-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UHYH9+q9kYJdkqWpDnXvUhSrHzWa4wmof9l3gmHxt/QyNZC3HqKrQyyKHJAp52Mr 3iMT0VlVflP6HHQMdzK+cQ== 0000950123-09-065173.txt : 20091123 0000950123-09-065173.hdr.sgml : 20091123 20091123162304 ACCESSION NUMBER: 0000950123-09-065173 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090930 FILED AS OF DATE: 20091123 DATE AS OF CHANGE: 20091123 EFFECTIVENESS DATE: 20091123 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 091201996 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: 3RD FL CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 0000701265 S000008824 Oppenheimer Core Bond Fund C000024033 A C000024034 B C000024035 C C000024036 N C000024037 Y N-Q 1 p15562nvq.txt N-Q 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: 09/30/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ASSET-BACKED SECURITIES--8.4% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.726%, 5/25/34(1) $ 3,925,924 $ 2,687,798 Bank of America Auto Trust, Automobile Asset-Backed Certificates, Series 2009-2A, Cl. A4, 3.03%, 10/15/16(2) 11,000,000 11,048,431 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 3,850,000 4,015,687 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.346%, 5/16/36(1) 319,851 314,204 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.806%, 2/25/33(1) 749,944 659,522 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 10,930,000 11,367,419 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 451,281 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.346%, 10/25/36(1) 1,015,347 962,723 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 4,850,000 4,931,345 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.986%, 2/25/33(1) 48,808 30,453 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(1) 4,651,642 3,640,505 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(1) 782,564 614,905 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.366%, 6/25/47(1) 3,020,000 1,991,528 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.336%, 7/25/36(1) 2,810,786 2,653,914 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.356%, 7/7/36(1) 1,348,538 1,021,910 Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 2,880,000 2,905,137 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 7,025,000 7,081,919 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11(3) 3,075,000 3,087,608 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.533%, 1/20/35(1) 1,072,527 928,369 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.383%, 3/20/36(1) 1,120,000 1,046,386 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 264,704 261,775 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(3) 455,723 456,415 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.593%, 3/15/16(1) 4,380,000 3,995,926
1 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- Series 2005-A6, Cl. A6, 4.50%, 1/15/13 $ 11,020,000 $ 11,343,054 NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.55%, 1/25/29(1, 3) 1,750,658 262,599 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.346%, 7/1/36(1) 7,497,282 6,088,483 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(1) 1,125,638 996,113 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.286%, 9/25/36(1) 641,633 633,131 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.346%, 7/25/36(1) 1,032,214 1,015,910 ------------- Total Asset-Backed Securities (Cost $94,087,989) 86,494,450 ------------- MORTGAGE-BACKED OBLIGATIONS--83.1% GOVERNMENT AGENCY--71.9% FHLMC/FNMA/FHLB/SPONSORED--67.8% Federal Home Loan Mortgage Corp.: 5%, 8/15/33 8,720,853 9,057,787 5.50%, 9/1/39(4) 10,430,000 10,932,487 6%, 5/15/18-10/15/29 3,921,345 4,190,604 6.50%, 4/15/18-4/1/34 4,512,149 4,843,980 7%, 7/15/21-10/1/37 13,819,670 15,196,057 8%, 4/1/16 342,796 371,841 9%, 4/14/17-5/1/25 96,661 106,896 12.50%, 5/15/14 390 459 13.50%, 12/15/10 197 208 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 22,001 23,957 Series 1590, Cl. IA, 1.30%, 10/15/23(1) 3,822,701 3,845,433 Series 2034, Cl. Z, 6.50%, 2/15/28 29,493 31,825 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,049,055 3,265,044 Series 2046, Cl. G, 6.50%, 4/15/28 2,537,329 2,733,374 Series 2053, Cl. Z, 6.50%, 4/15/28 28,459 30,554 Series 2063, Cl. PG, 6.50%, 6/15/28 1,959,035 2,085,641 Series 2145, Cl. MZ, 6.50%, 4/15/29 718,614 778,020 Series 2148, Cl. ZA, 6%, 4/15/29 1,375,373 1,479,032 Series 2195, Cl. LH, 6.50%, 10/15/29 1,733,438 1,847,963 Series 2326, Cl. ZP, 6.50%, 6/15/31 549,927 589,175 Series 2341, Cl. FP, 1.143%, 7/15/31(1) 1,001,702 1,004,983 Series 2399, Cl. PG, 6%, 1/15/17 860,945 930,757 Series 2423, Cl. MC, 7%, 3/15/32 2,451,004 2,688,241 Series 2453, Cl. BD, 6%, 5/15/17 817,473 881,362 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,650,188 5,071,650 Series 2463, Cl. F, 1.243%, 6/15/32(1) 4,974,098 5,016,829 Series 2500, Cl. FD, 0.743%, 3/15/32(1) 273,137 268,798 Series 2526, Cl. FE, 0.643%, 6/15/29(1) 395,414 386,586 Series 2551, Cl. FD, 0.643%, 1/15/33(1) 930,816 917,446 Series 2638, Cl. KG, 4%, 11/1/27 7,946,000 8,195,378 Series 2648, Cl. JE, 3%, 2/1/30 8,257,673 8,340,111 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,725,007
2 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2686, Cl. CD, 4.50%, 2/1/17 3,555,374 3,680,571 Series 3019, Cl. MD, 4.75%, 1/1/31 4,461,382 4,656,888 Series 3025, Cl. SJ, 23.858%, 8/15/35(1) 860,175 1,142,917 Series 3094, Cl. HS, 23.491%, 6/15/34(1) 1,304,384 1,644,305 Series 3157, Cl. MC, 5.50%, 2/1/26 7,847,465 8,069,123 Series 3279, Cl. PH, 6%, 2/1/27 10,880,000 11,345,519 Series 3306, Cl. PA, 5.50%, 10/1/27 4,595,391 4,758,656 Series R001, Cl. AE, 4.375%, 4/1/15 3,240,954 3,339,469 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 14.379%, 6/1/26(5) 504,908 92,921 Series 183, Cl. IO, 11.014%, 4/1/27(5) 1,614,240 302,232 Series 184, Cl. IO, 18.426%, 12/1/26(5) 858,419 157,539 Series 192, Cl. IO, 8.467%, 2/1/28(5) 204,053 49,601 Series 202, Cl. IO, 0.00%, 4/1/29(5, 16) 5,324,156 1,233,048 Series 206, Cl. IO, 0.00%, 12/1/29(5, 16) 257,048 46,384 Series 2130, Cl. SC, 51.927%, 3/15/29(5) 561,032 92,218 Series 2134, Cl. SB, 69.139%, 3/15/29(5) 580,603 94,998 Series 224, Cl. IO, 0.061%, 3/1/33(5) 2,682,842 488,545 Series 2422, Cl. SJ, 81.153%, 1/15/32(5) 2,523,901 324,466 Series 243, Cl. 6, 0.00%, 12/15/32(5, 16) 1,611,403 289,692 Series 2493, Cl. S, 77.67%, 9/15/29(5) 149,389 25,048 Series 2527, Cl. SG, 35.892%, 2/15/32(5) 2,604,473 140,379 Series 2531, Cl. ST, 49.039%, 2/15/30(5) 3,320,133 193,926 Series 2796, Cl. SD, 66.434%, 7/15/26(5) 887,802 152,632 Series 2802, Cl. AS, 99.999%, 4/15/33(5) 2,421,585 243,993 Series 2920, Cl. S, 78.332%, 1/15/35(5) 3,561,168 425,453 Series 3000, Cl. SE, 99.999%, 7/15/25(5) 4,871,270 468,754 Series 3045, Cl. DI, 41.10%, 10/15/35(5) 44,076,784 5,670,452 Series 3110, Cl. SL, 99.999%, 2/15/26(5) 1,573,904 146,444 Series 3146, Cl. SA, 56.046%, 4/15/36(5) 5,394,548 706,659 Series 3399, Cl. SC, 19.915%, 12/15/37(5) 38,268,700 4,122,699 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.479%, 6/1/26(6) 210,762 178,822 Series 192, Cl. PO, 7.382%, 2/1/28(6) 198,894 176,728 Federal National Mortgage Assn.: 4.50%, 10/1/24-10/1/39(4) 50,245,000 51,255,916 5%, 10/1/24-11/1/39(4) 61,309,500 63,191,308 5.50%, 12/25/18 8,566 9,180 5.50%, 10/1/24-10/1/39(4) 93,040,000 97,389,344 6%, 5/25/20 1,083,276 1,163,929 6%, 10/1/24-10/1/39(4) 123,018,000 130,117,041 6.50%, 6/25/17-11/25/31 21,771,733 23,503,184 6.50%, 10/1/39(4) 32,182,000 34,399,533 7%, 9/25/14-4/1/34 10,006,667 10,950,907
3 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED 7.50%, 1/1/33-8/25/33 $ 8,957,900 $ 10,029,601 8.50%, 7/1/32 48,718 54,134 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 11,279 12,059 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 709,097 758,507 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 545,672 599,257 Trust 1996-35, Cl. Z, 7%, 7/25/26 177,106 196,413 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,176,405 1,276,317 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,661,694 1,803,597 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 2,248,311 2,430,603 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 7,791,080 8,506,825 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,215,601 2,374,272 Trust 2002-10, Cl. FB, 0.746%, 3/25/17(1) 258,271 255,712 Trust 2002-16, Cl. PG, 6%, 4/25/17 1,528,841 1,647,623 Trust 2002-2, Cl. UC, 6%, 2/25/17 901,136 965,158 Trust 2002-56, Cl. FN, 1.246%, 7/25/32(1) 1,363,033 1,372,409 Trust 2003-130, Cl. CS, 13.608%, 12/25/33(1) 6,363,568 6,825,939 Trust 2003-21, Cl. FK, 0.646%, 3/25/33(1) 509,633 502,251 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,572,946 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,855,013 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 4,374,046 4,531,036 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,568,689 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 5,073,000 5,401,727 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 10,498,739 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,638,461 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 444,111 452,515 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,299,825 Trust 2006-50, Cl. SK, 23.297%, 6/25/36(1) 2,107,633 2,632,095 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 679,568 704,979 Trust 2009-37, Cl. HA, 4%, 4/1/19 9,268,516 9,635,145 Trust 2009-70, Cl. PA, 5%, 8/1/35 7,879,239 8,326,076 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 73.529%, 3/17/31(5) 892,267 134,128 Trust 2001-61, Cl. SE, 44.232%, 11/18/31(5) 1,309,383 186,146 Trust 2001-65, Cl. S, 50.524%, 11/25/31(5) 3,090,407 396,276 Trust 2001-81, Cl. S, 36.337%, 1/25/32(5) 400,272 52,968 Trust 2002-12, Cl. SB, 65.34%, 7/25/31(5) 639,405 84,642 Trust 2002-2, Cl. SW, 67.496%, 2/25/32(5) 734,637 93,783 Trust 2002-38, Cl. SO, 59.074%, 4/25/32(5) 288,090 33,139 Trust 2002-41, Cl. S, 76.477%, 7/25/32(5) 2,915,398 454,496 Trust 2002-47, Cl. NS, 35.233%, 4/25/32(5) 1,052,239 145,660 Trust 2002-5, Cl. SD, 68.864%, 2/25/32(5) 511,152 90,428 Trust 2002-51, Cl. S, 35.556%, 8/25/32(5) 966,157 132,484 Trust 2002-52, Cl. SD, 40.864%, 9/25/32(5) 1,148,100 153,767 Trust 2002-60, Cl. SM, 51.256%, 8/25/32(5) 4,668,426 527,562 Trust 2002-60, Cl. SY, 9.814%, 4/25/32(5) 4,041,495 84,314 Trust 2002-7, Cl. SK, 54.222%, 1/25/32(5) 2,824,759 351,501
4 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-75, Cl. SA, 52.204%, 11/25/32(5) $ 2,470,938 $ 320,335 Trust 2002-77, Cl. BS, 45.852%, 12/18/32(5) 4,940,017 614,061 Trust 2002-77, Cl. IS, 50.609%, 12/18/32(5) 490,819 71,494 Trust 2002-77, Cl. JS, 40.501%, 12/18/32(5) 4,715,970 584,279 Trust 2002-77, Cl. SA, 42.037%, 12/18/32(5) 4,440,530 552,384 Trust 2002-77, Cl. SH, 44.174%, 12/18/32(5) 541,598 87,990 Trust 2002-84, Cl. SA, 53.977%, 12/25/32(5) 615,973 76,937 Trust 2002-89, Cl. S, 78.096%, 1/25/33(5) 4,414,562 666,484 Trust 2002-9, Cl. MS, 36.468%, 3/25/32(5) 33,469 4,858 Trust 2002-90, Cl. SN, 54.619%, 8/25/32(5) 4,247,650 499,480 Trust 2002-90, Cl. SY, 55.74%, 9/25/32(5) 1,958,145 220,112 Trust 2003-117, Cl. KS, 60.482%, 8/25/33(5) 23,629,484 2,536,233 Trust 2003-14, Cl. OI, 10.552%, 3/25/33(5) 6,574,921 1,116,255 Trust 2003-26, Cl. IK, 11.738%, 4/25/33(5) 2,523,898 426,951 Trust 2003-33, Cl. SP, 55.606%, 5/25/33(5) 3,935,273 541,640 Trust 2003-4, Cl. S, 47.988%, 2/25/33(5) 1,245,428 172,868 Trust 2003-52, Cl. NS, 70.471%, 6/25/23(5) 19,452,492 2,506,724 Trust 2003-89, Cl. XS, 65.165%, 11/25/32(5) 6,094,996 427,601 Trust 2004-54, Cl. DS, 52.232%, 11/25/30(5) 242,421 32,130 Trust 2005-19, Cl. SA, 74.425%, 3/25/35(5) 12,673,948 1,692,791 Trust 2005-40, Cl. SA, 75.278%, 5/25/35(5) 2,251,918 286,417 Trust 2005-6, Cl. SE, 86.021%, 2/25/35(5) 2,774,257 328,992 Trust 2005-71, Cl. SA, 76.317%, 8/25/25(5) 4,150,376 481,481 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(5) 15,926,679 1,367,294 Trust 2005-87, Cl. SG, 86.171%, 10/25/35(5) 16,096,112 1,549,969 Trust 222, Cl. 2, 16.354%, 6/1/23(5) 1,647,285 296,874 Trust 240, Cl. 2, 21.246%, 9/1/23(5) 2,029,805 363,569 Trust 247, Cl. 2, 24.229%, 10/1/23(5) 141,810 27,345 Trust 252, Cl. 2, 21.644%, 11/1/23(5) 1,490,289 274,435 Trust 254, Cl. 2, 16.235%, 1/1/24(5) 2,654,905 489,849 Trust 2682, Cl. TQ, 99.999%, 10/15/33(5) 4,006,075 651,377 Trust 273, Cl. 2, 14.964%, 8/1/26(5) 386,115 71,385 Trust 2981, Cl. BS, 99.999%, 5/15/35(5) 7,130,440 877,312 Trust 301, Cl. 2, 0.265%, 4/1/29(5) 941,112 218,974 Trust 303, Cl. IO, 0.00%, 11/1/29(5, 16) 122,750 22,663 Trust 319, Cl. 2, 4.916%, 2/1/32(5) 568,695 113,609 Trust 320, Cl. 2, 7.828%, 4/1/32(5) 10,639,157 2,114,106 Trust 321, Cl. 2, 3.569%, 4/1/32(5) 2,159,847 448,104 Trust 324, Cl. 2, 0.583%, 7/1/32(5) 1,035,998 209,806 Trust 331, Cl. 9, 5.444%, 2/1/33(5) 6,275,587 1,079,102 Trust 334, Cl. 14, 8.318%, 2/1/33(5) 5,541,750 894,822 Trust 334, Cl. 15, 9.118%, 2/1/33(5) 3,938,480 664,516 Trust 334, Cl. 17, 16.503%, 2/1/33(5) 212,985 32,619 Trust 338, Cl. 2, 0.789%, 7/1/33(5) 19,065,256 3,267,649 Trust 339, Cl. 12, 0.00%, 7/1/33(5, 16) 5,678,470 947,405
5 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 339, Cl. 7, 0.00%, 7/1/33(5, 16) $ 6,865,790 $ 931,754 Trust 343, Cl. 13, 10.741%, 9/1/33(5) 5,392,919 938,847 Trust 343, Cl. 18, 14.646%, 5/1/34(5) 3,886,402 559,073 Trust 345, Cl. 9, 0.00%, 1/1/34(5, 16) 4,375,469 638,462 Trust 351, Cl. 10, 0.00%, 4/1/34(5, 16) 2,461,403 330,819 Trust 351, Cl. 8, 0.643%, 4/1/34(5) 3,883,110 516,376 Trust 356, Cl. 10, 0.00%, 6/1/35(5, 16) 3,345,139 478,625 Trust 356, Cl. 12, 0.00%, 2/1/35(5, 16) 1,712,370 227,978 Trust 362, Cl. 12, 0.00%, 8/1/35(5, 16) 6,759,658 1,168,427 Trust 362, Cl. 13, 0.00%, 8/1/35(5, 16) 3,715,307 622,810 Trust 364, Cl. 16, 0.00%, 9/1/35(5, 16) 5,784,908 803,430 Trust 365, Cl. 16, 12.389%, 3/1/36(5) 3,847,813 510,858 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.298%, 9/25/23(6) 511,745 418,121 Trust 324, Cl. 1, 7.912%, 7/1/32(6) 461,157 404,812 ------------- 700,709,798 ------------- GNMA/GUARANTEED--4.1% Government National Mortgage Assn.: 4.50%, 10/1/39(4) 36,870,000 37,423,050 4.625%, 8/8/25-7/1/27(1) 17,960 18,404 8.50%, 8/1/17-12/15/17 159,522 173,405 10.50%, 12/29/17-5/29/21 10,114 11,340 11%, 11/8/19 26,291 29,193 12%, 5/29/14 210 235 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 79.766%, 1/16/27(5) 1,033,146 146,433 Series 2002-15, Cl. SM, 67.083%, 2/16/32(5) 1,158,622 190,983 Series 2002-41, Cl. GS, 60.828%, 6/16/32(5) 849,909 134,909 Series 2002-76, Cl. SY, 76.891%, 12/16/26(5) 567,174 85,401 Series 2004-11, Cl. SM, 57.327%, 1/17/30(5) 202,808 30,991 Series 2006-47, Cl. SA, 74.189%, 8/16/36(5) 33,630,452 3,774,816 ------------- 42,019,160 ------------- NON-AGENCY--11.2% COMMERCIAL--7.5% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.661%, 4/14/29(5) 8,830,986 368,870 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 20,850,000 17,187,956 Series 2006-5, Cl. A2, 5.317%, 10/10/11 10,952,000 11,000,075 Bear Stearns Commercial Mortgage Securities Trust2007-PW18, Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2, 5.613%, 6/1/50 1,000,000 1,000,553
6 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- COMMERCIAL CONTINUED Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0.00%, 6/22/24(5, 16) $ 3,181,554 $ 131,406 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 2,905,973 2,577,617 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 942,024 953,305 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 705,000 755,261 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. AM, 4.78%, 7/1/42 8,810,000 7,454,041 Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,525,000 3,003,406 JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 24,888 24,872 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AM, 5.217%, 2/11/31(1) 11,760,000 9,512,812 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 2.641%, 2/18/30(5) 2,830,775 90,220 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24 136,952 102,502 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,628,624 1,394,174 Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.795%, 5/1/39(1) 6,100,000 6,175,333 Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 6,330,000 5,434,531 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0.00%, 5/18/32(5, 16) 39,399,250 186,548 Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 1,956,415 835,911 Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 2,146,000 2,133,738 Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.412%, 10/1/34(1) 7,578,395 7,147,514 ------------- 77,470,645 ------------- MULTIFAMILY--1.7% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 4.617%, 10/1/35(1) 2,095,000 1,441,875 Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.979%, 12/25/34(1) 2,771,774 2,632,492
7 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- MULTIFAMILY CONTINUED Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.295%, 9/25/34(1) $ 2,361,329 $ 2,295,725 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 5.031%, 3/1/36(1, 3) 13,427,451 11,542,105 ------------- 17,912,197 ------------- OTHER--0.0% Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 65.285%, 10/23/17(5) 2,265 250 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 0.993%, 10/23/17(6) 3,353 3,248 ------------- 3,498 ------------- RESIDENTIAL--2.0% Countrywide Alternative Loan Trust 2005-29CB, Mortgage Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 3,607,584 3,084,249 CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 5,822,604 4,718,898 JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 4.439%, 11/1/33(1) 669,541 642,712 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed Certificates, Series 2005-A1, Cl. 2A1, 3.799%, 12/25/34(1) 1,830,736 1,755,906 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 754,508 748,569 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 1,123,843 1,060,980 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 2.881%, 9/25/33(1) 3,706,757 3,449,297 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 3.003%, 9/1/34(1) 970,710 924,844 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl 2A1, 4.418%, 10/1/35(1) 5,286,979 4,586,926 ------------- 20,972,381 ------------- Total Mortgage-Backed Obligations (Cost $847,977,480) 859,087,679 ------------- U.S. GOVERNMENT OBLIGATIONS--4.6% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 10,375,000 10,408,273 Federal National Mortgage Assn. Nts., 3%, 9/16/14 8,060,000 8,206,216 U.S. Treasury Bonds: 7.50%, 11/15/16(7) 7,700,000 9,932,399 STRIPS, 3.862%, 2/15/13(8) 1,520,000 1,436,333 U.S. Treasury Nts., 5.125%, 5/15/16 14,830,000 16,924,752 ------------- Total U.S. Government Obligations (Cost $47,697,008) 46,907,973 -------------
8 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- CORPORATE BONDS AND NOTES--27.9% CONSUMER DISCRETIONARY--3.4% AUTOMOBILES--0.9% Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 $ 2,345,000 $ 2,529,591 DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 1,565,000 1,856,761 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 4,785,000 4,890,830 ------------- 9,277,182 ------------- HOTELS, RESTAURANTS & LEISURE--0.2% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(2) 2,520,000 2,572,728 ------------- MEDIA--1.7% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 2,300,000 2,540,925 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 1,490,000 1,919,196 Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 2,710,000 3,347,725 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.875% Sr. Unsec. Unsub. Nts., 10/1/19(2) 872,000 870,910 DISH DBS Corp., 7.875% Sr. Nts., 9/1/19(2) 2,180,000 2,212,700 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 1,738,000 2,019,940 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,355,000 1,633,547 Time Warner, Inc., 6.50% Sr. Unsec. Debs., 11/15/36 2,010,000 2,063,882 Viacom, Inc., 6.25% Sr. Unsec. Nts., 4/30/16 990,000 1,069,447 ------------- 17,678,272 ------------- SPECIALTY RETAIL--0.6% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 2,220,000 2,161,035 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 3,480,000 3,759,486 ------------- 5,920,521 ------------- CONSUMER STAPLES--2.2% BEVERAGES--0.3% Anheuser-Busch InBev Worldwide, Inc.: 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(2) 1,740,000 2,062,394 8% Sr. Nts., 11/15/39(2) 885,000 1,149,030 ------------- 3,211,424 ------------- FOOD & STAPLES RETAILING--0.6% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,295,000 1,708,605 Real Time Data Co., 11% Nts., 5/31/09(3, 9, 10, 11) 476,601 -- Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 1,550,000 1,648,095 Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 2,340,000 2,363,400 ------------- 5,720,100 ------------- FOOD PRODUCTS--0.8% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 2,621,000 2,722,034 8.50% Sr. Unsec. Nts., 6/15/19 1,190,000 1,374,202 Heinz (H.J.) Finance Co., 7.125% Sr. Unsec. Nts., 8/1/39(2) 1,850,000 2,197,077 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 2,155,000 2,328,557 ------------- 8,621,870 -------------
9 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- TOBACCO--0.5% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 $ 4,245,000 $ 5,280,937 ------------- ENERGY--4.1% ENERGY EQUIPMENT & SERVICES--0.3% Pride International, Inc., 8.50% Sr. Nts., 6/15/19 2,875,000 3,176,875 ------------- OIL, GAS & CONSUMABLE FUELS--3.8% Anadarko Petroleum Corp., 6.45% Sr. Unsec. Nts., 9/15/36 2,089,000 2,163,861 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 2,250,000 2,143,125 Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 2,280,000 2,390,553 El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 2,625,000 2,703,750 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 2,640,000 2,819,161 Hess Corp., 6.65% Sr. Unsec. Unsub. Nts., 8/15/11 1,325,000 1,422,679 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 4,840,000 5,017,459 Kerr-McGee Corp., 6.875% Sr. Unsec. Unsub. Nts., 9/15/11 1,721,000 1,848,875 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 2,135,000 2,591,132 Nexen, Inc.: 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 2,425,000 2,368,944 7.50% Nts., 7/30/39 975,000 1,065,288 Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 2,375,000 2,410,625 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 1,330,000 1,314,056 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(3) 821,519 838,977 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 2,845,000 3,052,301 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(2) 1,380,000 1,472,260 Shell International Finance BV, 4.30% Nts., 9/22/19 871,000 877,313 Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 1,850,000 2,127,559 XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 899,000 994,202 ------------- 39,622,120 ------------- FINANCIALS--8.6% CAPITAL MARKETS--1.4% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(2) 2,170,000 2,204,325 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 4,606,000 4,242,577 Morgan Stanley: 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 1,115,000 1,112,758 7.30% Sr. Unsec. Nts., 5/13/19 6,380,000 7,032,042 ------------- 14,591,702 ------------- COMMERCIAL BANKS--1.5% Barclays Bank plc, 6.278% Perpetual Bonds(12) 5,390,000 4,042,581 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(1) 4,380,000 3,328,800 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 2,790,000 2,864,058 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 1,240,000 1,297,196 Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 4,080,000 3,559,800 ------------- 15,092,435 ------------- CONSUMER FINANCE--0.6% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 2,125,000 2,245,269
10 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- CONSUMER FINANCE CONTINUED Capital One Bank USA NA, 8.80% Sub. Nts., 7/15/19 $ 1,354,000 $ 1,567,820 Capital One Financial Corp., 5.70% Sr. Unsec. Unsub. Nts., 9/15/11 2,504,000 2,617,594 ------------- 6,430,683 ------------- DIVERSIFIED FINANCIAL SERVICES--3.0% Citigroup, Inc.: 6.125% Sub. Nts., 8/25/36 2,435,000 2,096,038 8.125% Sr. Unsec. Nts., 7/15/39 6,600,000 7,410,209 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(12) 11,260,000 10,844,472 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 9,345,000 10,563,551 ------------- 30,914,270 ------------- INSURANCE--1.6% Axa SA, 6.379% Sub. Perpetual Bonds(2, 12) 3,034,000 2,457,540 Hartford Financial Services Group, Inc. (The): 5.375% Sr. Unsec. Nts., 3/15/17 2,130,000 1,953,653 6% Sr. Unsec. Nts., 1/15/19 2,935,000 2,788,209 Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 2,446,000 2,496,752 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(1) 2,165,000 1,861,900 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(2) 2,450,000 2,476,426 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(2) 2,435,000 2,547,417 ------------- 16,581,897 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% Simon Property Group LP, 5.375% Sr. Unsec. Unsub. Nts., 6/1/11 2,420,000 2,494,926 WEA Finance LLC/WT Finance Aust Pty Ltd., 5.75% Nts., 9/2/15(2) 2,610,000 2,630,614 ------------- 5,125,540 ------------- HEALTH CARE--1.0% HEALTH CARE PROVIDERS & SERVICES--0.2% WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 2,230,000 2,299,050 LIFE SCIENCES TOOLS & SERVICES--0.4% Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 3,795,000 3,942,766 PHARMACEUTICALS--0.4% Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 1,681,000 1,674,974 Watson Pharmaceuticals, Inc., 6.125% Sr. Unsec. Nts., 8/15/19 2,475,000 2,607,776 ------------- 4,282,750 ------------- INDUSTRIALS--2.5% AEROSPACE & DEFENSE--0.9% BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(2) 2,405,000 2,658,550 L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 2,605,000 2,605,000 Meccanica Holdings USA: 6.25% Sr. Unsec. Unsub. Nts., 7/15/19(2) 1,345,000 1,454,191 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(2) 2,240,000 2,649,927 ------------- 9,367,668 ------------- COMMERCIAL SERVICES & SUPPLIES--0.2% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 1,935,000 2,226,510
11 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ELECTRICAL EQUIPMENT--0.3% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 $ 2,565,000 $ 2,667,546 ------------- INDUSTRIAL CONGLOMERATES--0.7% General Electric Capital Corp., 5.875% Unsec. Unsub. Nts., 1/14/38 1,815,000 1,669,965 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 4,727,000 5,318,206 ------------- 6,988,171 ------------- ROAD & RAIL--0.4% CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 3,700,000 4,361,667 ------------- INFORMATION TECHNOLOGY--0.3% ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3% Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 2,615,000 2,693,335 ------------- MATERIALS--1.6% CHEMICALS--0.4% Airgas, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/14 1,310,000 1,335,253 Morton International, Inc., 12.40% Credit Sensitive Nts., 6/1/20(1) 85,000 103,627 Yara International ASA, 7.875% Nts., 6/11/19(2) 2,168,000 2,440,923 ------------- 3,879,803 ------------- CONTAINERS & PACKAGING--0.2% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 2,610,000 2,675,250 ------------- METALS & MINING--0.7% Freeport-McMoRan Copper & Gold, Inc., 8.25% Sr. Unsec. Nts., 4/1/15 2,340,000 2,491,920 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,485,000 1,483,812 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,775,000 1,807,234 Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/37(2) 1,187,000 1,120,803 ------------- 6,903,769 ------------- PAPER & FOREST PRODUCTS--0.3% MeadWestvaco Corp., 7.375% Sr. Unsec. Unsub. Nts., 9/1/19 2,615,000 2,744,168 ------------- TELECOMMUNICATION SERVICES--2.4% DIVERSIFIED TELECOMMUNICATION SERVICES--2.4% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,910,000 3,059,752 British Telecommunications plc, 9.625% Bonds, 12/15/30 1,565,000 2,010,465 CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 1,750,000 1,855,063 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 2,365,000 2,329,525 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(1) 2,196,000 2,302,403 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 4,520,000 4,647,776 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 2,170,000 2,296,177 Telus Corp., 8% Nts., 6/1/11 3,545,000 3,859,459 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,905,000 2,042,935 ------------- 24,403,555 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.0% Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 445,000 495,301 -------------
12 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ -------------- UTILITIES--1.8% ELECTRIC UTILITIES--0.4% Exelon Corp., 5.625% Sr. Unsec. Bonds, 6/15/35 $ 1,705,000 $ 1,649,327 Exelon Generation Co. LLC: 6.20% Sr. Nts., 10/1/17 1,380,000 1,508,856 6.25% Sr. Unsec. Nts., 10/1/39 870,000 891,253 -------------- 4,049,436 -------------- ENERGY TRADERS--0.4% NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 2,375,000 2,303,750 Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 1,675,000 1,859,103 -------------- 4,162,853 -------------- GAS UTILITIES--0.1% Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 1,050,000 1,298,855 -------------- MULTI-UTILITIES--0.9% Dominion Resources, Inc., 5.20% Sr. Unsub. Nts., 8/15/09 2,605,000 2,710,867 NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 2,210,000 2,325,576 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 1,325,000 1,467,029 9.80% Sr. Unsec. Nts., 2/15/19 2,110,000 2,707,492 -------------- 9,210,964 -------------- Total Corporate Bonds and Notes (Cost $269,476,254) 288,471,973
SHARES ------------ COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $9) 181 5,140
UNITS ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 (3, 11) (Cost $5,577) 2,028 --
SHARES ------------ INVESTMENT COMPANIES--16.6% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (13, 14) 363 363 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(13, 15) 171,730,182 171,730,182 -------------- Total Investment Companies (Cost $171,730,545) 171,730,545 -------------- TOTAL INVESTMENTS, AT VALUE (COST $1,430,974,862) 140.6% 1,452,697,760 Liabilities in Excess of Other Assets (40.6) (419,382,120) ------------ -------------- Net Assets 100.0% $1,033,315,640 ============ ==============
Footnotes to Statement of Investments (1.) Represents the current interest rate for a variable or increasing rate security. (2.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $46,226,246 or 4.47% of the Fund's net assets as of September 30, 2009. 13 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED (3.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2009 was $16,187,704, which represents 1.57% of the Fund's net assets. See accompanying Notes. (4.) When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. (5.) Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $61,488,944 or 5.95% of the Fund's net assets as of September 30, 2009. (6.) Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,181,731 or 0.11% of the Fund's net assets as of September 30, 2009. (7.) All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $3,482,789. See accompanying Notes. (8.) Zero coupon bond reflects effective yield on the date of purchase. (9.) Issue is in default. See accompanying Notes. (10.) Interest or dividend is paid-in-kind, when applicable. (11.) Non-income producing security. (12.) 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. (13.) Rate shown is the 7-day yield as of September 30, 2009. (14.) Interest rate is less than 0.0005%. (15.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, 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 SHARES DECEMBER 31, GROSS GROSS SEPTEMBER 30, 2008 ADDITIONS REDUCTIONS 2009 ------------ ------------- ------------- ------------- OFI Liquid Assets Fund, LLC 408,818 24,105,860 24,514,678 -- Oppenheimer Institutional Money Market Fund, Cl. E 171,712,453 1,364,228,278 1,364,210,549 171,730,182
VALUE INCOME ------------ ------------- OFI Liquid Assets Fund, LLC $ -- $ 23,062(a) Oppenheimer Institutional Money Market Fund, Cl. E 171,730,182 1,146,190 ------------ ---------- $171,730,182 $1,169,252 ============ ==========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. (16.) The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. 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-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 1-- LEVEL 2-- LEVEL 3-- UNADJUSTED QUOTED OTHER SIGNIFICANT SIGNIFICANT PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE ----------------- ----------------- ------------------- -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $-- $ 86,494,450 $-- $ 86,494,450 Mortgage-Backed Obligations -- 859,087,679 -- 859,087,679
14 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED U.S. Government Obligations -- 46,907,973 -- 46,907,973 Corporate Bonds and Notes -- 288,471,973 -- 288,471,973 Common Stocks Energy 5,140 -- -- 5,140 Rights, Warrants and Certificates -- -- -- -- Investment Companies 171,730,545 -- -- 171,730,545 ------------ -------------- --- -------------- Total Investments, at Value 171,735,685 1,280,962,075 -- 1,452,697,760 OTHER FINANCIAL INSTRUMENTS: Futures margins 66,085 -- -- 66,085 ------------ -------------- --- -------------- Total Assets $171,801,770 $1,280,962,075 $-- $1,452,763,845 ------------ -------------- --- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (841,158) $-- $ (841,158) Futures margins (408,331) -- -- (408,331) ------------ -------------- --- -------------- Total Liabilities $ (408,331) $ (841,158) $-- $ (1,249,489) ------------ -------------- --- --------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table 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. FUTURES CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) - -------------------- -------- --------- ---------- ------------ ------------- U.S. Treasury Long Bonds, 20 yr. Buy 882 12/21/09 $107,052,750 $1,841,174 U.S. Treasury Nts., 2 yr. Sell 747 12/31/09 162,075,656 (324,081) U.S. Treasury Nts., 5 yr. Sell 296 12/31/09 34,363,750 (394,948) U.S. Treasury Nts., 10 yr. Buy 579 12/21/09 68,511,984 377,778 ---------- $1,499,923 ==========
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION SWAP COUNTERPARTY PROTECTION (000S) RATE DATE VALUE - ----------------- ---------- -------- ------- ----------- --------- CDX NORTH AMERICA INVESTMENT GRADE INDEX, H VOLUME, SERIES 7 Morgan Stanley Capital Services, Inc. Sell $17,000 0.75% 12/20/11 $(495,407) ------- --------- Total 17,000 (495,407) ------- --------- INCO LTD.: Morgan Stanley Capital Services, Inc. Buy 3,660 0.70 3/20/17 (99,377) Morgan Stanley Capital Services, Inc. Buy 3,670 0.63 3/20/17 (82,263) ------- --------- Total 7,330 (181,640) ------- ---------
15 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED VALE OVERSEAS: Morgan Stanley Capital Services, Inc. Sell 3,660 1.17 3/20/17 (73,888) Morgan Stanley Capital Services, Inc. Sell 3,670 1.10 3/20/17 (90,223) ------- --------- Total 7,330 (164,111) --------- Grand Total Buys (181,640) Grand Total Sells (659,518) --------- Total Credit Default Swaps $(841,158) =========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PAYMENTS FOR SELLING CREDIT AMOUNT REFERENCE ASSET PROTECTION PROTECTION (UNDISCOUNTED) RECOVERABLE* RATING RANGE** - ---------------------------------------------- --------------------------- ----------- --------------- Investment Grade Corporate Debt Indexes $17,000,000 $-- BBB- Investment Grade Single Name Corporate Debt $ 7,330,000 $-- BBB+ ----------- --- Total $24,330,000 $-- =========== ===
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. SWAP SUMMARY AS OF SEPTEMBER 30, 2009 IS AS FOLLOWS: The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE - ----------------- ------------------- -------- --------- Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection $ 7,330 $(181,640) Credit Default Sell Protection 24,330 (659,518) --------- Total Swaps $(841,158) =========
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. 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. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant 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 16 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED 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 unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. 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. In the absence of a readily available unadjusted 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 unadjusted 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. 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. 17 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED As of September 30, 2009, 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 $491,376,244 Sold securities 72,464,576
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. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and 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. Information concerning securities in default as of September 30, 2009 is as follows: Cost $365,810 Market Value $ -- Market Value as a % of Net Assets --%
CONCENTRATION OF RISKS. The Fund from time to time may have elements of concentration risk due to the value of certain securities held compared to the overall net investments value of the Fund. Such concentrations may subject the Fund to additional risks. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. 18 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED 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. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. 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. INVESTMENT 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. When applicable, the Fund's investment in LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors 19 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of September 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $841,158. If a contingent feature would have been triggered as of September 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. FUTURES 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 20 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. Any upfront payment paid or received as well as any unrealized appreciation (depreciation) on swap contracts are separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. 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 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 21 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED 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. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 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. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such interest rate swap agreements outstanding. 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. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. 22 | OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such total return swap agreements outstanding. ILLIQUID SECURITIES As of September 30, 2009, 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. 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, 2009 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $1,432,076,387 Federal tax cost of other investments (22,374,595) -------------- Total federal tax cost $1,409,701,792 ============== Gross unrealized appreciation $ 50,537,873 Gross unrealized depreciation (29,257,735) -------------- Net unrealized appreciation $ 21,280,138 ==============
23 | OPPENHEIMER CORE BOND FUND ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 09/30/2009, 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: 11/10/2009 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: 11/10/2009 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: 11/10/2009 EX-99.CERT 2 p15562exv99wcert.txt EX-99.CERT EXHIBIT 99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Principal Executive Officer Date: 11/10/2009 EXHIBIT 99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Principal Financial Officer Date: 11/10/2009 -----END PRIVACY-ENHANCED MESSAGE-----