0000950123-11-100004.txt : 20111122
0000950123-11-100004.hdr.sgml : 20111122
20111122161056
ACCESSION NUMBER: 0000950123-11-100004
CONFORMED SUBMISSION TYPE: N-Q
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20110930
FILED AS OF DATE: 20111122
DATE AS OF CHANGE: 20111122
EFFECTIVENESS DATE: 20111122
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: 111222058
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
g59882nvq.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: 9/30/2011
================================================================================
ITEM 1. SCHEDULE OF INVESTMENTS.
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
-----------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES-10.3%
AESOP Funding II LLC, Automobile Receivables Nts., Series
2011-1A, Cl. A, 1.85%, 11/20/13(1) $1,460,000 $1,464,324
-----------------------------------------------------------------------------------------------------------
Ally Auto Receivables Trust 2010-4, Automobile Receivables
Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 2,680,000 2,688,237
-----------------------------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-1, Asset-Backed Certificates,
Series 2010-1, Cl. A, 1.979%, 1/15/15(1,2) 1,245,000 1,264,098
-----------------------------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-3, Asset-Backed Certificates,
Series 2010-3, Cl. A, 2.88%, 4/15/15(1) 2,315,000 2,373,800
-----------------------------------------------------------------------------------------------------------
Ally Master Owner Trust, Automobile Receivables Nts., Series
2011-4, Cl. A2, 1%, 9/15/16 3,295,000 3,289,267
-----------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2009-1,
Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3,
3.04%, 10/15/13 429,185 432,883
-----------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2010-3,
Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2,
0.77%, 12/9/13 2,689,506 2,690,292
-----------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-1,
Automobile Receivables-Backed Nts., Series 2011-1, Cl. D,
4.26%, 2/8/17 720,000 730,155
-----------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts.:
Series 2011-2, Cl. A3, 1.61%, 10/8/15 675,000 679,873
Series 2011-2, Cl. D, 4%, 5/8/17 1,440,000 1,459,135
-----------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-4,
Automobile Receivables-Backed Nts., Series 2011-4, Cl. D,
4.08%, 7/10/17 3,995,000 3,988,058
-----------------------------------------------------------------------------------------------------------
AmeriCredit Prime Automobile Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%,
10/8/13 438,383 438,987
-----------------------------------------------------------------------------------------------------------
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed
Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 1,425,000 1,429,528
-----------------------------------------------------------------------------------------------------------
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2006-FRE1, Cl. A2, 0.345%, 7/25/36(2) 1,724,308 1,586,743
-----------------------------------------------------------------------------------------------------------
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A,
Cl. 1, 5.43%, 7/20/15(1) 610,291 645,189
-----------------------------------------------------------------------------------------------------------
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed
Certificates, Series 2003-2, Cl. 2A2, 0.795%, 2/25/33(2) 533,596 494,038
-----------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable
Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 485,459
-----------------------------------------------------------------------------------------------------------
Citibank Omni Master Trust, Credit Card Receivables:
Series 2009-A12, Cl. A12, 3.35%, 8/15/16(1) 2,735,000 2,785,246
Series 2009-A13, Cl. A13, 5.35%, 8/15/18(1) 2,520,000 2,763,780
Series 2009-A17, Cl. A17, 4.90%, 11/15/18(1) 4,340,000 4,729,125
Series 2009-A8, Cl. A8, 2.329%, 5/16/16(1,2) 4,080,000 4,115,370
-----------------------------------------------------------------------------------------------------------
CNH Wholesale Master Note Trust 2011-1, Equipment Nts.,
Series 2011-1, Cl. 1A, 1.029%, 1/20/41(2) 1,945,000 1,950,357
-----------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Asset-Backed Certificates:
Series 2002-4, Cl. A1, 0.975%, 2/25/33(2) 21,468 20,434
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 3,271,567 2,547,856
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 8,284 6,505
-----------------------------------------------------------------------------------------------------------
1 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
----------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed
Certificates, Series 2006-25, Cl. 2A2, 0.355%, 6/25/47(2) $2,968,069 $2,662,222
----------------------------------------------------------------------------------------------------------------
DSC Floorplan Master Owner Trust, Automobile Receivable
Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 2,440,000 2,482,731
----------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2009-1, Automobile Receivable Nts.,
Series 2009-1, Cl. A1, 2.98%, 10/15/15(1) 1,792,115 1,804,968
----------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/15(1) 3,420,000 3,433,321
----------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts.,
Series 2011-2A, Cl. C, 3.05%, 7/15/13(1) 850,000 852,640
----------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-
Through Certificates, Series 2006-FF9, Cl. 2A2, 0.345%, 6/25/36(2) 32,465 32,371
----------------------------------------------------------------------------------------------------------------
First Investors Auto Owner Trust 2011-1, Automobile
Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 2,204,095 2,200,348
----------------------------------------------------------------------------------------------------------------
Ford Credit Auto Lease Trust, Automobile Receivable Nts.,
Series 2010-B, Cl. A2, 0.75%, 10/15/12(1) 2,203,819 2,204,117
----------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Receivable Nts.,
Series 2010-A, Cl. A4, 2.15%, 6/15/15 3,980,000 4,077,044
----------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-
Backed Nts., Series 2009-2, Cl. A, 1.779%, 9/15/14(2) 2,730,000 2,759,960
----------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-
Backed Nts., Series 2010-1, Cl. A, 1.879%, 12/15/14(1,2) 2,610,000 2,648,575
----------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-
Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 2,940,000 2,997,078
----------------------------------------------------------------------------------------------------------------
GE Capital Credit Card Master Note Trust, Asset-Backed Nts.,
Series 2009-2, Cl. A, 3.69%, 7/15/15 1,995,000 2,042,636
----------------------------------------------------------------------------------------------------------------
GE Dealer Floorplan Master Note Trust, Asset-Backed
Securities, Series 2009-2A, Cl. A, 1.757%, 10/20/14(1,2) 915,000 925,057
----------------------------------------------------------------------------------------------------------------
GMAC Mortgage Servicer Advance Funding Ltd., Asset-
Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23(1) 2,715,000 2,743,393
----------------------------------------------------------------------------------------------------------------
Hertz Vehicle Financing LLC, Automobile Receivable Nts.,
Series 2010-1A, Cl. A1, 2.60%, 2/25/15(1) 2,900,000 2,932,713
----------------------------------------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust, Credit Card
Receivables, Series 2003-C7, Cl. C7, 1.579%, 3/15/16(2) 2,900,000 2,913,543
----------------------------------------------------------------------------------------------------------------
Navistar Financial Dealer Note Master Owner Trust, Asset-
Backed Nts., Series 2010-1, Cl. A, 1.885%, 1/26/15(1,2) 4,540,000 4,556,261
----------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligation Pass-
Through Certificates, Series 1999-I, Cl. ECFD, 3.405%,
1/25/29(3,4) 1,750,658 140,053
----------------------------------------------------------------------------------------------------------------
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed
Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 2,700,000 2,712,540
----------------------------------------------------------------------------------------------------------------
Nissan Master Owner Trust, Automobile Receivable Nts.,
Series 2010-AA, Cl. A, 1.379%, 1/15/15(1,2) 2,705,000 2,730,587
----------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust 2007-5, Asset-Backed
Certificates, Series 2007-5, Cl. 2A1, 0.325%, 5/25/37(2) 464,224 456,864
----------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass
-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 754,957 650,734
----------------------------------------------------------------------------------------------------------------
Rental Car Finance Corp., Automobile Receivable Nts., Series
2011-1A, Cl. A1, 2.51%, 2/25/16(1) 2,155,000 2,188,457
----------------------------------------------------------------------------------------------------------------
2 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-2, Automobile
Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 $1,534,275 $ 1,534,923
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-3, Automobile
Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 2,950,000 2,956,128
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-A, Automobile
Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/13(1) 1,989,661 1,993,424
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 2,880,000 2,913,822
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-S1A,
Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%,
5/15/17(4) 3,009,808 2,997,468
----------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-S2A,
Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%,
6/15/17(1) 1,980,866 1,979,281
----------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable
Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 2,700,000 2,707,882
----------------------------------------------------------------------------------------------------------------
Westlake Automobile Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(1) 1,285,000 1,285,475
----------------------------------------------------------------------------------------------------------------
World Financial Network Credit Card Master Note Trust,
Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 2,755,000 2,767,591
-------------
Total Asset-Backed Securities (Cost $121,562,231) 119,342,946
----------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--63.8%
----------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--53.1%
----------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED--53.0%
Federal Home Loan Mortgage Corp.:
5.50%, 9/1/39 7,463,766 8,089,323
6%, 5/15/18-11/1/37 2,135,951 2,350,939
6.50%, 4/15/18-4/1/34 2,329,632 2,553,191
7%, 7/15/21-10/1/37 8,970,852 10,350,224
8%, 4/1/16 173,014 189,783
9%, 4/14/17-5/1/25 60,864 69,075
12.50%, 5/15/14 167 168
----------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 151, Cl. F, 9%, 5/15/21 15,858 18,349
Series 1590, Cl. IA, 1.30%, 10/15/23(2) 2,432,790 2,456,810
Series 2034, Cl. Z, 6.50%, 2/15/28 17,326 19,212
Series 2043, Cl. ZP, 6.50%, 4/15/28 2,387,347 2,776,685
Series 2046, Cl. G, 6.50%, 4/15/28 1,547,993 1,632,711
Series 2053, Cl. Z, 6.50%, 4/15/28 17,663 19,915
Series 2063, Cl. PG, 6.50%, 6/15/28 1,221,796 1,418,472
Series 2145, Cl. MZ, 6.50%, 4/15/29 483,458 548,187
Series 2148, Cl. ZA, 6%, 4/15/29 790,659 845,990
Series 2195, Cl. LH, 6.50%, 10/15/29 1,114,604 1,319,153
Series 2326, Cl. ZP, 6.50%, 6/15/31 330,178 379,365
Series 2341, Cl. FP, 1.129%, 7/15/31(2) 558,143 564,052
Series 2399, Cl. PG, 6%, 1/15/17 423,763 455,388
Series 2423, Cl. MC, 7%, 3/15/32 1,600,505 1,782,725
Series 2453, Cl. BD, 6%, 5/15/17 407,842 437,174
Series 2461, Cl. PZ, 6.50%, 6/15/32 2,812,349 3,220,998
Series 2463, Cl. F, 1.229%, 6/15/32(2) 2,977,183 3,025,747
3 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
-------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Series 2500, Cl. FD, 0.729%, 3/15/32(2) $ 179,309 $ 179,879
Series 2526, Cl. FE, 0.629%, 6/15/29(2) 245,904 247,119
Series 2551, Cl. FD, 0.629%, 1/15/33(2) 529,163 531,178
Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,991,823
Series 2686, Cl. CD, 4.50%, 2/1/17 312,242 313,327
Series 2907, Cl. GC, 5%, 6/1/27 355,113 356,762
Series 2952, Cl. GJ, 4.50%, 12/1/28 5,772 5,772
Series 3019, Cl. MD, 4.75%, 1/1/31 1,346,098 1,362,227
Series 3025, Cl. SJ, 23.91%, 8/15/35(2) 603,849 829,974
Series 3094, Cl. HS, 23.544%, 6/15/34(2) 938,847 1,211,589
Series 3242, Cl. QA, 5.50%, 3/1/30 920,972 930,881
Series 3822, Cl. JA, 5%, 6/1/40 4,984,682 5,448,862
Series 3848, Cl. WL, 4%, 4/1/40 3,724,780 3,950,818
Series R001, Cl. AE, 4.375%, 4/1/15 342,237 343,809
-------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 183, Cl. IO, 15.016%, 4/1/27(5) 1,034,792 195,238
Series 192, Cl. IO, 12.827%, 2/1/28(5) 128,353 26,923
Series 206, Cl. IO, 0%, 12/1/29(5,6) 168,757 39,667
Series 2129, Cl. S, 16.193%, 2/15/29(5) 1,368,578 251,199
Series 2130, Cl. SC, 50.566%, 3/15/29(5) 363,175 75,109
Series 2134, Cl. SB, 61.753%, 3/15/29(5) 369,462 72,849
Series 2422, Cl. SJ, 64.515%, 1/15/32(5) 1,551,754 285,777
Series 243, Cl. 6, 25.34%, 12/15/32(5) 971,765 166,724
Series 2493, Cl. S, 65.887%, 9/15/29(5) 96,352 21,805
Series 2527, Cl. SG, 0%, 2/15/32(5,6) 461,933 8,528
Series 2531, Cl. ST, 45.327%, 2/15/30(5) 945,888 30,426
Series 2601, Cl. GS, 0.612%, 11/15/17(5) 1,510,000 97,085
Series 2796, Cl. SD, 62.927%, 7/15/26(5) 589,900 115,081
Series 2802, Cl. AS, 66.631%, 4/15/33(5) 988,427 75,391
Series 2920, Cl. S, 63.968%, 1/15/35(5) 2,274,570 359,223
Series 3005, Cl. WI, 23.704%, 7/15/35(5) 5,141,115 627,048
Series 3110, Cl. SL, 99.999%, 2/15/26(5) 939,951 125,315
Series 3451, Cl. SB, 26.46%, 5/15/38(5) 10,233,905 1,048,354
-------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 176, Cl. PO, 3.874%, 6/1/26(7) 138,851 127,888
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 10/1/26-10/1/41(8) 111,010,000 117,860,933
5%, 10/1/41(8) 66,471,000 71,508,272
5.50%, 12/25/18 4,575 4,968
5.50%, 10/1/26-10/1/41(8) 54,123,500 58,733,781
6%, 5/25/20 592,654 644,086
6%, 10/1/41(8) 33,555,000 36,810,892
6.50%, 6/25/17-11/25/31 12,676,720 14,169,754
7%, 9/25/14-4/1/34 5,927,659 6,704,299
7.50%, 1/1/33-8/25/33 5,982,544 6,965,497
8.50%, 7/1/32 21,824 24,894
-------------------------------------------------------------------------------------------------------------
4 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
-------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Federal National Mortgage Assn., 15 yr.:
3%, 10/1/26(8) $45,865,000 $47,262,447
3.50%, 10/1/26(8) 22,075,000 23,054,578
4%, 10/1/26(8) 2,985,000 3,146,377
-------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 30 yr., 4%, 10/1/41(8) 60,995,000 63,949,445
-------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Trust 1992-34, Cl. G, 8%, 3/25/22 3,972 4,056
Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 415,614 466,741
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 351,863 395,374
Trust 1996-35, Cl. Z, 7%, 7/25/26 113,176 131,211
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 719,843 808,444
Trust 1998-61, Cl. PL, 6%, 11/25/28 974,384 1,109,828
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,413,021 1,639,790
Trust 1999-60, Cl. PG, 7.50%, 12/25/29 5,528,288 6,730,691
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,441,893 1,692,195
Trust 2002-10, Cl. FB, 0.735%, 3/25/17(2) 136,141 137,061
Trust 2002-16, Cl. PG, 6%, 4/25/17 789,274 862,011
Trust 2002-2, Cl. UC, 6%, 2/25/17 478,463 514,858
Trust 2002-56, Cl. FN, 1.235%, 7/25/32(2) 822,380 842,623
Trust 2003-130, Cl. CS, 13.631%, 12/25/33(2) 4,295,159 5,125,906
Trust 2003-21, Cl. FK, 0.635%, 3/25/33(2) 251,305 252,495
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,665,924
Trust 2004-101, Cl. BG, 5%, 1/25/20 2,143,088 2,296,149
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 269,175 269,590
Trust 2004-9, Cl. AB, 4%, 7/1/17 1,930,623 1,958,977
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 5,073,000 5,642,707
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 11,225,765
Trust 2005-12, Cl. JC, 5%, 6/1/28 1,159,369 1,171,259
Trust 2005-22, Cl. EC, 5%, 10/1/28 464,833 469,937
Trust 2005-30, Cl. CU, 5%, 4/1/29 432,426 439,457
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,990,040
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,376,893
Trust 2006-50, Cl. SK, 23.34%, 6/25/36(2) 1,467,618 2,048,103
Trust 2009-36, Cl. FA, 1.175%, 6/25/37(2) 3,987,559 4,058,161
Trust 2009-37, Cl. HA, 4%, 4/1/19 5,048,711 5,355,984
Trust 2009-70, Cl. PA, 5%, 8/1/35 4,931,231 5,141,121
Trust 2011-15, Cl. DA, 4%, 3/1/41 2,348,549 2,466,145
Trust 2011-3, Cl. KA, 5%, 4/1/40 3,613,820 3,910,069
-------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 68.985%, 3/17/31(5) 588,502 122,870
Trust 2001-61, Cl. SE, 40.672%, 11/18/31(5) 774,865 158,687
Trust 2001-65, Cl. S, 40.125%, 11/25/31(5) 1,738,625 321,988
Trust 2001-81, Cl. S, 33.704%, 1/25/32(5) 236,873 49,553
Trust 2002-12, Cl. SB, 53.001%, 7/25/31(5) 378,387 74,709
Trust 2002-2, Cl. SW, 56.532%, 2/25/32(5) 441,948 83,437
Trust 2002-38, Cl. SO, 57.246%, 4/25/32(5) 187,492 29,423
Trust 2002-41, Cl. S, 67.039%, 7/25/32(5) 1,871,045 373,559
Trust 2002-47, Cl. NS, 34.606%, 4/25/32(5) 640,338 121,752
5 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Trust 2002-5, Cl. SD, 72.217%, 2/25/32(5) $ 361,375 $ 78,040
Trust 2002-51, Cl. S, 34.871%, 8/25/32(5) 587,953 111,776
Trust 2002-52, Cl. SD, 44.078%, 9/25/32(5) 747,196 156,087
Trust 2002-60, Cl. SM, 38.746%, 8/25/32(5) 2,561,252 421,131
Trust 2002-60, Cl. SY, 7.144%, 4/25/32(5) 2,256,695 59,519
Trust 2002-7, Cl. SK, 40.853%, 1/25/32(5) 1,549,105 261,991
Trust 2002-75, Cl. SA, 40.059%, 11/25/32(5) 1,379,725 220,160
Trust 2002-77, Cl. BS, 36.398%, 12/18/32(5) 2,758,412 438,718
Trust 2002-77, Cl. IS, 51.375%, 12/18/32(5) 319,431 58,180
Trust 2002-77, Cl. JS, 31.79%, 12/18/32(5) 2,586,249 407,688
Trust 2002-77, Cl. SA, 32.919%, 12/18/32(5) 2,436,221 385,002
Trust 2002-77, Cl. SH, 44.154%, 12/18/32(5) 334,611 68,445
Trust 2002-84, Cl. SA, 43.581%, 12/25/32(5) 354,180 59,597
Trust 2002-89, Cl. S, 67.962%, 1/25/33(5) 2,875,296 658,743
Trust 2002-9, Cl. MS, 34.865%, 3/25/32(5) 20,135 4,062
Trust 2002-90, Cl. SN, 40.825%, 8/25/32(5) 2,330,400 384,564
Trust 2002-90, Cl. SY, 44.693%, 9/25/32(5) 1,125,917 199,452
Trust 2003-14, Cl. OI, 14.916%, 3/25/33(5) 4,231,250 804,119
Trust 2003-26, Cl. IK, 13.517%, 4/25/33(5) 1,532,397 257,414
Trust 2003-33, Cl. SP, 41.461%, 5/25/33(5) 2,270,569 372,961
Trust 2003-4, Cl. S, 37.833%, 2/25/33(5) 697,529 116,868
Trust 2003-52, Cl. NS, 58.242%, 6/25/23(5) 10,454,135 1,407,532
Trust 2003-89, Cl. XS, 33.397%, 11/25/32(5) 2,057,502 92,500
Trust 2004-54, Cl. DS, 55.281%, 11/25/30(5) 160,592 34,404
Trust 2004-56, Cl. SE, 16.40%, 10/25/33(5) 2,759,778 407,911
Trust 2005-40, Cl. SA, 62.858%, 5/25/35(5) 1,393,896 220,402
Trust 2005-6, Cl. SE, 77.111%, 2/25/35(5) 1,952,575 317,569
Trust 2005-71, Cl. SA, 64.987%, 8/25/25(5) 2,482,117 375,849
Trust 2005-93, Cl. SI, 16.972%, 10/25/35(5) 2,348,987 313,768
Trust 2006-129, Cl. SM, 33.302%, 1/25/37(5) 7,945,591 1,055,375
Trust 2006-53, Cl. US, 22.455%, 6/25/36(5) 229,334 31,073
Trust 2008-55, Cl. SA, 27.31%, 7/25/38(5) 5,452,328 610,378
Trust 2008-67, Cl. KS, 41.65%, 8/25/34(5) 6,690,359 458,945
Trust 222, Cl. 2, 26.353%, 6/1/23(5) 1,062,211 159,387
Trust 247, Cl. 2, 44.66%, 10/1/23(5) 102,312 19,481
Trust 252, Cl. 2, 36.124%, 11/1/23(5) 1,016,639 182,815
Trust 254, Cl. 2, 30.316%, 1/1/24(5) 1,835,538 344,113
Trust 2682, Cl. TQ, 99.999%, 10/15/33(5) 2,525,148 548,363
Trust 2981, Cl. BS, 99.999%, 5/15/35(5) 4,442,459 870,086
Trust 301, Cl. 2, 2.219%, 4/1/29(5) 581,440 115,466
Trust 303, Cl. IO, 7.046%, 11/1/29(5) 84,864 19,270
Trust 319, Cl. 2, 4.949%, 2/1/32(5) 485,129 96,328
Trust 320, Cl. 2, 13.149%, 4/1/32(5) 6,924,080 1,088,712
Trust 321, Cl. 2, 4.65%, 4/1/32(5) 1,314,370 247,901
Trust 324, Cl. 2, 0.491%, 7/1/32(5) 625,065 117,987
6 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
---------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Trust 331, Cl. 9, 27.963%, 2/1/33(5) $ 3,975,243 $ 745,041
Trust 334, Cl. 14, 31.441%, 2/1/33(5) 3,507,390 679,934
Trust 334, Cl. 15, 25.623%, 2/1/33(5) 2,516,847 449,387
Trust 334, Cl. 17, 40.516%, 2/1/33(5) 136,367 31,692
Trust 339, Cl. 12, 0%, 7/1/33(5,6) 3,496,502 603,162
Trust 339, Cl. 7, 0%, 7/1/33(5,6) 4,021,648 582,717
Trust 343, Cl. 13, 11.959%, 9/1/33(5) 3,662,212 564,934
Trust 343, Cl. 18, 17.794%, 5/1/34(5) 2,482,155 364,326
Trust 345, Cl. 9, 14.968%, 1/1/34(5) 2,512,512 323,681
Trust 351, Cl. 10, 4.743%, 4/1/34(5) 1,558,177 232,632
Trust 351, Cl. 8, 2.811%, 4/1/34(5) 2,472,402 372,189
Trust 356, Cl. 10, 0%, 6/1/35(5,6) 2,025,624 293,670
Trust 356, Cl. 12, 0%, 2/1/35(5,6) 1,014,926 149,208
Trust 362, Cl. 13, 4.064%, 8/1/35(5) 2,418,215 375,355
Trust 364, Cl. 16, 0.442%, 9/1/35(5) 3,558,789 537,040
Trust 365, Cl. 16, 7.207%, 3/1/36(5) 2,712,337 418,726
---------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal -Only Stripped
Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.162%, 9/25/23(7) 335,832 292,150
------------
616,029,028
---------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.1%
Government National Mortgage Assn.:
2.625%, 8/8/25-7/1/27(2) 14,216 14,762
8.50%, 8/1/17-12/15/17 94,086 106,325
10.50%, 12/29/17 7,139 8,157
11%, 11/8/19 13,537 15,136
12%, 5/29/14 106 107
---------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 2001-21, Cl. SB, 92.952%, 1/16/27(5) 743,064 150,805
Series 2002-15, Cl. SM, 81.671%, 2/16/32(5) 834,406 176,516
Series 2002-41, Cl. GS, 57.143%, 6/16/32(5) 619,341 144,552
Series 2002-76, Cl. SY, 82.743%, 12/16/26(5) 393,770 70,628
Series 2004-11, Cl. SM, 77.141%, 1/17/30(5) 160,196 42,242
Series 2007-17, Cl. AI, 20.251%, 4/16/37(5) 4,206,398 757,531
------------
1,486,761
---------------------------------------------------------------------------------------------------
NON-AGENCY--10.7%
---------------------------------------------------------------------------------------------------
COMMERCIAL--6.5%
Asset Securitization Corp., Commercial
Interest-Only Stripped Mtg.-Backed
Security, Series 1997-D4, Cl. PS1, 0%, 4/14/29(5,6) 6,441,891 165,830
---------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage
Trust 2007-1, Commercial Mtg. Pass-
Through Certificates, Series 2007-1,
Cl. A4, 5.451%, 1/1/49 5,399,000 5,780,677
---------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2007-4, Mtg. Pass-
Through Certificates, Series 2007-4,
Cl. 22A1, 5.705%, 6/1/47(2) 3,132,782 2,391,957
---------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP,
Interest-Only Corporate-Backed Pass-
Through Certificates, Series 1997-CTL1, 0%,
6/22/24(1,5,6) 1,164,543 57,645
---------------------------------------------------------------------------------------------------
7 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------
COMMERCIAL CONTINUED
--------------------------------------------------------------------------------------------------------------
CFCRE Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates, Series
2011-C1, Cl. A1, 1.871%, 4/1/44(1) $ 857,072 $ 846,436
--------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-
Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 1,276,676 1,036,638
--------------------------------------------------------------------------------------------------------------
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercia
l Mortgage Trust, Commercial Mtg. Pass-Through Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 1,010,000 1,017,748
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 3,310,000 3,425,622
--------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving,
Commercial Mtg. Pass-Through Certificates,
Series 2010-C1, Cl. A1, 3.156%, 7/1/46(1) 3,541,546 3,582,893
--------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving, Commercial
Mtg. Pass-Through Certificates, Interest-Only
Stripped Mtg.-Backed Security, Series 2010-C1,
Cl. XPA, 4.852%, 9/1/20(1,5) 28,595,544 2,245,108
--------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities
Trust 2004-FA2, Mtg. Pass-Through Certificates,
Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 2,282,116 2,230,848
--------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities
Trust 2007-FA2, Mtg. Pass-Through
Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,844,580 1,228,705
--------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial
Mtg. Obligations, Series 2011-GC3, Cl.
A1, 2.331%, 3/1/44 2,254,486 2,287,576
--------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-
Through Certificates, Series 2005-AR4, Cl.
6A1, 5.25%, 7/1/35 2,434,053 2,344,221
--------------------------------------------------------------------------------------------------------------
Impac CMB Trust Series 2005-4, Collateralized
Asset-Backed Bonds, Series 2005-4, Cl. 1A1A,
0.775%, 5/25/35(2) 3,296,428 2,339,129
--------------------------------------------------------------------------------------------------------------
IndyMac Index Mortgage Loan Trust 2005-AR23,
Mtg. Pass-Through Certificates, Series 2005-AR23,
Cl. 6A1, 5.128%, 11/1/35(2) 4,105,351 2,881,677
--------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 3,980,000 4,082,163
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(4) 285,000 286,197
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 945,000 983,767
Series 2010-C2, Cl. A2, 3.616%, 11/1/43(1) 4,290,000 4,207,894
Series 2011-C3, Cl. A1, 1.875%, 2/1/46(1) 2,543,813 2,556,018
--------------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 3,516,461 3,188,836
--------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial
Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 2,166,248 2,174,718
--------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust,
Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1,
Cl. IO, 0%, 2/18/30(5,6) 2,213,942 43,304
--------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., Commercial Mtg. Pass-
Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(1) 93,359 76,652
--------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through
Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,220,257 1,253,731
--------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only
Commercial Mtg. Pass-Through Certificates, Series 1999-C1,
Cl. X, 0%, 5/18/32(5,6) 28,733,545 78,270
--------------------------------------------------------------------------------------------------------------
8 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------
COMMERCIAL CONTINUED
--------------------------------------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-
Through Certificates, Series 2007-6, Cl. 3A1, 5.164%, 7/1/37(2) $ 3,614,494 $2,196,551
--------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C28,
Commercial Mtg. Pass-Through Certificates, Series 2006-C28,
Cl. A4, 5.572%, 10/1/48 5,215,000 5,554,609
--------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29,
Commercial Mtg. Pass-Through Certificates, Series 2006-C29,
Cl. A2, 5.275%, 11/15/48 1,691,851 1,689,902
--------------------------------------------------------------------------------------------------------------
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 3,161,934
--------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust,
Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4,
2.612%, 12/1/35(2) 2,136,189 1,748,419
--------------------------------------------------------------------------------------------------------------
Wells Fargo Commercial Mortgage Trust 2010-C1,
Commercial Mtg. Pass-Through Certificates, Series 2010-C1,
Cl. A1, 3.349%, 11/1/43(1) 2,216,945 2,281,670
--------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg.
Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.789%,
4/1/37(2) 1,241,148 1,043,713
--------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.068%,
11/1/37(2) 2,965,969 2,291,548
--------------------------------------------------------------------------------------------------------------
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only
Commercial Mtg. Pass-Through Certificates, Series 2011-C3,
Cl. XA, 7.245%, 3/1/44(5) 28,826,879 2,637,083
----------
75,399,689
--------------------------------------------------------------------------------------------------------------
MULTIFAMILY--1.0%
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through
Certificates, Series 2005-10, Cl. A3, 2.727%, 10/1/35(2) 2,094,998 1,736,326
--------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-
Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.681%,
6/1/36(2) 2,659,057 2,309,867
--------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg.
Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38
382,841 382,545
--------------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through
Certificates, Series 2007-A3, Cl. 3A2M, 5.454%, 5/1/37(2) 614,421 515,439
--------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.731%,
3/1/36(2) 4,606,527 3,887,839
--------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.795%,
3/25/36(2) 2,634,786 2,127,783
----------
10,959,799
--------------------------------------------------------------------------------------------------------------
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 3,711,252
--------------------------------------------------------------------------------------------------------------
9 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------
OTHER CONTINUED
--------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only
Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 62.752%,
10/23/17(5) $ 645 $ 67
--------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only
Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 0.939%,
10/23/17(7) 955 937
----------
3,712,256
--------------------------------------------------------------------------------------------------------------
RESIDENTIAL--2.9%
Banc of America Funding 2007-C Trust, Mtg. Pass-Through
Certificates, Series 2007-C, Cl. 1A4, 5.563%, 5/1/36(2) 945,000 847,328
--------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-
Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 1,113,061 972,871
--------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-
Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.363%,
11/1/35(2) 2,885,686 2,029,008
--------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through
Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 2,059,739 1,949,433
---------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-
Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 4,216,020 3,554,372
--------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-
Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 2,704,563 2,197,063
--------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-
Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 2,385,077 1,794,941
--------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through
Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 2,552,554 2,514,104
--------------------------------------------------------------------------------------------------------------
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through
Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 3,200,850 2,808,086
--------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through
Certificates, Series 2005-A1, Cl. 2A1, 2.694%, 12/25/34(2) 1,285,383 1,179,230
--------------------------------------------------------------------------------------------------------------
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 423,722 437,502
--------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 344,870 204,054
--------------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 1,792,702 1,080,163
--------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-
Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 740,870 596,640
--------------------------------------------------------------------------------------------------------------
Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-
Through Certificates, Series 2006-6, Cl. A2, 0.385%,
11/25/46(2) 2,702,829 2,667,254
--------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1,
2.665%, 12/1/36(2) 538,809 344,294
--------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1,
5.591%, 5/1/37(2) 2,406,413 2,004,822
--------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1,
5.401%, 6/25/37(2) 1,104,143 856,568
--------------------------------------------------------------------------------------------------------------
10 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 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 $ 2,257,848 $ 1,871,100
---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg.
Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.624%,
9/1/34(2) 650,994 614,800
---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg.
Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%,
10/25/35 1,302,836 1,258,854
---------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2,
5.684%, 10/1/36(2) 2,452,630 2,109,778
-----------
33,892,265
-----------
Total Mortgage-Backed Obligations (Cost $724,876,728) 741,479,798
---------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--3.9%
Federal Home Loan Mortgage Corp. Nts.:
2%, 8/25/16 930,000 964,841
2.50%, 5/27/16 1,325,000 1,405,865
5%, 2/16/17 1,510,000 1,789,172
5.25%, 4/18/16 2,650,000 3,133,479
5.50%, 7/18/16 1,510,000 1,813,718
---------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts.:
2.375%, 4/11/16 2,525,000 2,666,610
4.875%, 12/15/16 2,145,000 2,524,892
5%, 3/15/16 1,655,000 1,936,444
---------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
7.50%, 11/15/16(9) 7,700,000 10,218,139
STRIPS, 3.862%, 2/15/13(10) 1,520,000 1,515,936
---------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 5.125%, 5/15/16 14,830,000 17,714,895
-----------
Total U.S. Government Obligations (Cost $43,087,365) 45,683,991
---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--32.5%
---------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--4.6%
---------------------------------------------------------------------------------------------------------------
AUTOMOBILES-0.2%
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts.,
9/15/14(1) 2,094,000 2,068,968
---------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.3%
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 2,880,000 3,009,600
---------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--0.7%
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(1) 4,300,000 4,588,874
---------------------------------------------------------------------------------------------------------------
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts.,
6/15/16 3,081,000 3,465,309
-----------
8,054,183
---------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.6%
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 702,000 778,164
---------------------------------------------------------------------------------------------------------------
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 2,660,000 2,813,737
---------------------------------------------------------------------------------------------------------------
Whirlpool Corp.:
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 971,000 1,015,461
11 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES CONTINUED
8% Sr. Unsec. Nts., 5/1/12 $ 2,270,000 $2,357,690
----------
6,965,052
--------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.2%
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 2,640,000 2,801,938
--------------------------------------------------------------------------------------------------------------
MEDIA--2.0%
Comcast Cable Communications Holdings, Inc., 9.455% Sr.
Unsec. Nts., 11/15/22 1,751,000 2,534,966
--------------------------------------------------------------------------------------------------------------
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375%
Sr. Unsec. Nts., 3/1/41 2,198,000 2,474,174
--------------------------------------------------------------------------------------------------------------
Historic TW, Inc., 9.125% Debs., 1/15/13 922,000 1,007,717
--------------------------------------------------------------------------------------------------------------
Interpublic Group of Cos., Inc. (The):
6.25% Sr. Unsec. Nts., 11/15/14 984,000 1,043,040
10% Sr. Unsec. Nts., 7/15/17 3,281,000 3,748,543
--------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 2,615,000 2,896,113
--------------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,542,000 2,020,726
--------------------------------------------------------------------------------------------------------------
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 1,630,000 2,067,355
--------------------------------------------------------------------------------------------------------------
Virgin Media Secured Finance plc:
5.25% Sr. Sec. Nts., 1/15/21 1,398,000 1,509,292
6.50% Sr. Sec. Nts., 1/15/18 3,389,000 3,617,758
----------
22,919,684
--------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.4%
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 1,535,000 1,508,655
--------------------------------------------------------------------------------------------------------------
Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 3,519,000 3,762,564
----------
5,271,219
--------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.2%
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 2,889,000 2,787,885
--------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--2.1%
--------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.4%
Kroger Co.(The), 5% Sr. Nts., 4/15/13 2,677,000 2,814,866
--------------------------------------------------------------------------------------------------------------
Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 1,686,000 2,091,357
----------
4,906,223
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.7%
Bunge Ltd. Finance Corp.:
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 980,000 1,035,235
8.50% Sr. Unsec. Nts., 6/15/19 1,455,000 1,817,569
--------------------------------------------------------------------------------------------------------------
Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 2,601,000 2,756,314
--------------------------------------------------------------------------------------------------------------
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 2,810,000 2,915,375
----------
8,524,493
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.3%
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/21(1) 2,866,000 3,075,969
--------------------------------------------------------------------------------------------------------------
TOBACCO--0.7%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 2,105,000 3,066,461
--------------------------------------------------------------------------------------------------------------
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 1,831,000 1,954,007
--------------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 2,591,000 2,828,128
----------
7,848,596
--------------------------------------------------------------------------------------------------------------
ENERGY--4.0%
--------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--1.1%
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 3,157,000 3,228,490
--------------------------------------------------------------------------------------------------------------
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 3,491,000 3,901,608
--------------------------------------------------------------------------------------------------------------
12 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
-----------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES CONTINUED
-----------------------------------------------------------------------------------------------------------------------------------
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 $ 2,921,000 $3,033,009
-----------------------------------------------------------------------------------------------------------------------------------
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 2,929,000 2,990,216
----------
13,153,323
-----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS--2.9%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 1,718,000 1,799,059
-----------------------------------------------------------------------------------------------------------------------------------
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(1) 2,537,000 2,715,907
-----------------------------------------------------------------------------------------------------------------------------------
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 2,710,000 2,825,175
-----------------------------------------------------------------------------------------------------------------------------------
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 3,969,000 4,394,251
-----------------------------------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 4,797,000 5,102,065
-----------------------------------------------------------------------------------------------------------------------------------
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 2,876,000 2,942,763
-----------------------------------------------------------------------------------------------------------------------------------
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 2,595,000 2,854,500
-----------------------------------------------------------------------------------------------------------------------------------
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(1) 1,530,000 1,671,525
-----------------------------------------------------------------------------------------------------------------------------------
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(1) 4,653,000 4,775,197
-----------------------------------------------------------------------------------------------------------------------------------
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 2,604,000 2,657,658
-----------------------------------------------------------------------------------------------------------------------------------
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/21(1) 1,952,000 2,023,391
----------
33,761,491
-----------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--11.0%
-----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--2.3%
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(1) 4,750,000 5,155,042
-----------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 2,839,000 2,583,433
-----------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 5.25% Sr. Unsec. Nts., 7/27/21 887,000 877,960
-----------------------------------------------------------------------------------------------------------------------------------
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/21(1) 3,794,000 3,575,098
-----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley: 1,205,000 1,094,640
5.50% Sr. Unsec. Unsub. Nts., 7/24/20(1)
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 6,830,000 6,589,994
-----------------------------------------------------------------------------------------------------------------------------------
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 2,649,000 2,692,309
-----------------------------------------------------------------------------------------------------------------------------------
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 2,870,000 2,914,763
-----------------------------------------------------------------------------------------------------------------------------------
UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 1,120,000 1,100,531
-----------------------------------------------------------------------------------------------------------------------------------
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.(11) 624,000 469,560
----------
27,053,330
-----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.4%
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(1) 3,088,000 3,107,176
-----------------------------------------------------------------------------------------------------------------------------------
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 5,147,000 4,915,900
-----------------------------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(2) 6,470,000 5,402,450
-----------------------------------------------------------------------------------------------------------------------------------
Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 869,000 986,576
-----------------------------------------------------------------------------------------------------------------------------------
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(1) 2,217,000 1,889,292
-----------------------------------------------------------------------------------------------------------------------------------
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 1,818,000 1,887,588
-----------------------------------------------------------------------------------------------------------------------------------
13 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
-------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS CONTINUED
-------------------------------------------------------------------------------------------------------------------------------
Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds, 1/29/49(1) $ 700,000 $ 592,297
-------------------------------------------------------------------------------------------------------------------------------
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 2,782,000 2,891,525
-------------------------------------------------------------------------------------------------------------------------------
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(11) 2,162,000 2,237,670
-------------------------------------------------------------------------------------------------------------------------------
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 3,687,000 3,891,120
----------
27,801,594
-------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.7%
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 2,690,000 2,841,127
-------------------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 1,454,000 1,461,370
-------------------------------------------------------------------------------------------------------------------------------
SLM Corp., 6.25% Sr. Nts., 1/25/16 3,807,000 3,742,254
----------
8,044,751
-------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--1.6%
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 4,949,000 5,299,196
-------------------------------------------------------------------------------------------------------------------------------
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67(1,2) 3,210,000 2,263,050
-------------------------------------------------------------------------------------------------------------------------------
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(11) 3,220,000 2,374,750
-------------------------------------------------------------------------------------------------------------------------------
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(1) 1,900,000 1,644,152
-------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(11) 5,103,000 5,273,313
-------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 2,048,000 1,911,702
----------
18,766,163
-------------------------------------------------------------------------------------------------------------------------------
INSURANCE--3.0%
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 744,000 880,980
-------------------------------------------------------------------------------------------------------------------------------
CNA Financial Corp.: 2,178,000 2,204,959
5.75% Sr. Unsec. Unsub. Nts., 8/15/21
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 1,534,000 1,580,959
-------------------------------------------------------------------------------------------------------------------------------
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(1) 2,685,000 2,753,825
-------------------------------------------------------------------------------------------------------------------------------
Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 2,570,000 2,573,066
-------------------------------------------------------------------------------------------------------------------------------
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 2,689,000 2,393,761
-------------------------------------------------------------------------------------------------------------------------------
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(1) 4,065,000 3,874,734
-------------------------------------------------------------------------------------------------------------------------------
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 5,710,000 4,667,925
-------------------------------------------------------------------------------------------------------------------------------
Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 3,039,000 3,090,672
-------------------------------------------------------------------------------------------------------------------------------
Swiss Re Capital I LP, 6.854% Perpetual Bonds(1,11) 5,448,000 4,984,942
-------------------------------------------------------------------------------------------------------------------------------
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 2,819,000 2,870,182
-------------------------------------------------------------------------------------------------------------------------------
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(2,4) 3,030,000 2,636,100
----------
34,512,105
-------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS--1.0%
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 1,402,000 1,421,736
-------------------------------------------------------------------------------------------------------------------------------
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 642,000 653,197
-------------------------------------------------------------------------------------------------------------------------------
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 2,546,000 2,659,814
-------------------------------------------------------------------------------------------------------------------------------
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 1,005,000 1,014,497
-------------------------------------------------------------------------------------------------------------------------------
Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 2,825,000 2,846,984
-------------------------------------------------------------------------------------------------------------------------------
14 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS CONTINUED
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(1) $ 2,718,000 $2,802,755
----------
11,398,983
------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--0.7%
------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.2%
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 1,783,000 2,015,585
------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--0.3%
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 1,440,000 1,830,059
------------------------------------------------------------------------------------------------------------------------------
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 1,763,000 1,917,638
----------
3,747,697
------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.2%
Mylan, Inc., 6% Sr. Nts., 11/15/18(1) 3,035,000 2,966,713
------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.5%
------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.5%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 2,880,000 2,901,600
------------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 2,560,000 2,752,000
----------
5,653,600
------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.2%
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 2,797,000 2,968,316
------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.7%
General Electric Capital Corp.: 2,385,000 2,426,225
4.25% Sr. Unsec. Nts., Series A, 6/15/12
5.25% Sr. Unsec. Nts., 10/19/12 578,000 604,361
6.375% Unsec. Sub. Bonds, 11/15/67 5,013,000 4,724,753
----------
7,755,339
------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1%
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 754,000 868,770
------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--2.0%
------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.4%
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 851,000 999,335
------------------------------------------------------------------------------------------------------------------------------
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 1,100,000 1,213,500
------------------------------------------------------------------------------------------------------------------------------
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 2,675,000 2,688,463
----------
4,901,298
------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.4%
Hewlett-Packard Co., 2.35% Sr. Unsec. Unsub. Nts., 3/15/15 5,246,000 5,268,820
------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.5%
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 5,350,000 5,303,070
------------------------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS--0.2%
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 2,655,000 2,811,178
------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 1,870,000 2,141,803
------------------------------------------------------------------------------------------------------------------------------
SOFTWARE--0.3%
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 3,163,000 3,097,333
------------------------------------------------------------------------------------------------------------------------------
MATERIALS--2.3%
------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.0%
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 1,219,000 1,498,806
------------------------------------------------------------------------------------------------------------------------------
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 5,050,000 5,210,787
------------------------------------------------------------------------------------------------------------------------------
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 2,657,000 2,952,591
------------------------------------------------------------------------------------------------------------------------------
15 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS CONTINUED
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 $ 1,735,000 $2,047,909
----------
11,710,093
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--0.2%
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 2,257,000 2,375,795
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--1.1%
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 4,209,000 4,519,123
--------------------------------------------------------------------------------------------------------------------------------
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 2,553,000 2,676,358
--------------------------------------------------------------------------------------------------------------------------------
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 173,000 191,572
--------------------------------------------------------------------------------------------------------------------------------
Xstrata Canada Corp.: 1,485,000 1,616,501
5.375% Sr. Unsec. Unsub. Nts., 6/1/15
6% Sr. Unsec. Unsub. Nts., 10/15/15 2,214,000 2,441,398
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 640,000 667,786
--------------------------------------------------------------------------------------------------------------------------------
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/16(1) 52,000 57,275
----------
12,170,013
--------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--1.8%
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES-1.2%
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,257,000 2,600,687
--------------------------------------------------------------------------------------------------------------------------------
British Telecommunications plc, 9.875% Bonds, 12/15/30 1,796,000 2,610,026
--------------------------------------------------------------------------------------------------------------------------------
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 971,000 877,491
--------------------------------------------------------------------------------------------------------------------------------
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 2,881,000 2,808,975
--------------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 2,675,000 2,875,625
--------------------------------------------------------------------------------------------------------------------------------
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,690,000 2,083,968
----------
13,856,772
--------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--0.6%
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 4,645,000 4,538,165
--------------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,975,000 2,237,788
----------
6,775,953
--------------------------------------------------------------------------------------------------------------------------------
UTILITIES--2.5%
--------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--2.2%
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(1) 2,716,000 2,811,658
--------------------------------------------------------------------------------------------------------------------------------
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 2,049,000 2,080,868
--------------------------------------------------------------------------------------------------------------------------------
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 1,751,000 1,924,876
--------------------------------------------------------------------------------------------------------------------------------
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 2,763,000 2,812,173
--------------------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 2,337,000 2,405,743
--------------------------------------------------------------------------------------------------------------------------------
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 2,860,000 2,942,331
--------------------------------------------------------------------------------------------------------------------------------
Oncor Electric Delivery Co., 7% Debs., 9/1/22 2,389,000 3,021,184
--------------------------------------------------------------------------------------------------------------------------------
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(1) 3,856,000 4,120,865
--------------------------------------------------------------------------------------------------------------------------------
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(1) 3,010,000 3,961,858
----------
26,081,556
--------------------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--0.3%
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 2,622,000 2,838,294
-----------
Total Corporate Bonds and Notes (Cost $372,642,617) 378,033,548
16 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value
-----------------------------------------------------------------------------------
INVESTMENT COMPANY-24.5%
Oppenheimer Institutional Money Market Fund,
Cl. E, 0.16%(12,13) (Cost $285,236,478) 285,236,478 $285,236,478
-----------------------------------------------------------------------------------
Total Investments, at Value (Cost $1,547,405,419) 135.0% 1,569,776,761
-----------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (35.0) (407,083,033)
------------------------------
NET ASSETS 100.0% $1,162,693,728
==============================
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 $136,848,720 or 11.77% of the Fund's net
assets as of September 30, 2011.
2. Represents the current interest rate for a variable or increasing rate
security.
3. 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.
4. Restricted security. The aggregate value of restricted securities as of
September 30, 2011 was $6,059,818, which represents 0.52% 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 7/14/10 $ 281,438 $ 286,197 $ 4,759
Corp., Commercial Mtg. Pass-Through Certificates,
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49
NC Finance Trust, Collateralized Mtg. Obligation Pass- 8/10/10 1,703,335 140,053 (1,563,282)
Through Certificates, Series 1999-I, Cl. ECFD, 3.405%,
1/25/29
Santander Drive Auto Receivables Trust 2011-S1A, 2/4/11-4/14/11 3,014,052 2,997,468 (16,584)
Automobile Receivables Nts., Series 2011-S1A, Cl. D,
3.10%, 5/15/17
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 2/24/11-7/26/11 3,055,552 2,636,100 (419,452)
-----------------------------------------
$8,054,377 $6,059,818 $ (1,994,559)
=========================================
5. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans or other receivables. 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 or
asset-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
$32,911,127 or 2.83% of the Fund's net assets as of September 30, 2011.
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 $420,975 or 0.04% of the Fund's net assets as of
September 30, 2011.
8. When-issued security or delayed delivery to be delivered and settled after
September 30, 2011. 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 $6,237,046. See accompanying Notes.
10. Zero coupon bond reflects effective yield on the date of purchase.
11. This bond has no contractual maturity date, is not redeemable and
contractually pays an indefinite stream of interest. Rate reported represents
the current interest rate for this variable rate security.
17 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
12. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended September 30, 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 SEPTEMBER 30, 2011
------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E 150,910,167 473,365,597 339,039,286 285,236,478
VALUE INCOME
------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E $285,236,478 $243,195
13. Rate shown is the 7-day yield as of September 30, 2011
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 September 30, 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 $ -- $ 119,342,946 $ -- $ 119,342,946
Mortgage-Backed Obligations -- 741,479,798 -- 741,479,798
U.S. Government Obligations -- 45,683,991 -- 45,683,991
Corporate Bonds and Notes -- 378,033,548 -- 378,033,548
Investment Company 285,236,478 -- -- 285,236,478
-----------------------------------------------------------------------------
Total Investments, at Value 285,236,478 1,284,540,283 -- 1,569,776,761
OTHER FINANCIAL INSTRUMENTS:
Swaps -- 10,335 -- 10,335
Futures margins 952,253 -- -- 952,253
-----------------------------------------------------------------------------
Total Assets $ 286,188,731 $ 1,284,550,618 $ -- $1,570,739,349
-----------------------------------------------------------------------------
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 September 30, 2011 (Unaudited)
FUTURES CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------
U.S. Treasury Long Bonds, 20 yr. Buy 512 12/20/11 $ 73,024,000 $ 3,007,848
U.S. Treasury Nts., 2 yr. Sell 535 12/30/11 117,808,672 127,919
U.S. Treasury Nts., 5 yr. Sell 382 12/30/11 46,789,031 10,763
U.S. Treasury Nts., 10 yr. Buy 467 12/20/11 60,753,781 (121,454)
U.S. Treasury Ultra Bonds Buy 329 12/20/11 52,187,625 3,816,733
--------------
$ 6,841,809
==============
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 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 $10,335 $ 10,335
The table that follows shows the undiscounted maximum potential payment by the
Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL
TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PAYMENTS FOR SELLING CREDIT REFERENCE ASSET
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.
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
19 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
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.
As of September 30, 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:
20 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
WHEN-ISSUED OR DELAYED
DELIVERY BASIS TRANSACTIONS
---------------------------
Purchased securities $ 422,907,008
Sold securities 1,076,193
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 September 30, 2011 is as
follows:
Cost $ 1,703,335
Market Value $ 140,053
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
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.
21 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
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 September 30, 2011, the
maximum amount of loss that the Fund would incur if the counterparties to
its derivative transactions failed to perform would be $10,335, 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 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 $10,335 as of September
30, 2011. In addition, the Fund may require that
22 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
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 September 30, 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, or currency, 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 September 30, 2011, the Fund had an ending monthly
average market value of $110,148,819 and $220,636,774 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 September 30, 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 September 30, 2011, the Fund had ending monthly
average notional amount of $17,000,000 on credit default swaps to sell
protection.
Additional associated risks to the Fund include counterparty credit risk
and liquidity risk.
RESTRICTED SECURITIES
As of September 30, 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
24 | Oppenheimer Core Bond Fund
Oppenheimer Core Bond Fund
STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
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, 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 $ 1,547,704,933
Federal tax cost of other investments 14,525,894
----------------
Total federal tax cost $ 1,562,230,827
================
Gross unrealized appreciation $ 47,020,331
Gross unrealized depreciation (18,096,359)
----------------
Net unrealized appreciation $ 28,923,972
================
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 9/30/2011, 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: 11/9/2011
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: 11/9/2011
By: /s/ Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: 11/9/2011
EX-99.CERT
2
g59882exv99wcert.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: 11/9/2011
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: 11/9/2011