell 990 0.170 5/25/46 (242,494) (573,357) ABX.HE.AA.06-2 Index Sell 6,280 0.170 5/25/46 (4,065,796) (3,637,056) Ambac Assurance Corp. Sell 3,530 4.650 9/20/08 - (82,087) Capital One Bank Buy 3,635 1.800 12/20/12 - 265,282 CenturyTel, Inc. Buy 3,645 1.430 3/20/13 - (72,466) Companhia Vale Do Rio Doce Sell 3,580 1.590 3/20/17 - (263,352) CVRD Inco Ltd. Buy 3,580 0.710 3/20/17 - 116,550 Dole Food Co., Inc. Sell 1,320 3.450 9/20/08 - (58,345) D.R. Horton, Inc. Sell 7,430 4.200 12/20/08 - 12,713 General Mills, Inc. Sell 4,915 0.400 12/20/12 - 605 Genworth Financial, Inc. Sell 10,845 3.250 3/20/09 - 15,899 Georgia-Pacific LLC Sell 800 0.800 12/20/08 - (16,743) Harrah's Operating Co., Inc. Sell 2,620 2.600 12/20/08 - (84,427) Harrah's Operating Co., Inc. Sell 3,625 5.000 3/20/10 (181,250) (209,500) Levi Strauss & Co. Sell 1,400 1.750 9/20/08 - 5,061 Merrill Lynch & Co., Inc. Sell 4,015 3.000 9/20/08 - 44,860 Morgan Stanley Sell 18,645 0.640 9/20/08 - (8,763) Nortel Networks Corp. Sell 1,135 1.850 9/20/08 - 106 Prudential Financial, Inc. Sell 11,030 2.100 6/20/09 - (3,298) R.H. Donnelley Corp. Sell 1,015 5.000 3/20/09 (101,500) (99,942) Residential Capital LLC Sell 5,000 5.000 6/20/08 (650,000) (958,115) Rite Aid Corp. Sell 1,750 3.300 9/20/08 - (59,523) Saks, Inc. Sell 1,100 2.200 12/20/08 - 3,906 Sprint Nextel Corp. Sell 10,560 6.300 3/20/09 - 20,476 The Bear Stearns Cos., Inc. Sell 3,100 2.100 9/20/08 - (12,577) The Hartford Financial Services Group, Inc. Sell 3,580 2.350 3/20/09 - 47,245 The Hartford Financial Services Group, Inc. Sell 3,720 2.350 3/20/09 - 49,093 Toys "R" Us, Inc. Sell 1,400 3.300 9/20/08 - (35,176) Toys "R" Us, Inc. Sell 2,945 8.610 3/20/09 - 106,630 Toys "R" Us, Inc. Sell 690 8.610 3/20/09 - 24,983
21 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited Tribune Co. Sell 2,390 7.350 12/20/08 - (279,403) Univision Communications, Inc. Sell 860 3.000 12/20/08 - (77,117) Univision Communications, Inc. Sell 7,420 3.000 12/20/08 - (665,359) Univision Communications, Inc. Sell 1,470 5.000 3/20/09 (124,950) (142,315) Washington Mutual, Inc. Sell 2,785 4.400 12/20/08 - (60,974) Morgan Stanley Capital Services Inc: ABX.HE.AA.06-2 Index Sell 600 0.170 5/25/46 (47,935) (347,489) ABX.HE.AA.06-2 Index Sell 1,240 0.170 5/25/46 (123,994) (718,145) Beazer Homes USA, Inc. Sell 4,840 2.150 6/20/08 - (104,636) Capmark Financial Group, Inc. Sell 2,140 5.000 6/20/12 (577,800) (603,559) CDX.NA.IG.9 Index Sell 9,025 0.600 12/20/12 (217,344) (333,064) Clear Channel Communications, Inc. Sell 450 6.300 9/20/12 - (23,414) Countrywide Home Loans, Inc. Sell 4,080 0.750 9/20/08 - (107,810) Countrywide Home Loans, Inc. Sell 11,880 0.420 6/20/09 - (789,675) Dow Jones CDX.NA.IG.HVOL.7 Index Sell 17,000 0.750 12/20/11 (64,344) (1,368,059) First Data Corp. Sell 2,675 1.350 9/20/08 - (24,639) Ford Motor Co. Sell 4,900 6.050 12/20/17 - (769,628) Ford Motor Co. Sell 3,065 7.050 12/20/16 - (479,749) Ford Motor Co. Sell 6,445 7.150 12/20/16 - (768,102) General Motors Corp. Sell 3,250 5.800 12/20/16 - (474,481) General Motors Corp. Sell 3,440 5.750 12/20/16 - (509,674) General Motors Corp. Sell 2,860 5.050 12/20/17 - (507,639) Harrah's Operating Co., Inc. Sell 5,585 2.200 9/20/08 - (122,742) Inco Ltd. Buy 3,670 0.630 3/20/17 - 166,831 Inco Ltd. Buy 3,660 0.700 3/20/17 - 121,783 Intelsat Ltd. Sell 650 2.750 12/20/08 - (23,693) iStar Financial, Inc. Sell 1,085 4.860 12/20/12 - (144,380) J.C. Penney Co., Inc. Sell 5,215 1.300 12/20/17 - (258,064) J.C. Penney Co., Inc. Sell 4,665 1.070 12/20/17 - (307,727) K. Hovnanian Enterprises, Inc. Sell 1,950 1.850 6/20/08 - (67,860) K. Hovnanian Enterprises, Inc. Sell 1,950 1.850 6/20/08 - (67,860)
22 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited Kohl's Corp. Buy 7,745 0.870 12/20/17 - 412,855 Kohl's Corp. Buy 6,995 0.660 12/20/17 - 481,207 Lennar Corp. Sell 7,820 2.900 12/20/08 - (214,073) Merrill Lynch & Co., Inc. Sell 19,415 3.000 9/20/08 - 216,924 Merrill Lynch & Co., Inc. Sell 8,030 3.250 9/20/08 - 105,185 Residential Capital LLC Sell 10,585 6.120 9/20/08 - (3,462,830) Residential Capital LLC Sell 1,095 5.000 6/20/08 (147,825) (209,827) Residential Capital LLC Sell 1,525 5.000 6/20/08 (221,125) (292,225) Residential Capital LLC Sell 2,800 5.000 6/20/08 (406,000) (536,544) Sara Lee Corp. Buy 1,510 0.390 9/20/12 - 43,483 Sara Lee Corp. Buy 7,680 0.418 9/20/12 - 212,337 The Hartford Financial Services Group, Inc. Sell 3,575 2.400 3/20/09 - 48,949 Toys "R" Us, Inc. Sell 2,605 2.550 9/20/08 - (75,029) Tribune Co. Sell 4,225 1.000 6/20/08 - (292,493) Vale Overseas Ltd. Sell 3,670 1.100 3/20/17 - (331,331) Vale Overseas Ltd. Sell 3,660 1.170 3/20/17 - (313,684) ----------- ------------ $(9,635,382) $(37,126,536) =========== ============
INTEREST RATE SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE - ------------ ------------- ----------- ----------- ----------- ------------ Credit Suisse Three-Month USD BBA International $ 19,780,000 LIBOR 5.428% 8/7/17 $ 2,128,743 Three-Month USD BBA Deutsche Bank AG 16,700,000 LIBOR 5.445 8/8/17 1,819,114 ------------ $ 3,947,857 ============
Abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate TOTAL RETURN SWAP CONTRACTS AS OF MARCH 31, 2008 ARE AS FOLLOWS: 23 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited
NOTIONAL TERMINATION SWAP COUNTERPARTY AMOUNT PAID BY THE FUND RECEIVED BY THE FUND DATE VALUE - ------------------------------- ----------- ------------------- -------------------- ------------- ------------ If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 20 basis CMBS AAA 8.5+ Index Barclays Bank plc $ 31,280,000 points minus 20 basis points 6/1/08 $ 1,003,424 Deutsche Bank AG: If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 15 basis CMBS AAA 8.5+ Index 24,000,000 points minus 15 basis points 8/1/08 770,892 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 20 basis CMBS AAA 8.5+ Index 14,960,000 points minus 20 basis points 5/1/08 479,899 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 55 CMBS AAA 8.5+ Index 1,976,000 basis points plus 55 basis points 5/1/08 64,623 Goldman Sachs Group, Inc. (The): If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. 70,300,000 Index CMBS AAA 8.5+ Index 3/1/09 1,922,784 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 200 CMBS AAA 8.5+ Index 17,150,000 basis points plus 200 basis points 3/1/09 1,708,082 Lehman Brothers Holdings, Inc.: If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 30 basis CMBS AAA 8.5+ Index 58,580,000 points minus 30 basis points 8/1/08 1,860,924 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 25 basis CMBS AAA 8.5+ Index 11,550,000 points minus 25 basis points 5/1/08 367,345
24 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 25 CMBS AAA 8.5+ Index 37,600,000 basis points plus 25 basis points 2/1/09 507,168 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 40 basis CMBS AAA 8.5+ Index 36,400,000 points minus 40 basis points 6/1/08 1,153,597 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 20 basis CMBS AAA 8.5+ Index 27,300,000 points minus 20 basis points 5/1/08 869,292 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 15 basis CMBS AAA 8.5+ Index 68,040,000 points minus 15 basis points 8/1/09 2,169,099 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 55 CMBS AAA 8.5+ Index 31,250,000 basis points plus 55 basis points 5/1/08 1,012,649 If positive, the If negative, the Total Return of the Total Return of the Lehman Brothers Lehman Brothers U.S. 10,540,000 U.S. CMBS AAA Index CMBS AAA Index 3/1/09 337,198 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. 1,500,000 Index CMBS AAA 8.5+ Index 3/1/09 47,989 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 250 CMBS AAA 8.5+ Index 3,410,000 basis points plus 250 basis points 3/1/09 173,729 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 200 CMBS AAA 8.5+ Index 17,050,000 basis points plus 200 basis points 3/1/09 1,465,178
25 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 45 CMBS AAA 8.5+ Index 39,950,000 basis points plus 45 basis points 5/1/08 1,291,574 Morgan Stanley: If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 25 basis CMBS AAA 8.5+ Index 5,250,000 points minus 25 basis points 5/1/08 154,564 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 150 CMBS AAA 8.5+ Index 34,250,000 basis points plus 150 basis points 8/1/08 830,800 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 40 basis CMBS AAA 8.5+ Index 25,800,000 points minus 40 basis points 6/1/08 714,669 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 90 CMBS AAA 8.5+ Index 31,280,000 basis points plus 90 basis points 6/1/08 866,766 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. 2,500,000 Index CMBS AAA 8.5+ Index 8/1/08 60,733 If positive, the If negative, the Total Return of the Total Return of the Lehman Brothers Lehman Brothers U.S. 37,800,000 U.S. CMBS AAA Index CMBS AAA Index 2/1/09 845,192 If positive, the If negative, the Total Return of the Total Return of the Lehman Brothers Lehman Brothers U.S. 71,500,000 U.S. CMBS AAA Index CMBS AAA Index 3/1/09 1,656,702 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 250 CMBS AAA 8.5+ Index 19,530,000 basis points plus 250 basis points 3/1/09 1,620,233
26 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 250 CMBS AAA 8.5+ Index 31,780,000 basis points plus 250 basis points 3/1/09 3,758,125 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index minus 350 CMBS AAA 8.5+ Index 26,480,000 basis points plus 350 basis points 3/1/09 3,158,647 If positive, the Total Return of the If negative, the Lehman Brothers Total Return of the U.S. CMBS AAA 8.5+ Lehman Brothers U.S. Index plus 20 basis CMBS AAA 8.5+ Index UBS AG 9,400,000 points minus 20 basis points 5/1/08 302,282 -------------- $ 31,174,159 ==============
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities 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 trading. Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as "Level 1", inputs other than quoted prices for an asset that are observable are classified as "Level 2" and unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3". The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Funds' investments under these levels of classification is included following the Statement of Investments. Securities are valued using quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable market data inputs. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. 27 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2. In the absence of a readily available quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Fair valued securities may be classified as "Level 3" if the valuation primarily reflects the Manager's own assumptions about the inputs that market participants would use in valuing such securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2008, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $ 416,280,989 Sold securities 6,138,363
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. 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. 28 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited 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. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of March 31, 2008, securities with an aggregate market value of $2, representing less than 0.01% of the Fund's net assets, were in default. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. 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 adviser of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 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. If the seller of the agreement defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the value of the collateral by the Fund may be delayed or limited. INVESTMENTS WITH OFF-BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities in the annual and semiannual reports. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. 29 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited 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. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. 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. 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. Risks of entering into swap contracts include credit, market and liquidity risk. 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 payments that the Fund has not yet received. Market risk is the risk that the value of the contract will depreciate due to unfavorable changes in the reference asset. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination. 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 on a single security, or a basket of securities. In a credit default swap contract, the purchaser of the contract will pay a periodic interest fee, similar to an insurance premium, on the notional amount of the swap contract to the counterparty (the seller of the contract). If there is a credit event (for example, bankruptcy or a failure to timely pay interest or principal), the purchaser will exercise the contract and will receive a payment from the seller of the contract equal to the notional value of the credit default swap contract less the value of the underlying security. 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. 30 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2008 / Unaudited Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, or the cost of selling protection (paying the notional amount) when a credit event occurs, pricing transparency when assessing the cost of a credit default swap, and the need to fund the delivery obligation (either cash or defaulted securities). INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic interest payments on the notional amount of the contract. One cash flow stream will typically be a floating rate payment based upon a specified index while the other is typically a fixed rate. Interest rate swap agreements include interest rate risk. There is a risk, based on future movements of interest rates where the payments made by the Fund under a swap agreement will be greater than the payments it received. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange a set of future cash flows on the notional amount of the contract. One cash flow is typically 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. ILLIQUID SECURITIES As of March 31, 2008, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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 an 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 the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) 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 each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. 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 and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. As of March 31, 2008, the Fund had on loan securities valued at $11,923,383. Collateral of $12,162,705 was received for the loans, all of which was received in cash and subsequently invested in approved instruments. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2008 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 $ 2,629,916,317 Federal tax cost of other investments (434,738,446) ----------------- Total federal tax cost $ 2,195,177,871 ================= Gross unrealized appreciation $ 87,443,097 Gross unrealized depreciation (109,223,477) ----------------- Net unrealized depreciation $ (21,780,380) =================
31 | 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 03/31/2008, 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: 05/14/2008 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: 05/14/2008 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 05/14/2008 EX-99.CERT 2 rq285_46587cert302.txt RQ285_46587CERT302.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. /s/ John V. Murphy - --------------------------- John V. Murphy Principal Executive Officer Date: 05/14/2008 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - --------------------------- Brian W. Wixted Principal Financial Officer Date: 05/14/2008 -----END PRIVACY-ENHANCED MESSAGE-----