0000950123-11-054583.txt : 20110527 0000950123-11-054583.hdr.sgml : 20110527 20110526184623 ACCESSION NUMBER: 0000950123-11-054583 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110331 FILED AS OF DATE: 20110527 DATE AS OF CHANGE: 20110526 EFFECTIVENESS DATE: 20110527 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: 11875691 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 g58629nvq.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: 03/31/2011 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- ASSET-BACKED SECURITIES--10.1% Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.89%, 9/17/12 $ 2,147,814 $ 2,150,554 Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 2,680,000 2,670,328 Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.005%, 1/15/15(1, 2) 2,720,000 2,770,223 Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(1) 2,315,000 2,369,701 AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 735,000 745,374 AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13 4,952,652 4,956,514 AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 1,465,000 1,496,841 AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 720,000 725,796 AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 461,283 461,441 AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 988,761 991,365 Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 2,384,931 2,387,672 CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 1,425,000 1,417,138 Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.36%, 7/25/36(2) 2,118,146 2,015,667 Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(1) 745,435 788,758 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.81%, 2/25/33(2) 551,973 477,185 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 487,567 Citibank Omni Master Trust, Credit Card Receivables: Series 2009-A13, Cl. A13, 5.35%, 8/15/18(1) 2,520,000 2,744,198 Series 2009-A17, Cl. A17, 4.90%, 11/15/18(1) 2,520,000 2,697,532 Series 2009-A8, Cl. A8, 2.355%, 5/16/16(1, 2) 4,080,000 4,142,782 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.35%, 10/25/36(2) 23,636 23,614 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 148,260 148,401 CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.055%, 1/20/41(2) 1,945,000 1,950,226
1 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.99%, 2/25/33(2) $ 29,655 $ 28,045 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 3,588,336 3,002,781 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 588,643 477,407 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.37%, 6/25/47(2) 3,020,000 2,798,518 DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 2,440,000 2,440,000 DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(3) 3,420,000 3,418,940 DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(1) 1,183,267 1,191,198 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.34%, 7/25/36(2) 259,694 256,915 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.36%, 6/25/36(2) 184,269 183,326 First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 2,855,000 2,854,914 Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/12(1) 3,075,000 3,076,049 Ford Credit Auto Owner Trust, Automobile Receivable Nts.: Series 2009-E, Cl. A2, 0.80%, 3/15/12 628,973 629,054 Series 2010-A, Cl. A4, 2.15%, 6/15/15 3,980,000 4,040,412 Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.805%, 9/15/14(2) 2,730,000 2,767,772 Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.905%, 12/15/14(1, 2) 2,610,000 2,660,791 Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 2,940,000 2,946,756 GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 1,995,000 2,066,178 GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23(3) 2,715,000 2,729,199 Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(1) 2,900,000 2,940,545 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.514%, 1/20/35(2) 875,449 842,733 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.364%, 3/20/36(2) 267,510 266,672 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.605%, 3/15/16(2) 2,900,000 2,916,746 Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.504%, 6/15/13(1, 2) 3,420,000 3,416,425 Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.90%, 1/26/15(1, 2) 4,540,000 4,571,124 NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29(3, 4) 1,750,658 157,559
2 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 $ 2,700,000 $ 2,702,673 Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.405%, 1/15/15(1, 2) 2,705,000 2,735,608 Option One Mortgage Loan Trust 2007-5, Asset-Backed Certificates, Series 2007-5, Cl. 2A1, 0.34%, 5/25/37(2) 913,654 895,649 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 810,757 736,562 Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 2,715,339 2,717,878 Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 2,950,000 2,921,642 Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(3) 2,855,709 2,857,423 Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 2,475,000 2,477,424 Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 2,700,000 2,698,192 World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 2,755,000 2,811,553 -------------- Total Asset-Backed Securities (Cost $117,062,061) 114,853,540 MORTGAGE-BACKED OBLIGATIONS--72.5% GOVERNMENT AGENCY--58.8% FHLMC/FNMA/FHLB/SPONSORED--58.7% Federal Home Loan Mortgage Corp.: 5.50%, 9/1/39 8,070,957 8,618,121 6%, 5/15/18-10/15/29 2,473,361 2,709,070 6%, 4/1/41(5) 22,030,000 23,933,524 6.50%, 4/15/18-4/1/34 2,742,482 3,032,243 7%, 7/15/21-10/1/37 9,728,579 11,193,790 8%, 4/1/16 213,012 234,922 9%, 4/14/17-5/1/25 69,025 78,673 12.50%, 5/15/14 212 215 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 17,201 19,553 Series 1590, Cl. IA, 1.363%, 10/15/23(2) 2,728,656 2,755,241 Series 2034, Cl. Z, 6.50%, 2/15/28 19,044 21,616 Series 2043, Cl. ZP, 6.50%, 4/15/28 2,543,043 2,622,658 Series 2046, Cl. G, 6.50%, 4/15/28 1,760,224 1,875,522 Series 2053, Cl. Z, 6.50%, 4/15/28 20,009 22,826 Series 2063, Cl. PG, 6.50%, 6/15/28 1,355,883 1,396,669 Series 2145, Cl. MZ, 6.50%, 4/15/29 530,080 607,871 Series 2148, Cl. ZA, 6%, 4/15/29 906,154 974,589 Series 2195, Cl. LH, 6.50%, 10/15/29 1,235,311 1,395,960 Series 2326, Cl. ZP, 6.50%, 6/15/31 378,995 440,313 Series 2341, Cl. FP, 1.155%, 7/15/31(2) 629,163 635,232 Series 2399, Cl. PG, 6%, 1/15/17 523,496 562,779 Series 2423, Cl. MC, 7%, 3/15/32 1,704,857 1,881,731 Series 2453, Cl. BD, 6%, 5/15/17 503,327 540,520
3 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2461, Cl. PZ, 6.50%, 6/15/32 $ 3,125,786 $ 3,460,870 Series 2463, Cl. F, 1.255%, 6/15/32(2) 3,320,786 3,369,545 Series 2500, Cl. FD, 0.755%, 3/15/32(2) 194,719 195,576 Series 2526, Cl. FE, 0.655%, 6/15/29(2) 272,487 273,085 Series 2551, Cl. FD, 0.655%, 1/15/33(2) 597,175 598,553 Series 2638, Cl. KG, 4%, 11/1/27 1,669,903 1,674,714 Series 2648, Cl. JE, 3%, 2/1/30 19,997 19,997 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,898,368 Series 2686, Cl. CD, 4.50%, 2/1/17 916,557 929,066 Series 2907, Cl. GC, 5%, 6/1/27 934,170 942,659 Series 2929, Cl. PC, 5%, 1/1/28 632,231 636,596 Series 2952, Cl. GJ, 4.50%, 12/1/28 247,391 248,891 Series 3019, Cl. MD, 4.75%, 1/1/31 2,097,728 2,148,550 Series 3025, Cl. SJ, 23.815%, 8/15/35(2) 664,959 901,968 Series 3094, Cl. HS, 23.448%, 6/15/34(2) 1,025,993 1,381,596 Series 3242, Cl. QA, 5.50%, 3/1/30 1,617,501 1,652,963 Series 3291, Cl. NA, 5.50%, 10/1/27 384,587 385,286 Series 3306, Cl. PA, 5.50%, 10/1/27 541,770 543,161 Series R001, Cl. AE, 4.375%, 4/1/15 859,411 870,998 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 15.356%, 4/1/27(6) 1,168,060 236,713 Series 192, Cl. IO, 14.37%, 2/1/28(6) 146,839 29,772 Series 206, Cl. IO, 6.556%, 12/1/29(6) 183,978 42,412 Series 2129, Cl. S, 15.125%, 2/15/29(6) 1,473,583 296,118 Series 2130, Cl. SC, 51.717%, 3/15/29(6) 402,162 87,198 Series 2134, Cl. SB, 64.389%, 3/15/29(6) 411,245 87,928 Series 2422, Cl. SJ, 68.524%, 1/15/32(6) 1,716,638 377,654 Series 243, Cl. 6, 5.276%, 12/15/32(6) 1,097,674 240,129 Series 2493, Cl. S, 67.134%, 9/15/29(6) 104,685 20,610 Series 2527, Cl. SG, 0.207%, 2/15/32(6) 808,714 32,197 Series 2531, Cl. ST, 48.622%, 2/15/30(6) 1,394,305 85,221 Series 2601, Cl. GS, 20.251%, 11/15/17(6) 1,932,107 169,095 Series 2796, Cl. SD, 67.963%, 7/15/26(6) 667,195 138,472 Series 2802, Cl. AS, 80.653%, 4/15/33(6) 1,275,490 118,762 Series 2920, Cl. S, 66.357%, 1/15/35(6) 2,491,723 409,977 Series 3005, Cl. WI, 32.588%, 7/15/35(6) 5,540,561 680,678 Series 3110, Cl. SL, 99.999%, 2/15/26(6) 1,056,207 126,197 Series 3451, Cl. SB, 25.903%, 5/15/38(6) 11,644,471 1,325,540 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.967%, 6/1/26(7) 152,865 131,051 Federal National Mortgage Assn.: 3.50%, 4/1/26(5) 35,755,000 35,855,543 4%, 4/1/26-4/1/41(5) 26,475,000 26,176,307 4.50%, 4/1/26-4/1/41(5) 94,995,000 97,175,438 5%, 4/1/41(5) 80,106,000 83,810,903 5.50%, 12/25/18 5,365 5,823
4 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED 5.50%, 4/1/26-4/1/41(5) $104,783,500 $ 112,119,943 6%, 5/25/20-12/1/34 12,153,959 13,370,055 6%, 4/1/40(5) 52,925,000 57,564,194 6.50%, 6/25/17-11/25/31 14,575,366 16,272,623 6.50%, 4/1/41(5) 5,682,000 6,369,170 7%, 9/25/14-4/1/34 6,809,988 7,742,893 7.50%, 1/1/33-8/25/33 6,553,700 7,596,133 8.50%, 7/1/32 22,538 25,673 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 5,620 5,810 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 476,224 523,586 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 390,681 429,785 Trust 1996-35, Cl. Z, 7%, 7/25/26 127,804 141,963 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 829,081 909,287 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,149,643 1,266,183 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,568,084 1,719,695 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 6,113,557 7,389,548 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,618,837 1,825,368 Trust 2002-10, Cl. FB, 0.75%, 3/25/17(2) 159,706 160,934 Trust 2002-16, Cl. PG, 6%, 4/25/17 967,058 1,049,624 Trust 2002-2, Cl. UC, 6%, 2/25/17 564,328 604,187 Trust 2002-56, Cl. FN, 1.25%, 7/25/32(2) 947,412 966,824 Trust 2003-130, Cl. CS, 13.601%, 12/25/33(2) 4,751,091 5,423,453 Trust 2003-21, Cl. FK, 0.65%, 3/25/33(2) 296,645 297,331 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,635,471 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,619,847 2,786,389 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 1,149,914 1,162,542 Trust 2004-9, Cl. AB, 4%, 7/1/17 3,097,098 3,172,382 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 5,073,000 5,559,356 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 10,871,336 Trust 2005-12, Cl. JC, 5%, 6/1/28 2,213,393 2,260,684 Trust 2005-22, Cl. EC, 5%, 10/1/28 839,646 858,753 Trust 2005-30, Cl. CU, 5%, 4/1/29 675,650 694,431 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,737,596 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,339,120 Trust 2006-50, Cl. SK, 23.285%, 6/25/36(2) 1,610,983 2,227,014 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 89,149 89,245 Trust 2009-36, Cl. FA, 1.19%, 6/25/37(2) 4,435,105 4,501,651 Trust 2009-37, Cl. HA, 4%, 4/1/19 5,980,441 6,291,328 Trust 2009-70, Cl. PA, 5%, 8/1/35 5,636,062 5,911,487 Trust 2011-15, Cl. DA, 4%, 3/1/41 2,740,868 2,867,450 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 71.679%, 3/17/31(6) 644,686 120,157 Trust 2001-61, Cl. SE, 46.547%, 11/18/31(6) 916,781 161,420 Trust 2001-65, Cl. S, 52.061%, 11/25/31(6) 2,074,201 350,608 Trust 2001-81, Cl. S, 40.979%, 1/25/32(6) 280,256 50,483 Trust 2002-12, Cl. SB, 64.261%, 7/25/31(6) 447,688 100,984 Trust 2002-2, Cl. SW, 65.66%, 2/25/32(6) 507,779 110,603
5 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-38, Cl. SO, 61.084%, 4/25/32(6) $ 210,039 $ 36,273 Trust 2002-41, Cl. S, 75.168%, 7/25/32(6) 2,095,165 374,630 Trust 2002-47, Cl. NS, 39.38%, 4/25/32(6) 729,486 134,481 Trust 2002-5, Cl. SD, 77.687%, 2/25/32(6) 405,014 79,428 Trust 2002-51, Cl. S, 39.676%, 8/25/32(6) 669,808 123,391 Trust 2002-52, Cl. SD, 45.971%, 9/25/32(6) 837,050 158,841 Trust 2002-60, Cl. SM, 50.073%, 8/25/32(6) 3,015,935 463,722 Trust 2002-60, Cl. SY, 10.75%, 4/25/32(6) 2,649,901 55,333 Trust 2002-7, Cl. SK, 51.599%, 1/25/32(6) 1,790,284 332,997 Trust 2002-75, Cl. SA, 52.083%, 11/25/32(6) 1,620,128 274,743 Trust 2002-77, Cl. BS, 43.441%, 12/18/32(6) 3,239,038 546,241 Trust 2002-77, Cl. IS, 52.874%, 12/18/32(6) 357,844 67,537 Trust 2002-77, Cl. JS, 36.909%, 12/18/32(6) 2,988,901 498,379 Trust 2002-77, Cl. SA, 39.631%, 12/18/32(6) 2,868,707 478,992 Trust 2002-77, Cl. SH, 48.838%, 12/18/32(6) 389,384 73,229 Trust 2002-84, Cl. SA, 54.415%, 12/25/32(6) 409,303 69,557 Trust 2002-89, Cl. S, 73.176%, 1/25/33(6) 3,181,723 637,939 Trust 2002-9, Cl. MS, 40.278%, 3/25/32(6) 23,134 4,313 Trust 2002-90, Cl. SN, 52.63%, 8/25/32(6) 2,744,102 421,962 Trust 2002-90, Cl. SY, 55.76%, 9/25/32(6) 1,301,149 201,932 Trust 2003-14, Cl. OI, 12.444%, 3/25/33(6) 4,584,674 1,024,785 Trust 2003-26, Cl. IK, 11.535%, 4/25/33(6) 1,678,656 353,888 Trust 2003-33, Cl. SP, 51.244%, 5/25/33(6) 2,588,009 431,105 Trust 2003-4, Cl. S, 47.985%, 2/25/33(6) 810,855 144,352 Trust 2003-52, Cl. NS, 69.68%, 6/25/23(6) 12,363,657 1,815,363 Trust 2003-89, Cl. XS, 86.586%, 11/25/32(6) 2,811,442 251,999 Trust 2004-54, Cl. DS, 55.818%, 11/25/30(6) 176,100 29,693 Trust 2004-56, Cl. SE, 21.665%, 10/25/33(6) 3,121,439 538,183 Trust 2005-40, Cl. SA, 67.698%, 5/25/35(6) 1,563,841 289,088 Trust 2005-6, Cl. SE, 86.239%, 2/25/35(6) 2,191,553 324,258 Trust 2005-71, Cl. SA, 71.379%, 8/25/25(6) 2,804,145 409,414 Trust 2005-93, Cl. SI, 19.987%, 10/25/35(6) 2,592,381 361,690 Trust 2006-129, Cl. SM, 16.863%, 1/25/37(6) 9,230,892 1,269,244 Trust 2006-53, Cl. US, 29.159%, 6/25/36(6) 267,279 38,741 Trust 2008-55, Cl. SA, 18.885%, 7/25/38(6) 6,034,572 624,178 Trust 2008-67, Cl. KS, 45.507%, 8/25/34(6) 8,120,103 699,256 Trust 222, Cl. 2, 23.56%, 6/1/23(6) 1,179,393 263,001 Trust 247, Cl. 2, 38.994%, 10/1/23(6) 110,492 22,512 Trust 252, Cl. 2, 35.052%, 11/1/23(6) 1,127,095 221,092 Trust 254, Cl. 2, 28.71%, 1/1/24(6) 2,015,505 392,867 Trust 2682, Cl. TQ, 99.999%, 10/15/33(6) 2,762,281 454,710 Trust 2981, Cl. BS, 99.999%, 5/15/35(6) 4,796,613 758,361 Trust 301, Cl. 2, 3.875%, 4/1/29(6) 676,616 131,994 Trust 303, Cl. IO, 6.69%, 11/1/29(6) 93,328 23,931 Trust 319, Cl. 2, 6.351%, 2/1/32(6) 557,392 121,544
6 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 320, Cl. 2, 11.946%, 4/1/32(6) $ 7,756,734 $ 1,766,986 Trust 321, Cl. 2, 5.759%, 4/1/32(6) 1,497,357 353,736 Trust 324, Cl. 2, 1.881%, 7/1/32(6) 720,098 158,575 Trust 331, Cl. 9, 10.509%, 2/1/33(6) 4,327,851 1,079,154 Trust 334, Cl. 14, 13.942%, 2/1/33(6) 3,788,525 891,442 Trust 334, Cl. 15, 1.861%, 2/1/33(6) 2,723,548 616,468 Trust 334, Cl. 17, 22.322%, 2/1/33(6) 148,680 31,222 Trust 339, Cl. 12, 0.064%, 7/1/33(6) 3,888,152 837,688 Trust 339, Cl. 7, 0%, 7/1/33(6, 8) 4,495,207 910,460 Trust 343, Cl. 13, 4.348%, 9/1/33(6) 3,960,520 835,201 Trust 343, Cl. 18, 12.459%, 5/1/34(6) 2,738,848 476,630 Trust 345, Cl. 9, 0%, 1/1/34(6, 8) 3,084,641 627,742 Trust 351, Cl. 10, 0%, 4/1/34(6, 8) 1,711,745 323,873 Trust 351, Cl. 8, 0%, 4/1/34(6, 8) 2,718,887 513,419 Trust 356, Cl. 10, 0%, 6/1/35(6, 8) 2,243,053 437,780 Trust 356, Cl. 12, 0%, 2/1/35(6, 8) 1,129,548 205,392 Trust 362, Cl. 13, 0%, 8/1/35(6, 8) 2,671,714 584,039 Trust 364, Cl. 16, 0%, 9/1/35(6, 8) 3,988,876 761,420 Trust 365, Cl. 16, 3.152%, 3/1/36(6) 3,032,657 609,460 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.442%, 9/25/23(7) 373,570 327,959 -------------- 666,358,385 GNMA/GUARANTEED--0.1% Government National Mortgage Assn.: 2.625%, 8/8/25-7/1/27(2) 14,865 15,353 8.50%, 8/1/17-12/15/17 106,679 120,632 10.50%, 12/29/17 7,568 8,530 11%, 11/8/19 15,325 17,083 12%, 5/29/14 134 135 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 86.649%, 1/16/27(6) 804,841 134,944 Series 2002-15, Cl. SM, 76.714%, 2/16/32(6) 900,015 156,515 Series 2002-41, Cl. GS, 60.269%, 6/16/32(6) 680,183 138,787 Series 2002-76, Cl. SY, 79.248%, 12/16/26(6) 430,657 77,109 Series 2004-11, Cl. SM, 72.318%, 1/17/30(6) 167,139 34,078 Series 2007-17, Cl. AI, 17.194%, 4/16/37(6) 4,541,387 678,945 -------------- 1,382,111 NON-AGENCY--13.7% COMMERCIAL--9.1% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.17%, 4/14/29(6) 7,701,806 224,653 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 5,435,000 5,605,232 Series 2007-1, Cl. A4, 5.451%, 1/1/49 5,399,000 5,688,849 Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 5,695,000 5,651,248
7 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- COMMERCIAL CONTINUED Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.803%, 6/1/47(2) $ 3,385,784 $ 2,871,306 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/24(1, 6, 8) 1,848,818 84,720 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 1,032,921 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 3,310,000 3,483,743 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/46(1) 3,578,587 3,571,672 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.737%, 9/1/20(1, 6) 28,795,000 2,523,507 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 2,339,821 2,371,951 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,921,682 1,397,398 Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates, Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 635,000 641,502 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 5,000,000 5,384,464 Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 2,465,000 2,485,898 Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.79%, 5/25/35(2) 3,445,159 2,716,613 IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.21%, 11/1/35(2) 4,442,728 3,474,680 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 3,980,000 4,052,511 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(3) 285,000 287,871 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 945,000 997,985 Series 2010-C2, Cl. A2, 3.616%, 11/1/43(1) 4,290,000 4,123,234 Series 2011-C3, Cl. A1, 1.875%, 2/1/46(1) 2,740,000 2,727,862 JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.863%, 4/1/45(2) 6,485,000 6,711,747 JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.738%, 2/1/49(2) 685,000 680,987 JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 3,771,663 3,106,592 LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AM, 5.712%, 3/11/39 150,000 153,617
8 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- COMMERCIAL CONTINUED LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 $ 2,750,000 $ 2,801,756 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30(6, 8) 2,409,272 51,211 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(1) 103,988 78,750 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,315,674 1,349,494 ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.456%, 7/12/46 6,010,000 6,089,737 Morgan Stanley Capital I Trust 207-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.11%, 12/1/49(2) 1,570,000 1,612,981 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/32(6, 8) 29,711,496 103,360 Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, 5.344%, 7/1/37(2) 3,734,195 2,664,083 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 2,186,485 Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 2,965,000 3,149,041 Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-C27, Cl. AM, 5.795%, 7/15/45 4,370,000 4,513,108 WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.67%, 12/1/35(2) 2,265,390 1,969,815 Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/43(1) 2,288,938 2,281,958 Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.121%, 11/1/37(2) 3,273,123 2,609,072 -------------- 103,513,614 MULTIFAMILY--1.3% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 2.861%, 10/1/35(2) 2,095,000 1,798,021 Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.75%, 6/1/36(2) 2,914,916 2,665,699 GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 3,424,585 3,482,261
9 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- MULTIFAMILY CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.772%, 3/1/36(2) $ 4,929,842 $ 4,386,453 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.825%, 3/25/36(2) 2,830,145 2,524,890 -------------- 14,857,324 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 3,778,464 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 46.772%, 10/23/17(6) 793 81 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.063%, 10/23/17(7) 1,173 1,162 -------------- 3,779,707 RESIDENTIAL--3.0% CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.446%, 11/1/35(2) 3,024,188 2,346,303 CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 2,513,400 2,425,948 Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 4,503,541 4,076,518 Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 2,900,329 2,455,385 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 3,228,263 3,159,935 JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 3,267,995 2,965,740 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.833%, 12/25/34(2) 1,414,373 1,415,422 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 489,039 500,738 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 384,229 245,470 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 1,928,515 1,249,166 WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 4.868%, 12/1/36(2) 559,283 440,022 WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.731%, 5/1/37(2) 2,480,274 2,292,778 WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.531%, 6/25/37(2) 1,191,034 964,500
10 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- RESIDENTIAL CONTINUED Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 $ 2,407,300 $ 2,101,757 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.872%, 9/1/34(2) 722,787 704,645 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.759%, 10/1/35(2) 4,162,180 3,891,655 Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.713%, 10/1/36(2) 2,752,051 2,519,760 -------------- 33,755,742 -------------- Total Mortgage-Backed Obligations (Cost $797,170,724) 823,646,883 U.S. GOVERNMENT OBLIGATIONS--3.9% Federal Home Loan Mortgage Corp. Nts.: 1.75%, 9/10/15 2,450,000 2,404,224 5%, 2/16/17 1,510,000 1,688,391 5.25%, 4/18/16 2,650,000 2,998,483 5.50%, 7/18/16 1,510,000 1,727,731 Federal National Mortgage Assn. Nts.: 1.625%, 10/26/15 3,890,000 3,784,313 4.875%, 12/15/16 1,240,000 1,380,622 5%, 3/15/16 1,655,000 1,853,635 U.S. Treasury Bonds: 7.50%, 11/15/16(9) 7,700,000 9,742,910 STRIPS, 3.862%, 2/15/13(10) 1,520,000 1,497,895 U.S. Treasury Nts., 5.125%, 5/15/16 14,830,000 16,874,924 -------------- Total U.S. Government Obligations (Cost $43,992,153) 43,953,128 CORPORATE BONDS AND NOTES--35.5% CONSUMER DISCRETIONARY--4.7% DIVERSIFIED CONSUMER SERVICES--0.3% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 2,880,000 3,081,600 HOTELS, RESTAURANTS & LEISURE--0.7% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(1) 4,300,000 4,449,339 Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 3,081,000 3,430,265 -------------- 7,879,604 HOUSEHOLD DURABLES--0.8% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 2,172,000 2,381,648 Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 2,994,000 2,941,605 Whirlpool Corp.: 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 971,000 1,031,899 8% Sr. Unsec. Nts., 5/1/12 2,270,000 2,418,821 -------------- 8,773,973 LEISURE EQUIPMENT & PRODUCTS--0.5% Mattel, Inc.: 5.625% Sr. Unsec. Nts., 3/15/13 2,640,000 2,822,878
11 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- LEISURE EQUIPMENT & PRODUCTS CONTINUED 6.125% Sr. Unsec. Nts., 6/15/11 $ 2,415,000 $ 2,437,290 -------------- 5,260,168 MEDIA--1.9% Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 1,751,000 2,371,115 DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 4,499,000 4,539,594 Interpublic Group of Cos., Inc. (The), 10% Sr. Unsec. Nts., 7/15/17 2,466,000 2,946,870 Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 2,615,000 3,033,400 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,542,000 1,890,285 Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 1,585,000 1,844,823 Virgin Media Secured Finance plc: 5.25% Sr. Sec. Nts., 1/15/21(1) 1,398,000 1,403,721 6.50% Sr. Sec. Nts., 1/15/18 3,389,000 3,719,428 -------------- 21,749,236 MULTILINE RETAIL--0.2% Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 2,865,000 2,815,731 SPECIALTY RETAIL--0.3% Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 3,480,000 3,480,000 CONSUMER STAPLES--1.2% BEVERAGES--0.3% Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 2,581,000 2,935,888 FOOD & STAPLES RETAILING--0.0% Real Time Data Co., 11% Nts., 5/31/09(3, 4, 11) 476,601 -- FOOD PRODUCTS--0.5% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 980,000 1,038,563 8.50% Sr. Unsec. Nts., 6/15/19 1,455,000 1,728,288 TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 2,810,000 3,034,800 -------------- 5,801,651 TOBACCO--0.4% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 2,075,000 2,952,542 Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 1,602,000 1,786,647 -------------- 4,739,189 ENERGY--3.9% ENERGY EQUIPMENT & SERVICES--0.7% Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 2,221,000 2,206,139 Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 2,415,000 2,498,851 Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 1,841,000 1,846,475 Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 1,885,000 1,872,412 -------------- 8,423,877 OIL, GAS & CONSUMABLE FUELS--3.2% Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 2,710,000 2,967,450 Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 1,073,000 1,127,639
12 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- OIL, GAS & CONSUMABLE FUELS CONTINUED Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 $ 4,875,000 $ 5,221,881 Kinder Morgan Energy Partners LP, 6.50% Sr. Unsec. Unsub. Nts., 9/1/39 2,172,000 2,233,322 Kinder Morgan Finance Co. LLC, 6% Sr. Sec. Nts., 1/15/18(1) 2,817,000 2,922,638 Marathon Petroleum Corp., 6.50% Sr. Unsec. Nts., 3/1/41(1) 2,275,000 2,306,179 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 2,876,000 2,879,742 Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 1,855,000 2,054,413 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(1) 1,530,000 1,648,153 Rockies Express Pipeline LLC: 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(1) 3,301,000 3,266,425 5.625% Sr. Unsec. Unsub. Nts., 4/15/20(1) 1,936,000 1,925,149 Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 2,752,000 3,133,840 Woodside Finance Ltd., 4.50% Nts., 11/10/14(1) 4,231,000 4,480,168 -------------- 36,166,999 FINANCIALS--14.1% CAPITAL MARKETS--2.7% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(1) 4,750,000 4,991,856 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,075,000 2,963,510 Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/21(1, 5) 3,679,000 3,671,826 Macquarie Group Ltd., 4.875% Sr. Unsec. Nts., 8/10/17(1) 2,253,000 2,263,850 Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(1) 1,205,000 1,204,587 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 6,830,000 7,185,672 Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 2,649,000 2,620,521 TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 2,870,000 2,928,620 UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 2,825,000 2,852,021 -------------- 30,682,463 COMMERCIAL BANKS--4.2% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(1) 3,088,000 3,127,502 Barclays Bank plc, 6.278% Perpetual Bonds(14) 4,230,000 3,664,238 BNP Paribas SA, 5.186% Sub. Perpetual Nts.(1, 14) 3,080,000 2,979,900 Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 5,056,000 4,961,200 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 7,580,000 7,333,650 Huntington BancShares, Inc., 7% Sub. Nts., 12/15/20 4,552,000 5,027,233 KeyCorp, 5.10% Sr. Unsec. Unsub. Nts., 3/24/21 2,837,000 2,820,577 Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(1) 2,970,000 2,921,651 Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 2,655,000 2,689,406 SunTrust Banks, Inc., 3.60% Sr. Unsec. Unsub. Nts., 4/15/16 2,825,000 2,807,640 Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(14) 6,055,000 6,660,500 Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 2,698,000 2,929,000 -------------- 47,922,497
13 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- CONSUMER FINANCE--0.4% American Express Bank FSB, 5.55% Sr. Unsec. Nts., 10/17/12 $ 2,717,000 $ 2,878,697 SLM Corp., 6.25% Sr. Nts., 1/25/16 1,388,000 1,448,489 -------------- 4,327,186 DIVERSIFIED FINANCIAL SERVICES--2.5% Bank of America Corp., 5.875% Sr. Unsec. Unsub. Nts., 1/5/21 910,000 950,554 Citigroup, Inc.: 5.375% Sr. Unsec. Nts., 8/9/20 3,915,000 4,031,784 6.01% Sr. Unsec. Nts., 1/15/15 2,810,000 3,070,391 Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67(1) 3,210,000 2,856,900 ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(14) 3,220,000 2,994,600 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(14) 8,365,000 9,183,959 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 4,273,000 4,921,240 -------------- 28,009,428 INSURANCE--3.6% American International Group, Inc., 5.85% Sr. Unsec. Nts., Series G, 1/16/18 4,157,000 4,338,303 CNA Financial Corp.: 5.75% Sr. Unsec. Unsub. Nts., 8/15/21 2,178,000 2,230,738 5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 2,810,000 2,902,393 Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(1) 2,685,000 2,817,362 Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 2,755,000 2,818,908 Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(1) 3,700,000 3,236,834 Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 5,710,000 5,395,950 Manulife Financial Corp., 4.90% Sr. Unsec. Unsub. Nts., 9/17/20 3,372,000 3,303,285 Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 3,039,000 3,129,289 Swiss Re Capital I LP, 6.854% Perpetual Bonds(1, 14) 5,571,000 5,473,741 Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 2,819,000 2,803,994 ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(1) 2,774,000 2,794,805 -------------- 41,245,602 REAL ESTATE INVESTMENT TRUSTS--0.7% AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 1,154,000 1,183,117 Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 1,402,000 1,447,579 Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 1,005,000 1,033,601 Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 2,825,000 2,883,511 WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(1) 1,325,000 1,401,670 -------------- 7,949,478 HEALTH CARE--0.9% BIOTECHNOLOGY--0.2% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 2,955,000 2,874,763 HEALTH CARE PROVIDERS & SERVICES--0.4% McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 1,440,000 1,496,272
14 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED Quest Diagnostic, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 $ 3,150,000 $ 3,044,421 -------------- 4,540,693 PHARMACEUTICALS--0.3% Mylan, Inc., 6% Sr. Nts., 11/15/18(1) 3,035,000 3,050,175 INDUSTRIALS--2.7% AEROSPACE & DEFENSE--0.5% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 2,880,000 2,970,000 BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 2,560,000 2,841,600 -------------- 5,811,600 COMMERCIAL SERVICES & SUPPLIES--0.6% Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 2,797,000 3,052,226 R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 2,590,000 2,639,909 Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 1,640,000 1,669,830 -------------- 7,361,965 INDUSTRIAL CONGLOMERATES--1.0% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 2,385,000 2,469,140 5.25% Sr. Unsec. Nts., 10/19/12 578,000 612,841 6.375% Unsec. Sub. Bonds, 11/15/67 4,977,000 5,132,531 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 2,440,000 2,916,549 -------------- 11,131,061 MACHINERY--0.3% SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 2,795,000 3,091,969 PROFESSIONAL SERVICES--0.3% FTI Consulting, Inc., 6.75% Sr. Nts., 10/1/20(1) 2,952,000 3,003,660 INFORMATION TECHNOLOGY--2.3% COMMUNICATIONS EQUIPMENT--0.9% Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 5,311,000 5,499,126 Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 2,109,000 2,089,873 Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 2,675,000 2,778,902 -------------- 10,367,901 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.5% Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 5,350,000 5,265,213 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.4% KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 4,415,000 4,868,050 SOFTWARE--0.5% Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 5,371,000 5,056,329 MATERIALS--2.8% CHEMICALS--1.1% Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 2,111,000 2,201,663 Airgas, Inc., 3.25% Sr. Nts., 10/1/15 2,506,000 2,505,474 Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 2,657,000 3,062,193 CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 2,905,000 3,268,125 Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 1,735,000 1,741,345 -------------- 12,778,800
15 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Principal Amount Value ------------ -------------- CONTAINERS & PACKAGING--0.9% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 $ 2,806,000 $ 3,083,093 Sealed Air Corp.: 6.875% Sr. Unsec. Bonds, 7/15/33(1) 1,265,000 1,261,959 7.875% Sr. Nts., 6/15/17 3,482,000 3,891,703 Sonoco Products Co., 5.75% Sr. Unsec. Unsub. Nts., 11/1/40 1,478,000 1,440,023 -------------- 9,676,778 METALS & MINING--0.8% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 4,209,000 4,645,932 Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 173,000 187,638 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,485,000 1,589,669 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,775,000 1,952,669 7.25% Sr. Unsec. Unsub. Nts., 7/15/12 640,000 684,626 Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/16(1) 52,000 57,582 -------------- 9,118,116 TELECOMMUNICATION SERVICES--1.7% DIVERSIFIED TELECOMMUNICATION SERVICES--1.5% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,574,000 2,600,716 British Telecommunications plc, 9.875% Bonds, 12/15/30 1,796,000 2,489,091 Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 2,450,000 2,657,471 Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 2,881,000 3,125,885 Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 2,620,000 3,026,100 Telus Corp., 8% Nts., 6/1/11 1,362,000 1,378,309 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,690,000 1,775,064 -------------- 17,052,636 WIRELESS TELECOMMUNICATION SERVICES--0.2% American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,975,000 2,227,636 UTILITIES--1.2% ELECTRIC UTILITIES--1.2% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(1) 2,563,000 2,717,613 FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 1,751,000 1,740,128 Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 2,763,000 2,796,653 Northeast Utilities, 7.25% Sr. Unsec. Nts., 4/1/12 2,860,000 3,013,044 Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(1) 3,010,000 3,821,321 -------------- 14,088,759 -------------- Total Corporate Bonds and Notes (Cost $387,702,582) 402,610,674
Shares ------------ COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $ 9) 181 6,067 INVESTMENT COMPANIES--15.3% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (12, 13) 1,871 1,871
16 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited)
Shares Value ------------ -------------- Oppenheimer Institutional Money Market Fund, Cl. E, 0.20% (12, 15) 173,703,938 $ 173,703,938 -------------- Total Investment Companies (Cost $173,705,809) 173,705,809 Total Investments, at Value (Cost $1,519,633,338) 137.3% 1,558,776,101 Liabilities in Excess of Other Assets (37.3) (423,839,098) ------------ -------------- Net Assets 100.0% $1,134,937,003 ============ ==============
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 $127,553,203 or 11.24% of the Fund's net assets as of March 31, 2011. (2.) Represents the current interest rate for a variable or increasing rate security. (3.) Restricted security. The aggregate value of restricted securities as of March 31, 2011 was $9,450,992, which represents 0.83% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATE COST VALUE (DEPRECIATION) -------- --------------- ----------- ---------- -------------- DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15 2/2/11 $ 3,419,594 $3,418,940 $ (654) GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23 3/11/11 2,714,969 2,729,199 14,230 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 281,438 287,871 6,433 NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 8/10/10 1,703,335 157,559 (1,545,776) Real Time Data Co., 11% Nts., 5/31/09 6/30/99-5/31/01 365,810 -- (365,810) Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11 2,855,522 2,857,423 1,901 ----------- ---------- ----------- $11,340,668 $9,450,992 $(1,889,676) =========== ========== ===========
(4.) This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes. (5.) When-issued security or delayed delivery to be delivered and settled after March 31, 2011. See accompanying Notes. (6.) 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 $37,656,694 or 3.32% of the Fund's net assets as of March 31, 2011. (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 $460,172 or 0.04% of the Fund's net assets as of March 31, 2011. (8.) 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. (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 $5,946,971. See accompanying Notes. (10.) Zero coupon bond reflects effective yield on the date of purchase. (11.) Interest or dividend is paid-in-kind, when applicable. (12.) Rate shown is the 7-day yield as of March 31, 2011. (13.) Interest rate is less than 0.0005%. (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. 17 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) (15.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2011, 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, 2010 ADDITIONS REDUCTIONS MARCH 31, 2011 ----------------- ----------- ----------- -------------- Oppenheimer Institutional Money Market Fund, Cl. E 150,910,167 131,547,115 108,753,344 173,703,938
VALUE INCOME ------------ ------- Oppenheimer Institutional Money Market Fund, Cl. E $173,703,938 $76,664
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 or liability (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 or liability). The table below categorizes amounts as of March 31, 2011 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 $ -- $ 114,853,540 $-- $ 114,853,540 Mortgage-Backed Obligations -- 823,646,883 -- 823,646,883 U.S. Government Obligations -- 43,953,128 -- 43,953,128 Corporate Bonds and Notes -- 402,610,674 -- 402,610,674 Common Stocks 6,067 -- -- 6,067 Investment Companies 173,705,809 -- -- 173,705,809 ------------ -------------- --- -------------- Total Investments, at Value 173,711,876 1,385,064,225 -- 1,558,776,101 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 10,291 -- 10,291 Futures margins 78,073 -- -- 78,073 ------------ -------------- --- -------------- Total Assets $173,789,949 $1,385,074,516 $-- $1,558,864,465 ------------ -------------- --- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Futures margins $ (55,048) $ -- $-- $ (55,048) ------------ -------------- --- -------------- Total Liabilities $ (55,048) $ -- $-- $ (55,048) ------------ -------------- --- --------------
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. 18 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) FUTURES CONTRACTS AS OF MARCH 31, 2011 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ------------ -------------- U.S. Treasury Long Bonds, 30 yr. Buy 681 6/21/11 $ 81,847,688 $ 88,214 U.S. Treasury Nts., 2 yr. Sell 635 6/30/11 138,509,375 (14,085) U.S. Treasury Nts., 5 yr. Sell 156 6/30/11 18,219,094 43,798 U.S. Treasury Nts., 10 yr. Sell 681 6/21/11 81,060,281 (125,975) U.S. Treasury Ultra Bonds Buy 35 6/21/11 4,324,688 29,901 --------- $ 21,853 =========
CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 31, 2011 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION UNREALIZED SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE VALUE APPRECIATION ----------------- ---------- -------- ------- ----------- ------- ------------ CDX NORTH AMERICA INVESTMENT GRADE INDEX, VOLUME H, SERIES 7 Morgan Stanley Capital Services, Inc. Sell $17,000 0.75% 12/20/11 $10,291 $10,291
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL TYPE OF REFERENCE ASSET ON WHICH THE PAYMENTS FOR SELLING CREDIT REFERENCE ASSET FUND SOLD PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RATING RANGE** --------------------------------------- --------------------------- ------------------- --------------- Investment Grade Corporate Debt Indexes $17,000,000 $-- BBB+
* 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. 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," observable market inputs other than unadjusted quoted prices 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. 19 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) 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. Swap contracts are valued utilizing price quotations obtained from broker-dealer counterparties or independent pricing services. Values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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. 20 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) As of March 31, 2011, 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 $489,326,095 Sold securities 44,087,385
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 that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2011 is as follows: Cost $2,069,145 Market Value $ 157,559 Market Value as a % of Net Assets 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. 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 21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) 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. 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 March 31, 2011, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $10,291, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. master agreements, which allow the Fund to net unrealized 22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $10,291 as of March 31, 2011. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund. As of March 31, 2011 the Fund has not required certain counterparties to post collateral. 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 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. During the period ended March 31, 2011, the Fund had an ending monthly average market value of $77,446,945 and $236,648,279 on futures contracts purchased and sold, respectively. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. 23 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) 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. For the period ended March 31, 2011, the Fund had ending monthly average notional amounts of $17,000,000 on credit default swaps to sell protection. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 24 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2011 (Unaudited) RESTRICTED SECURITIES As of March 31, 2011, 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 March 31, 2011 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 $1,519,946,848 Federal tax cost of other investments (151,638,227) -------------- Total federal tax cost $1,368,308,621 ============== Gross unrealized appreciation $ 48,006,629 Gross unrealized depreciation (9,145,232) -------------- Net unrealized appreciation $ 38,861,397 ==============
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 03/31/2011, 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: 05/10/2011 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: 05/10/2011 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 05/10/2011 EX-99.CERT 2 g58629exv99wcert.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: 05/10/2011 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: 05/10/2011