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