N-Q 1 g07103nvq.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: 09/30/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- ASSET-BACKED SECURITIES--9.6% Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.89%, 9/17/12 $ 2,765,000 $ 2,773,028 Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.007%, 1/15/13(1, 2) 2,720,000 2,776,973 Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/13(1) 2,315,000 2,390,055 AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivable Nts., Series 2010-3, Cl. A2, 0.77%, 5/8/12 4,975,000 4,977,670 AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 1,138,368 1,139,095 AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 1,165,000 1,169,121 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.216%, 5/25/34(2) 3,925,924 3,548,935 Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 2,795,000 2,803,337 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 3,850,000 3,884,448 Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.556%, 2/28/41(2) 3,181,457 2,606,977 Capital One Multi-asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2008-A5, Cl. A5, 4.85%, 2/18/14 3,300,000 3,377,226 Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(1) 818,523 866,741 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.816%, 2/25/33(2) 559,165 488,308 Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/11(1) 3,075,000 3,084,049 CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/10(1) 573,004 573,303 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 485,638 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.356%, 10/25/36(2) 319,894 318,824 CNH Equipment Trust, Asset-Backed Certificates: Series 2009-B, Cl. A3, 2.97%, 3/15/13 1,696,867 1,709,366 Series 2010-A, Cl. A2, 0.81%, 3/25/15 3,370,000 3,375,054 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.996%, 2/25/33(2) 38,880 33,963 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36(2) 4,014,308 3,246,415 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36(2) 652,343 527,688 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.376%, 6/25/47(2) 3,020,000 2,646,221 DaimlerChrysler Auto Trust 2007-A, Automobile Receivable Nts., Series 2007-A, Cl. A4, 5.28%, 3/8/13 3,160,000 3,262,129
1 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- Discover Card Master Trust, Credit Card Receivables, Series 2008-A3, Cl. A3, 5.10%, 10/15/13 $ 2,805,000 $ 2,875,913 DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(1) 1,744,123 1,753,024 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.346%, 7/25/36(2) 1,095,509 1,064,101 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.366%, 7/7/36(2) 439,069 412,055 Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/13(1) 2,229,510 2,234,017 Ford Credit Auto Owner Trust, Automobile Receivable Nts.: Series 2009-B, Cl. A2, 2.10%, 11/15/11 219,782 219,941 Series 2009-E, Cl. A2, 0.80%, 3/15/12 4,426,717 4,429,844 Series 2010-A, Cl. A4, 2.15%, 6/15/15 3,980,000 4,102,304 Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.807%, 9/15/12(2) 2,730,000 2,777,180 Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.907%, 12/15/14(1, 2) 2,610,000 2,665,405 GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 1,995,000 2,092,983 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 2,026,131 2,029,960 Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Class A1, 2.60%, 2/15/14(1) 2,900,000 2,954,357 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 906,616 907,572 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.517%, 1/20/35(2) 958,901 920,395 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.367%, 3/20/36(2) 565,105 562,312 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(3) 99 99 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.607%, 3/15/16(2) 2,900,000 2,863,356 Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.317%, 12/15/13(2) 2,223,076 2,215,560 Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.522%, 6/17/11(1, 2) 3,420,000 3,392,441 Morgan Stanley Structured Trust I 2001-1, Asset-Backed Certificates, Series 2004-1, Cl. A1, 0.336%, 6/25/37(2) 2,801,102 2,585,677 Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.906%, 1/26/15(1, 2) 4,540,000 4,553,652 NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1/25/29(3, 4) 1,750,658 74,403 Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.407%, 1/15/13(1, 2) 2,705,000 2,747,148
2 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- Option One Mortgage Loan Trust 2007-5, Asset-Backed Certificates, Series 2007-5, Cl. 2A1, 0.346%, 5/25/37(2) $ 1,359,718 $ 1,311,440 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(2) 888,150 795,939 Santander Drive Auto Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 2,845,000 2,846,040 Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 2,475,000 2,479,954 World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 2,755,000 2,852,040 -------------- Total Asset-Backed Securities (Cost $115,974,708) 112,783,676 MORTGAGE-BACKED OBLIGATIONS--57.6% GOVERNMENT AGENCY--46.5% FHLMC/FNMA/FHLB/SPONSORED--40.1% Federal Home Loan Mortgage Corp.: 5%, 8/15/33 7,035,844 7,456,213 5.50%, 9/1/39 9,338,364 9,912,502 6%, 5/15/18-10/15/29 2,936,121 3,207,824 6.50%, 4/15/18-4/1/34 3,230,808 3,535,664 7%, 7/15/21-10/1/37 10,818,910 12,266,436 8%, 4/1/16 249,829 271,840 9%, 4/14/17-5/1/25 78,343 87,181 12.50%, 5/15/14 255 259 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 19,740 24,077 Series 1590, Cl. IA, 1.363%, 10/15/23(2) 3,145,008 3,184,822 Series 2034, Cl. Z, 6.50%, 2/15/28 23,591 26,669 Series 2043, Cl. ZP, 6.50%, 4/15/28 2,704,316 2,827,149 Series 2046, Cl. G, 6.50%, 4/15/28 2,030,393 2,167,407 Series 2053, Cl. Z, 6.50%, 4/15/28 22,401 25,324 Series 2063, Cl. PG, 6.50%, 6/15/28 1,556,492 1,621,213 Series 2145, Cl. MZ, 6.50%, 4/15/29 592,497 660,907 Series 2148, Cl. ZA, 6%, 4/15/29 1,055,890 1,136,196 Series 2195, Cl. LH, 6.50%, 10/15/29 1,386,781 1,567,773 Series 2326, Cl. ZP, 6.50%, 6/15/31 434,827 491,592 Series 2341, Cl. FP, 1.157%, 7/15/31(2) 732,071 741,096 Series 2399, Cl. PG, 6%, 1/15/17 632,939 686,602 Series 2423, Cl. MC, 7%, 3/15/32 1,880,015 2,088,492 Series 2453, Cl. BD, 6%, 5/15/17 602,389 654,433 Series 2461, Cl. PZ, 6.50%, 6/15/32 3,716,843 4,137,634 Series 2463, Cl. F, 1.257%, 6/15/32(2) 3,785,865 3,850,956 Series 2500, Cl. FD, 0.757%, 3/15/32(2) 214,248 215,389 Series 2526, Cl. FE, 0.657%, 6/15/29(2) 314,809 315,828 Series 2551, Cl. FD, 0.657%, 1/15/33(2) 698,416 700,744 Series 2638, Cl. KG, 4%, 11/1/27 6,356,038 6,441,008 Series 2648, Cl. JE, 3%, 2/1/30 3,446,836 3,470,914 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 5,059,051 Series 2686, Cl. CD, 4.50%, 2/1/17 1,932,938 1,974,120 Series 2907, Cl. GC, 5%, 6/1/27 1,531,993 1,570,709 Series 2911, Cl. CU, 5%, 2/1/28 3,732,210 3,818,414
3 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2929, Cl. PC, 5%, 1/1/28 $ 1,300,129 $ 1,325,860 Series 2952, Cl. GJ, 4.50%, 12/1/28 703,944 712,823 Series 3019, Cl. MD, 4.75%, 1/1/31 2,861,141 2,946,301 Series 3025, Cl. SJ, 23.806%, 8/15/35(2) 728,009 1,080,348 Series 3094, Cl. HS, 23.44%, 6/15/34(2) 1,115,906 1,560,247 Series 3157, Cl. MC, 5.50%, 2/1/26 666,976 667,094 Series 3242, Cl. QA, 5.50%, 3/1/30 2,124,863 2,182,583 Series 3279, Cl. PH, 6%, 2/1/27 580,111 580,138 Series 3291, Cl. NA, 5.50%, 10/1/27 2,164,451 2,189,202 Series 3306, Cl. PA, 5.50%, 10/1/27 2,982,324 3,023,229 Series R001, Cl. AE, 4.375%, 4/1/15 1,695,230 1,727,087 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 12.132%, 4/1/27(5) 1,326,815 314,413 Series 192, Cl. IO, 9.309%, 2/1/28(5) 168,786 28,996 Series 206, Cl. IO, 0%, 12/1/29(5,6) 204,144 54,419 Series 2129, Cl. S, 11.717%, 2/15/29(5) 1,714,255 305,304 Series 2130, Cl. SC, 50.364%, 3/15/29(5) 444,387 83,322 Series 2134, Cl. SB, 63.513%, 3/15/29(5) 458,757 88,024 Series 224, Cl. IO, 0%, 3/1/33(5,6) 1,913,340 330,078 Series 2422, Cl. SJ, 69.168%, 1/15/32(5) 1,963,515 379,548 Series 243, Cl. 6, 2.394%, 12/15/32(5) 1,267,570 263,331 Series 2493, Cl. S, 67.524%, 9/15/29(5) 115,957 23,419 Series 2527, Cl. SG, 26.977%, 2/15/32(5) 1,428,975 67,618 Series 2531, Cl. ST, 37.931%, 2/15/30(5) 1,971,485 106,771 Series 2601, Cl. GS, 16.843%, 11/15/17(5) 2,498,458 233,645 Series 2796, Cl. SD, 64.913%, 7/15/26(5) 731,782 136,550 Series 2802, Cl. AS, 99.999%, 4/15/33(5) 1,615,989 135,310 Series 2920, Cl. S, 67.279%, 1/15/35(5) 2,767,719 416,888 Series 3000, Cl. SE, 99.999%, 7/15/25(5) 3,699,056 530,848 Series 3005, Cl. WI, 2.63%, 7/15/35(5) 6,056,025 773,626 Series 3110, Cl. SL, 99.999%, 2/15/26(5) 1,213,142 162,527 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.43%, 6/1/26(7) 170,739 153,641 Federal National Mortgage Assn.: 4.50%, 10/1/25-10/1/40(8) 24,405,000 25,580,410 5%, 10/1/25-10/1/40(8) 30,784,500 32,489,161 5.50%, 12/25/18 6,307 6,840 5.50%, 10/1/25-10/1/40(8) 64,320,000 68,433,114 6%, 5/25/20-6/1/35 39,825,905 43,599,150 6%, 10/1/25(8) 36,186,000 39,045,562 6.50%, 6/25/17-11/25/31 16,793,523 18,362,769 6.50%, 10/1/40(8) 5,682,000 6,196,045 7%, 9/25/14-4/1/34 7,725,780 8,619,783 7.50%, 1/1/33-8/25/33 7,300,224 8,321,690 8.50%, 7/1/32 23,119 26,137
4 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 $ 7,345 $ 7,687 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 553,017 624,614 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 443,093 495,615 Trust 1996-35, Cl. Z, 7%, 7/25/26 146,372 165,957 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 945,029 1,051,439 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,334,297 1,472,546 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,772,215 1,962,054 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 6,652,733 7,833,593 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,807,834 2,041,852 Trust 2002-10, Cl. FB, 0.756%, 3/25/17(2) 189,360 190,467 Trust 2002-16, Cl. PG, 6%, 4/25/17 1,150,583 1,254,481 Trust 2002-2, Cl. UC, 6%, 2/25/17 660,608 716,538 Trust 2002-56, Cl. FN, 1.256%, 7/25/32(2) 1,073,502 1,097,771 Trust 2003-130, Cl. CS, 13.588%, 12/25/33(2) 5,246,093 6,213,635 Trust 2003-21, Cl. FK, 0.656%, 3/25/33(2) 359,756 360,966 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,712,463 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,931,640 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 2,127,285 2,173,584 Trust 2004-9, Cl. AB, 4%, 7/1/17 4,640,474 4,771,910 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,795,757 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 5,073,000 5,805,504 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 11,440,388 Trust 2005-12, Cl. JC, 5%, 6/1/28 3,301,525 3,397,449 Trust 2005-22, Cl. EC, 5%, 10/1/28 1,226,595 1,262,867 Trust 2005-30, Cl. CU, 5%, 4/1/29 926,747 957,392 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,812,582 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,397,133 Trust 2006-50, Cl. SK, 23.26%, 6/25/36(2) 1,779,073 2,545,228 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 279,844 284,333 Trust 2009-37, Cl. HA, 4%, 4/1/19 7,250,428 7,727,859 Trust 2009-70, Cl. PA, 5%, 8/1/35 6,363,647 6,819,320 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 73.364%, 3/17/31(5) 709,914 137,626 Trust 2001-61, Cl. SE, 42.672%, 11/18/31(5) 1,046,923 191,437 Trust 2001-65, Cl. S, 43.648%, 11/25/31(5) 2,403,888 500,894 Trust 2001-81, Cl. S, 35.003%, 1/25/32(5) 320,039 60,283 Trust 2002-12, Cl. SB, 59.671%, 7/25/31(5) 511,240 92,044 Trust 2002-2, Cl. SW, 60.409%, 2/25/32(5) 575,834 105,807 Trust 2002-38, Cl. SO, 54.09%, 4/25/32(5) 229,653 39,117 Trust 2002-41, Cl. S, 70.273%, 7/25/32(5) 2,369,373 516,648 Trust 2002-47, Cl. NS, 32.663%, 4/25/32(5) 825,303 167,376 Trust 2002-5, Cl. SD, 68.689%, 2/25/32(5) 432,266 78,936 Trust 2002-51, Cl. S, 32.958%, 8/25/32(5) 757,787 152,355 Trust 2002-52, Cl. SD, 38.725%, 9/25/32(5) 915,218 173,082 Trust 2002-60, Cl. SM, 42.181%, 8/25/32(5) 3,543,957 508,530 Trust 2002-60, Cl. SY, 5.995%, 4/25/32(5) 3,153,905 76,889 Trust 2002-7, Cl. SK, 44.318%, 1/25/32(5) 2,138,438 318,758
5 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-75, Cl. SA, 45.157%, 11/25/32(5) $ 1,928,272 $ 291,854 Trust 2002-77, Cl. BS, 39.658%, 12/18/32(5) 3,855,095 578,758 Trust 2002-77, Cl. IS, 47.132%, 12/18/32(5) 391,261 79,215 Trust 2002-77, Cl. JS, 32.997%, 12/18/32(5) 3,570,149 532,302 Trust 2002-77, Cl. SA, 34.497%, 12/18/32(5) 3,370,953 491,923 Trust 2002-77, Cl. SH, 44.151%, 12/18/32(5) 441,030 93,619 Trust 2002-84, Cl. SA, 46.169%, 12/25/32(5) 478,043 72,907 Trust 2002-89, Cl. S, 66.895%, 1/25/33(5) 3,475,903 564,020 Trust 2002-9, Cl. MS, 33.738%, 3/25/32(5) 26,234 5,406 Trust 2002-90, Cl. SN, 44.879%, 8/25/32(5) 3,224,532 463,095 Trust 2002-90, Cl. SY, 47.578%, 9/25/32(5) 1,519,673 228,263 Trust 2003-14, Cl. OI, 5.935%, 3/25/33(5) 4,823,622 907,152 Trust 2003-26, Cl. IK, 4.913%, 4/25/33(5) 1,755,430 343,494 Trust 2003-33, Cl. SP, 51.42%, 5/25/33(5) 3,023,969 406,512 Trust 2003-4, Cl. S, 40.24%, 2/25/33(5) 955,947 132,211 Trust 2003-52, Cl. NS, 65.035%, 6/25/23(5) 14,929,091 2,010,241 Trust 2003-89, Cl. XS, 45.725%, 11/25/32(5) 3,879,433 254,148 Trust 2004-54, Cl. DS, 49.291%, 11/25/30(5) 193,053 30,526 Trust 2004-56, Cl. SE, 13.09%, 10/25/33(5) 3,628,033 459,461 Trust 2005-40, Cl. SA, 61.901%, 5/25/35(5) 1,713,760 260,168 Trust 2005-6, Cl. SE, 81.232%, 2/25/35(5) 2,377,232 379,946 Trust 2005-71, Cl. SA, 69.336%, 8/25/25(5) 3,232,191 519,684 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(5) 8,646,740 1,025,458 Trust 2005-87, Cl. SG, 82.867%, 10/25/35(5) 12,582,915 1,746,783 Trust 2005-93, Cl. SI, 11.194%, 10/25/35(5) 2,853,790 355,073 Trust 2006-53, Cl. US, 23.525%, 6/25/36(5) 318,706 41,191 Trust 2008-67, Cl. KS, 27.358%, 8/25/34(5) 10,019,862 703,296 Trust 222, Cl. 2, 18.379%, 6/1/23(5) 1,337,617 251,811 Trust 247, Cl. 2, 30.91%, 10/1/23(5) 120,302 26,278 Trust 252, Cl. 2, 27.527%, 11/1/23(5) 1,242,918 266,763 Trust 254, Cl. 2, 21.565%, 1/1/24(5) 2,223,945 490,924 Trust 2682, Cl. TQ, 99.999%, 10/15/33(5) 3,061,384 540,500 Trust 2981, Cl. BS, 99.999%, 5/15/35(5) 5,396,419 928,077 Trust 301, Cl. 2, 0%, 4/1/29(5, 6) 766,360 126,732 Trust 303, Cl. IO, 1.215%, 11/1/29(5) 102,065 24,269 Trust 319, Cl. 2, 2.506%, 2/1/32(5) 445,764 83,026 Trust 320, Cl. 2, 6.798%, 4/1/32(5) 8,481,099 1,881,277 Trust 321, Cl. 2, 1.472%, 4/1/32(5) 1,694,034 316,201 Trust 324, Cl. 2, 0%, 7/1/32(5, 6) 815,935 145,873 Trust 331, Cl. 9, 0%, 2/1/33(5, 6) 4,781,436 883,694 Trust 334, Cl. 14, 0%, 2/1/33(5, 6) 4,170,558 685,777 Trust 334, Cl. 15, 0%, 2/1/33(5, 6) 3,072,392 542,457 Trust 334, Cl. 17, 8.993%, 2/1/33(5) 165,124 32,591 Trust 339, Cl. 12, 0%, 7/1/33(5, 6) 4,324,803 790,698 Trust 339, Cl. 7, 0%, 7/1/33(5, 6) 5,310,689 873,056
6 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 343, Cl. 13, 0.473%, 9/1/33(5) $ 4,421,811 $ 842,356 Trust 343, Cl. 18, 8.955%, 5/1/34(5) 3,098,681 477,025 Trust 345, Cl. 9, 0%, 1/1/34(5, 6) 3,611,606 591,258 Trust 351, Cl. 10, 0%, 4/1/34(5, 6) 1,953,036 312,560 Trust 351, Cl. 8, 0%, 4/1/34(5, 6) 3,104,091 508,895 Trust 356, Cl. 10, 0%, 6/1/35(5, 6) 2,611,228 415,600 Trust 356, Cl. 12, 0%, 2/1/35(5, 6) 1,321,594 218,670 Trust 362, Cl. 13, 1.471%, 8/1/35(5) 3,014,787 480,239 Trust 364, Cl. 16, 0%, 9/1/35(5, 6) 4,608,338 659,020 Trust 365, Cl. 16, 0%, 3/1/36(5, 6) 3,442,493 547,634 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.098%, 9/25/23(7) 416,997 373,365 -------------- 474,198,027 GNMA/GUARANTEED--6.4% Government National Mortgage Assn.: 3.625%, 8/8/25-7/1/27(2) 15,913 16,459 4.50%, 10/1/40(8) 70,825,000 74,521,215 8.50%, 8/1/17-12/15/17 119,717 133,024 10.50%, 12/29/17 7,973 9,083 11%, 11/8/19 19,835 22,168 12%, 5/29/14 161 163 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 84.284%, 1/16/27(5) 888,425 170,120 Series 2002-15, Cl. SM, 70.478%, 2/16/32(5) 973,351 197,895 Series 2002-41, Cl. GS, 68.091%, 6/16/32(5) 741,360 156,325 Series 2002-76, Cl. SY, 77.055%, 12/16/26(5) 475,254 98,208 Series 2004-11, Cl. SM, 62.84%, 1/17/30(5) 174,588 39,471 ------------ 75,364,131 NON-AGENCY--11.1% COMMERCIAL--7.1% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.252%, 4/14/29(5) 8,049,279 274,814 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 5,435,000 5,423,442 Series 2007-1, Cl. A4, 5.451%, 1/1/17 5,399,000 5,671,264 Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 5,695,000 5,280,355 Bear Stearns Commercial Mortgage Securities Trust 2007-PW18, Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2, 5.613%, 6/1/50 1,000,000 1,054,228 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/24(1, 5, 6) 2,467,766 114,366 Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 1,010,000 1,053,842 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 3,310,000 3,436,893
7 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- COMMERCIAL CONTINUED First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 $ 2,471,174 $ 2,357,935 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 2,039,670 1,603,467 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 295,169 298,538 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: Series 2001-LIBA, Cl. B, 6.733%, 2/10/16(1) 705,000 720,167 Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 5,000,000 5,334,451 Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.796%, 5/25/35(2) 3,629,416 2,716,366 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. AM, 4.78%, 7/1/42 8,810,000 8,830,267 Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 3,980,000 4,145,418 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(3) 285,000 283,661 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 945,000 985,040 JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 6.062%, 4/1/45(2) 6,485,000 6,462,017 JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 4,080,222 3,548,488 LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 2,750,000 2,839,683 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30(5, 6) 2,459,935 61,098 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(1) 113,928 91,126 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,406,424 1,398,841 Merrill Lynch Mortgage Investors Trust 2005-A5, Mtg. Pass-Through Certificates, Series 2005-A5, Cl. A9, 2.752%, 6/1/35(2) 3,579,374 3,200,075 ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.465%, 7/12/46 6,010,000 5,830,910 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/32(5, 6) 33,666,030 136,603 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 2,207,077 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 3,085,555 WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 4.771%, 12/1/35(2) 2,431,723 2,053,188
8 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- COMMERCIAL CONTINUED Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.182%, 11/1/37(2) $ 3,579,476 $ 2,883,021 -------------- 83,382,196 MANUFACTURED HOUSING--0.2% Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.577%, 3/25/36(2) 2,942,451 2,514,519 MULTIFAMILY--1.1% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 3.063%, 10/1/35(2) 2,095,000 1,786,027 GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 3,567,000 3,711,292 Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.799%, 2/1/35(2) 401,516 383,018 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 4.577%, 3/1/36(2) 5,349,911 4,689,472 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 4.917%, 3/25/36(2) 3,092,766 2,785,542 ------------ 13,355,351 OTHER--0.3% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 3,565,000 3,764,557 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 56.798%, 10/23/17(5) 931 124 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.09%, 10/23/17(7) 1,377 1,357 ------------ 3,766,038 RESIDENTIAL--2.4% CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 3,233,077 2,954,576 Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 4,998,367 4,247,615 Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 3,163,125 2,458,940 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 3,131,046 2,987,502 JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 3,367,463 3,015,486 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.93%, 12/25/34(2) 1,565,882 1,535,411
9 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- RESIDENTIAL CONTINUED RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 $ 574,579 $ 580,171 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 407,009 269,353 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 2,055,551 1,259,448 WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 5.424%, 12/1/36(2) 593,876 445,540 WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.581%, 6/25/37(2) 1,275,693 1,010,757 WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.665%, 7/1/37(2) 3,683,251 2,516,739 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.874%, 9/1/34(2) 790,428 771,256 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.999%, 10/1/35(2) 4,523,159 4,352,803 -------------- 28,405,597 -------------- Total Mortgage-Backed Obligations (Cost $653,749,565) 680,985,859 U.S. GOVERNMENT OBLIGATIONS--3.9% Federal Home Loan Mortgage Corp. Nts.: 2.875%, 2/9/15 4,395,000 4,685,641 5%, 2/16/17 1,510,000 1,776,391 5.25%, 4/18/16 2,650,000 3,137,282 Federal National Mortgage Assn. Nts.: 1.625%, 10/26/15 2,950,000 2,953,838 2.375%, 7/28/15 950,000 988,625 4.875%, 12/15/16 1,240,000 1,449,617 5%, 3/15/16 1,655,000 1,934,101 U.S. Treasury Bonds: 7.50%, 11/15/16(9) 7,700,000 10,313,788 STRIPS, 3.862%, 2/15/13(10) 1,520,000 1,502,348 U.S. Treasury Nts., 5.125%, 5/15/16(11) 14,830,000 17,765,880 -------------- Total U.S. Government Obligations (Cost $44,635,352) 46,507,511 CORPORATE BONDS AND NOTES--33.4% CONSUMER DISCRETIONARY--5.3% AUTOMOBILES--0.2% DaimlerChrysler North America Holding Corp./Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 2,460,000 2,816,031 DIVERSIFIED CONSUMER SERVICES--0.3% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 2,760,000 2,884,200 HOTELS, RESTAURANTS & LEISURE--0.7% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(1) 4,300,000 4,643,996
10 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- HOTELS, RESTAURANTS & LEISURE CONTINUED Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 $ 3,081,000 $ 3,470,075 -------------- 8,114,071 HOUSEHOLD DURABLES--0.6% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 4,515,000 5,128,611 Whirlpool Corp., 8% Sr. Unsec. Nts., 5/1/12 2,270,000 2,474,416 -------------- 7,603,027 LEISURE EQUIPMENT & PRODUCTS--0.5% Mattel, Inc.: 5.625% Sr. Unsec. Nts., 3/15/13 2,640,000 2,858,022 6.125% Sr. Unsec. Nts., 6/15/11 2,415,000 2,494,043 -------------- 5,352,065 MEDIA--2.2% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 2,300,000 3,002,967 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 1,751,000 2,474,096 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 4,965,000 5,542,355 DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 2,315,000 2,503,094 Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 2,267,000 2,589,882 Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 2,450,000 2,817,500 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,542,000 2,003,767 Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 1,585,000 1,913,062 Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/18 2,755,000 2,920,300 -------------- 25,767,023 MULTILINE RETAIL--0.2% J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 2,835,000 2,873,981 SPECIALTY RETAIL--0.6% Limited Brands, Inc., 7% Sr. Unsec. Unsub. Nts., 5/1/20 2,758,000 2,992,430 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 3,480,000 3,593,643 -------------- 6,586,073 CONSUMER STAPLES--1.5% BEVERAGES--0.7% Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(1) 4,077,000 5,297,238 Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 2,465,000 2,733,069 -------------- 8,030,307 FOOD & STAPLES RETAILING--0.2% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,250,000 1,771,475 Real Time Data Co., 11% Nts., 5/31/09(3, 4, 12, 13) 476,601 -- -------------- 1,771,475 FOOD PRODUCTS--0.2% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 980,000 1,047,380 8.50% Sr. Unsec. Nts., 6/15/19 1,360,000 1,646,416 -------------- 2,693,796 TOBACCO--0.4% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 2,166,000 2,936,316
11 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- TOBACCO CONTINUED Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 $ 1,602,000 $ 1,725,218 -------------- 4,661,534 ENERGY--3.0% ENERGY EQUIPMENT & SERVICES--0.4% Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 3,010,000 3,114,354 Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 1,795,000 1,820,740 -------------- 4,935,094 OIL, GAS & CONSUMABLE FUELS--2.6% El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 2,625,000 2,933,438 Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 2,065,000 2,444,444 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 2,640,000 2,694,825 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 4,515,000 4,928,877 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,245,000 1,360,815 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(1) 1,530,000 1,685,165 Rockies Express Pipeline LLC, 5.625% Sr. Unsec. Unsub. Nts., 4/15/20(1) 1,936,000 1,950,144 Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 2,752,000 3,123,520 Williams Cos., Inc. (The) Credit Linked Certificates Trust V, 6.375% Sr. Unsec. Nts., 10/1/10(1) 1,975,000 1,975,000 Williams Partners LP/Williams Partners Finance Corp., 7.25% Sr. Unsec. Nts., 2/1/17 2,535,000 3,023,183 Woodside Finance Ltd., 4.50% Nts., 11/10/14(1) 4,060,000 4,361,975 -------------- 30,481,386 FINANCIALS--12.9% CAPITAL MARKETS--2.5% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(1) 4,095,000 4,353,833 Discover Bank, 7% Sub. Nts., 4/15/20 2,750,000 2,996,870 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,075,000 2,973,070 Goldman Sachs Group, Inc. (The), 5.375% Sr. Unsec. Unsub. Nts., 3/15/20 2,920,000 3,083,427 Macquarie Group Ltd., 4.875% Sr. Unsec. Nts., 8/10/17(1) 4,540,000 4,612,359 Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(1) 1,205,000 1,243,760 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 6,830,000 7,249,055 UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 2,825,000 2,855,778 -------------- 29,368,152 COMMERCIAL BANKS--3.1% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(1) 2,820,000 2,861,251 Barclays Bank plc, 6.278% Perpetual Bonds(14) 6,160,000 5,420,800 BNP Paribas SA, 5.186% Sub. Perpetual Nts.(1, 14) 3,080,000 2,918,300 Comerica Capital Trust II, 6.576% Bonds, 2/20/37(2) 3,255,000 3,259,069
12 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- COMMERCIAL BANKS CONTINUED HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(2) $ 7,580,000 $ 7,153,625 Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(1) 2,970,000 3,003,626 Royal Bank of Scotland (The) plc, 5.625% Sr. Unsec. Unsub. Nts., 8/24/20 2,845,000 2,988,089 Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 2,655,000 2,761,232 Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(14) 6,055,000 6,403,163 -------------- 36,769,155 CONSUMER FINANCE--0.6% American Express Bank FSB, 5.55% Sr. Unsec. Nts., 10/17/12 2,490,000 2,683,640 Capital One Capital IV, 6.745% Sub. Bonds, 2/17/37(2) 4,560,000 4,582,800 -------------- 7,266,440 DIVERSIFIED FINANCIAL SERVICES--2.5% Citigroup, Inc.: 5.375% Sr. Unsec. Nts., 8/9/20 7,015,000 7,271,798 6.01% Sr. Unsec. Nts., 1/15/15 2,810,000 3,093,065 ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(14) 3,220,000 2,906,050 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(14) 8,365,000 8,994,642 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 5,870,000 6,829,469 -------------- 29,095,024 INSURANCE--3.2% American International Group, Inc., 5.85% Sr. Unsec. Nts., Series G, 1/16/18 2,450,000 2,548,000 Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 2,125,000 2,353,833 Genworth Financial, Inc., 8.625% Sr. Unsec. Unsub. Nts., 12/15/16 4,479,000 5,058,430 Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(1) 2,685,000 2,864,275 Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 2,755,000 2,858,233 Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(1) 3,700,000 3,497,769 Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 5,442,000 4,802,565 MetLife, Inc., 5.375% Sr. Unsec. Unsub. Nts., 12/15/12 805,000 865,978 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(1) 2,450,000 2,450,000 Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 2,785,000 2,895,094 Swiss Re Capital I LP, 6.854% Perpetual Bonds(1, 14) 5,571,000 5,216,918 ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/32(1) 3,040,000 2,863,248 -------------- 38,274,343 REAL ESTATE INVESTMENT TRUSTS--1.0% AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 1,154,000 1,208,462 Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 1,402,000 1,454,275 Liberty Property LP, 7.25% Sr. Unsec. Unsub. Nts., 3/15/11 2,780,000 2,843,984 Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 1,005,000 1,040,768 Regency Centers LP, 4.80% Sr. Unsec. Unsub. Nts., 4/15/21(8) 715,000 713,999
13 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- REAL ESTATE INVESTMENT TRUSTS CONTINUED Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 $ 2,825,000 $ 2,930,692 WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(1) 1,325,000 1,413,937 -------------- 11,606,117 HEALTH CARE--1.3% BIOTECHNOLOGY--0.3% Genzyme Corp., 5% Sr. Nts., 6/15/20(1) 2,725,000 3,035,920 HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Hospira, Inc., 5.60% Sr. Unsec. Unsub. Nts., 9/15/40 2,325,000 2,416,535 HEALTH CARE PROVIDERS & SERVICES--0.4% HCA, Inc., 8.50% Sr. Sec. Nts., 4/15/19 2,540,000 2,844,800 WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 2,230,000 2,256,151 -------------- 5,100,951 LIFE SCIENCES TOOLS & SERVICES--0.4% Life Technologies Corp., 6% Sr. Nts., 3/1/20 4,635,000 5,260,197 INDUSTRIALS--2.4% AEROSPACE & DEFENSE--0.6% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 2,761,000 2,892,148 Meccanica Holdings USA, Inc., 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(1) 3,820,000 4,325,734 -------------- 7,217,882 COMMERCIAL SERVICES & SUPPLIES--0.7% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 982,000 1,220,314 Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 2,615,000 2,824,200 R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 2,590,000 2,653,398 Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 1,640,000 1,717,083 -------------- 8,414,995 ELECTRICAL EQUIPMENT--0.3% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 2,690,000 3,118,832 INDUSTRIAL CONGLOMERATES--0.6% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 2,385,000 2,499,549 5.25% Sr. Unsec. Nts., 10/19/12 340,000 366,183 5.875% Unsec. Unsub. Nts., 1/14/38 1,085,000 1,105,709 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 2,304,000 2,869,913 -------------- 6,841,354 MACHINERY--0.2% SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 2,730,000 2,989,350 INFORMATION TECHNOLOGY--0.9% COMMUNICATIONS EQUIPMENT--0.2% Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 2,675,000 2,841,607 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.4% Agilent Technologies, Inc., 5% Sr. Unsec. Unsub. Nts., 7/15/20 4,914,000 5,224,290 SOFTWARE--0.3% Oracle Corp., 5.375% Sr. Bonds, 7/15/40(1) 2,774,000 2,995,104
14 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Principal Amount Value ------------ -------------- MATERIALS--2.1% CHEMICALS--0.7% Airgas, Inc., 3.25% Sr. Nts., 10/1/15 $ 2,506,000 $ 2,512,220 Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 2,532,000 2,911,800 CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 2,763,000 2,980,586 -------------- 8,404,606 CONTAINERS & PACKAGING--0.5% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 2,610,000 2,831,850 Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 2,575,000 2,793,777 -------------- 5,625,627 METALS & MINING--0.9% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 3,985,000 4,453,891 Teck Resources Ltd., 10.75% Sr. Sec. Nts., 5/15/19 1,836,000 2,315,521 Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 462,000 500,315 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,485,000 1,615,233 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,775,000 1,979,235 Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/16(1) 52,000 57,547 -------------- 10,921,742 TELECOMMUNICATION SERVICES--2.3% DIVERSIFIED TELECOMMUNICATION SERVICES--2.1% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,574,000 2,916,484 British Telecommunications plc, 9.875% Bonds, 12/15/30 1,730,000 2,414,528 Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 2,450,000 2,684,592 Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 2,785,000 3,060,019 Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 2,620,000 2,999,900 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 4,520,000 4,520,000 Telus Corp., 8% Nts., 6/1/11 1,362,000 1,426,376 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,690,000 1,960,846 Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 2,845,000 3,022,813 -------------- 25,005,558 WIRELESS TELECOMMUNICATION SERVICES--0.2% American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,975,000 2,308,281 UTILITIES--1.7% ELECTRIC UTILITIES--1.1% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(1) 2,563,000 2,768,722 FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 1,751,000 1,769,673 Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 1,875,000 1,884,735 Oncor Electric Delivery Co., 5.25% Sr. Sec. Bonds, 9/30/40(1) 2,325,000 2,376,452 Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(1) 3,010,000 3,963,634 -------------- 12,763,216 MULTI-UTILITIES--0.6% CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 2,759,000 2,917,974 NiSource Finance Corp., 10.75% Sr. Unsec. Nts., 3/15/16 3,476,000 4,598,376 -------------- 7,516,350 -------------- Total Corporate Bonds and Notes (Cost $369,936,195) 394,951,691
15 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited)
Shares Value ------------ -------------- COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $9) 181 $ 4,100 INVESTMENT COMPANY--16.6% Oppenheimer Institutional Money Market Fund, Cl. E, 0.24%(15, 16) (Cost $196,464,944) 196,464,944 196,464,944 TOTAL INVESTMENTS, AT VALUE (COST $1,380,760,773) 121.1% 1,431,697,781 Liabilities in Excess of Other Assets (21.1) (249,806,722) ------------ -------------- Net Assets 100.0% $1,181,891,059 ============ ==============
Footnotes to Statement of Investments (1.) 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 $107,652,731 or 9.11% of the Fund's net assets as of September 30, 2010. (2.) Represents the current interest rate for a variable or increasing rate security. (3.) Restricted security. The aggregate value of restricted securities as of September 30, 2010 was $358,163, which represents 0.03% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATE COST VALUE (DEPRECIATION) -------- --------------- ---------- -------- -------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 $ 281,438 $283,661 $ 2,223 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 2/5/01 99 99 -- NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1/25/29 2/23/99 1,703,335 74,403 (1,628,932) Real Time Data Co., 11% Nts., 5/31/09 6/30/99-5/31/01 365,810 -- (365,810) ---------- -------- ----------- $2,350,682 $358,163 $(1,992,519) ========== ======== ===========
(4.) Issue is in default. 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 $35,723,410 or 3.02% of the Fund's net assets as of September 30, 2010. (6.) 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. (7.) 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 $528,363 or 0.04% of the Fund's net assets as of September 30, 2010. (8.) When-issued security or delayed delivery to be delivered and settled after September 30, 2010. See accompanying Notes. (9.) 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 $6,295,429. See accompanying Notes. (10.) Zero coupon bond reflects effective yield on the date of purchase. (11.) All or a portion of the security position is held in collateral accounts to cover the Fund's obligations under certain derivative contracts. The aggregate market value of such securities is $275,533. See accompanying Notes. (12.) Interest or dividend is paid-in-kind, when applicable. (13.) Non-income producing security. (14.) 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. (15.) Rate shown is the 7-day yield as of September 30, 2010. 16 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) (16.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 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 SEPTEMBER 30, 2010 ----------------- ----------- ----------- ------------------ OFI Liquid Assets Fund, LLC 7,318,500 17,806,600 25,125,100 -- Oppenheimer Institutional Money Market Fund, Cl. E 184,405,282 447,034,773 434,975,111 196,464,944
VALUE INCOME ------------ -------- OFI Liquid Assets Fund, LLC $ -- $ 8,428(a) Oppenheimer Institutional Money Market Fund, Cl. E 196,464,944 231,081 ------------ -------- $196,464,944 $239,509 ============ ========
(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 September 30, 2010 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED QUOTED SIGNIFICANT UNOBSERVABLE PRICES OBSERVABLE INPUTS INPUTS VALUE ----------------- ----------------- ------------- -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $ -- $ 112,783,676 $-- $ 112,783,676 Mortgage-Backed Obligations -- 680,985,859 -- 680,985,859 U.S. Government Obligations -- 46,507,511 -- 46,507,511 Corporate Bonds and Notes -- 394,951,691 -- 394,951,691 Common Stocks 4,100 -- -- 4,100 Investment Company 196,464,944 -- -- 196,464,944 ------------ -------------- --- -------------- Total Investments, at Value 196,469,044 1,235,228,737 -- 1,431,697,781 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 101,552 -- 101,552 Futures margins 68,510 -- -- 68,510 ------------ -------------- --- -------------- Total Assets $196,537,554 $1,235,330,289 $-- $1,431,867,843 ------------ -------------- --- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (319,905) $-- $ (319,905) Futures margins (26,106) -- -- (26,106) ------------ -------------- --- -------------- Total Liabilities $ (26,106) $ (319,905) $-- $ (346,011) ------------ -------------- --- --------------
17 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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 SEPTEMBER 30, 2010 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ------------ -------------- U.S. Treasury Long Bonds, 20 yr. Buy 1,052 12/21/10 $140,672,125 $ 74,423 U.S. Treasury Nts., 2 yr. Sell 113 12/31/10 24,801,734 (32,215) U.S. Treasury Nts., 5 yr. Sell 83 12/31/10 10,031,977 (61,288) U.S. Treasury Nts., 10 yr. Buy 407 12/21/10 51,301,078 423,432 U.S. Ultra Treasury Bonds Buy 7 12/21/10 988,968 (4,149) -------- $400,203 ========
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2010 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE UNREALIZED REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION APPRECIATION 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 $(167,986) $(167,986) ------- --------- --------- Total 17,000 (167,986) (167,986) ------- --------- --------- VALE INCO LTD.: Morgan Stanley Capital Services, Inc. Buy 3,660 0.70 3/20/17 42,990 42,990 Morgan Stanley Capital Services, Inc. Buy 3,670 0.63 3/20/17 58,562 58,562 ------- --------- --------- Total 7,330 101,552 101,552 ------- --------- --------- VALE OVERSEAS: Morgan Stanley Capital Services, Inc. Sell 3,660 1.17 3/20/17 (68,393) (68,393) Morgan Stanley Capital Services, Inc. Sell 3,670 1.10 3/20/17 (83,526) (83,526) ------- --------- --------- Total 7,330 (151,919) (151,919) --------- --------- Grand Total Buys 101,552 101,552 Grand Total Sells (319,905) (319,905) --------- --------- Total Credit Default Swaps $(218,353) $(218,353) ========= =========
18 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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 REFERENCE TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PAYMENTS FOR SELLING CREDIT ASSET RATING PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* 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. 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 SEPTEMBER 30, 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 $ 101,552 Credit Default Sell Protection 24,330 (319,905) --------- Total Swaps $(218,353) =========
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. 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. 19 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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 September 30, 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:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $247,978,366 Sold securities 956,929
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. 20 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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 or underlying obligors subsequently default. Information concerning securities in default as of September 30, 2010 is as follows: Cost $2,069,145 Market Value $ 74,403 Market Value as a % of Net Asset 0.01%
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%. 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. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS 21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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. 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. 22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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. As of September 30, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $101,552, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 swaptions, and forward currency exchange contracts for each individual counterparty. As of September 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $218,353 for which the Fund has posted collateral of $275,533. 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 September 30, 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. 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. 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. 23 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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 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 24 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS September 30, 2010 (Unaudited) 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. RESTRICTED SECURITIES As of September 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. 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 September 30, 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 $1,381,454,895 Federal tax cost of other investments 157,728,257 -------------- Total federal tax cost $1,539,183,152 ============== Gross unrealized appreciation $ 61,742,786 Gross unrealized depreciation (11,318,050) -------------- Net unrealized appreciation $ 50,424,736 ==============
25 | 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 09/30/2010, 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: 11/09/2010 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: 11/09/2010 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/09/2010