N-Q 1 rq285_50217nq.txt RQ285_50217NQ UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3420 -------- Oppenheimer Integrity Funds --------------------------- (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 --------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: December 31 ----------- Date of reporting period: 09/30/2008 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- ASSET-BACKED SECURITIES--3.3% Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 3.387%, 11/25/35 (1) $ 328,938 $ 326,793 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 3.687%, 5/25/34 (1) 3,925,924 3,462,156 Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 3.307%, 5/26/36 (1) 2,430,148 2,354,125 Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 2.508%, 4/15/11 (1) 14,634,861 14,570,620 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 3.307%, 5/16/36 (1) 2,177,172 2,133,278 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 3.767%, 2/25/33 (1) 1,218,101 1,149,258 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 365,301 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 3.307%, 10/31/36 (1) 2,300,000 2,208,443 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 3.947%, 2/25/33 (1) 48,808 38,931 Series 2005-11, Cl. AF2, 4.657%, 2/25/36 1,345,611 1,336,391 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 (1) 4,980,000 4,546,336 Series 2005-17, Cl. 1AF1, 3.407%, 5/25/36 (1) 13,186 13,108 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 (1) 970,000 887,536 CWABS, Inc. Asset-Backed Certificates Trust, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 3.327%, 12/5/29 (1) 3,020,000 2,563,182 First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 3.417%, 11/25/35 (1) 1,402,030 1,395,320 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 3.297%, 7/25/36 (1) 3,550,000 3,381,267 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 3.317%, 7/7/36 (1) 1,820,000 1,714,552 Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 2,031,614 2,032,016 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 2.731%, 1/20/35 (1) 1,194,075 1,010,771 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 3.298%, 3/20/36 (1) 1,120,000 1,031,399 Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 (1) 499,888 497,316 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 587,614 586,862 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 (2) 880,895 855,957
1 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 3.838%, 3/15/16 (1) $ 4,380,000 $ 3,457,746 NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 6.368%, 1/25/29 (1,2) 1,750,658 223,209 Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 3.307%, 7/1/36 (1) 10,612,849 10,028,988 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 1,438,979 RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 3.287%, 7/25/36 (1) 192,993 191,707 Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 3.457%, 6/25/36 (1) 657,408 654,763 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 3.247%, 9/25/36 (1) 2,176,771 2,133,656 Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 440,000 451,673 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 3.307%, 7/25/36 (1) 3,530,000 3,477,138 -------------- Total Asset-Backed Securities (Cost $76,223,621) 70,518,777 MORTGAGE-BACKED OBLIGATIONS--100.8% GOVERNMENT AGENCY--59.6% FHLMC/FNMA/SPONSORED--59.4% Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 20,497,100 20,181,719 5%, 6/15/33-8/15/33 10,893,720 10,647,443 5.50%, 5/1/34 9,355,307 9,326,204 6%, 5/15/18-3/15/33 8,484,038 8,647,788 6.50%, 4/15/18-4/1/34 6,015,148 6,231,180 7%, 7/15/21-10/1/31 15,983,978 16,834,275 8%, 4/1/16 446,374 476,951 9%, 4/14/17-5/1/25 124,753 137,220 12.50%, 5/15/14 680 799 13.50%, 12/15/10 657 719 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 27,293 27,285 Series 1590, Cl. IA, 3.55%, 10/15/23 (1) 4,363,784 4,341,921 Series 2006-11, Cl. PS, 12.808%, 3/25/36 (1) 2,494,987 2,614,996 Series 2034, Cl. Z, 6.50%, 2/15/28 35,538 36,923 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,459,506 3,574,934 Series 2046, Cl. G, 6.50%, 4/15/28 3,244,158 3,360,865 Series 2053, Cl. Z, 6.50%, 4/15/28 36,371 37,661 Series 2055, Cl. ZM, 6.50%, 5/15/28 185,686 191,325 Series 2063, Cl. PG, 6.50%, 6/15/28 2,514,280 2,599,973 Series 2075, Cl. D, 6.50%, 8/15/28 565,152 585,222 Series 2080, Cl. C, 6.50%, 8/15/28 138,518 143,430 Series 2080, Cl. Z, 6.50%, 8/15/28 1,356,068 1,404,136 Series 2145, Cl. MZ, 6.50%, 4/15/29 890,594 922,712 Series 2148, Cl. ZA, 6%, 4/15/29 1,782,711 1,824,484
2 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Series 2195, Cl. LH, 6.50%, 10/15/29 $ 2,082,377 $ 2,193,092 Series 2326, Cl. ZP, 6.50%, 6/15/31 743,821 766,363 Series 2341, Cl. FP, 3.388%, 7/15/31 (1) 1,318,863 1,294,208 Series 2399, Cl. PG, 6%, 1/15/17 1,136,871 1,178,098 Series 2410, Cl. PF, 3.468%, 2/15/32 (1) 4,228,311 4,234,045 Series 2423, Cl. MC, 7%, 3/15/32 2,940,638 3,051,939 Series 2426, Cl. BG, 6%, 3/15/17 6,974,586 7,209,447 Series 2427, Cl. ZM, 6.50%, 3/15/32 4,044,653 4,172,262 Series 2453, Cl. BD, 6%, 5/15/17 1,098,783 1,135,563 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,988,946 5,213,350 Series 2463, Cl. F, 3.488%, 6/15/32 (1) 6,495,660 6,528,125 Series 2500, Cl. FD, 2.988%, 3/15/32 (1) 320,711 317,567 Series 2526, Cl. FE, 2.888%, 6/15/29 (1) 497,711 492,534 Series 2551, Cl. FD, 2.888%, 1/15/33 (1) 1,020,606 1,008,782 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,377,315 Series 2764, Cl. UG, 5%, 3/15/34 8,661,000 8,095,521 Series 3025, Cl. SJ, 15.629%, 8/15/35 (1) 1,000,857 1,057,918 Series 3094, Cl. HS, 15.263%, 6/15/34 (1) 1,505,011 1,558,551 Series 3138, Cl. PA, 5.50%, 2/15/27 15,524,409 15,806,242 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 12.186%, 6/1/26 (3) 590,334 131,172 Series 183, Cl. IO, 10.188%, 4/1/27 (3) 1,928,225 378,204 Series 184, Cl. IO, 16.365%, 12/1/26 (3) 1,015,117 223,695 Series 192, Cl. IO, 12.056%, 2/1/28 (3) 249,117 52,311 Series 200, Cl. IO, 11.734%, 1/1/29 (3) 305,895 68,553 Series 2003-26, Cl. IK, 11.734%, 4/25/33 (3) 2,859,522 611,344 Series 202, Cl. IO, 0.721%, 4/1/29 (3) 20,416,363 4,235,152 Series 206, Cl. IO, (7.746)%, 12/1/29 (3) 316,513 77,229 Series 2129, Cl. S, 13.369%, 2/15/29 (3) 1,412,857 144,608 Series 2130, Cl. SC, 8.77%, 3/15/29 (3) 659,287 63,261 Series 2134, Cl. SB, 16.535%, 3/15/29 (3) 689,313 63,997 Series 2155, Cl. SE, 27.338%, 5/15/29 (3) 1,753,230 177,738 Series 216, Cl. IO, 11.483%, 12/1/31 (3) 1,197,445 307,112 Series 224, Cl. IO, 8.216%, 3/1/33 (3) 3,499,550 785,885 Series 2422, Cl. SJ, 55.88%, 1/15/32 (3) 3,090,764 318,459 Series 243, Cl. 6, 8.782%, 12/15/32 (3) 2,107,329 479,526 Series 2493, Cl. S, 48.357%, 9/15/29 (3) 180,719 19,157 Series 2517, Cl. GS, 29.411%, 2/15/32 (3) 936,768 104,031 Series 2527, Cl. SG, 28.662%, 2/15/32 (3) 4,192,524 307,733 Series 2531, Cl. ST, 30.563%, 2/15/30 (3) 4,949,116 376,886 Series 2796, Cl. SD, 34.137%, 7/15/26 (3) 1,047,746 96,361 Series 2802, Cl. AS, 65.571%, 4/15/33 (3) 3,369,212 253,768 Series 2920, Cl. S, 40.385%, 1/15/35 (3) 4,219,657 356,334 Series 3000, Cl. SE, 70.928%, 7/15/25 (3) 6,237,351 413,814 Series 3110, Cl. SL, 93.686%, 2/15/26 (3) 1,913,543 127,474
3 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.684%, 6/1/26 (4) $ 246,421 $ 207,635 Series 192, Cl. PO, 6.572%, 2/1/28 (4) 242,818 198,692 Federal National Mortgage Assn.: 4.50%, 10/25/18-8/1/20 26,186,671 25,795,160 4.50%, 10/1/21 (5) 47,683,000 46,476,048 5%, 5/25/33-9/25/33 48,258,195 47,189,231 5%, 10/1/21-10/1/38 (5) 191,936,800 188,646,822 5.50%, 12/25/18-9/1/36 83,980,218 84,009,220 5.50%, 10/1/23-10/1/38 (5) 180,981,000 180,674,884 5.50%, 12/25/32 (6) 50,502,545 50,550,608 6%, 5/25/20-12/1/33 46,023,790 46,892,219 6%, 10/1/23-10/1/36 (5) 77,750,000 78,866,767 6%, 3/1/33-11/1/33 (6) 20,371,469 20,746,393 6.50%, 6/25/17-11/25/31 29,908,625 31,042,068 6.50%, 10/1/38 (5) 44,334,000 45,463,143 7%, 1/25/09-4/1/34 12,465,382 13,147,921 7%, 10/1/38 (5) 635,000 663,575 7.50%, 1/1/33-8/25/33 10,291,390 11,154,263 8.50%, 7/1/32 49,939 55,055 Federal National Mortgage Assn. Grantor Trust, Gtd. Trust Mtg. Pass-Through Certificates, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,545,535 1,619,217 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 16,175 16,814 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 871,430 897,251 Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 (6) 3,544,067 3,682,697 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 684,021 706,134 Trust 1996-35, Cl. Z, 7%, 7/25/26 216,735 226,154 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,458,281 1,503,634 Trust 1998-61, Cl. PL, 6%, 11/25/28 2,176,692 2,222,496 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 2,755,538 2,806,733 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 9,086,226 9,383,848 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,678,545 2,781,360 Trust 2001-70, Cl. LR, 6%, 9/25/30 52,404 52,459 Trust 2001-74, Cl. QE, 6%, 12/25/31 9,888,139 10,045,173 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 1,889,166 1,955,236 Trust 2002-16, Cl. PG, 6%, 4/25/17 2,046,702 2,112,234 Trust 2002-2, Cl. UC, 6%, 2/25/17 1,188,150 1,216,622 Trust 2002-56, Cl. FN, 4.207%, 7/25/32 (1) 1,695,632 1,698,088 Trust 2002-9, Cl. PC, 6%, 3/25/17 6,502,393 6,710,645 Trust 2003-130, Cl. CS, 7.686%, 12/25/33 (1) 7,414,688 6,755,122 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 6,305,000 6,019,832 Trust 2003-21, Cl. FK, 3.607%, 3/25/33 (1) 631,225 623,931 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 8,316,000 7,870,891 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,439,038 Trust 2003-84, Cl. GC, 4.50%, 5/25/15 11,330,000 11,348,392 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,639,306 Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,325,534 1,412,655
4 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 $ 2,450,000 $ 2,332,174 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 12,573,000 12,061,334 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 9,437,248 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,400,024 Trust 2005-59, Cl. NQ, 8.858%, 5/25/35 (1) 2,769,785 2,599,547 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,177,459 Trust 2006-46, Cl. SW, 12.441%, 6/25/36 (1) 2,378,488 2,437,635 Trust 2006-50, Cl. KS, 12.441%, 6/25/36 (1) 3,338,775 3,345,527 Trust 2006-50, Cl. SK, 12.441%, 6/25/36 (1) 2,375,157 2,376,430 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 6,825,680 6,938,945 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 46.178%, 3/17/31 (3) 1,147,032 159,274 Trust 2001-61, Cl. SE, 29.174%, 11/18/31 (3) 1,636,072 170,861 Trust 2001-65, Cl. S, 37.609%, 11/25/31 (3) 4,068,769 455,609 Trust 2001-81, Cl. S, 24.612%, 1/25/32 (3) 500,139 53,728 Trust 2002-12, Cl. SB, 46.298%, 7/25/31 (3) 798,935 83,261 Trust 2002-2, Cl. SW, 48.350%, 2/25/32 (3) 904,082 90,774 Trust 2002-38, Cl. IO, 30.96%, 4/25/32 (3) 334,725 30,908 Trust 2002-41, Cl. S, 50.659%, 7/25/32 (3) 3,432,660 376,276 Trust 2002-47, Cl. NS, 22.989%, 4/25/32 (3) 1,284,950 139,042 Trust 2002-5, Cl. SD, 41.740%, 2/25/32 (3) 602,751 63,630 Trust 2002-51, Cl. S, 23.267%, 8/25/32 (3) 1,179,831 127,167 Trust 2002-52, Cl. SD, 22.067%, 9/25/32 (3) 1,333,954 132,245 Trust 2002-60, Cl. SM, 34.36%, 8/25/32 (3) 6,092,316 655,806 Trust 2002-60, Cl. SY, 18.446%, 4/25/32 (3) 5,259,942 231,825 Trust 2002-7, Cl. SK, 36.545%, 1/25/32 (3) 1,846,870 182,122 Trust 2002-75, Cl. SA, 38.737%, 11/25/32 (3) 3,215,886 360,903 Trust 2002-77, Cl. BS, 29.388%, 12/18/32 (3) 3,638,461 409,031 Trust 2002-77, Cl. IS, 27.528%, 12/18/32 (3) 570,273 58,584 Trust 2002-77, Cl. JS, 29.068%, 12/18/32 (3) 6,249,873 703,090 Trust 2002-77, Cl. SA, 29.514%, 12/18/32 (3) 5,794,911 636,384 Trust 2002-77, Cl. SH, 27.533%, 12/18/32 (3) 662,111 75,505 Trust 2002-84, Cl. SA, 40.37%, 12/25/32 (3) 802,738 87,937 Trust 2002-89, Cl. S, 49.652%, 1/25/33 (3) 5,114,710 531,861 Trust 2002-9, Cl. MS, 24.481%, 3/25/32 (3) 41,189 4,608 Trust 2002-90, Cl. SN, 34.358%, 8/25/32 (3) 3,137,819 347,612 Trust 2002-90, Cl. SY, 36.896%, 9/25/32 (3) 1,257,824 141,838 Trust 2002-96, Cl. SK, 27.483%, 4/25/32 (3) 187,229 26,374 Trust 2003-117, Cl. KS, 36.224%, 8/25/33 (3) 29,414,299 2,915,569 Trust 2003-118, Cl. S, 34.983%, 12/25/33 (3) 7,960,315 950,865 Trust 2003-14, Cl. OI, 11.228%, 3/25/33 (3) 7,533,486 1,672,999 Trust 2003-33, Cl. SP, 39.911%, 5/25/33 (3) 5,016,050 613,079 Trust 2003-4, Cl. S, 35.10%, 2/25/33 (3) 1,592,667 187,389 Trust 2003-52, Cl. NS, 43.005%, 6/25/23 (3) 25,205,923 2,534,544 Trust 2003-89, Cl. XS, 27.165%, 11/25/32 (3) 7,807,370 673,655
5 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2004-54, Cl. DS, 27.351%, 11/25/30 (3) $ 285,917 $ 27,739 Trust 2005-105, Cl. S, 70.862%, 12/25/35 (3) 8,221,735 703,155 Trust 2005-19, Cl. SA, 40.266%, 3/25/35 (3) 14,707,600 1,174,933 Trust 2005-40, Cl. SA, 40.516%, 5/25/35 (3) 2,612,826 214,502 Trust 2005-6, Cl. SE, 48.572%, 2/25/35 (3) 3,215,296 267,508 Trust 2005-71, Cl. SA, 54.146%, 8/25/25 (3) 5,171,018 416,137 Trust 2005-83, Cl. SL, 67.784%, 10/25/35 (3) 10,626,380 862,190 Trust 2005-87, Cl. SE, 99.911%, 10/25/35 (3) 19,523,494 1,269,951 Trust 2005-87, Cl. SG, 71.939%, 10/25/35 (3) 15,352,488 1,351,771 Trust 2006-119, Cl. MS, 68.878%, 12/25/36 (3) 8,641,407 789,674 Trust 2006-33, Cl. SP, 56.46%, 5/25/36 (3) 12,284,117 1,270,419 Trust 2006-34, Cl. SK, 55.338%, 5/25/36 (3) 17,283,734 1,745,220 Trust 2006-42, Cl. CI, 28.061%, 6/25/36 (3) 11,848,915 1,050,166 Trust 222, Cl. 2, 18.255%, 6/1/23 (3) 2,064,936 480,945 Trust 240, Cl. 2, 21.163%, 9/1/23 (3) 2,444,673 613,031 Trust 247, Cl. 2, 19.775%, 10/1/23 (3) 167,730 42,415 Trust 252, Cl. 2, 16.609%, 11/1/23 (3) 1,755,883 438,300 Trust 254, Cl. 2, 11.714%, 1/1/24 (3) 3,115,440 796,361 Trust 2682, Cl. TQ, 74.997%, 10/15/33 (3) 4,669,723 334,717 Trust 273, Cl. 2, 15.305%, 8/1/26 (3) 452,333 98,585 Trust 2981, Cl. BS, 8.237%, 5/15/35 (3) 8,515,267 747,308 Trust 301, Cl. 2, 6.116%, 4/1/29 (3) 1,150,523 253,851 Trust 302, Cl. 2, 2.575%, 6/1/29 (3) 5,274,687 1,139,865 Trust 303, Cl. IO, (1.83)%, 11/1/29 (3) 141,507 36,171 Trust 319, Cl. 2, 11.019%, 2/1/32 (3) 699,866 164,667 Trust 321, Cl. 2, 9.227%, 4/1/32 (3) 2,899,282 677,234 Trust 322, Cl. 2, 12.18%, 4/1/32 (3) 3,742,424 842,184 Trust 324, Cl. 2, 6.147%, 7/1/32 (3) 2,297,433 526,374 Trust 331, Cl. 9, 11.642%, 2/1/33 (3) 7,479,497 1,685,038 Trust 333, Cl. 2, 3.891%, 4/1/33 (3) 18,082,045 3,967,871 Trust 334, Cl. 14, 14.327%, 2/1/33 (3) 6,590,773 1,491,795 Trust 334, Cl. 15, 9.065%, 2/1/33 (3) 4,582,745 1,031,737 Trust 334, Cl. 17, 22.574%, 2/1/33 (3) 255,167 60,558 Trust 334, Cl. 3, 11.057%, 7/1/33 (3) 3,235,007 709,698 Trust 338, Cl. 2, 2.812%, 7/1/33 (3) 3,870,415 850,856 Trust 339, Cl. 12, 9.777%, 7/1/33 (3) 6,938,846 1,582,639 Trust 339, Cl. 7, 8.328%, 7/1/33 (3) 8,890,145 1,937,689 Trust 339, Cl. 8, 8.584%, 8/1/33 (3) 1,785,390 395,075 Trust 342, Cl. 2, 9.204%, 9/1/33 (3) 112,798 25,418 Trust 343, Cl. 13, 10.171%, 9/1/33 (3) 5,589,711 1,241,716 Trust 343, Cl. 18, 11.165%, 5/1/34 (3) 2,775,834 573,223 Trust 344, Cl. 2, 8.491%, 12/1/33 (3) 31,689,783 7,023,117 Trust 345, Cl. 9, 11.203%, 1/1/34 (3) 5,215,912 1,037,145 Trust 346, Cl. 2, 2.956%, 12/1/33 (3) 4,050,589 890,933 Trust 351, Cl. 10, 9.480%, 4/1/34 (3) 2,978,515 655,645
6 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 351, Cl. 11, 9.889%, 11/1/34 (3) $ 1,522,465 $ 311,155 Trust 351, Cl. 8, 8.01%, 4/1/34 (3) 4,645,379 932,846 Trust 354, Cl. 2, 4.532%, 11/1/34 (3) 12,553,828 2,785,592 Trust 355, Cl. 7, 9.006%, 11/1/33 (3) 1,737,759 391,320 Trust 356, Cl. 10, 9.542%, 6/1/35 (3) 4,093,263 968,780 Trust 356, Cl. 12, 7.968%, 2/1/35 (3) 2,124,615 503,083 Trust 356, Cl. 6, 9.598%, 12/1/33 (3) 2,247,648 498,571 Trust 362, Cl. 12, 9.291%, 8/1/35 (3) 8,266,684 1,931,895 Trust 362, Cl. 13, 7.50%, 8/1/35 (3) 4,580,838 1,071,108 Trust 364, Cl. 16, 9.857%, 9/1/35 (3) 7,132,433 1,733,466 Trust 365, Cl. 16, 14.084%, 3/1/36 (3) 4,397,905 929,755 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 4.996%, 9/25/23 (4) 621,895 487,627 Trust 322, Cl. 1, 7.328%, 4/1/32 (4) 3,742,424 2,949,907 Trust 324, Cl. 1, 6.059%, 7/1/32 (4) 573,686 463,061 -------------- 1,253,984,927 GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 5.625%, 8/8/25-8/8/27 (1) 19,655 19,897 7%, 7/29/09 1,110 1,136 8.50%, 8/1/17-12/15/17 202,145 221,541 9%, 3/29/09-6/29/09 1,789 1,840 10.50%, 12/29/17-5/29/21 16,355 18,781 11%, 11/8/19 31,154 35,310 12%, 5/29/14 253 293 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 41.642%, 1/16/27 (3) 1,241,119 128,903 Series 2002-15, Cl. SM, 34.705%, 2/16/32 (3) 1,424,695 139,745 Series 2002-41, Cl. GS, 38.541%, 6/16/32 (3) 994,644 148,534 Series 2002-76, Cl. SY, 38.555%, 12/16/26 (3) 646,902 67,719 Series 2002-78, Cl. S, 25.26%, 11/16/32 (3) 600,823 66,250 Series 2004-11, Cl. SM, 22.363%, 1/17/30 (3) 226,698 23,432 Series 2006-47, Cl. SA, 54.544%, 8/16/36 (3) 41,356,005 3,756,267 -------------- 4,629,648 NON-AGENCY--41.2% COMMERCIAL--18.1% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 2.257%, 4/14/29 (3) 13,162,985 427,609 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 20,850,000 16,949,793 Series 2006-5, Cl. A2, 5.348%, 10/10/11 6,320,000 6,030,689 Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,370,038 1,371,611
7 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- COMMERCIAL CONTINUED Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 $ 1,288,603 $ 1,194,641 Bear Stearns Commercial Mortgage Securities Trust 2003-T10, Commercial Mtg. Pass-Through Certificates, Series T10, Cl. A1, 4%, 3/13/40 124,144 118,949 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 16,297,506 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (6.906)%, 6/22/24 (3) 3,844,307 113,816 Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.915%, 3/1/49 (1) 2,540,000 2,303,205 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.404%, 12/1/49 (1) 11,680,000 9,313,066 Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 304,409 300,080 Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 12,775,000 11,895,759 CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 2006-A5, Cl. 1A1, 3.607%, 10/25/36 (1) 12,246,119 10,547,297 Series 2006-A5, Cl. 1A13, 3.657%, 10/25/36 (1) 6,421,745 5,297,370 Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.913%, 6/1/39 (1) 2,990,000 2,566,382 CWALT Alternative Loan Trust 2006-HY13, Mtg. Pass-Through Certificates, Series 2006-HY13, Cl. 3A1, 5.975%, 1/1/47 (1) 3,433,446 2,877,765 Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,232,394 1,218,568 Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 469,072 460,766 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 6,390,149 6,251,227 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 3,283,169 2,793,350 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 3,414,874 3,088,528 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2003-C1, Cl. A2, 4.093%, 1/10/38 109,681 107,540 Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,850,000 1,826,393 Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 17,310,000 16,171,971
8 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- COMMERCIAL CONTINUED Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 $ 10,330,000 $ 8,793,891 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 3,730,000 3,308,623 GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 8,576,384 7,986,500 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,525,000 2,959,103 Series 2007-LD11, Cl. A2, 5.992%, 6/15/49 (1) 5,450,000 5,137,919 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 12,980,000 12,183,236 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 23,552,000 21,911,248 Series 2008-C2, Cl. A4, 6.068%, 2/1/51 21,450,000 18,543,347 Series 2008-C2, Cl. AM, 6.799%, 2/1/51 7,000,000 5,748,330 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 7,346,793 JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDPX, Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 8,120,000 6,767,430 JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 4,306,741 4,355,019 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 11,638,350 Series 2006-C1, Cl. AM, 5.217%, 2/11/31 (1) 11,760,000 9,437,288 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 13,047,175 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 2.847%, 2/18/30 (3) 3,180,518 94,727 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 (2) 167,054 135,731 Mastr Alternative Loan Trust, CMO Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,946,117 1,719,707 Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 3.657%, 10/25/36 (1) 19,567,897 17,168,020 Merrill Lynch Mortgage Investors Trust 2005-A9, Mtg. Asset-Backed Certificates, Series 2005-A9, Cl.4A1, 5.492%, 12/1/35 (1) 8,477,402 6,921,849 Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.796%, 5/1/39 (1) 6,100,000 5,930,125 Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 6,140,000 5,214,827 Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 6,330,000 5,408,703 Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 682,121 681,959
9 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- COMMERCIAL CONTINUED 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 $ 185,284 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 4,838,774 3,931,783 Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 4,810,153 4,457,299 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 10.775%, 5/18/32 (3) 83,485,468 217,321 STARM Mortgage Loan Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 1A1, 5.659%, 6/1/37 (1,2) 15,164,368 12,510,603 Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,177,584 997,233 Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48 7,590,000 6,661,049 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 2,040,375 Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 6.10%, 2/1/51 (1) 10,688,000 9,223,606 WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.877%, 8/1/46 (1) 19,369,183 16,094,426 WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.711%, 2/25/37 (1,2) 4,461,886 1,784,754 WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.668%, 3/1/37 (1) 11,575,065 6,887,325 WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.584%, 11/1/36 (1) 3,636,643 2,849,428 WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.658%, 5/1/37 (1) 3,875,538 3,229,621 Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.92%, 10/1/34 (1) 9,784,788 9,590,486 -------------- 382,624,374 MANUFACTURED HOUSING--1.1% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36 (1) 12,814,950 10,714,249
10 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- MANUFACTURED HOUSING CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.106%, 3/25/36 (1) $ 15,597,446 $ 13,875,651 -------------- 24,589,900 MULTIFAMILY--7.4% Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates: Series 2003-E, Cl. 2A2, 4.709%, 6/25/33 (1) 7,087,432 7,069,309 Series 2005-F, Cl. 2A3, 4.71%, 7/25/35 (1) 11,652,064 10,715,536 Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.788%, 10/25/36 (1) 6,130,478 4,451,188 CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through Certificates, Series 2003-46, Cl. 1A2, 4.411%, 1/19/34 (1) 6,317,853 6,309,155 CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through Certificates, Series 2005-HYB1, Cl. 1A2, 4.981%, 3/25/35 (1) 11,327,361 9,107,906 CHL Mortgage Pass-Through Trust 2007-HY1, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A1, 5.696%, 4/25/37 (1) 16,764,415 12,917,055 Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Asset-Backed Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.888%, 7/25/36 (1) 5,179,408 4,509,563 CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 10,018,000 8,140,851 CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 7,710,000 6,776,716 GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates: Series 2004-J4, Cl. A7, 5.50%, 9/25/34 7,166,000 6,081,854 Series 2005-AR4, Cl. 2A1, 5.30%, 7/19/35 (1) 11,188,488 9,426,935 GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.144%, 11/25/35 (1) 18,999,261 16,996,806 Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 5.975%, 6/25/37 (1) 13,306,975 11,768,873 Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.992%, 12/25/34 (1) 3,673,631 3,339,848 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.621%, 9/25/34 (1) 3,028,696 2,677,361 Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.549%, 3/25/35 (1) 2,323,965 2,013,445 Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.537%, 4/25/35 (1) 3,663,533 3,181,986 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 2A1, 5.636%, 7/25/36 (1) 5,840,319 4,490,657
11 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- MULTIFAMILY CONTINUED Series 2006-AR10, Cl. 4A1, 5.561%, 7/25/36 (1) $ 7,602,334 $ 6,251,334 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates: Series 2006-AR2, Cl. 2A3, 5.106%, 3/1/36 (1) 15,531,510 13,816,994 Series 2006-AR2, Cl. 2A6, 5.106%, 3/25/36 (1) 2,967,104 2,303,007 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/36 (1) 3,878,308 3,556,368 -------------- 155,902,747 OTHER--0.2% JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.735%, 2/25/32 (1) 3,629,172 3,523,003 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 44.257%, 10/23/17 (3) 5,215 620 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.221%, 10/23/17 (4) 7,718 7,270 -------------- 3,530,893 RESIDENTIAL--14.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. A4, 5.936%, 7/1/17 (1) 10,690,000 9,163,340 Bank of America Alternative Loan Trust, Mtg. Pass-Through Certificates, Series 2003-1, Cl. A6, 6%, 2/1/33 6,939,492 6,472,395 Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 4,500,000 3,801,872 CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 1A1, 6.092%, 9/1/47 (1) 22,639,709 17,594,876 CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 6,570,758 6,006,990 CitiMortgage Alternative Loan Trust 2007-A2, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2007-A2, Cl. 1A5, 6%, 2/25/37 23,553,660 20,886,669 CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 7,907,814 7,066,928 CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 6,273,930 4,789,111 CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 9,396,000 7,217,279 CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 7,006,272 6,046,031 CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 5,591,944 4,902,621 CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,054,390 2,696,231 CWALT Alternative Loan Trust 2006-41CB, Mtg. Pass-Through Certificates, Series 2006-41CB, Cl. 1A10, 6%, 1/1/37 22,623,936 19,022,712
12 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- RESIDENTIAL CONTINUED GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1, 5.827%, 3/1/37 (1) $ 10,122,270 $ 7,996,594 JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 4.334%, 11/1/33 (1) 1,106,772 1,058,264 LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates: Series 2007-C7, Cl. A3, 5.866%, 9/11/45 23,990,000 20,619,323 Series 2007-C7, Cl. AM, 6.374%, 9/11/45 (1) 8,365,000 6,694,525 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,309,644 1,160,821 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed Certificates, Series 2005-A1, Cl.2A1, 4.536%, 12/25/34 (1) 2,353,284 2,083,246 Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.417%, 6/25/36 (1) 4,750,000 3,959,297 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,051,224 990,704 RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-QS10, Cl. A3, 3.707%, 7/25/34 (1) 1,650,720 1,483,525 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 2,597,882 2,584,947 RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 1,438,344 1,399,282 STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.01%, 8/1/22 (1) 18,075,153 16,267,638 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.489%, 9/25/33 (1) 4,436,963 4,288,252 WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A1, 5.051%, 12/1/35 (1) 11,122,430 10,363,985 WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 (1) 15,835,340 12,050,571 WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.128%, 8/25/36 (1) 14,593,881 13,015,056 WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.612%, 11/1/36 (1) 1,426,429 1,236,415 WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.695%, 6/25/37 (1) 11,435,242 9,336,892 Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 14,523,253 14,101,998 Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 5,928,559 5,597,239 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.369%, 9/1/34 (1) 1,309,907 1,105,898
13 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- RESIDENTIAL CONTINUED Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.945%, 10/1/35 (1) $ 7,014,816 $ 6,110,760 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 5A3, 5.594%, 7/1/36 (1) 3,610,129 3,050,827 Series 2006-AR10, Cl. 5A6, 5.594%, 7/1/36 (1) 19,717,785 15,934,354 Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates: Series 2006-AR13, Cl. A2, 5.748%, 9/1/36 (1) 21,360,564 18,226,311 Series 2006-AR13, Cl. A5, 5.748%, 9/1/36 (1,2) 7,770,423 4,118,324 Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.539%, 4/1/36 (1,2) 9,162,523 4,398,011 -------------- 304,900,114 -------------- Total Mortgage-Backed Obligations (Cost $2,230,446,034) 2,130,162,603 U.S. GOVERNMENT OBLIGATIONS--0.1% U.S. Treasury Bonds, STRIPS, 3.862%, 2/15/13 (7) (Cost $1,286,015) 1,520,000 1,336,462 CORPORATE BONDS AND NOTES--21.4% CONSUMER DISCRETIONARY--6.4% AUTOMOBILES--1.2% Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 22,680,000 16,272,333 General Motors Acceptance Corp., 8% Bonds, 11/1/31 16,865,000 6,364,328 Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 (8) 3,145,000 3,151,441 -------------- 25,788,102 HOTELS, RESTAURANTS & LEISURE--1.2% MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 15,065,000 14,161,100 Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 (9) 3,000,000 2,347,500 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 9,772,000 8,379,490 -------------- 24,888,090 HOUSEHOLD DURABLES--1.0% Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 (2) 6,895,000 6,550,250 D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 (2) 5,694,000 5,629,943 Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 9,680,000 9,389,600 -------------- 21,569,793 MEDIA--2.2% Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 14,175,000 13,891,500 Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 6,350,000 4,127,500 EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 (2) 9,370,000 9,370,000 Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2,625,000 2,646,276 Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 9,495,000 9,560,259 Tribune Co., 5.50% Nts., Series E, 10/6/08 (2) 5,370,000 5,343,150
14 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- MEDIA CONTINUED Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 $ 1,795,000 $ 1,786,025 -------------- 46,724,710 MULTILINE RETAIL--0.8% Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 (2) 4,070,000 4,080,175 Macy's Retail Holdings, Inc., 4.80% Sr. Nts., 7/15/09 11,895,000 11,627,933 -------------- 15,708,108 SPECIALTY RETAIL--0.0% Gap, Inc. (The), 10.05% Unsub. Nts., 12/15/08 (1,2) 546,000 552,143 CONSUMER STAPLES--0.4% FOOD & STAPLES RETAILING--0.4% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 6,950,000 6,462,270 Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,423,000 1,494,533 Real Time Data Co., 11% Nts., 5/31/09 (2,10,11,12) 476,601 -- -------------- 7,956,803 ENERGY--1.0% OIL, GAS & CONSUMABLE FUELS--1.0% Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 4,165,000 3,976,984 Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 2,310,000 2,247,166 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 6,075,000 5,920,215 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 (8) 1,018,493 1,029,567 TEPPCO Partners LP, 6.125% Nts., 2/1/13 3,060,000 3,109,551 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 4,347,000 4,212,904 -------------- 20,496,387 FINANCIALS--11.8% CAPITAL MARKETS--1.6% Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 18,850,000 12,391,839 Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38 (12) 42,265,000 211,325 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 25,835,000 21,724,910 -------------- 34,328,074 COMMERCIAL BANKS--3.8% Barclays Bank plc, 6.278% Perpetual Bonds (13) 32,320,000 23,660,826 HBOS plc, 6.413% Sub. Perpetual Bonds, Series A (8,13) 36,400,000 20,538,227 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 (1) 32,880,000 24,717,211 Popular North America, Inc.: 3.875% Sr. Bonds, Series E, 10/1/08 5,450,000 5,450,000 4.70% Nts., 6/30/09 (9) 6,799,000 6,607,547 -------------- 80,973,811 CONSUMER FINANCE--0.4% SLM Corp., 4% Nts., 1/15/09 10,566,000 8,664,014 DIVERSIFIED FINANCIAL SERVICES--3.3% Bank of America Corp.: 8% Unsec. Perpetual Bonds, Series K (13) 16,140,000 12,792,241
15 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
PRINCIPAL AMOUNT VALUE ------------ -------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED 8.125% Perpetual Bonds, Series M (13) $ 4,200,000 $ 3,398,598 Capmark Financial Group, Inc.: 3.453% Sr. Unsec. Nts., 5/10/10 (1) 3,920,000 2,784,862 5.875% Sr. Unsec. Nts., 5/10/12 11,600,000 5,787,739 CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 5,029,000 3,556,192 Citigroup, Inc.: 8.30% Jr. Sub. Bonds, 12/21/57 (1,9) 24,580,000 18,320,015 8.40% Perpetual Bonds, Series E (13) 9,885,000 6,740,680 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1 (13) 20,080,000 16,950,150 -------------- 70,330,477 INSURANCE--2.5% American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 7,611,000 1,219,549 Axa SA, 6.379% Sub. Perpetual Bonds (8,13) 29,669,000 16,564,025 MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 (6) 4,160,000 2,294,273 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 (1) 19,345,000 12,064,954 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 (8) 9,470,000 10,972,397 Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 (8) 8,725,000 9,699,399 -------------- 52,814,597 THRIFTS & MORTGAGE FINANCE--0.2% Washington Mutual Bank NV, 2.891% Sr. Unsec. Nts., 5/1/09 (1) 13,045,000 3,196,025 INDUSTRIALS--0.2% INDUSTRIAL CONGLOMERATES--0.2% MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/68 (1) 5,600,000 5,317,564 INFORMATION TECHNOLOGY--0.4% COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/07 (2,10,12) 200,000 2 COMPUTERS & PERIPHERALS--0.4% NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 (9) 7,675,000 7,719,285 MATERIALS--0.0% CHEMICALS--0.0% Morton International, Inc., 9.75% Credit Sensitive Nts., 6/1/20 (1) 85,000 102,988 TELECOMMUNICATION SERVICES--0.5% DIVERSIFIED TELECOMMUNICATION SERVICES--0.5% Qwest Corp.: 5.625% Unsec. Nts., 11/15/08 (2) 729,000 725,355 8.875% Unsec. Unsub. Nts., 3/15/12 9,335,000 9,194,975 -------------- 9,920,330 UTILITIES--0.7% ELECTRIC UTILITIES--0.7% Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 7,977,000 8,205,105 Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 7,494,000 7,682,519 -------------- 15,887,624 -------------- Total Corporate Bonds and Notes (Cost $603,308,546) 452,938,927
16 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
SHARES VALUE ------------ -------------- COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $9) 181 $ 6,491
UNITS ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 (2,10) (Cost $5,577) 2,028 71
SHARES ------------ INVESTMENT COMPANY--5.0% Oppenheimer Institutional Money Market Fund, Cl. E, 3.15% (14,15) (Cost $104,582,842) 104,582,842 104,582,842 Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $3,015,852,644) 2,759,546,173 INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.1%16 OFI Liquid Assets Fund, LLC, 3.40%14,15 (Cost $2,973,850) 2,973,850 2,973,850 Total Investments, at Value (Cost $3,018,826,494) 130.7% 2,762,520,023 Liabilities in Excess of Other Assets (30.7) (649,069,926) ------------ -------------- Net Assets 100.0% $2,113,450,097 ============ ==============
Footnotes to Statement of Investments 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid security. The aggregate value of illiquid securities as of September 30, 2008 was $56,277,678, which represents 2.66% of the Fund's net assets. See accompanying Notes. 3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $86,796,199 or 4.11% of the Fund's net assets as of September 30, 2008. 4. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $4,314,192 or 0.20% of the Fund's net assets as of September 30, 2008. 5. When-issued security or delayed delivery to be delivered and settled after September 30, 2008. See accompanying Notes. 6. 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 $7,083,113. See accompanying Notes. 7. Zero coupon bond reflects effective yield on the date of purchase. 8. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $61,955,056 or 2.93% of the Fund's net assets as of September 30, 2008. 9. Partial or fully-loaned security. See accompanying Notes. 10. Non-income producing security. 11. Interest or dividend is paid-in-kind, when applicable. 12. Issue is in default. See accompanying Notes. 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. 17 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited 14. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 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 SEPTEMBER 30, 2008 ----------------- ------------- ----------- ------------------ OFI Liquid Assets Fund, LLC - 19,893,719 16,919,869 2,973,850 Oppenheimer Institutional Money Market Fund, Cl. E 52,911,646 1,045,521,850 993,850,654 104,582,842
VALUE INCOME ------------- ----------- OFI Liquid Assets Fund, LLC $ 2,973,850 $ 15,491 (a) Oppenheimer Institutional Money Market Fund, Cl. E 104,582,842 1,618,650 ------------- ----------- $ 107,556,692 $ 1,634,141 ============= ===========
a. Net of compensation to counterparties. 15. Rate shown is the 7-day yield as of September 30, 2008. 16. The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See accompanying Notes. 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: 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 September 30, 2008:
OTHER FINANCIAL VALUATION DESCRIPTION INVESTMENTS IN SECURITIES INSTRUMENTS* --------------------- ------------------------- --------------- Level 1--Quoted Prices $ 107,563,183 $ 592,713 Level 2--Other Significant Observable Inputs 2,649,072,708 (93,159,056) Level 3--Significant Unobservable Inputs 5,884,132 -- --------------- --------------- Total $ 2,762,520,023 $ (92,566,343) =============== ===============
* Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options and swaps are reported at their market value at measurement date. 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. 18 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited FUTURES CONTRACTS AS OF SEPTEMBER 30, 2008 ARE AS FOLLOWS:
UNREALIZED CONTRACT NUMBER OF EXPIRATION APPRECIATION DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ----------- -------- --------- ---------- ------------- -------------- U.S. Long Bonds, 20 yr. Buy 1,726 12/19/08 $ 202,238,656 $ (4,060,805) U.S. Treasury Nts., 2 yr. Sell 2,562 12/31/08 (546,826,875) (2,900,370) U.S. Treasury Nts., 5 yr. Sell 1,524 12/31/08 (171,045,188) (714,586) U.S. Treasury Nts., 10 yr. Sell 132 12/19/08 (15,130,500) 21,793 -------------- $ (7,653,968) ==============
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2008 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT SWAP CREDIT AMOUNT FIXED TERMINATION RECEIVED/ COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) RATE DATE (PAID) VALUE ------------ ---------------- ---------- -------- ------ ----------- ---------- ------------ Barclays Bank plc: ABX.HE.AA.06-2 Index Sell $ 7,270 0.170% 5/25/46 $5,624,201 $ (5,621,633) American International Group, Inc. Sell 4,045 3.000 3/20/09 - (108,613) American International Group, Inc. Sell 9,045 4.000 3/20/09 - (199,954) American International Group, Inc. Sell 8,585 5.350 3/20/09 - (134,796) Capmark Financial Group, Inc. Sell 3,950 1.000 6/20/12 - (1,656,609) Citigroup, Inc. Sell 2,150 10.500 6/20/09 - (76,622) Dillard's, Inc. Sell 3,610 1.900 12/20/08 - (34,138) HCP, Inc. Sell 5,350 4.600 3/20/09 - 4,312 iStar Financial, Inc. Sell 5,555 4.400 12/20/12 - (2,073,599) Kohl's Corp. Buy 3,685 1.180 6/20/18 - 47,665 Kohl's Corp. Sell 3,685 1.080 6/20/13 - (19,118) Kohl's Corp. Sell 3,695 0.900 6/20/13 - (47,156) Kohl's Corp. Buy 3,695 1.040 6/20/18 - 85,924 Lehman Brothers Holdings, Inc. Sell 8,735 0.490 9/20/10 - (7,689,874) Lehman Brothers Holdings, Inc. Sell 4,030 9.600 9/20/09 - (3,547,818) Merrill Lynch & Co., Inc. Sell 15,210 4.150 9/20/09 - 18,298 Six Flags, Inc. Sell 4,885 8.250 12/20/08 - (57,417) The Goldman Sachs Group, Inc. Sell 7,820 5.750 12/20/09 - 20,426 XL Capital Ltd. Sell 8,340 3.550 9/20/09 - 4,237 ---------- ------------ 5,624,201 (21,086,485) Credit Suisse International:
19 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited iStar Financial, Inc. Sell 1,255 4.000 12/20/12 - (478,451) iStar Financial, Inc. Sell 340 6.350 3/20/09 - (39,899) iStar Financial, Inc. Sell 2,540 12.000 3/20/09 - (235,861) JPMorgan Chase & Co. Sell 9,730 2.088 12/20/08 - 4,028 Merrill Lynch & Co., Inc. Sell 7,605 4.150 9/20/09 - 9,149 Morgan Stanley Sell 10,815 7.800 12/20/13 - (995,180) Rite Aid Corp. Sell 2,890 7.500 3/20/09 - (133,115) Rite Aid Corp. Sell 2,675 5.000 9/20/09 160,500 (138,536) Sprint Nextel Corp. Sell 15,630 6.300 3/20/09 - 205,988 Tribune Co. Sell 725 5.000 12/20/09 159,500 (173,153) Tribune Co. Sell 3,815 5.000 12/20/09 877,450 (913,244) TXU Corp. Sell 1,680 5.910 12/20/12 - (129,975) TXU Corp. Sell 1,620 6.050 12/20/12 - (118,504) TXU Corp. Sell 1,685 6.000 12/20/12 - (125,795) Univision Communications, Inc. Sell 585 14.600 3/20/09 - 21,587 Vornado Realty LP Sell 3,520 3.600 3/20/09 - 54,831 Wachovia Corp. Sell 6,920 1.000 3/20/09 - (148,305) Washington Mutual, Inc. Sell 4,280 6.500 12/20/08 - (1,541,256) Washington Mutual, Inc. Sell 14,860 6.800 6/20/09 - (5,351,183) ---------- ------------ 1,197,450 (10,226,874) Deutsche Bank AG: ABX.HE.AA.06-2 Index Sell 2,000 0.170 5/25/46 239,981 (1,546,529) Allied Waste North America, Inc. Sell 1,830 2.000 9/20/09 - (7,826) Allied Waste North America, Inc. Sell 3,020 2.000 9/20/09 - (12,916) Ambac Assurance Corp. Sell 5,075 8.450 12/20/08 - (155,212) American International Group, Inc. Sell 11,395 4.000 3/20/09 - (251,904) Cemex Sell 3,635 2.000 3/20/09 - 774 Centex Corp. Sell 1,765 1.550 9/20/09 - (36,487) Citigroup, Inc. Sell 850 5.000 12/20/08 - (32,084) Citigroup, Inc. Sell 2,040 5.000 3/20/09 234,600 (113,492) iStar Financial, Inc. Sell 9,140 2.925 12/20/08 - (614,400) iStar Financial, Inc. Sell 5,320 3.000 12/20/08 - (356,693)
20 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited iStar Financial, Inc. Sell 880 4.320 12/20/12 - (329,890) iStar Financial, Inc. Sell 320 4.500 12/20/12 - (118,815) iStar Financial, Inc. Sell 6,245 12.000 3/20/09 - (579,903) Jones Apparel Group, Inc. Sell 3,755 2.720 6/20/13 - (38,589) Jones Apparel Group, Inc. Buy 3,755 2.635 6/20/18 - 74,946 Kohl's Corp. Sell 3,725 1.180 6/20/13 - (3,652) Kohl's Corp. Buy 3,725 1.300 6/20/18 - 15,235 Lehman Brothers Holdings, Inc. Sell 4,270 2.070 3/20/09 - (3,759,102) Liz Claiborne, Inc. Sell 13,245 3.250 6/20/09 - 7,364 MBIA Insurance Corp. Sell 14,340 8.850 12/20/08 - (384,833) MBIA, Inc. Sell 2,670 4.900 12/20/12 - (703,398) Prudential Financial, Inc. Sell 10,750 2.050 6/20/09 - (2,516) Temple-Inland, Inc. Sell 1,900 3.000 9/20/09 - 730 Tenet Healthcare Corp. Sell 6,900 1.600 3/20/09 - (43,831) The Goldman Sachs Group, Inc. Sell 7,860 5.500 12/20/09 - (2,110) The Goldman Sachs Group, Inc. Sell 6,425 5.450 12/20/09 - (6,393) Vornado Realty LP Sell 7,180 3.875 6/20/09 - 121,694 Wachovia Corp. Sell 15,690 1.000 3/20/09 - (336,258) Wachovia Corp. Sell 2,145 1.750 3/20/09 - (35,491) Washington Mutual, Inc. Sell 1,195 4.500 12/20/08 - (430,328) Washington Mutual, Inc. Sell 5,895 4.500 12/20/08 - (2,122,828) XL Capital Ltd. Sell 9,440 3.550 9/20/09 - 4,796 ---------- ------------ 474,581 (11,799,941) Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 730 0.170 5/25/46 60,146 (564,483) ABX.HE.AA.06-2 Index Sell 2,680 0.170 5/25/46 1,058,537 (2,072,349) Capmark Financial Group, Inc. Sell 4,595 0.950 6/20/12 - (1,931,490) D.R. Horton, Inc. Sell 2,490 4.210 12/20/08 - 2,859 First Data Corp. Sell 1,890 4.700 3/20/09 - 25,693 iStar Financial, Inc. Sell 1,445 3.950 12/20/12 - (552,323) Pulte Homes, Inc. Sell 7,100 2.750 9/20/09 - (65,296) R.H. Donnelley Corp. Sell 7,680 9.000 3/20/09 - (67,093)
21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited Six Flags, Inc. Sell 315 10.850 12/20/08 - (1,743) Sprint Nextel Corp. Sell 5,620 6.300 3/20/09 - 74,066 Univision Communications, Inc. Sell 1,590 5.000 6/20/09 159,000 (107,239) Univision Communications, Inc. Sell 630 5.000 6/20/09 69,300 (42,491) Univision Communications, Inc. Sell 200 5.000 6/20/09 12,000 (13,489) ---------- ------------ 1,358,983 (5,315,378) Morgan Stanley Capital Services, Inc.: ABX.HE.AA.06-2 Index Sell 600 0.170 5/25/46 47,935 (463,959) ABX.HE.AA.06-2 Index Sell 1,240 0.170 5/25/46 123,994 (958,848) American International Group, Inc. Sell 6,830 4.000 3/20/09 - (150,988) Capmark Financial Group Inc. Sell 2,140 5.000 6/20/12 577,800 (734,623) Clear Channel Communications, Inc. Sell 450 6.300 9/20/12 - (138,121) Countrywide Home Loans, Inc. Sell 11,880 0.420 6/20/09 - (228,227) Dow Jones CDX.NA.IG.HVOL.7 Index Sell 17,000 0.750 12/20/11 64,344 (1,555,858) Ford Motor Co. Sell 6,445 7.150 12/20/16 - (2,271,430) Ford Motor Co. Sell 3,065 7.050 12/20/16 - (1,145,719) Ford Motor Co. Sell 4,900 6.050 12/20/17 - (1,966,222) General Motors Corp. Sell 3,250 5.800 12/20/16 - (1,715,006) General Motors Corp. Sell 3,440 5.750 12/20/16 - (1,816,789) General Motors Corp. Sell 2,860 5.050 12/20/17 - (1,576,740) Inco Ltd. Buy 3,660 0.700 3/20/17 - 88,378 Inco Ltd. Buy 3,670 0.630 3/20/17 - 158,397 Intelsat Ltd. Sell 650 2.750 12/20/08 - 419 iStar Financial, Inc. Sell 1,085 4.860 12/20/12 - (395,094) J.C. Penney Co., Inc. Sell 5,215 1.300 12/20/17 - (277,663) J.C. Penney Co., Inc. Sell 4,665 1.070 12/20/17 - (320,786) Jones Apparel Group, Inc. Sell 7,580 3.200 6/20/13 - 65,294 Jones Apparel Group, Inc. Buy 7,580 2.970 6/20/18 - (15,852) Kohl's Corp. Buy 6,995 0.660 12/20/17 - 409,830 Kohl's Corp. Buy 7,745 0.870 12/20/17 - 339,386 Lehman Brothers Holdings, Inc. Sell 2,745 9.600 9/20/09 - (2,416,566) Lennar Corp. Sell 7,820 2.900 12/20/08 - (63,705)
22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited Liz Claiborne, Inc. Sell 7,425 3.100 6/20/13 - (183,266) Liz Claiborne, Inc. Buy 7,425 2.900 6/20/18 - 337,689 Louisiana-Pacific Corp. Sell 7,810 6.250 9/20/09 - (8,766) R.H. Donnelley Corp. Sell 1,300 5.000 12/20/09 117,000 25,130 The Hartford Financial Services Group, Inc. Sell 3,575 2.400 3/20/09 - 24,421 Univision Communications, Inc. Sell 2,420 5.000 6/20/09 145,200 (163,219) Univision Communications, Inc. Sell 1,775 5.000 12/20/09 124,250 (120,201) Vale Overseas Ltd. Sell 3,660 1.170 3/20/17 - (240,244) Vale Overseas Ltd. Sell 3,670 1.100 3/20/17 - (257,040) ---------- ------------ Wachovia Corp. Sell 22,465 3.250 3/20/09 - (152,202) 1,200,523 (17,888,190) ---------- ------------ $9,855,738 $(66,316,868) ========== ============
INTEREST RATE SWAP CONTRACTS AS OF SEPTEMBER 30, 2008 ARE AS FOLLOWS:
NOTIONAL RECEIVED BY TERMINATION SWAP COUNTERPARTY AMOUNT PAID BY THE FUND THE FUND DATE VALUE ----------------- ----------- ------------------------- -------- ----------- ----------- Credit Suisse International $19,780,000 Three-Month USD BBA LIBOR 5.428% 8/7/17 $ 1,834,457 ------------------------------------------------------------------------------------------------------------- Deutsche Bank AG 16,700,000 Three-Month USD BBA LIBOR 5.445 8/8/17 1,570,552 ----------- $ 3,405,009 ===========
Index abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate TOTAL RETURN SWAP CONTRACTS AS OF SEPTEMBER 30, 2008 ARE AS FOLLOWS:
NOTIONAL TERMINATION SWAP COUNTERPARTY AMOUNT PAID BY THE FUND RECEIVED BY THE FUND DATE VALUE ----------------- ------------ -------------------------- ------------------------------ ----------- ------------- Goldman Sachs Group, Inc. (The) If credit spreads as If credit spreads as represented by the Lehman represented by the Lehman Brothers U.S. CMBS AAA Brothers U.S. CMBS AAA 8.5+ 8.5+ Index widen, pays the Index narrow, receives the $ 70,300,000 spread change* spread change* 3/1/09 $ (3,836,476) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA spread change plus 200 8.5+Index narrow, receives the 17,150,000 basis points* spread change* 3/1/09 (933,709)
23 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA spread change minus 50 8.5+Index narrow, receives the 5,270,000 basis points* spread change* 12/1/08 (289,110) If credit spreads as If credit spreads as represented by the Lehman represented by the Lehman Brothers U.S. CMBS AAA Brothers U.S. CMBS AAA 8.5+ 8.5+ Index widen, pays the Index narrow, receives the 11,870,000 spread change* spread change* 11/1/08 (638,729) If credit spreads as If credit spreads as represented by the Lehman represented by the Lehman Brothers U.S. CMBS AAA Brothers U.S. CMBS AAA 8.5+ 8.5+ Index widen, pays the Index narrow, receives the 23,440,000 spread change* spread change* 2/1/09 (1,279,189) If credit spreads as represented by the Banc of America Securities LLC AAA If credit spreads as 10 yr CMBS Daily Index represented by the Banc of widen, pays the spread America Securities LLC AAA change minus 660 basis 10 yr CMBS Daily Index narrow, 165,690,000 points* receives the spread change* 3/31/09 (5,065,344) ------------- (12,042,557) Morgan Stanley If credit spreads as If credit spreads as represented by the Lehman represented by the Lehman Brothers U.S. CMBS AAA Brothers U.S. CMBS AAA Index Index widen, pays the narrow, receives the spread 37,800,000 spread change* change* 2/1/09 (1,053,036) If credit spreads as If credit spreads as represented by the Lehman represented by the Lehman Brothers U.S. CMBS AAA Brothers U.S. CMBS AAA Index Index widen, pays the narrow, receives the spread 71,500,000 spread change* change* 3/1/09 (1,995,455) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change plus 250 Index narrow, receives the 19,530,000 basis points* spread change* 3/1/09 (1,050,917) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change plus 250 Index narrow, receives the 31,780,000 basis points* spread change* 3/1/09 (1,731,978)
24 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change plus 350 Index narrow, receives the 26,480,000 basis points* spread change* 3/1/09 (1,432,527) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 50 Index narrow, receives the 95,450,000 basis points* spread change* 12/1/08 (5,190,624) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 65 Index narrow, receives the 24,380,000 basis points* spread change* 12/1/08 (1,327,122) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 95 Index narrow, receives the 15,980,000 basis points* spread change* 2/1/09 (859,890) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 95 Index narrow, receives the 15,980,000 basis points* spread change* 2/1/09 (869,158) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 70 Index narrow, receives the 38,170,000 basis points* spread change* 2/1/09 (2,085,674) If credit spreads as represented by the Lehman If credit spreads as Brothers U.S. CMBS AAA represented by the Lehman 8.5+ Index widen, pays the Brothers U.S. CMBS AAA 8.5+ spread change minus 50 Index narrow, receives the 11,220,000 basis points* spread change* 2/1/09 (608,259) ------------- (18,204,640) ------------- $ (30,247,197) =============
* The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index's underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index's underlying holdings, the spread widens. Abbreviations is as follows: CMBS Commercial Mortgage Backed Securities 25 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited 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 Fund's 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. 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. 26 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited 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 September 30, 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 $ 611,694,740 Sold securities 68,681,592
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. 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 September 30, 2008, securities with an aggregate market value of $211,327, representing 0.01% of the Fund's net assets, were in default. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") 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. 27 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited INVESTMENTS IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. The Fund's investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. INVESTMENTS WITH OFF-BALANCE SHEET MARKET 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. 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 privately negotiated agreements with a counterparty to exchange or "swap" payments at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the "notional" amount of the asset or non-asset reference to which the contract relates. As derivative contracts, swaps typically do not have an associated cost at contract inception. At initiation, contract terms are typically set at market value such that the value of the swap is $0. If a counterparty specifies terms that would result in the contract having a value other than $0 at initiation, one counterparty will pay the other an upfront payment to equalize the contract. Subsequent changes in market value are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. Contract types may include credit default, interest rate, total return, and currency swaps. Swaps are marked to market daily using quotations primarily from pricing services, counterparties or 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) is comprised of the change in the valuation of the swap combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net 28 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. Any payment received or paid to initiate a contract is recorded as a cost of the swap in the Statement of Assets and Liabilities in the annual and semiannual reports and as a component of unrealized gain or loss on the Statement of Operations in the annual and semiannual reports until contract termination; upon contract termination, this amount is recorded as realized gain or loss on the Statement of Operations in the annual and semiannual reports. Excluding amounts paid at contract initiation as described above, the Fund also records any periodic payments received from (paid to) the counterparty, including at termination, 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 fails to make a payment when due or otherwise defaults under the terms of the contract. 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 performance of the asset or non-asset reference. Liquidity risk is the risk that the Fund may be unable to close the contract prior to its termination. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee, similar to an insurance premium, to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. Risks of credit default swaps include credit, market and liquidity risk. Additional risks 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 when a credit event occurs (paying the notional amount to the protection buyer); and pricing transparency when assessing the value of a credit default swap. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. Risks of interest rate swaps include credit, market and liquidity risk. Additional risks include but are not limited to, interest rate risk. There is a risk, based on future movements of interest rates that 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 periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. 29 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited Risks of total return swaps include credit, market and liquidity risk. ILLIQUID SECURITIES As of September 30, 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 September 30, 2008, the Fund had on loan securities valued at $7,190,663. Collateral of $7,476,958 was received for the loans, all of which was received in cash and subsequently invested in approved instruments or held as cash. RECENT ACCOUNTING PRONOUNCEMENT In March 2008, the Financial Accounting Standards Board ("FASB") issued Statement on Financial Accounting Standards ("SFAS") No. 161, Disclosures about Derivative Instruments and Hedging Activities. This standard requires enhanced disclosures about derivative and hedging activities, including qualitative disclosures about how and why the Fund uses derivative instruments, how these activities are accounted for, and their effect on the Fund's financial position, financial performance and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of SFAS No. 161 and its impact on the Fund's financial statements and related disclosures. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 $ 3,019,453,556 Federal tax cost of other investments (532,965,676) --------------- Total federal tax cost $ 2,486,487,880 =============== Gross unrealized appreciation $ 27,031,309 Gross unrealized depreciation (374,922,128) --------------- Net unrealized depreciation $ (347,890,819) ===============
30 | Oppenheimer Core Bond Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 09/30/2008, 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: 11/11/2008 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: 11/11/2008 By: /s/ Brian W. Wixted ---------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/11/2008