-----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, WVjk1zNCVLJ2PO/m9IhV+3MT5QfiMXz3ymuNHArne3I632iY3wjYqXxfRTeqUKJ8 B1Bl5DyHsCnNm7U98tpqTA== 0000950123-10-052417.txt : 20100524 0000950123-10-052417.hdr.sgml : 20100524 20100524153454 ACCESSION NUMBER: 0000950123-10-052417 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20100331 FILED AS OF DATE: 20100524 DATE AS OF CHANGE: 20100524 EFFECTIVENESS DATE: 20100524 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: 10853826 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 p17277nvq.txt FORM 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: 03/31/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- ASSET-BACKED SECURITIES--11.7% Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 1.98%, 1/15/13(1,2) $ 2,720,000 $ 2,735,560 AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.98%, 1/15/13 1,180,000 1,180,398 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.726%, 5/25/34(1) 3,925,924 3,271,052 Bank of America Auto Trust, Automobile Asset-Backed Certificates, Series 2009-2A, Cl. A4, 3.03%, 10/15/16(2) 8,390,000 8,638,890 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 3,850,000 3,959,117 Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.547%, 2/28/41(1) 3,474,465 2,761,759 Capital One Multi-Asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2009-A2, Cl. A2, 3.20%, 6/15/11 3,160,000 3,242,260 Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(2) 895,000 898,535 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.806%, 2/25/33(1) 646,673 612,996 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 10,930,000 11,154,039 Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/11(2) 2,970,000 2,968,515 CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/10(2) 2,535,309 2,543,566 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 469,272 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.346%, 10/25/36(1) 629,872 623,934 CNH Equipment Trust, Asset-Backed Certificates: Series 2009-B, Cl. A3, 2.97%, 3/15/13 3,566,639 3,615,321 Series 2010-A, Cl. A2, 0.81%, 3/25/15 3,370,000 3,370,000 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.986%, 2/25/33(1) 48,808 39,418 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36(1) 4,297,578 3,227,103 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36(1) 708,177 579,233 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.366%, 6/25/47(1) 3,020,000 2,481,401 DT Auto Owner Trust, Automobile Receivables Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15 2,326,465 2,336,950 Ellington Loan Acquisition Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. A2A2, 1.046%, 5/27/37(1,2) 3,999,408 3,465,888 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.336%, 7/25/36(1) 1,939,342 1,861,739 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.356%, 7/7/36(1) 744,195 655,231
1 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/13(2) $ 2,530,000 $ 2,530,769 Ford Credit Auto Owner Trust, Automobile Receivables Nts.: Series 2009-B, Cl. A2, 2.10%, 11/15/11 2,597,799 2,608,743 Series 2009-E, Cl. A2, 0.80%, 3/15/12 5,220,000 5,225,636 Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.78%, 9/15/12(1) 2,730,000 2,738,489 Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.88%, 12/15/14(1) 2,610,000 2,623,830 HSBC Credit Card Master Note Trust (USA) I, Asset-Backed Securities, Series 2007-1, Cl. A, 0.282%, 4/15/13(1) 2,945,000 2,939,825 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.50%, 1/20/35(1) 1,004,441 890,375 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.35%, 3/20/36(1) 894,872 884,473 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 6,392,592 6,427,188 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 3,075,000 3,086,647 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(2) 230,991 231,453 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.58%, 3/15/16(1) 2,900,000 2,788,962 Series 2005-A6, Cl. A6, 4.50%, 1/15/13 11,020,000 11,181,290 Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.29%, 12/15/13(1) 3,260,000 3,240,337 Morgan Stanley Structured Trust I 2001-1, Asset-Backed Certificates, Series 2004-1, Cl. A1, 0.326%, 6/25/37(1) 2,991,841 2,754,749 NC Finance Trust, Collateralized Mtg Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.832%, 1/25/29(1,2) 1,750,658 122,546 Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.878%, 1/26/15(1,2) 4,540,000 4,542,236 Nissan Master Owner Trust, Automobile Receivables Nts., Series 2010-AA, Cl. A, 1.38%, 1/15/13(1,2) 2,705,000 2,714,569 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.346%, 7/1/36(1) 6,561,574 4,007,763 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(1) 982,255 907,482 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.286%, 9/25/36(1) 166,277 165,434 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) 109,589 109,109 World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-C, Cl. A, 2.36%, 5/15/14 2,670,000 2,679,397 -------------- Total Asset-Backed Securities (Cost $139,234,540) 132,093,479 --------------
2 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- MORTGAGE-BACKED OBLIGATIONS--68.0% GOVERNMENT AGENCY--58.4% FHLMC/FNMA/FHLB/SPONSORED--56.6% Federal Home Loan Mortgage Corp.: 5%, 8/15/33 $ 7,964,734 $ 8,280,233 5.50%, 9/1/39 9,928,135 10,496,050 6%, 5/15/18-10/15/29 3,442,861 3,737,895 6.50%, 4/15/18-4/1/34 3,827,462 4,176,347 7%, 7/15/21-10/1/37 11,955,312 13,450,601 8%, 4/1/16 290,129 318,264 9%, 4/14/17-5/1/25 86,730 97,466 12.50%, 5/15/14 342 402 13.50%, 12/15/10 35 36 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 20,697 22,983 Series 1590, Cl. IA, 1.30%, 10/15/23(1) 3,467,488 3,512,599 Series 2034, Cl. Z, 6.50%, 2/15/28 27,004 29,714 Series 2043, Cl. ZP, 6.50%, 4/15/28 2,877,695 3,067,340 Series 2046, Cl. G, 6.50%, 4/15/28 2,326,940 2,512,430 Series 2053, Cl. Z, 6.50%, 4/15/28 24,872 27,227 Series 2063, Cl. PG, 6.50%, 6/15/28 1,751,427 1,862,466 Series 2145, Cl. MZ, 6.50%, 4/15/29 639,448 694,021 Series 2148, Cl. ZA, 6%, 4/15/29 1,200,631 1,292,455 Series 2195, Cl. LH, 6.50%, 10/15/29 1,525,584 1,658,560 Series 2326, Cl. ZP, 6.50%, 6/15/31 481,228 525,802 Series 2341, Cl. FP, 1.13%, 7/15/31(1) 866,197 878,227 Series 2399, Cl. PG, 6%, 1/15/17 741,627 800,561 Series 2423, Cl. MC, 7%, 3/15/32 2,065,990 2,271,078 Series 2453, Cl. BD, 6%, 5/15/17 698,428 752,620 Series 2461, Cl. PZ, 6.50%, 6/15/32 4,159,835 4,557,401 Series 2463, Cl. F, 1.23%, 6/15/32(1) 4,280,484 4,361,683 Series 2500, Cl. FD, 0.73%, 3/15/32(1) 237,577 238,212 Series 2526, Cl. FE, 0.63%, 6/15/29(1) 349,858 350,561 Series 2551, Cl. FD, 0.63%, 1/15/33(1) 802,538 802,988 Series 2638, Cl. KG, 4%, 11/1/27 7,946,000 8,161,300 Series 2648, Cl. JE, 3%, 2/1/30 5,504,983 5,574,253 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,841,198 Series 2686, Cl. CD, 4.50%, 2/1/17 2,722,842 2,808,850 Series 2907, Cl. GC, 5%, 6/1/27 2,149,172 2,227,860 Series 2911, Cl. CU, 5%, 2/1/28 5,036,200 5,237,069 Series 2929, Cl. PC, 5%, 1/1/28 1,808,164 1,874,857 Series 2952, Cl. GJ, 4.50%, 12/1/28 904,341 928,195 Series 3019, Cl. MD, 4.75%, 1/1/31 3,648,772 3,800,945 Series 3025, Cl. SJ, 23.907%, 8/15/35(1) 793,060 983,211 Series 3033, Cl. UD, 5.50%, 10/1/30 5,150,000 5,432,044 Series 3061, Cl. MB, 5.50%, 5/1/30 2,085,000 2,206,079 Series 3094, Cl. HS, 23.54%, 6/15/34(1) 1,208,673 1,452,576 Series 3157, Cl. MC, 5.50%, 2/1/26 5,409,091 5,467,510 Series 3242, Cl. QA, 5.50%, 3/1/30 2,611,783 2,727,547 Series 3279, Cl. PH, 6%, 2/1/27 10,880,000 11,030,841 Series 3291, Cl. NA, 5.50%, 10/1/27 3,079,387 3,144,131 Series 3306, Cl. PA, 5.50%, 10/1/27 3,776,362 3,888,154
3 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series R001, Cl. AE, 4.375%, 4/1/15 $ 2,441,392 $ 2,503,628 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 12.282%, 4/1/27(3) 1,495,241 386,937 Series 192, Cl. IO, 9.595%, 2/1/28(3) 183,025 37,514 Series 206, Cl. IO, 2.71%, 12/1/29(3) 220,695 44,381 Series 2130, Cl. SC, 51.561%, 3/15/29(3) 509,557 97,641 Series 2134, Cl. SB, 65.21%, 3/15/29(3) 514,808 99,801 Series 224, Cl. IO, 0.756%, 3/1/33(3) 2,262,217 475,127 Series 2422, Cl. SJ, 74.929%, 1/15/32(3) 2,213,025 348,490 Series 243, Cl. 6, 2.092%, 12/15/32(3) 1,423,219 259,730 Series 2493, Cl. S, 70.565%, 9/15/29(3) 131,246 18,631 Series 2527, Cl. SG, 22.478%, 2/15/32(3) 1,888,821 92,542 Series 2531, Cl. ST, 44.66%, 2/15/30(3) 2,601,070 144,216 Series 2796, Cl. SD, 66.036%, 7/15/26(3) 811,404 152,278 Series 2802, Cl. AS, 99.999%, 4/15/33(3) 2,007,333 195,086 Series 2920, Cl. S, 71.049%, 1/15/35(3) 3,139,100 408,701 Series 3000, Cl. SE, 99.999%, 7/15/25(3) 4,217,724 448,698 Series 3045, Cl. DI, 37.41%, 10/15/35(3) 19,647,540 2,468,605 Series 3110, Cl. SL, 99.999%, 2/15/26(3) 1,361,440 138,918 Series 3146, Cl. SA, 56.856%, 4/15/36(3) 5,075,602 597,699 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.577%, 6/1/26(4) 186,617 154,609 Federal National Mortgage Assn.: 4.50%, 4/1/25-4/1/40(5) 67,975,000 68,691,638 5%, 4/1/25-6/1/40(5) 55,134,500 56,607,722 5.50%, 12/25/18 7,285 7,856 5.50%, 4/1/25-4/1/40(5) 90,730,000 95,717,245 6%, 5/25/20 967,369 1,047,603 6%, 4/1/25-4/1/40(5) 94,613,000 101,099,319 6.50%, 6/25/17-11/25/31 19,343,611 21,071,237 6.50%, 4/1/40(5) 5,682,000 6,158,754 7%, 11/1/17-4/1/34 7,383,217 8,235,681 7%, 9/25/14(6) 1,603,684 1,734,399 7.50%, 1/1/33-8/25/33 8,313,179 9,401,128 8.50%, 7/1/32 47,756 54,078 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 9,204 9,746 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 641,278 695,509 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 494,816 543,279 Trust 1996-35, Cl. Z, 7%, 7/25/26 164,278 182,151 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,059,463 1,154,128 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,499,631 1,630,519 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 2,010,951 2,180,354 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 7,298,548 8,105,199 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,026,871 2,215,029 Trust 2002-10, Cl. FB, 0.746%, 3/25/17(1) 225,308 224,416
4 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-16, Cl. PG, 6%, 4/25/17 $ 1,356,855 $ 1,461,079 Trust 2002-2, Cl. UC, 6%, 2/25/17 779,178 834,136 Trust 2002-56, Cl. FN, 1.246%, 7/25/32(1) 1,234,404 1,269,038 Trust 2003-130, Cl. CS, 13.608%, 12/25/33(1) 5,901,188 6,225,609 Trust 2003-21, Cl. FK, 0.646%, 3/25/33(1) 427,864 428,435 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,599,771 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,859,094 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 3,210,754 3,302,659 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,584,888 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 5,073,000 5,443,359 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 10,555,043 Trust 2005-12, Cl. JC, 5%, 6/1/28 4,424,840 4,605,234 Trust 2005-22, Cl. EC, 5%, 10/1/28 1,626,064 1,694,213 Trust 2005-30, Cl. CU, 5%, 4/1/29 1,185,964 1,240,163 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,571,922 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 207,689 209,365 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,311,953 Trust 2006-50, Cl. SK, 23.298%, 6/25/36(1) 1,985,068 2,419,056 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 476,587 489,225 Trust 2009-37, Cl. HA, 4%, 4/1/19 8,271,814 8,624,929 Trust 2009-70, Cl. PA, 5%, 8/1/35 7,114,706 7,603,113 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 68.644%, 3/17/31(3) 787,568 145,934 Trust 2001-61, Cl. SE, 46.756%, 11/18/31(3) 1,202,942 199,005 Trust 2001-65, Cl. S, 49.485%, 11/25/31(3) 2,739,320 467,009 Trust 2001-81, Cl. S, 38.381%, 1/25/32(3) 367,734 60,264 Trust 2002-12, Cl. SB, 65.722%, 7/25/31(3) 587,428 97,068 Trust 2002-2, Cl. SW, 66.595%, 2/25/32(3) 664,605 107,087 Trust 2002-38, Cl. SO, 59.517%, 4/25/32(3) 264,212 37,266 Trust 2002-41, Cl. S, 76.767%, 7/25/32(3) 2,699,812 494,396 Trust 2002-47, Cl. NS, 35.901%, 4/25/32(3) 947,817 150,977 Trust 2002-5, Cl. SD, 72.404%, 2/25/32(3) 484,029 73,188 Trust 2002-51, Cl. S, 36.214%, 8/25/32(3) 870,277 145,541 Trust 2002-52, Cl. SD, 42.433%, 9/25/32(3) 1,052,941 170,174 Trust 2002-60, Cl. SM, 49.831%, 8/25/32(3) 4,126,404 583,594 Trust 2002-60, Cl. SY, 10.171%, 4/25/32(3) 3,628,694 121,468 Trust 2002-7, Cl. SK, 53.406%, 1/25/32(3) 2,521,527 374,470 Trust 2002-75, Cl. SA, 52.067%, 11/25/32(3) 2,218,554 348,325 Trust 2002-77, Cl. BS, 45.982%, 12/18/32(3) 4,435,441 694,401 Trust 2002-77, Cl. IS, 52.08%, 12/18/32(3) 450,138 57,883 Trust 2002-77, Cl. JS, 40.797%, 12/18/32(3) 4,209,720 669,350 Trust 2002-77, Cl. SA, 41.473%, 12/18/32(3) 3,924,968 608,148 Trust 2002-77, Cl. SH, 45.708%, 12/18/32(3) 491,609 72,042 Trust 2002-84, Cl. SA, 53.168%, 12/25/32(3) 549,849 85,345 Trust 2002-89, Cl. S, 77.004%, 1/25/33(3) 4,079,942 551,018 Trust 2002-9, Cl. MS, 37.393%, 3/25/32(3) 30,279 4,168 Trust 2002-90, Cl. SN, 52.866%, 8/25/32(3) 3,754,482 527,329
5 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-90, Cl. SY, 54.757%, 9/25/32(3) $ 1,747,939 $ 245,109 Trust 2003-117, Cl. KS, 60.556%, 8/25/33(3) 21,086,540 2,658,840 Trust 2003-14, Cl. OI, 10.68%, 3/25/33(3) 5,965,407 1,243,551 Trust 2003-26, Cl. IK, 11.694%, 4/25/33(3) 2,294,308 478,279 Trust 2003-33, Cl. SP, 55.471%, 5/25/33(3) 3,504,971 488,622 Trust 2003-4, Cl. S, 48.19%, 2/25/33(3) 1,123,181 157,049 Trust 2003-52, Cl. NS, 71.548%, 6/25/23(3) 17,143,133 2,246,962 Trust 2003-89, Cl. XS, 69.867%, 11/25/32(3) 5,155,180 403,321 Trust 2004-54, Cl. DS, 52.857%, 11/25/30(3) 219,589 34,433 Trust 2005-40, Cl. SA, 72.688%, 5/25/35(3) 2,045,167 282,173 Trust 2005-6, Cl. SE, 86.917%, 2/25/35(3) 2,637,900 343,196 Trust 2005-71, Cl. SA, 76.414%, 8/25/25(3) 3,727,160 443,105 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(3) 14,502,569 1,326,150 Trust 2005-87, Cl. SG, 86.207%, 10/25/35(3) 14,656,851 1,562,198 Trust 222, Cl. 2, 17.904%, 6/1/23(3) 1,493,760 270,887 Trust 247, Cl. 2, 24.987%, 10/1/23(3) 129,036 27,278 Trust 252, Cl. 2, 24.194%, 11/1/23(3) 1,381,192 296,717 Trust 254, Cl. 2, 18.483%, 1/1/24(3) 2,465,498 532,058 Trust 2682, Cl. TQ, 99.999%, 10/15/33(3) 3,416,307 406,957 Trust 2981, Cl. BS, 99.999%, 5/15/35(3) 6,048,915 698,408 Trust 301, Cl. 2, 0.617%, 4/1/29(3) 854,249 174,405 Trust 303, Cl. IO, 0.147%, 11/1/29(3) 114,001 29,926 Trust 319, Cl. 2, 4.931%, 2/1/32(3) 514,483 93,642 Trust 320, Cl. 2, 8.845%, 4/1/32(3) 9,757,339 2,355,110 Trust 321, Cl. 2, 3.738%, 4/1/32(3) 1,945,507 455,627 Trust 324, Cl. 2, 0.588%, 7/1/32(3) 938,231 213,290 Trust 331, Cl. 9, 11.519%, 2/1/33(3) 5,672,340 1,118,948 Trust 334, Cl. 14, 7.593%, 2/1/33(3) 4,960,702 956,750 Trust 334, Cl. 15, 8.397%, 2/1/33(3) 3,575,073 690,203 Trust 334, Cl. 17, 22.574%, 2/1/33(3) 192,371 27,596 Trust 339, Cl. 12, 2.083%, 7/1/33(3) 5,099,572 945,578 Trust 339, Cl. 7, 0.567%, 7/1/33(3) 6,151,150 1,104,425 Trust 343, Cl. 13, 13.851%, 9/1/33(3) 5,029,768 889,697 Trust 343, Cl. 18, 21.881%, 5/1/34(3) 3,567,627 638,396 Trust 345, Cl. 9, 2.89%, 1/1/34(3) 4,038,068 784,815 Trust 351, Cl. 10, 6.835%, 4/1/34(3) 2,256,005 464,020 Trust 351, Cl. 8, 5.937%, 4/1/34(3) 3,577,251 645,911 Trust 356, Cl. 10, 3.763%, 6/1/35(3) 3,045,941 568,087 Trust 356, Cl. 12, 2.109%, 2/1/35(3) 1,547,297 322,738 Trust 362, Cl. 12, 4.209%, 8/1/35(3) 6,135,751 1,068,058 Trust 362, Cl. 13, 4.162%, 8/1/35(3) 3,372,884 589,535 Trust 364, Cl. 16, 4.396%, 9/1/35(3) 5,231,442 668,791 Trust 365, Cl. 16, 7.939%, 3/1/36(3) 3,486,308 525,848
6 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.089%, 9/25/23(4) $ 466,072 $ 402,916 -------------- 642,460,403 -------------- GNMA/GUARANTEED--1.8% Government National Mortgage Assn.: 3.625%, 8/8/25-7/1/27(1) 16,651 17,146 4.50%, 4/1/40(5) 19,050,000 19,279,191 8.50%, 8/1/17-12/15/17 139,281 153,015 10.50%, 12/29/17 8,357 9,364 11%, 11/8/19 22,914 25,430 12%, 5/29/14 186 206 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 81.906%, 1/16/27(3) 964,393 152,505 Series 2002-15, Cl. SM, 69.82%, 2/16/32(3) 1,081,983 155,637 Series 2002-41, Cl. GS, 70.72%, 6/16/32(3) 791,418 154,822 Series 2002-76, Cl. SY, 76.856%, 12/16/26(3) 524,880 90,027 Series 2004-11, Cl. SM, 59.561%, 1/17/30(3) 188,773 34,471 -------------- 20,071,814 -------------- NON-AGENCY--9.6% COMMERCIAL--6.0% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.597%, 4/14/29(3) 8,334,046 332,562 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 15,885,000 13,940,917 Series 2006-5, Cl. A2, 5.317%, 10/10/11 7,202,000 7,495,676 Series 2007-1, Cl. A4, 5.451%, 1/1/17 4,190,000 4,116,667 Bear Stearns Commercial Mortgage Securities Trust2007-PW18, Commercial Mtg Pass-Through Certificates, Series PW18, Cl A2, 5.613%, 6/1/50 1,000,000 1,040,793 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/24(2,3,7) 2,834,232 128,326 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 2,687,097 2,509,285 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 361,521 364,894 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: Series 2001-LIBA, Cl. B, 6.733%, 2/10/16(2) 705,000 739,961 Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 5,000,000 4,958,595 Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.786%, 5/25/35(1) 3,676,736 2,632,134 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg Pass-Through Certificates: Series 2005-LDP2, Cl. AM, 4.78%, 7/1/42 8,810,000 8,245,904 Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,525,000 3,304,097 Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 3,475,000 3,422,634
7 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- COMMERCIAL CONTINUED JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 $ 4,435,632 $ 3,504,964 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30(3,7) 2,515,764 72,679 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(2) 126,260 91,978 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,527,256 1,318,525 Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.48%, 6/17/11(1,2) 2,695,000 2,656,246 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/32(3,7) 35,421,723 171,172 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 2,224,112 Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 7/1/17 2,965,000 2,860,130 Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.871%, 2/1/35(1) 2,166,776 1,957,445 -------------- 68,089,696 -------------- MANUFACTURED HOUSING--0.2% Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.965%, 3/25/36(1) 3,206,847 2,661,094 MULTIFAMILY--1.2% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 4.223%, 10/1/35(1) 2,095,000 1,644,824 GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 3,567,000 3,755,613 Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.801%, 2/1/35(1) 430,522 393,864 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 5A1, 5.497%, 7/1/36(1) 4,026,154 3,184,818 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 4.965%, 3/1/36(1) 5,830,631 4,826,372 -------------- 13,805,491 -------------- OTHER--0.3% Greenwich Capital Commercial Mortgage 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 3,565,000 3,473,404 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 52.681%, 10/23/17(3) 1,280 158
8 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- OTHER CONTINUED Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.047%, 10/23/17(4) $ 1,894 $ 1,841 -------------- 3,475,403 -------------- RESIDENTIAL--1.9% CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 3,726,816 3,269,861 Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 3,428,506 2,585,962 CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 5,418,417 4,437,197 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 3,762,258 3,336,231 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 118,346 117,932 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 3.106%, 12/25/34(1) 1,666,709 1,573,713 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 630,403 630,549 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 546,005 512,558 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.999%, 9/1/34(1) 852,439 830,858 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 3%, 10/1/35(1) 4,919,748 4,300,627 -------------- 21,595,488 -------------- Total Mortgage-Backed Obligations (Cost $752,960,733) 772,159,389 -------------- U.S. GOVERNMENT OBLIGATIONS--4.1% Federal Home Loan Mortgage Corp. Nts.: 2.50%, 4/23/14 1,800,000 1,816,427 2.875%, 2/9/15 8,130,000 8,189,146 Federal National Mortgage Assn. Nts.: 2.625%, 11/20/14 6,920,000 6,927,951 3%, 9/16/14 1,040,000 1,060,232 U.S. Treasury Bonds: 7.50%, 11/15/16(8) 7,700,000 9,723,660 STRIPS, 3.862%, 2/15/13(9) 1,520,000 1,455,309 U.S. Treasury Nts., 5.125%, 5/15/16 14,830,000 16,643,205 -------------- Total U.S. Government Obligations (Cost $46,847,330) 45,815,930 -------------- CORPORATE BONDS AND NOTES--34.5% CONSUMER DISCRETIONARY--4.8% AUTO COMPONENTS--0.3% Lear Corp., 8.125% Sr. Unsec. Nts., 3/15/20 2,725,000 2,782,906
9 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- AUTOMOBILES--0.7% Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 $ 2,460,000 $ 2,729,466 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 4,785,000 4,900,261 -------------- 7,629,727 -------------- DIVERSIFIED CONSUMER SERVICES--0.2% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 2,745,000 2,745,000 HOTELS, RESTAURANTS & LEISURE--0.2% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(2) 2,720,000 2,778,657 HOUSEHOLD DURABLES--0.4% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 3,980,000 4,359,668 LEISURE EQUIPMENT & PRODUCTS--0.2% Mattel, Inc., 6.125% Sr. Unsec. Nts., 6/15/11 2,415,000 2,532,596 MEDIA--2.3% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 2,300,000 2,782,936 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 1,580,000 2,115,427 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 4,900,000 5,494,782 DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 2,180,000 2,278,100 Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 2,193,000 2,200,840 Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 2,450,000 2,688,875 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 1,738,000 2,031,593 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,410,000 1,703,004 Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 1,645,000 1,817,648 Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/18(2) 2,725,000 2,745,438 -------------- 25,858,643 -------------- SPECIALTY RETAIL--0.5% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 2,220,000 2,161,474 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 3,480,000 3,693,380 -------------- 5,854,854 -------------- CONSUMER STAPLES--1.8% BEVERAGES--0.5% Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(2) 2,920,000 3,478,710 Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 2,435,000 2,645,019 -------------- 6,123,729 -------------- FOOD & STAPLES RETAILING--0.2% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,295,000 1,651,766 Real Time Data Co., 11% Nts., 5/31/09(2,10,11,12) 476,601 -- -------------- 1,651,766 -------------- FOOD PRODUCTS--0.6% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 980,000 1,023,849 8.50% Sr. Unsec. Nts., 6/15/19 1,190,000 1,385,666 Kraft Foods, Inc., 6.50% Sr. Unsec. Unsub. Nts., 2/9/40 2,270,000 2,360,244 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 2,155,000 2,290,670 -------------- 7,060,429 --------------
10 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- TOBACCO--0.5% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 $ 4,345,000 $ 5,350,907 ENERGY--4.1% ENERGY EQUIPMENT & SERVICES--0.5% Pride International, Inc., 8.50% Sr. Nts., 6/15/19 2,875,000 3,263,125 Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 1,770,000 1,764,256 Weatherford International, Inc., 6.625% Sr. Unsec. Unsub. Nts., Series B, 11/15/11 434,000 464,647 -------------- 5,492,028 -------------- OIL, GAS & CONSUMABLE FUELS--3.6% Anadarko Petroleum Corp., 6.45% Sr. Unsec. Nts., 9/15/36 2,089,000 2,135,779 DCP Midstream LLC: 5.35% Sr. Unsec. Nts., 3/18/20(2) 910,000 913,588 9.75% Sr. Unsec. Unsub. Nts., 3/15/19(2) 1,048,000 1,345,645 Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 2,280,000 2,338,778 El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 2,625,000 2,815,313 Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 2,165,000 2,432,352 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 2,640,000 2,763,943 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 4,515,000 4,832,165 Kerr-McGee Corp., 6.875% Sr. Unsec. Unsub. Nts., 9/15/11 1,721,000 1,854,856 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 2,425,000 2,452,332 Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 2,375,000 2,413,594 Pipeline Funding Co. LLC, 7.50% Sr. Sec. Nts., 1/15/30(2) 1,742,000 1,667,831 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(2) 1,530,000 1,649,670 Rockies Express Pipeline LLC: 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(2) 2,270,000 2,241,287 5.625% Sr. Unsec. Unsub. Nts., 4/15/20(2) 1,816,000 1,791,262 Williams Cos., Inc. Credit, Linked Certificate Trust V (The), 6.375% Sr. Unsec. Nts., 10/1/10(2) 1,975,000 2,011,745 Williams Partners LP/Williams Partners Finance Corp., 7.25% Sr. Unsec. Nts., 2/1/17 2,690,000 3,073,387 Woodside Finance Ltd., 4.50% Nts., 11/10/14(2) 2,200,000 2,256,173 -------------- 40,989,700 -------------- FINANCIALS--10.6% CAPITAL MARKETS--1.1% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(2) 3,980,000 4,012,660 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 2,880,000 2,667,090 Morgan Stanley: 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 1,195,000 1,223,290 7.30% Sr. Unsec. Nts., 5/13/19 1,154,000 1,277,101 Nomura Holdings, Inc., 6.70% Sr. Unsec. Nts., 3/4/20 2,730,000 2,838,359 -------------- 12,018,500 -------------- COMMERCIAL BANKS--2.7% Barclays Bank plc, 6.278% Perpetual Bonds(13) 6,110,000 4,949,100
11 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- COMMERCIAL BANKS CONTINUED City National Capital Trust I, 9.625% Jr. Sub. Bonds, 2/1/40 $ 2,620,000 $ 2,918,588 Comerica Capital Trust II, 6.576% Bonds, 2/20/37(1) 3,255,000 2,888,813 Fifth Third Bancorp: 5.45% Unsec. Sub. Nts., 1/15/17 1,714,000 1,696,300 8.25% Sub. Nts., 3/1/38 1,330,000 1,401,418 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(1) 4,380,000 3,920,100 Royal Bank of Scotland Group plc, 6.40% Sr. Unsec. Unsub. Nts., 10/21/19 4,885,000 4,892,406 Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(13) 7,590,000 7,969,500 -------------- 30,636,225 -------------- CONSUMER FINANCE--0.7% Capital One Capital V, 10.25% Cum. Jr. Unsec. Sub. Nts., 8/15/39 4,045,000 4,804,615 SLM Corp., 8% Sr. Nts., 3/25/20 2,725,000 2,657,960 -------------- 7,462,575 -------------- DIVERSIFIED FINANCIAL SERVICES--2.3% Citigroup, Inc.: 6% Sr. Unsec. Nts., 8/15/17 4,901,000 5,018,869 8.125% Sr. Unsec. Nts., 7/15/39 4,311,000 4,991,828 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(13) 9,120,000 9,755,700 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 5,898,000 6,557,621 -------------- 26,324,018 -------------- INSURANCE--3.2% AXA SA, 6.379% Sub. Perpetual Bonds(2,13) 3,984,000 3,505,920 Genworth Financial, Inc., 8.625% Sr. Unsec Unsub. Nts., 12/15/16 4,479,000 4,891,516 Hartford Financial Services Group, Inc. (The), 6% Sr. Unsec. Nts., 1/15/19 2,270,000 2,328,559 Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(2) 5,365,000 5,356,792 Lincoln National Corp.: 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 2,440,000 2,055,700 7% Jr. Sub. Bonds, 5/17/66(1) 3,275,000 3,013,000 Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 2,446,000 2,488,394 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(2) 2,450,000 2,485,853 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(2) 2,435,000 2,811,042 Swiss Re Capital I LP, 6.854% Perpetual Bonds(2,13) 5,266,000 4,809,232 ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/32(2) 3,040,000 2,866,446 -------------- 36,612,454 -------------- REAL ESTATE INVESTMENT TRUSTS--0.6% AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 1,154,000 1,234,960 Digital Realty Trust LP, 5.875% Unsec. Unsub. Bonds, 2/1/20(2) 2,681,000 2,626,380 Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 1,005,000 1,047,340 ProLogis, 7.625% Sr. Unsec. Nts., 8/15/14 2,280,000 2,495,253 -------------- 7,403,933
12 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- HEALTH CARE--1.5% HEALTH CARE PROVIDERS & SERVICES--0.4% HCA, Inc., 8.50% Sr. Sec. Nts., 4/15/19(2) $ 2,540,000 $ 2,744,788 WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 2,230,000 2,295,888 -------------- 5,040,676 -------------- LIFE SCIENCES TOOLS & SERVICES--0.8% Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 4,715,000 4,898,055 Life Technologies Corp., 6% Sr. Nts., 3/1/20 4,607,000 4,725,759 -------------- 9,623,814 -------------- PHARMACEUTICALS--0.3% Watson Pharmaceuticals, Inc., 6.125% Sr Unsec. Nts., 8/15/19 2,675,000 2,816,799 INDUSTRIALS--3.7% AEROSPACE & DEFENSE--1.0% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 1,368,000 1,381,680 BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(2) 2,405,000 2,616,753 L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 2,605,000 2,663,613 Meccanica Holdings USA, Inc.: 6.25% Sr. Nts., 1/15/40(2) 860,000 845,973 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(2) 3,725,000 4,100,640 -------------- 11,608,659 -------------- COMMERCIAL SERVICES & SUPPLIES--0.8% Browning-Ferris Industries, Inc., 7.40% Sr Unsec. Debs., 9/15/35 1,935,000 2,152,252 Corrections Corp. of America, 7.75% Sr Nts., 6/1/17 2,615,000 2,745,750 R.R. Donnelley & Sons Co., 5.625% Sr Unsec. Nts., 1/15/12 2,590,000 2,692,831 Republic Services, Inc., 6.75% Sr. Unsec Unsub. Nts., 8/15/11 1,640,000 1,747,277 -------------- 9,338,110 -------------- ELECTRICAL EQUIPMENT--0.3% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 2,565,000 2,722,973 INDUSTRIAL CONGLOMERATES--0.9% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 2,320,000 2,419,533 5.50% Sr. Unsec. Nts., 1/8/20 2,925,000 2,989,882 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 4,500,000 5,152,190 -------------- 10,561,605 MACHINERY--0.3% SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 2,730,000 2,869,913 ROAD & RAIL--0.4% CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 3,700,000 4,318,733 INFORMATION TECHNOLOGY--0.7% COMMUNICATIONS EQUIPMENT--0.2% Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 2,515,000 2,718,446 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.4% Agilent Technologies, Inc., 5.50% Sr Unsec. Unsub. Nts., 9/14/15 4,043,000 4,338,107 SOFTWARE--0.1% CA, Inc., 5.375% Sr. Unsec. Unsub. Nts., 12/1/19 1,310,000 1,326,607
13 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- MATERIALS--2.5% CHEMICALS--0.6% Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17(2) $ 2,495,000 $ 2,800,638 Morton International, Inc., 12.40% Credit Sensitive Nts., 6/1/20(1) 85,000 101,458 Terra Capital, Inc., 7.75% Sr. Unsec. Nts., 11/1/19 3,305,000 4,007,313 -------------- 6,909,409 -------------- CONTAINERS & PACKAGING--0.5% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 2,610,000 2,786,175 Sealed Air Corp., 7.875% Sr. Nts., 6/15/17(2) 2,553,000 2,774,733 -------------- 5,560,908 -------------- METALS & MINING--1.4% Cliffs Natural Resources, Inc., 5.90% Sr. Unsec. Unsub. Nts., 3/15/20 1,905,000 1,954,627 Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 3,935,000 4,383,555 Teck Resources Ltd., 9.75% Sr. Sec. Nts., 5/15/14 2,840,000 3,379,600 Vale Overseas Ltd., 6.875% Sr. Unsec. Nts., 11/10/39 2,835,000 2,951,655 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,485,000 1,558,903 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,775,000 1,916,812 -------------- 16,145,152 -------------- TELECOMMUNICATION SERVICES--2.9% DIVERSIFIED TELECOMMUNICATION SERVICES--2.6% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,590,000 2,636,949 British Telecommunications plc, 9.625% Bonds, 12/15/30 1,750,000 2,209,239 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 2,365,000 2,400,475 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(1) 2,196,000 2,228,516 Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 2,450,000 2,667,369 Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 2,615,000 2,869,963 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 4,520,000 4,599,285 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 2,170,000 2,235,749 Telus Corp., 8% Nts., 6/1/11 2,480,000 2,669,767 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,723,000 1,793,574 Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 2,845,000 2,923,238 -------------- 29,234,124 -------------- WIRELESS TELECOMMUNICATION SERVICES--0.3% American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,910,000 2,143,975 Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 951,000 1,031,059 -------------- 3,175,034 -------------- UTILITIES--1.9% ELECTRIC UTILITIES--0.4% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(2) 1,880,000 2,074,486 FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,818,000 1,886,562 Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(2) 675,000 823,674 -------------- 4,784,722
14 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
Principal Amount Value ---------------- -------------- ENERGY TRADERS--0.8% Constellation Energy Group, Inc., 7.60% Unsec. Nts., 4/1/32 $ 2,485,000 $ 2,852,969 Energy Future Holdings Corp., 10% Sr. Sec Nts., 1/15/20(2) 315,000 329,963 NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 2,375,000 2,363,125 Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 3,130,000 3,466,178 -------------- 9,012,235 -------------- MULTI-UTILITIES--0.7% Narragansett Electric Co., 5.638% Sr Unsec. Nts., 3/15/40(2) 1,135,000 1,103,950 NiSource Finance Corp., 7.875% Sr. Unsec Nts., 11/15/10 2,410,000 2,502,831 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 1,325,000 1,482,016 9.80% Sr. Unsec. Nts., 2/15/19 2,110,000 2,746,503 -------------- 7,835,300 -------------- Total Corporate Bonds and Notes (Cost $372,485,276) 391,609,641 --------------
Shares ---------------- COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $9) 181 4,279 Units RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 (12) (Cost $5,577) 2,028 --
Shares ---------------- INVESTMENT COMPANIES--12.4% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (14,15) 27,789 27,789 Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%(14,16) 140,999,797 140,999,797 -------------- Total Investment Companies (Cost $141,027,586) 141,027,586 -------------- TOTAL INVESTMENTS, AT VALUE (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) (COST $1,452,561,051) 1,482,710,304 -------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.6% OFI Liquid Assets Fund, LLC, 0.18%(14,16) (Cost $7,228,200) 7,228,200 7,228,200 TOTAL INVESTMENTS, AT VALUE (COST $1,459,789,251) 131.3% 1,489,938,504 Liabilities in Excess of Other Assets (31.3) (355,026,007) ------------------ Net Assets 100.0% $1,134,912,497 ==================
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 $106,578,967 or 9.39% of the Fund's net assets as of March 31, 2010. 15 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) (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 $44,029,493 or 3.88% of the Fund's net assets as of March 31, 2010. (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 $559,366 or 0.05% of the Fund's net assets as of March 31, 2010. (5.) When-issued security or delayed delivery to be delivered and settled after March 31, 2010. See accompanying Notes. (6.) Partial or fully-loaned security. See accompanying Notes. (7.) 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. (8.) All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $5,935,221. See accompanying Notes. (9.) Zero coupon bond reflects effective yield on the date of purchase. (10.) Issue is in default. See accompanying Notes. (11.) Interest or dividend is paid-in-kind, when applicable. (12.) Non-income producing security. (13.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (14.) Rate shown is the 7-day yield as of March 31, 2010. (15.) Interest rate is less than 0.0005%. (16.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2010, 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, 2009 ADDITIONS REDUCTIONS MARCH 31, 2010 ----------------- ---------- ----------- -------------- OFI Liquid Assets Fund, LLC 7,318,500 12,885,300 12,975,600 7,228,200 Oppenheimer Institutional Money Market Fund, Cl. E 184,405,282 95,020,120 138,425,605 140,999,797
VALUE INCOME ------------ ------- OFI Liquid Assets Fund, LLC $ 7,228,200 $ 1,584(a) Oppenheimer Institutional Money Market Fund, Cl. E 140,999,797 72,131 ------------ ------- $148,227,997 $73,715 ============ =======
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. 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 as of March 31, 2010 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $ -- $ 132,093,479 $-- $ 132,093,479 Mortgage-Backed Obligations -- 772,159,389 -- 772,159,389
16 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) U.S. Government Obligations -- 45,815,930 -- 45,815,930 Corporate Bonds and Notes -- 391,609,641 -- 391,609,641 Common Stocks 4,279 -- -- 4,279 Rights, Warrants and Certificates -- -- -- -- Investment Companies 141,027,586 -- -- 141,027,586 Investments Purchased with Cash Collateral from Securities Loaned -- 7,228,200 -- 7,228,200 ------------ -------------- --- -------------- Total Investments, at Value 141,031,865 1,348,906,639 -- 1,489,938,504 OTHER FINANCIAL INSTRUMENTS: Futures margins 533,368 -- -- 533,368 ------------ -------------- --- -------------- Total Assets $141,565,233 $1,348,906,639 $-- $1,490,471,872 ------------ -------------- --- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (415,367) $-- $ (415,367) Futures margins (118,846) -- -- (118,846) ------------ -------------- --- -------------- Total Liabilities $ (118,846) $ (415,367) $-- $ (534,213) ------------ -------------- --- --------------
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 METHODOLOGIES, IF ANY, DURING THE REPORTING PERIOD. FUTURES CONTRACTS AS OF MARCH 31, 2010 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) - -------------------- -------- --------- ---------- ----------- -------------- U.S. Long Bonds Buy 840 6/21/10 $97,545,000 $ 228,287 U.S. Treasury Nts., 2 yr. Sell 196 6/30/10 42,522,813 38,422 U.S. Treasury Nts., 5 yr. Sell 401 6/30/10 46,052,344 89,616 U.S. Treasury Bonds, 10 yr. Buy 516 6/21/10 59,985,000 (336,556) ---------- $ 19,769 ==========
CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 31, 2010 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION UNREALIZED SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE VALUE DEPRECIATION - ----------------- ---------- -------- ------- ----------- ---------- ------------ CDX NORTH AMERICA INVESTMENT GRADE INDEX, VOLUME H, SERIES 7 Morgan Stanley Capital Services, Inc. Sell $17,000 0.75% 12/20/11 $(205,008) $205,008 ------- --------- -------- Total 17,000 (205,008) 205,008 VALE INCO LTD.: Morgan Stanley Capital Services, Inc. Buy 3,660 0.70 3/20/17 (34,988) 34,988 Morgan Stanley Capital Services, Inc. Buy 3,670 0.63 3/20/17 (18,927) 18,927 ------- --------- -------- Total 7,330 (53,915) 53,915 VALE OVERSEAS:
17 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) Morgan Stanley Capital Services, Inc. Sell 3,660 1.17 3/20/17 (70,490) 70,490 Morgan Stanley Capital Services, Inc. Sell 3,670 1.10 3/20/17 (85,954) 85,954 ------- --------- -------- Total 7,330 (156,444) 156,444 --------- -------- Grand Total Buys (53,915) 53,915 Grand Total Sells (361,452) 361,452 --------- -------- Total Credit Default Swaps $(415,367) $415,367 ========= ========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
REFERENCE TOTAL MAXIMUM POTENTIAL ASSET TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PAYMENTS FOR SELLING CREDIT RATING PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RANGE** - ---------------------------------------------- --------------------------- ------------------- --------- Non-Investment Grade Corporate Debt Indexes $17,000,000 $-- BB- 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. 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. SWAP SUMMARY AS OF MARCH 31, 2010 IS AS FOLLOWS:
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE - ----------------- ------------------- -------- --------- Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection $ 7,330 $ (53,915) Credit Default Sell Protection 24,330 361,452) --------- Total Swaps $(415,367) =========
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 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. 18 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) Securities are valued using unadjusted quoted market prices, when available, as supplied primarily 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 of the Fund 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 may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2010, 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: 19 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited)
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $440,950,659 Sold securities 93,229,505
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. 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 March 31, 2010 is as follows: Cost $365,810 Market Value $ -- Market Value as a % of Net Assets --%
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment 20 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) 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 of March 31, 2010, there were no restrictions on the Fund's ability to withdraw investments from LAF at will. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) 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 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 certain 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 certain positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of March 31, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $415,367 for which collateral was not posted by the Fund. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of March 31, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities in the annual and semiannual reports; securities posted as collateral, if any, are reported on the Statement of Investments. 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. 22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) 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. 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. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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 23 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2010 (Unaudited) 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. 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 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. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. SECURITIES LENDING The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. As of March 31, 2010, the Fund had on loan securities valued at $7,090,706. Collateral of $7,228,200 was received for the loans all of which was received in cash and subsequently invested in approved instruments. FEDERAL TAXES. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2010 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 $1,460,537,050 Federal tax cost of other investments 68,935,074 -------------- Total federal tax cost $1,529,472,124 ============== Gross unrealized appreciation $ 47,427,064 Gross unrealized depreciation (18,421,208) -------------- Net unrealized appreciation $ 29,005,856 ==============
24 | Oppenheimer Core Bond Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 03/31/2010, 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/ William F. Glavin, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 05/11/2010 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/ William F. Glavin, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 05/11/2010 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 05/11/2010 EX-99.CERT 2 p17277exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, William F. Glavin, Jr., 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/ William F. Glavin, Jr. - ------------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 05/11/2010 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ------------------------------------- Brian W. Wixted Principal Financial Officer Date: 05/11/2010 -----END PRIVACY-ENHANCED MESSAGE-----